UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File number: 811-03591
Calvert Variable Series, Inc.
(Exact Name of Registrant as Specified in Charter)
1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Service)
(202) 238-2200
(Registrant’s telephone number)
December 31
Date of Fiscal Year End
June 30, 2022
Date of Reporting Period
Item 1. Report to Stockholders
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class I at NAV | 09/02/1986 | 09/02/1986 | (15.47)% | (10.50)% | 7.65% | 7.93% |
Class F at NAV | 10/18/2013 | 09/02/1986 | (15.52) | (10.54) | 7.34 | 7.63 |
Russell 1000® Index | — | — | (20.94)% | (13.04)% | 11.00% | 12.81% |
Bloomberg U.S. Aggregate Bond Index | — | — | (10.35) | (10.29) | 0.88 | 1.54 |
Balanced Blended Benchmark | — | — | (16.73) | (11.71) | 7.20 | 8.42 |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
0.63% | 0.88% |
1 | Russell 1000® Index is an unmanaged index of 1,000 U.S. large-cap stocks. Bloomberg 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. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (1/1/22) | Ending Account Value (6/30/22) | Expenses Paid During Period* (1/1/22 – 6/30/22) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $ 845.30 | $2.88 | 0.63% |
Class F | $1,000.00 | $ 844.80 | $4.03 | 0.88% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,021.67 | $3.16 | 0.63% |
Class F | $1,000.00 | $1,020.43 | $4.41 | 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 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2021. Expenses shown do not include insurance-related charges or direct expenses of Qualified Plans. |
Asset-Backed Securities — 7.1% |
Security | Principal Amount (000's omitted) | Value | |
Adams Outdoor Advertising, L.P., Series 2018-1, Class A, 4.81%, 11/15/48(1) | $ | 152 | $ 149,790 |
Affirm Asset Securitization Trust, Series 2021-A, Class A, 0.88%, 8/15/25(1) | 115 | 113,583 | |
Business Jet Securities, LLC, Series 2020-1A, Class A, 2.981%, 11/15/35(1) | 59 | 53,940 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 353 | 342,961 | |
Cologix Data Centers US Issuer, LLC: | |||
Series 2021-1A, Class A2, 3.30%, 12/26/51(1) | 600 | 553,034 | |
Series 2021-1A, Class B, 3.79%, 12/26/51(1) | 350 | 318,007 | |
Conn's Receivables Funding, LLC: | |||
Series 2021-A, Class A, 1.05%, 5/15/26(1) | 318 | 316,044 | |
Series 2021-A, Class B, 2.87%, 5/15/26(1) | 520 | 504,657 | |
Series 2021-A, Class C, 4.59%, 5/15/26(1) | 155 | 147,486 | |
DataBank Issuer, Series 2021-2A, Class A2, 2.40%, 10/25/51(1) | 283 | 252,662 | |
DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 81 | 78,197 | |
Diamond Infrastructure Funding, LLC: | |||
Series 2021-1A, Class A, 1.76%, 4/15/49(1) | 415 | 357,251 | |
Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 99 | 84,541 | |
Diamond Issuer, Series 2021-1A, Class A, 2.305%, 11/20/51(1) | 782 | 688,864 | |
Driven Brands Funding, LLC, Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 62 | 60,781 | |
ExteNet, LLC: | |||
Series 2019-1A, Class A2, 3.204%, 7/26/49(1) | 345 | 331,567 | |
Series 2019-1A, Class B, 4.14%, 7/26/49(1) | 55 | 53,190 | |
FMC GMSR Issuer Trust: | |||
Series 2021-GT1, Class A, 3.62%, 7/25/26(1)(2) | 100 | 90,735 | |
Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(2) | 420 | 375,999 | |
Series 2022-GT1, Class A, 6.19%, 4/25/27(1) | 100 | 97,382 | |
FOCUS Brands Funding, LLC: | |||
Series 2017-1A, Class A2IB, 3.857%, 4/30/47(1) | 561 | 540,634 | |
Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 171 | 165,232 | |
GoodLeap Sustainable Home Solutions Trust, Series 2021-5CS, Class A, 2.31%, 10/20/48(1) | 230 | 200,380 | |
Hardee's Funding, LLC, Series 2020-1A, Class A2, 3.981%, 12/20/50(1) | 177 | 161,586 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 280 | 267,166 | |
JPMorgan Chase Bank, NA: | |||
Series 2021-2, Class B, 0.889%, 12/26/28(1) | 288 | 279,187 | |
Series 2021-3, Class B, 0.76%, 2/26/29(1) | 267 | 258,366 | |
Lendingpoint Asset Securitization Trust, Series 2022-A, Class A, 1.68%, 6/15/29(1) | 340 | 334,372 |
Security | Principal Amount (000's omitted) | Value | |
Loanpal Solar Loan, Ltd., Series 2020-1GS, Class C, 2.00%, 6/20/47(1) | $ | 84 | $ 70,536 |
Mill City Solar Loan, Ltd., Series 2020-1A, Class C, 2.00%, 6/20/47(1) | 174 | 147,159 | |
Mosaic Solar Loan Trust: | |||
Series 2019-1A, Class A, 4.37%, 12/21/43(1) | 204 | 196,034 | |
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 499 | 463,224 | |
Series 2020-1A, Class A, 2.10%, 4/20/46(1) | 56 | 51,093 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 56 | 51,842 | |
Series 2020-2A, Class A, 1.44%, 8/20/46(1) | 100 | 87,095 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | 119 | 105,261 | |
Series 2021-1A, Class A, 1.51%, 12/20/46(1) | 206 | 177,441 | |
Series 2021-1A, Class C, 2.25%, 12/20/46(1) | 546 | 502,395 | |
Series 2021-3A, Class C, 1.77%, 6/20/52(1) | 100 | 88,188 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 386 | 336,856 | |
NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 675 | 630,877 | |
OneMain Financial Issuance Trust: | |||
Series 2016-3A, Class A, 3.83%, 6/18/31(1) | 3 | 2,480 | |
Series 2020-1A, Class A, 3.84%, 5/14/32(1) | 319 | 318,018 | |
Series 2022-S1, Class A, 4.13%, 5/14/35(1) | 495 | 488,180 | |
Oportun Funding XIV, LLC, Series 2021-A, Class B, 1.76%, 3/8/28(1) | 100 | 94,146 | |
Oportun Funding, LLC, Series 2022-1, Class A, 3.25%, 6/15/29(1) | 599 | 591,180 | |
Oportun Issuance Trust: | |||
Series 2021-B, Class A, 1.47%, 5/8/31(1) | 361 | 335,046 | |
Series 2021-B, Class C, 3.65%, 5/8/31(1) | 100 | 93,788 | |
Series 2021-C, Class A, 2.18%, 10/8/31(1) | 1,850 | 1,712,885 | |
Series 2021-C, Class B, 2.67%, 10/8/31(1) | 220 | 201,625 | |
Pagaya AI Debt Selection Trust: | |||
Series 2020-3, Class B, 3.22%, 5/17/27(1) | 125 | 124,143 | |
Series 2021-2, 3.00%, 1/25/29(1) | 406 | 385,152 | |
Series 2021-3, Class A, 1.15%, 5/15/29(1) | 863 | 839,594 | |
Series 2021-5, Class A, 1.53%, 8/15/29(1) | 648 | 627,433 | |
Series 2021-HG1, Class A, 1.22%, 1/16/29(1) | 183 | 174,184 | |
Planet Fitness Master Issuer, LLC, Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 273 | 243,562 | |
Prosper Marketplace Issuance Trust, Series 2019-4A, Class C, 4.95%, 2/17/26(1) | 65 | 64,400 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 159 | 137,539 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 180 | 150,841 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 926 | 866,976 | |
SolarCity LMC Series I, LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1) | 227 | 220,334 |
Security | Principal Amount (000's omitted) | Value | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | $ | 513 | $ 486,309 |
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 282 | 261,559 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 2,135 | 2,119,658 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 200 | 192,458 | |
Series 2020-1A, Class A2, 1.893%, 8/25/45(1) | 342 | 314,349 | |
Sunnova Helios II Issuer, LLC, Series 2021-A, Class A, 1.80%, 2/20/48(1) | 307 | 268,715 | |
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class A, 2.73%, 11/1/55(1) | 555 | 477,480 | |
Sunnova Sol Issuer, LLC, Series 2020-1A, Class A, 3.35%, 2/1/55(1) | 98 | 87,479 | |
Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) | 205 | 186,528 | |
Sunrun Callisto Issuer, LLC, Series 2015-1A, Class B, 5.38%, 7/20/45(1) | 288 | 271,807 | |
Sunrun Demeter Issuer, LLC, Series 2021-2A, Class A, 2.27%, 1/30/57(1) | 260 | 218,468 | |
Sunrun Jupiter Issuer, LLC, Series 2022-1A, Class A, 4.75%, 7/30/57(1) | 735 | 701,268 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 165 | 155,701 | |
TES, LLC, Series 2017-1A, Class A, 4.33%, 10/20/47(1) | 361 | 339,508 | |
Theorem Funding Trust: | |||
Series 2020-1A, Class B, 3.95%, 10/15/26(1) | 113 | 112,776 | |
Series 2021-1A, Class A, 1.21%, 12/15/27(1) | 321 | 313,926 | |
Series 2021-1A, Class B, 1.84%, 12/15/27(1) | 100 | 91,753 | |
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 453 | 438,286 | |
Upstart Pass-Through Trust, Series 2020-ST1, Class A, 3.75%, 2/20/28(1) | 110 | 108,293 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2018-2A, Class A2, 4.196%, 11/16/43(1) | 77 | 76,531 | |
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 292 | 283,537 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 735 | 641,092 | |
Series 2021-1A, Class A2, 2.165%, 10/15/46(1) | 224 | 200,716 | |
Vivint Solar Financing VII, LLC, Series 2020-1A, Class A, 2.21%, 7/31/51(1) | 384 | 324,879 | |
Willis Engine Structured Trust V, Series 2020-A, Class B, 4.212%, 3/15/45(1) | 217 | 173,811 | |
Total Asset-Backed Securities (identified cost $28,378,705) | $ 26,603,988 |
Collateralized Mortgage Obligations — 1.5% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd.: | |||
Series 2021-1A, Class M1A, 2.676%, (30-day average SOFR + 1.75%), 3/25/31(1)(3) | $ | 108 | $ 108,354 |
Series 2021-1A, Class M1B, 3.126%, (30-day average SOFR + 2.20%), 3/25/31(1)(3) | 155 | 149,625 | |
Series 2021-1A, Class M1C, 3.876%, (30-day average SOFR + 2.95%), 3/25/31(1)(3) | 150 | 147,437 | |
Series 2021-2A, Class M1A, 2.126%, (30-day average SOFR + 1.20%), 6/25/31(1)(3) | 472 | 464,934 | |
Series 2021-3A, Class A2, 1.926%, (30-day average SOFR + 1.00%), 9/25/31(1)(3) | 215 | 212,431 | |
Series 2021-3A, Class M1B, 2.326%, (30-day average SOFR + 1.40%), 9/25/31(1)(3) | 170 | 154,851 | |
CHL GMSR Issuer Trust, Series 2018-GT1, Class A, 4.374%, (1 mo. USD LIBOR + 2.75%), 5/25/23(1)(3) | 100 | 99,152 | |
Eagle Re, Ltd.: | |||
Series 2021-1, Class M1A, 2.626%, (30-day average SOFR + 1.70%), 10/25/33(1)(3) | 104 | 104,366 | |
Series 2021-2, Class M1C, 4.376%, (30-day average SOFR + 3.45%), 4/25/34(1)(3) | 150 | 147,152 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2015-HQ2, Class M3, 4.874%, (1 mo. USD LIBOR + 3.25%), 5/25/25(3) | 125 | 125,581 | |
Series 2018-DNA1, Class M2AT, 2.674%, (1 mo. USD LIBOR + 1.05%), 7/25/30(3) | 85 | 85,259 | |
Series 2019-DNA3, Class B2, 9.774%, (1 mo. USD LIBOR + 8.15%), 7/25/49(1)(3) | 85 | 85,499 | |
Series 2019-DNA3, Class M2, 3.674%, (1 mo. USD LIBOR + 2.05%), 7/25/49(1)(3) | 401 | 399,218 | |
Series 2019-DNA4, Class M2, 3.574%, (1 mo. USD LIBOR + 1.95%), 10/25/49(1)(3) | 40 | 39,630 | |
Series 2019-HQA2, Class B1, 5.724%, (1 mo. USD LIBOR + 4.10%), 4/25/49(1)(3) | 65 | 64,090 | |
Series 2019-HQA4, Class B1, 4.574%, (1 mo. USD LIBOR + 2.95%), 11/25/49(1)(3) | 20 | 19,125 | |
Series 2020-DNA6, Class B1, 3.926%, (30-day average SOFR + 3.00%), 12/25/50(1)(3) | 25 | 21,502 | |
Series 2020-HQA2, Class B1, 5.724%, (1 mo. USD LIBOR + 4.10%), 3/25/50(1)(3) | 41 | 38,269 | |
Series 2021-DNA3, Class M1, 1.676%, (30-day average SOFR + 0.75%), 10/25/33(1)(3) | 148 | 146,455 | |
Series 2022-DNA2, Class M1A, 2.226%, (30-day average SOFR + 1.30%), 2/25/42(1)(3) | 357 | 349,356 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2013-C01, Class M2, 6.874%, (1 mo. USD LIBOR + 5.25%), 10/25/23(3) | 117 | 121,268 | |
Series 2014-C02, Class 2M2, 4.224%, (1 mo. USD LIBOR + 2.60%), 5/25/24(3) | 48 | 48,377 | |
Series 2014-C03, Class 2M2, 4.524%, (1 mo. USD LIBOR + 2.90%), 7/25/24(3) | 68 | 67,753 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association Connecticut Avenue Securities: (continued) | |||
Series 2014-C04, Class 1M2, 6.524%, (1 mo. USD LIBOR + 4.90%), 11/25/24(3) | $ | 201 | $ 207,872 |
Series 2018-R07, Class 1M2, 4.024%, (1 mo. USD LIBOR + 2.40%), 4/25/31(1)(3) | 39 | 38,809 | |
Series 2019-R01, Class 2B1, 5.974%, (1 mo. USD LIBOR + 4.35%), 7/25/31(1)(3) | 55 | 55,021 | |
Series 2019-R02, Class 1B1, 5.774%, (1 mo. USD LIBOR + 4.15%), 8/25/31(1)(3) | 55 | 54,539 | |
Series 2019-R02, Class 1M2, 3.924%, (1 mo. USD LIBOR + 2.30%), 8/25/31(1)(3) | 4 | 4,081 | |
Series 2019-R03, Class 1B1, 5.724%, (1 mo. USD LIBOR + 4.10%), 9/25/31(1)(3) | 55 | 54,431 | |
Series 2019-R05, Class 1B1, 5.724%, (1 mo. USD LIBOR + 4.10%), 7/25/39(1)(3) | 84 | 82,685 | |
Series 2019-R06, Class 2B1, 5.374%, (1 mo. USD LIBOR + 3.75%), 9/25/39(1)(3) | 330 | 313,191 | |
Series 2019-R07, Class 1B1, 5.024%, (1 mo. USD LIBOR + 3.40%), 10/25/39(1)(3) | 109 | 101,919 | |
Series 2020-R02, Class 2B1, 4.624%, (1 mo. USD LIBOR + 3.00%), 1/25/40(1)(3) | 405 | 363,280 | |
Series 2021-R01, Class 1B2, 6.926%, (30-day average SOFR + 6.00%), 10/25/41(1)(3) | 143 | 119,653 | |
Series 2021-R02, Class 2B1, 4.226%, (30-day average SOFR + 3.30%), 11/25/41(1)(3) | 12 | 10,553 | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 274 | 266,258 | |
Home Re, Ltd.: | |||
Series 2018-1, Class M2, 4.624%, (1 mo. USD LIBOR + 3.00%), 10/25/28(1)(3) | 344 | 337,005 | |
Series 2021-1, Class M1B, 3.174%, (1 mo. USD LIBOR + 1.55%), 7/25/33(1)(3) | 265 | 262,025 | |
Series 2021-1, Class M2, 4.474%, (1 mo. USD LIBOR + 2.85%), 7/25/33(1)(3) | 150 | 137,022 | |
Oaktown Re V, Ltd., Series 2020-2A, Class M1B, 5.224%, (1 mo. USD LIBOR + 3.60%), 10/25/30(1)(3) | 77 | 77,403 | |
Total Collateralized Mortgage Obligations (identified cost $5,883,115) | $ 5,685,431 |
Commercial Mortgage-Backed Securities — 4.6% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class DNM, 3.843%, 11/5/32(1)(2) | $ | 695 | $ 589,714 |
Series 2019-BPR, Class ENM, 3.843%, 11/5/32(1)(2) | 325 | 272,598 | |
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(2) | 485 | 400,604 | |
BBCMS Mortgage Trust, Series 2017-DELC, Class F, 4.824%, (1 mo. USD LIBOR + 3.50%), 8/15/36(1)(3) | 156 | 146,467 |
Security | Principal Amount (000's omitted) | Value | |
BX Commercial Mortgage Trust: | |||
Series 2019-XL, Class A, 2.244%, (1 mo. USD LIBOR + 0.92%), 10/15/36(1)(3) | $ | 525 | $ 516,259 |
Series 2019-XL, Class B, 2.404%, (1 mo. USD LIBOR + 1.08%), 10/15/36(1)(3) | 280 | 273,772 | |
Series 2021-VOLT, Class B, 2.274%, (1 mo. USD LIBOR + 0.95%), 9/15/36(1)(3) | 666 | 627,254 | |
Series 2021-VOLT, Class C, 2.424%, (1 mo. USD LIBOR + 1.10%), 9/15/36(1)(3) | 204 | 190,165 | |
Series 2021-VOLT, Class D, 2.974%, (1 mo. USD LIBOR + 1.65%), 9/15/36(1)(3) | 702 | 658,717 | |
Credit Suisse Mortgage Trust, Series 2022-CNTR, Class A, 5.223%, (1 mo. SOFR + 3.944%), 1/15/24(1)(3) | 100 | 92,462 | |
Extended Stay America Trust: | |||
Series 2021-ESH, Class A, 2.405%, (1 mo. USD LIBOR + 1.08%), 7/15/38(1)(3) | 231 | 225,154 | |
Series 2021-ESH, Class C, 3.025%, (1 mo. USD LIBOR + 1.70%), 7/15/38(1)(3) | 596 | 578,199 | |
Series 2021-ESH, Class D, 3.575%, (1 mo. USD LIBOR + 2.25%), 7/15/38(1)(3) | 201 | 194,251 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates: | |||
Series KG02, Class A2, 2.412%, 8/25/29 | 1,440 | 1,329,819 | |
Series KG03, Class A2, 1.297%, 6/25/30(2) | 305 | 256,773 | |
Series KSG1, Class A2, 1.503%, 9/25/30 | 278 | 237,250 | |
Series KW06, Class A2, 3.80%, 6/25/28(2) | 530 | 538,432 | |
Series W5FX, Class AFX, 3.336%, 4/25/28(2) | 192 | 189,594 | |
Federal National Mortgage Association: | |||
Series 2017-M13, Class A2, 3.024%, 9/25/27(2) | 586 | 578,101 | |
Series 2018-M13, Class A2, 3.87%, 9/25/30(2) | 1,488 | 1,509,171 | |
Series 2019-M1, Class A2, 3.671%, 9/25/28(2) | 456 | 456,874 | |
Series 2019-M22, Class A2, 2.522%, 8/25/29 | 523 | 490,569 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 963 | 901,123 | |
Series 2020-M20, Class A2, 1.435%, 10/25/29 | 605 | 527,915 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M7, 3.324%, (1 mo. USD LIBOR + 1.70%), 10/15/49(1)(3) | 35 | 34,111 | |
Series 2019-01, Class M10, 4.874%, (1 mo. USD LIBOR + 3.25%), 10/15/49(1)(3) | 234 | 218,129 | |
Series 2020-01, Class M10, 5.374%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(3) | 525 | 473,721 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A, 2.474%, (1 mo. USD LIBOR + 1.15%), 5/15/38(1)(3) | 989 | 963,405 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 300 | 85,050 | |
Series 2014-DSTY, Class C, 3.931%, 6/10/27(1)(2) | 100 | 17,850 | |
Morgan Stanley Capital I Trust: | |||
Series 2017-CLS, Class A, 2.024%, (1 mo. USD LIBOR + 0.70%), 11/15/34(1)(3)(4) | 685 | 678,577 | |
Series 2017-CLS, Class E, 3.274%, (1 mo. USD LIBOR + 1.95%), 11/15/34(1)(3)(4) | 79 | 76,969 |
Security | Principal Amount (000's omitted) | Value | |
Morgan Stanley Capital I Trust: (continued) | |||
Series 2017-CLS, Class F, 3.924%, (1 mo. USD LIBOR + 2.60%), 11/15/34(1)(3)(4) | $ | 169 | $ 164,105 |
Series 2019-BPR, Class A, 2.974%, (1 mo. USD LIBOR + 1.65%), 5/15/36(1)(3)(4) | 473 | 456,512 | |
Series 2019-BPR, Class B, 3.674%, (1 mo. USD LIBOR + 2.35%), 5/15/36(1)(3)(4) | 187 | 178,934 | |
Series 2019-BPR, Class C, 4.624%, (1 mo. USD LIBOR + 3.30%), 5/15/36(1)(3)(4) | 100 | 94,281 | |
SLG Office Trust, Series 2021-OVA, Class A, 2.585%, 7/15/41(1) | 618 | 525,894 | |
VMC Finance, LLC: | |||
Series 2021-HT1, Class A, 3.262%, (1 mo. USD LIBOR + 1.65%), 1/18/37(1)(3) | 513 | 493,307 | |
Series 2021-HT1, Class B, 6.112%, (1 mo. USD LIBOR + 4.50%), 1/18/37(1)(3) | 753 | 705,282 | |
WFLD Mortgage Trust, Series 2014-MONT, Class C, 3.88%, 8/10/31(1)(2) | 450 | 387,169 | |
Total Commercial Mortgage-Backed Securities (identified cost $18,709,216) | $ 17,334,533 |
Common Stocks — 56.2% |
Security | Shares | Value | |
Auto Components — 0.3% | |||
Aptiv PLC(5) | 13,700 | $ 1,220,259 | |
$ 1,220,259 | |||
Banks — 1.9% | |||
PNC Financial Services Group, Inc. (The) | 21,600 | $ 3,407,832 | |
Wells Fargo & Co. | 97,700 | 3,826,909 | |
$ 7,234,741 | |||
Beverages — 2.3% | |||
Coca-Cola Co. (The) | 95,800 | $ 6,026,778 | |
Coca-Cola Europacific Partners PLC | 53,700 | 2,771,457 | |
$ 8,798,235 | |||
Biotechnology — 1.6% | |||
AbbVie, Inc. | 39,900 | $ 6,111,084 | |
$ 6,111,084 | |||
Capital Markets — 2.4% | |||
Intercontinental Exchange, Inc. | 41,200 | $ 3,874,448 | |
S&P Global, Inc. | 8,800 | 2,966,128 | |
Tradeweb Markets, Inc., Class A | 33,503 | 2,286,580 | |
$ 9,127,156 |
Security | Shares | Value | |
Chemicals — 1.6% | |||
Ecolab, Inc. | 18,400 | $ 2,829,184 | |
FMC Corp. | 27,700 | 2,964,177 | |
$ 5,793,361 | |||
Commercial Services & Supplies — 1.0% | |||
Waste Management, Inc. | 23,516 | $ 3,597,478 | |
$ 3,597,478 | |||
Diversified Telecommunication Services — 1.2% | |||
Verizon Communications, Inc. | 88,000 | $ 4,466,000 | |
$ 4,466,000 | |||
Electric Utilities — 1.3% | |||
NextEra Energy, Inc. | 64,000 | $ 4,957,440 | |
$ 4,957,440 | |||
Electrical Equipment — 0.7% | |||
AMETEK, Inc. | 23,900 | $ 2,626,371 | |
$ 2,626,371 | |||
Electronic Equipment, Instruments & Components — 0.8% | |||
TE Connectivity, Ltd. | 24,700 | $ 2,794,805 | |
$ 2,794,805 | |||
Energy Equipment & Services — 1.6% | |||
Baker Hughes Co. | 211,100 | $ 6,094,457 | |
$ 6,094,457 | |||
Entertainment — 0.5% | |||
Electronic Arts, Inc. | 16,300 | $ 1,982,895 | |
$ 1,982,895 | |||
Equity Real Estate Investment Trusts (REITs) — 2.2% | |||
EastGroup Properties, Inc. | 26,900 | $ 4,151,477 | |
Lamar Advertising Co., Class A | 46,400 | 4,081,808 | |
$ 8,233,285 | |||
Food & Staples Retailing — 2.3% | |||
Sysco Corp. | 55,000 | $ 4,659,050 | |
Walmart, Inc. | 31,800 | 3,866,244 | |
$ 8,525,294 | |||
Health Care Equipment & Supplies — 1.1% | |||
Boston Scientific Corp.(5) | 82,300 | $ 3,067,321 | |
Teleflex, Inc. | 4,200 | 1,032,570 | |
$ 4,099,891 |
Security | Shares | Value | |
Health Care Providers & Services — 1.3% | |||
Elevance Health, Inc. | 10,300 | $ 4,970,574 | |
$ 4,970,574 | |||
Hotels, Restaurants & Leisure — 0.5% | |||
Marriott International, Inc., Class A | 14,800 | $ 2,012,948 | |
$ 2,012,948 | |||
Insurance — 1.8% | |||
Allstate Corp. (The) | 36,100 | $ 4,574,953 | |
W.R. Berkley Corp. | 32,100 | 2,191,146 | |
$ 6,766,099 | |||
Interactive Media & Services — 3.2% | |||
Alphabet, Inc., Class C(5) | 5,490 | $ 12,009,100 | |
$ 12,009,100 | |||
Internet & Direct Marketing Retail — 2.2% | |||
Amazon.com, Inc.(5) | 78,680 | $ 8,356,603 | |
$ 8,356,603 | |||
IT Services — 2.3% | |||
Automatic Data Processing, Inc. | 18,300 | $ 3,843,732 | |
Visa, Inc., Class A | 24,900 | 4,902,561 | |
$ 8,746,293 | |||
Life Sciences Tools & Services — 2.3% | |||
Danaher Corp. | 17,500 | $ 4,436,600 | |
Thermo Fisher Scientific, Inc. | 8,018 | 4,356,019 | |
$ 8,792,619 | |||
Machinery — 1.0% | |||
Westinghouse Air Brake Technologies Corp. | 45,800 | $ 3,759,264 | |
$ 3,759,264 | |||
Multi-Utilities — 1.3% | |||
Sempra Energy | 31,400 | $ 4,718,478 | |
$ 4,718,478 | |||
Pharmaceuticals — 2.6% | |||
Bristol-Myers Squibb Co. | 60,500 | $ 4,658,500 | |
Eli Lilly & Co. | 10,500 | 3,404,415 | |
Pfizer, Inc. | 33,100 | 1,735,433 | |
$ 9,798,348 |
Security | Shares | Value | |
Professional Services — 0.9% | |||
Booz Allen Hamilton Holding Corp. | 36,000 | $ 3,252,960 | |
$ 3,252,960 | |||
Road & Rail — 0.8% | |||
Union Pacific Corp. | 14,700 | $ 3,135,216 | |
$ 3,135,216 | |||
Semiconductors & Semiconductor Equipment — 2.5% | |||
Analog Devices, Inc. | 25,600 | $ 3,739,904 | |
Lam Research Corp. | 5,700 | 2,429,055 | |
Texas Instruments, Inc. | 20,451 | 3,142,296 | |
$ 9,311,255 | |||
Software — 5.9% | |||
Black Knight, Inc.(5) | 33,500 | $ 2,190,565 | |
Fair Isaac Corp.(5) | 5,500 | 2,204,950 | |
Intuit, Inc. | 4,852 | 1,870,155 | |
Microsoft Corp. | 54,393 | 13,969,753 | |
VMware, Inc., Class A | 17,500 | 1,994,650 | |
$ 22,230,073 | |||
Specialty Retail — 0.7% | |||
TJX Cos., Inc. (The) | 43,700 | $ 2,440,645 | |
$ 2,440,645 | |||
Technology Hardware, Storage & Peripherals — 3.4% | |||
Apple, Inc. | 93,688 | $ 12,809,023 | |
$ 12,809,023 | |||
Wireless Telecommunication Services — 0.7% | |||
T-Mobile US, Inc.(5) | 20,330 | $ 2,735,198 | |
$ 2,735,198 | |||
Total Common Stocks (identified cost $160,533,142) | $211,507,448 |
Convertible Bonds — 0.1% |
Security | Principal Amount (000's omitted) | Value | |
Technology — 0.1% | |||
1Life Healthcare, Inc., 3.00%, 6/15/25 | $ | 62 | $ 51,181 |
ams-OSRAM AG, 0.875%, 9/28/22(6) | 200 | 195,679 | |
Total Convertible Bonds (identified cost $253,550) | $ 246,860 |
Corporate Bonds — 16.7% |
Security | Principal Amount (000's omitted) | Value | |
Basic Materials — 0.1% | |||
South32 Treasury, Ltd., 4.35%, 4/14/32(1) | $ | 306 | $ 286,205 |
$ 286,205 | |||
Communications — 1.0% | |||
AT&T, Inc.: | |||
3.50%, 9/15/53 | $ | 44 | $ 33,426 |
3.65%, 6/1/51 | 517 | 405,145 | |
3.65%, 9/15/59 | 53 | 39,812 | |
3.80%, 12/1/57 | 266 | 206,051 | |
CCO Holdings, LLC/CCO Holdings Capital Corp., 5.00%, 2/1/28(1) | 124 | 114,843 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 1,105 | 877,773 | |
Comcast Corp.: | |||
2.887%, 11/1/51 | 446 | 319,196 | |
2.937%, 11/1/56 | 456 | 317,801 | |
Level 3 Financing, Inc., 3.75%, 7/15/29(1) | 35 | 27,125 | |
Nokia Oyj: | |||
4.375%, 6/12/27 | 347 | 328,284 | |
6.625%, 5/15/39 | 395 | 391,315 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 185 | 158,041 | |
SES S.A., 5.30%, 4/4/43(1) | 109 | 93,033 | |
T-Mobile USA, Inc.: | |||
2.25%, 2/15/26 | 23 | 20,740 | |
2.25%, 11/15/31(7) | 64 | 52,005 | |
2.55%, 2/15/31 | 147 | 123,847 | |
2.625%, 4/15/26 | 300 | 272,811 | |
$ 3,781,248 | |||
Consumer, Cyclical — 1.3% | |||
Air Canada, 3.875%, 8/15/26(1) | $ | 545 | $ 462,130 |
American Airlines Pass-Through Trust, 4.40%, 9/22/23 | 97 | 92,219 | |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 768 | 708,326 | |
5.75%, 4/20/29(1) | 21 | 18,001 | |
Aptiv PLC/Aptiv Corp., 3.25%, 3/1/32(7) | 146 | 124,208 | |
Bath & Body Works, Inc.: | |||
6.625%, 10/1/30(1) | 234 | 202,724 | |
6.875%, 11/1/35 | 39 | 31,803 | |
7.60%, 7/15/37 | 165 | 133,765 | |
Brunswick Corp., 5.10%, 4/1/52 | 65 | 48,621 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 104 | 102,822 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd.: | |||
4.50%, 10/20/25(1) | 300 | 291,783 |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Cyclical (continued) | |||
Delta Air Lines, Inc./SkyMiles IP, Ltd.: (continued) | |||
4.75%, 10/20/28(1) | $ | 460 | $ 434,881 |
Dick's Sporting Goods, Inc., 4.10%, 1/15/52 | 678 | 451,659 | |
Ford Motor Co., 4.75%, 1/15/43 | 45 | 32,199 | |
Ford Motor Credit Co., LLC, 3.375%, 11/13/25 | 200 | 180,724 | |
General Motors Financial Co., Inc., 4.30%, 4/6/29 | 438 | 402,379 | |
Hyatt Hotels Corp.: | |||
1.30%, 10/1/23 | 149 | 144,357 | |
1.80%, 10/1/24 | 61 | 57,707 | |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1)(7) | 417 | 355,103 | |
4.375%, 1/15/31(1)(7) | 70 | 59,794 | |
Macy's Retail Holdings, LLC, 4.30%, 2/15/43 | 30 | 18,956 | |
Magallanes, Inc.: | |||
5.05%, 3/15/42(1) | 336 | 286,384 | |
5.141%, 3/15/52(1) | 246 | 206,802 | |
MDC Holdings, Inc., 2.50%, 1/15/31 | 61 | 45,085 | |
Powdr Corp., 6.00%, 8/1/25(1) | 92 | 91,777 | |
$ 4,984,209 | |||
Consumer, Non-cyclical — 1.4% | |||
Ashtead Capital, Inc.: | |||
4.00%, 5/1/28(1) | $ | 200 | $ 180,710 |
4.25%, 11/1/29(1) | 384 | 338,200 | |
Avantor Funding, Inc., 4.625%, 7/15/28(1) | 329 | 302,460 | |
Avon Products, Inc., 8.45%, 3/15/43 | 33 | 31,978 | |
Block Financial, LLC, 3.875%, 8/15/30 | 575 | 517,700 | |
Centene Corp.: | |||
2.50%, 3/1/31 | 372 | 296,439 | |
3.375%, 2/15/30 | 199 | 169,332 | |
4.25%, 12/15/27 | 257 | 240,698 | |
4.625%, 12/15/29 | 36 | 33,676 | |
Coca-Cola Europacific Partners PLC, 1.50%, 1/15/27(1) | 221 | 196,268 | |
Coca-Cola Femsa SAB de CV, 1.85%, 9/1/32 | 255 | 198,418 | |
Conservation Fund (The), Green Bonds, 3.474%, 12/15/29 | 285 | 263,394 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 305 | 313,140 | |
Doris Duke Charitable Foundation (The), 2.345%, 7/1/50 | 678 | 459,513 | |
Ford Foundation (The), 2.415%, 6/1/50 | 435 | 311,142 | |
Natura & Co. Luxembourg Holdings S.a.r.l., 6.00%, 4/19/29(1)(7) | 414 | 365,268 | |
Natura Cosmeticos S.A., 4.125%, 5/3/28(1) | 288 | 237,542 | |
Perrigo Finance Unlimited Co., 4.40%, 6/15/30 | 305 | 272,603 | |
Royalty Pharma PLC, 3.55%, 9/2/50 | 431 | 301,800 | |
Smithfield Foods, Inc.: | |||
2.625%, 9/13/31(1) | 323 | 255,415 |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Non-cyclical (continued) | |||
Smithfield Foods, Inc.: (continued) | |||
3.00%, 10/15/30(1) | $ | 77 | $ 63,923 |
5.20%, 4/1/29(1) | 45 | 44,256 | |
$ 5,393,875 | |||
Energy — 0.4% | |||
NuStar Logistics, L.P.: | |||
6.00%, 6/1/26 | $ | 439 | $ 411,242 |
6.375%, 10/1/30 | 137 | 119,250 | |
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | 486 | 417,107 | |
5.00%, 1/31/28(1) | 743 | 674,362 | |
$ 1,621,961 | |||
Financial — 8.3% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||
2.875%, 8/14/24 | $ | 150 | $ 143,014 |
3.50%, 1/15/25 | 222 | 212,233 | |
4.50%, 9/15/23 | 291 | 289,792 | |
6.50%, 7/15/25 | 175 | 179,311 | |
Affiliated Managers Group, Inc., 3.30%, 6/15/30 | 225 | 203,546 | |
Agree, L.P., 2.00%, 6/15/28 | 122 | 104,328 | |
Air Lease Corp.: | |||
2.875%, 1/15/26 | 355 | 326,437 | |
2.875%, 1/15/32 | 119 | 93,006 | |
Alliance Data Systems Corp., 4.75%, 12/15/24(1) | 420 | 385,764 | |
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) | 60 | 53,401 | |
American Assets Trust, L.P., 3.375%, 2/1/31 | 84 | 71,969 | |
American National Group, Inc., 6.144%, 6/13/32(1) | 70 | 69,426 | |
Andrew W. Mellon Foundation (The), 0.947%, 8/1/27 | 335 | 294,238 | |
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(8) | 458 | 432,306 | |
Banco de Chile, 2.99%, 12/9/31(1) | 289 | 241,853 | |
Banco Santander S.A., 1.722% to 9/14/26, 9/14/27(8) | 400 | 347,473 | |
Bank of America Corp.: | |||
1.734% to 7/22/26, 7/22/27(8) | 830 | 739,210 | |
1.898% to 7/23/30, 7/23/31(8) | 227 | 181,625 | |
1.922% to 10/24/30, 10/24/31(8) | 288 | 230,313 | |
2.087% to 6/14/28, 6/14/29(8) | 379 | 324,914 | |
2.299% to 7/21/31, 7/21/32(8) | 379 | 306,649 | |
2.456% to 10/22/24, 10/22/25(8) | 949 | 904,919 | |
2.551% to 2/4/27, 2/4/28(8) | 522 | 475,140 | |
2.60%, (SOFR + 1.10%), 4/25/25(3) | 100 | 99,453 | |
2.83%, (SOFR + 1.33%), 4/2/26(3) | 617 | 609,192 | |
3.846% to 3/8/32, 3/8/37(8) | 1,478 | 1,279,175 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
BankUnited, Inc., 5.125%, 6/11/30 | $ | 147 | $ 142,530 |
BBVA Bancomer S.A./Texas: | |||
1.875%, 9/18/25(1) | 262 | 237,914 | |
5.125% to 1/18/28, 1/18/33(1)(8) | 500 | 424,235 | |
Boston Properties, L.P., 2.45%, 10/1/33 | 750 | 577,024 | |
BPCE S.A., 3.648% to 1/14/32, 1/14/37(1)(8) | 261 | 219,086 | |
Broadstone Net Lease, LLC, 2.60%, 9/15/31 | 24 | 19,599 | |
Brown & Brown, Inc.: | |||
2.375%, 3/15/31 | 40 | 31,705 | |
4.20%, 3/17/32 | 50 | 45,573 | |
Capital One Financial Corp.: | |||
3.273% to 3/1/29, 3/1/30(8) | 256 | 226,777 | |
3.30%, 10/30/24 | 209 | 204,141 | |
3.75%, 7/28/26 | 122 | 116,809 | |
4.20%, 10/29/25 | 190 | 187,773 | |
4.927% to 5/10/27, 5/10/28(8) | 352 | 348,901 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 477 | 373,461 | |
4.10%, 6/15/51 | 269 | 174,713 | |
Citigroup, Inc.: | |||
1.281% to 11/3/24, 11/3/25(8) | 228 | 211,875 | |
2.17%, (SOFR + 0.67%), 5/1/25(3)(7) | 104 | 102,042 | |
2.78%, (SOFR + 1.28%), 2/24/28(3) | 536 | 514,551 | |
3.106% to 4/8/25, 4/8/26(8) | 285 | 273,942 | |
3.785% to 3/17/32, 3/17/33(8) | 510 | 459,956 | |
3.887% to 1/10/27, 1/10/28(8) | 205 | 197,258 | |
4.00% to 12/10/25(8)(9) | 310 | 268,925 | |
Corporate Office Properties, L.P., 2.90%, 12/1/33 | 226 | 175,409 | |
Discover Bank, 4.682% to 8/9/23, 8/9/28(8) | 270 | 262,592 | |
Enact Holdings, Inc., 6.50%, 8/15/25(1) | 461 | 435,640 | |
EPR Properties: | |||
3.75%, 8/15/29 | 516 | 429,937 | |
4.50%, 6/1/27 | 376 | 340,666 | |
Extra Space Storage, L.P., 2.55%, 6/1/31 | 293 | 241,376 | |
GA Global Funding Trust: | |||
2.25%, 1/6/27(1) | 677 | 606,118 | |
2.90%, 1/6/32(1) | 537 | 446,816 | |
Goldman Sachs Group, Inc. (The): | |||
1.948% to 10/21/26, 10/21/27(8) | 531 | 470,307 | |
2.08%, (SOFR + 0.58%), 3/8/24(3) | 155 | 152,510 | |
2.64% to 2/24/27, 2/24/28(8) | 150 | 136,247 | |
2.65% to 10/21/31, 10/21/32(8) | 286 | 235,990 | |
3.102% to 2/24/32, 2/24/33(8) | 91 | 77,809 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 871 | 751,320 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
HAT Holdings I, LLC/HAT Holdings II, LLC: (continued) | |||
3.75%, 9/15/30(1) | $ | 158 | $ 126,308 |
6.00%, 4/15/25(1)(7) | 283 | 271,489 | |
HSBC Holdings PLC, 2.251% to 11/22/26, 11/22/27(8) | 508 | 452,999 | |
Iron Mountain, Inc.: | |||
4.50%, 2/15/31(1) | 449 | 368,180 | |
5.00%, 7/15/28(1) | 161 | 142,895 | |
JPMorgan Chase & Co.: | |||
1.47% to 9/22/26, 9/22/27(8) | 618 | 542,459 | |
2.08%, (SOFR + 0.58%), 3/16/24(3) | 69 | 68,194 | |
2.10%, (SOFR + 0.60%), 12/10/25(3) | 103 | 99,657 | |
2.68%, (SOFR + 1.18%), 2/24/28(3) | 378 | 363,641 | |
2.739% to 10/15/29, 10/15/30(8) | 185 | 161,571 | |
2.82%, (SOFR + 1.32%), 4/26/26(3) | 315 | 310,180 | |
4.586% to 4/26/32, 4/26/33(8) | 131 | 128,810 | |
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 301 | 232,086 | |
KKR Group Finance Co. X, LLC, 3.25%, 12/15/51(1) | 109 | 77,374 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(8) | 289 | 230,979 | |
Life Storage, L.P., 2.40%, 10/15/31 | 382 | 304,438 | |
Macquarie Bank, Ltd.: | |||
3.052% to 3/3/31, 3/3/36(1)(8) | 630 | 500,228 | |
3.624%, 6/3/30(1) | 255 | 222,642 | |
National Bank of Canada, 0.55% to 11/15/23, 11/15/24(8) | 301 | 287,116 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 134 | 133,731 | |
OneMain Finance Corp.: | |||
3.50%, 1/15/27 | 594 | 476,040 | |
7.125%, 3/15/26 | 58 | 53,741 | |
PennyMac Financial Services, Inc., 4.25%, 2/15/29(1) | 53 | 39,053 | |
PNC Financial Services Group, Inc. (The), 2.20%, 11/1/24 | 875 | 848,190 | |
Radian Group, Inc.: | |||
4.875%, 3/15/27 | 483 | 433,602 | |
6.625%, 3/15/25 | 37 | 36,189 | |
Rocket Mortgage, LLC/Rocket Mortgage Co-Issuer, Inc.: | |||
2.875%, 10/15/26(1) | 161 | 133,506 | |
3.875%, 3/1/31(1) | 485 | 364,790 | |
Sabra Health Care, L.P., 3.20%, 12/1/31 | 465 | 369,547 | |
SITE Centers Corp., 3.625%, 2/1/25 | 259 | 251,984 | |
Societe Generale S.A., 6.221% to 6/15/32, 6/15/33(1)(8) | 255 | 243,665 | |
Standard Chartered PLC: | |||
1.214% to 3/23/24, 3/23/25(1)(8) | 200 | 188,697 | |
1.456% to 1/14/26, 1/14/27(1)(8) | 226 | 199,572 | |
1.822% to 11/23/24, 11/23/25(1)(8) | 236 | 218,735 | |
Stifel Financial Corp., 4.00%, 5/15/30 | 266 | 247,414 | |
Sun Communities Operating, L.P.: | |||
2.30%, 11/1/28 | 141 | 120,738 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
Sun Communities Operating, L.P.: (continued) | |||
2.70%, 7/15/31 | $ | 112 | $ 90,384 |
4.20%, 4/15/32 | 328 | 298,627 | |
Synovus Bank/Columbus, GA, 4.00% to 10/29/25, 10/29/30(8) | 250 | 242,606 | |
Synovus Financial Corp.: | |||
3.125%, 11/1/22 | 156 | 155,803 | |
5.90% to 2/7/24, 2/7/29(8) | 35 | 33,840 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(8) | 240 | 221,194 | |
Toronto-Dominion Bank (The), 2.09%, (SOFR + 0.59%), 9/10/26(3) | 467 | 454,288 | |
Truist Financial Corp., 5.10% to 3/1/30(7)(8)(9) | 409 | 372,190 | |
UBS AG, 1.25%, 6/1/26(1) | 331 | 294,484 | |
UBS Group AG: | |||
2.095% to 2/11/31, 2/11/32(1)(8) | 359 | 285,403 | |
4.375% to 2/10/31(1)(8)(9) | 219 | 160,768 | |
UniCredit SpA, 5.459% to 6/30/30, 6/30/35(1)(8) | 200 | 161,800 | |
United Overseas Bank, Ltd., 3.863% to 10/7/27, 10/7/32(1)(8) | 249 | 238,427 | |
Westpac Banking Corp., 3.02% to 11/18/31, 11/18/36(8) | 223 | 179,819 | |
$ 31,160,287 | |||
Government - Multinational — 1.9% | |||
Asian Development Bank, 3.125%, 9/26/28 | $ | 540 | $ 536,795 |
European Bank for Reconstruction & Development, 1.50%, 2/13/25 | 475 | 456,182 | |
European Investment Bank: | |||
1.625%, 5/13/31(7) | 925 | 820,634 | |
2.375%, 5/24/27(7) | 1,026 | 991,486 | |
2.875%, 6/13/25(1) | 1,892 | 1,881,531 | |
Inter-American Development Bank, 0.875%, 4/3/25 | 377 | 354,588 | |
International Bank for Reconstruction & Development: | |||
1.63%, (SOFR + 0.13%), 1/13/23(3) | 621 | 621,071 | |
3.125%, 11/20/25 | 1,200 | 1,200,508 | |
International Finance Corp., 1.59%, (SOFR + 0.09%), 4/3/24(3) | 246 | 246,021 | |
$ 7,108,816 | |||
Government - Regional — 0.2% | |||
Kommuninvest I Sverige AB, 0.375%, 6/19/24(1) | $ | 720 | $ 682,393 |
$ 682,393 | |||
Industrial — 0.6% | |||
Imola Merger Corp., 4.75%, 5/15/29(1) | $ | 264 | $ 221,757 |
Jabil, Inc.: | |||
3.00%, 1/15/31 | 881 | 740,790 | |
3.60%, 1/15/30 | 493 | 439,546 |
Security | Principal Amount (000's omitted) | Value | |
Industrial (continued) | |||
Owens Corning, 3.95%, 8/15/29 | $ | 631 | $ 585,928 |
Valmont Industries, Inc.: | |||
5.00%, 10/1/44 | 55 | 50,334 | |
5.25%, 10/1/54 | 340 | 325,072 | |
$ 2,363,427 | |||
Other Revenue — 0.2% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | $ | 675 | $ 613,737 |
$ 613,737 | |||
Technology — 0.4% | |||
DXC Technology Co., 2.375%, 9/15/28 | $ | 228 | $ 196,419 |
HP, Inc., 4.00%, 4/15/29 | 263 | 246,636 | |
Kyndryl Holdings, Inc.: | |||
2.05%, 10/15/26(1) | 380 | 320,159 | |
2.70%, 10/15/28(1)(7) | 151 | 120,407 | |
Seagate HDD Cayman: | |||
3.375%, 7/15/31 | 435 | 338,898 | |
4.091%, 6/1/29 | 320 | 275,801 | |
5.75%, 12/1/34(7) | 180 | 158,724 | |
$ 1,657,044 | |||
Utilities — 0.9% | |||
AES Corp. (The), 2.45%, 1/15/31 | $ | 675 | $ 543,559 |
American Water Capital Corp.: | |||
2.30%, 6/1/31 | 41 | 34,771 | |
2.95%, 9/1/27 | 193 | 181,267 | |
Avangrid, Inc., 3.15%, 12/1/24 | 141 | 137,833 | |
Clearway Energy Operating, LLC, 3.75%, 1/15/32(1) | 176 | 139,757 | |
Enel Finance International N.V., 1.375%, 7/12/26(1) | 567 | 498,224 | |
MidAmerican Energy Co.: | |||
3.15%, 4/15/50 | 215 | 168,997 | |
4.25%, 7/15/49 | 300 | 279,033 | |
NextEra Energy Capital Holdings, Inc., 1.90%, 6/15/28 | 371 | 322,955 | |
NextEra Energy Operating Partners, L.P.: | |||
4.25%, 9/15/24(1) | 34 | 32,594 | |
4.50%, 9/15/27(1) | 60 | 55,676 | |
Niagara Mohawk Power Corp., 1.96%, 6/27/30(1) | 233 | 193,004 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 664 | 578,918 | |
$ 3,166,588 | |||
Total Corporate Bonds (identified cost $71,277,725) | $ 62,819,790 |
Preferred Stocks — 0.3% |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels — 0.1% | |||
NuStar Energy, L.P., Series B, 7.673%, (3 mo. USD LIBOR + 5.643%)(3)(7) | 9,964 | $ 205,159 | |
$ 205,159 | |||
Real Estate Management & Development — 0.1% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 13,670 | $ 233,483 | |
Series A2, 6.375% | 12,000 | 236,520 | |
$ 470,003 | |||
Wireless Telecommunication Services — 0.1% | |||
United States Cellular Corp.: | |||
5.50% | 21,600 | $ 401,112 | |
6.25% | 2,200 | 45,100 | |
$ 446,212 | |||
Total Preferred Stocks (identified cost $1,468,576) | $ 1,121,374 |
Senior Floating-Rate Loans — 0.7%(10) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Automobiles — 0.0%(11) | |||
Bombardier Recreational Products, Inc., Term Loan, 3.666%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | $ | 68 | $ 62,528 |
$ 62,528 | |||
Diversified Telecommunication Services — 0.2% | |||
CenturyLink, Inc., Term Loan, 3.916%, (1 mo. USD LIBOR + 2.25%), 3/15/27 | $ | 320 | $ 294,420 |
Level 3 Financing, Inc., Term Loan, 3.416%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 74 | 68,955 | |
Ziggo Financing Partnership, Term Loan, 3.824%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | 325 | 303,672 | |
$ 667,047 | |||
Health Care Technology — 0.1% | |||
Change Healthcare Holdings, LLC, Term Loan, 4.166%, (1 mo. USD LIBOR + 2.50%), 3/1/24 | $ | 175 | $ 170,691 |
$ 170,691 | |||
IT Services — 0.1% | |||
Asurion, LLC: | |||
Term Loan, 4.791%, (1 mo. USD LIBOR + 3.125%), 11/3/23 | $ | 97 | $ 93,484 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
IT Services (continued) | |||
Asurion, LLC: (continued) | |||
Term Loan, 4.916%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | $ | 59 | $ 53,744 |
Informatica, LLC, Term Loan, 4.438%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 299 | 284,849 | |
$ 432,077 | |||
Real Estate Management & Development — 0.1% | |||
Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 4.416%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | $ | 290 | $ 273,024 |
$ 273,024 | |||
Software — 0.1% | |||
Hyland Software, Inc., Term Loan, 5.166%, (1 mo. USD LIBOR + 3.50%), 7/1/24 | $ | 204 | $ 197,786 |
Seattle Spinco, Inc., Term Loan, 4.416%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 69 | 66,172 | |
Ultimate Software Group, Inc. (The), Term Loan, 5.416%, (1 mo. USD LIBOR + 3.75%), 5/4/26 | 246 | 232,162 | |
$ 496,120 | |||
Specialty Retail — 0.1% | |||
Petsmart, Inc., Term Loan, 4.50%, (6 mo. USD LIBOR + 3.75%, Floor 0.75%), 2/11/28 | $ | 399 | $ 376,177 |
$ 376,177 | |||
Total Senior Floating-Rate Loans (identified cost $2,622,066) | $ 2,477,664 |
Sovereign Government Bonds — 0.7% |
Security | Principal Amount (000's omitted) | Value | |
Kreditanstalt fuer Wiederaufbau: | |||
0.75%, 9/30/30 | $ | 235 | $ 194,571 |
1.00%, 10/1/26 | 1,526 | 1,398,707 | |
2.00%, 9/29/22 | 1,048 | 1,047,807 | |
Total Sovereign Government Bonds (identified cost $2,793,626) | $ 2,641,085 |
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(12) | $ | 450 | $ 500,715 |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 435 | 365,487 | |
New York City, NY, 5.206%, 10/1/31(12) | 470 | 502,585 | |
San Francisco City and County, CA, (Social Bonds - Affordable Housing, 2016), 3.921%, 6/15/39 | 285 | 268,083 | |
$ 1,636,870 | |||
Special Tax Revenue — 0.6% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
2.361%, 6/1/26 | $ | 405 | $ 385,536 |
2.484%, 6/1/27 | 290 | 273,139 | |
2.534%, 6/1/28 | 360 | 333,086 | |
2.584%, 6/1/29 | 200 | 182,396 | |
2.984%, 6/1/33 | 220 | 193,640 | |
Connecticut, Special Tax Revenue, 5.459%, 11/1/30(12) | 300 | 320,043 | |
New York City Transitional Finance Authority, NY, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36(12) | 600 | 656,796 | |
$ 2,344,636 | |||
Water and Sewer — 0.6% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | $ | 130 | $ 130,996 |
Narragansett Bay Commission, RI, Wastewater System Revenue: | |||
Green Bonds, 2.094%, 9/1/30 | 170 | 147,495 | |
Green Bonds, 2.184%, 9/1/31 | 140 | 120,009 | |
Green Bonds, 2.264%, 9/1/32 | 125 | 105,868 | |
Green Bonds, 2.344%, 9/1/33 | 135 | 112,529 | |
San Diego County Water Authority, CA: | |||
Green Bonds, 1.531%, 5/1/30 | 145 | 121,401 | |
Green Bonds, 1.701%, 5/1/31 | 130 | 107,058 | |
Green Bonds, 1.951%, 5/1/34 | 75 | 58,768 | |
San Francisco City and County Public Utilities Commission, CA, Water Revenue, Green Bonds, 3.303%, 11/1/39 | 1,440 | 1,275,091 | |
$ 2,179,215 | |||
Total Taxable Municipal Obligations (identified cost $6,765,265) | $ 6,160,721 |
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 | $ 137,140 |
2.618%, 8/1/23 | 69 | 68,664 | |
2.668%, 8/1/24 | 240 | 236,998 | |
2.738%, 8/1/25 | 240 | 236,616 | |
3.435%, 8/1/34 | 220 | 221,656 | |
3.485%, 8/1/35 | 125 | 127,780 | |
3.585%, 8/1/37 | 225 | 237,938 | |
U.S. International Development Finance Corp.: | |||
3.22%, 9/15/29 | 337 | 335,287 | |
3.52%, 9/20/32 | 323 | 323,733 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $1,966,709) | $ 1,925,812 |
U.S. Government Agency Mortgage-Backed Securities — 3.3% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp., Pool #ZT0383, 3.50%, 3/1/48 | $ | 100 | $ 97,277 |
Federal National Mortgage Association: | |||
3.50%, 30-Year, TBA(13) | 3,354 | 3,224,948 | |
4.00%, 30-Year, TBA(13) | 5,749 | 5,668,152 | |
4.50%, 30-Year, TBA(13) | 1,450 | 1,455,551 | |
Pool #AN1909, 2.68%, 7/1/26 | 344 | 334,682 | |
Pool #BM3990, 4.00%, 3/1/48 | 264 | 264,245 | |
Pool #FM1867, 3.00%, 11/1/49 | 277 | 260,904 | |
Pool #FM6803, 2.00%, 4/1/51 | 238 | 207,934 | |
Pool #MA3149, 4.00%, 10/1/47 | 320 | 319,893 | |
Government National Mortgage Association II: | |||
Pool #CB2653, 2.50%, 3/20/51 | 320 | 291,466 | |
Pool #CB8629, 2.50%, 4/20/51 | 474 | 432,176 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $12,856,360) | $ 12,557,228 |
U.S. Treasury Obligations — 7.0% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: | |||
1.125%, 8/15/40 | $ | 99 | $ 68,438 |
1.375%, 8/15/50 | 497 | 327,370 | |
1.875%, 2/15/41 | 481 | 377,444 | |
1.875%, 2/15/51 | 227 | 170,383 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: (continued) | |||
1.875%, 11/15/51 | $ | 368 | $ 276,230 |
2.00%, 11/15/41 | 795 | 631,714 | |
2.00%, 8/15/51 | 338 | 261,382 | |
2.25%, 5/15/41 | 3,172 | 2,648,291 | |
2.25%, 2/15/52 | 523 | 430,576 | |
U.S. Treasury Notes: | |||
0.125%, 12/31/22 | 1,098 | 1,084,902 | |
0.125%, 12/15/23 | 131 | 125,724 | |
0.125%, 1/15/24 | 131 | 125,422 | |
0.125%, 2/15/24 | 132 | 126,130 | |
0.25%, 3/15/24 | 1,022 | 975,970 | |
0.25%, 6/30/25 | 89 | 81,955 | |
0.375%, 10/31/23 | 109 | 105,347 | |
0.375%, 4/15/24 | 345 | 329,394 | |
0.375%, 9/30/27 | 166 | 144,417 | |
0.75%, 11/15/24 | 105 | 99,578 | |
0.875%, 11/15/30 | 54 | 45,607 | |
1.00%, 7/31/28 | 155 | 137,108 | |
1.125%, 1/15/25 | 301 | 287,102 | |
1.125%, 2/29/28 | 1,356 | 1,219,553 | |
1.25%, 12/31/26 | 1,384 | 1,279,362 | |
1.25%, 3/31/28 | 581 | 524,988 | |
1.25%, 4/30/28 | 1,022 | 922,036 | |
1.25%, 6/30/28 | 303 | 272,617 | |
1.375%, 10/31/28 | 33 | 29,758 | |
1.375%, 11/15/31 | 612 | 530,910 | |
1.50%, 1/31/27 | 152 | 141,939 | |
1.625%, 5/15/31 | 107 | 95,631 | |
1.743%, (3 mo. Treasury Bill Rate - 0.015%), 1/31/24(3) | 264 | 264,308 | |
1.875%, 2/28/27 | 3,887 | 3,689,613 | |
1.875%, 2/15/32 | 610 | 552,717 | |
2.125%, 3/31/24 | 2,650 | 2,611,596 | |
2.625%, 4/15/25 | 310 | 306,670 | |
2.75%, 4/30/27 | 824 | 812,960 | |
2.875%, 4/30/29 | 4,465 | 4,413,373 | |
Total U.S. Treasury Obligations (identified cost $28,536,630) | $ 26,528,515 |
Short-Term Investments — 1.9% | |||
Affiliated Fund — 1.7% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 1.38%(14) | 6,228,467 | $ 6,228,467 | |
Total Affiliated Fund (identified cost $6,228,467) | $ 6,228,467 | ||
Securities Lending Collateral — 0.2% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56%(15) | 822,318 | $ 822,318 | |
Total Securities Lending Collateral (identified cost $822,318) | $ 822,318 | ||
Total Short-Term Investments (identified cost $7,050,785) | $ 7,050,785 | ||
Total Investments — 102.2% (identified cost $349,095,470) | $384,661,234 | ||
Other Assets, Less Liabilities — (2.2)% | $ (8,125,419) | ||
Net Assets — 100.0% | $ 376,535,815 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At June 30, 2022, the aggregate value of these securities is $61,952,342 or 16.5% of the Fund's net assets. |
(2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at June 30, 2022. |
(3) | Variable rate security. The stated interest rate represents the rate in effect at June 30, 2022. |
(4) | Represents an investment in an issuer that may be deemed to be an affiliate (see Note 9). |
(5) | Non-income producing security. |
(6) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At June 30, 2022, the aggregate value of these securities is $195,679 or less than 0.05% of the Fund’s net assets. |
(7) | All or a portion of this security was on loan at June 30, 2022. The aggregate market value of securities on loan at June 30, 2022 was $3,144,324. |
(8) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(9) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(10) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate ("LIBOR") or the Secured Overnight Financing Rate ("SOFR") and secondarily, the prime rate offered by one or more major United States banks (the "Prime Rate"). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(11) | Amount is less than 0.05%. |
(12) | 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. |
(13) | 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. |
(14) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2022. |
(15) | Represents investment of cash collateral received in connection with securities lending. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 35 | Long | 9/30/22 | $ 7,350,547 | $ (40,429) |
U.S. 5-Year Treasury Note | 38 | Long | 9/30/22 | 4,265,500 | (35,096) |
U.S. Long Treasury Bond | 47 | Long | 9/21/22 | 6,515,375 | (57,723) |
U.S. Ultra-Long Treasury Bond | 30 | Long | 9/21/22 | 4,630,313 | (86,497) |
U.S. Long Treasury Bond | (1) | Short | 9/21/22 | (138,625) | 2,319 |
U.S. Ultra 10-Year Treasury Note | (106) | Short | 9/21/22 | (13,501,750) | 202,951 |
U.S. Ultra-Long Treasury Bond | (6) | Short | 9/21/22 | (926,063) | 20,509 |
$ 6,034 |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
USD | – United States Dollar |
June 30, 2022 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $341,179,317) - including $3,144,324 of securities on loan | $ 376,783,389 |
Investments in securities of affiliated issuers, at value (identified cost $7,916,153) | 7,877,845 |
Receivable for variation margin on open futures contracts | 39,983 |
Cash | 153,599 |
Deposits at broker for futures contracts | 438,000 |
Receivable for investments sold | 1,944,553 |
Receivable for capital shares sold | 312,081 |
Dividends and interest receivable | 1,172,824 |
Dividends and interest receivable - affiliated | 6,429 |
Securities lending income receivable | 722 |
Tax reclaims receivable | 46,374 |
Directors' deferred compensation plan | 156,983 |
Total assets | $388,932,782 |
Liabilities | |
Payable for investments purchased | $ 546,543 |
Payable for when-issued/delayed delivery/forward commitment securities | 10,445,732 |
Payable for capital shares redeemed | 155,057 |
Deposits for securities loaned | 822,318 |
Payable to affiliates: | |
Investment advisory fee | 128,210 |
Administrative fee | 37,675 |
Distribution and service fees | 2,530 |
Sub-transfer agency fee | 294 |
Directors' deferred compensation plan | 156,983 |
Accrued expenses | 101,625 |
Total liabilities | $ 12,396,967 |
Net Assets | $376,535,815 |
Sources of Net Assets | |
Paid-in capital | $ 295,525,777 |
Distributable earnings | 81,010,038 |
Net Assets | $376,535,815 |
Class I Shares | |
Net Assets | $ 364,356,597 |
Shares Outstanding | 155,253,323 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 2.35 |
Class F Shares | |
Net Assets | $ 12,179,218 |
Shares Outstanding | 5,210,406 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 2.34 |
Six Months Ended | |
June 30, 2022 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $2,714) | $ 1,801,979 |
Dividend income - affiliated issuers | 8,469 |
Interest and other income (net of foreign taxes withheld of $622) | 2,293,481 |
Interest income - affiliated issuers | 16,700 |
Securities lending income, net | 5,777 |
Total investment income | $ 4,126,406 |
Expenses | |
Investment advisory fee | $ 845,090 |
Administrative fee | 247,343 |
Distribution and service fees: | |
Class F | 16,387 |
Directors' fees and expenses | 9,819 |
Custodian fees | 10,333 |
Transfer agency fees and expenses | 82,602 |
Accounting fees | 69,698 |
Professional fees | 22,621 |
Reports to shareholders | 7,909 |
Miscellaneous | 10,733 |
Total expenses | $ 1,322,535 |
Waiver and/or reimbursement of expenses by affiliate | $ (914) |
Net expenses | $ 1,321,621 |
Net investment income | $ 2,804,785 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 1,298,494 |
Investment securities - affiliated issuers | 971 |
Futures contracts | (365,560) |
Net realized gain | $ 933,905 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (74,020,083) |
Investment securities - affiliated issuers | (19,248) |
Futures contracts | 181,444 |
Foreign currency | (1,833) |
Net change in unrealized appreciation (depreciation) | $(73,859,720) |
Net realized and unrealized loss | $(72,925,815) |
Net decrease in net assets from operations | $(70,121,030) |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 2,804,785 | $ 4,584,745 |
Net realized gain | 933,905 | 37,979,705 |
Net change in unrealized appreciation (depreciation) | (73,859,720) | 18,037,454 |
Net increase (decrease) in net assets from operations | $ (70,121,030) | $ 60,601,904 |
Distributions to shareholders: | ||
Class I | $ — | $ (18,133,416) |
Class F | — | (482,625) |
Total distributions to shareholders | $ — | $ (18,616,041) |
Capital share transactions: | ||
Class I | $ (13,700,391) | $ (3,410,574) |
Class F | 1,437,218 | 4,225,654 |
Net increase (decrease) in net assets from capital share transactions | $ (12,263,173) | $ 815,080 |
Net increase (decrease) in net assets | $ (82,384,203) | $ 42,800,943 |
Net Assets | ||
At beginning of period | $ 458,920,018 | $ 416,119,075 |
At end of period | $376,535,815 | $458,920,018 |
Class I | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 2.78 | $ 2.52 | $ 2.29 | $ 1.94 | $ 2.23 | $ 2.05 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.02 | $ 0.03 | $ 0.03 | $ 0.04 | $ 0.04 | $ 0.04 |
Net realized and unrealized gain (loss) | (0.45) | 0.34 | 0.31 | 0.43 | (0.08) | 0.20 |
Total income (loss) from operations | $ (0.43) | $ 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 period | $ 2.35 | $ 2.78 | $ 2.52 | $ 2.29 | $ 1.94 | $ 2.23 |
Total Return(2) | (15.47)% (3) | 15.12% | 15.26% | 24.40% | (2.67)% | 12.16% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $364,357 | $445,917 | $408,223 | $362,392 | $296,345 | $329,060 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.63% (5) | 0.63% | 0.63% | 0.62% | 0.72% | 0.69% |
Net expenses | 0.63% (5)(6) | 0.63% | 0.63% | 0.62% | 0.70% | 0.68% |
Net investment income | 1.37% (5) | 1.04% | 1.39% | 1.68% | 1.66% | 1.73% |
Portfolio Turnover | 43% (3)(7) | 93% (7) | 104% (7) | 70% (7) | 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) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | The investment adviser reduced a portion of its advisory fee (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
(7) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class F | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 2.77 | $ 2.52 | $ 2.30 | $ 1.95 | $ 2.24 | $ 2.08 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.01 | $ 0.02 | $ 0.03 | $ 0.03 | $ 0.03 | $ 0.03 |
Net realized and unrealized gain (loss) | (0.44) | 0.34 | 0.30 | 0.44 | (0.07) | 0.19 |
Total income (loss) from operations | $ (0.43) | $ 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 period | $ 2.34 | $ 2.77 | $ 2.52 | $ 2.30 | $ 1.95 | $ 2.24 |
Total Return(2) | (15.52)% (3) | 14.72% | 14.76% | 24.28% | (2.65)% | 11.01% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $12,179 | $13,003 | $ 7,896 | $ 5,023 | $1,920 | $ 1,540 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.88% (5) | 0.88% | 0.88% | 0.86% | 0.96% | 1.40% |
Net expenses | 0.88% (5)(6) | 0.88% | 0.88% | 0.86% | 0.96% | 1.08% |
Net investment income | 1.13% (5) | 0.79% | 1.13% | 1.44% | 1.40% | 1.30% |
Portfolio Turnover | 43% (3)(7) | 93% (7) | 104% (7) | 70% (7) | 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) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | The investment adviser reduced a portion of its advisory fee (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
(7) | Includes the effect of To-Be-Announced (TBA) transactions. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 26,603,988 | $ — | $ 26,603,988 |
Collateralized Mortgage Obligations | — | 5,685,431 | — | 5,685,431 |
Commercial Mortgage-Backed Securities | — | 17,334,533 | — | 17,334,533 |
Common Stocks | 211,507,448 (1) | — | — | 211,507,448 |
Convertible Bonds | — | 246,860 | — | 246,860 |
Corporate Bonds | — | 62,819,790 | — | 62,819,790 |
Preferred Stocks | 1,121,374 | — | — | 1,121,374 |
Senior Floating-Rate Loans | — | 2,477,664 | — | 2,477,664 |
Sovereign Government Bonds | — | 2,641,085 | — | 2,641,085 |
Taxable Municipal Obligations | — | 6,160,721 | — | 6,160,721 |
U.S. Government Agencies and Instrumentalities | — | 1,925,812 | — | 1,925,812 |
U.S. Government Agency Mortgage-Backed Securities | — | 12,557,228 | — | 12,557,228 |
U.S. Treasury Obligations | — | 26,528,515 | — | 26,528,515 |
Short-Term Investments: | ||||
Affiliated Fund | 6,228,467 | — | — | 6,228,467 |
Securities Lending Collateral | 822,318 | — | — | 822,318 |
Total Investments | $219,679,607 | $164,981,627 | $ — | $384,661,234 |
Futures Contracts | $ 225,779 | $ — | $ — | $ 225,779 |
Total | $219,905,386 | $164,981,627 | $ — | $384,887,013 |
Liability Description | ||||
Futures Contracts | $ (219,745) | $ — | $ — | $ (219,745) |
Total | $ (219,745) | $ — | $ — | $ (219,745) |
(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 | 0.410% |
Over $500 million up to and including $1 billion | 0.360% |
Over $1 billion | 0.325% |
Aggregate cost | $349,626,692 |
Gross unrealized appreciation | $ 57,123,536 |
Gross unrealized depreciation | (22,082,960) |
Net unrealized appreciation | $ 35,040,576 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $225,779 (1) | $(219,745) (1) |
(1) | Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Statement of Operations Caption | |
Net realized gain (loss): | |
Investment securities(1) | $ 1,076 |
Futures contracts | (365,560) |
Total | $(364,484) |
Change in unrealized appreciation (depreciation): | |
Investment securities(1) | $ 1,210 |
Futures contracts | 181,444 |
Total | $ 182,654 |
(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 | $822,318 | $ — | $ — | $ — | $822,318 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Units/Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2017-CLS, Class A, 2.024%, (1 mo. USD LIBOR + 0.70%), 11/15/34 | $685,150 | $ — | $ — | $ — | $ (6,516) | $ 678,577 | $ 4,017 | $ 685,000 |
Series 2017-CLS, Class E, 3.274%, (1 mo. USD LIBOR + 1.95%), 11/15/34 | 78,896 | — | — | — | (1,927) | 76,969 | 967 | 79,000 |
Series 2017-CLS, Class F, 3.924%, (1 mo. USD LIBOR + 2.60%), 11/15/34 | 168,469 | — | — | — | (4,212) | 164,105 | 2,468 | 169,000 |
Series 2019-BPR, Class A, 2.974%, (1 mo. USD LIBOR + 1.65%), 5/15/36 | 533,095 | — | (66,412) | — | (10,171) | 456,512 | 4,993 | 472,588 |
Series 2019-BPR, Class B, 3.674%, (1 mo. USD LIBOR + 2.35%), 5/15/36 | 178,500 | — | — | — | 373 | 178,934 | 2,482 | 187,000 |
Series 2019-BPR, Class C, 4.624%, (1 mo. USD LIBOR + 3.30%), 5/15/36 | 91,069 | — | — | — | 3,212 | 94,281 | 1,773 | 100,000 |
Short-Term Investments | ||||||||
Cash Reserves Fund | 232,492 | 44,420,856 | (44,654,312) | 971 | (7) | — | 1,243 | — |
Liquidity Fund | — | 23,025,530 | (16,797,063) | — | — | 6,228,467 | 7,226 | 6,228,467 |
Total | $ 971 | $ (19,248) | $7,877,845 | $25,169 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 3,933,175 | $ 10,034,253 | 9,350,542 | $ 25,017,694 | |
Reinvestment of distributions | — | — | 6,842,798 | 18,133,416 | |
Shares redeemed | (9,331,538) | (23,734,644) | (17,282,540) | (46,561,684) | |
Net decrease | (5,398,363) | $(13,700,391) | (1,089,200) | $ (3,410,574) | |
Class F | |||||
Shares sold | 1,621,822 | $ 4,176,819 | 1,857,812 | $ 5,015,150 | |
Reinvestment of distributions | — | — | 182,813 | 482,625 | |
Shares redeemed | (1,108,344) | (2,739,601) | (471,455) | (1,272,121) | |
Net increase | 513,478 | $ 1,437,218 | 1,569,170 | $ 4,225,654 |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Secretary, Vice President and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Director and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Average Annual Total Returns1,2 | Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Fund at NAV | 07/16/1991 | 07/16/1991 | (21.99)% | (18.73)% | 6.09% | 8.14% |
Russell Midcap® Index | — | — | (21.57)% | (17.30)% | 7.96% | 11.28% |
% Total Annual Operating Expense Ratios3 | |
0.96% |
Top 10 Holdings (% of net assets)* | |
Sysco Corp. | 3.1% |
Teleflex, Inc. | 2.9 |
Synopsys, Inc. | 2.5 |
Cooper Cos., Inc. (The) | 2.5 |
Equity LifeStyle Properties, Inc. | 2.5 |
Nordson Corp. | 2.3 |
Graco, Inc. | 2.3 |
Electronic Arts, Inc. | 2.2 |
Tyler Technologies, Inc. | 2.2 |
Fair Isaac Corp. | 2.2 |
Total | 24.7% |
* | Excludes cash and cash equivalents. |
1 | Russell Midcap® Index is an unmanaged index of U.S. mid-cap stocks. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (1/1/22) | Ending Account Value (6/30/22) | Expenses Paid During Period* (1/1/22 – 6/30/22) | Annualized Expense Ratio | |
Actual | ||||
$1,000.00 | $ 780.10 | $4.37 | 0.99% | |
Hypothetical | ||||
(5% return per year before expenses) | ||||
$1,000.00 | $1,019.89 | $4.96 | 0.99% |
* | Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2021. Expenses shown do not include insurance-related charges or direct expenses of Qualified Plans. |
Common Stocks — 97.3% |
Security | Shares | Value | |
Auto Components — 4.0% | |||
Aptiv PLC(1) | 5,621 | $ 500,662 | |
Dorman Products, Inc.(1) | 5,170 | 567,201 | |
$ 1,067,863 | |||
Banks — 4.6% | |||
Commerce Bancshares, Inc. | 6,181 | $ 405,782 | |
First Republic Bank | 1,860 | 268,212 | |
M&T Bank Corp. | 3,333 | 531,247 | |
$ 1,205,241 | |||
Building Products — 2.0% | |||
Trex Co., Inc.(1) | 9,549 | $ 519,657 | |
$ 519,657 | |||
Capital Markets — 5.9% | |||
LPL Financial Holdings, Inc. | 1,782 | $ 328,743 | |
MarketAxess Holdings, Inc. | 1,532 | 392,207 | |
Raymond James Financial, Inc. | 5,123 | 458,048 | |
Tradeweb Markets, Inc., Class A | 5,620 | 383,565 | |
$ 1,562,563 | |||
Chemicals — 2.0% | |||
Quaker Chemical Corp. | 3,626 | $ 542,160 | |
$ 542,160 | |||
Commercial Services & Supplies — 2.0% | |||
Copart, Inc.(1) | 2,448 | $ 265,999 | |
Rentokil Initial PLC ADR | 8,862 | 257,973 | |
$ 523,972 | |||
Communications Equipment — 2.4% | |||
F5, Inc.(1) | 1,745 | $ 267,055 | |
Motorola Solutions, Inc. | 1,772 | 371,411 | |
$ 638,466 | |||
Containers & Packaging — 2.1% | |||
AptarGroup, Inc. | 5,315 | $ 548,561 | |
$ 548,561 | |||
Distributors — 1.0% | |||
Pool Corp. | 772 | $ 271,150 | |
$ 271,150 |
Security | Shares | Value | |
Electric Utilities — 2.1% | |||
Alliant Energy Corp. | 9,472 | $ 555,154 | |
$ 555,154 | |||
Electrical Equipment — 2.7% | |||
AMETEK, Inc. | 4,254 | $ 467,472 | |
Generac Holdings, Inc.(1) | 1,225 | 257,961 | |
$ 725,433 | |||
Electronic Equipment, Instruments & Components — 1.3% | |||
TE Connectivity, Ltd. | 3,027 | $ 342,505 | |
$ 342,505 | |||
Energy Equipment & Services — 2.0% | |||
Baker Hughes Co. | 18,615 | $ 537,415 | |
$ 537,415 | |||
Entertainment — 2.2% | |||
Electronic Arts, Inc. | 4,887 | $ 594,504 | |
$ 594,504 | |||
Equity Real Estate Investment Trusts (REITs) — 8.6% | |||
Equity LifeStyle Properties, Inc. | 9,357 | $ 659,388 | |
Lamar Advertising Co., Class A | 5,975 | 525,621 | |
Mid-America Apartment Communities, Inc. | 3,150 | 550,210 | |
Rexford Industrial Realty, Inc. | 9,301 | 535,645 | |
$ 2,270,864 | |||
Food & Staples Retailing — 3.1% | |||
Sysco Corp. | 9,547 | $ 808,726 | |
$ 808,726 | |||
Health Care Equipment & Supplies — 6.5% | |||
Cooper Cos., Inc. (The) | 2,127 | $ 666,006 | |
IDEXX Laboratories, Inc.(1) | 763 | 267,607 | |
Teleflex, Inc. | 3,167 | 778,607 | |
$ 1,712,220 | |||
Health Care Providers & Services — 1.0% | |||
R1 RCM, Inc.(1) | 12,444 | $ 260,826 | |
$ 260,826 | |||
Hotels, Restaurants & Leisure — 1.0% | |||
Wyndham Hotels & Resorts, Inc. | 3,937 | $ 258,740 | |
$ 258,740 |
Security | Shares | Value | |
Insurance — 3.7% | |||
RLI Corp. | 4,813 | $ 561,147 | |
Ryan Specialty Holdings, Inc.(1) | 10,799 | 423,213 | |
$ 984,360 | |||
Interactive Media & Services — 1.2% | |||
CarGurus, Inc.(1) | 15,133 | $ 325,208 | |
$ 325,208 | |||
IT Services — 3.1% | |||
Euronet Worldwide, Inc.(1) | 2,532 | $ 254,694 | |
VeriSign, Inc.(1) | 3,320 | 555,535 | |
$ 810,229 | |||
Life Sciences Tools & Services — 2.1% | |||
Waters Corp.(1) | 1,659 | $ 549,096 | |
$ 549,096 | |||
Machinery — 6.6% | |||
Graco, Inc. | 10,186 | $ 605,150 | |
Nordson Corp. | 3,017 | 610,761 | |
Westinghouse Air Brake Technologies Corp. | 6,421 | 527,036 | |
$ 1,742,947 | |||
Multiline Retail — 2.1% | |||
Dollar General Corp. | 2,220 | $ 544,877 | |
$ 544,877 | |||
Multi-Utilities — 2.1% | |||
CMS Energy Corp. | 8,301 | $ 560,317 | |
$ 560,317 | |||
Pharmaceuticals — 2.0% | |||
Royalty Pharma PLC, Class A | 12,796 | $ 537,944 | |
$ 537,944 | |||
Road & Rail — 1.5% | |||
Landstar System, Inc. | 2,776 | $ 403,686 | |
$ 403,686 | |||
Semiconductors & Semiconductor Equipment — 2.0% | |||
Microchip Technology, Inc. | 9,267 | $ 538,227 | |
$ 538,227 | |||
Software — 8.0% | |||
Ceridian HCM Holding, Inc.(1) | 6,501 | $ 306,067 | |
Fair Isaac Corp.(1) | 1,422 | 570,080 |
Security | Shares | Value | |
Software (continued) | |||
Synopsys, Inc.(1) | 2,202 | $ 668,747 | |
Tyler Technologies, Inc.(1) | 1,728 | 574,526 | |
$ 2,119,420 | |||
Specialty Retail — 3.3% | |||
Five Below, Inc.(1) | 2,206 | $ 250,227 | |
Floor & Decor Holdings, Inc., Class A(1) | 3,808 | 239,752 | |
O'Reilly Automotive, Inc.(1) | 427 | 269,761 | |
RH (1) | 535 | 113,559 | |
$ 873,299 | |||
Trading Companies & Distributors — 3.1% | |||
Core & Main, Inc., Class A(1) | 18,582 | $ 414,379 | |
United Rentals, Inc.(1) | 1,631 | 396,186 | |
$ 810,565 | |||
Total Common Stocks (identified cost $25,531,884) | $25,746,195 |
Short-Term Investments — 5.3% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 1.38%(2) | 1,400,932 | $ 1,400,932 | |
Total Short-Term Investments (identified cost $1,400,932) | $ 1,400,932 | ||
Total Investments — 102.6% (identified cost $26,932,816) | $27,147,127 | ||
Other Assets, Less Liabilities — (2.6)% | $ (694,312) | ||
Net Assets — 100.0% | $ 26,452,815 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2022. |
Abbreviations: | |
ADR | – American Depositary Receipt |
June 30, 2022 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $25,531,884) | $ 25,746,195 |
Investments in securities of affiliated issuers, at value (identified cost $1,400,932) | 1,400,932 |
Receivable for investments sold | 862,319 |
Receivable for capital shares sold | 77,560 |
Dividends receivable | 26,189 |
Dividends receivable - affiliated | 239 |
Securities lending income receivable | 41 |
Directors' deferred compensation plan | 18,775 |
Total assets | $28,132,250 |
Liabilities | |
Due to custodian - foreign currency, at value (cost $127,271) | $ 127,271 |
Payable for investments purchased | 1,480,909 |
Payable for capital shares redeemed | 15,136 |
Payable to affiliates: | |
Investment advisory fee | 14,684 |
Administrative fee | 2,716 |
Sub-transfer agency fee | 112 |
Directors' deferred compensation plan | 18,775 |
Accrued expenses | 19,832 |
Total liabilities | $ 1,679,435 |
Net Assets | $26,452,815 |
Sources of Net Assets | |
Paid-in capital | $ 20,250,038 |
Distributable earnings | 6,202,777 |
Net Assets | $26,452,815 |
Net Assets | $ 26,452,815 |
Shares Outstanding | 904,822 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 29.24 |
Six Months Ended | |
June 30, 2022 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $44) | $ 187,398 |
Dividend income - affiliated issuers | 458 |
Securities lending income, net | 196 |
Total investment income | $ 188,052 |
Expenses | |
Investment advisory fee | $ 101,380 |
Administrative fee | 18,716 |
Directors' fees and expenses | 729 |
Custodian fees | 1,552 |
Transfer agency fees and expenses | 9,544 |
Accounting fees | 3,595 |
Professional fees | 13,819 |
Reports to shareholders | 2,572 |
Miscellaneous | 2,783 |
Total expenses | $ 154,690 |
Waiver and/or reimbursement of expenses by affiliate | $ (60) |
Net expenses | $ 154,630 |
Net investment income | $ 33,422 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 100,492 |
Investment securities - affiliated issuers | 19 |
Foreign currency transactions | (68) |
Net realized gain | $ 100,443 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (7,929,148) |
Foreign currency | (544) |
Net change in unrealized appreciation (depreciation) | $(7,929,692) |
Net realized and unrealized loss | $(7,829,249) |
Net decrease in net assets from operations | $(7,795,827) |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income (loss) | $ 33,422 | $ (32,312) |
Net realized gain | 100,443 | 5,967,709 |
Net change in unrealized appreciation (depreciation) | (7,929,692) | (827,487) |
Net increase (decrease) in net assets from operations | $ (7,795,827) | $ 5,107,910 |
Distributions to shareholders | $ — | $ (1,642,396) |
Net decrease in net assets from capital share transactions | $ (2,722,946) | $ (2,366,746) |
Net increase (decrease) in net assets | $(10,518,773) | $ 1,098,768 |
Net Assets | ||
At beginning of period | $ 36,971,588 | $ 35,872,820 |
At end of period | $ 26,452,815 | $36,971,588 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | ||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||
Net asset value — Beginning of period | $ 37.47 | $ 34.10 | $ 32.89 | $ 27.48 | $ 31.96 | $ 28.82 | |
Income (Loss) From Operations | |||||||
Net investment income (loss)(1) | $ 0.04 | $ (0.03) | $ 0.08 | $ 0.14 | $ 0.15 | $ 0.15 | |
Net realized and unrealized gain (loss) | (8.27) | 5.07 | 3.63 | 8.21 | (1.09) | 3.20 | |
Total income (loss) from operations | $ (8.23) | $ 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 period | $ 29.24 | $ 37.47 | $ 34.10 | $ 32.89 | $ 27.48 | $ 31.96 | |
Total Return(2) | (21.99)% (3) | 15.03% | 12.24% | 31.36% | (4.43)% | 11.65% | |
Ratios/Supplemental Data | |||||||
Net assets, end of period (000’s omitted) | $26,453 | $36,972 | $35,873 | $36,066 | $31,929 | $41,239 | |
Ratios (as a percentage of average daily net assets):(4) | |||||||
Total expenses | 0.99% (5) | 0.96% | 0.99% | 1.00% | 1.01% | 1.04% | |
Net expenses | 0.99% (5)(6) | 0.96% | 0.99% | 0.99% | 0.99% | 0.99% | |
Net investment income (loss) | 0.21% (5) | (0.09)% | 0.26% | 0.44% | 0.46% | 0.49% | |
Portfolio Turnover | 80% (3) | 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) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 25,746,195(1) | $ — | $ — | $ 25,746,195 |
Short-Term Investments | 1,400,932 | — | — | 1,400,932 |
Total Investments | $27,147,127 | $ — | $ — | $27,147,127 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Aggregate cost | $27,000,969 |
Gross unrealized appreciation | $ 998,316 |
Gross unrealized depreciation | (852,158) |
Net unrealized appreciation | $ 146,158 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units/Shares, end of period |
Short-Term Investments | ||||||||
Cash Reserves Fund | $26,304 | $1,937,431 | $(1,963,754) | $ 19 | $ — | $ — | $ 42 | — |
Liquidity Fund | — | 2,555,327 | (1,154,395) | — | — | 1,400,932 | 416 | 1,400,932 |
Total | $ 19 | $ — | $1,400,932 | $458 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | 20,280 | $ 673,513 | 58,905 | $ 2,163,794 | |
Reinvestment of distributions | — | — | 45,813 | 1,642,396 | |
Shares redeemed | (102,030) | (3,396,459) | (170,099) | (6,172,936) | |
Net decrease | (81,750) | $(2,722,946) | (65,381) | $(2,366,746) |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Secretary, Vice President and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Director and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) The registrant’s principal executive and principal financial officers have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 Act, as amended (the “1940 Act”) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (“Exchange Act”), as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics- Not applicable (please see Item 2) | |
(a)(2)(i) | President’s Section 302 certification. | |
(a)(2)(ii) | Treasurer’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: August 22, 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/ John H. Streur | |
John H. Streur | ||
President |
Date: August 22, 2022
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer |
Date: August 22, 2022