Calvert
VP Investment Grade Bond Index Portfolio
March 31, 2021
Schedule of Investments (Unaudited)
Asset-Backed Securities — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
American Express Credit Account Master Trust, Series 2019-1, Class A, 2.87%, 10/15/24 | $ | 300 | $ 307,993 |
Avis Budget Rental Car Funding AESOP, LLC, Series 2019-1A, Class A, 3.45%, 3/20/23(1) | 300 | 306,775 | |
Total Asset-Backed Securities (identified cost $606,571) | $ 614,768 |
Commercial Mortgage-Backed Securities — 2.2% |
Security | Principal Amount (000's omitted) | Value | |
Citigroup Commercial Mortgage Trust: | |||
Series 2013-GC17, Class A4, 4.131%, 11/10/46 | $ | 422 | $ 454,925 |
Series 2014-GC21, Class A5, 3.855%, 5/10/47 | 645 | 700,349 | |
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A5, 2.85%, 12/10/45 | 625 | 644,295 | |
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4, 3.166%, 2/15/48 | 1,275 | 1,367,057 | |
Total Commercial Mortgage-Backed Securities (identified cost $3,009,673) | $ 3,166,626 |
Corporate Bonds — 27.7% |
Security | Principal Amount (000's omitted) | Value | |
Basic Materials — 0.9% | |||
Barrick North America Finance, LLC, 5.75%, 5/1/43 | $ | 100 | $ 132,079 |
Dow Chemical Co. (The), 4.375%, 11/15/42 | 100 | 113,732 | |
DuPont de Nemours, Inc., 2.169%, 5/1/23 | 500 | 502,263 | |
LYB International Finance BV, 5.25%, 7/15/43 | 100 | 121,935 | |
Reliance Steel & Aluminum Co., 4.50%, 4/15/23 | 200 | 213,352 | |
Sherwin-Williams Co. (The), 4.20%, 1/15/22 | 300 | 306,131 | |
$ 1,389,492 | |||
Communications — 4.2% | |||
AT&T, Inc.: | |||
4.90%, 6/15/42 | $ | 200 | $234,041 |
5.375%, 10/15/41 | 100 | 118,790 | |
5.45%, 3/1/47 | 1,000 | 1,256,320 | |
Charter Communications Operating, LLC / Charter Communications Operating Capital, 4.908%, 7/23/25 | 500 | 567,140 | |
Comcast Corp.: | |||
4.00%, 3/1/48 | 50 | 55,975 | |
4.15%, 10/15/28 | 100 | 114,516 | |
Discovery Communications, LLC, 4.125%, 5/15/29 | 200 | 221,199 | |
Motorola Solutions, Inc., 2.30%, 11/15/30 | 250 | 236,749 |
Security | Principal Amount (000's omitted) | Value | |
Communications (continued) | |||
NBCUniversal Media, LLC, 4.45%, 1/15/43 | $ | 200 | $ 236,901 |
Rogers Communications, Inc., 3.625%, 12/15/25 | 1,000 | 1,092,027 | |
T-Mobile USA, Inc., 3.50%, 4/15/25(1) | 250 | 269,970 | |
Verizon Communications, Inc.: | |||
1.68%, 10/30/30(1) | 340 | 315,982 | |
2.875%, 11/20/50 | 150 | 133,573 | |
Walt Disney Co. (The), 5.40%, 10/1/43 | 100 | 133,228 | |
WPP Finance 2010, 3.75%, 9/19/24 | 1,000 | 1,089,770 | |
$6,076,181 | |||
Consumer, Cyclical — 2.1% | |||
Cintas Corp. No. 2, 3.25%, 6/1/22 | $ | 350 | $358,692 |
Ford Motor Credit Co., LLC, 5.875%, 8/2/21 | 200 | 202,940 | |
General Motors Co., 5.00%, 4/1/35 | 1,000 | 1,153,632 | |
Lowe's Cos., Inc., 3.875%, 9/15/23 | 100 | 107,301 | |
McDonald's Corp., 3.60%, 7/1/30 | 300 | 327,607 | |
Starbucks Corp., 3.75%, 12/1/47 | 250 | 256,619 | |
VF Corp., 2.95%, 4/23/30 | 225 | 234,012 | |
Wal-Mart Stores, Inc., 6.50%, 8/15/37 | 250 | 367,018 | |
$3,007,821 | |||
Consumer, Non-cyclical — 4.9% | |||
AbbVie, Inc.: | |||
2.90%, 11/6/22 | $ | 200 | $207,470 |
3.20%, 11/21/29 | 300 | 319,367 | |
Alcon Finance Corp., 3.00%, 9/23/29(1) | 350 | 363,492 | |
Anheuser-Busch InBev Finance, Inc.: | |||
4.00%, 1/17/43 | 100 | 106,489 | |
4.625%, 2/1/44 | 1,000 | 1,143,898 | |
Bunge, Ltd. Finance Corp., 1.63%, 8/17/25 | 250 | 250,315 | |
CVS Health Corp., 4.30%, 3/25/28 | 282 | 320,423 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 65 | 76,350 | |
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30 | 400 | 418,708 | |
Equifax, Inc., 3.30%, 12/15/22 | 450 | 468,477 | |
Gilead Sciences, Inc., 3.70%, 4/1/24 | 100 | 107,749 | |
Kroger Co. (The): | |||
3.85%, 8/1/23 | 100 | 106,989 | |
3.875%, 10/15/46 | 250 | 261,981 | |
Laboratory Corporation of America Holdings, 4.00%, 11/1/23 | 100 | 107,502 | |
Molson Coors Brewing Co., 5.00%, 5/1/42 | 100 | 115,643 | |
Perrigo Finance Unlimited Co., 3.15%, 6/15/30 | 250 | 245,770 | |
Pfizer, Inc., 4.40%, 5/15/44 | 1,000 | 1,190,434 | |
STERIS Irish FinCo Unlimited Co., 3.75%, 3/15/51(2) | 100 | 100,914 | |
Sysco Corp., 5.95%, 4/1/30 | 250 | 312,726 | |
Takeda Pharmaceutical Co., Ltd., 3.175%, 7/9/50 | 400 | 383,111 | |
Tyson Foods, Inc., 3.95%, 8/15/24 | 100 | 109,285 | |
Viatris, Inc., 2.30%, 6/22/27(1) | 250 | 252,450 | |
Zoetis, Inc., 4.70%, 2/1/43 | 100 | 120,833 | |
$7,090,376 |
1
Calvert
VP Investment Grade Bond Index Portfolio
March 31, 2021
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Energy — 3.5% | |||
BP Capital Markets America, Inc., 3.633%, 4/6/30 | $ | 200 | $ 219,476 |
CNOOC Curtis Funding No. 1 Pty., Ltd., 4.50%, 10/3/23(1) | 100 | 108,344 | |
Colonial Pipeline Co., 6.58%, 8/28/32(1) | 100 | 123,640 | |
HollyFrontier Corp., 5.875%, 4/1/26 | 1,000 | 1,134,204 | |
Shell International Finance BV: | |||
2.25%, 1/6/23 | 200 | 206,844 | |
4.125%, 5/11/35 | 1,350 | 1,537,438 | |
4.55%, 8/12/43 | 100 | 119,107 | |
Texas Eastern Transmission, L.P., 2.80%, 10/15/22(1) | 400 | 410,172 | |
TransCanada PipeLines, Ltd., 4.875%, 1/15/26 | 1,000 | 1,150,311 | |
TransContinental Gas Pipe Line Co., LLC, 4.45%, 8/1/42 | 100 | 109,460 | |
$5,118,996 | |||
Financial — 6.2% | |||
American International Group, Inc., 4.875%, 6/1/22 | $ | 250 | $262,579 |
Bank of America Corp.: | |||
2.592% to 4/29/30, 4/29/31(3) | 500 | 499,558 | |
4.125%, 1/22/24 | 300 | 328,073 | |
Berkshire Hathaway Finance Corp., 4.30%, 5/15/43 | 1,000 | 1,181,006 | |
Boston Properties, L.P., 3.85%, 2/1/23 | 100 | 105,122 | |
Capital One Bank, 3.375%, 2/15/23 | 200 | 210,174 | |
Citigroup, Inc.: | |||
4.075% to 4/23/28, 4/23/29(3) | 500 | 556,594 | |
5.50%, 9/13/25 | 80 | 92,819 | |
Discover Financial Services, 3.85%, 11/21/22 | 200 | 210,266 | |
ERP Operating, L.P., 4.625%, 12/15/21 | 100 | 101,868 | |
Excalibur One 77B, LLC, 1.492%, 1/1/25 | 15 | 14,927 | |
Goldman Sachs Group, Inc. (The), 4.00%, 3/3/24 | 500 | 545,003 | |
HSBC Holdings PLC, 2.848% to 6/4/30, 6/4/31(3) | 400 | 400,519 | |
JPMorgan Chase & Co.: | |||
3.109% to 4/22/50, 4/22/51(3) | 300 | 294,365 | |
3.375%, 5/1/23 | 700 | 741,136 | |
MetLife, Inc., 4.875%, 11/13/43 | 100 | 125,808 | |
Morgan Stanley: | |||
4.10%, 5/22/23(4) | 500 | 534,830 | |
5.00%, 11/24/25(4) | 150 | 172,573 | |
PNC Bank N.A., 2.70%, 10/22/29 | 250 | 255,910 | |
Prudential Financial, Inc., 5.10%, 8/15/43 | 1,000 | 1,140,459 | |
Simon Property Group, L.P., 2.65%, 7/15/30 | 150 | 150,536 | |
US Bancorp, 3.10%, 4/27/26 | 250 | 268,613 | |
Wells Fargo & Co.: | |||
2.625%, 7/22/22 | 400 | 411,788 | |
3.196% to 6/17/26, 6/17/27(3) | 250 | 268,148 | |
Westpac Banking Corp., 3.35%, 3/8/27 | 200 | 219,713 | |
$9,092,387 | |||
Industrial — 2.3% | |||
BNSF Funding Trust I, 6.613% to 1/15/26, 12/15/55(3) | $ | 540 | $620,086 |
Carrier Global Corp., 3.577%, 4/5/50 | 375 | 368,907 |
Security | Principal Amount (000's omitted) | Value | |
Industrial (continued) | |||
Cummins, Inc., 4.875%, 10/1/43 | $ | 100 | $ 126,222 |
Deere & Co., 6.55%, 10/1/28 | 250 | 319,497 | |
General Electric Co., 3.45%, 5/1/27 | 250 | 271,707 | |
Lennox International, Inc., 1.70%, 8/1/27 | 300 | 295,376 | |
Parker-Hannifin Corp., 3.25%, 3/1/27 | 200 | 218,046 | |
Raytheon Technologies, Corp., 4.50%, 6/1/42 | 100 | 119,506 | |
Roper Technologies, Inc., 2.95%, 9/15/29 | 250 | 260,632 | |
The Boeing Co.: | |||
3.20%, 3/1/29 | 150 | 152,061 | |
4.875%, 5/1/25 | 100 | 111,426 | |
5.15%, 5/1/30 | 100 | 115,299 | |
United Parcel Service, Inc., 6.20%, 1/15/38 | 250 | 351,753 | |
$3,330,518 | |||
Technology — 2.2% | |||
Apple, Inc., 3.85%, 5/4/43 | $ | 1,100 | $1,246,013 |
Broadcom Corp. / Broadcom Cayman Finance, Ltd., 3.875%, 1/15/27 | 500 | 543,224 | |
Broadcom, Inc., 3.419%, 4/15/33(1) | 200 | 201,555 | |
Dell International, LLC / EMC Corp., 5.30%, 10/1/29(1) | 250 | 292,640 | |
International Business Machines Corp., 3.625%, 2/12/24 | 100 | 109,051 | |
Lam Research Corp., 3.75%, 3/15/26 | 325 | 360,467 | |
NetApp, Inc., 3.25%, 12/15/22 | 100 | 103,759 | |
Oracle Corp., 3.60%, 4/1/50 | 400 | 388,119 | |
$3,244,828 | |||
Utilities — 1.4% | |||
DTE Electric Co., 2.25%, 3/1/30 | $ | 300 | $299,555 |
Duke Energy Corp., 3.15%, 8/15/27 | 500 | 533,371 | |
PacifiCorp, 4.10%, 2/1/42 | 100 | 111,284 | |
Public Service Electric & Gas Co., 3.95%, 5/1/42 | 1,000 | 1,116,350 | |
$2,060,560 | |||
Total Corporate Bonds (identified cost $37,256,270) | $40,411,159 |
Sovereign Government Bonds — 0.7% |
Security | Principal Amount (000's omitted) | Value | |
Mexico Government International Bond, 5.55%, 1/21/45(5) | $ | 500 | $ 578,665 |
Province of Ontario Canada, 2.45%, 6/29/22 | 400 | 410,888 | |
Province of Quebec Canada, 2.625%, 2/13/23 | 75 | 78,289 | |
Total Sovereign Government Bonds (identified cost $972,366) | $ 1,067,842 |
2
Calvert
VP Investment Grade Bond Index Portfolio
March 31, 2021
Schedule of Investments (Unaudited) — continued
Taxable Municipal Obligations — 0.8% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.8% | |||
New York, NY, 3.60%, 8/1/28 | $ | 1,000 | $ 1,074,530 |
Total Taxable Municipal Obligations (identified cost $992,584) | $ 1,074,530 |
U.S. Government Agencies and Instrumentalities — 3.9% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
0.25%, 8/24/23 | $ | 1,000 | $ 1,000,467 |
6.75%, 3/15/31 | 1,300 | 1,886,044 | |
Federal National Mortgage Association: | |||
0.50%, 4/14/25 | 1,000 | 992,529 | |
0.75%, 10/8/27 | 350 | 337,235 | |
0.875%, 8/5/30 | 850 | 786,624 | |
2.00%, 1/5/22 | 400 | 405,966 | |
2.125%, 4/24/26 | 300 | 317,374 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $5,535,143) | $5,726,239 |
U.S. Government Agency Mortgage-Backed Securities — 26.4% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
2.00%, with various maturities to 2050 | $ | 3,572 | $ 3,607,812 |
2.50%, with various maturities to 2050 | 2,641 | 2,742,677 | |
3.00%, with maturity at 1/1/43 | 541 | 574,607 | |
3.50%, with various maturities to 2048 | 871 | 937,008 | |
4.00%, with various maturities to 2048 | 608 | 658,015 | |
4.50%, with various maturities to 2044 | 947 | 1,060,082 | |
5.00%, with various maturities to 2040 | 687 | 782,417 | |
6.00%, with various maturities to 2040 | 56 | 65,677 | |
6.50%, with maturity at 10/1/37 | 14 | 15,900 | |
Federal National Mortgage Association: | |||
1.50%, with maturity at 9/1/35 | 850 | 854,647 | |
2.00%, with various maturities to 2051 | 4,600 | 4,665,128 | |
2.253%, (12 mo. USD LIBOR + 1.723%), with maturity at 9/1/38(6) | 150 | 156,492 | |
2.50%, with various maturities to 2050 | 3,584 | 3,709,736 | |
3.00%, with various maturities to 2049 | 4,668 | 4,944,877 | |
3.50%, with various maturities to 2049 | 4,375 | 4,711,032 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
4.00%, with various maturities to 2047 | $ | 2,334 | $ 2,555,014 |
4.50%, with various maturities to 2044 | 1,439 | 1,610,838 | |
5.00%, with various maturities to 2034 | 77 | 87,359 | |
5.50%, with various maturities to 2038 | 309 | 356,292 | |
6.00%, with various maturities to 2038 | 291 | 344,190 | |
6.50%, with various maturities to 2036 | 64 | 74,607 | |
Government National Mortgage Association: | |||
2.50%, with various maturities to 2051 | 2,221 | 2,294,616 | |
4.00%, with various maturities to 2042 | 832 | 913,477 | |
4.50%, with maturity at 7/20/33 | 79 | 87,308 | |
5.00%, with various maturities to 2039 | 346 | 394,084 | |
5.50%, with maturity at 7/20/34 | 42 | 47,597 | |
6.00%, with various maturities to 2038 | 231 | 270,576 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $37,589,332) | $38,522,065 |
U.S. Treasury Obligations — 36.1% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: | |||
1.125%, 8/15/40 | $ | 750 | $ 610,137 |
1.375%, 8/15/50 | 1,000 | 780,625 | |
1.875%, 2/15/51 | 150 | 133,148 | |
2.25%, 8/15/49 | 650 | 628,786 | |
2.50%, 2/15/45 | 1,000 | 1,021,289 | |
3.00%, 5/15/47 | 1,000 | 1,119,727 | |
3.125%, 11/15/41 | 1,000 | 1,139,609 | |
3.125%, 8/15/44 | 1,600 | 1,821,437 | |
3.125%, 5/15/48 | 750 | 860,391 | |
3.75%, 11/15/43 | 1,045 | 1,307,515 | |
3.875%, 8/15/40 | 500 | 630,645 | |
4.375%, 5/15/41 | 700 | 943,359 | |
6.25%, 8/15/23 | 1,000 | 1,143,242 | |
8.00%, 11/15/21 | 1,000 | 1,049,362 | |
8.125%, 5/15/21 | 1,000 | 1,009,800 | |
U.S. Treasury Notes: | |||
0.125%, 2/28/23 | 950 | 949,480 | |
0.125%, 8/15/23 | 1,500 | 1,496,748 | |
0.375%, 4/30/25 | 800 | 790,141 | |
0.375%, 11/30/25 | 2,000 | 1,956,641 | |
0.375%, 1/31/26 | 1,500 | 1,462,969 | |
0.375%, 7/31/27 | 300 | 283,447 | |
0.50%, 8/31/27 | 750 | 713,042 | |
0.625%, 5/15/30 | 300 | 273,070 |
3
Calvert
VP Investment Grade Bond Index Portfolio
March 31, 2021
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Notes: (continued) | |||
0.625%, 8/15/30 | $ | 1,000 | $ 906,406 |
0.875%, 11/15/30(5) | 250 | 231,250 | |
1.125%, 2/29/28 | 500 | 491,328 | |
1.50%, 2/15/30 | 1,400 | 1,383,102 | |
1.625%, 11/15/22 | 2,500 | 2,560,352 | |
1.75%, 5/15/22 | 1,600 | 1,629,625 | |
1.875%, 7/31/22 | 1,250 | 1,279,492 | |
1.875%, 7/31/26 | 1,100 | 1,149,221 | |
2.00%, 2/15/22 | 2,000 | 2,033,927 | |
2.00%, 2/15/25 | 1,500 | 1,580,303 | |
2.125%, 9/30/24 | 2,750 | 2,905,493 | |
2.25%, 11/15/24 | 2,000 | 2,123,008 | |
2.25%, 3/31/26 | 1,000 | 1,064,824 | |
2.25%, 2/15/27 | 2,100 | 2,230,963 | |
2.25%, 11/15/27 | 1,750 | 1,852,915 | |
2.625%, 6/30/23 | 600 | 632,801 | |
2.625%, 2/15/29 | 1,000 | 1,081,895 | |
2.75%, 11/15/23 | 1,000 | 1,065,215 | |
2.75%, 2/15/24 | 3,000 | 3,209,238 | |
3.125%, 11/15/28 | 950 | 1,062,645 | |
Total U.S. Treasury Obligations (identified cost $50,283,214) | $52,598,613 |
Short-Term Investments — 1.0% | |||
Other — 0.9% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.07%(7) | 1,288,338 | $ 1,288,467 | |
Total Other (identified cost $1,288,467) | $ 1,288,467 | ||
Securities Lending Collateral — 0.1% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%(8) | 232,138 | $ 232,138 | |
Total Securities Lending Collateral (identified cost $232,138) | $ 232,138 | ||
Total Short-Term Investments (identified cost $1,520,605) | $ 1,520,605 | ||
Total Investments — 99.2% (identified cost $137,765,758) | $144,702,447 | ||
Other Assets, Less Liabilities — 0.8% | $ 1,170,382 | ||
Net Assets — 100.0% | $145,872,829 |
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 March 31, 2021, the aggregate value of these securities is $2,645,020 or 1.8% of the Fund's net assets. |
(2) | When-issued security. |
(3) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(4) | Represents an investment in an issuer that may be deemed to be an affiliate effective March 1, 2021. |
(5) | All or a portion of this security was on loan at March 31, 2021. The aggregate market value of securities on loan at March 31, 2021 was $799,503 and the total market value of the collateral received by the Fund was $820,849, comprised of cash of $232,138 and U.S. government and/or agencies securities of $588,711. |
(6) | Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at March 31, 2021. |
(7) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of March 31, 2021. |
4
Calvert
VP Investment Grade Bond Index Portfolio
March 31, 2021
Schedule of Investments (Unaudited) — continued
(8) | Represents investment of cash collateral received in connection with securities lending. |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
Currency Abbreviations: | |
USD | – United States Dollar |
The Fund did not have any open derivative instruments at March 31, 2021.
The Fund invested in issuers that may be deemed to be affiliated with Morgan Stanley. At March 31, 2021, the value of the Fund's investment in affiliated issuers and funds was $1,995,870, which represents 1.4% of the Fund's net assets. Transactions in affiliated issuers and funds by the Fund for the fiscal year to date ended March 31, 2021 were as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/Units, end of period |
Corporate Bonds | ||||||||
Morgan Stanley, 4.10%, 5/22/23(1) | $ — | $ — | $ — | $ — | $(3,415) | $ 534,830 | $1,708 | $ 500,000 |
Morgan Stanley, 5.00%, 11/24/25(1) | — | — | — | — | (2,680) | 172,573 | 625 | 150,000 |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | 1,886,432 | 7,588,704 | (8,186,669) | — | — | 1,288,467 | 430 | 1,288,338 |
Totals | $ — | $(6,095) | $1,995,870 | $2,763 |
(1) | May be deemed to be an affiliated issuer as of March 1, 2021. |
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the market value of the Fund's holdings as of March 31, 2021, based on the inputs used to value them:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $614,768 | $ — | $614,768 |
Commercial Mortgage-Backed Securities | — | 3,166,626 | — | 3,166,626 |
Corporate Bonds | — | 40,411,159 | — | 40,411,159 |
Sovereign Government Bonds | — | 1,067,842 | — | 1,067,842 |
Taxable Municipal Obligations | — | 1,074,530 | — | 1,074,530 |
U.S. Government Agencies and Instrumentalities | — | 5,726,239 | — | 5,726,239 |
U.S. Government Agency Mortgage-Backed Securities | — | 38,522,065 | — | 38,522,065 |
U.S. Treasury Obligations | — | 52,598,613 | — | 52,598,613 |
Short-Term Investments: | ||||
Other | — | 1,288,467 | — | 1,288,467 |
Securities Lending Collateral | 232,138 | — | — | 232,138 |
Total Investments | $232,138 | $144,470,309 | $ — | $144,702,447 |
For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.
5