Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
BRL | 25,789,444 | USD | 4,522,536 | BNP Paribas | 1/17/25 | $ — | $(359,186) |
CAD | 17,415 | USD | 12,619 | State Street Bank and Trust Company | 1/17/25 | — | (497) |
USD | 4,082,316 | CAD | 5,609,211 | Credit Agricole Corporate and Investment Bank | 1/17/25 | 178,017 | — |
USD | 12,520 | CAD | 17,415 | UBS AG | 1/17/25 | 398 | — |
USD | 2,238,198 | EUR | 2,050,537 | JPMorgan Chase Bank, N.A. | 1/17/25 | 112,963 | — |
USD | 2,535,377 | GBP | 1,950,000 | Citibank, N.A. | 1/17/25 | 94,467 | — |
$385,845 | $(359,683) |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 964 | Long | 3/31/25 | $198,207,438 | $45,563 |
U.S. 5-Year Treasury Note | 526 | Long | 3/31/25 | 55,916,266 | (293,756) |
U.S. Long Treasury Bond | 410 | Long | 3/20/25 | 46,675,938 | (1,038,991) |
U.S. Ultra 10-Year Treasury Note | 62 | Long | 3/20/25 | 6,901,375 | (158,563) |
U.S. Ultra-Long Treasury Bond | 220 | Long | 3/20/25 | 26,159,375 | (904,002) |
U.S. 10-Year Treasury Note | (34) | Short | 3/20/25 | (3,697,500) | 33,337 |
$(2,316,412) |
Description | Acquisition Dates | Cost |
Calvert Impact Capital, Inc., Community Investment Notes, 5.00%, 12/15/28 | 12/15/23 | $1,000,000 |
Calvert Impact Capital, Inc., Community Investment Notes, 5.00%, 9/20/29 | 9/20/24 | 1,000,000 |
Enviva LLC | 12/6/24 | 665,264 |
Abbreviations: | |
OTC | – Over-the-counter |
SOFR | – Secured Overnight Financing Rate |
SONIA | – Sterling Overnight Index Average |
STACR | – Structured Agency Credit Risk |
TBA | – To Be Announced |
Currency Abbreviations: | |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
EUR | – Euro |
GBP | – British Pound Sterling |
MXN | – Mexican Peso |
USD | – United States Dollar |
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/ Shares, end of period |
Exchange-Traded Funds | ||||||||
Calvert Ultra-Short Investment Grade ETF | $ 2,535,000 | $ 762,750 | $ — | $ — | $ (1,925) | $ 3,295,825 | $ 37,410 | 65,000 |
High Social Impact Investments | ||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 5.00%, 12/15/28(1) | 1,013,790 | — | — | — | (25,240) | 988,550 | 12,500 | 1,000,000 |
Calvert Impact Capital, Inc., Community Investment Notes, 5.00%, 9/20/29(1) | 1,015,060 | — | — | — | (29,710) | 985,350 | 12,500 | 1,000,000 |
Mutual Funds | ||||||||
Calvert Floating-Rate Advantage Fund, Class R6 | 15,092,039 | — | — | — | 33,725 | 15,125,764 | 305,021 | 1,686,261 |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(2) | 17,083,242 | 160,180,860 | (98,744,755) | — | — | 78,519,347 | 686,303 | 78,519,347 |
Total | $ — | $(23,150) | $98,914,836 | $1,053,734 |
(1) | Restricted security. |
(2) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $96,032,802 | $ — | $96,032,802 |
Collateralized Mortgage Obligations | — | 62,627,824 | — | 62,627,824 |
Commercial Mortgage-Backed Securities | — | 45,733,174 | — | 45,733,174 |
Common Stocks | — | 1,649,072 | — | 1,649,072 |
Corporate Bonds | — | 544,827,062 | — | 544,827,062 |
Exchange-Traded Funds | 3,295,825 | — | — | 3,295,825 |
High Social Impact Investments | — | 1,973,900 | — | 1,973,900 |
Mutual Funds | 15,125,764 | — | — | 15,125,764 |
Preferred Stocks | 5,495,800 | — | — | 5,495,800 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 43,122,822 | — | 43,122,822 |
U.S. Government Agency Mortgage-Backed Securities | — | 150,371,598 | — | 150,371,598 |
U.S. Treasury Obligations | — | 11,565,961 | — | 11,565,961 |
Miscellaneous | — | — | — | — |
Short-Term Investments: | ||||
Affiliated Fund | 78,519,347 | — | — | 78,519,347 |
Securities Lending Collateral | 22,094,155 | — | — | 22,094,155 |
U.S. Treasury Obligations | — | 40,211,630 | — | 40,211,630 |
Total Investments | $124,530,891 | $998,115,845 | $ — | $1,122,646,736 |
Forward Foreign Currency Exchange Contracts | $ — | $385,845 | $ — | $385,845 |
Futures Contracts | 78,900 | — | — | 78,900 |
Total | $124,609,791 | $998,501,690 | $ — | $1,123,111,481 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $(359,683) | $ — | $(359,683) |
Futures Contracts | (2,395,312) | — | — | (2,395,312) |
Total | $(2,395,312) | $(359,683) | $ — | $(2,754,995) |