The Fund did not have any
open derivative instruments at June 30, 2022.
Affiliated Investments
At June 30, 2022, the
value of the Fund's investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio (Liquidity Fund) and Calvert Cash Reserves Fund, LLC (Cash Reserves Fund) was $1,522,953, which represents 0.5% of
the Fund's net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended June 30, 2022 were as follows:
| 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
| $556,919
| $38,770,756
| $(39,327,517)
| $(102)
| $(56)
| $ —
| $ 363
| —
|
| Liquidity Fund
| —
| 54,987,499
| (53,464,546)
| —
| —
| 1,522,953
| 2,760
| 1,522,953
|
| Total
|
|
|
| $(102)
| $(56)
| $1,522,953
| $3,123
|
|
Fair Value
Measurements
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.