N-Q 1 tcfnqfiled0213.htm tcfnqfiled0213.htm - Generated by SEC Publisher for SEC Filing

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number: 811-3416

 

THE CALVERT FUND

(Exact name of registrant as specified in charter)

 

4550 Montgomery Avenue
Suite 1000N
Bethesda, Maryland 20814
(Address of Principal Executive Offices)

 

William M. Tartikoff, Esq.
4550 Montgomery Avenue
Suite 1000N
Bethesda, Maryland 20814
(Name and Address of Agent for Service)

 

Registrant's telephone number, including area code: (301) 951-4800

 

Date of fiscal year end: September 30

 

Date of reporting period: First quarter ended December 31, 2012

 

 

 

Item 1. Schedule of Investments.

 

CALVERT INCOME FUND

 

 

SCHEDULE OF INVESTMENTS

 

 

DECEMBER 31, 2012

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES - 0.2%

PRINCIPAL
AMOUNT

VALUE

Santander Drive Auto Receivables Trust, 1.94%, 3/15/18

$2,430,000

$2,428,958

 

 

 

Total Asset-Backed Securities (Cost $2,429,709)

 

2,428,958

 

 

 

COLLATERALIZED MORTGAGE-BACKED OBLIGATIONS
(PRIVATELY ORIGINATED) - 0.0%

 

 

Banc of America Mortgage Trust, 0.317%, 1/25/34 (r)

38,039,685

276,777

 

 

 

Total Collateralized Mortgage-Backed Obligations
(Privately Originated) (Cost $58,040)

 

276,777

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES - 1.3%

 

 

BAMLL-DB Trust, 3.352%, 4/13/29 (e)

2,998,604

3,159,815

Commercial Mortgage Pass Through Certificates, 2.388%, 12/10/45

1,590,000

1,614,438

GS Mortgage Securities Corp., 3.007%, 12/10/30 (b)

1,120,000

1,145,066

GS Mortgage Securities Trust, 3.409%, 12/10/30 (b)

1,120,000

1,145,111

Motel 6 Trust, 1.948%, 10/5/25 (e)

7,170,000

7,223,574

UBS-Barclays Commercial Mortgage Trust, 2.533%, 12/10/45

3,630,000

3,687,982

 

 

 

Total Commercial Mortgage-Backed Securities (Cost $17,988,856)

 

17,975,986

 

 

 

CORPORATE BONDS - 81.1%

 

 

AbbVie, Inc.:

 

 

1.072%, 11/6/15 (e)(r)

2,000,000

2,023,070

2.90%, 11/6/22 (e)

3,300,000

3,360,654

4.40%, 11/6/42 (e)

1,850,000

1,966,798

Aetna, Inc.:

 

 

2.75%, 11/15/22

1,000,000

991,767

4.125%, 11/15/42

1,000,000

991,624

Affiliated Computer Services, Inc., 5.20%, 6/1/15

7,000,000

7,524,412

Agrium, Inc., 3.15%, 10/1/22

1,900,000

1,887,948

Alcoa, Inc., 5.40%, 4/15/21

5,150,000

5,360,182

Alliance Mortgage Investments, Inc.:

 

 

12.61%, 6/1/10 (b)(r)(x)*

3,077,944

—

15.36%, 12/1/10 (b)(r)(x)*

17,718,398

—

Ally Financial, Inc., 3.125%, 1/15/16

1,750,000

1,751,885

Amazon.com, Inc., 2.50%, 11/29/22

2,900,000

2,858,298

America Movil SAB de CV:

 

 

2.375%, 9/8/16

2,000,000

2,078,766

4.375%, 7/16/42

1,500,000

1,558,695

American Express Centurion Bank, 0.76%, 11/13/15 (r)

4,000,000

3,994,356

American International Group, Inc.:

 

 

3.00%, 3/20/15

2,000,000

2,081,032

5.05%, 10/1/15

4,350,000

4,799,659

4.875%, 9/15/16

3,000,000

3,355,443

5.60%, 10/18/16

3,000,000

3,425,886

3.80%, 3/22/17

2,750,000

2,976,418

4.875%, 6/1/22

7,000,000

7,991,347

American Tower Corp.:

 

 

5.90%, 11/1/21

6,000,000

7,162,608

4.70%, 3/15/22

2,000,000

2,212,830

Amgen, Inc.:

 

 

2.50%, 11/15/16

2,000,000

2,101,348

3.875%, 11/15/21

1,575,000

1,729,640

Anadarko Petroleum Corp., 6.375%, 9/15/17

4,500,000

5,375,227

Anheuser-Busch InBev Worldwide, Inc.:

 

 

2.50%, 7/15/22

1,900,000

1,911,894

3.75%, 7/15/42

1,000,000

1,004,623

Antero Resources Finance Corp., 6.00%, 12/1/20 (e)

1,500,000

1,518,750

Apache Corp.:

 

 

3.25%, 4/15/22

2,000,000

2,119,612

4.75%, 4/15/43

1,500,000

1,632,911

ArcelorMittal:

 

 

5.375%, 6/1/13

7,083,000

7,154,120

5.00%, 2/25/17

8,350,000

8,428,448

6.00%, 3/1/21

2,250,000

2,243,549

AT&T, Inc.:

 

 

2.95%, 5/15/16

3,000,000

3,176,166

1.60%, 2/15/17

3,000,000

3,035,223

3.00%, 2/15/22

7,940,000

8,257,783

2.625%, 12/1/22

1,000,000

1,001,645

5.55%, 8/15/41

1,000,000

1,200,124

Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (b)(e)(p)*

53,561,000

—

Autodesk, Inc., 1.95%, 12/15/17

4,300,000

4,278,629

Bank of America Corp.:

 

 

0.638%, 9/15/14 (r)

3,000,000

2,972,226

4.50%, 4/1/15

1,300,000

1,385,704

3.875%, 3/22/17

5,500,000

5,964,865

5.65%, 5/1/18

4,000,000

4,653,772

5.70%, 1/24/22

1,480,000

1,779,773

5.875%, 2/7/42

2,850,000

3,555,629

Bank of America NA:

 

 

5.30%, 3/15/17

25,304,000

28,459,662

6.10%, 6/15/17

5,000,000

5,761,265

Bank of New York Mellon Corp.:

 

 

1.70%, 11/24/14

5,000,000

5,113,430

2.40%, 1/17/17

2,250,000

2,357,104

Bank of Nova Scotia:

 

 

1.85%, 1/12/15

4,225,000

4,326,734

1.95%, 1/30/17 (e)

7,215,000

7,515,144

Barrick Gold Corp., 5.25%, 4/1/42

900,000

989,771

BellSouth Corp., 4.02%, 4/26/21 (e)

5,000,000

5,051,715

Berkshire Hathaway Finance Corp., 3.00%, 5/15/22

2,500,000

2,604,615

BHP Billiton Finance USA Ltd.:

 

 

1.875%, 11/21/16

5,000,000

5,155,380

1.625%, 2/24/17

3,000,000

3,067,755

BNSF Funding Trust I, 6.613% to 1/15/26, floating rate thereafter to
12/15/55 (r)

32,001,000

36,281,134

Boston Properties LP, 3.70%, 11/15/18

2,400,000

2,607,089

BP Capital Markets plc, 3.245%, 5/6/22

4,800,000

5,056,834

Canadian National Railway Co., 3.50%, 11/15/42

1,350,000

1,302,828

Cantor Fitzgerald LP:

 

 

6.375%, 6/26/15 (e)

2,000,000

2,025,678

7.875%, 10/15/19 (e)

17,572,000

18,015,324

Capital One Capital VI, 8.875%, 5/15/40

7,049,000

7,049,000

Capital One Financial Corp., 2.15%, 3/23/15

1,200,000

1,224,889

Cemex SAB de CV, 5.311%, 9/30/15 (e)(r)

1,500,000

1,518,750

CenturyLink, Inc.:

 

 

5.80%, 3/15/22

5,950,000

6,289,906

7.65%, 3/15/42

4,500,000

4,702,995

Chesapeake Energy Corp., 7.625%, 7/15/13

6,000,000

6,180,000

Chevron Corp., 2.355%, 12/5/22

3,000,000

3,004,923

Church & Dwight Co., Inc., 2.875%, 10/1/22

3,000,000

3,009,816

CIT Group, Inc.:

 

 

4.75%, 2/15/15 (e)

3,125,000

3,250,000

5.25%, 3/15/18

1,550,000

1,658,500

Citigroup, Inc.:

 

 

0.436%, 3/7/14 (r)

5,020,000

4,987,671

6.375%, 8/12/14

3,000,000

3,241,950

4.75%, 5/19/15

49,000

52,824

3.953%, 6/15/16

7,400,000

7,965,071

4.45%, 1/10/17

6,900,000

7,643,820

4.50%, 1/14/22

3,000,000

3,347,112

Comcast Corp.:

 

 

3.125%, 7/15/22

4,900,000

5,104,991

4.65%, 7/15/42

2,000,000

2,108,126

ConAgra Foods, Inc., 3.25%, 9/15/22

2,000,000

2,008,882

ConocoPhillips Co., 2.40%, 12/15/22

2,000,000

1,993,648

Corning, Inc., 4.75%, 3/15/42

6,000,000

6,318,552

Costco Wholesale Corp., 1.70%, 12/15/19

2,400,000

2,416,344

COX Communications, Inc., 3.25%, 12/15/22 (e)

2,900,000

2,990,648

Crown Castle Towers LLC:

 

 

4.174%, 8/15/37 (e)

2,825,000

3,100,070

4.883%, 8/15/40 (e)

4,558,000

5,143,079

CVS Pass-Through Trust:

 

 

5.789%, 1/10/26 (e)

3,597,758

4,101,444

5.88%, 1/10/28

217,299

250,214

6.036%, 12/10/28

7,571,120

8,852,683

Daimler Finance North America LLC, 2.625%, 9/15/16 (e)

1,800,000

1,870,222

Darden Restaurants, Inc., 3.35%, 11/1/22

3,400,000

3,289,928

DDR Corp., 4.75%, 4/15/18

6,700,000

7,425,429

Deere & Co., 3.90%, 6/9/42

3,450,000

3,526,066

Delta Air Lines Pass Through Trust, 6.75%, 5/23/17

2,500,000

2,600,000

Deutsche Telekom International Finance BV, 4.875%, 3/6/42 (e)

2,000,000

2,134,974

Discover Bank, 7.00%, 4/15/20

2,500,000

3,104,240

Discover Financial Services:

 

 

6.45%, 6/12/17

1,375,000

1,607,888

5.20%, 4/27/22

7,104,000

8,089,431

DISH DBS Corp.:

 

 

4.625%, 7/15/17

1,000,000

1,042,500

5.875%, 7/15/22

825,000

886,875

Dow Chemical Co.:

 

 

4.125%, 11/15/21

2,500,000

2,738,810

3.00%, 11/15/22

5,800,000

5,787,089

4.375%, 11/15/42

4,800,000

4,768,867

Dr Pepper Snapple Group, Inc., 3.20%, 11/15/21

2,555,000

2,645,457

Duke Realty LP, 4.625%, 5/15/13

3,000,000

3,041,886

Ecolab, Inc.:

 

 

4.35%, 12/8/21

1,560,000

1,741,242

5.50%, 12/8/41

1,000,000

1,193,044

Enterprise Products Operating LLC, 7.034% to 1/15/18, floating rate
thereafter to 1/15/68 (r)

18,975,000

21,726,375

ERP Operating LP, 4.625%, 12/15/21

2,450,000

2,759,712

Excalibur One 77B LLC, 1.491%, 1/1/25

1,645,000

1,632,682

Express Scripts Holding Co.:

 

 

2.75%, 11/21/14 (e)

1,330,000

1,372,021

2.65%, 2/15/17 (e)

1,500,000

1,559,084

3.90%, 2/15/22 (e)

1,500,000

1,617,378

FBG Finance Ltd., 5.125%, 6/15/15 (e)

4,000,000

4,388,004

First Niagara Financial Group, Inc., 6.75%, 3/19/20

3,000,000

3,550,101

Ford Motor Credit Co. LLC:

 

 

3.875%, 1/15/15

4,400,000

4,588,509

4.207%, 4/15/16

7,295,000

7,780,964

3.984%, 6/15/16

7,450,000

7,910,604

4.25%, 2/3/17

5,000,000

5,356,455

Freeport-McMoRan Copper & Gold, Inc., 3.55%, 3/1/22

4,850,000

4,810,114

General Electric Capital Corp.:

 

 

3.35%, 10/17/16

2,900,000

3,112,819

2.90%, 1/9/17

4,000,000

4,229,368

2.30%, 4/27/17

6,000,000

6,221,286

1.60%, 11/20/17

2,750,000

2,751,785

3.15%, 9/7/22

6,000,000

6,130,158

5.875%, 1/14/38

2,000,000

2,412,504

General Electric Capital Corp. / LJ VP Holdings LLC, 3.80%, 6/18/19 (e)

3,000,000

3,196,734

General Electric Co.:

 

 

2.70%, 10/9/22

1,000,000

1,019,307

4.125%, 10/9/42

1,000,000

1,028,648

Gilead Sciences, Inc., 5.65%, 12/1/41

1,000,000

1,242,293

Glitnir Banki HF:

 

 

6.375%, 9/25/12 (e)(y)*

600,000

163,500

6.693% to 6/15/11, floating rate thereafter to 6/15/16 (e)(r)(y)*

8,400,000

105,000

Goldman Sachs Group, Inc.:

 

 

6.15%, 4/1/18

15,975,000

18,766,919

5.75%, 1/24/22

7,050,000

8,334,595

Great River Energy, 5.829%, 7/1/17 (e)

16,890,059

17,963,084

Hartford Financial Services Group, Inc.:

 

 

5.125%, 4/15/22

1,000,000

1,153,850

6.10%, 10/1/41

4,000,000

4,753,724

6.625%, 4/15/42

1,000,000

1,271,460

HCA, Inc., 6.25%, 2/15/13

3,550,000

3,567,750

Health Care REIT, Inc., 5.25%, 1/15/22

2,000,000

2,227,094

Hewlett-Packard Co., 2.60%, 9/15/17

5,000,000

4,870,780

HOA Restaurant Group LLC / HOA Finance Corp., 11.25%, 4/1/17 (e)

1,750,000

1,583,750

HSBC Holdings plc, 4.00%, 3/30/22

2,500,000

2,737,165

Innovation Ventures LLC / Innovation Ventures Finance Corp.,
9.50%, 8/15/19 (e)

1,800,000

1,692,000

International Business Machines Corp.:

 

 

1.25%, 2/6/17

5,000,000

5,052,795

2.90%, 11/1/21

3,100,000

3,256,392

Interpublic Group Co.'s, Inc., 3.75%, 2/15/23

5,050,000

5,063,473

Jefferies Group, Inc., 5.125%, 4/13/18

2,000,000

2,100,000

JET Equipment Trust, 7.63%, 8/15/12 (b)(e)(w)*

109,297

109

John Deere Capital Corp.:

 

 

1.25%, 12/2/14

1,000,000

1,013,288

2.00%, 1/13/17

1,500,000

1,552,082

JPMorgan Chase & Co.:

 

 

1.435%, 9/22/15 (r)

4,000,000

4,059,208

4.50%, 1/24/22

25,850,000

29,242,476

Kaupthing Bank HF, 3.491%, 1/15/10 (e)(r)(y)*

39,000,000

9,555,000

Kenan Advantage Group, Inc., 8.375%, 12/15/18 (e)

1,350,000

1,377,000

Kern River Funding Corp., 6.676%, 7/31/16 (e)

67,451

75,552

Kinder Morgan Energy Partners LP, 5.625%, 9/1/41

2,960,000

3,325,909

Kraft Foods Group, Inc.:

 

 

2.25%, 6/5/17 (e)

1,000,000

1,034,316

3.50%, 6/6/22 (e)

1,900,000

2,027,997

Land O'Lakes Capital Trust I, 7.45%, 3/15/28 (e)

39,869,000

38,872,275

Lender Processing Services, Inc., 5.75%, 4/15/23

1,500,000

1,556,250

Leucadia National Corp., 8.125%, 9/15/15

3,320,000

3,735,000

Life Technologies Corp., 3.375%, 3/1/13

3,000,000

3,009,051

Linn Energy LLC/Linn Energy Finance Corp., 6.25%, 11/1/19 (e)

3,700,000

3,718,500

LL & P Wind Energy, Inc. Washington Revenue Bonds:

 

 

5.983%, 12/1/22 (e)

9,695,000

9,720,304

6.192%, 12/1/27 (e)

2,675,000

2,589,453

Lowe's Co.'s, Inc.:

 

 

3.80%, 11/15/21

2,220,000

2,452,261

5.125%, 11/15/41

500,000

586,418

Macy's Retail Holdings, Inc.:

 

 

2.875%, 2/15/23

1,900,000

1,860,543

4.30%, 2/15/43

1,000,000

972,998

Masco Corp.:

 

 

4.80%, 6/15/15

4,540,000

4,755,582

5.85%, 3/15/17

1,990,000

2,165,717

Mastro's Restaurants LLC/RRG Finance Corp., 12.00%, 6/1/17 (e)

1,523,374

1,584,309

MetLife Institutional Funding II, 1.254%, 4/4/14 (e)(r)

4,800,000

4,840,786

MMA Financial Holdings, Inc., 0.75%, 5/3/34 (b)

40,203,969

10,754,562

Molson Coors Brewing Co., 3.50%, 5/1/22

2,000,000

2,111,480

Morgan Stanley:

 

 

6.25%, 8/28/17

7,000,000

8,011,864

5.50%, 1/26/20

6,000,000

6,730,758

5.50%, 7/24/20

6,500,000

7,312,565

National Fuel Gas Co., 6.50%, 4/15/18

4,800,000

5,766,634

National Oilwell Varco, Inc.:

 

 

2.60%, 12/1/22

1,500,000

1,521,057

3.95%, 12/1/42

1,500,000

1,519,838

Nationwide Health Properties, Inc.:

 

 

6.90%, 10/1/37

10,460,000

12,962,388

6.59%, 7/7/38

4,023,000

4,889,916

NBCUniversal Media LLC:

 

 

4.375%, 4/1/21

4,500,000

5,055,039

2.875%, 1/15/23

2,800,000

2,811,914

4.45%, 1/15/43

2,800,000

2,835,384

New York Life Global Funding, 1.65%, 5/15/17 (e)

2,000,000

2,036,796

NII Capital Corp.:

 

 

8.875%, 12/15/19

3,900,000

3,100,500

7.625%, 4/1/21

12,500,000

9,468,750

Nissan Motor Acceptance Corp., 1.95%, 9/12/17 (e)

2,350,000

2,382,106

Noble Holding International Ltd., 3.95%, 3/15/22

3,000,000

3,156,936

NYU Hospitals Center, 4.428%, 7/1/42

1,400,000

1,359,134

Omnicom Group, Inc., 3.625%, 5/1/22

3,000,000

3,125,157

PacifiCorp:

 

 

2.95%, 2/1/22

2,000,000

2,089,890

4.10%, 2/1/42

4,000,000

4,142,556

Penske Truck Leasing Co. LP / PTL Finance Corp., 3.375%, 3/15/18 (e)

4,800,000

4,843,037

PepsiCo, Inc.:

 

 

2.75%, 3/5/22

7,100,000

7,293,915

3.60%, 8/13/42

2,750,000

2,679,416

Pernod-Ricard SA:

 

 

4.25%, 7/15/22 (e)

1,950,000

2,142,972

5.50%, 1/15/42 (e)

3,900,000

4,544,900

Pioneer Natural Resources Co., 5.875%, 7/15/16

10,840,000

12,291,368

PNC Funding Corp., 5.625%, 2/1/17

2,000,000

2,309,164

PPF Funding, Inc., 5.50%, 1/15/14 (e)

500,000

514,421

Rio Tinto Finance USA plc, 3.50%, 3/22/22

4,850,000

5,103,058

Royal Bank of Canada, 1.20%, 9/19/17

3,800,000

3,809,120

Rural Electric Cooperative Grantor Trust Certificates VRDN, 0.26%,
12/18/17 (r)

1,685,000

1,685,000

SABMiller Holdings, Inc.:

 

 

2.45%, 1/15/17 (e)

2,000,000

2,084,790

3.75%, 1/15/22 (e)

4,215,000

4,551,488

4.95%, 1/15/42 (e)

3,000,000

3,400,578

Safeway, Inc., 1.811%, 12/12/13 (r)

4,000,000

4,001,240

Shell International Finance BV, 2.25%, 1/6/23

4,800,000

4,742,083

Simon Property Group LP:

 

 

6.125%, 5/30/18

3,593,000

4,376,676

4.125%, 12/1/21

5,000,000

5,553,035

Southern Power Co., 5.15%, 9/15/41

1,925,000

2,167,739

SPARCS Trust 99-1, STEP, 0.00% to 4/15/19, 7.697% thereafter to
10/15/97 (b)(e)(r)

26,500,000

13,062,115

Spencer Spirit Holdings, Inc., 11.00%, 5/1/17 (e)

8,650,000

9,277,125

SunTrust Bank:

 

 

0.602%, 8/24/15 (r)

3,350,000

3,254,552

7.25%, 3/15/18

2,500,000

3,059,690

Syngenta Finance NV:

 

 

3.125%, 3/28/22

2,000,000

2,103,150

4.375%, 3/28/42

2,000,000

2,185,410

Target Corp.:

 

 

2.90%, 1/15/22

1,400,000

1,483,892

4.00%, 7/1/42

3,350,000

3,441,720

Telefonica Emisiones SAU, 3.992%, 2/16/16

2,670,000

2,778,135

The Interpublic Group of Co.'s, Inc., 10.00%, 7/15/17

2,575,000

2,813,187

TIERS Trust, 8.45%, 12/1/17 (b)(e)(n)*

8,559,893

—

Time Warner Cable, Inc.:

 

 

4.00%, 9/1/21

5,700,000

6,256,690

5.50%, 9/1/41

4,200,000

4,673,197

4.50%, 9/15/42

2,000,000

1,950,494

Time Warner, Inc.:

 

 

4.00%, 1/15/22

3,000,000

3,284,049

3.40%, 6/15/22

2,300,000

2,399,082

5.375%, 10/15/41

4,940,000

5,518,242

4.90%, 6/15/42

1,500,000

1,609,121

Toronto-Dominion Bank, 2.375%, 10/19/16

4,250,000

4,466,044

Total Capital International SA:

 

 

1.55%, 6/28/17

2,000,000

2,030,834

2.70%, 1/25/23

2,000,000

2,037,456

Toyota Motor Credit Corp.:

 

 

2.05%, 1/12/17

3,500,000

3,619,906

3.30%, 1/12/22

1,750,000

1,888,029

TransContinental Gas Pipe Line Co. LLC, 4.45%, 8/1/42

2,250,000

2,316,044

Union Pacific Corp.:

 

 

2.95%, 1/15/23

2,000,000

2,067,848

4.30%, 6/15/42

1,000,000

1,055,757

United Technologies Corp., 4.50%, 6/1/42

2,900,000

3,222,367

UnitedHealth Group, Inc.:

 

 

3.375%, 11/15/21

1,750,000

1,864,403

4.625%, 11/15/41

1,750,000

1,868,307

US Bank, 3.778% to 4/29/15, floating rate thereafter to 4/29/20 (r)

25,000,000

26,506,425

Verizon Communications, Inc.:

 

 

2.45%, 11/1/22

7,750,000

7,752,588

4.75%, 11/1/41

5,000,000

5,671,395

Wachovia Capital Trust III, 5.57%, 12/31/49 (r)

20,200,000

20,099,000

Walt Disney Co., 0.875%, 12/1/14

1,000,000

1,008,250

Watson Pharmaceuticals, Inc., 3.25%, 10/1/22

1,000,000

1,020,848

WellPoint, Inc., 4.65%, 1/15/43

2,000,000

2,084,232

Western Union Co., 2.875%, 12/10/17

1,400,000

1,387,187

Williams Co.'s, Inc., 3.70%, 1/15/23

1,800,000

1,815,577

Xstrata Finance Canada Ltd.:

 

 

2.85%, 11/10/14 (e)

1,500,000

1,539,600

1.80%, 10/23/15 (e)

2,000,000

2,010,860

 

 

 

Total Corporate Bonds (Cost $1,130,724,337)

 

1,118,001,309

 

 

 

MUNICIPAL OBLIGATIONS - 4.0%

 

 

Moreno Valley California Public Financing Authority Revenue Bonds,
5.549%, 5/1/27

2,625,000

2,673,563

Union County Arkansas Industrial Development Revenue VRDN, 0.69%,
10/1/27 (r)

5,000,000

5,000,000

Wells Fargo Bank NA Custodial Receipts Revenue Bonds:

 

 

6.584%, 9/1/27 (e)

6,080,000

6,602,454

6.734%, 9/1/47 (e)

37,950,000

40,763,613

 

 

 

Total Municipal Obligations (Cost $51,601,619)

 

55,039,630

 

 

 

U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES - 0.0%

 

 

Overseas Private Investment Corp., 4.05%, 11/15/14

336,000

346,527

Premier Aircraft Leasing EXIM 1 Ltd., 3.547%, 4/10/22

124

134

 

 

 

Total U.S. Government Agencies and Instrumentalities
(Cost $336,300)

 

346,661

 

 

 

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES - 1.4%

 

 

Fannie Mae, 3.00%, 1/4/13

18,540,000

19,426,444

Ginnie Mae, 11.00%, 10/15/15

196

199

 

 

 

Total U.S. Government Agency Mortgage-Backed Securities
(Cost $19,498,345)

 

19,426,643

 

 

 

U.S. TREASURY OBLIGATIONS - 3.5%

 

 

United States Treasury Bonds:

 

 

2.75%, 8/15/42

4,495,000

4,340,484

2.75%, 11/15/42

13,135,000

12,654,758

United States Treasury Notes:

 

 

0.25%, 11/30/14

6,905,000

6,905,269

0.375%, 11/15/15

305,000

305,286

0.625%, 11/30/17

20,620,000

20,550,737

1.00%, 11/30/19

370,000

366,416

1.625%, 11/15/22

3,390,000

3,352,920

 

 

 

Total U.S. Treasury Obligations (Cost $49,196,231)

 

48,475,870

 

 

 

COMMERCIAL PAPER - 0.7%

 

 

Rio Tinto America, Inc., 0.406%, 1/7/13 (e)

4,750,000

4,749,751

Wyndham Worldwide Corp., 0.964%, 1/15/13 (e)

4,900,000

4,899,020

 

 

 

Total Commercial Paper (Cost $9,647,873)

 

9,648,771

 

 

 

SOVEREIGN GOVERNMENT BONDS - 1.1%

 

 

Province of Ontario Canada:

 

 

1.65%, 9/27/19

8,880,000

8,874,672

2.45%, 6/29/22

6,600,000

6,686,381

 

 

 

Total Sovereign Government Bonds (Cost $15,486,416)

 

15,561,053

 

 

 

TIME DEPOSIT - 4.8%

 

 

State Street Bank Time Deposit, 0.12%, 1/2/13

65,845,696

65,845,696

 

 

 

Total Time Deposit (Cost $65,845,696)

 

65,845,696

 

 

 

EQUITY SECURITIES - 0.9%

SHARES

 

Avado Brands, Inc. (b)*

4,803

—

Intermet Corp. (b)*

4,772

—

Woodbourne Capital:

 

 

Trust I, Preferred (b)(e)

6,450,000

3,192,750

Trust II, Preferred (b)(e)

6,450,000

3,192,750

Trust III, Preferred (b)(e)

6,450,000

3,192,750

Trust IV, Preferred (b)(e)

6,450,000

3,192,750

 

 

 

Total Equity Securities (Cost $25,984,377)

 

12,771,000

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (Cost $1,388,797,799) - 99.0%

 

1,365,798,354

Other assets and liabilities, net - 1.0%

 

13,174,858

NET ASSETS - 100%

 

$1,378,973,212

 

 

 

 

FUTURES

NUMBER OF CONTRACTS

EXPIRATION DATE

UNDERLYING FACE AMOUNT AT VALUE

UNREALIZED
APPRECIATION
(DEPRECIATION)

Sold:

 

 

 

 

2 Year U.S. Treasury Notes

450

3/13

$99,210,938

($22,812)

5 Year U.S. Treasury Notes

75

3/13

9,331,055

1,078

10 Year U.S. Treasury Notes

629

3/13

83,519,406

510,620

Total Sold

 

 

 

$488,886

 

(b) This security was valued by the Board of Trustees. See Note A.

 

(e) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

 

(n) The Illinois Insurance Department prohibited Lumbermens from making interest payments. This TIERS security is based on interest payments from Lumbermens. This security is no longer accruing interest.

 

(p) The State of New York Insurance Department has prohibited Atlantic Mutual Insurance Co. from making interest payments. This security is no longer accruing interest.

 

(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

 

(w) Security is in default and is no longer accruing interest.

 

(x) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest.

 

(y) The government of Iceland took control of Glitnir Banki HF and Kaupthing Bank HF (the “Banks”) on October 8, 2008 and October 9, 2008, respectively. The government has prohibited the Banks from paying any claims owed to foreign entities. These securities are no longer accruing interest.

 

* Non-income producing security.

 

Abbreviations:

LLC: Limited Liability Corporation

LP: Limited Partnership

plc: Public Limited Company

REIT: Real Estate Investment Trust

STEP: Stepped coupon bond for which the coupon rate of interest will adjust on specified future date(s)

VRDN: Variable Rate Demand Notes

 

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

 

 

 

 

CALVERT LONG-TERM INCOME FUND

 

 

SCHEDULE OF INVESTMENTS

 

 

DECEMBER 31, 2012

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES - 0.2%

PRINCIPAL AMOUNT

VALUE

Santander Drive Auto Receivables Trust, 1.94%, 3/15/18

$400,000

$399,828

 

 

 

Total Asset-Backed Securities (Cost $399,952)

 

399,828

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.3%

 

 

Credit Suisse First Boston Mortgage Securities Corp., 4.597%, 3/15/35

209,768

209,713

JP Morgan Chase Commercial Mortgage Securities Corp., 5.299%,
6/12/41 (r)

254,432

260,216

Morgan Stanley Dean Witter Capital I, 5.08%, 9/15/37

124,456

124,422

Wachovia Bank Commercial Mortgage Trust, 5.23%, 7/15/41 (r)

37,417

37,375

 

 

 

Total Commercial Mortgage-Backed Securities (Cost $638,496)

 

631,726

 

 

 

CORPORATE BONDS - 82.3%

 

 

AbbVie, Inc., 4.40%, 11/6/42 (e)

1,000,000

1,063,134

Aetna, Inc., 4.50%, 5/15/42

2,000,000

2,098,354

Alcoa, Inc., 5.40%, 4/15/21

1,200,000

1,248,974

Alliance Mortgage Investments, Inc., 12.61%, 6/1/10 (b)(r)(x)*

4,817

—

America Movil SAB de CV, 4.375%, 7/16/42

1,500,000

1,558,695

American International Group, Inc., 4.875%, 6/1/22

2,600,000

2,968,215

American Tower Corp.:

 

 

5.90%, 11/1/21

250,000

298,442

4.70%, 3/15/22

1,000,000

1,106,415

Amgen, Inc., 5.15%, 11/15/41

1,000,000

1,125,366

Anheuser-Busch InBev Worldwide, Inc.:

 

 

2.50%, 7/15/22

1,000,000

1,006,260

3.75%, 7/15/42

1,000,000

1,004,623

Apache Corp., 4.75%, 4/15/43

1,500,000

1,632,910

ArcelorMittal:

 

 

5.375%, 6/1/13 (e)

250,000

252,510

6.00%, 3/1/21

1,000,000

997,133

AT&T, Inc.:

 

 

3.00%, 2/15/22

185,000

192,404

2.625%, 12/1/22

1,000,000

1,001,645

5.55%, 8/15/41

3,000,000

3,600,372

Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (b)(e)(p)*

30,000

—

Bank of America Corp., 5.875%, 2/7/42

1,450,000

1,809,004

Bank of America NA, 5.30%, 3/15/17

1,900,000

2,136,949

Barrick Gold Corp., 5.25%, 4/1/42

1,000,000

1,099,746

Berkshire Hathaway Finance Corp., 4.40%, 5/15/42

2,000,000

2,069,112

BNSF Funding Trust I, 6.613% to 1/15/26, floating rate thereafter to
12/15/55 (r)

1,500,000

1,700,625

Boston Properties LP, 3.85%, 2/1/23

1,400,000

1,470,678

Campbell Soup Co., 3.80%, 8/2/42

2,000,000

1,949,926

Cantor Fitzgerald LP, 7.875%, 10/15/19 (e)

1,350,000

1,384,059

Carolina Power & Light Co., 4.10%, 5/15/42

2,000,000

2,046,870

Cemex SAB de CV, 5.311%, 9/30/15 (e)(r)

1,000,000

1,012,500

CenturyLink, Inc.:

 

 

5.80%, 3/15/22

1,250,000

1,321,409

7.65%, 3/15/42

1,100,000

1,149,621

Chesapeake Energy Corp., 7.625%, 7/15/13

2,300,000

2,369,000

CIT Group, Inc., 5.25%, 3/15/18

500,000

535,000

Citigroup, Inc.:

 

 

3.953%, 6/15/16

200,000

215,272

4.50%, 1/14/22

3,000,000

3,347,112

Comcast Corp., 4.65%, 7/15/42

1,000,000

1,054,063

Corning, Inc., 4.75%, 3/15/42

2,000,000

2,106,184

COX Communications, Inc., 4.70%, 12/15/42 (e)

1,000,000

1,020,372

Crown Castle Towers LLC:

 

 

6.113%, 1/15/40 (e)

785,000

945,519

4.883%, 8/15/40 (e)

1,000,000

1,128,363

CVS Pass-Through Trust:

 

 

5.88%, 1/10/28

317,836

365,978

6.036%, 12/10/28

647,751

757,396

6.943%, 1/10/30

443,591

558,370

Darden Restaurants, Inc., 3.35%, 11/1/22

1,000,000

967,626

DDR Corp., 4.75%, 4/15/18

1,000,000

1,108,273

Deere & Co., 3.90%, 6/9/42

1,800,000

1,839,686

Deutsche Telekom International Finance BV, 4.875%, 3/6/42 (e)

700,000

747,241

Devon Energy Corp., 4.75%, 5/15/42

1,000,000

1,069,814

Discover Bank, 7.00%, 4/15/20

500,000

620,848

Discover Financial Services:

 

 

5.20%, 4/27/22

500,000

569,357

3.85%, 11/21/22 (e)

500,000

515,937

Dow Chemical Co.:

 

 

3.00%, 11/15/22

1,000,000

997,774

4.375%, 11/15/42

2,000,000

1,987,028

Dr Pepper Snapple Group, Inc., 3.20%, 11/15/21

1,000,000

1,035,404

Eaton Corp.:

 

 

4.00%, 11/2/32 (e)

500,000

514,256

4.15%, 11/2/42 (e)

500,000

505,652

Ecolab, Inc., 5.50%, 12/8/41

1,000,000

1,193,044

Enterprise Products Operating LLC:

 

 

4.85%, 8/15/42

2,000,000

2,146,704

7.034% to 1/15/18, floating rate thereafter to 1/15/68 (r)

340,000

389,300

ERP Operating LP, 4.625%, 12/15/21

500,000

563,207

First Niagara Financial Group, Inc., 6.75%, 3/19/20

1,000,000

1,183,367

Ford Motor Credit Co. LLC:

 

 

3.875%, 1/15/15

400,000

417,137

4.207%, 4/15/16

1,000,000

1,066,616

4.25%, 2/3/17

100,000

107,129

5.875%, 8/2/21

1,000,000

1,164,538

General Electric Capital Corp.:

 

 

3.15%, 9/7/22

1,000,000

1,021,693

5.875%, 1/14/38

1,000,000

1,206,252

6.875%, 1/10/39

1,500,000

2,038,948

General Electric Capital Corp. / LJ VP Holdings LLC, 3.80%,
6/18/19 (e)

1,600,000

1,704,925

General Electric Co., 4.125%, 10/9/42

900,000

925,783

Gilead Sciences, Inc., 5.65%, 12/1/41

1,000,000

1,242,293

Glitnir Banki HF, 6.693% to 6/15/11, floating rate thereafter to
6/15/16 (e)(r)(y)*

150,000

1,875

Goldman Sachs Group, Inc.:

 

 

6.15%, 4/1/18

1,000,000

1,174,768

5.75%, 1/24/22

1,500,000

1,773,318

Hartford Financial Services Group, Inc., 6.625%, 4/15/42

1,000,000

1,271,460

Heineken NV, 4.00%, 10/1/42 (e)

1,000,000

967,160

Intel Corp., 4.80%, 10/1/41

500,000

550,304

International Business Machines Corp., 2.90%, 11/1/21

1,000,000

1,050,449

Interpublic Group Co.'s, Inc., 3.75%, 2/15/23

500,000

501,334

Jefferies Group, Inc., 5.125%, 4/13/18

500,000

525,000

Johnson Controls, Inc., 5.00%, 3/30/20

1,000,000

1,136,517

JPMorgan Chase & Co., 4.50%, 1/24/22

3,750,000

4,242,139

Kraft Foods Group, Inc., 3.50%, 6/6/22 (e)

1,000,000

1,067,367

Land O'Lakes Capital Trust I, 7.45%, 3/15/28 (e)

2,100,000

2,047,500

Liberty Mutual Group, Inc., 6.50%, 5/1/42 (e)

2,000,000

2,250,076

LL & P Wind Energy, Inc. Washington Revenue Bonds, 6.192%,
12/1/27 (e)

100,000

96,802

Lowe's Co.'s, Inc.:

 

 

5.125%, 11/15/41

500,000

586,417

4.65%, 4/15/42

1,000,000

1,113,405

Macy's Retail Holdings, Inc., 5.125%, 1/15/42

500,000

540,298

Medtronic, Inc., 4.50%, 3/15/42

500,000

568,030

Memorial Sloan-Kettering Cancer Center, 4.125%, 7/1/52

1,000,000

989,410

Methanex Corp., 5.25%, 3/1/22

1,000,000

1,109,121

Molson Coors Brewing Co., 5.00%, 5/1/42

2,000,000

2,241,324

Morgan Stanley:

 

 

6.25%, 8/28/17

500,000

572,276

5.50%, 1/26/20

500,000

560,897

5.50%, 7/24/20

1,500,000

1,687,515

National Fuel Gas Co., 6.50%, 4/15/18

100,000

120,138

National Oilwell Varco, Inc.:

 

 

2.60%, 12/1/22

500,000

507,019

3.95%, 12/1/42

500,000

506,613

Nationwide Health Properties, Inc.:

 

 

6.25%, 2/1/13

1,600,000

1,606,509

6.90%, 10/1/37

390,000

483,301

6.59%, 7/7/38

30,000

36,465

NBCUniversal Media LLC:

 

 

2.875%, 1/15/23

2,000,000

2,008,510

4.45%, 1/15/43

2,000,000

2,025,274

New Albertsons, Inc., 8.00%, 5/1/31

1,650,000

928,125

Newmont Mining Corp., 4.875%, 3/15/42

500,000

514,956

NII Capital Corp., 7.625%, 4/1/21

2,400,000

1,818,000

Noble Holding International Ltd., 5.25%, 3/15/42

1,000,000

1,066,279

NYU Hospitals Center, 4.428%, 7/1/42

1,000,000

970,810

PacifiCorp:

 

 

2.95%, 2/1/22

2,000,000

2,089,890

4.10%, 2/1/42

400,000

414,256

Pearson Funding Four plc, 3.75%, 5/8/22 (e)

2,000,000

2,110,180

PepsiCo, Inc.:

 

 

2.75%, 3/5/22

1,000,000

1,027,312

3.60%, 8/13/42

200,000

194,867

Pernod-Ricard SA, 5.50%, 1/15/42 (e)

1,000,000

1,165,359

Pioneer Natural Resources Co., 5.875%, 7/15/16

700,000

793,723

PPL Montana LLC, 8.903%, 7/2/20

12,944

14,756

SABMiller Holdings, Inc.:

 

 

3.75%, 1/15/22 (e)

780,000

842,268

4.95%, 1/15/42 (e)

2,000,000

2,267,052

Schlumberger Investment SA, 2.40%, 8/1/22 (e)

1,000,000

991,446

Simon Property Group LP:

 

 

10.35%, 4/1/19

320,000

457,596

4.125%, 12/1/21

350,000

388,712

Southern Power Co., 5.15%, 9/15/41

1,000,000

1,126,098

Spencer Spirit Holdings, Inc., 11.00%, 5/1/17 (e)

1,100,000

1,179,750

SunTrust Bank, 0.602%, 8/24/15 (r)

975,000

947,220

Syngenta Finance NV, 4.375%, 3/28/42

2,000,000

2,185,410

Target Corp., 4.00%, 7/1/42

1,500,000

1,541,068

Telefonica Emisiones SAU, 0.643%, 2/4/13 (r)

900,000

899,033

The Home Depot, Inc., 5.875%, 12/16/36

1,440,000

1,892,454

Time Warner Cable, Inc.:

 

 

5.50%, 9/1/41

2,000,000

2,225,332

4.50%, 9/15/42

1,000,000

975,247

Time Warner, Inc.:

 

 

3.40%, 6/15/22

500,000

521,540

5.375%, 10/15/41

2,500,000

2,792,632

4.90%, 6/15/42

500,000

536,374

Toyota Motor Credit Corp., 3.30%, 1/12/22

500,000

539,437

Toys R Us Property Co. I LLC, 10.75%, 7/15/17

2,000,000

2,155,000

TransContinental Gas Pipe Line Co. LLC, 4.45%, 8/1/42

650,000

669,079

Union Pacific Corp., 4.30%, 6/15/42

1,000,000

1,055,757

United Technologies Corp., 4.50%, 6/1/42

2,000,000

2,222,322

UnitedHealth Group, Inc.:

 

 

3.375%, 11/15/21

200,000

213,075

4.625%, 11/15/41

200,000

213,521

US Bancorp, 2.95%, 7/15/22

1,000,000

1,010,226

US Bank, 3.778% to 4/29/15, floating rate thereafter to 4/29/20 (r)

1,000,000

1,060,257

Verizon Communications, Inc.:

 

 

4.75%, 11/1/41

1,000,000

1,134,279

3.85%, 11/1/42

1,000,000

983,567

VF Corp., 3.50%, 9/1/21

1,000,000

1,057,825

Viacom, Inc., 4.50%, 2/27/42

500,000

493,256

Wachovia Capital Trust III, 5.57%, 12/31/49 (r)

2,200,000

2,189,000

Walgreen Co., 4.40%, 9/15/42

1,000,000

1,017,638

Watson Pharmaceuticals, Inc., 4.625%, 10/1/42

1,000,000

1,041,133

Williams Co.'s, Inc., 3.70%, 1/15/23

1,000,000

1,008,654

Yara International ASA, 7.875%, 6/11/19 (e)

950,000

1,220,210

 

 

 

Total Corporate Bonds (Cost $162,105,447)

 

173,638,984

 

 

 

MUNICIPAL OBLIGATIONS - 1.3%

 

 

Connecticut Special Tax Obligation Revenue Bonds, 5.459%, 11/1/30

1,000,000

1,177,660

Oakland California PO Revenue Bonds, Zero Coupon, 12/15/20

120,000

81,048

Orange County California PO Revenue Bonds, Zero Coupon, 9/1/14

95,000

90,459

Texas Transportation Commission Revenue Bonds, 5.178%, 4/1/30

1,000,000

1,205,720

Wells Fargo Bank NA Custodial Receipts Revenue Bonds:

 

 

6.584%, 9/1/27 (e)

100,000

108,593

6.734%, 9/1/47 (e)

100,000

107,414

 

 

 

Total Municipal Obligations (Cost $2,362,136)

 

2,770,894

 

 

 

U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES - 0.7%

 

 

Freddie Mac:

 

 

2.375%, 1/13/22

455,000

475,327

6.75%, 3/15/31

700,000

1,075,819

 

 

 

Total U.S. Government Agencies and Instrumentalities
(Cost $1,369,081)

 

1,551,146

 

 

 

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES - 1.2%

 

 

Fannie Mae, 3.00%, 1/4/13

2,390,000

2,504,272

 

 

 

Total U.S. Government Agency Mortgage-Backed Securities
(Cost $2,513,234)

 

2,504,272

 

 

 

U.S. TREASURY OBLIGATIONS - 11.6%

 

 

United States Treasury Bonds:

 

 

2.75%, 8/15/42

1,325,000

1,279,453

2.75%, 11/15/42

11,440,000

11,021,731

United States Treasury Notes:

 

 

0.625%, 11/30/17

4,800,000

4,783,877

1.625%, 11/15/22

7,475,000

7,393,238

 

 

 

Total U.S. Treasury Obligations (Cost $24,910,513)

 

24,478,299

 

 

 

SOVEREIGN GOVERNMENT BONDS - 0.6%

 

 

Province of Ontario Canada, 1.65%, 9/27/19

1,195,000

1,194,283

 

 

 

Total Sovereign Government Bonds (Cost $1,191,820)

 

1,194,283

 

 

 

TIME DEPOSIT - 1.0%

 

 

State Street Bank Time Deposit, 0.12%, 1/2/13

2,035,759

2,035,759

 

 

 

Total Time Deposit (Cost $2,035,759)

 

2,035,759

 

 

 

EQUITY SECURITIES - 0.4%

SHARES

 

CoBank ACB, Preferred (e)

400

269,625

Woodbourne Capital, Trust I, Preferred (b)(e)

1,000,000

495,000

 

 

 

Total Equity Securities (Cost $596,660)

 

764,625

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (Cost $198,123,098) - 99.6%

 

209,969,816

Other assets and liabilities, net - 0.4%

 

891,393

NET ASSETS - 100%

 

$210,861,209

 

 

 

 

FUTURES

NUMBER OF CONTRACTS

EXPIRATION DATE

UNDERLYING FACE AMOUNT AT VALUE

UNREALIZED APPRECIATION (DEPRECIATION)

Purchased:

 

 

 

 

10 Year U.S. Treasury Notes

27

3/13

$3,585,094

$6,435

 

(b) This security was valued by the Board of Trustees. See Note A.

 

(e) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

 

(p) The State of New York Insurance Department has prohibited Atlantic Mutual Insurance Co. from making interest payments. This security is no longer accruing interest.

 

(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

 

(x) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest.

 

(y) The government of Iceland took control of Glitnir Banki HF (the “Bank”) on October 8, 2008. The government has prohibited the Bank from paying any claims owed to foreign entities. This security is no longer accruing interest.

 

* Non-income producing security.

 

Abbreviations:

LLC: Limited Liability Corporation

LP: Limited Partnership

plc: Public Limited Company

PO: Pension Obligation

 

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

 

 

 

 

CALVERT ULTRA-SHORT INCOME FUND

 

 

SCHEDULE OF INVESTMENTS

 

 

DECEMBER 31, 2012

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES - 8.1%

PRINCIPAL AMOUNT

VALUE

AmeriCredit Automobile Receivables Trust, 5.213%, 1/6/15 (r)

$335,634

$337,351

Bear Stearns Asset Backed Securities Trust, 0.43%, 12/25/35 (r)

548,571

540,334

California Republic Auto Receivables Trust, 1.18%, 8/15/17 (e)

1,854,876

1,854,605

Capital Auto Receivables Asset Trust, 8.25%, 12/15/14 (e)

1,350,000

1,393,836

Chase Funding Mortgage Loan Asset-Backed Certificates, 4.396%,
2/25/30

164,384

164,963

Chrysler Financial Auto Securitization Trust, 2.00%, 1/8/14

3,750,000

3,757,987

CPS Auto Trust, 1.48%, 3/16/20 (e)

3,000,000

2,999,118

Credit Acceptance Auto Loan Trust, 2.06%, 4/16/18 (e)

1,434,671

1,434,915

DT Auto Owner Trust:

 

 

3.05%, 8/17/15 (e)

2,960,578

2,969,525

4.89%, 1/17/17 (e)

1,000,000

1,013,994

First Investors Auto Owner Trust, 1.47%, 5/15/18 (e)

2,000,000

2,003,776

Ford Credit Floorplan Master Owner Trust, 2.07%, 9/15/15 (e)

1,295,000

1,303,293

Santander Drive Auto Receivables Trust:

 

 

2.10%, 9/15/14 (e)

1,450,142

1,454,280

2.24%, 12/15/14

625,000

628,856

1.33%, 5/15/17

2,000,000

1,999,638

Sierra Receivables Funding Co. LLC:

 

 

5.31%, 11/20/25 (e)

3,539,836

3,635,876

2.84%, 11/20/28 (e)

1,906,351

1,944,135

Westlake Automobile Receivables Trust, 1.03%, 3/15/16 (e)

4,000,000

4,004,240

 

 

 

Total Asset-Backed Securities (Cost $33,480,199)

 

33,440,722

 

 

 

COLLATERALIZED MORTGAGE-BACKED OBLIGATIONS
(PRIVATELY ORIGINATED) - 1.0%

 

 

Chase Mortgage Finance Corp.:

 

 

3.003%, 2/25/37 (r)

181,181

182,975

3.006%, 2/25/37 (r)

300,130

297,482

Vericrest Opportunity Loan Transferee:

 

 

2.487%, 2/26/52 (e)

1,736,194

1,740,257

2.734%, 11/25/60 (e)(r)

1,953,920

1,953,920

 

 

 

Total Collateralized Mortgage-Backed Obligations
(Privately Originated) (Cost $4,125,962)

 

4,174,634

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.2%

 

 

Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.576%,
7/10/42

345,486

346,149

Bear Stearns Commercial Mortgage Securities, 4.83%, 8/15/38

107,400

107,360

Chase Manhattan Bank-First Union National Bank, 6.40%, 8/15/31 (e)

1,044,782

1,064,387

Commercial Mortgage Acceptance Corp., 6.21%, 7/15/31 (e)

2,742,085

2,746,409

Commercial Mortgage Asset Trust, 7.35%, 1/17/32 (r)

5,600,000

5,801,471

Credit Suisse First Boston Mortgage Securities Corp.:

 

 

4.597%, 3/15/35

209,768

209,714

3.936%, 5/15/38

1,152,612

1,156,084

GMAC Commercial Mortgage Securities, Inc. Trust, 5.46%, 5/10/40 (r)

540,000

550,264

JP Morgan Chase Commercial Mortgage Securities Corp.:

 

 

4.985%, 1/12/37

156,373

156,376

5.255%, 7/12/37 (r)

2,337,177

2,368,498

5.326%, 8/12/40 (r)

1,020,000

1,032,337

Merrill Lynch Mortgage Trust, 4.892%, 2/12/42

430,637

431,569

Morgan Stanley Capital I Trust, 5.007%, 1/14/42

39,738

39,773

Morgan Stanley Dean Witter Capital I:

 

 

6.55%, 7/15/33

1,000,000

1,029,174

5.08%, 9/15/37

501,559

501,419

Wachovia Bank Commercial Mortgage Trust, 5.23%, 7/15/41 (r)

34,611

34,572

 

 

 

Total Commercial Mortgage-Backed Securities (Cost $18,195,812)

 

17,575,556

 

 

 

CORPORATE BONDS - 75.1%

 

 

AbbVie, Inc., 1.072%, 11/6/15 (e)(r)

6,000,000

6,069,210

Airgas, Inc., 7.125%, 10/1/18

525,000

560,452

Alcoa, Inc., 6.00%, 7/15/13

3,000,000

3,079,557

Ally Financial, Inc., 3.51%, 2/11/14 (r)

2,180,000

2,218,957

American Express Bank FSB, 5.50%, 4/16/13

2,000,000

2,028,930

American Express Centurion Bank, 0.76%, 11/13/15 (r)

6,000,000

5,991,534

American Express Credit Corp.:

 

 

1.16%, 6/24/14 (r)

1,940,000

1,957,406

1.411%, 6/12/15 (r)

2,500,000

2,543,085

American International Group, Inc.:

 

 

3.75%, 11/30/13 (e)

400,000

410,328

4.25%, 9/15/14

1,000,000

1,053,399

ArcelorMittal, 5.375%, 6/1/13

4,625,000

4,671,440

ASIF Global Financing XIX, 4.90%, 1/17/13 (e)

5,000,000

5,007,060

Avis Budget Car Rental LLC, 2.81%, 5/15/14 (r)

6,000,000

5,962,500

BellSouth Corp., 4.02%, 4/26/21 (e)

4,000,000

4,041,372

BHP Billiton Finance USA Ltd., 0.581%, 2/18/14 (r)

2,000,000

2,005,482

Branch Banking & Trust Co., 0.63%, 9/13/16 (r)

4,700,000

4,626,877

British Telecommunications plc, 1.434%, 12/20/13 (r)

3,000,000

3,024,864

Bunge Ltd. Finance Corp., 5.875%, 5/15/13

1,120,000

1,139,860

Campbell Soup Co., 0.613%, 8/1/14 (r)

2,000,000

2,007,136

Cantor Fitzgerald LP, 6.375%, 6/26/15 (e)

1,820,000

1,843,367

Capital One Financial Corp., 0.953%, 11/6/15 (r)

5,000,000

5,012,625

Case New Holland, Inc., 7.75%, 9/1/13

1,210,000

1,258,400

Caterpillar Financial Services Corp., 0.66%, 2/9/15 (r)

5,000,000

5,021,945

Cemex SAB de CV, 5.311%, 9/30/15 (e)(r)

3,000,000

3,037,500

Chesapeake Energy Corp., 7.625%, 7/15/13

4,000,000

4,120,000

CIT Group, Inc., 5.25%, 4/1/14 (e)

1,250,000

1,293,750

Citigroup, Inc.:

 

 

0.436%, 3/7/14 (r)

1,250,000

1,241,950

0.593%, 11/5/14 (r)

6,000,000

5,955,006

4.587%, 12/15/15

828,000

903,969

Colgate-Palmolive Co., 0.60%, 11/15/14

2,000,000

2,007,394

CVS Pass-Through Trust, 6.117%, 1/10/13 (e)

924,110

924,110

Daimler Finance North America LLC:

 

 

0.92%, 3/28/14 (e)(r)

2,000,000

2,004,218

1.875%, 9/15/14 (e)

1,500,000

1,524,585

Duke Realty LP, 6.25%, 5/15/13

6,000,000

6,118,680

Ecolab, Inc., 2.375%, 12/8/14

2,750,000

2,838,652

ERP Operating LP, 5.20%, 4/1/13

3,055,000

3,086,943

Fifth Third Bank, 0.421%, 5/17/13 (r)

2,560,000

2,559,373

Ford Motor Credit Co. LLC:

 

 

3.875%, 1/15/15

750,000

782,132

4.207%, 4/15/16

750,000

799,962

3.984%, 6/15/16

1,500,000

1,592,739

General Electric Capital Corp.:

 

 

1.016%, 4/24/14 (r)

2,000,000

2,014,556

0.568%, 9/15/14 (r)

5,500,000

5,493,394

0.911%, 12/11/15 (r)

2,000,000

2,002,326

Gilead Sciences, Inc., 2.40%, 12/1/14

1,000,000

1,031,228

Glitnir Banki HF, 2.95%, 10/15/08 (y)*

120,000

32,700

Goldman Sachs Group, Inc.:

 

 

5.125%, 1/15/15

2,000,000

2,148,570

0.76%, 3/22/16 (r)

6,000,000

5,823,990

Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (e)

2,000,000

2,005,250

Hartford Financial Services Group, Inc., 4.625%, 7/15/13

6,886,000

7,018,500

HCA, Inc., 5.75%, 3/15/14

2,000,000

2,090,000

Hewlett-Packard Co.:

 

 

1.859%, 9/19/14 (r)

4,000,000

3,963,332

2.20%, 12/1/15

1,000,000

1,001,367

HSBC Bank plc:

 

 

0.96%, 8/12/13 (e)(r)

1,450,000

1,454,914

1.13%, 1/17/14 (e)(r)

1,500,000

1,510,353

Hutchison Whampoa International 03/13 Ltd., 6.50%, 2/13/13 (e)

1,200,000

1,207,290

ING Bank NV, 1.645%, 10/18/13 (e)(r)

2,000,000

2,013,858

International Business Machines Corp., 0.875%, 10/31/14

4,000,000

4,033,708

John Deere Capital Corp., 1.25%, 12/2/14

1,500,000

1,519,932

JPMorgan Chase & Co., 1.435%, 9/22/15 (r)

5,000,000

5,074,010

JPMorgan Chase Bank, 0.64%, 6/13/16 (r)

4,000,000

3,888,652

Level 3 Financing, Inc., 4.469%, 2/15/15 (r)

3,595,000

3,590,686

Life Technologies Corp., 3.375%, 3/1/13

4,000,000

4,012,068

Lockheed Martin Corp., 2.125%, 9/15/16

1,000,000

1,036,097

Macy's Retail Holdings, Inc., 5.875%, 1/15/13

6,175,000

6,184,590

Marriott International, Inc., 5.625%, 2/15/13

2,000,000

2,010,750

Masco Corp., 4.80%, 6/15/15

750,000

785,614

Merrill Lynch & Co., Inc., 0.80%, 1/15/15 (r)

7,000,000

6,862,352

MetLife Institutional Funding II, 1.254%, 4/4/14 (e)(r)

5,000,000

5,042,485

Morgan Stanley:

 

 

0.651%, 1/9/14 (r)

5,000,000

4,964,690

0.82%, 10/15/15 (r)

4,000,000

3,875,864

National Australia Bank Ltd., 1.067%, 4/11/14 (e)(r)

2,000,000

2,012,408

Nationwide Health Properties, Inc., 6.25%, 2/1/13

6,770,000

6,797,540

Ohio Power Co., 5.50%, 3/1/13

2,000,000

2,015,910

PNC Funding Corp., 0.513%, 1/31/14 (r)

1,000,000

1,000,426

PPG Industries, Inc., 5.75%, 3/15/13

1,105,000

1,116,449

Prudential Financial, Inc., 2.75%, 1/14/13

5,168,000

5,172,873

Quest Diagnostics, Inc., 1.16%, 3/24/14 (r)

1,000,000

1,006,097

Qwest Corp., 3.558%, 6/15/13 (r)

5,500,000

5,542,322

Realty Income Corp., 5.375%, 3/15/13

3,700,000

3,734,580

Rio Tinto Finance USA Ltd., 5.875%, 7/15/13

2,882,000

2,959,814

Royal Bank of Canada:

 

 

1.013%, 10/30/14 (r)

5,000,000

5,045,875

3.125%, 4/14/15 (e)

2,000,000

2,115,600

Rural Electric Cooperative Grantor Trust Certificates VRDN, 0.26%,
12/18/17 (r)

1,265,000

1,265,000

SABMiller Holdings, Inc., 1.85%, 1/15/15 (e)

3,000,000

3,059,061

Safeway, Inc., 1.811%, 12/12/13 (r)

3,680,000

3,681,141

Santander Holdings USA, Inc., 3.00%, 9/24/15

1,000,000

1,018,339

Select Medical Holdings Corp., 6.429%, 9/15/15 (r)

6,000,000

6,000,000

Shurgard Storage Centers LLC, 5.875%, 3/15/13

2,150,000

2,173,177

Spencer Spirit Holdings, Inc., 11.00%, 5/1/17 (e)

1,250,000

1,340,625

SunTrust Bank, 0.602%, 8/24/15 (r)

2,177,000

2,114,973

SunTrust Banks, Inc., 3.50%, 1/20/17

500,000

536,962

Telefonica Emisiones SAU, 0.643%, 2/4/13 (r)

5,895,000

5,888,669

Teva Pharmaceutical Finance Co. BV, 1.212%, 11/8/13 (r)

2,000,000

2,013,124

Toys R Us Property Co. I LLC, 10.75%, 7/15/17

3,000,000

3,232,500

Union Pacific Railroad Co. 2004 Pass Through Trust, 5.214%,
9/30/14 (e)

370,000

393,199

United Air Lines, Inc., 9.875%, 8/1/13 (e)

1,000,000

1,005,625

United Technologies Corp., 0.811%, 6/1/15 (r)

1,000,000

1,009,853

UnitedHealth Group, Inc., 4.875%, 2/15/13

580,000

582,903

US Bank, 3.778% to 4/29/15, floating rate thereafter to 4/29/20 (r)

1,500,000

1,590,386

Verizon Communications, Inc., 0.92%, 3/28/14 (r)

3,500,000

3,520,706

Verizon Global Funding Corp., 4.375%, 6/1/13

1,000,000

1,016,275

Volkswagen International Finance NV, 1.06%, 3/21/14 (e)(r)

5,000,000

5,026,640

Wachovia Bank NA, 0.693%, 11/3/14 (r)

2,151,000

2,144,661

Wachovia Capital Trust III, 5.57%, 12/31/49 (r)

1,000,000

995,000

Walgreen Co., 1.00%, 3/13/15

1,000,000

1,000,842

Wells Fargo & Co., 1.23%, 6/26/15 (r)

3,000,000

3,028,344

Western Union Co., 0.891%, 3/7/13 (r)

3,000,000

3,002,616

Westpac Banking Corp., 1.041%, 3/31/14 (e)(r)

2,000,000

2,012,616

Xerox Corp.:

 

 

1.71%, 9/13/13 (r)

5,000,000

5,032,785

1.13%, 5/16/14 (r)

1,000,000

997,906

Xstrata Finance Canada Ltd., 1.80%, 10/23/15 (e)

1,000,000

1,005,430

Yara International ASA, 5.25%, 12/15/14 (e)

995,000

1,069,607

 

 

 

Total Corporate Bonds (Cost $308,543,178)

 

311,298,734

 

 

 

MUNICIPAL OBLIGATIONS - 4.5%

 

 

Chelsea Michigan Economic Development Corp. LO Revenue VRDN,
0.14%, 10/1/36 (r)

1,200,000

1,200,000

District of Columbia Revenue VRDN, 0.11%, 4/1/38 (r)

3,000,000

3,000,000

Michigan Strategic Fund LO Revenue VRDN, 0.45%, 9/1/22 (r)

900,000

900,000

Mississippi Business Finance Corp. Revenue VRDN, 0.13%, 3/1/17 (r)

5,555,000

5,555,000

Nevada Housing Division Revenue VRDN, 0.15%, 4/15/39 (r)

2,800,000

2,800,000

Rhode Island Student Loan Authority Revenue VRDN, 0.22%, 6/1/48 (r)

3,000,000

3,000,000

Union County Arkansas Industrial Development Revenue VRDN,
0.69%, 10/1/27 (r)

1,500,000

1,500,000

Wilkes-Barre Pennsylvania GO VRDN, 0.20%, 11/1/25 (r)

300,000

300,000

Wisconsin Health & Educational Facilities Authority Revenue VRDN,
0.11%, 4/1/35 (r)

300,000

300,000

 

 

 

Total Municipal Obligations (Cost $18,555,000)

 

18,555,000

 

 

 

U.S. TREASURY OBLIGATIONS - 0.1%

 

 

United States Treasury Notes, 0.375%, 11/15/15

310,000

310,291

 

 

 

Total U.S. Treasury Obligations (Cost $310,449)

 

310,291

 

 

 

TIME DEPOSIT - 2.4%

 

 

State Street Bank Time Deposit, 0.12%, 1/2/13

10,001,272

10,001,272

 

 

 

Total Time Deposit (Cost $10,001,272)

 

10,001,272

 

 

 

COMMERCIAL PAPER - 2.9%

 

 

Daimler Finance North America LLC, 0.95%, 2/7/13 (e)

8,000,000

7,992,189

Rio Tinto America, Inc., 0.406%, 1/7/13 (e)

1,000,000

999,947

Wyndham Worldwide Corp., 0.92%, 1/14/13 (e)

3,125,000

3,124,418

 

 

 

Total Commercial Paper (Cost $12,116,084)

 

12,116,554

 

 

 

EQUITY SECURITIES - 0.1%

 

 

Woodbourne Capital, Trust II, Preferred (b)(e)

1,000,000

495,000

 

 

 

Total Equity Securities (Cost $451,507)

 

495,000

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (Cost $405,779,463) - 98.4%

 

407,967,763

Other assets and liabilities, net - 1.6%

 

6,702,550

NET ASSETS - 100%

 

$414,670,313

 

 

 

 

FUTURES

NUMBER OF CONTRACTS

EXPIRATION DATE

UNDERLYING FACE AMOUNT AT VALUE

UNREALIZED APPRECIATION (DEPRECIATION)

Sold:

 

 

 

 

2 Year U.S. Treasury Notes

58

3/13

$12,787,188

($2,916)

5 Year U.S. Treasury Notes

72

3/13

8,957,813

14,535

Total Sold

 

 

 

$11,619

 

(b) This security was valued by the Board of Directors. See Note A.

 

(e) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

 

(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

 

(y) The government of Iceland took control of Glitnir Banki HF (the “Bank”) on October 8, 2008. The government has prohibited the Bank from paying any claims owed to foreign entities. This security is no longer accruing interest.

 

* Non-income producing security.

 

Abbreviations:

FSB: Federal Savings Bank

GO: General Obligation

LLC: Limited Liability Corporation

LO: Limited Obligation

LP: Limited Partnership

plc: Public Limited Company

VRDN: Variable Rate Demand Notes

 

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

 

 

 

 

CALVERT GOVERNMENT FUND

 

 

SCHEDULE OF INVESTMENTS

 

 

DECEMBER 31, 2012

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES - 6.0%

PRINCIPAL AMOUNT

VALUE

American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (e)

$100,000

$100,022

Capital Auto Receivables Asset Trust, 8.25%, 12/15/14 (e)

150,000

154,871

Chrysler Financial Auto Securitization Trust, 1.65%, 11/8/13

79,681

79,695

Credit Acceptance Auto Loan Trust, 2.06%, 4/16/18 (e)

330,445

330,501

DT Auto Owner Trust, 3.05%, 8/17/15 (e)

333,065

334,071

Macquarie Equipment Funding Trust, 1.91%, 4/20/17 (e)

350,000

352,513

Santander Consumer Acquired Receivables Trust, 2.01%, 8/15/16 (e)

95,843

96,310

Santander Drive Auto Receivables Trust:

 

 

3.11%, 5/16/16

185,000

190,503

3.10%, 5/15/17 (e)

425,968

427,233

1.94%, 3/15/18

400,000

399,828

SVO VOI Mortgage Corp., 2.00%, 9/20/29 (e)

233,823

233,785

 

 

 

Total Asset-Backed Securities (Cost $2,706,784)

 

2,699,332

 

 

 

COLLATERALIZED MORTGAGE-BACKED OBLIGATIONS
(PRIVATELY ORIGINATED) - 0.2%

 

 

Springleaf Mortgage Loan Trust, 1.57%, 12/25/59 (e)(r)

110,542

111,163

 

 

 

Total Collateralized Mortgage-Backed Obligations
(Privately Originated) (Cost $110,527)

 

111,163

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES - 5.1%

 

 

Bear Stearns Commercial Mortgage Securities, 4.83%, 8/15/38

3,580

3,579

FHLMC Multifamily Structured Pass Through Certificates, 2.396%,
6/25/22

2,000,000

2,032,752

Motel 6 Trust, 1.948%, 10/5/25 (e)

230,000

231,719

Wachovia Bank Commercial Mortgage Trust, 5.23%, 7/15/41 (r)

20,579

20,556

 

 

 

Total Commercial Mortgage-Backed Securities (Cost $2,314,068)

 

2,288,606

 

 

 

CORPORATE BONDS - 9.3%

 

 

Amgen, Inc., 5.15%, 11/15/41

100,000

112,537

ASIF Global Financing XIX, 4.90%, 1/17/13 (e)

600,000

600,847

Bank of America Corp.:

 

 

1.733%, 1/30/14 (r)

100,000

100,835

0.638%, 9/15/14 (r)

100,000

99,074

Capital One Capital III, 7.686%, 8/1/66

500,000

500,000

Citigroup, Inc., 4.45%, 1/10/17

200,000

221,560

Colgate-Palmolive Co., 1.30%, 1/15/17

100,000

101,717

Crown Castle Towers LLC, 4.883%, 8/15/40 (e)

40,000

45,135

CVS Pass-Through Trust, 6.036%, 12/10/28

25,237

29,509

Excalibur One 77B LLC, 1.491%, 1/1/25

55,000

54,588

Ford Motor Credit Co. LLC, 3.984%, 6/15/16

50,000

53,091

General Electric Capital Corp., 1.60%, 11/20/17

250,000

250,162

Merrill Lynch & Co., Inc., 0.80%, 1/15/15 (r)

400,000

392,134

Morgan Stanley, 0.82%, 10/15/15 (r)

250,000

242,242

PNC Funding Corp., 5.625%, 2/1/17

50,000

57,729

Safina Ltd., 2.00%, 12/30/23

215,756

221,164

Tagua Leasing LLC, 1.581%, 11/16/24

400,000

399,575

The Dun & Bradstreet Corp., 2.875%, 11/15/15

50,000

50,721

Toyota Motor Credit Corp., 2.05%, 1/12/17

100,000

103,426

VRG Linhas Aereas SA, 0.85%, 9/27/14

400,000

402,258

Wachovia Capital Trust III, 5.57%, 12/31/49 (r)

140,000

139,300

 

 

 

Total Corporate Bonds (Cost $4,109,311)

 

4,177,604

 

 

 

MUNICIPAL OBLIGATIONS - 2.5%

 

 

Osceola County Florida HFA MFH Revenue VRDN, 0.34%, 9/15/35 (r)

630,000

630,000

Union County Arkansas Industrial Development Revenue VRDN,
0.69%, 10/1/27 (r)

500,000

500,000

 

 

 

Total Municipal Obligations (Cost $1,130,000)

 

1,130,000

 

 

 

U.S. GOVERNMENT AGENCIES AND
INSTRUMENTALITIES - 55.8%

 

 

Fannie Mae, 0.65%, 5/29/15

2,950,000

2,953,991

Freddie Mac:

 

 

1.25%, 10/2/19

7,750,000

7,727,324

2.375%, 1/13/22

4,870,000

5,087,567

6.75%, 3/15/31

575,000

883,708

Overseas Private Investment Corp., 4.05%, 11/15/14

62,580

64,541

Portmarnock Leasing LLC, 1.741%, 10/22/24

850,000

857,030

Private Export Funding Corp.:

 

 

4.55%, 5/15/15

1,132,000

1,244,249

1.45%, 8/15/19

1,000,000

1,008,284

2.05%, 11/15/22

2,000,000

1,996,048

Tennessee Valley Authority:

 

 

4.375%, 6/15/15

1,100,000

1,205,333

1.875%, 8/15/22

1,000,000

992,053

3.50%, 12/15/42

1,000,000

993,744

 

 

 

Total U.S. Government Agencies and Instrumentalities
(Cost $24,778,318)

 

25,013,872

 

 

 

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES - 10.8%

 

 

Fannie Mae:

 

 

3.00%, 1/4/13

1,370,000

1,435,503

3.50%, 3/1/22

224,451

238,168

5.50%, 3/25/32

678,507

690,984

5.00%, 4/25/34

129,023

136,276

FHLMC Multifamily Structured Pass Through Certificates, 2.776%,
6/25/17

1,043,076

1,092,286

Freddie Mac:

 

 

5.00%, 11/15/31

576,681

584,571

3.50%, 2/15/32

646,146

649,293

 

 

 

Total U.S. Government Agency Mortgage-Backed Securities
(Cost $4,855,102)

 

4,827,081

 

 

 

U.S. TREASURY OBLIGATIONS - 6.9%

 

 

United States Treasury Bonds:

 

 

2.75%, 8/15/42

180,000

173,813

2.75%, 11/15/42

1,290,000

1,242,835

United States Treasury Notes:

 

 

0.25%, 11/30/14

1,530,000

1,530,060

1.625%, 11/15/22

150,000

148,359

 

 

 

Total U.S. Treasury Obligations (Cost $3,149,685)

 

3,095,067

 

 

 

COMMERCIAL PAPER - 4.5%

 

 

Daimler Finance North America LLC, 0.95%, 2/7/13 (e)

2,000,000

1,998,047

 

 

 

Total Commercial Paper (Cost $1,998,047)

 

1,998,047

 

 

 

SOVEREIGN GOVERNMENT BONDS - 0.9%

 

 

Province of Ontario Canada, 2.45%, 6/29/22

400,000

405,235

 

 

 

Total Sovereign Government Bonds (Cost $398,522)

 

405,235

 

 

 

TIME DEPOSIT - 1.5%

 

 

State Street Bank Time Deposit, 0.12%, 1/2/13

679,633

679,633

 

 

 

Total Time Deposit (Cost $679,633)

 

679,633

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (Cost $46,229,997) - 103.5%

 

46,425,640

Other assets and liabilities, net - (3.5%)

 

(1,567,812)

NET ASSETS - 100%

 

$44,857,828

 

 

 

 

FUTURES

NUMBER OF CONTRACTS

EXPIRATION DATE

UNDERLYING FACE AMOUNT AT VALUE

UNREALIZED APPRECIATION (DEPRECIATION)

Sold:

 

 

 

 

5 Year U.S. Treasury Notes

20

3/13

$2,488,281

$4,038

10 Year U.S. Treasury Notes

75

3/13

9,958,594

45,641

Total Sold

 

 

 

$49,679

 

(e) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

 

(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

 

Abbreviations:

HFA: Housing Finance Agency/Authority

LLC: Limited Liability Corporation

MFH: Multi-Family Housing

VRDN: Variable Rate Demand Notes

 

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

 

 

 

 

CALVERT HIGH YIELD BOND FUND

 

 

SCHEDULE OF INVESTMENTS

 

 

DECEMBER 31, 2012

 

 

 

 

 

 

 

 

CORPORATE BONDS - 90.6%

PRINCIPAL AMOUNT

VALUE

99¢ Only Stores, 11.00%, 12/15/19

$500,000

$570,000

Accellent, Inc., 8.375%, 2/1/17

250,000

262,500

Access Midstream Partners LP / ACMP Finance Corp., 6.125%, 7/15/22

500,000

538,750

ADS Waste Holdings, Inc., 8.25%, 10/1/20 (e)

500,000

525,000

AES Corp., 9.75%, 4/15/16

500,000

597,500

Ally Financial, Inc.:

 

 

4.50%, 2/11/14

600,000

617,250

2.511%, 12/1/14 (r)

248,000

248,277

3.125%, 1/15/16

250,000

250,269

Alphabet Holding Co., Inc., 7.75%, 11/1/17 (e)

500,000

515,000

American Axle & Manufacturing Holdings, Inc., 9.25%, 1/15/17 (e)

160,000

177,600

American Axle & Manufacturing, Inc., 6.625%, 10/15/22

250,000

253,750

Antero Resources Finance Corp., 6.00%, 12/1/20 (e)

500,000

506,250

ArcelorMittal:

 

 

5.375%, 6/1/13

500,000

505,020

6.75%, 2/25/22

500,000

524,757

Ashtead Capital, Inc., 6.50%, 7/15/22 (e)

250,000

271,250

ASIF Global Financing XIX, 4.90%, 1/17/13 (e)

300,000

300,424

Atlas Pipeline Partners LP / Atlas Pipeline Finance Corp., 6.625%,
10/1/20 (e)

500,000

517,500

Avis Budget Car Rental LLC / Avis Budget Finance, Inc.:

 

 

4.875%, 11/15/17 (e)

350,000

355,250

9.625%, 3/15/18

250,000

278,750

8.25%, 1/15/19

250,000

276,250

B/E Aerospace, Inc., 6.875%, 10/1/20

500,000

556,250

Beverages & More, Inc., 9.625%, 10/1/14 (e)

500,000

511,875

BI-LO LLC / BI-LO Finance Corp., 9.25%, 2/15/19 (e)

500,000

535,000

Biomet, Inc., 6.50%, 8/1/20 (e)

400,000

425,000

Boise Paper Holdings LLC/Boise Finance Co., 9.00%, 11/1/17

250,000

273,125

Burger King Corp., 9.875%, 10/15/18

500,000

572,500

Calumet Specialty Products Partners LP/Calumet Finance Corp.,
9.625%, 8/1/20 (e)

500,000

543,750

Carrols Restaurant Group, Inc., 11.25%, 5/15/18 (e)

500,000

547,500

Catalent Pharma Solutions, Inc., 7.875%, 10/15/18 (e)

250,000

251,875

CCO Holdings LLC / CCO Holdings Capital Corp., 7.25%, 10/30/17

500,000

545,000

Celanese US Holdings LLC, 4.625%, 11/15/22

500,000

523,750

Cemex SAB de CV, 5.311%, 9/30/15 (e)(r)

250,000

253,125

Central Garden and Pet Co., 8.25%, 3/1/18

250,000

264,375

Checkers Drive-In Restaurants, Inc., 11.00%, 12/1/17 (e)

500,000

507,500

Chesapeake Energy Corp., 7.625%, 7/15/13

500,000

515,000

Chrysler Group LLC/CG Co-Issuer, Inc., 8.00%, 6/15/19

500,000

545,000

CIT Group, Inc.:

 

 

4.75%, 2/15/15 (e)

750,000

780,000

4.25%, 8/15/17

300,000

308,923

5.25%, 3/15/18

350,000

374,500

CKE Restaurants, Inc., 11.375%, 7/15/18

200,000

230,000

Clearwire Communications LLC / Clearwire Finance, Inc., 12.00%,
12/1/15 (e)

500,000

537,500

CNH Capital LLC, 3.875%, 11/1/15 (e)

250,000

257,813

Commercial Barge Line Co., 12.50%, 7/15/17

250,000

275,625

Constellation Brands, Inc., 7.25%, 9/1/16

500,000

577,500

Cott Beverages, Inc., 8.375%, 11/15/17

500,000

543,750

DaVita HealthCare Partners, Inc., 5.75%, 8/15/22

500,000

526,875

Delta Air Lines Pass Through Trust, 6.75%, 5/23/17

250,000

260,000

Dematic SA, 8.75%, 5/1/16 (e)

500,000

534,375

Digicel Group Ltd.:

 

 

10.50%, 4/15/18 (e)

250,000

275,000

8.25%, 9/30/20 (e)

500,000

550,000

Digicel Ltd., 8.25%, 9/1/17 (e)

250,000

267,500

DISH DBS Corp., 5.875%, 7/15/22

500,000

537,500

DuPont Fabros Technology LP, 8.50%, 12/15/17

250,000

273,125

Emdeon, Inc., 11.00%, 12/31/19

250,000

288,750

Empire Today LLC / Empire Today Finance Corp., 11.375%, 2/1/17 (e)

310,000

329,375

Enterprise Products Operating LLC, 7.034% to 1/15/18, floating rate
thereafter to 1/15/68 (r)

750,000

858,750

EP Energy LLC / Everest Acquisition Finance, Inc., 6.875%, 5/1/19

500,000

542,500

Exopack Holding Corp., 10.00%, 6/1/18

500,000

452,500

Ferrellgas LP/Ferrellgas Finance Corp., 9.125%, 10/1/17

500,000

541,250

Fiesta Restaurant Group, Inc., 8.875%, 8/15/16

500,000

534,375

First Data Corp., 9.875%, 9/24/15

750,000

765,000

Ford Motor Credit Co. LLC:

 

 

8.70%, 10/1/14

250,000

279,996

6.625%, 8/15/17

250,000

292,116

5.875%, 8/2/21

250,000

291,134

Freescale Semiconductor, Inc., 10.125%, 3/15/18 (e)

221,000

244,205

Frontier Communications Corp.:

 

 

8.25%, 4/15/17

250,000

288,750

7.125%, 3/15/19

250,000

271,875

9.25%, 7/1/21

250,000

293,125

Global Brass & Copper, Inc., 9.50%, 6/1/19 (e)

500,000

541,250

Goodyear Tire & Rubber Co., 7.00%, 5/15/22

500,000

536,250

Griffon Corp., 7.125%, 4/1/18

250,000

265,000

Grifols, Inc., 8.25%, 2/1/18

500,000

550,625

H&E Equipment Services, Inc., 7.00%, 9/1/22 (e)

350,000

372,750

Hanesbrands, Inc., 8.00%, 12/15/16

125,000

137,188

Harland Clarke Holdings Corp., 9.50%, 5/15/15

850,000

784,125

HCA, Inc.:

 

 

6.75%, 7/15/13

500,000

512,500

8.00%, 10/1/18

250,000

289,375

Hercules Offshore, Inc., 7.125%, 4/1/17 (e)

750,000

785,625

Hertz Corp., 6.75%, 4/15/19

500,000

545,625

HOA Restaurant Group LLC / HOA Finance Corp., 11.25%, 4/1/17 (e)

750,000

678,750

Hologic, Inc., 6.25%, 8/1/20 (e)

250,000

269,375

INEOS Finance plc, 9.00%, 5/15/15 (e)

500,000

531,250

INEOS Group Holdings SA, 8.50%, 2/15/16 (e)

250,000

248,750

Infor US, Inc., 9.375%, 4/1/19

500,000

561,250

Ingles Markets, Inc., 8.875%, 5/15/17

500,000

533,125

Innovation Ventures LLC / Innovation Ventures Finance Corp., 9.50%,
8/15/19 (e)

925,000

869,500

Integra Telecom Holdings, Inc., 10.75%, 4/15/16 (e)

250,000

261,250

Intelsat Jackson Holdings SA:

 

 

7.25%, 4/1/19

250,000

268,750

6.625%, 12/15/22 (e)

500,000

516,250

Interactive Data Corp., 10.25%, 8/1/18

500,000

562,500

International Lease Finance Corp.:

 

 

4.875%, 4/1/15

250,000

258,770

7.125%, 9/1/18 (e)

250,000

290,000

Iron Mountain, Inc., 8.00%, 6/15/20

500,000

528,750

Jarden Corp., 7.50%, 5/1/17

500,000

563,125

JET Equipment Trust, 7.63%, 8/15/12 (b)(e)(w)*

109,297

109

Kenan Advantage Group, Inc., 8.375%, 12/15/18 (e)

500,000

510,000

Kennedy-Wilson, Inc., 8.75%, 4/1/19

500,000

532,500

Kinetic Concepts, Inc., 10.50%, 11/1/18 (e)

750,000

786,562

Koppers, Inc., 7.875%, 12/1/19

500,000

550,000

Kratos Defense & Security Solutions, Inc., 10.00%, 6/1/17

750,000

823,125

Land O'Lakes Capital Trust I, 7.45%, 3/15/28 (e)

754,000

735,150

Lender Processing Services, Inc., 5.75%, 4/15/23

750,000

778,125

Level 3 Communications, Inc.:

 

 

11.875%, 2/1/19

250,000

288,125

8.875%, 6/1/19 (e)

250,000

266,250

Level 3 Financing, Inc., 4.469%, 2/15/15 (r)

250,000

249,700

Linn Energy LLC/Linn Energy Finance Corp., 6.25%, 11/1/19 (e)

300,000

301,500

Longview Fibre Paper & Packaging, Inc., 8.00%, 6/1/16 (e)

250,000

262,500

Mastro's Restaurants LLC/RRG Finance Corp., 12.00%, 6/1/17 (e)

507,791

528,103

MGM Resorts International:

 

 

6.75%, 4/1/13

500,000

505,625

7.625%, 1/15/17

500,000

535,000

Michaels Stores, Inc., 7.75%, 11/1/18 (e)

500,000

548,750

Mylan, Inc., 7.625%, 7/15/17 (e)

250,000

280,967

NCR Corp., 5.00%, 7/15/22 (e)

500,000

508,125

New Albertsons, Inc., 8.00%, 5/1/31

800,000

450,000

Nielsen Finance LLC / Nielsen Finance Co., 4.50%, 10/1/20 (e)

500,000

497,500

NII Capital Corp.:

 

 

8.875%, 12/15/19

500,000

397,500

7.625%, 4/1/21

500,000

378,750

Northern Tier Energy LLC / Northern Tier Finance Corp., 7.125%,
11/15/20 (e)

500,000

517,500

Novelis, Inc., 8.375%, 12/15/17

500,000

551,250

Nuance Communications, Inc., 5.375%, 8/15/20 (e)

250,000

261,250

Packaging Dynamics Corp., 8.75%, 2/1/16 (e)

650,000

679,250

Party City Holdings, Inc., 8.875%, 8/1/20 (e)

100,000

107,250

Petco Animal Supplies, Inc., 9.25%, 12/1/18 (e)

500,000

555,000

Plains Exploration & Production Co., 6.875%, 2/15/23

750,000

856,875

Post Holdings, Inc., 7.375%, 2/15/22 (e)

500,000

547,812

Prospect Medical Holdings, Inc., 8.375%, 5/1/19 (e)

500,000

526,250

QEP Resources, Inc., 5.25%, 5/1/23

500,000

535,000

Reliance Intermediate Holdings LP, 9.50%, 12/15/19 (e)

250,000

283,750

Rexel SA, 6.125%, 12/15/19 (e)

200,000

210,000

Reynolds Group Issuer Inc / Reynolds Group Issuer LLC:

 

 

7.125%, 4/15/19

500,000

537,500

9.00%, 4/15/19

250,000

260,000

9.875%, 8/15/19

250,000

267,500

SBA Telecommunications, Inc., 5.75%, 7/15/20 (e)

250,000

265,625

Seadrill Ltd., 5.625%, 9/15/17 (e)

500,000

496,250

Seagate Technology International, 10.00%, 5/1/14 (e)

250,000

269,063

Sealed Air Corp., 8.125%, 9/15/19 (e)

250,000

281,250

Select Medical Holdings Corp., 6.429%, 9/15/15 (r)

1,000,000

1,000,000

Serta Simmons Holdings LLC, 8.125%, 10/1/20 (e)

250,000

250,000

ServiceMaster Co.:

 

 

8.00%, 2/15/20

250,000

260,625

7.00%, 8/15/20 (e)

500,000

501,250

Sinclair Television Group, Inc., 6.125%, 10/1/22 (e)

500,000

530,625

SM Energy Co., 6.50%, 1/1/23

500,000

535,000

Sophia LP / Sophia Finance, Inc., 9.75%, 1/15/19 (e)

250,000

269,375

Spencer Spirit Holdings, Inc., 11.00%, 5/1/17 (e)

850,000

911,625

Sprint Nextel Corp., 6.00%, 12/1/16

500,000

543,750

Standard Pacific Corp., 10.75%, 9/15/16

250,000

310,625

STATS ChipPAC Ltd., 7.50%, 8/12/15 (e)

500,000

532,500

SUPERVALU, Inc., 7.50%, 11/15/14

250,000

242,500

Telefonica Emisiones SAU, 0.643%, 2/4/13 (r)

500,000

499,463

Toys R Us, Inc., 10.375%, 8/15/17

500,000

521,250

Triumph Group, Inc., 8.625%, 7/15/18

250,000

277,500

Tronox Finance LLC, 6.375%, 8/15/20 (e)

500,000

505,000

TRW Automotive, Inc., 8.875%, 12/1/17 (e)

250,000

275,000

UCI International, Inc., 8.625%, 2/15/19

250,000

247,813

United Air Lines, Inc., 9.875%, 8/1/13 (e)

643,000

646,617

United Rentals North America, Inc.:

 

 

9.25%, 12/15/19

250,000

285,000

7.375%, 5/15/20 (e)

500,000

548,750

Videotron Ltd., 9.125%, 4/15/18

500,000

532,500

Virgin Media Finance plc, 5.25%, 2/15/22

250,000

265,000

VWR Funding, Inc., 7.25%, 9/15/17 (e)

500,000

525,000

 

 

 

Total Corporate Bonds (Cost $67,200,611)

 

70,846,476

 

 

 

FLOATING RATE LOANS(d)- 2.5%

 

 

BJ's Wholesale Club, Inc., 5.75%, 9/20/19 (r)

500,000

506,518

Getty Images, Inc., 4.75%, 10/18/19 (r)

1,000,000

1,000,156

Party City Holdings, Inc., 5.75%, 7/27/19 (r)

498,750

503,348

 

 

 

Total Floating Rate Loans (Cost $1,979,614)

 

2,010,022

 

 

 

TIME DEPOSIT - 4.9%

 

 

State Street Bank Time Deposit, 0.12%, 1/2/13

3,833,623

3,833,623

 

 

 

Total Time Deposit (Cost $3,833,623)

 

3,833,623

 

 

 

EQUITY SECURITIES - 0.0%

SHARES

 

Avado Brands, Inc. (b)*

9,462

—

Intermet Corp. (b)*

6,346

—

Paging Network Do Brazil Holding Co. LLC, Class B (b)(e)*

1,000

—

 

 

 

Total Equity Securities (Cost $282,378)

 

—

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (Cost $73,296,226) - 98.0%

 

76,690,121

Other assets and liabilities, net - 2.0%

 

1,532,267

NET ASSETS - 100%

 

$78,222,388

 

 

 

 

(b) This security was valued by the Board of Trustees. See Note A.

 

(d) Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. Floating rate loans generally pay interest at rates which are periodically re-determined at a margin above the London InterBank Offered Rate (“LIBOR”) or other short-term rates. The rate shown is the rate in effect at period end. Floating rate loans are generally considered restrictive in that the Fund is ordinarily contractually obligated to receive consent from the Agent Bank and/or Borrower prior to disposition of a floating rate loan.

 

(e) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

 

(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

 

(w) Security is in default and is no longer accruing interest.

 

* Non-income producing security.

 

Abbreviations:

LLC: Limited Liability Corporation

LP: Limited Partnership

plc: Public Limited Company

 

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

 

 

 

 

CALVERT SHORT DURATION INCOME FUND

 

 

SCHEDULE OF INVESTMENTS

 

 

DECEMBER 31, 2012

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES - 2.5%

PRINCIPAL AMOUNT

VALUE

AmeriCredit Automobile Receivables Trust:

 

 

5.213%, 1/6/15 (r)

$927,469

$932,212

1.31%, 11/8/17

4,000,000

4,016,396

Bear Stearns Asset Backed Securities Trust:

 

 

0.43%, 12/25/35 (r)

3,163,938

3,116,428

0.33%, 4/25/37 (r)

417,687

414,267

Chrysler Financial Auto Securitization Trust, 2.00%, 1/8/14

2,250,000

2,254,793

CPS Auto Trust, 1.82%, 12/16/19 (e)

3,130,936

3,131,998

DT Auto Owner Trust:

 

 

1.40%, 8/15/14 (e)

1,083,793

1,084,681

3.05%, 8/17/15 (e)

2,627,513

2,635,453

4.89%, 1/17/17 (e)

4,750,000

4,816,471

First Investors Auto Owner Trust, 1.47%, 5/15/18 (e)

5,000,000

5,009,440

Santander Drive Auto Receivables Trust:

 

 

1.33%, 5/15/17

3,000,000

2,999,457

1.94%, 3/15/18

3,640,000

3,638,438

Sierra Receivables Funding Co. LLC:

 

 

2.84%, 11/20/28 (e)

5,020,059

5,119,556

1.87%, 8/20/29 (e)

4,609,521

4,600,132

SVO VOI Mortgage Corp., 2.00%, 9/20/29 (e)

2,946,166

2,945,689

Westlake Automobile Receivables Trust, 1.03%, 3/15/16 (e)

1,500,000

1,501,590

 

 

 

Total Asset-Backed Securities (Cost $48,248,435)

 

48,217,001

 

 

 

COLLATERALIZED MORTGAGE-BACKED OBLIGATIONS
(PRIVATELY ORIGINATED) - 0.4%

 

 

Chase Mortgage Finance Corp.:

 

 

2.991%, 2/25/37 (r)

742,781

748,536

3.003%, 2/25/37 (r)

362,361

365,950

3.01%, 2/25/37 (r)

2,528,506

2,505,530

GMAC Mortgage Corp. Loan Trust, 5.50%, 10/25/33

692,411

697,974

Springleaf Mortgage Loan Trust, 1.57%, 12/25/59 (e)(r)

3,051,911

3,069,078

 

 

 

Total Collateralized Mortgage-Backed Obligations
(Privately Originated) (Cost $7,004,330)

 

7,387,068

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.4%

 

 

BAMLL-DB Trust:

 

 

2.343%, 4/13/29 (e)

218,949

222,215

3.352%, 4/13/29 (e)

4,397,953

4,634,396

Banc of America Merrill Lynch Commercial Mortgage, Inc.:

 

 

5.556%, 6/10/39 (r)

1,756,926

1,863,556

4.576%, 7/10/42

999,145

1,001,064

Commercial Mortgage Asset Trust, 7.35%, 1/17/32 (r)

8,022,000

8,310,607

Commercial Mortgage Pass Through Certificates, 2.388%, 12/10/45

2,155,000

2,188,122

Credit Suisse First Boston Mortgage Securities Corp.:

 

 

4.597%, 3/15/35

220,257

220,199

3.936%, 5/15/38

7,618,765

7,641,713

GE Capital Commercial Mortgage Corp., 4.692%, 11/10/38 (r)

2,000,000

2,051,872

JP Morgan Chase Commercial Mortgage Securities Corp., 5.299%,
6/12/41 (r)

763,295

780,648

Morgan Stanley Capital I Trust, 5.007%, 1/14/42

381,077

381,412

Morgan Stanley Dean Witter Capital I:

 

 

6.55%, 7/15/33

7,480,000

7,698,222

5.08%, 9/15/37

1,005,857

1,005,576

Motel 6 Trust, 1.948%, 10/5/25 (e)

6,975,000

7,027,117

 

 

 

Total Commercial Mortgage-Backed Securities (Cost $45,854,432)

 

45,026,719

 

 

 

CORPORATE BONDS - 77.2%

 

 

99¢ Only Stores, 11.00%, 12/15/19

1,500,000

1,710,000

AbbVie, Inc.:

 

 

1.072%, 11/6/15 (e)(r)

2,000,000

2,023,070

1.20%, 11/6/15 (e)

3,000,000

3,020,043

1.75%, 11/6/17 (e)

2,000,000

2,021,754

Aetna, Inc., 1.50%, 11/15/17

1,000,000

1,002,022

Affiliated Computer Services, Inc., 5.20%, 6/1/15

3,000,000

3,224,748

Alcoa, Inc.:

 

 

6.00%, 7/15/13

2,250,000

2,309,668

6.75%, 7/15/18

4,000,000

4,569,664

Alliance Mortgage Investments, Inc.:

 

 

12.61%, 6/1/10 (b)(r)(x)*

385,345

—

15.36%, 12/1/10 (b)(r)(x)*

259,801

—

Ally Financial, Inc.:

 

 

4.50%, 2/11/14

875,000

900,156

4.625%, 6/26/15

2,000,000

2,084,952

America Movil SAB de CV, 2.375%, 9/8/16

2,250,000

2,338,612

American Express Centurion Bank:

 

 

0.76%, 11/13/15 (r)

6,150,000

6,141,322

0.875%, 11/13/15

2,000,000

1,998,530

American Express Credit Corp., 1.411%, 6/12/15 (r)

2,500,000

2,543,085

American International Group, Inc.:

 

 

4.25%, 5/15/13

9,081,000

9,191,298

4.25%, 9/15/14

4,000,000

4,213,596

3.00%, 3/20/15

3,000,000

3,121,548

5.05%, 10/1/15

3,650,000

4,027,300

5.60%, 10/18/16

2,000,000

2,283,924

American Tower Corp.:

 

 

4.50%, 1/15/18

2,420,000

2,652,838

5.90%, 11/1/21

3,500,000

4,178,188

Amgen, Inc.:

 

 

1.875%, 11/15/14

2,000,000

2,045,340

2.50%, 11/15/16

1,550,000

1,628,545

Anadarko Petroleum Corp., 6.375%, 9/15/17

2,400,000

2,866,788

Antero Resources Finance Corp., 6.00%, 12/1/20 (e)

2,000,000

2,025,000

Apache Corp., 1.75%, 4/15/17

1,000,000

1,026,863

ArcelorMittal:

 

 

5.375%, 6/1/13

7,500,000

7,575,307

4.25%, 2/25/15

2,000,000

2,020,124

5.00%, 2/25/17

3,000,000

3,028,185

ASIF Global Financing XIX, 4.90%, 1/17/13 (e)

8,000,000

8,011,296

AT&T, Inc.:

 

 

0.875%, 2/13/15

5,000,000

5,023,440

2.50%, 8/15/15

3,000,000

3,127,734

2.95%, 5/15/16

6,000,000

6,352,332

2.40%, 8/15/16

8,000,000

8,348,568

Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (b)(e)(p)*

350,000

—

Avis Budget Car Rental LLC, 2.81%, 5/15/14 (r)

3,000,000

2,981,250

Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 8.25%,
1/15/19

1,044,000

1,153,620

Bank of America Corp.:

 

 

1.897%, 7/11/14 (r)

11,949,000

12,087,537

0.638%, 9/15/14 (r)

1,400,000

1,387,039

4.50%, 4/1/15

2,000,000

2,131,852

3.875%, 3/22/17

2,050,000

2,223,268

5.65%, 5/1/18

5,750,000

6,689,797

Bank of America NA, 5.30%, 3/15/17

22,400,000

25,193,504

Bank of New York Mellon Corp.:

 

 

1.70%, 11/24/14

7,200,000

7,363,339

2.40%, 1/17/17

2,000,000

2,095,204

1.969%, 6/20/17 (r)

3,000,000

3,093,888

Bank of Nova Scotia:

 

 

1.85%, 1/12/15

6,350,000

6,502,902

1.95%, 1/30/17 (e)

2,000,000

2,083,200

Becton Dickinson and Co., 1.75%, 11/8/16

2,000,000

2,059,068

BellSouth Corp., 4.02%, 4/26/21 (e)

7,800,000

7,880,675

Berkshire Hathaway Finance Corp., 3.00%, 5/15/22

5,000,000

5,209,230

Berkshire Hathaway, Inc., 1.90%, 1/31/17

3,000,000

3,101,166

BHP Billiton Finance USA Ltd.:

 

 

1.125%, 11/21/14

5,000,000

5,060,290

1.875%, 11/21/16

5,000,000

5,155,380

1.625%, 2/24/17

4,000,000

4,090,340

BNSF Funding Trust I, 6.613% to 1/15/26, floating rate thereafter to
12/15/55 (r)

8,869,000

10,055,229

BP Capital Markets plc, 1.846%, 5/5/17

5,000,000

5,111,370

Burger King Corp., 9.875%, 10/15/18

1,500,000

1,717,500

Caisse Centrale Desjardins du Quebec, 2.55%, 3/24/16 (e)

5,000,000

5,291,500

Cantor Fitzgerald LP:

 

 

6.375%, 6/26/15 (e)

8,835,000

8,948,433

7.875%, 10/15/19 (e)

11,550,000

11,841,395

Capital One Capital III, 7.686%, 8/1/66

2,250,000

2,250,000

Capital One Capital VI, 8.875%, 5/15/40

2,587,000

2,587,000

Capital One Financial Corp.:

 

 

1.49%, 7/15/14 (r)

5,000,000

5,053,940

2.15%, 3/23/15

3,500,000

3,572,593

0.953%, 11/6/15 (r)

2,000,000

2,005,050

1.00%, 11/6/15

3,500,000

3,488,177

3.15%, 7/15/16

8,000,000

8,493,488

6.15%, 9/1/16

3,800,000

4,347,276

Carrols Restaurant Group, Inc., 11.25%, 5/15/18 (e)

1,500,000

1,642,500

Caterpillar Financial Services Corp.:

 

 

1.125%, 12/15/14

5,000,000

5,053,635

0.70%, 11/6/15

2,000,000

1,994,892

1.25%, 11/6/17

1,000,000

999,247

Cemex SAB de CV, 5.311%, 9/30/15 (e)(r)

12,100,000

12,251,250

CenturyLink, Inc., 5.80%, 3/15/22

9,250,000

9,778,425

Checkers Drive-In Restaurants, Inc., 11.00%, 12/1/17 (e)

1,500,000

1,522,500

Chesapeake Energy Corp., 7.625%, 7/15/13

10,850,000

11,175,500

Chevron Corp., 1.104%, 12/5/17

3,000,000

3,020,946

CIT Group, Inc.:

 

 

4.75%, 2/15/15 (e)

5,675,000

5,902,000

5.00%, 5/15/17

2,000,000

2,120,000

4.25%, 8/15/17

1,700,000

1,750,561

5.25%, 3/15/18

1,500,000

1,605,000

Citigroup, Inc.:

 

 

5.50%, 4/11/13

5,000,000

5,051,515

0.436%, 3/7/14 (r)

13,750,000

13,661,450

6.375%, 8/12/14

3,940,000

4,257,761

2.65%, 3/2/15

5,500,000

5,663,713

4.75%, 5/19/15

65,000

70,072

4.587%, 12/15/15

3,309,000

3,612,601

3.953%, 6/15/16

9,000,000

9,687,249

4.45%, 1/10/17

11,500,000

12,739,700

Colgate-Palmolive Co., 1.30%, 1/15/17

3,425,000

3,483,790

ConAgra Foods, Inc.:

 

 

1.35%, 9/10/15

2,000,000

1,999,938

2.10%, 3/15/18

2,000,000

2,003,310

Constellation Brands, Inc., 7.25%, 9/1/16

1,500,000

1,732,500

Costco Wholesale Corp., 1.70%, 12/15/19

3,000,000

3,020,430

Crown Castle Towers LLC:

 

 

3.214%, 8/15/35 (e)

3,000,000

3,127,851

5.495%, 1/15/37 (e)

4,000,000

4,563,564

4.174%, 8/15/37 (e)

5,500,000

6,035,535

4.883%, 8/15/40 (e)

2,960,000

3,339,954

CVS Pass-Through Trust:

 

 

5.789%, 1/10/26 (e)

5,108,378

5,823,551

6.036%, 12/10/28

7,823,490

9,147,772

Daimler Finance North America LLC:

 

 

0.92%, 3/28/14 (e)(r)

8,000,000

8,016,872

1.875%, 9/15/14 (e)

1,500,000

1,524,585

2.625%, 9/15/16 (e)

3,000,000

3,117,036

DDR Corp., 4.75%, 4/15/18

8,265,000

9,159,876

Delta Air Lines Pass Through Trust, 6.75%, 5/23/17

2,750,000

2,860,000

Deutsche Telekom International Finance BV, 2.25%, 3/6/17 (e)

4,000,000

4,101,948

Devon Energy Corp., 1.875%, 5/15/17

2,000,000

2,038,856

Discover Bank, 8.70%, 11/18/19

2,107,000

2,741,801

Discover Financial Services:

 

 

6.45%, 6/12/17

4,175,000

4,882,132

3.85%, 11/21/22 (e)

6,783,000

6,999,201

DISH DBS Corp., 4.625%, 7/15/17

3,000,000

3,127,500

Dow Chemical Co.:

 

 

4.125%, 11/15/21

2,500,000

2,738,810

3.00%, 11/15/22

4,000,000

3,991,096

Dr Pepper Snapple Group, Inc., 2.60%, 1/15/19

3,000,000

3,093,696

Duke Energy Carolinas LLC, 1.75%, 12/15/16

3,000,000

3,075,636

Duke Realty LP:

 

 

4.625%, 5/15/13

2,750,000

2,788,396

6.25%, 5/15/13

7,967,000

8,124,587

Eastman Chemical Co., 2.40%, 6/1/17

2,000,000

2,066,486

Eaton Corp., 0.95%, 11/2/15 (e)

3,000,000

3,009,126

Ecolab, Inc., 3.00%, 12/8/16

5,000,000

5,313,570

Enterprise Products Operating LLC, 7.034% to 1/15/18, floating rate
thereafter to 1/15/68 (r)

22,805,000

26,111,725

ERP Operating LP, 5.25%, 9/15/14

6,811,000

7,316,472

Esplanade Theatres LLC VRDN, 0.31%, 11/1/42 (r)

4,710,000

4,710,000

Express Scripts Holding Co.:

 

 

2.75%, 11/21/14 (e)

2,500,000

2,578,988

2.10%, 2/12/15 (e)

3,000,000

3,055,965

FBG Finance Ltd., 5.125%, 6/15/15 (e)

6,150,000

6,746,556

Fifth Third Bank, 0.421%, 5/17/13 (r)

12,515,000

12,511,934

First Niagara Fina ncial Group, Inc., 6.75%, 3/19/20

1,500,000

1,775,051

Ford Motor Credit Co. LLC:

 

 

3.875%, 1/15/15

3,000,000

3,128,529

2.75%, 5/15/15

4,000,000

4,082,280

4.207%, 4/15/16

23,550,000

25,118,807

3.984%, 6/15/16

4,000,000

4,247,304

4.25%, 2/3/17

4,600,000

4,927,939

Foster's Finance Corp., 4.875%, 10/1/14 (e)

8,880,000

9,478,095

Four Fishers LLC VRDN, 0.41%, 4/1/24 (r)

4,490,000

4,490,000

Freeport-McMoRan Copper & Gold, Inc.:

 

 

1.40%, 2/13/15

4,000,000

3,991,616

2.15%, 3/1/17

3,000,000

3,015,933

Frontier Communications Corp., 6.25%, 1/15/13

6,300,000

6,307,875

General Electric Capital Corp.:

 

 

1.016%, 4/24/14 (r)

5,000,000

5,036,390

2.15%, 1/9/15

3,000,000

3,081,405

1.00%, 12/11/15

1,000,000

1,004,024

2.95%, 5/9/16

5,000,000

5,266,840

3.35%, 10/17/16

7,000,000

7,513,702

2.30%, 4/27/17

9,000,000

9,331,929

1.60%, 11/20/17

2,000,000

2,001,298

2.10%, 12/11/19

1,000,000

1,002,827

General Electric Capital Corp. / LJ VP Holdings LLC, 3.80%,
6/18/19 (e)

5,000,000

5,327,890

Georgia Gulf Corp., 9.00%, 1/15/17 (e)

3,600,000

4,005,000

Gilead Sciences, Inc.:

 

 

2.40%, 12/1/14

2,000,000

2,062,456

3.05%, 12/1/16

3,000,000

3,213,078

Glitnir Banki HF:

 

 

2.95%, 10/15/08 (y)*

10,440,000

2,844,900

6.33%, 7/28/11 (e)(y)*

180,000

49,050

Goldman Sachs Group, Inc.:

 

 

5.35%, 1/15/16

12,000,000

13,264,728

3.625%, 2/7/16

4,300,000

4,551,649

0.76%, 3/22/16 (r)

6,000,000

5,823,990

6.15%, 4/1/18

7,600,000

8,928,237

Great River Energy, 5.829%, 7/1/17 (e)

11,157,088

11,865,898

Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (e)

3,000,000

3,007,875

Hartford Financial Services Group, Inc., 4.00%, 10/15/17

5,000,000

5,462,010

HCA, Inc., 6.25%, 2/15/13

14,384,000

14,455,920

Health Care REIT, Inc., 3.625%, 3/15/16

1,000,000

1,055,972

Hercules Offshore, Inc., 7.125%, 4/1/17 (e)

3,000,000

3,142,500

Hewlett-Packard Co.:

 

 

1.859%, 9/19/14 (r)

8,000,000

7,926,664

2.20%, 12/1/15

2,816,000

2,819,849

2.60%, 9/15/17

2,750,000

2,678,929

HSBC Bank plc:

 

 

1.625%, 8/12/13 (e)

4,395,000

4,425,765

1.13%, 1/17/14 (e)(r)

9,500,000

9,565,569

HSBC USA, Inc., 2.375%, 2/13/15

2,000,000

2,057,252

Hyundai Capital Services, Inc., 3.50%, 9/13/17 (e)

3,000,000

3,168,030

Innovation Ventures LLC / Innovation Ventures Finance Corp., 9.50%,
8/15/19 (e)

5,250,000

4,935,000

International Business Machines Corp.:

 

 

0.875%, 10/31/14

3,500,000

3,529,494

0.55%, 2/6/15

5,000,000

5,000,930

1.95%, 7/22/16

5,000,000

5,196,355

International Lease Finance Corp.:

 

 

6.50%, 9/1/14 (e)

5,000,000

5,337,500

4.875%, 4/1/15

4,750,000

4,916,630

iPCS, Inc., 2.438%, 5/1/13 (r)

2,500,000

2,493,750

Jefferies Group, Inc., 5.125%, 4/13/18

2,500,000

2,625,000

John Deere Capital Corp.:

 

 

1.25%, 12/2/14

1,860,000

1,884,716

2.00%, 1/13/17

4,000,000

4,138,884

JPMorgan Chase & Co.:

 

 

1.435%, 9/22/15 (r)

14,500,000

14,714,629

3.15%, 7/5/16

8,000,000

8,475,600

2.00%, 8/15/17

10,000,000

10,214,960

JPMorgan Chase Bank, 0.64%, 6/13/16 (r)

5,850,000

5,687,154

Kenan Advantage Group, Inc., 8.375%, 12/15/18 (e)

2,000,000

2,040,000

KeyBank, 5.80%, 7/1/14

7,500,000

8,033,722

Kinder Morgan Energy Partners LP, 3.50%, 3/1/16

5,000,000

5,344,995

Kraft Foods Group, Inc.:

 

 

1.625%, 6/4/15 (e)

1,000,000

1,017,769

2.25%, 6/5/17 (e)

2,000,000

2,068,632

Lender Processing Services, Inc., 5.75%, 4/15/23

2,050,000

2,126,875

Leucadia National Corp., 8.125%, 9/15/15

4,200,000

4,725,000

Life Technologies Corp., 3.375%, 3/1/13

2,500,000

2,507,543

Lockheed Martin Corp., 2.125%, 9/15/16

2,000,000

2,072,194

Lowe's Co.'s, Inc., 1.625%, 4/15/17

1,000,000

1,023,313

LyondellBasell Industries NV, 5.00%, 4/15/19

2,000,000

2,210,000

Marriott International, Inc., 5.625%, 2/15/13

5,000,000

5,026,875

Masco Corp.:

 

 

4.80%, 6/15/15

10,500,000

10,998,592

5.85%, 3/15/17

3,010,000

3,275,783

Mastro's Restaurants LLC/RRG Finance Corp., 12.00%, 6/1/17 (e)

4,062,333

4,224,826

Merrill Lynch & Co., Inc.:

 

 

0.80%, 1/15/15 (r)

8,230,000

8,068,165

5.70%, 5/2/17

5,000,000

5,487,500

6.40%, 8/28/17

5,000,000

5,871,775

MetLife Institutional Funding II, 1.254%, 4/4/14 (e)(r)

10,000,000

10,084,970

MGM Resorts International, 6.75%, 4/1/13

2,000,000

2,022,500

Microsoft Corp., 0.875%, 11/15/17

1,000,000

994,735

Molson Coors Brewing Co., 2.00%, 5/1/17

1,000,000

1,024,424

Morgan Stanley:

 

 

0.651%, 1/9/14 (r)

3,000,000

2,978,814

0.82%, 10/15/15 (r)

5,750,000

5,571,554

3.80%, 4/29/16

5,000,000

5,248,925

6.25%, 8/28/17

22,200,000

25,409,054

National Oilwell Varco, Inc., 1.35%, 12/1/17

1,000,000

1,006,364

Nationwide Health Properties, Inc.:

 

 

6.25%, 2/1/13

14,629,000

14,688,511

6.90%, 10/1/37

8,890,000

11,016,790

6.59%, 7/7/38

1,300,000

1,580,137

NBCUniversal Media LLC, 2.875%, 4/1/16

5,000,000

5,271,230

NetApp, Inc., 2.00%, 12/15/17

3,000,000

2,989,308

New York Life Global Funding, 1.65%, 5/15/17 (e)

3,050,000

3,106,114

NII Capital Corp.:

 

 

10.00%, 8/15/16

2,000,000

1,860,000

7.625%, 4/1/21

17,470,000

13,233,525

Nissan Motor Acceptance Corp., 1.95%, 9/12/17 (e)

5,000,000

5,068,310

Noble Holding International Ltd., 2.50%, 3/15/17

2,000,000

2,064,074

NuStar Pipeline Operating Partnership LP, 5.875%, 6/1/13

7,081,000

7,159,691

Penske Truck Leasing Co. LP / PTL Finance Corp.:

 

 

3.125%, 5/11/15 (e)

2,000,000

2,040,680

2.50%, 3/15/16 (e)

5,000,000

5,013,470

3.75%, 5/11/17 (e)

3,000,000

3,139,113

Pernod-Ricard SA:

 

 

2.95%, 1/15/17 (e)

5,000,000

5,258,630

4.25%, 7/15/22 (e)

2,000,000

2,197,920

Pioneer Natural Resources Co., 5.875%, 7/15/16

14,450,000

16,384,710

PNC Funding Corp., 5.625%, 2/1/17

2,700,000

3,117,371

Prudential Covered Trust, 2.997%, 9/30/15 (e)

1,900,000

1,970,323

Regions Financial Corp., 5.75%, 6/15/15

5,000,000

5,406,250

Rio Tinto Finance USA plc:

 

 

1.125%, 3/20/15

3,000,000

3,024,582

2.00%, 3/22/17

7,000,000

7,165,508

Royal Bank of Canada, 1.20%, 9/19/17

18,425,000

18,469,220

Ryder System, Inc., 3.15%, 3/2/15

4,000,000

4,131,208

SABMiller Holdings, Inc., 2.45%, 1/15/17 (e)

22,000,000

22,932,690

Safeway, Inc.:

 

 

1.811%, 12/12/13 (r)

9,000,000

9,002,790

3.40%, 12/1/16

2,000,000

2,065,434

Select Medical Holdings Corp., 6.429%, 9/15/15 (r)

1,750,000

1,750,000

Sherwin-Williams Co., 1.35%, 12/15/17

2,000,000

1,995,606

Simon Property Group LP:

 

 

5.25%, 12/1/16

2,000,000

2,288,274

2.80%, 1/30/17

5,000,000

5,275,930

SLM Corp., 5.375%, 1/15/13

5,000,000

4,999,970

Spencer Spirit Holdings, Inc., 11.00%, 5/1/17 (e)

12,460,000

13,363,350

SSIF Nevada LP, 1.04%, 4/14/14 (e)(r)

4,030,000

4,052,564

St. Jude Medical, Inc., 2.50%, 1/15/16

920,000

953,678

SunTrust Bank, 0.602%, 8/24/15 (r)

5,650,000

5,489,020

SunTrust Banks, Inc., 3.50%, 1/20/17

2,500,000

2,684,808

SUPERVALU, Inc., 7.50%, 11/15/14

1,750,000

1,697,500

Symantec Corp.:

 

 

2.75%, 9/15/15

2,710,000

2,802,847

2.75%, 6/15/17

5,000,000

5,142,115

Telefonica Emisiones SAU:

 

 

0.643%, 2/4/13 (r)

12,800,000

12,786,253

2.582%, 4/26/13

3,275,000

3,286,463

3.992%, 2/16/16

2,770,000

2,882,185

TESCO plc, 2.00%, 12/5/14 (e)

3,000,000

3,065,574

Teva Pharmaceutical Finance IV LLC, 1.70%, 11/10/14

2,000,000

2,046,034

The Coca-Cola Co., 1.80%, 9/1/16

930,000

960,551

The Interpublic Group of Co.'s, Inc., 10.00%, 7/15/17

6,230,000

6,806,275

TIERS Trust, 8.45%, 12/1/17 (b)(e)(n)*

658,859

—

Time Warner Cable, Inc., 4.00%, 9/1/21

5,000,000

5,488,325

Time Warner, Inc., 3.40%, 6/15/22

3,000,000

3,129,237

Toronto-Dominion Bank, 2.20%, 7/29/15 (e)

7,000,000

7,294,000

Total Capital International SA, 1.55%, 6/28/17

3,000,000

3,046,251

Toyota Motor Credit Corp., 2.05%, 1/12/17

7,600,000

7,860,368

Toys R Us Property Co. I LLC, 10.75%, 7/15/17

4,118,000

4,437,145

United Technologies Corp., 1.80%, 6/1/17

2,000,000

2,058,716

UnitedHealth Group, Inc., 1.875%, 11/15/16

2,000,000

2,059,584

US Bank, 3.778% to 4/29/15, floating rate thereafter to 4/29/20 (r)

35,979,000

38,146,987

Ventas Realty LP / Ventas Capital Corp., 4.00%, 4/30/19

2,000,000

2,149,884

Verizon Communications, Inc.:

 

 

1.25%, 11/3/14

2,500,000

2,529,533

2.00%, 11/1/16

10,000,000

10,349,350

Viacom, Inc., 2.50%, 12/15/16

2,000,000

2,085,346

Volkswagen International Finance NV, 0.97%, 4/1/14 (e)(r)

5,000,000

5,016,120

Wachovia Capital Trust III, 5.57%, 12/31/49 (r)

32,587,000

32,424,065

Walt Disney Co.:

 

 

0.875%, 12/1/14

3,950,000

3,982,587

1.125%, 2/15/17

3,000,000

3,002,280

Watson Pharmaceuticals, Inc., 1.875%, 10/1/17

1,000,000

1,013,149

WellPoint, Inc.:

 

 

1.25%, 9/10/15

1,000,000

1,007,908

1.875%, 1/15/18

2,000,000

2,024,838

Wells Fargo & Co., 1.23%, 6/26/15 (r)

4,200,000

4,239,682

Western Union Co., 2.875%, 12/10/17

2,250,000

2,229,408

Willis North America, Inc., 5.625%, 7/15/15

6,691,000

7,310,172

Xerox Corp.:

 

 

4.25%, 2/15/15

2,750,000

2,892,145

2.95%, 3/15/17

3,000,000

3,078,069

Xstrata Finance Canada Ltd.:

 

 

2.85%, 11/10/14 (e)

2,500,000

2,566,000

1.80%, 10/23/15 (e)

2,000,000

2,010,860

Yara International ASA, 5.25%, 12/15/14 (e)

5,250,000

5,643,655

Zimmer Holdings, Inc., 1.40%, 11/30/14

4,000,000

4,030,084

 

 

 

Total Corporate Bonds (Cost $1,425,571,636)

 

1,477,495,792

 

 

 

MUNICIPAL OBLIGATIONS - 3.9%

 

 

Albany New York IDA Civic Facilities Revenue VRDN, 0.59%, 5/1/27 (r)

1,965,000

1,965,000

California HFA Revenue VRDN, 0.11%, 8/1/33 (r)

1,097,000

1,097,000

California Statewide Communities Development Authority MFH
Revenue VRDN:

 

 

0.18%, 3/15/34 (r)

300,000

300,000

0.14%, 10/15/34 (r)

6,320,000

6,320,000

California Statewide Communities Development Authority Revenue
Bonds, Zero Coupon, 6/1/13

3,190,000

3,146,712

Chicago Illinois MFH Revenue VRDN, 0.13%, 7/1/29 (r)

5,200,000

5,200,000

Collier County Florida HFA MFH Revenue VRDN, 0.13%, 7/15/34 (r)

2,100,000

2,100,000

Corte Madera California COPs, 5.447%, 2/1/16

790,000

801,447

Florida Housing Finance Corp. MFH Revenue VRDN, Series B,
0.27%, 10/15/32 (r)

1,700,000

1,700,000

Frisco Texas Economic Development Corp. Sales Tax Revenue
Bonds, 5.619%, 2/15/17

755,000

784,785

Hayward California MFH Revenue VRDN, 0.12%, 5/1/38 (r)

3,710,000

3,710,000

Milpitas California MFH Revenue VRDN, 0.14%, 8/15/33 (r)

1,900,000

1,900,000

Mississippi Home Corp. MFH Revenue VRDN, 0.18%, 8/15/40 (r)

900,000

900,000

Montgomery County Maryland Housing Opportunities Commission
Revenue VRDN, 0.12%, 12/1/30 (r)

1,000,000

1,000,000

Nevada Housing Division Revenue VRDN, 0.15%, 4/15/39 (r)

9,300,000

9,300,000

New Britain Connecticut GO Revenue VRDN, 0.28%, 2/1/26 (r)

2,600,000

2,600,000

New York City GO VRDN, 0.10%, 4/1/42 (r)

2,200,000

2,200,000

New York City Housing Development Corp. MFH Mortgage Revenue
VRDN, 0.13%, 5/15/39 (r)

2,200,000

2,200,000

New York City Housing Development Corp. MFH Rent Revenue
VRDN, 0.17%, 11/15/35 (r)

1,000,000

1,000,000

New York City Housing Development Corp. MFH Revenue VRDN:

 

 

0.17%, 6/15/34 (r)

1,100,000

1,100,000

0.19%, 11/15/37 (r)

2,485,000

2,485,000

New York State HFA Revenue VRDN:

 

 

0.19%, 11/15/29 (r)

2,000,000

2,000,000

0.19%, 5/15/33 (r)

1,000,000

1,000,000

0.15%, 5/15/34 (r)

2,100,000

2,100,000

0.19%, 5/15/36 (r)

1,700,000

1,700,000

0.15%, 5/15/37 (r)

1,200,000

1,200,000

0.17%, 11/15/38 (r)

575,000

575,000

Rural Electric Cooperative Grantor Trust Certificates VRDN, 0.26%,
12/18/17 (r)

9,115,000

9,115,000

San Francisco California City & County Redevelopment Agency
Revenue VRDN, 0.11%, 6/15/34 (r)

1,200,000

1,200,000

South Bend County Indiana Economic Development Income Tax
Revenue Bonds, 5.20%, 2/1/14

525,000

542,288

South Dakota MFH Development Authority Revenue VRDN, 0.12%,
1/1/44 (r)

320,000

320,000

Tarrant County Texas Industrial Development Corp. Revenue VRDN,
0.25%, 9/1/27 (r)

1,240,000

1,240,000

Tuscaloosa County Alabama IDA Gulf Opportunity Zone Revenue
VRDN, 0.18%, 3/1/27 (r)

900,000

900,000

Wisconsin Health & Educational Facilities Authority Revenue VRDN,
0.11%, 4/1/35 (r)

1,675,000

1,675,000

 

 

 

Total Municipal Obligations (Cost $75,287,739)

 

75,377,232

 

 

 

COMMERCIAL PAPER - 2.3%

 

 

Daimler Finance North America LLC, 0.95%, 2/7/13 (e)

24,500,000

24,476,078

Rio Tinto America, Inc., 0.406%, 1/7/13 (e)

6,600,000

6,599,653

Wyndham Worldwide Corp.:

 

 

0.90%, 1/7/13 (e)

3,000,000

2,999,726

0.92%, 1/14/13 (e)

10,000,000

9,998,137

 

 

 

Total Commercial Paper (Cost $44,071,866)

 

44,073,594

 

 

 

SOVEREIGN GOVERNMENT BONDS - 1.2%

 

 

Province of Ontario Canada, 1.65%, 9/27/19

22,245,000

22,231,653

 

 

 

Total Sovereign Government Bonds (Cost $22,323,403)

 

22,231,653

 

 

 

U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES - 0.1%

 

 

COP I LLC, 3.613%, 12/5/21

2,372,943

2,613,765

 

 

 

Total U.S. Government Agencies and Instrumentalities
(Cost $2,372,943)

 

2,613,765

 

 

 

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES - 1.2%

 

 

Fannie Mae, 3.00%, 1/4/13

20,995,000

21,998,823

Ginnie Mae, 5.50%, 5/20/32

69,777

11

 

 

 

Total U.S. Government Agency Mortgage-Backed Securities
(Cost $22,088,641)

 

21,998,834

 

 

 

U.S. TREASURY OBLIGATIONS - 1.6%

 

 

United States Treasury Notes:

 

 

0.25%, 11/30/14

16,080,000

16,080,627

0.375%, 11/15/15

910,000

910,854

0.625%, 11/30/17

6,855,000

6,831,974

1.625%, 11/15/22

6,625,000

6,552,536

 

 

 

Total U.S. Treasury Obligations (Cost $30,379,263)

 

30,375,991

 

 

 

TIME DEPOSIT - 7.2%

 

 

State Street Bank Time Deposit, 0.12%, 1/2/13

138,379,263

138,379,263

 

 

 

Total Time Deposit (Cost $138,379,263)

 

138,379,263

 

 

 

EQUITY SECURITIES - 0.4%

SHARES

 

CoBank ACB, Preferred (e)

4,300

2,898,469

Woodbourne Capital:

 

 

Trust I, Preferred (b)(e)

2,125,000

1,051,875

Trust II, Preferred (b)(e)

2,125,000

1,051,875

Trust III, Preferred (b)(e)

3,125,000

1,546,875

Trust IV, Preferred (b)(e)

3,125,000

1,546,875

 

 

 

Total Equity Securities (Cost $7,519,753)

 

8,095,969

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (Cost $1,869,101,704) - 100.4%

 

1,921,272,881

Other assets and liabilities, net - (0.4%)

 

(7,352,946)

NET ASSETS - 100%

 

$1,913,919,935

 

 

 

 

FUTURES

NUMBER OF CONTRACTS

EXPIRATION DATE

UNDERLYING FACE AMOUNT AT VALUE

UNREALIZED
APPRECIATION
(DEPRECIATION)

Sold:

 

 

 

 

2 Year U.S. Treasury Notes

589

3/13

$129,856,094

($28,345)

5 Year U.S. Treasury Notes

603

3/13

75,021,680

121,731

10 Year U.S. Treasury Notes

124

3/13

16,464,875

104,876

Total Sold

 

 

 

$198,262

 

(b) This security was valued by the Board of Trustees. See Note A.

 

(e) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

 

(n) The Illinois Insurance Department prohibited Lumbermens from making interest payments. This TIERS security is based on interest payments from Lumbermens. This security is no longer accruing interest.

 

(p) The State of New York Insurance Department has prohibited Atlantic Mutual Insurance Co. from making interest payments. This security is no longer accruing interest.

 

(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

 

(x) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest.

 

(y) The government of Iceland took control of Glitnir Banki HF (the “Bank”) on October 8, 2008. The government has prohibited the Bank from paying any claims owed to foreign entities. This security is no longer accruing interest.

 

* Non-income producing security.

 

Abbreviations:

COPs: Certificates of Participation

FHLB: Federal Home Loan Bank

GO: General Obligation

IDA: Industrial Development Agency/Authority

LLC: Limited Liability Corporation

LP: Limited Partnership

MFH: Multi-Family Housing

plc: Public Limited Company

REIT: Real Estate Investment Trust

VRDN: Variable Rate Demand Notes

 

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

 

 

 

NOTE A –– SIGNIFICANT ACCOUNTING POLICIES

 

General: The Calvert Fund (the "Fund") is registered under the Investment Company Act of 1940 as an open-end management investment company. The Fund operates as a series fund with six separate portfolios: Income, Short Duration Income, Long-Term Income, Ultra-Short Income, Government, and High Yield Bond.  Each series is registered as a non-diversified portfolio.  The operations of each series are accounted for separately.  Income offers six classes of shares of beneficial interest – Classes A, B, C, I, R, and Y.  Short Duration Income offers four classes of shares of beneficial interest – Classes A, C, I, and Y.  Long-Term Income offers one class of shares of beneficial interest – Class A.  Ultra-Short Income offers two classes shares of beneficial interest – Class A and Y.  Government offers three classes of shares of beneficial interest – Classes A, C, and I.  High Yield Bond offers four classes of shares of beneficial interest – Classes A, C, I, and Y.  Class A shares are sold with a maximum front-end sales charge of 3.75% in Income, Long-Term Income, Government and High Yield, 2.75% in Short Duration Income, and 1.25% in Ultra-Short Income.  Class B shares are sold without a front-end sales charge and, with certain exceptions, will be charged a deferred sales charge at the time of redemption, depending on how long investors have owned the shares.  Class B shares are no longer offered for purchase, except through reinvestment of dividends and/or distributions and through certain exchanges.  Class C shares are sold without a front-end sales charge and, with certain exceptions, will be charged a deferred sales charge on shares sold within one year of purchase. Class B and Class C shares have higher levels of expenses than Class A shares. Class I shares require a minimum account balance of $1,000,000. The $1 million minimum initial investment is waived for retirement plans that trade through omnibus accounts and may be waived for certain other institutional accounts where it is believed to be in the best interest of the Fund and its shareholders. Class I shares have no front-end or deferred sales charge and have lower levels of expenses than Class A shares.  Class R shares are generally only available to certain retirement plans where plan level or omnibus accounts are held on the books of the Fund.  Class R shares have no front-end or deferred sales charge and have a higher level of expenses than Class A shares.  Class Y shares are generally only available to wrap or similar fee-based programs offered by financial intermediaries that have entered into an agreement with the Fund’s Distributor to offer Class Y shares.  Class Y shares have no front-end or deferred sales charge and have lower levels of expenses than Class A shares.  Each class has different: (a) dividend rates due to differences in Distribution Plan expenses and other class specific expenses, (b) exchange privileges and (c) class specific voting rights.

 

Security Valuation:  Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Trustees ("the Board") to value its investments wherever possible.  Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board. 

 

The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced.   The Board has delegated the day-to-day responsibility for determining the fair value of assets of the Fund to Calvert Investment Management, Inc. (the “Advisor” or “Calvert”) and has provided these Procedures to govern Calvert in its valuation duties. 

 

Calvert has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated. 

 

The Valuation Committee meets on a regular basis to review illiquid securities and other investments which may not have readily available market prices.   The Valuation Committee's fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.

 

The Valuation Committee utilizes various methods to measure the fair value of the Fund’s investments. Generally Accepted Accounting Principles (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. 

 

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period.  Valuation techniques used to value the Fund’s investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, sovereign government bonds, floating rate loans, municipal securities, and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and such securities are generally categorized as Level 2 in the hierarchy. For asset-backed securities, collateralized mortgage-backed obligations, commercial mortgage-backed securities, and U.S. government agency mortgage-backed securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy.  In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and categorized as Level 2 in the hierarchy. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the close of business of the Fund, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account.  For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and such securities are categorized as Level 3 in the hierarchy.

 

If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Advisor, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by the Valuation Committee. 

 

The Valuation Committee considers a number of factors, including significant unobservable valuation inputs when arriving at fair value. It considers all significant facts that are reasonably available and relevant to the determination of fair value. 

 

The Valuation Committee primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment.  When more appropriate, the fund may employ an income-based or cost approach.  An income-based valuation approach discounts anticipated future cash flows of the investment to calculate a present amount (discounted).  The measurement is based on the value indicated by current market expectations about those future amounts.  Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments.  A cost based approach is based on the amount that currently would be required to replace the service capacity of an asset (current replacement cost).  From the seller’s perspective, the price that would be received for the asset is determined based on the cost to a buyer to acquire or construct a substitute asset of comparable utility, adjusted for obsolescence. 

 

 

 

 

The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.  The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity. 

 

At December 31, 2012, the following securities were fair valued in good faith under the direction of the Board:

 

 

Total Investments

% of Net Assets

Income

$38,877,963

2.8%

Short Duration Income

5,197,500

0.3%

Long-Term Income

495,000

0.2%

Ultra-Short Income

495,000

0.1%

High Yield Bond

109

0.0%

 

 

The following is a summary of the inputs used to value the Fund’s net assets as of December 31, 2012:

 

Income

Valuation Inputs

Investments in Securities*

Level 1

Level 2

Level 3

Total

Equity Securities

-

$12,771,000

-

$12,771,000

Asset-backed securities

-

2,428,958

-

2,428,958

Collateralized mortgage-backed obligations

-

276,777

-

276,777

Commercial mortgage-backed securities

-

17,975,986

-

17,975,986

Corporate debt

-

1,094,184,523

$23,816,786

1,118,001,309

Municipal obligations

-

55,039,630

-

55,039,630

U.S. government obligations

-

68,249,174

-

68,249,174

Other debt obligations

-

91,055,520

-

91,055,520

TOTAL

$ -

$1,341,981,568

$23,816,786

$1,365,798,354

 

 

 

 

 

Other financial instruments**

$488,886

-

-

$488,886

 

*  For a complete listing of investments, please refer to the Schedule of Investments.

** Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument.

 

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:

 

Corporate

 

 

Debt

Total

Balance as of 9/30/12

$23,324,786

$23,324,786

Accrued discounts/premiums

(416,811)

(416,811)

Realized gain (loss)

536,235

536,235

Change in unrealized appreciation (depreciation)

594,954

594,954

Purchases

1,694,389

1,694,389

Sales

(1,916,767)

(1,916,767)

Transfers in and/or out of Level 31

—

—

Balance as of 12/31/12

$23,816,786

$23,816,786

 

1The Fund’s policy is to recognize transfers into and transfers out of Level 3 as of the end of the reporting period.
 

 

Short Duration Income

Valuation Inputs

Investments in Securities*

Level 1

Level 2

Level 3

Total

Equity securities

$2,898,469

$5,197,500

-

$8,095,969

Asset-backed securities

-

48,217,001

-

48,217,001

Collateralized mortgage-backed obligations

-

7,387,068

-

7,387,068

Commercial mortgage-backed securities

-

45,026,719

-

45,026,719

Corporate debt

-

1,477,495,792

-

1,477,495,792

Municipal obligations

-

75,377,232

-

75,377,232

Other debt obligations

-

204,684,510

-

204,684,510

U.S. government obligations

-

54,988,590

-

54,988,590

TOTAL

$2,898,469

$1,918,374,412

-

$1,921,272,881

 

 

 

 

 

Other financial instruments**

$198,262

-

-

$198,262

 

*  For a complete listing of investments, please refer to the Schedule of Investments.

** Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument.

 

 

Long-Term Income

Valuation Inputs

Investments in Securities*

Level 1

Level 2

Level 3

Total

Equity securities

$269,625

$495,000

-

$764,625

Asset-backed securities

-

399,828

-

399,828

Commercial mortgage-backed securities

-

631,726

-

631,726

Corporate debt

-

173,638,984

-

173,638,984

Municipal obligations

-

2,770,894

-

2,770,894

U.S. government obligations

-

28,533,717

-

28,533,717

Other debt obligations

-

3,230,042

-

3,230,042

TOTAL

$269,625

$209,700,191

-

$209,969,816

 

 

 

 

 

Other financial instruments**

$6,435

-

-

$6,435

 

*  For a complete listing of investments, please refer to the Schedule of Investments.

** Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument.

 

 

Ultra-Short Income

Valuation Inputs

Investments in Securities*

Level 1

Level 2

Level 3

Total

Equity securities

-

$495,000

-

$495,000

Asset-backed securities

-

33,440,722

-

33,440,722

Collateralized mortgage-backed obligations

-

4,174,634

-

4,174,634

Commercial mortgage-backed securities

-

17,575,556

-

17,575,556

Corporate debt

-

311,298,734

-

311,298,734

Municipal obligations

-

18,555,000

-

18,555,000

Other debt obligations

-

22,117,826

-

22,117,826

U.S. government obligations

-

310,291

-

310,291

TOTAL

-

$407,967,763

-

$407,967,763

 

 

 

 

 

Other financial instruments**

$11,619

-

-

$11,619

 

*  For a complete listing of investments, please refer to the Schedule of Investments.

** Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument.

 

 

Government

Valuation Inputs

Investments in Securities*

Level 1

Level 2

Level 3

Total

Asset-backed securities

-

$2,699,332

-

$2,699,332

Collateralized mortgage-backed obligations

-

111,163

-

111,163

Commercial mortgage-backed securities

-

2,288,606

-

2,288,606

Corporate debt

-

4,177,604

-

4,177,604

Municipal obligations

-

1,130,000

-

1,130,000

U.S. government obligations

-

32,936,020

-

32,936,020

Other debt obligations

-

3,082,915

-

3,082,915

TOTAL

-

$46,425,640

-

$46,425,640

 

 

 

 

 

Other financial instruments**

$49,679

-

-

$49,679

 

*  For a complete listing of investments, please refer to the Schedule of Investments.

** Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument.

 

 

High Yield Bond

Valuation Inputs

Investments in Securities*

Level 1

Level 2

Level 3

Total

Corporate debt

-

$70,846,367

$109

$70,846,476

Other debt obligations

-

5,843,645

-

5,843,645

TOTAL

-

$76,690,012

$109**

$76,690,121

 

*  For a complete listing of investments, please refer to the Schedule of Investments.

** Level 3 securities represent 0.0% of net assets.

 

 

Loan Participations and Assignments: The Fund may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. A Fund’s investment in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement.  When a Fund purchases assignments from lenders it acquires direct rights against the borrower of the loan. When investing in a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower.

 

Futures Contracts: The Fund may purchase and sell futures contracts, but only when, in the judgment of the Advisor, such a position acts as a hedge.  The Fund may not enter into futures contracts for the purpose of speculation or leverage.  These futures contracts may include, but are not limited to, futures contracts based on U.S. Government obligations.  The Fund is subject to interest rate risk in the normal course of pursuing its investment objectives.  The Fund may use futures contracts to hedge against changes in the value of interest rates.  The Fund may enter into futures contracts agreeing to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund's ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts' terms. Futures contracts are designed by boards of trade which are designated “contracts markets” by the Commodities Futures Trading Commission.  Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange and the boards of trade, through their clearing corporations, guarantee the futures contracts against default.  As a result, there is minimal counterparty credit risk to the Fund.  During the period, the Fund used U.S. Treasury futures contracts to hedge against interest rate changes and to manage overall duration of the Fund.   The Fund’s futures contracts at period end are presented in the Schedules of Investments.

 

 

 

During the period ended December 31, 2012, Income invested in 2 year, 5 year, and 10 year U.S. Treasury Bond Futures.  The volume of activity has varied throughout the period with a weighted average of 601 contracts and $30,808,752 weighted average notional value.

During the period ended December 31, 2012, Short Duration Income invested in 2 year, 5 year, and 10 year U.S. Treasury Bond Futures.  The volume of activity has varied throughout the period with a weighted average of 404 contracts and $21,295,406 weighted average notional value.

During the period ended December 31, 2012, Long-Term Income invested in 2 year, 5 year, 10 year, and 30 year U.S. Treasury Bond Futures.  The volume of activity has varied throughout the period with a weighted average of 61 contracts and $9,097,404 weighted average notional value.

During the period ended December 31, 2012, Ultra-Short Income invested in 2 year and 5 year U.S. Treasury Bond Futures.  The volume of activity has varied throughout the period with a weighted average of 4 contracts and $3,658,264 weighted average notional value. 

During the period ended December 31, 2012, Government invested in 2 year, 5 year, and 10 year U.S. Treasury Bond Futures.  The volume of activity has varied throughout the period with a weighted average of 44 contracts and $4,951,213 weighted average notional value.

 

Short Sales: The Fund may use a hedging technique that involves short sales of U.S. Treasury securities for the purpose of managing the duration of the Fund. Any short sales are covered with an equivalent amount of high quality, liquid securities.

  

Security Transactions and Net Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date.  Withholding taxes on foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.  Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain.  Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.  Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures.  (See Schedules of Investments footnotes.)  A debt obligation may be removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured. The Fund earns certain fees in connection with its floating rate loan purchasing activities. These fees are in addition to interest payments earned and may include amendment fees, consent fees and prepayment fees.  Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Expenses arising in connection with a specific class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets. 

 

 

 

 

Foreign Currency Transactions: The Fund’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. The effect of changes in foreign exchange rates on securities and foreign currencies is included in the net realized and unrealized gain or loss on securities and foreign currencies.

 

Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income are paid monthly. Distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.

 

Estimates: The preparation of the financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reported period. Actual results could differ from those estimates.

 

Redemption Fees: The Fund charges a 2% redemption fee on redemptions, including exchanges, made within 30 days of purchase in the same portfolio (within seven days for Class I and Class R shares). The redemption fee is accounted for as an addition to paid-in capital and is intended to discourage market-timers by ensuring that short-term trading costs are borne by the investors making the transactions and not the shareholders already in the Fund.

 

Expense Offset Arrangements: During the period ended December 31, 2012, the Fund had an arrangement with its custodian bank whereby the custodian’s fees may have been paid indirectly by credits earned on the Fund’s cash on deposit with the bank. These credits were used to reduce the Fund’s expenses. However, this arrangement was suspended effective January 1, 2013, until further notice, due to low interest rates.  Such a deposit arrangement was an alternative to overnight investments.

 

Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.

 

Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years.

New Accounting Pronouncements: In December 2011, the Financial Accounting Standards Board issued Accounting Standards Update No. 2011-11, "Disclosures about Offsetting Assets and Liabilities." The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for interim and annual reporting periods beginning on or after January 1, 2013.  Management is currently evaluating the impact the adoption of this pronouncement will have on the Fund’s financial statements and related disclosures.

 

NOTE B — TAX INFORMATION

 

The following tables present the cost of investments for federal income tax purposes and the components of net unrealized appreciation (depreciation) at December 31, 2012 and the capital loss carryforward as of September 30, 2012, with expiration dates:

 

 

Income

Short Duration
Income

Long-Term
Income

Federal income tax cost of investments

$1,391,474,458

$1,869,199,729

$198,239,768

Unrealized appreciation

$87,579,963

$63,664,388

$12,677,925

Unrealized depreciation

(113,256,067)

(11,591,236)

(947,877)

Net unrealized appreciation/ (depreciation)

($25,676,104)

$52,073,152

$11,730,048

 

 

 

 

Ultra-Short
 Income

Government

High Yield
Bond

Federal income tax cost of investments

$405,780,258

$46,233,721

$73,371,560

Unrealized appreciation

$3,156,312

$373,667

$3,978,303

Unrealized depreciation

(968,807)

(181,748)

(659,742)

Net unrealized appreciation/ (depreciation)

$2,187,505

$191,919

$3,318,561

 

 

CAPITAL LOSS CARRYFORWARD

 

 Expiration Date

Income

High Yield
Bond

Ultra-Short
Income

30-Sept-2016

($3,976,802)

-

-

30-Sept-2017

-

($824,403)

-

30-Sept-2018

(254,299,863)

(15,613)

-

30-Sept-2019

(77,128,701)

-

-

 

 

 

 

No Expiration Date

 

 

 

Short-term

-

-

($3,477,260)

Long-term

-

-

(362,750)

 

Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred in taxable years beginning after December 22, 2010 can be carried forward for an unlimited period. These losses are required to be utilized prior to the losses incurred in pre-enactment taxable years. Losses incurred in pre-enactment taxable years can be utilized until expiration.

 

 

 

Item 2. Controls and Procedures.

 

(a)        The principal executive and financial officers concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under 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 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 registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

 

 

Item 3. Exhibits.

 

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)).

 

            Filed herewith.

 

            Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

 

THE CALVERT FUND

By:       /s/ Barbara J. Krumsiek
            Barbara J. Krumsiek
            President -- Principal Executive Officer

Date:    February 28, 2013

 

            Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment 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.

 

            /s/ Barbara J. Krumsiek
            Barbara J. Krumsiek
            President -- Principal Executive Officer

Date:    February 28, 2013

 

            /s/ Ronald M. Wolfsheimer
            Ronald M. Wolfsheimer
            Treasurer -- Principal Financial Officer

Date:    February 28, 2013