UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File number: 811-10045
Calvert Impact Fund, Inc.
(Exact Name of Registrant as Specified in Charter)
4550 Montgomery Avenue, Suite 1000N, Bethesda, Maryland 20814
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Service)
(301) 951-4800
(Registrant's telephone number)
September 30
Date of Fiscal Year End
March 31, 2017
Date of Reporting Period
Item 1. Report to Stockholders.
![]() | ![]() | |
Calvert Small Cap Fund | ![]() | |
![]() | ![]() |
Semiannual Report March 31, 2017 E-Delivery Sign-Up — Details Inside | ![]() |
Choose Planet-friendly E-delivery! Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs. Just go to calvert.com. If you already have an online account at Calvert, click on Login, to access your Account, and select the documents you would like to receive via e-mail. If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps. Note: if your shares are not held directly at Calvert but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm. |
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Managers Michael D. McLean, CFA, Christopher Madden, CFA, J. Griffith Noble, CFA and Jade Huang, each of Calvert Research and Management | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years | ||||||||||
Class A at NAV | 10/01/2004 | 10/01/2004 | 14.29 | % | 21.61 | % | 13.65 | % | 6.60 | % | ||||||
Class A with 4.75% Maximum Sales Charge | — | — | 8.83 | 15.83 | 12.54 | 6.09 | ||||||||||
Class C at NAV | 04/01/2005 | 10/01/2004 | 13.82 | 20.70 | 12.75 | 5.68 | ||||||||||
Class C with 1% Maximum Sales Charge | — | — | 12.82 | 19.70 | 12.75 | 5.68 | ||||||||||
Class I at NAV | 04/29/2005 | 10/01/2004 | 14.56 | 22.20 | 14.31 | 7.33 | ||||||||||
Class Y at NAV | 10/18/2013 | 10/01/2004 | 14.46 | 21.98 | 13.88 | 6.71 | ||||||||||
Russell 2000® Index | — | — | 11.52 | % | 26.22 | % | 12.35 | % | 7.11 | % | ||||||
Ticker Symbol | Class A | Class C | Class I | Class Y | ||||||||||||
CCVAX | CSCCX | CSVIX | CSCYX | |||||||||||||
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class Y | ||||||||||||
Gross | 1.36 | % | 2.25 | % | 0.93 | % | 1.05 | % | ||||||||
Net | 1.36 | 2.12 | 0.91 | 1.05 |
Fund Profile | |||||||
SECTOR ALLOCATION (% of total investments)4 | TEN LARGEST STOCK HOLDINGS (% of net assets) | ||||||
Financials | 20.8 | % | Blackbaud, Inc. | 2.8 | % | ||
Information Technology | 19.8 | % | ServiceMaster Global Holdings, Inc. | 2.8 | % | ||
Industrials | 17.6 | % | Pinnacle Foods, Inc. | 2.7 | % | ||
Consumer Discretionary | 10.9 | % | RealPage, Inc. | 2.7 | % | ||
Health Care | 10.4 | % | Hexcel Corp. | 2.3 | % | ||
Real Estate | 5.9 | % | Dolby Laboratories, Inc., Class A | 2.3 | % | ||
Consumer Staples | 5.3 | % | Euronet Worldwide, Inc. | 2.3 | % | ||
Materials | 4.0 | % | West Pharmaceutical Services, Inc. | 2.2 | % | ||
Energy | 3.2 | % | First American Financial Corp. | 2.1 | % | ||
Utilities | 1.0 | % | Bank of the Ozarks, Inc. | 2.1 | % | ||
High Social Impact Investments | 0.6 | % | Total | 24.3 | % | ||
Time Deposit | 0.5 | % | |||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to calvert.com.
2 calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED)
Endnotes and Additional Disclosures | ||
1 Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. 2 Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class Y is linked to Class A. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. Performance presented in the Financial Highlights included in the financial statements is not linked. 3 Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/18. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.4 Does not include Short Term Investment of Cash Collateral for Securities Loaned.Fund profile subject to change due to active management. |
calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED) 3
UNDERSTANDING YOUR FUND'S EXPENSES
As an investor, you incur two types of costs. There are transaction costs, which generally include sales charges (loads) on purchases and may include redemption fees. There are also ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in this mutual fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by the Fund's investors during the period. The actual and hypothetical information presented in the examples is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2016 to March 31, 2017).
Actual Expenses
The first line for each class of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each class of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees, if applicable. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 10/1/16 | ENDING ACCOUNT VALUE 3/31/17 | EXPENSES PAID DURING PERIOD* 10/1/16 - 3/31/17 | |
Class A | ||||
Actual | 1.35% | $1,000.00 | $1,142.90 | $7.21 |
Hypothetical (5% return per year before expenses) | 1.35% | $1,000.00 | $1,018.20 | $6.79 |
Class C | ||||
Actual | 2.12% | $1,000.00 | $1,138.20 | $11.30 |
Hypothetical (5% return per year before expenses) | 2.12% | $1,000.00 | $1,014.36 | $10.65 |
Class I | ||||
Actual | 0.90% | $1,000.00 | $1,145.60 | $4.81 |
Hypothetical (5% return per year before expenses) | 0.90% | $1,000.00 | $1,020.44 | $4.53 |
Class Y | ||||
Actual | 1.05% | $1,000.00 | $1,144.60 | $5.61 |
Hypothetical (5% return per year before expenses) | 1.05% | $1,000.00 | $1,019.70 | $5.29 |
* Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
4 calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT SMALL CAP FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 2017 (Unaudited)
SHARES | VALUE ($) | |
COMMON STOCKS - 98.0% | ||
Aerospace & Defense - 3.8% | ||
Hexcel Corp. | 119,900 | 6,540,545 |
Mercury Systems, Inc. * | 102,476 | 4,001,688 |
10,542,233 | ||
Air Freight & Logistics - 1.1% | ||
Hub Group, Inc., Class A * | 65,124 | 3,021,754 |
Banks - 10.8% | ||
Ameris Bancorp | 57,885 | 2,668,498 |
Bank of the Ozarks, Inc. | 112,468 | 5,849,461 |
BankUnited, Inc. | 59,288 | 2,212,035 |
Eagle Bancorp, Inc. * | 75,840 | 4,527,648 |
First Hawaiian, Inc. | 119,067 | 3,562,485 |
Sterling Bancorp | 143,477 | 3,400,405 |
Western Alliance Bancorp * | 114,867 | 5,638,821 |
Wintrust Financial Corp. | 35,101 | 2,426,181 |
30,285,534 | ||
Biotechnology - 2.0% | ||
Ligand Pharmaceuticals, Inc. *(a) | 53,045 | 5,614,283 |
Capital Markets - 3.1% | ||
Cohen & Steers, Inc. | 137,119 | 5,480,646 |
Lazard Ltd., Class A | 69,535 | 3,197,915 |
8,678,561 | ||
Chemicals - 2.2% | ||
Minerals Technologies, Inc. | 39,476 | 3,023,861 |
Sensient Technologies Corp. | 39,430 | 3,125,222 |
6,149,083 | ||
Commercial Services & Supplies - 3.9% | ||
Brink's Co. (The) | 17,136 | 915,919 |
Deluxe Corp. | 69,558 | 5,020,001 |
Multi-Color Corp. | 71,403 | 5,069,613 |
11,005,533 | ||
Communications Equipment - 0.6% | ||
NETGEAR, Inc. * | 34,303 | 1,699,714 |
Construction Materials - 1.7% | ||
US Concrete, Inc. *(a) | 75,448 | 4,870,168 |
calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED) 5
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Diversified Consumer Services - 6.5% | |||
Bright Horizons Family Solutions, Inc. * | 64,663 | 4,687,421 | |
Grand Canyon Education, Inc. * | 79,731 | 5,709,537 | |
ServiceMaster Global Holdings, Inc. * | 185,649 | 7,750,846 | |
18,147,804 | |||
Electric Utilities - 1.0% | |||
Portland General Electric Co. | 60,847 | 2,702,824 | |
Electrical Equipment - 2.2% | |||
AZZ, Inc. | 52,685 | 3,134,758 | |
EnerSys | 38,600 | 3,047,084 | |
6,181,842 | |||
Electronic Equipment & Instruments - 3.2% | |||
Dolby Laboratories, Inc., Class A | 124,019 | 6,499,836 | |
MTS Systems Corp. | 42,524 | 2,340,946 | |
8,840,782 | |||
Energy Equipment & Services - 3.2% | |||
Frank's International NV | 162,380 | 1,716,357 | |
RPC, Inc. (a) | 96,887 | 1,774,001 | |
US Silica Holdings, Inc. | 112,073 | 5,378,383 | |
8,868,741 | |||
Equity Real Estate Investment Trusts (REITs) - 5.9% | |||
Acadia Realty Trust | 149,045 | 4,480,292 | |
CubeSmart | 213,624 | 5,545,679 | |
DCT Industrial Trust, Inc. | 92,191 | 4,436,231 | |
Parkway, Inc. | 102,930 | 2,047,278 | |
16,509,480 | |||
Food & Staples Retailing - 1.5% | |||
Performance Food Group Co. * | 181,351 | 4,316,154 | |
Food Products - 2.7% | |||
Pinnacle Foods, Inc. | 133,058 | 7,700,066 | |
Health Care Equipment & Supplies - 3.7% | |||
ICU Medical, Inc. * | 27,682 | 4,227,041 | |
West Pharmaceutical Services, Inc. | 75,277 | 6,143,356 | |
10,370,397 | |||
Health Care Providers & Services - 1.1% | |||
Amedisys, Inc. * | 61,223 | 3,127,883 | |
6 calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Hotels, Restaurants & Leisure - 1.4% | |||
Dave & Buster's Entertainment, Inc. * | 13,764 | 840,843 | |
Texas Roadhouse, Inc. | 66,556 | 2,963,738 | |
3,804,581 | |||
Household Products - 1.0% | |||
Central Garden & Pet Co., Class A * | 81,159 | 2,817,840 | |
Insurance - 4.8% | |||
First American Financial Corp. | 151,813 | 5,963,214 | |
Horace Mann Educators Corp. | 113,534 | 4,660,571 | |
RLI Corp. | 45,107 | 2,707,322 | |
13,331,107 | |||
IT Services - 5.1% | |||
Black Knight Financial Services, Inc., Class A *(a) | 103,103 | 3,948,845 | |
CSG Systems International, Inc. | 105,844 | 4,001,962 | |
Euronet Worldwide, Inc. * | 75,535 | 6,459,753 | |
14,410,560 | |||
Leisure Products - 1.1% | |||
Brunswick Corp. | 49,094 | 3,004,553 | |
Life Sciences - Tools & Services - 3.4% | |||
Cambrex Corp. * | 88,186 | 4,854,640 | |
VWR Corp. * | 169,871 | 4,790,362 | |
9,645,002 | |||
Machinery - 2.5% | |||
Milacron Holdings Corp. * | 104,707 | 1,948,597 | |
RBC Bearings, Inc. * | 53,191 | 5,164,314 | |
7,112,911 | |||
Professional Services - 2.0% | |||
WageWorks, Inc. * | 76,939 | 5,562,690 | |
Road & Rail - 2.0% | |||
Landstar System, Inc. | 64,865 | 5,555,687 | |
Semiconductors & Semiconductor Equipment - 3.1% | |||
PDF Solutions, Inc. * | 198,954 | 4,500,340 | |
Veeco Instruments, Inc. * | 143,038 | 4,269,684 | |
8,770,024 | |||
calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED) 7
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Software - 7.6% | |||
ACI Worldwide, Inc. * | 230,690 | 4,934,459 | |
Blackbaud, Inc. | 102,837 | 7,884,513 | |
Monotype Imaging Holdings, Inc. | 51,825 | 1,041,682 | |
RealPage, Inc. * | 214,471 | 7,485,038 | |
21,345,692 | |||
Specialty Retail - 1.9% | |||
Burlington Stores, Inc. * | 55,169 | 5,367,392 | |
Thrifts & Mortgage Finance - 1.9% | |||
Essent Group Ltd. * | 149,656 | 5,413,058 | |
Total Common Stocks (Cost $259,111,837) | 274,773,933 | ||
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
HIGH SOCIAL IMPACT INVESTMENTS - 0.6% | |||
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/16/19 (b)(c) | 1,401,905 | 1,311,888 | |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/20 (b)(d)(e) | 152,000 | 135,280 | |
ImpactAssets Inc., Microfinance Plus Notes, 0.00%, 11/3/20 (b)(d)(e) | 195,000 | 183,300 | |
Total High Social Impact Investments (Cost $1,748,905) | 1,630,468 | ||
TIME DEPOSIT - 0.4% | |||
State Street Bank and Trust Eurodollar Time Deposit, 0.09%, 4/3/17 | 1,281,073 | 1,281,073 | |
Total Time Deposit (Cost $1,281,073) | 1,281,073 | ||
SHARES | VALUE ($) | ||
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 5.0% | |||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.62% | 14,002,847 | 14,002,847 | |
Total Short Term Investment of Cash Collateral For Securities Loaned (Cost $14,002,847) | 14,002,847 | ||
TOTAL INVESTMENTS (Cost $276,144,662) - 104.0% | 291,688,321 | ||
Other assets and liabilities, net - (4.0%) | (11,284,015) | ||
NET ASSETS - 100.0% | 280,404,306 | ||
See notes to financial statements.
8 calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED)
NOTES TO SCHEDULE OF INVESTMENTS | ||
* Non-income producing security. | ||
(a) Security, or portion of security, is on loan. Total value of securities on loan is $13,828,647 as of March 31, 2017. | ||
(b) Restricted Security. Total market value of restricted securities amounts to $1,630,468, which represents 0.6% of the net assets of the Fund as of March 31, 2017. | ||
(c) Affiliated company (see Note F). | ||
(d) For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note A). | ||
(e) Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at March 31, 2017. |
RESTRICTED SECURITIES | ACQUISITION DATES | COST ($) |
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/16/19 | 12/15/16 | 1,401,905 |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/20 | 11/13/15 | 152,000 |
ImpactAssets Inc., Microfinance Plus Notes, 0.00%, 11/3/20 | 11/13/15 | 195,000 |
See notes to financial statements. |
calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED) 9
CALVERT SMALL CAP FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2017 (Unaudited)
ASSETS | |||
Investments in unaffiliated securities, at value (Cost $274,742,757) - see accompanying schedule | $290,376,433 | ||
Investments in affiliated securities, at value (Cost $1,401,905) - see accompanying schedule | 1,311,888 | ||
Receivable for securities sold | 4,138,495 | ||
Receivable for Fund shares sold | 349,496 | ||
Dividends and interest receivable | 266,280 | ||
Interest receivable - affiliated | 6,250 | ||
Securities lending income receivable | 6,527 | ||
Directors' deferred compensation plan | 162,785 | ||
Receivable from affiliate | 735 | ||
Total assets | 296,618,889 | ||
LIABILITIES | |||
Payable to custodian bank | 39,738 | ||
Payable for securities purchased | 1,396,968 | ||
Collateral for securities loaned | 14,002,847 | ||
Payable for Fund shares redeemed | 266,372 | ||
Payable to affiliates: | |||
Investment advisory fee | 175,852 | ||
Administrative fees | 29,432 | ||
Distribution Plan expenses | 49,084 | ||
Sub-transfer agent fee | 5,908 | ||
Directors' deferred compensation plan | 162,785 | ||
Accrued expenses and other liabilities | 85,597 | ||
Total liabilities | 16,214,583 | ||
NET ASSETS | $280,404,306 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(250,000,000 shares of $0.01 par value authorized) | $215,729,321 | ||
Accumulated undistributed net investment income | 42,908 | ||
Accumulated net realized gain (loss) | 49,088,418 | ||
Net unrealized appreciation (depreciation) | 15,543,659 | ||
NET ASSETS | $280,404,306 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $135,547,562 and 5,525,675 shares outstanding) | $24.53 | ||
Class C (based on net assets of $18,304,130 and 846,131 shares outstanding) | $21.63 | ||
Class I (based on net assets of $90,112,430 and 3,439,756 shares outstanding) | $26.20 | ||
Class Y (based on net assets of $36,440,184 and 1,472,904 shares outstanding) | $24.74 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $25.75 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. |
10 calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT SMALL CAP FUND
STATEMENT OF OPERATIONS
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)
NET INVESTMENT INCOME | |||
Investment Income: | |||
Dividend income (net of foreign taxes withheld of $1,844) | $1,942,194 | ||
Securities lending income | 13,179 | ||
Interest income | 11,629 | ||
Interest income - affiliated | 7,305 | ||
Other income | 240 | ||
Total investment income | 1,974,547 | ||
Expenses: | |||
Investment advisory fee | 1,073,801 | ||
Administrative fees | 186,738 | ||
Transfer agency fees and expenses: | |||
Class A | 162,534 | ||
Class C | 20,966 | ||
Class I | 3,661 | ||
Class Y | 8,990 | ||
Distribution Plan expenses: | |||
Class A | 209,541 | ||
Class C | 88,030 | ||
Directors' fees and expenses | 14,256 | ||
Accounting fees | 41,244 | ||
Custodian fees | 17,920 | ||
Professional fees | 17,773 | ||
Registration fees: | |||
Class A | 9,531 | ||
Class C | 7,128 | ||
Class I | 9,980 | ||
Class Y | 9,790 | ||
Reports to shareholders | 20,507 | ||
Miscellaneous | 13,794 | ||
Total expenses | 1,916,184 | ||
Reimbursement from Adviser: | |||
Class C | (7,620 | ) | |
Administrative fees waived | (10,142 | ) | |
Net expenses | 1,898,422 | ||
NET INVESTMENT INCOME (LOSS) | 76,125 | ||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | |||
Net realized gain (loss) | 49,253,117 | ||
Net change in unrealized appreciation (depreciation) on: | |||
Investments | (7,412,841) | ||
Investments in affiliated securities | (59,066) | ||
(7,471,907) | |||
See notes to financial statements. |
calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED) 11
CALVERT SMALL CAP FUND
STATEMENT OF OPERATIONS
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited) - CONT’D
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS - CONT’D | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 41,781,210 | ||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $41,857,335 | ||
See notes to financial statements.
12 calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT SMALL CAP FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | SIX MONTHS ENDED MARCH 31, 2017 (Unaudited) | YEAR ENDED SEPTEMBER 30, 2016 | |||||
Operations: | |||||||
Net investment income (loss) | $76,125 | $605,555 | |||||
Net realized gain (loss) | 49,253,117 | 4,481,330 | |||||
Net change in unrealized appreciation (depreciation) | (7,471,907 | ) | 16,512,880 | ||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 41,857,335 | 21,599,765 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | — | (57,819 | ) | ||||
Class I shares | (70,683 | ) | (281,509 | ) | |||
Class Y shares | — | (40,922 | ) | ||||
Net realized gain: | |||||||
Class A shares | (2,557,610 | ) | (13,282,800 | ) | |||
Class C shares | (279,848 | ) | (1,547,908 | ) | |||
Class I shares | (1,424,967 | ) | (5,124,419 | ) | |||
Class Y shares | (304,385 | ) | (981,947 | ) | |||
Total distributions | (4,637,493 | ) | (21,317,324 | ) | |||
Capital share transactions: | |||||||
Shares sold: | |||||||
Class A shares | 16,356,314 | 36,272,559 | |||||
Class C shares | 1,327,798 | 4,289,339 | |||||
Class I shares | 19,366,438 | 38,176,287 | |||||
Class Y shares | 17,283,030 | 15,496,383 | |||||
Reinvestment of distributions: | |||||||
Class A shares | 2,461,595 | 12,670,284 | |||||
Class C shares | 249,835 | 1,349,156 | |||||
Class I shares | 1,358,551 | 4,766,952 | |||||
Class Y shares | 237,257 | 770,692 | |||||
Shares redeemed: | |||||||
Class A shares | (73,749,093 | ) | (32,041,125 | ) | |||
Class C shares | (2,095,009 | ) | (4,270,617 | ) | |||
Class I shares | (39,531,932 | ) | (9,602,815 | ) | |||
Class Y shares | (4,108,685 | ) | (6,499,533 | ) | |||
Total capital share transactions | (60,843,901 | ) | 61,377,562 | ||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (23,624,059 | ) | 61,660,003 | ||||
NET ASSETS | |||||||
Beginning of period | 304,028,365 | 242,368,362 | |||||
End of period (including accumulated undistributed net investment income of $42,908 and $37,466, respectively) | $280,404,306 | $304,028,365 |
See notes to financial statements.
calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED) 13
CALVERT SMALL CAP FUND
STATEMENTS OF CHANGES IN NET ASSETS - CONT’D
CAPITAL SHARE ACTIVITY | SIX MONTHS ENDED MARCH 31, 2017 (Unaudited) | YEAR ENDED SEPTEMBER 30, 2016 | |||
Shares sold: | |||||
Class A shares | 700,679 | 1,737,626 | |||
Class C shares | 64,008 | 230,252 | |||
Class I shares | 772,865 | 1,744,260 | |||
Class Y shares | 716,710 | 741,061 | |||
Reinvestment of distributions: | |||||
Class A shares | 102,567 | 622,283 | |||
Class C shares | 11,774 | 74,293 | |||
Class I shares | 53,023 | 219,590 | |||
Class Y shares | 9,812 | 37,546 | |||
Shares redeemed: | |||||
Class A shares | (3,104,857 | ) | (1,553,939 | ) | |
Class C shares | (102,502 | ) | (230,770 | ) | |
Class I shares | (1,556,779 | ) | (435,587 | ) | |
Class Y shares | (176,994 | ) | (309,815 | ) | |
Total capital share activity | (2,509,694 | ) | 2,876,800 | ||
See notes to financial statements. |
14 calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT SMALL CAP FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2017 (a) (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS A SHARES | 2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | ||||||||||||
Net asset value, beginning | $21.76 | $22.04 | $22.98 | $24.58 | $19.36 | $15.15 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss) | (0.01 | ) | 0.03(b) | 0.04 | (0.07 | ) | (0.01 | ) | 0.20 | ||||||||
Net realized and unrealized gain (loss) | 3.11 | 1.53 | 1.80 | 1.19 | 6.02 | 4.05 | |||||||||||
Total from investment operations | 3.10 | 1.56 | 1.84 | 1.12 | 6.01 | 4.25 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | — | (0.01 | ) | —(c) | — | (0.25 | ) | (0.04 | ) | ||||||||
Net realized gain | (0.33 | ) | (1.83 | ) | (2.78 | ) | (2.72 | ) | (0.54 | ) | — | ||||||
Total distributions | (0.33 | ) | (1.84 | ) | (2.78 | ) | (2.72 | ) | (0.79 | ) | (0.04 | ) | |||||
Total increase (decrease) in net asset value | 2.77 | (0.28 | ) | (0.94 | ) | (1.60 | ) | 5.22 | 4.21 | ||||||||
Net asset value, ending | $24.53 | $21.76 | $22.04 | $22.98 | $24.58 | $19.36 | |||||||||||
Total return (d) | 14.29 | % | 7.66 | % | 8.18 | % | 4.69 | % | 32.42 | % | 28.12 | % | |||||
Ratios to average net assets: (e) | |||||||||||||||||
Net investment income (loss) | (0.08%)(f) | 0.12%(b) | 0.19 | % | (0.28 | %) | (0.05 | %) | 1.13 | % | |||||||
Total expenses | 1.35%(f) | 1.42 | % | 1.52 | % | 1.61 | % | 1.67 | % | 1.78 | % | ||||||
Net expenses | 1.35%(f) | 1.37 | % | 1.37 | % | 1.53 | % | 1.67 | % | 1.69 | % | ||||||
Portfolio turnover | 100 | % | 150 | % | 59 | % | 103 | % | 82 | % | 3 | % | |||||
Net assets, ending (in thousands) | $135,548 | $170,294 | $154,728 | $134,128 | $129,407 | $95,189 | |||||||||||
(a) Net investment income (loss) per share is calculated using the Average Shares Method. | |||||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.001 per share and 0.01% of average net assets. | |||||||||||||||||
(c) Amount is less than $0.005 per share. | |||||||||||||||||
(d) Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||
(e) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(f) Annualized. | |||||||||||||||||
See notes to financial statements. |
calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED) 15
CALVERT SMALL CAP FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2017 (a) (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS C SHARES | 2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | ||||||||||||
Net asset value, beginning | $19.30 | $19.88 | $21.12 | $22.98 | $18.08 | $14.25 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss) | (0.09) | (0.12)(b) | (0.12) | (0.23) | (0.17) | 0.03 | |||||||||||
Net realized and unrealized gain (loss) | 2.75 | 1.37 | 1.66 | 1.09 | 5.65 | 3.80 | |||||||||||
Total from investment operations | 2.66 | 1.25 | 1.54 | 0.86 | 5.48 | 3.83 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | — | — | — | — | (0.04 | ) | — | ||||||||||
Net realized gain | (0.33) | (1.83) | (2.78) | (2.72) | (0.54 | ) | — | ||||||||||
Total distributions | (0.33) | (1.83) | (2.78) | (2.72) | (0.58 | ) | — | ||||||||||
Total increase (decrease) in net asset value | 2.33 | (0.58) | (1.24) | (1.86 | ) | 4.90 | 3.83 | ||||||||||
Net asset value, ending | $21.63 | $19.30 | $19.88 | $21.12 | $22.98 | $18.08 | |||||||||||
Total return (c) | 13.82 | % | 6.89 | % | 7.38 | % | 3.81 | % | 31.35 | % | 26.88 | % | |||||
Ratios to average net assets: (d) | |||||||||||||||||
Net investment income (loss) | (0.84%)(e) | (0.63%)(b) | (0.56%) | (1.06%) | (0.86%) | 0.19 | % | ||||||||||
Total expenses | 2.21%(e) | 2.31 | % | 2.36 | % | 2.38 | % | 2.49 | % | 2.64 | % | ||||||
Net expenses | 2.12%(e) | 2.12 | % | 2.12 | % | 2.31 | % | 2.49 | % | 2.64 | % | ||||||
Portfolio turnover | 100 | % | 150 | % | 59 | % | 103 | % | 82 | % | 3 | % | |||||
Net assets, ending (in thousands) | $18,304 | $16,842 | $15,887 | $14,156 | $13,726 | $9,907 | |||||||||||
(a) Net investment income (loss) per share is calculated using the Average Shares Method. | |||||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.001 per share and 0.01% of average net assets. | |||||||||||||||||
(c) Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(e) Annualized. | |||||||||||||||||
See notes to financial statements. |
16 calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT SMALL CAP FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2017 (a) (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS I SHARES | 2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | ||||||||||||
Net asset value, beginning | $23.18 | $23.34 | $24.14 | $25.56 | $20.06 | $15.80 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income | 0.05 | 0.13(b) | 0.16 | 0.08 | 0.16 | 0.35 | |||||||||||
Net realized and unrealized gain (loss) | 3.32 | 1.63 | 1.90 | 1.22 | 6.24 | 4.21 | |||||||||||
Total from investment operations | 3.37 | 1.76 | 2.06 | 1.30 | 6.40 | 4.56 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.02) | (0.09) | (0.08) | — | (0.36) | (0.30) | |||||||||||
Net realized gain | (0.33) | (1.83) | (2.78) | (2.72) | (0.54) | — | |||||||||||
Total distributions | (0.35) | (1.92) | (2.86) | (2.72) | (0.90) | (0.30) | |||||||||||
Total increase (decrease) in net asset value | 3.02 | (0.16) | (0.80) | (1.42) | 5.50 | 4.26 | |||||||||||
Net asset value, ending | $26.20 | $23.18 | $23.34 | $24.14 | $25.56 | $20.06 | |||||||||||
Total return (c) | 14.56 | % | 8.15 | % | 8.72 | % | 5.27 | % | 33.43 | % | 29.11 | % | |||||
Ratios to average net assets: (d) | |||||||||||||||||
Net investment income | 0.36%(e) | 0.58%(b) | 0.64 | % | 0.33 | % | 0.71 | % | 1.88 | % | |||||||
Total expenses | 0.92%(e) | 0.94 | % | 0.91 | % | 0.95 | % | 0.98 | % | 1.03 | % | ||||||
Net expenses | 0.90%(e) | 0.92 | % | 0.91 | % | 0.92 | % | 0.92 | % | 0.92 | % | ||||||
Portfolio turnover | 100 | % | 150 | % | 59 | % | 103 | % | 82 | % | 3 | % | |||||
Net assets, ending (in thousands) | $90,112 | $96,664 | $61,669 | $54,563 | $46,198 | $26,129 | |||||||||||
(a) Net investment income per share is calculated using the Average Shares Method. | |||||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.001 per share and 0.01% of average net assets. | |||||||||||||||||
(c) Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(e) Annualized. | |||||||||||||||||
See notes to financial statements. |
calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED) 17
CALVERT SMALL CAP FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2017 (a) (Unaudited) | Year Ended September 30, | Period Ended September 30, 2014(a)(b) | ||||||||||
CLASS Y SHARES | 2016(a) | 2015(a) | ||||||||||
Net asset value, beginning | $21.91 | $22.18 | $23.06 | $25.36 | ||||||||
Income from investment operations: | ||||||||||||
Net investment income | 0.03 | 0.09(c) | 0.09 | 0.03 | ||||||||
Net realized and unrealized gain (loss) | 3.13 | 1.55 | 1.82 | 0.39 | ||||||||
Total from investment operations | 3.16 | 1.64 | 1.91 | 0.42 | ||||||||
Distributions from: | ||||||||||||
Net investment income | — | (0.08) | (0.01) | — | ||||||||
Net realized gain | (0.33) | (1.83) | (2.78) | (2.72) | ||||||||
Total distributions | (0.33) | (1.91) | (2.79) | (2.72) | ||||||||
Total increase (decrease) in net asset value | 2.83 | (0.27) | (0.88) | (2.30) | ||||||||
Net asset value, ending | $24.74 | $21.91 | $22.18 | $23.06 | ||||||||
Total return (d) | 14.46 | % | 8.00 | % | 8.45 | % | 1.81 | % | ||||
Ratios to average net assets: (e) | ||||||||||||
Net investment income | 0.28%(f) | 0.44%(c) | 0.39% | 0.14%(f) | ||||||||
Total expenses | 1.05%(f) | 1.10 | % | 1.31% | 2.20%(f) | |||||||
Net expenses | 1.05%(f) | 1.09 | % | 1.12% | 1.16%(f) | |||||||
Portfolio turnover | 100 | % | 150 | % | 59 | % | 103 | % | ||||
Net assets, ending (in thousands) | $36,440 | $20,229 | $10,084 | $4,406 | ||||||||
(a) Net investment income per share is calculated using the Average Shares Method. | ||||||||||||
(b) From October 18, 2013 inception. | ||||||||||||
(c) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.001 per share and 0.01% of average net assets. | ||||||||||||
(d) Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | ||||||||||||
(e) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||
(f) Annualized. | ||||||||||||
See notes to financial statements. |
18 calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert Impact Fund, Inc. (the “Corporation”) was organized as a Maryland corporation on August 10, 2000, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Corporation operates four (4) separate series, or mutual funds, each with its own investment objective(s) and strategies, that are accounted for separately. This report contains the financial statements and financial highlights of Calvert Small Cap Fund (the “Fund”). The Corporation is authorized to issue two billion shares of common stock, $0.01 par value per share, of which 250 million shares have been allocated to the Fund.
The investment objective of the Fund, which is diversified, is to seek to provide long-term capital appreciation through investment primarily in small-cap common stocks of U.S. companies.
The Fund offers Class A, Class C, Class I and Class Y shares. Class A shares are generally sold with a maximum front-end sales charge of 4.75%. A contingent deferred sales charge of 0.80% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within one year of purchase. Class C shares are sold without a front-end sales charge, and with certain exceptions, are charged a contingent deferred sales charge of 1% on shares redeemed within one year of purchase. Class C shares have higher levels of expenses than Class A shares. Class I shares require a minimum account balance of $1 million. The $1 million minimum initial investment is waived for retirement plans that trade through omnibus accounts and may be waived in certain other instances where it is believed to be in the best interest of the Fund and its shareholders. Class I shares have no front-end or contingent deferred sales charge and have lower levels 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 principal underwriter to offer Class Y shares to their clients, and retirement plans, foundations, endowments and other consultant-driven business. Class Y shares have no front-end or contingent deferred sales charge and have lower levels of expenses than Class A shares. Among other things, 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.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
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 Directors (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 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 securities and financial instruments of the Fund to the Fund's investment adviser (the “Adviser”) and has provided these Procedures to govern the Adviser in its valuation duties.
The Adviser 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 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. U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED) 19
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Fund’s investments by major category are as follows:
Common stocks 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 the last available price and are categorized as Level 2 in the hierarchy.
For restricted securities and private placements (debt and equity) where observable inputs may be limited, assumptions about market activity and risk are used and such securities are categorized as either Level 2 or Level 3 in the hierarchy depending on the relative significance of valuation inputs.
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.
Mutual funds are valued at their closing net asset value each business day and are categorized as Level 1 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 Adviser, 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.
The following table summarizes the market value of the Fund's holdings as of March 31, 2017, based on the inputs used to value them:
VALUATION INPUTS | |||||||||||
INVESTMENTS IN SECURITIES | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | |||||||
Common Stocks* | $274,773,933 | $— | $— | $274,773,933 | |||||||
High Social Impact Investments | — | 1,311,888 | 318,580 | 1,630,468 | |||||||
Time Deposit | — | 1,281,073 | — | 1,281,073 | |||||||
Short Term Investment of Cash Collateral For Securities Loaned | 14,002,847 | — | — | 14,002,847 | |||||||
TOTAL | $288,776,780 | $2,592,961 | $318,580^ | $291,688,321 | |||||||
* For further breakdown of equity securities by industry, please refer to the Schedule of Investments. | |||||||||||
^ Level 3 securities represent 0.1% of net assets. |
There were no transfers between Level 1 and Level 2 during the six months ended March 31, 2017.
20 calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED)
Restricted Securities: The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities is included at the end of the Schedule of Investments.
Security Transactions and 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. 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 that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
Share Class Accounting: 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 common to the classes are also allocated to each class in proportion to their relative net assets. Expenses arising in connection with a specific class are charged directly to that class.
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income and 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 U.S. GAAP; 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 financial statements in conformity with U.S. GAAP 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
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.
Interim Financial Statements: The interim financial statements relating to March 31, 2017 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
NOTE B — RELATED PARTY TRANSACTIONS
Effective December 31, 2016, Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), became the investment adviser to the Fund following a transaction between CRM and certain of its affiliates and Calvert Investment Management, Inc. (CIM) and certain of its affiliates, pursuant to which CRM acquired substantially all of the business assets of CIM after satisfying various closing conditions, including shareholder approval of a new investment advisory agreement between the Fund and CRM (the “Transaction”).
For its services pursuant to the new investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.68% of the Fund’s average daily net assets. Prior to December 31, 2016, CIM, a direct subsidiary of Calvert Investments, Inc. and an indirect subsidiary of Ameritas Holding Company, provided investment advisory services to the Fund. For its services, CIM received a fee at the annual rate of 0.70% of the Fund’s average daily net assets. For the six months ended March 31, 2017, the investment advisory fee amounted to $1,073,801 or 0.69% per annum of the Fund’s average daily net assets, of which $527,367 was paid to CRM and $546,434 was paid to CIM.
CRM (CIM for the period October 1, 2016 through December 30, 2016) has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 1.37%, 2.12%, 0.92% and 1.12% for Class A, Class C, Class I and Class Y, respectively, of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after January 31, 2018. For the six months ended March 31, 2017, CRM waived or reimbursed expenses of $2,962 and CIM waived or reimbursed expenses of $4,658.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets and is payable monthly. CRM has agreed to contractually waive 0.02% of the administrative fee through January 31, 2018 for Class I. Prior to December 31, 2016, Calvert Investment Administrative Services, Inc. (CIAS), an affiliate of CIM, provided administrative services to the Fund at an annual rate of 0.12%
calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED) 21
of the Fund's average daily net assets, payable monthly. In addition, CIAS contractually waived administrative fees of 0.02% for the period October 1, 2016 through December 30, 2016 for Class I. For the six months ended March 31, 2017, CRM was paid administrative fees of $93,048, of which $5,042 were waived and CIAS was paid administrative fees of $93,690, of which $5,100 were waived.
The Fund adopted a new distribution plan for Class A shares (Class A Plan) and Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act, which were approved by the Board of Directors and became effective as of December 31, 2016 or shortly thereafter upon approval by the shareholders of the respective class. Pursuant to the Class A Plan and Class C Plan, the Fund pays a distribution fee of 0.25% and 0.75% per annum for Class A and Class C, respectively, and a service fee of 0.25% per annum for Class C of its average daily net assets attributable to such class for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided. Pursuant to the Fund’s former distribution plans for Class A shares and Class C shares, the Fund was permitted to pay certain expenses associated with the distribution and servicing of its Class A and Class C shares not to exceed 0.35% for Class A and 1.00% for Class C of the Fund’s average daily net assets with respect to such class. Effective December 31, 2016, the fees are paid to Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter. Prior to December 31, 2016, the fees were paid to Calvert Investment Distributors, Inc. (CID), an affiliate of CIM and the Fund’s former distributor and principal underwriter. Distribution and service fees paid or accrued for the six months ended March 31, 2017 amounted to $209,541 or 0.25% per annum of Class A’s average daily net assets, of which $101,942 was paid to EVD and $107,599 was paid to CID, and $88,030 or 1.00% per annum of Class C’s average daily net assets, of which $45,115 was paid to EVD and $42,915 was paid to CID.
The Fund was informed that EVD and CID received $9,278 and $6,465, respectively, as their portion of the sales charge on sales of Class A shares for the six months ended March 31, 2017. The Fund was also informed that EVD and CID received $1,045 and $2,142, respectively, of contingent deferred sales charges paid by Fund shareholders for the same period.
Effective December 31, 2016, EVM provides sub-transfer agency services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For its services, EVM receives an annual fee of $8 per shareholder account. Prior to December 31, 2016, Calvert Investment Services, Inc. (CIS), an affiliate of CIM, acted as the shareholder servicing agent for the Fund and received a fee at the same rate as is paid to EVM. For the six months ended March 31, 2017, sub-transfer agency fees paid to EVM were $16,850 and shareholder servicing fees paid to CIS were $16,790. Such fees are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Prior to December 31, 2016, each Director of the Fund who was not an employee of CIM or its affiliates received a fee of $3,000 for each Board meeting attended plus an annual fee of $52,000. Committee members received $500 for each Committee meeting attended plus an annual fee of $2,500. Committee chairs received an additional annual retainer ranging from $6,000 to $10,000. Eligible Directors may participate in a Deferred Compensation Plan (the “Plan”). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM and, prior to December 31, 2016, of CIM or their affiliates are/were paid by CRM and CIM, respectively. In addition, in connection with the Transaction, an advisory council was established to aid the Board and the Calvert funds’ Adviser in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of the Adviser’s Chief Executive Officer and four additional members. Each member (other than the Adviser’s Chief Executive Officer) receives annual compensation of $75,000, which will be reimbursed by CIM and Ameritas Holding Company for a period of up to three years.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the six months ended March 31, 2017, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $302,454,648 and $368,746,731, respectively.
22 calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED)
The cost and unrealized appreciation (depreciation) of investments of the Fund at March 31, 2017, as determined on a federal income tax basis, were as follows:
Unrealized appreciation | $20,684,843 | ||
Unrealized (depreciation) | (5,305,918) | ||
Net unrealized appreciation (depreciation) | $15,378,925 | ||
Federal income tax cost of investments | $276,309,396 |
NOTE D — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement (“Lending Agreement”) with State Street Bank, the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). Cash collateral is generally invested in State Street Institutional U.S. Government Money Market Fund (the “U.S. Government Fund”) that is managed by an affiliate of the custodian. The U.S. Government Fund is a registered money market fund that invests in a variety of high-quality, U.S. dollar denominated instruments. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
The total value of securities on loan was $13,828,647 as of March 31, 2017.
The following table displays a breakdown of transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of March 31, 2017.
Remaining Contractual Maturity of the Agreements as of March 31, 2017 | |||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | |||||
Securities Lending Transactions | |||||||||
Common Stocks | $14,002,847 | $— | $— | $— | $14,002,847 | ||||
Amount of recognized liabilities for securities lending transactions | $14,002,847 |
The carrying amount of the liability for collateral for securities loaned at March 31, 2017 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note A) at March 31, 2017.
NOTE E — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and State Street Bank and Trust Company (SSB). Under the agreement, which expires on August 8, 2017, SSB provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Calvert Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no loans outstanding pursuant to this line of credit at March 31, 2017.
calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED) 23
For the six months ended March 31, 2017, borrowing information by the Fund under the agreement was as follows:
Average Daily Balance | Weighted Average Interest Rate | Maximum Amount Borrowed | Month of Maximum Amount Borrowed | |
$694,575 | 2.02% | $15,106,730 | January 2017 |
NOTE F — AFFILIATED COMPANIES
The Fund invests a portion of its assets designated for high social impact investments in notes issued by the Calvert Social Investment Foundation (the “Foundation”) pursuant to an exemptive order granted by the U.S. Securities and Exchange Commission (the “SEC”). The Fund relies on exemptive relief to invest in the notes because the Fund's investments in the notes may be considered prohibited transactions between affiliated persons under the 1940 Act. The Foundation may be considered an affiliated person of the Calvert Funds based on the overlap between the Foundation’s Board of Directors and the Funds’ Directors/Trustees and other potential affiliations. The Foundation has licensed use of the Calvert name from the Adviser, and the Adviser’s President and Chief Executive Officer serves on the Foundation Board. The Foundation is not owned or otherwise controlled by the Adviser or its affiliates. Transactions in affiliated companies by the Fund for the six months ended March 31, 2017 were as follows:
Name of Affiliated Company | Principal Amount, beginning of period | Gross Additions | Gross Reductions | Principal Amount, end of period | Value, end of period | Interest Income | Net Realized Gain (Loss) | Capital Gain Distributions Received | Change In Unrealized Appreciation (Depreciation) | ||||||||||||
Calvert Social Investment Foundation, Community Investment Notes, 0.50%, 3/18/17 | $750,000 | $— | ($750,000 | ) | $— | $— | $729 | $— | $— | $12,600 | |||||||||||
Calvert Social Investment Foundation, Community Investment Notes, 0.25%, 7/1/17 | 651,905 | — | (651,905 | ) | — | — | 326 | — | — | 18,351 | |||||||||||
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/16/19 | — | 1,401,905 | — | 1,401,905 | 1,311,888 | 6,250 | — | — | (90,017 | ) | |||||||||||
TOTALS | $1,311,888 | $7,305 | $— | $— | ($59,066 | ) |
NOTE G — REGULATORY MATTERS
On October 18, 2016, CIM announced that it had determined that certain fees paid to third-party financial intermediaries were incorrectly allocated for payment by, and paid by, the Calvert Funds. Specifically, for periods prior to January 1, 2015, the Calvert Funds paid fees under certain intermediary agreements that were primarily for distribution-related services or were in excess of the sub-transfer agency expense cap in place during the period and therefore should have been paid by CIM out of CIM’s own assets or by the Calvert Funds under a Rule 12b-1 plan. The matter was self-reported to the SEC in 2016.
On May 2, 2017, in acceptance of a settlement proposal by CIM and CID, the SEC issued an administrative order requiring CIM and CID to pay $21,614,534 to affected shareholders of the Calvert Funds, including the Fund. The administrative order also censured CIM and CID and required them to pay a $1 million penalty to the SEC. CIM is in the process of determining the economic impact of misallocated fees on the affected Calvert Funds, including the Fund, and their shareholders, and developing a plan to reimburse eligible shareholders following that determination.
24 calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED)
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
The Special Meeting of Shareholders of Calvert Small Cap Fund, a series of Calvert Impact Fund, Inc. (the “Fund”) was held on December 16, 2016 and adjourned to December 23, 2016, December 28, 2016, January 6, 2017, January 27, 2017 and February 15, 2017.
Shareholders of the Fund voted on the following proposals:
1. | Approval of a new investment advisory agreement with Calvert Research and Management. |
Number of Shares* | |||
For | Against | Abstain** | Uninstructed** |
7,190,608 | 168,364 | 376,871 | 2,211,550 |
2. | Reaffirmation and approval of the Fund’s ability to invest in notes issued by Calvert Social Investment Foundation. |
Number of Shares* | |||
For | Against | Abstain** | Uninstructed** |
7,207,875 | 180,416 | 347,552 | 2,211,549 |
3. | Approval of the Fund’s reliance on a potential future exemptive order that may be granted by the U.S. Securities and Exchange Commission. |
Number of Shares* | |||
For | Against | Abstain** | Uninstructed** |
7,122,541 | 204,452 | 408,850 | 2,211,549 |
Shareholders of Class A shares of the Fund voted on the following proposal:
1. | Approval of Master Distribution Plan for Class A shares of the Fund pursuant to Rule 12b-1 under the Investment Company Act of 1940, as amended. |
Number of Shares* | |||
For | Against | Abstain** | Uninstructed** |
3,755,579 | 85,772 | 443,535 | 1,170,715 |
Shareholders of Class C shares of the Fund voted on the following proposal:
1. | Approval of Master Distribution Plan for Class C shares of the Fund pursuant to Rule 12b-1 under the Investment Company Act of 1940, as amended. |
Number of Shares* | |||
For | Against | Abstain** | Uninstructed** |
349,452 | 10,264 | 55,515 | 26,391 |
calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED) 25
Shareholders of Calvert Impact Fund, Inc. voted on the following proposal:
1. | To elect Directors of Calvert Impact Fund, Inc.: |
Number of Shares* | ||
Nominee | For | Withheld |
Richard L. Baird, Jr. | 35,697,069 | 1,929,355 |
Alice Gresham Bullock | 35,777,835 | 1,848,589 |
Cari Dominguez | 35,780,136 | 1,846,288 |
Miles D. Harper III | 35,693,783 | 1,932,641 |
John G. Guffey, Jr. | 35,686,589 | 1,939,836 |
Joy V. Jones | 35,775,597 | 1,850,827 |
Anthony A. Williams | 33,920,543 | 3,705,881 |
John H. Streur | 35,672,258 | 1,954,166 |
* | Excludes fractional shares. |
** | Uninstructed shares (i.e., proxies from brokers or nominees indicating that such persons have not received instructions from the beneficial owner or other person entitled to vote shares on a particular matter with respect to which the brokers or nominees do not have discretionary power) were treated as shares that were present at the meeting for purposes of establishing a quorum, but had the effect of a vote against the proposals. Uninstructed shares are sometimes referred to as broker non-votes. Abstentions were also treated in this manner. |
26 calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED)
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
Calvert Small Cap Fund
At a meeting held on October 14, 2016, the Board of Directors of Calvert Impact Fund, Inc. (“CIF”), and by a separate vote, the Directors who are not “interested persons” of CIF (the “Independent Directors”), approved a new Investment Advisory Agreement between CIF and Eaton Vance Investment Advisors (renamed Calvert Research and Management) (“CRM” or the “Adviser”) with respect to the Calvert Small Cap Fund (the “Fund”). The Board was advised that, subject to shareholder approval and certain other conditions, the new Investment Advisory Agreement would take effect upon the acquisition of substantially all of the business assets of Calvert Investment Management, Inc. (“CIM”) by Eaton Vance Corporation (“Eaton Vance”) (the “Transaction”).
In connection with the proposed Transaction, the Independent Directors, assisted by their independent legal counsel, requested extensive information from CIM and Eaton Vance regarding the proposed Transaction and its potential implications for the Calvert Funds. The Independent Directors reviewed and discussed this information and received advice from their independent legal counsel regarding their responsibilities in evaluating the possible Transaction and the new Investment Advisory Agreement.
The Independent Directors met separately on multiple occasions to discuss the Transaction and the proposed change in investment adviser. The interested Directors participated in portions of these meetings to provide the perspective of the Calvert organization, but did not otherwise participate in the deliberations of the Independent Directors regarding the possible change in investment adviser.
In the course of their deliberations regarding the new Investment Advisory Agreement, the Directors considered the following factors, among others: the nature, extent and quality of the services to be provided by CRM and its affiliates, including the personnel who would be providing such services; Eaton Vance’s financial condition; the proposed advisory fees; comparative fee and expense information for the Calvert Funds and for comparable funds managed by Eaton Vance or its affiliates; the anticipated profitability of the Calvert Funds to CRM and its affiliates; the direct and indirect benefits, if any, to be derived by CRM and its affiliates from their relationship with the Calvert Funds; the effect of each Calvert Fund’s projected growth and size on each Calvert Fund’s performance and expenses; and CRM’s compliance program.
In considering the nature, extent, and quality of the services to be provided to the Fund by CRM under the new Investment Advisory Agreement, the Directors took into account information provided by Eaton Vance or its affiliates relating to its operations and personnel, including, among other information, biographical information on its investment, supervisory, and professional staff and descriptions of its organizational and management structure. The Directors considered the new investment strategies to be used in managing certain Calvert Funds and the performance of other funds managed by the investment teams at Eaton Vance or its affiliates that would be managing certain Calvert Funds. The Directors also took into account CRM’s and Eaton Vance’s proposed staffing and overall resources, and noted that the staff of CRM was expected to include certain current employees of CIM as well as certain employees of affiliates of Eaton Vance under a “dual-hat” arrangement. CRM’s administrative capabilities were also considered. The Directors concluded that they were satisfied with the nature, extent and quality of services to be provided to the Fund by CRM under the new Investment Advisory Agreement.
In considering the management style and investment strategies that CRM proposed to use in managing the Calvert Funds, including the Fund, the Directors took into consideration the performance of funds currently managed by CIM and affiliates of Eaton Vance, as applicable. The Directors also noted that for certain Calvert Funds, such as the Fund, CRM proposed to combine the investment capabilities of affiliates of Eaton Vance with CRM’s sustainable research capabilities. Based upon their review, the Directors concluded that CRM is qualified to manage the Fund’s assets in accordance with its investment objective and strategies and that the proposed investment strategies were appropriate for pursuing the Fund’s investment objective.
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board also reviewed various comparative data provided to it in connection with its consideration of the new Investment Advisory Agreement, including, comparisons of the Fund’s returns with those of its benchmark and the average of its Lipper category for the one-, three- and five-year periods ended July 31, 2016.
In considering the Fund’s proposed fees and estimated expenses, the Directors considered certain comparative fee and expense data provided by Eaton Vance or its affiliates. The Directors also took into account that there were no increases in the advisory fees being proposed and that for certain Calvert Funds, such as the Fund, CRM had proposed a reduction in advisory fees. The Directors further noted that CRM had agreed to maintain current fee waivers/expense reimbursements, if any, for certain Calvert Funds, and increase the fee waivers/expense reimbursements for other Calvert Funds. Based upon their review the Directors concluded that the proposed advisory fee was reasonable in view of the quality of services to be received by the Fund from CRM.
calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED) 27
In reviewing the anticipated profitability of the Fund to CRM and its affiliates, the Directors considered the fact that affiliates of CRM would be providing shareholder servicing, administrative and distribution services to the Fund for which they would receive compensation. The Board also took into account whether CRM had the financial wherewithal to provide services to the Fund. The Board also considered that CRM would likely derive benefits to its reputation and other indirect benefits from its relationship with the Fund. Based upon its review, the Board concluded that CRM’s and its affiliates’ anticipated level of profitability from their relationship with the Fund was reasonable.
The Directors considered the effect of each Calvert Fund’s current size and potential growth on its performance and expenses. The Directors took into account management’s discussion of the Calvert Funds’ proposed advisory fees. The Directors noted that the advisory fee schedule for certain Calvert Funds will contain breakpoints that will reduce the respective advisory fee rate on assets above specified levels as the applicable Calvert Fund’s assets increased and considered the necessity of adding breakpoints with respect to the Calvert Funds that did not currently have such breakpoints in their advisory fee schedule. The Directors determined that adding breakpoints at specified levels to the advisory fee schedules of the Calvert Funds that did not currently have breakpoints, such as the Fund, would not be appropriate at this time. The Directors noted that if the Fund’s assets increased over time, the Fund might realize economies of scale if assets increase proportionally more than certain other expenses.
In considering the approval of the new Investment Advisory Agreement, the Directors also considered the following matters:
(i) their belief that the Transaction will benefit the Calvert Funds, including the Fund;
(ii) CRM’s intention to continue to manage the Fund in a manner materially consistent with the Fund’s existing investment objective and principal investment strategies, which includes continuing to manage the Fund pursuant to responsible investment criteria as described in the prospectus;
(iii) the financial condition and reputation of Eaton Vance and its affiliates, its worldwide presence, experience as a fund sponsor and manager, commitment to maintain a high level of cooperation with, and support to, the Calvert Funds, including the Fund, strong distribution and client service capabilities, and relationships in the asset management industry;
(iv) the intention expressed by representatives of Eaton Vance to retain certain of the existing members of the Calvert management team and other key professionals, including members of the Calvert Sustainability Research Department, in order to better continue principles-based investment research following the closing of the Transaction;
(v) Eaton Vance’s commitment to maintaining competitive compensation arrangements to attract and retain highly qualified personnel; and
(vi) that the current senior management team at Calvert has indicated its strong support of the Transaction.
In approving the new Investment Advisory Agreement with CRM, the Directors did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.
The Directors reached the following conclusions regarding the new Investment Advisory Agreement, among others: (a) CRM has demonstrated that it possesses the capability and resources to perform the duties required of it under the Investment Advisory Agreement; (b) CRM is qualified to manage the Fund’s assets in accordance with the Fund’s investment objective and strategies; (c) CRM’s investment strategies are appropriate for pursuing the Fund’s investment objective; and (d) the advisory fees are reasonable in view of the quality of the services to be received by the Fund from CRM. Based on the foregoing considerations, the Directors, including the Independent Directors, approved the new Investment Advisory Agreement, subject to the approval of the Fund’s shareholders.
28 calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED)
OFFICERS AND DIRECTORS
Officers of Calvert Small Cap Fund
Hope Brown
Chief Compliance Officer
Maureen A. Gemma(1)
Secretary and Vice President
James F. Kirchner(1)
Treasurer
Directors of Calvert Small Cap Fund
Alice Gresham Bullock(2)(4)
Chairperson
Richard L. Baird, Jr.(4)
Cari Dominguez(2)(4)
John G. Guffey, Jr.(4)
Miles D. Harper, III(4)
Joy V. Jones(4)
John H. Streur(3)
Anthony A. Williams(2)(4)
(1)Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
(2)Mmes. Bullock and Dominguez and Mr. Williams began serving as Directors effective December 23, 2016.
(3)Interested Director and President
(4)Independent Director
calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED) 29
IMPORTANT NOTICES
Privacy. The Calvert organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, the Calvert organization may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.Calvert.com. |
Our pledge of privacy applies to the following entities within the Calvert organization: the Calvert Family of funds and Calvert Research and Management. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial adviser/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
30 calvert.com CALVERT SMALL CAP FUND SEMIANNUAL REPORT (UNAUDITED)
This page intentionally left blank. |
This page intentionally left blank. |
CALVERT SMALL CAP FUND | CALVERT’S FAMILY OF FUNDS | |||
Service for Existing Account Shareholders: 800-368-2745 Brokers: 800-368-2746 Regular Mail Calvert Funds c/o BFDS P.O. Box 219544 Kansas City, MO 64121-9544 Overnight Mail Calvert Funds c/o BFDS 330 West 9th Street Kansas City, MO 64105-1514 Web Site calvert.com Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 | Municipal Funds Tax-Free Responsible Impact Bond Fund Taxable Bond Funds Bond Portfolio Income Fund Short Duration Income Fund Long-Term Income Fund Ultra-Short Income Fund High Yield Bond Fund Green Bond Fund Unconstrained Bond Fund Balanced and Asset Allocation Funds Balanced Portfolio Conservative Allocation Fund Moderate Allocation Fund Aggressive Allocation Fund | Equity Funds Equity Portfolio U.S. Large Cap Core Responsible Index Fund U.S. Large Cap Value Responsible Index Fund U.S. Large Cap Growth Responsible Index Fund U.S. Mid Cap Core Responsible Index Fund Developed Markets Ex-U.S. Responsible Index Fund Capital Accumulation Fund International Equity Fund Small Cap Fund Global Energy Solutions Fund Global Water Fund International Opportunities Fund Emerging Markets Equity Fund |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert funds at 800-368-2745. Printed on recycled paper. | |
24198 3.31.17 |
![]() | ![]() | |
Calvert Solution Strategies™ • Calvert Global Energy Solutions Fund• Calvert Global Water Fund | ![]() | |
![]() | ![]() |
Semiannual Report March 31, 2017 E-Delivery Sign-Up — Details Inside | ![]() |
Choose Planet-friendly E-delivery! Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs. Just go to calvert.com. If you already have an online account at Calvert, click on Login, to access your Account, and select the documents you would like to receive via e-mail. If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps. Note: if your shares are not held directly at Calvert but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm. |
CALVERT GLOBAL ENERGY SOLUTIONS FUND
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Managers Thomas C. Seto, Christopher Madden, CFA and Jade Huang, each of Calvert Research and Management | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception | ||||||||||
Class A at NAV | 05/31/2007 | 05/31/2007 | 2.19 | % | 1.38 | % | 1.96 | % | -8.07 | % | ||||||
Class A with 4.75% Maximum Sales Charge | — | — | -2.65 | -3.39 | 0.97 | -8.52 | ||||||||||
Class C at NAV | 07/31/2007 | 05/31/2007 | 1.92 | 0.71 | 1.01 | -8.91 | ||||||||||
Class C with 1% Maximum Sales Charge | — | — | 0.92 | -0.29 | 1.01 | -8.91 | ||||||||||
Class I at NAV | 05/31/2007 | 05/31/2007 | 2.43 | 1.79 | 2.46 | -7.64 | ||||||||||
Class Y at NAV | 07/29/2011 | 05/31/2007 | 2.35 | 1.57 | 2.19 | -7.93 | ||||||||||
MSCI All Country World Index | — | — | 8.18 | % | 15.04 | % | 8.37 | % | 3.30 | % | ||||||
Calvert Global Energy Research Spliced | ||||||||||||||||
Benchmark | — | — | 5.26 | 7.51 | 8.51 | -6.38 | ||||||||||
Calvert Global Energy Research Index | — | — | 5.13 | — | — | — | ||||||||||
Ardour Global Alternative Energy Index | — | — | 4.89 | 7.13 | 8.43 | -6.41 | ||||||||||
Ticker Symbol | Class A | Class C | Class I | Class Y | ||||||||||||
CGAEX | CGACX | CAEIX | CGAYX | |||||||||||||
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class Y | ||||||||||||
Gross | 1.81 | % | 2.61 | % | 3.64 | % | 1.39 | % | ||||||||
Net | 1.30 | 2.05 | 0.95 | 1.05 |
Fund Profile | |||||||
SECTOR ALLOCATION (% of total investments)4 | TEN LARGEST HOLDINGS (% of net assets) | ||||||
Industrials | 34.6 | % | Calvert Social Investment Foundation, Community Investment Notes | 2.1 | % | ||
Information Technology | 24.4 | % | Infineon Technologies AG | 1.2 | % | ||
Utilities | 17.2 | % | Emerson Electric Co. | 1.2 | % | ||
Materials | 8.7 | % | Tesla, Inc. | 1.1 | % | ||
Consumer Discretionary | 7.7 | % | Samsung SDI Co. Ltd. | 1.0 | % | ||
High Social Impact Investments | 2.2 | % | ABB Ltd. | 1.0 | % | ||
Energy | 2.2 | % | Schneider Electric SE | 1.0 | % | ||
Consumer Staples | 2.1 | % | Koninklijke Philips NV | 1.0 | % | ||
Financials | 0.8 | % | Cie de Saint-Gobain | 1.0 | % | ||
Time Deposit | 0.1 | % | Delta Electronics, Inc. | 1.0 | % | ||
Total | 100.0 | % | Total | 11.6 | % |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to calvert.com.
2 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
CALVERT GLOBAL WATER FUND
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Managers Thomas C. Seto, Christopher Madden, CFA and Jade Huang, each of Calvert Research and Management | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception | ||||||||||
Class A at NAV | 09/30/2008 | 09/30/2008 | 4.29 | % | 15.15 | % | 7.36 | % | 6.80 | % | ||||||
Class A with 4.75% Maximum Sales Charge | — | — | -0.65 | 9.68 | 6.33 | 6.19 | ||||||||||
Class C at NAV | 09/30/2008 | 09/30/2008 | 3.85 | 14.25 | 6.51 | 5.87 | ||||||||||
Class C with 1% Maximum Sales Charge | — | — | 2.85 | 13.25 | 6.51 | 5.87 | ||||||||||
Class I at NAV | 01/31/2014 | 09/30/2008 | 4.44 | 15.55 | 7.70 | 7.00 | ||||||||||
Class Y at NAV | 09/30/2008 | 09/30/2008 | 4.46 | 15.46 | 7.70 | 7.06 | ||||||||||
MSCI All Country World Index | — | — | 8.18 | % | 15.04 | % | 8.37 | % | 7.33 | % | ||||||
Calvert Global Water Research Spliced | ||||||||||||||||
Benchmark | — | — | 5.64 | 18.31 | 11.93 | 8.84 | ||||||||||
Calvert Global Water Research Index | — | — | 5.64 | 18.30 | — | — | ||||||||||
S-Network Global Water Index | — | — | 3.77 | 16.80 | 11.64 | 8.67 | ||||||||||
Ticker Symbol | Class A | Class C | Class I | Class Y | ||||||||||||
CFWAX | CFWCX | CFWIX | CFWYX | |||||||||||||
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class Y | ||||||||||||
Gross | 1.47 | % | 2.19 | % | 1.47 | % | 1.11 | % | ||||||||
Net | 1.28 | 2.03 | 0.93 | 1.03 |
Fund Profile | |||||||
SECTOR ALLOCATION (% of total investments)4 | TEN LARGEST STOCK HOLDINGS (% of net assets) | ||||||
Industrials | 37.3 | % | Geberit AG | 1.6 | % | ||
Utilities | 30.1 | % | Veolia Environnement SA | 1.6 | % | ||
Materials | 11.0 | % | American Water Works Co., Inc. | 1.6 | % | ||
Consumer Discretionary | 5.6 | % | United Utilities Group plc | 1.5 | % | ||
Consumer Staples | 5.2 | % | Suez | 1.5 | % | ||
Health Care | 4.6 | % | Severn Trent plc | 1.5 | % | ||
Information Technology | 4.6 | % | A.O. Smith Corp. | 1.5 | % | ||
Financials | 1.1 | % | HD Supply Holdings, Inc. | 1.4 | % | ||
High Social Impact Investments | 0.4 | % | Ecolab, Inc. | 1.4 | % | ||
Time Deposit | 0.1 | % | Ebara Corp. | 1.4 | % | ||
Total | 100.0 | % | Total | 15.0 | % |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to calvert.com.
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 3
Endnotes and Additional Disclosures | ||
1 MSCI All Country World Index is an unmanaged free-float-adjusted market-capitalization-weighted index designed to measure the equity market performance of developed and emerging markets. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The Calvert Global Energy Research Spliced Benchmark is comprised of the Ardour Global Alternative Energy Index prior to October 4, 2016 and Calvert Global Energy Research Index thereafter. The Calvert Global Energy Research Index includes stocks of companies that manage energy in a sustainable manner or are facilitating the move to a more sustainable economy. The Calvert Global Energy Research Index incepted on July 15, 2016. The Ardour Global Alternative Energy Index measures the performance of stocks engaged in the field of alternative energy including solar, bioenergy, wind, hydro, and geothermal power sources. The Calvert Global Water Research Spliced Benchmark is comprised of S-Network Global Water Index prior to May 31, 2016 and Calvert Global Water Research Index thereafter. The Calvert Global Water Research Index includes stocks of companies that manage water use in a sustainable manner or are facilitating the move to a more sustainable economy. The Calvert Global Water Research Index incepted on February 5, 2016. The S-Network Global Water Index measures the performance of stocks involved in water infrastructure, including utilities, and water technology development. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index.2 Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Effective October 4, 2016, the Calvert Global Energy Solutions Fund changed its investment objective and principal investment strategies to track the Calvert Global Energy Research Index and implement the Calvert Principles for Responsible Investment. Prior to October 4, 2016, the Fund employed an active management strategy. Performance prior to October 4, 2016 reflects the Fund’s performance under its former investment objective and policies. In connection with such changes, the Fund changed its secondary benchmark from Ardour Global Alternative Energy Index to Calvert Global Energy Research Index because the investment adviser believes it is a more appropriate secondary benchmark for the Fund. | Effective April 11, 2016, the Calvert Global Water Fund changed its investment objective and principal investment strategies to track the Calvert Global Water Research Index and implement the Calvert Principles for Responsible Investment. Prior to April 11, 2016, the Fund employed an active management strategy. Performance prior to April 11, 2016 reflects the Fund’s performance under its former investment objective and policies. In connection with such changes, the Fund changed its secondary benchmark from S-Network Global Water Index to Calvert Global Water Research Index because the investment adviser believes it is a more appropriate secondary benchmark for the Fund. Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. For the Calvert Global Energy Solutions Fund, the performance of Class C and Class Y is linked to Class A and for the Calvert Global Water Fund, the performance of Class I is linked to Class A. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. Performance presented in the Financial Highlights included in the financial statements is not linked. 3 Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/18. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. 4 Does not include Short Term Investment of Cash Collateral for Securities Loaned. |
4 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
UNDERSTANDING YOUR FUND'S EXPENSES
As an investor, you incur two types of costs. There are transaction costs, which generally include sales charges (loads) on purchases and may include redemption fees. There are also ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in these mutual funds and to help you compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by each Fund's investors during the period. The actual and hypothetical information presented in the examples is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2016 to March 31, 2017).
Actual Expenses
The first line for each class of the tables below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each class of the tables below provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees, if applicable. Therefore, the second line of the tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
CALVERT GLOBAL ENERGY SOLUTIONS FUND | ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 10/1/16 | ENDING ACCOUNT VALUE 3/31/17 | EXPENSES PAID DURING PERIOD* 10/1/16 - 3/31/17 |
Class A | ||||
Actual | 1.48% | $1,000.00 | $1,021.90 | $7.46 |
Hypothetical (5% return per year before expenses) | 1.48% | $1,000.00 | $1,017.55 | $7.44 |
Class C | ||||
Actual | 2.22% | $1,000.00 | $1,019.20 | $11.18 |
Hypothetical (5% return per year before expenses) | 2.22% | $1,000.00 | $1,013.86 | $11.15 |
Class I | ||||
Actual | 1.05% | $1,000.00 | $1,024.30 | $5.30 |
Hypothetical (5% return per year before expenses) | 1.05% | $1,000.00 | $1,019.70 | $5.29 |
Class Y | ||||
Actual | 1.22% | $1,000.00 | $1,023.50 | $6.15 |
Hypothetical (5% return per year before expenses) | 1.22% | $1,000.00 | $1,018.85 | $6.14 |
* Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 5
CALVERT GLOBAL WATER FUND | ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 10/1/16 | ENDING ACCOUNT VALUE 3/31/17 | EXPENSES PAID DURING PERIOD* 10/1/16 - 3/31/17 |
Class A | ||||
Actual | 1.28% | $1,000.00 | $1,042.90 | $6.52 |
Hypothetical (5% return per year before expenses) | 1.28% | $1,000.00 | $1,018.55 | $6.44 |
Class C | ||||
Actual | 2.03% | $1,000.00 | $1,038.50 | $10.32 |
Hypothetical (5% return per year before expenses) | 2.03% | $1,000.00 | $1,014.81 | $10.20 |
Class I | ||||
Actual | 0.93% | $1,000.00 | $1,044.40 | $4.74 |
Hypothetical (5% return per year before expenses) | 0.93% | $1,000.00 | $1,020.29 | $4.68 |
Class Y | ||||
Actual | 1.03% | $1,000.00 | $1,044.60 | $5.25 |
Hypothetical (5% return per year before expenses) | 1.03% | $1,000.00 | $1,019.80 | $5.19 |
* Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
6 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
CALVERT GLOBAL ENERGY SOLUTIONS FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 2017 (Unaudited)
SHARES | VALUE ($) | |
COMMON STOCKS - 97.3% | ||
Austria - 1.4% | ||
Andritz AG | 13,423 | 671,327 |
Zumtobel Group AG | 25,035 | 482,701 |
1,154,028 | ||
Belgium - 1.0% | ||
Umicore SA | 13,324 | 758,789 |
Brazil - 1.2% | ||
CPFL Energia SA | 64,288 | 529,196 |
Sao Martinho SA | 81,052 | 447,384 |
976,580 | ||
Canada - 4.0% | ||
Boralex, Inc., Class A | 30,678 | 495,056 |
Brookfield Renewable Partners LP * | 18,930 | 560,847 |
Hydrogenics Corp. *(a) | 97,715 | 654,690 |
Innergex Renewable Energy, Inc. (a) | 45,373 | 487,900 |
Northland Power, Inc. | 28,577 | 527,767 |
TransAlta Renewables, Inc. | 42,704 | 505,762 |
3,232,022 | ||
China - 6.2% | ||
Boer Power Holdings Ltd. (a) | 984,000 | 329,280 |
China Longyuan Power Group Corp. Ltd., Class H | 620,000 | 482,261 |
CRRC Corp. Ltd., Class H | 628,000 | 610,588 |
CSG Holding Co. Ltd., Class B | 699,000 | 514,571 |
Huaneng Renewables Corp. Ltd., Class H | 1,385,955 | 479,984 |
JA Solar Holdings Co. Ltd. (ADR) *(a) | 94,883 | 620,535 |
JinkoSolar Holding Co. Ltd. (ADR) *(a) | 35,030 | 580,447 |
Kandi Technologies Group, Inc. *(a) | 88,458 | 336,140 |
Xinjiang Goldwind Science & Technology Co. Ltd., Class H (a) | 279,600 | 421,089 |
Xinyi Solar Holdings Ltd. | 1,854,000 | 592,127 |
4,967,022 | ||
Denmark - 2.5% | ||
Novozymes A/S, Class B | 17,368 | 688,114 |
Rockwool International A/S, Class B | 3,057 | 541,581 |
Vestas Wind Systems A/S | 8,980 | 730,435 |
1,960,130 | ||
Finland - 0.7% | ||
Metsa Board Oyj (a) | 89,014 | 550,007 |
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 7
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
France - 3.5% | ||
Albioma SA | 34,683 | 613,087 |
Cie de Saint-Gobain | 15,145 | 777,042 |
Renault SA | 6,771 | 588,212 |
Schneider Electric SE | 11,098 | 815,355 |
2,793,696 | ||
Germany - 5.8% | ||
Bayerische Motoren Werke AG | 6,574 | 599,823 |
Capital Stage AG | 65,509 | 431,846 |
Deutsche Post AG | 18,394 | 629,507 |
Infineon Technologies AG | 47,762 | 977,560 |
Nordex SE *(a) | 32,508 | 454,497 |
OSRAM Licht AG | 10,503 | 658,657 |
SMA Solar Technology AG (a) | 16,280 | 411,326 |
VERBIO Vereinigte BioEnergie AG | 43,004 | 486,293 |
4,649,509 | ||
Hong Kong - 4.4% | ||
China Everbright International Ltd. | 408,000 | 549,457 |
China Singyes Solar Technologies Holdings Ltd. (a) | 883,000 | 398,016 |
Concord New Energy Group Ltd. | 9,140,000 | 459,141 |
FDG Electric Vehicles Ltd. *(a) | 13,170,000 | 551,286 |
GCL-Poly Energy Holdings Ltd. *(a) | 4,781,000 | 633,982 |
United Photovoltaics Group Ltd. * | 4,066,000 | 486,687 |
Wasion Group Holdings Ltd. | 894,000 | 470,678 |
3,549,247 | ||
Ireland - 1.6% | ||
CRH plc | 17,462 | 615,345 |
Kingspan Group plc | 19,529 | 623,027 |
1,238,372 | ||
Japan - 4.3% | ||
Ferrotec Corp. | 37,900 | 467,185 |
Hitachi Metals Ltd. | 42,300 | 594,981 |
Kobe Steel Ltd. * | 60,600 | 554,514 |
Nippon Express Co. Ltd. | 115,000 | 591,936 |
Nissan Motor Co. Ltd. | 61,100 | 589,149 |
Panasonic Corp. | 53,900 | 609,998 |
3,407,763 | ||
Netherlands - 2.6% | ||
Akzo Nobel NV | 7,846 | 649,521 |
Koninklijke DSM NV | 8,983 | 607,513 |
Koninklijke Philips NV | 24,808 | 796,939 |
2,053,973 |
8 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
New Zealand - 1.3% | ||
Mercury NZ Ltd. (a) | 222,119 | 490,472 |
Meridian Energy Ltd. | 281,083 | 551,576 |
1,042,048 | ||
Norway - 1.7% | ||
Norsk Hydro ASA | 103,277 | 601,870 |
REC Silicon ASA *(a) | 3,366,051 | 403,338 |
Scatec Solar ASA (a)(b) | 87,572 | 390,628 |
1,395,836 | ||
Philippines - 0.6% | ||
Energy Development Corp. | 4,041,700 | 484,693 |
Portugal - 0.5% | ||
Altri SGPS SA | 87,357 | 390,157 |
South Korea - 3.2% | ||
ALUKO Co. Ltd. | 87,048 | 367,244 |
Finetex EnE, Inc. *(a) | 72,222 | 375,898 |
Hansol Technics Co. Ltd. * | 32,913 | 497,479 |
Samsung SDI Co. Ltd. | 6,771 | 835,902 |
Seoul Semiconductor Co. Ltd. | 32,835 | 510,960 |
2,587,483 | ||
Spain - 5.0% | ||
Acciona SA | 6,721 | 537,570 |
Atlantica Yield plc | 23,502 | 492,602 |
EDP Renovaveis SA | 74,040 | 547,149 |
Ence Energia y Celulosa SA | 138,598 | 426,921 |
Gamesa Corp. Tecnologica SA | 25,395 | 600,714 |
Iberdrola SA | 108,309 | 773,855 |
Red Electrica Corp. SA | 33,938 | 650,741 |
4,029,552 | ||
Switzerland - 1.7% | ||
ABB Ltd. | 34,965 | 818,373 |
Meyer Burger Technology AG *(a) | 667,583 | 564,035 |
1,382,408 | ||
Taiwan - 5.7% | ||
Delta Electronics, Inc. | 145,000 | 776,598 |
Everlight Electronics Co. Ltd. | 303,000 | 485,327 |
Gigasolar Materials Corp. | 44,000 | 446,528 |
Gintech Energy Corp. * | 831,822 | 485,230 |
Green Energy Technology, Inc. * | 775,000 | 446,903 |
Lextar Electronics Corp. | 810,000 | 469,802 |
Motech Industries, Inc. * | 545,000 | 502,878 |
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 9
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Neo Solar Power Corp. * | 1,031,000 | 518,140 |
Solartech Energy Corp. * | 874,000 | 406,150 |
4,537,556 | ||
Thailand - 0.2% | ||
Inter Far East Energy Corp. (c) | 2,662,000 | 192,121 |
United Kingdom - 5.8% | ||
Delphi Automotive plc | 7,955 | 640,298 |
Dialight plc * | 34,054 | 426,663 |
easyJet plc | 49,572 | 637,335 |
Ricardo plc | 52,485 | 572,428 |
SIG plc | 379,312 | 528,942 |
Unilever plc | 12,396 | 611,461 |
United Utilities Group plc | 50,859 | 633,244 |
Utilitywise plc | 294,781 | 608,473 |
4,658,844 | ||
United States - 32.4% | ||
3M Co. | 3,202 | 612,639 |
8Point3 Energy Partners LP | 31,845 | 432,137 |
AAON, Inc. | 15,345 | 542,446 |
Alphabet, Inc., Class A * | 712 | 603,634 |
BorgWarner, Inc. | 15,573 | 650,796 |
Bunge Ltd. | 7,460 | 591,280 |
Covanta Holding Corp. | 34,419 | 540,378 |
Cree, Inc. * | 21,695 | 579,907 |
Eaton Corp. plc | 10,392 | 770,567 |
EMCOR Group, Inc. | 9,396 | 591,478 |
Emerson Electric Co. | 15,380 | 920,647 |
EnerNOC, Inc. * | 113,817 | 682,902 |
EnerSys | 8,930 | 704,934 |
First Solar, Inc. *(a) | 16,330 | 442,543 |
FuelCell Energy, Inc. *(a) | 430,877 | 592,456 |
General Electric Co. | 19,818 | 590,576 |
Green Plains, Inc. | 20,566 | 509,008 |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 31,443 | 635,148 |
Ingersoll-Rand plc | 9,066 | 737,247 |
Itron, Inc. * | 10,662 | 647,183 |
Maxwell Technologies, Inc. * | 86,054 | 499,974 |
Microsoft Corp. | 9,279 | 611,115 |
NextEra Energy Partners LP * | 16,452 | 545,055 |
ON Semiconductor Corp. * | 42,098 | 652,098 |
Ormat Technologies, Inc. | 9,164 | 523,081 |
Owens Corning | 10,627 | 652,179 |
Pacific Ethanol, Inc. * | 52,204 | 357,597 |
Pattern Energy Group, Inc. (a) | 24,275 | 488,656 |
10 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Plug Power, Inc. *(a) | 468,931 | 647,125 |
Power Integrations, Inc. | 8,511 | 559,598 |
Renewable Energy Group, Inc. *(a) | 41,878 | 437,625 |
Rockwell Automation, Inc. | 4,742 | 738,377 |
Silver Spring Networks, Inc. *(a) | 46,548 | 525,527 |
SolarEdge Technologies, Inc. * | 37,718 | 588,401 |
Southwest Airlines Co. | 10,706 | 575,554 |
SunPower Corp. *(a) | 57,208 | 348,969 |
Sunrun, Inc. *(a) | 75,929 | 410,017 |
Tenneco, Inc. | 9,085 | 567,086 |
Tesla, Inc. * | 3,078 | 856,607 |
Universal Display Corp. | 7,220 | 621,642 |
Vivint Solar, Inc. *(a) | 133,876 | 374,853 |
Waste Management, Inc. | 8,234 | 600,423 |
Whirlpool Corp. | 3,960 | 678,467 |
Woodward, Inc. | 10,086 | 685,041 |
25,922,973 | ||
Total Common Stocks (Cost $75,133,384) | 77,914,809 | |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
HIGH SOCIAL IMPACT INVESTMENTS - 2.2% | ||
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/16/19 (d)(e) | 1,800,000 | 1,684,422 |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/20 (c)(d)(f) | 53,000 | 47,170 |
ImpactAssets Inc., Microfinance Plus Notes, 0.00%, 11/3/20 (c)(d)(f) | 68,000 | 63,920 |
Total High Social Impact Investments (Cost $1,921,000) | 1,795,512 | |
TIME DEPOSIT - 0.1% | ||
State Street Bank and Trust Eurodollar Time Deposit, 0.09%, 4/3/17 | 100,925 | 100,925 |
Total Time Deposit (Cost $100,925) | 100,925 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 13.0% | ||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.62% | 10,371,490 | 10,371,490 |
Total Short Term Investment of Cash Collateral For Securities Loaned (Cost $10,371,490) | 10,371,490 | |
TOTAL INVESTMENTS (Cost $87,526,799) - 112.6% | 90,182,736 | |
Other assets and liabilities, net - (12.6%) | (10,096,141) | |
NET ASSETS - 100.0% | 80,086,595 | |
See notes to financial statements. |
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 11
At March 31, 2017, the concentration of the Fund’s investments in the various sectors, determined as a percentage of total investments, was as follows: | ||
ECONOMIC SECTORS | % OF TOTAL INVESTMENTS* | |
Industrials | 34.6 | % |
Information Technology | 24.4 | % |
Utilities | 17.2 | % |
Materials | 8.7 | % |
Consumer Discretionary | 7.7 | % |
High Social Impact Investments | 2.2 | % |
Energy | 2.2 | % |
Consumer Staples | 2.1 | % |
Financials | 0.8 | % |
Time Deposit | 0.1 | % |
Total | 100.0 | % |
*Does not include Short Term Investment of Cash Collateral for Securities Loaned. |
NOTES TO SCHEDULE OF INVESTMENTS | ||
* Non-income producing security. | ||
(a) Security, or portion of security, is on loan. Total value of securities on loan is $9,771,552 as of March 31, 2017. | ||
(b) 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. Total market value of Rule 144A securities amounts to $390,628, which represents 0.5% of the net assets of the Fund as of March 31, 2017. | ||
(c) For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note A). | ||
(d) Restricted security. Total market value of restricted securities amounts to $1,795,512, which represents 2.2% of the net assets of the Fund as of March 31, 2017. | ||
(e) Affiliated company (see Note F). | ||
(f) Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at March 31, 2017. |
Abbreviations: | |
ADR: | American Depositary Receipts |
RESTRICTED SECURITIES | ACQUISITION DATES | COST ($) |
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/16/19 | 12/15/16 | 1,800,000 |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/20 | 11/13/15 | 53,000 |
ImpactAssets Inc., Microfinance Plus Notes, 0.00%, 11/3/20 | 11/13/15 | 68,000 |
See notes to financial statements. |
12 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
CALVERT GLOBAL WATER FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 2017 (Unaudited)
SHARES | VALUE ($) | |
COMMON STOCKS - 99.1% | ||
Brazil - 2.1% | ||
Cia de Saneamento de Minas Gerais | 325,664 | 4,597,952 |
Cia de Saneamento do Parana, PFC Shares | 1,290,594 | 4,534,765 |
9,132,717 | ||
Canada - 1.0% | ||
EnerCare, Inc. | 293,083 | 4,577,459 |
Cayman Islands - 0.9% | ||
Consolidated Water Co. Ltd. | 329,869 | 3,842,974 |
Chile - 1.1% | ||
Aguas Andinas SA, Class A | 8,374,847 | 4,759,337 |
China - 1.9% | ||
China Lesso Group Holdings Ltd. | 6,067,578 | 5,132,136 |
CT Environmental Group Ltd. (a) | 16,396,202 | 3,482,883 |
8,615,019 | ||
Denmark - 0.9% | ||
Novozymes A/S, Class B | 99,157 | 3,928,562 |
Finland - 2.6% | ||
Kemira Oyj | 325,144 | 3,992,834 |
Metsa Board Oyj (a) | 560,409 | 3,462,699 |
Outotec Oyj * | 662,103 | 4,015,542 |
11,471,075 | ||
France - 3.9% | ||
Sanofi SA | 43,454 | 3,928,033 |
Suez | 410,891 | 6,484,707 |
Veolia Environnement SA | 368,062 | 6,901,850 |
17,314,590 | ||
Hong Kong - 3.7% | ||
Beijing Enterprises Water Group Ltd. | 8,023,452 | 5,947,655 |
China Water Affairs Group Ltd. | 6,588,421 | 4,341,022 |
Guangdong Investment Ltd. | 4,149,427 | 5,916,752 |
16,205,429 | ||
India - 1.9% | ||
Jain Irrigation Systems Ltd. | 2,520,534 | 3,634,801 |
VA Tech Wabag Ltd. | 460,695 | 4,846,617 |
8,481,418 | ||
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 13
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Israel - 0.8% | ||
Israel Chemicals Ltd. | 840,857 | 3,565,939 |
Italy - 1.1% | ||
ACEA SpA | 367,664 | 5,004,777 |
Japan - 6.2% | ||
Ebara Corp. (a) | 187,256 | 6,125,554 |
Hitachi Zosen Corp. | 845,327 | 4,825,751 |
Kurita Water Industries Ltd. | 188,142 | 4,568,567 |
METAWATER Co. Ltd. (a) | 158,017 | 4,121,760 |
Nihon Trim Co. Ltd. (a) | 81,800 | 2,730,790 |
TOTO Ltd. (a) | 130,100 | 4,921,581 |
27,294,003 | ||
Netherlands - 2.1% | ||
Arcadis NV | 350,619 | 5,522,461 |
Boskalis Westminster NV | 106,462 | 3,667,890 |
9,190,351 | ||
Philippines - 2.2% | ||
Manila Water Co., Inc. | 7,575,206 | 4,648,857 |
Metro Pacific Investments Corp. | 40,949,418 | 4,911,453 |
9,560,310 | ||
Singapore - 0.9% | ||
Hyflux Ltd. (a) | 9,922,994 | 4,043,397 |
South Korea - 1.2% | ||
Coway Co. Ltd. | 62,098 | 5,346,156 |
Spain - 2.0% | ||
Fomento de Construcciones y Contratas SA * | 513,145 | 4,660,759 |
Iberdrola SA | 570,113 | 4,073,394 |
8,734,153 | ||
Sweden - 0.8% | ||
Hennes & Mauritz AB, Class B (a) | 138,164 | 3,526,054 |
Switzerland - 3.4% | ||
Geberit AG | 16,199 | 6,980,322 |
Novartis AG | 51,929 | 3,856,118 |
Sika AG | 682 | 4,090,440 |
14,926,880 | ||
Taiwan - 1.7% | ||
China Steel Corp. | 4,536,000 | 3,782,244 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 624,294 | 3,914,719 |
7,696,963 | ||
14 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
United Kingdom - 9.5% | ||
Coca-Cola European Partners plc | 107,592 | 4,055,142 |
Croda International plc | 85,559 | 3,821,610 |
Pennon Group plc | 552,107 | 6,098,833 |
Pentair plc | 88,312 | 5,544,227 |
Polypipe Group plc | 1,145,901 | 5,460,580 |
Severn Trent plc | 217,073 | 6,475,081 |
Unilever plc | 77,724 | 3,833,912 |
United Utilities Group plc | 526,317 | 6,553,161 |
41,842,546 | ||
United States - 47.2% | ||
A.O. Smith Corp. | 125,582 | 6,424,775 |
Advanced Drainage Systems, Inc. | 222,532 | 4,873,451 |
Aegion Corp. * | 208,295 | 4,772,038 |
American States Water Co. | 123,076 | 5,452,267 |
American Water Works Co., Inc. | 88,486 | 6,881,556 |
Badger Meter, Inc. | 115,339 | 4,238,708 |
Calgon Carbon Corp. | 279,826 | 4,085,460 |
California Water Service Group | 149,480 | 5,358,858 |
Cantel Medical Corp. | 58,391 | 4,677,119 |
Colgate-Palmolive Co. | 52,782 | 3,863,115 |
Connecticut Water Service, Inc. | 82,789 | 4,400,235 |
Danaher Corp. | 44,360 | 3,794,111 |
Ecolab, Inc. | 49,158 | 6,161,464 |
Flowserve Corp. | 110,753 | 5,362,660 |
Ford Motor Co. | 296,124 | 3,446,883 |
Franklin Electric Co., Inc. | 105,664 | 4,548,835 |
General Electric Co. | 124,775 | 3,718,295 |
General Mills, Inc. | 61,047 | 3,602,384 |
Gorman-Rupp Co. (The) | 143,314 | 4,500,060 |
Hanesbrands, Inc. (a) | 189,439 | 3,932,754 |
Hawkins, Inc. | 72,312 | 3,543,288 |
HD Supply Holdings, Inc. * | 154,155 | 6,339,624 |
IDEX Corp. | 54,697 | 5,114,717 |
IDEXX Laboratories, Inc. * | 25,908 | 4,005,636 |
Intel Corp. | 103,259 | 3,724,552 |
Itron, Inc. * | 73,539 | 4,463,817 |
Kellogg Co. | 50,281 | 3,650,903 |
Layne Christensen Co. * | 396,308 | 3,503,363 |
Lindsay Corp. (a) | 60,609 | 5,340,865 |
Middlesex Water Co. | 125,159 | 4,624,625 |
Mueller Industries, Inc. | 177,560 | 6,077,879 |
Mueller Water Products, Inc., Class A | 444,465 | 5,253,576 |
NIKE, Inc., Class B | 68,492 | 3,817,059 |
Nucor Corp. | 62,552 | 3,735,605 |
PepsiCo, Inc. | 34,950 | 3,909,507 |
Rexnord Corp. * | 203,138 | 4,688,425 |
Sempra Energy | 35,824 | 3,958,552 |
SJW Group | 97,525 | 4,702,656 |
Tetra Tech, Inc. | 108,627 | 4,437,413 |
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 15
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Toro Co. (The) | 84,897 | 5,302,667 |
Trimble, Inc. * | 122,209 | 3,911,910 |
Valmont Industries, Inc. | 38,079 | 5,921,285 |
Watts Water Technologies, Inc., Class A | 65,507 | 4,084,361 |
Xylem, Inc. | 107,817 | 5,414,570 |
York Water Co. (The) | 124,908 | 4,378,025 |
207,999,908 | ||
Total Common Stocks (Cost $390,801,309) | 437,060,017 | |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
HIGH SOCIAL IMPACT INVESTMENTS - 0.4% | ||
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/16/19 (b)(c) | 1,000,000 | 935,790 |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/20 (b)(d)(e) | 284,000 | 252,760 |
ImpactAssets Inc., Microfinance Plus Notes, 0.00%, 11/3/20 (b)(d)(e) | 366,000 | 344,040 |
Total High Social Impact Investments (Cost $1,650,000) | 1,532,590 | |
TIME DEPOSIT - 0.1% | ||
State Street Bank and Trust Eurodollar Time Deposit, 0.09%, 4/3/17 | 537,898 | 537,898 |
Total Time Deposit (Cost $537,898) | 537,898 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 6.6% | ||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.62% | 29,234,595 | 29,234,595 |
Total Short Term Investment of Cash Collateral For Securities Loaned (Cost $29,234,595) | 29,234,595 | |
TOTAL INVESTMENTS (Cost $422,223,802) - 106.2% | 468,365,100 | |
Other assets and liabilities, net - (6.2%) | (27,480,405) | |
NET ASSETS - 100.0% | 440,884,695 |
See notes to financial statements.
16 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
At March 31, 2017, the concentration of the Fund’s investments in the various sectors, determined as a percentage of total investments, was as follows: | ||
ECONOMIC SECTORS | % OF TOTAL INVESTMENTS* | |
Industrials | 37.3 | % |
Utilities | 30.1 | % |
Materials | 11.0 | % |
Consumer Discretionary | 5.6 | % |
Consumer Staples | 5.2 | % |
Health Care | 4.6 | % |
Information Technology | 4.6 | % |
Financials | 1.1 | % |
High Social Impact Investments | 0.4 | % |
Time Deposit | 0.1 | % |
Total | 100.0 | % |
*Does not include Short Term Investment of Cash Collateral for Securities Loaned. |
NOTES TO SCHEDULE OF INVESTMENTS | ||
* Non-income producing security. | ||
(a) Security, or portion of security, is on loan. Total value of securities on loan is $27,320,738 as of March 31, 2017. | ||
(b) Restricted security. Total market value of restricted securities amounts to $1,532,590, which represents 0.4% of the net assets of the Fund as of March 31, 2017. | ||
(c) Affiliated company (see Note F). | ||
(d) For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note A). | ||
(e) Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at March 31, 2017. | ||
Abbreviations: | ||
PFC Shares: | Preference Shares |
RESTRICTED SECURITIES | ACQUISITION DATES | COST ($) |
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/16/19 | 12/15/16 | 1,000,000 |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/20 | 11/13/15 | 284,000 |
ImpactAssets Inc., Microfinance Plus Notes, 0.00%, 11/3/20 | 11/13/15 | 366,000 |
See notes to financial statements.
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 17
CALVERT GLOBAL ENERGY SOLUTIONS FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2017 (Unaudited)
ASSETS | |
Investments in unaffiliated securities, at value (Cost $85,726,799) - see accompanying schedule | $88,498,314 |
Investments in affiliated securities, at value (Cost $1,800,000) - see accompanying schedule | 1,684,422 |
Foreign currency, at value (Cost $26,806) | 26,789 |
Receivable for securities sold | 123,602 |
Receivable for Fund shares sold | 187,468 |
Dividends and interest receivable | 160,451 |
Interest receivable - affiliated | 8,025 |
Securities lending income receivable | 52,883 |
Directors' deferred compensation plan | 61,593 |
Tax reclaims receivable | 25,944 |
Receivable from affiliate | 80,079 |
Total assets | 90,909,570 |
LIABILITIES | |
Collateral for securities loaned | 10,371,490 |
Payable for Fund shares redeemed | 189,962 |
Payable to affiliates: | |
Investment advisory fee | 51,012 |
Administrative fees | 8,162 |
Distribution Plan expenses | 21,288 |
Sub-transfer agent fee | 6,483 |
Directors' fees and expenses | 38 |
Directors' deferred compensation plan | 61,593 |
Accrued expenses and other liabilities | 112,947 |
Total liabilities | 10,822,975 |
NET ASSETS | $80,086,595 |
NET ASSETS CONSIST OF: | |
Paid-in capital applicable to common stock | |
(250,000,000 shares of $0.01 par value authorized) | $282,237,482 |
Accumulated undistributed net investment income | 120,984 |
Accumulated net realized gain (loss) | (204,926,750) |
Net unrealized appreciation (depreciation) | 2,654,879 |
NET ASSETS | $80,086,595 |
NET ASSET VALUE PER SHARE | |
Class A (based on net assets of $53,659,981 and 8,513,452 shares outstanding) | $6.30 |
Class C (based on net assets of $11,614,606 and 1,961,525 shares outstanding) | $5.92 |
Class I (based on net assets of $4,688,303 and 733,944 shares outstanding) | $6.39 |
Class Y (based on net assets of $10,123,705 and 1,547,372 shares outstanding) | $6.54 |
OFFERING PRICE PER SHARE* | |
Class A (100/95.25 of net asset value per share) | $6.61 |
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
See notes to financial statements. |
18 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
CALVERT GLOBAL WATER FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2017 (Unaudited)
ASSETS | |||
Investments in unaffiliated securities, at value (Cost $421,223,802) - see accompanying schedule | $467,429,310 | ||
Investments in affiliated securities, at value (Cost $1,000,000) - see accompanying schedule | 935,790 | ||
Foreign currency, at value (Cost $1,296,876) | 1,309,748 | ||
Receivable for Fund shares sold | 705,009 | ||
Dividends and interest receivable | 1,263,020 | ||
Interest receivable - affiliated | 4,460 | ||
Securities lending income receivable | 24,856 | ||
Directors' deferred compensation plan | 267,495 | ||
Tax reclaims receivable | 229,142 | ||
Receivable from affiliate | 55,332 | ||
Total assets | 472,224,162 | ||
LIABILITIES | |||
Collateral for securities loaned | 29,234,595 | ||
Payable for Fund shares redeemed | 894,063 | ||
Payable for foreign capital gains taxes | 265,413 | ||
Payable to affiliates: | |||
Investment advisory fee | 270,833 | ||
Administrative fees | 44,609 | ||
Distribution Plan expenses | 109,088 | ||
Sub-transfer agent fee | 9,897 | ||
Directors' fees and expenses | 816 | ||
Directors' deferred compensation plan | 267,495 | ||
Accrued expenses and other liabilities | 242,658 | ||
Total liabilities | 31,339,467 | ||
NET ASSETS | $440,884,695 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(250,000,000 shares of $0.01 par value authorized) | $474,800,192 | ||
Accumulated undistributed net investment income | 2,080,733 | ||
Accumulated net realized gain (loss) | (81,878,780) | ||
Net unrealized appreciation (depreciation) | 45,882,550 | ||
NET ASSETS | $440,884,695 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $240,501,516 and 13,022,465 shares outstanding) | $18.47 | ||
Class C (based on net assets of $68,266,174 and 4,014,546 shares outstanding) | $17.00 | ||
Class I (based on net assets of $14,011,593 and 754,003 shares outstanding) | $18.58 | ||
Class Y (based on net assets of $118,105,412 and 6,303,577 shares outstanding) | $18.74 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $19.39 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. |
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 19
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)
NET INVESTMENT INCOME | Global Energy Solutions Fund | Global Water Fund | |||||
Investment Income: | |||||||
Dividend income (net of foreign taxes withheld of $36,914 and $270,468, respectively) | $568,890 | $4,834,875 | |||||
Securities lending income | 212,088 | 122,368 | |||||
Interest income | 762 | 12,858 | |||||
Interest income - affiliated | 10,858 | 6,514 | |||||
Other income | 335 | 320 | |||||
Total investment income | 792,933 | 4,976,935 | |||||
Expenses: | |||||||
Investment advisory fee | 350,726 | 1,572,461 | |||||
Administrative fees | 49,363 | 258,880 | |||||
Transfer agency fees and expenses: | |||||||
Class A | 120,619 | 278,151 | |||||
Class C | 22,934 | 61,130 | |||||
Class I | 1,321 | 1,492 | |||||
Class Y | 6,894 | 50,346 | |||||
Distribution Plan expenses: | |||||||
Class A | 73,032 | 327,701 | |||||
Class C | 59,388 | 341,851 | |||||
Directors' fees and expenses | 4,358 | 22,203 | |||||
Accounting fees | 14,885 | 57,205 | |||||
Custodian fees | 88,069 | 116,674 | |||||
Professional fees | 22,905 | 30,266 | |||||
Registration fees: | |||||||
Class A | 8,840 | 14,170 | |||||
Class C | 6,472 | 8,353 | |||||
Class I | 6,693 | 7,367 | |||||
Class Y | 6,623 | 8,440 | |||||
Reports to shareholders | 20,413 | 50,427 | |||||
Miscellaneous | 8,844 | 15,551 | |||||
Total expenses | 872,379 | 3,222,668 | |||||
Reimbursement from Adviser: | |||||||
Class A | (166,238) | (231,511) | |||||
Class C | (37,616) | (53,799) | |||||
Class I | (13,432) | (11,995) | |||||
Class Y | (20,318) | (38,863) | |||||
Net expenses | 634,775 | 2,886,500 | |||||
NET INVESTMENT INCOME (LOSS) | 158,158 | 2,090,435 | |||||
See notes to financial statements. |
20 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited) - CONT’D
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||
Net realized gain (loss) on: | |||||||
Investments (net of foreign capital gains taxes of $679 and $9,438, respectively) | (5,219,187) | 7,758,289 | |||||
Foreign currency transactions | (85,908) | (131,756) | |||||
(5,305,095) | 7,626,533 | ||||||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments (including net increase in payable for foreign capital gains taxes of $0 and $247,840, respectively) | 6,223,355 | 8,321,111 | |||||
Investments in affiliated securities | (84,348) | (46,420) | |||||
Foreign currency | 965 | 18,507 | |||||
6,139,972 | 8,293,198 | ||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 834,877 | 15,919,731 | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $993,035 | $18,010,166 | |||||
See notes to financial statements. |
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 21
CALVERT GLOBAL ENERGY SOLUTIONS FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | SIX MONTHS ENDED MARCH 31, 2017(Unaudited) | YEAR ENDED SEPTEMBER 30, 2016 | |||||
Operations: | |||||||
Net investment income (loss) | $158,158 | $1,160,831 | |||||
Net realized gain (loss) | (5,305,095) | (11,190,991) | |||||
Net change in unrealized appreciation (depreciation) | 6,139,972 | 16,378,102 | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 993,035 | 6,347,942 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (595,985) | (147,535) | |||||
Class C shares | (23,199) | — | |||||
Class I shares | (52,798) | (3,751) | |||||
Class Y shares | (96,007) | (52,259) | |||||
Total distributions | (767,989) | (203,545) | |||||
Capital share transactions: | |||||||
Shares sold: | |||||||
Class A shares | 3,900,381 | 26,960,528 | |||||
Class C shares | 435,696 | 1,945,945 | |||||
Class I shares | 4,132,705 | 576,538 | |||||
Class Y shares | 5,154,152 | 7,157,929 | |||||
Reinvestment of distributions: | |||||||
Class A shares | 558,006 | 137,635 | |||||
Class C shares | 19,546 | — | |||||
Class I shares | 51,424 | 3,751 | |||||
Class Y shares | 88,509 | 52,182 | |||||
Shares redeemed: | |||||||
Class A shares | (21,019,867) | (20,751,676) | |||||
Class C shares | (2,180,735) | (3,405,691) | |||||
Class I shares | (607,797) | (105,460) | |||||
Class Y shares | (5,847,257) | (5,274,065) | |||||
Total capital share transactions | (15,315,237) | 7,297,616 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (15,090,191) | 13,442,013 | |||||
NET ASSETS | |||||||
Beginning of period | 95,176,786 | 81,734,773 | |||||
End of period (including accumulated undistributed net investment income of $120,984 and $730,815, respectively) | $80,086,595 | $95,176,786 | |||||
See notes to financial statements. |
22 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
CALVERT GLOBAL ENERGY SOLUTIONS FUND
STATEMENTS OF CHANGES IN NET ASSETS - CONT’D
CAPITAL SHARE ACTIVITY | SIX MONTHS ENDED MARCH 31, 2017(Unaudited) | YEAR ENDED SEPTEMBER 30, 2016 | ||
Shares sold: | ||||
Class A shares | 645,198 | 4,353,980 | ||
Class C shares | 75,924 | 340,418 | ||
Class I shares | 681,993 | 93,812 | ||
Class Y shares | 813,583 | 1,136,738 | ||
Reinvestment of distributions: | ||||
Class A shares | 94,738 | 21,142 | ||
Class C shares | 3,522 | — | ||
Class I shares | 8,614 | 567 | ||
Class Y shares | 14,486 | 7,719 | ||
Shares redeemed: | ||||
Class A shares | (3,520,080) | (3,423,027) | ||
Class C shares | (387,469) | (590,712) | ||
Class I shares | (100,036) | (16,759) | ||
Class Y shares | (940,321) | (836,704) | ||
Total capital share activity | (2,609,848) | 1,087,174 | ||
See notes to financial statements. |
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 23
CALVERT GLOBAL WATER FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | SIX MONTHS ENDED MARCH 31, 2017(Unaudited) | YEAR ENDED SEPTEMBER 30, 2016 | |||||
Operations: | |||||||
Net investment income (loss) | $2,090,435 | $651,377 | |||||
Net realized gain (loss) | 7,626,533 | (75,846,373) | |||||
Net change in unrealized appreciation (depreciation) | 8,293,198 | 150,120,767 | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 18,010,166 | 74,925,771 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | — | (76,358) | |||||
Class I shares | — | (36,146) | |||||
Class Y shares | — | (259,259) | |||||
Total distributions | — | (371,763) | |||||
Capital share transactions: | |||||||
Shares sold: | |||||||
Class A shares | 23,295,115 | 38,797,881 | |||||
Class C shares | 3,772,049 | 6,881,375 | |||||
Class I shares | 9,727,603 | 3,833,771 | |||||
Class Y shares | 51,355,859 | 31,777,247 | |||||
Reinvestment of distributions: | |||||||
Class A shares | — | 69,220 | |||||
Class I shares | — | 34,718 | |||||
Class Y shares | — | 195,235 | |||||
Shares redeemed: | |||||||
Class A shares | (71,865,420) | (103,674,316) | |||||
Class C shares | (9,383,798) | (22,529,062) | |||||
Class I shares | (1,193,036) | (452,972) | |||||
Class Y shares | (22,201,528) | (54,846,947) | |||||
Total capital share transactions | (16,493,156) | (99,913,850) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 1,517,010 | (25,359,842) | |||||
NET ASSETS | |||||||
Beginning of period | 439,367,685 | 464,727,527 | |||||
End of period (including accumulated undistributed (distributions in excess of) net investment income of $2,080,733 and ($9,702), respectively) | $440,884,695 | $439,367,685 | |||||
See notes to financial statements.
24 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
CALVERT GLOBAL WATER FUND
STATEMENTS OF CHANGES IN NET ASSETS - CONT’D
CAPITAL SHARE ACTIVITY | SIX MONTHS ENDED MARCH 31, 2017(Unaudited) | YEAR ENDED SEPTEMBER 30, 2016 | ||
Shares sold: | ||||
Class A shares | 1,317,152 | 2,435,334 | ||
Class C shares | 231,179 | 465,425 | ||
Class I shares | 560,057 | 234,993 | ||
Class Y shares | 2,819,022 | 1,968,559 | ||
Reinvestment of distributions: | ||||
Class A shares | — | 4,471 | ||
Class I shares | — | 2,240 | ||
Class Y shares | — | 12,475 | ||
Shares redeemed: | ||||
Class A shares | (4,021,118) | (6,578,871) | ||
Class C shares | (574,764) | (1,531,668) | ||
Class I shares | (66,751) | (28,391) | ||
Class Y shares | (1,245,630) | (3,461,684) | ||
Total capital share activity | (980,853) | (6,477,117) |
See notes to financial statements.
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 25
CALVERT GLOBAL ENERGY SOLUTIONS FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2017 (a) (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS A SHARES | 2016 (a) | 2015 (a) | 2014 (a) | 2013 | 2012 (a) | ||||||||||||
Net asset value, beginning | $6.23 | $5.76 | $7.10 | $6.94 | $5.16 | $5.48 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss) | 0.01 | 0.08(b) | 0.01 | —(c) | (0.01) | (0.01) | |||||||||||
Net realized and unrealized gain (loss) | 0.12 | 0.40 | (1.35) | 0.16 | 1.79 | (0.17 | ) | ||||||||||
Total from investment operations | 0.13 | 0.48 | (1.34) | 0.16 | 1.78 | (0.18 | ) | ||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.06) | (0.01) | — | — | — | (0.14) | |||||||||||
Total distributions | (0.06) | (0.01) | — | — | — | (0.14) | |||||||||||
Total increase (decrease) in net asset value | 0.07 | 0.47 | (1.34) | 0.16 | 1.78 | (0.32) | |||||||||||
Net asset value, ending | $6.30 | $6.23 | $5.76 | $7.10 | $6.94 | $5.16 | |||||||||||
Total return (d) | 2.19 | % | 8.38 | % | (18.87 | %) | 2.31 | % | 34.50 | % | (3.27 | %) | |||||
Ratios to average net assets: (e) | |||||||||||||||||
Net investment income (loss) | 0.41%(f) | 1.33%(b) | 0.17 | % | (0.05 | %) | (0.19 | %) | (0.21 | %) | |||||||
Total expenses | 2.05%(f) | 2.06 | % | 2.21 | % | 2.13 | % | 2.40 | % | 2.57 | % | ||||||
Net expenses | 1.48%(f) | 1.85 | % | 1.85 | % | 1.85 | % | 1.85 | % | 1.85 | % | ||||||
Portfolio turnover | 103 | % | 89 | % | 99 | % | 62 | % | 90 | % | 52 | % | |||||
Net assets, ending (in thousands) | $53,660 | $70,317 | $59,589 | $75,155 | $79,302 | $57,727 | |||||||||||
(a) Net investment income (loss) per share is calculated using the Average Shares Method. | |||||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.005 per share and 0.08% of average net assets. | |||||||||||||||||
(c) Amount is less than $(0.005) per share. | |||||||||||||||||
(d) Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||
(e) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(f) Annualized. | |||||||||||||||||
See notes to financial statements. |
26 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
CALVERT GLOBAL ENERGY SOLUTIONS FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2017 (a) (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS C SHARES | 2016 (a) | 2015 (a) | 2014 (a) | 2013 | 2012 (a) | ||||||||||||
Net asset value, beginning | $5.82 | $5.42 | $6.75 | $6.66 | $5.00 | $5.28 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss) | (0.01) | 0.03(b) | (0.05) | (0.07) | (0.07) | (0.06) | |||||||||||
Net realized and unrealized gain (loss) | 0.12 | 0.37 | (1.28) | 0.16 | 1.73 | (0.17) | |||||||||||
Total from investment operations | 0.11 | 0.40 | (1.33) | 0.09 | 1.66 | (0.23) | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.01) | — | — | — | — | (0.05) | |||||||||||
Total distributions | (0.01) | — | — | — | — | (0.05) | |||||||||||
Total increase (decrease) in net asset value | 0.10 | 0.40 | (1.33) | 0.09 | 1.66 | (0.28) | |||||||||||
Net asset value, ending | $5.92 | $5.82 | $5.42 | $6.75 | $6.66 | $5.00 | |||||||||||
Total return (c) | 1.92 | % | 7.38 | % | (19.70 | %) | 1.35 | % | 33.20 | % | (4.38 | %) | |||||
Ratios to average net assets: (d) | |||||||||||||||||
Net investment income (loss) | (0.29%)(e) | 0.45%(b) | (0.84 | %) | (1.04 | %) | (1.21 | %) | (1.22 | %) | |||||||
Total expenses | 2.86%(e) | 2.87 | % | 2.96 | % | 2.93 | % | 3.20 | % | 3.37 | % | ||||||
Net expenses | 2.22%(e) | 2.69 | % | 2.85 | % | 2.85 | % | 2.85 | % | 2.85 | % | ||||||
Portfolio turnover | 103 | % | 89 | % | 99 | % | 62 | % | 90 | % | 52 | % | |||||
Net assets, ending (in thousands) | $11,615 | $13,213 | $13,663 | $17,256 | $16,697 | $13,595 | |||||||||||
(a) Net investment income (loss) per share is calculated using the Average Shares Method. | |||||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.004 per share and 0.07% of average net assets. | |||||||||||||||||
(c) Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(e) Annualized. | |||||||||||||||||
See notes to financial statements. |
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 27
CALVERT GLOBAL ENERGY SOLUTIONS FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2017 (a) (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS I SHARES | 2016 (a) | 2015 (a) | 2014 (a) | 2013 | 2012 (a) | ||||||||||||
Net asset value, beginning | $6.35 | $5.88 | $7.21 | $7.02 | $5.19 | $5.59 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income | 0.04 | 0.11(b) | 0.06 | 0.03 | —(c) | 0.02 | |||||||||||
Net realized and unrealized gain (loss) | 0.11 | 0.41 | (1.39) | 0.16 | 1.83 | (0.18) | |||||||||||
Total from investment operations | 0.15 | 0.52 | (1.33) | 0.19 | 1.83 | (0.16) | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.11) | (0.05) | — | — | — | (0.24) | |||||||||||
Total distributions | (0.11) | (0.05) | — | — | — | (0.24) | |||||||||||
Total increase (decrease) in net asset value | 0.04 | 0.47 | (1.33) | 0.19 | 1.83 | (0.40) | |||||||||||
Net asset value, ending | $6.39 | $6.35 | $5.88 | $7.21 | $7.02 | $5.19 | |||||||||||
Total return (d) | 2.43 | % | 8.76 | % | (18.45 | %) | 2.71 | % | 35.26 | % | (2.77 | %) | |||||
Ratios to average net assets: (e) | |||||||||||||||||
Net investment income | 1.24%(f) | 1.74%(b) | 0.82 | % | 0.34 | % | 0.04 | % | 0.38 | % | |||||||
Total expenses | 1.93%(f) | 3.83 | % | 5.63 | % | 2.88 | % | 3.19 | % | 1.77 | % | ||||||
Net expenses | 1.05%(f) | 1.40 | % | 1.40 | % | 1.40 | % | 1.40 | % | 1.40 | % | ||||||
Portfolio turnover | 103 | % | 89 | % | 99 | % | 62 | % | 90 | % | 52 | % | |||||
Net assets, ending (in thousands) | $4,688 | $910 | $386 | $180 | $525 | $725 | |||||||||||
(a) Net investment income per share is calculated using the Average Shares Method. | |||||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.006 per share and 0.09% of average net assets. | |||||||||||||||||
(c) Amount is less than $0.005 per share. | |||||||||||||||||
(d) Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||
(e) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(f) Annualized. | |||||||||||||||||
See notes to financial statements. |
28 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
CALVERT GLOBAL ENERGY SOLUTIONS FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2017 (a) (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS Y SHARES | 2016 (a) | 2015 (a) | 2014 (a) | 2013 | 2012 (a) | ||||||||||||
Net asset value, beginning | $6.47 | $5.99 | $7.36 | $7.18 | $5.32 | $5.49 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income | 0.02 | 0.10(b) | 0.04 | 0.02 | 0.01 | 0.05 | |||||||||||
Net realized and unrealized gain (loss) | 0.13 | 0.41 | (1.41) | 0.16 | 1.85 | (0.22) | |||||||||||
Total from investment operations | 0.15 | 0.51 | (1.37) | 0.18 | 1.86 | (0.17) | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.08) | (0.03) | — | — | — | — | |||||||||||
Total distributions | (0.08) | (0.03) | — | — | — | — | |||||||||||
Total increase (decrease) in net asset value | 0.07 | 0.48 | (1.37) | 0.18 | 1.86 | (0.17) | |||||||||||
Net asset value, ending | $6.54 | $6.47 | $5.99 | $7.36 | $7.18 | $5.32 | |||||||||||
Total return (c) | 2.35 | % | 8.53 | % | (18.61 | %) | 2.51 | % | 34.96 | % | (3.10 | %) | |||||
Ratios to average net assets: (d) | |||||||||||||||||
Net investment income | 0.80%(e) | 1.57%(b) | 0.57 | % | 0.33 | % | 0.16 | % | 0.90 | % | |||||||
Total expenses | 1.68%(e) | 1.64 | % | 1.84 | % | 1.85 | % | 2.50 | % | 6.75 | % | ||||||
Net expenses | 1.22%(e) | 1.60 | % | 1.60 | % | 1.60 | % | 1.60 | % | 1.60 | % | ||||||
Portfolio turnover | 103 | % | 89 | % | 99 | % | 62 | % | 90 | % | 52 | % | |||||
Net assets, ending (in thousands) | $10,124 | $10,737 | $8,097 | $7,654 | $1,877 | $897 | |||||||||||
(a) Net investment income per share is calculated using the Average Shares Method. | |||||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.005 per share and 0.08% of average net assets. | |||||||||||||||||
(c) Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(e) Annualized. | |||||||||||||||||
See notes to financial statements. |
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 29
CALVERT GLOBAL WATER FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2017 (a) (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS A SHARES | 2016 (a) | 2015 (a) | 2014 (a) | 2013 (a) | 2012 (a) | ||||||||||||
Net asset value, beginning | $17.71 | $14.87 | $19.55 | $19.12 | $15.98 | $14.29 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss) | 0.08 | 0.03(b) | (0.02) | 0.01 | (0.04) | 0.02 | |||||||||||
Net realized and unrealized gain (loss) | 0.68 | 2.81 | (3.40) | 1.77 | 3.99 | 3.29 | |||||||||||
Total from investment operations | 0.76 | 2.84 | (3.42) | 1.78 | 3.95 | 3.31 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | — | —(c) | — | (0.01) | (0.01) | (0.04) | |||||||||||
Net realized gain | — | — | (1.26) | (1.34) | (0.80) | (1.58) | |||||||||||
Total distributions | — | —(c) | (1.26) | (1.35) | (0.81) | (1.62) | |||||||||||
Total increase (decrease) in net asset value | 0.76 | 2.84 | (4.68) | 0.43 | 3.14 | 1.69 | |||||||||||
Net asset value, ending | $18.47 | $17.71 | $14.87 | $19.55 | $19.12 | $15.98 | |||||||||||
Total return (d) | 4.29 | % | 19.13 | % | (18.35 | %) | 9.69 | % | 25.81 | % | 25.16 | % | |||||
Ratios to average net assets: (e) | |||||||||||||||||
Net investment income (loss) | 0.94%(f) | 0.22%(b) | (0.09 | %) | 0.05 | % | (0.23 | %) | 0.16 | % | |||||||
Total expenses | 1.46%(f) | 1.63 | % | 1.82 | % | 1.85 | % | 2.04 | % | 2.34 | % | ||||||
Net expenses | 1.28%(f) | 1.51 | % | 1.82 | % | 1.85 | % | 1.85 | % | 1.85 | % | ||||||
Portfolio turnover | 27 | % | 103 | % | 110 | % | 77 | % | 104 | % | 116 | % | |||||
Net assets, ending (in thousands) | $240,502 | $278,517 | $295,337 | $384,697 | $178,275 | $55,964 | |||||||||||
(a) Net investment income (loss) per share is calculated using the Average Shares Method. | |||||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.002 per share and 0.01% of average net assets. | |||||||||||||||||
(c) Amount is less than $0.005 per share. | |||||||||||||||||
(d) Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||
(e) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(f) Annualized. | |||||||||||||||||
See notes to financial statements. |
30 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
CALVERT GLOBAL WATER FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2017 (a) (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS C SHARES | 2016 (a) | 2015 (a) | 2014 (a) | 2013 (a) | 2012 (a) | ||||||||||||
Net asset value, beginning | $16.37 | $13.84 | $18.41 | $18.20 | $15.38 | $13.90 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss) | 0.02 | (0.08)(b) | (0.13) | (0.12) | (0.19) | (0.12) | |||||||||||
Net realized and unrealized gain (loss) | 0.61 | 2.61 | (3.18) | 1.68 | 3.81 | 3.18 | |||||||||||
Total from investment operations | 0.63 | 2.53 | (3.31) | 1.56 | 3.62 | 3.06 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | — | — | — | (0.01) | — | — | |||||||||||
Net realized gain | — | — | (1.26) | (1.34) | (0.80) | (1.58) | |||||||||||
Total distributions | — | — | (1.26) | (1.35) | (0.80) | (1.58) | |||||||||||
Total increase (decrease) in net asset value | 0.63 | 2.53 | (4.57) | 0.21 | 2.82 | 1.48 | |||||||||||
Net asset value, ending | $17.00 | $16.37 | $13.84 | $18.41 | $18.20 | $15.38 | |||||||||||
Total return (c) | 3.85 | % | 18.28 | % | (18.92 | %) | 8.93 | % | 24.63 | % | 23.90 | % | |||||
Ratios to average net assets: (d) | |||||||||||||||||
Net investment income (loss) | 0.26%(e) | (0.52%)(b) | (0.79 | %) | (0.65 | %) | (1.16 | %) | (0.81 | %) | |||||||
Total expenses | 2.19%(e) | 2.35 | % | 2.53 | % | 2.53 | % | 2.79 | % | 3.20 | % | ||||||
Net expenses | 2.03%(e) | 2.25 | % | 2.53 | % | 2.53 | % | 2.79 | % | 2.85 | % | ||||||
Portfolio turnover | 27 | % | 103 | % | 110 | % | 77 | % | 104 | % | 116 | % | |||||
Net assets, ending (in thousands) | $68,266 | $71,334 | $75,061 | $94,985 | $30,759 | $8,574 | |||||||||||
(a) Net investment income (loss) per share is calculated using the Average Shares Method. | |||||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.002 per share and 0.01% of average net assets. | |||||||||||||||||
(c) Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(e) Annualized. | |||||||||||||||||
See notes to financial statements. |
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 31
CALVERT GLOBAL WATER FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2017 (a) (Unaudited) | Year Ended September 30, | Period Ended September 30, 2014 (a)(b) | |||||||||
CLASS I SHARES | 2016 (a) | 2015 (a) | |||||||||
Net asset value, beginning | $17.79 | $15.02 | $19.64 | $18.99 | |||||||
Income from investment operations: | |||||||||||
Net investment income | 0.14 | 0.13(c) | 0.06 | 0.04 | |||||||
Net realized and unrealized gain (loss) | 0.65 | 2.80 | (3.42) | 0.61 | |||||||
Total from investment operations | 0.79 | 2.93 | (3.36) | 0.65 | |||||||
Distributions from: | |||||||||||
Net investment income | — | (0.16) | — | — | |||||||
Net realized gain | — | — | (1.26) | — | |||||||
Total distributions | — | (0.16) | (1.26) | — | |||||||
Total increase (decrease) in net asset value | 0.79 | 2.77 | (4.62) | 0.65 | |||||||
Net asset value, ending | $18.58 | $17.79 | $15.02 | $19.64 | |||||||
Total return (d) | 4.44 | % | 19.68 | % | (17.93 | %) | 3.42 | % | |||
Ratios to average net assets: (e) | |||||||||||
Net investment income | 1.59%(f) | 0.80%(c) | 0.32 | % | 0.24%(f) | ||||||
Total expenses | 1.15%(f) | 1.56 | % | 3.89 | % | 4.85%(f) | |||||
Net expenses | 0.93%(f) | 1.08 | % | 1.29 | % | 1.29%(f) | |||||
Portfolio turnover | 27 | % | 103 | % | 110 | % | 77 | % | |||
Net assets, ending (in thousands) | $14,012 | $4,637 | $779 | $1,066 | |||||||
(a) Net investment income per share is calculated using the Average Shares Method. | |||||||||||
(b) From January 31, 2014 inception. | |||||||||||
(c) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.003 per share and 0.02% of average net assets. | |||||||||||
(d) Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||
(e) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||
(f) Annualized. | |||||||||||
See notes to financial statements. |
32 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
CALVERT GLOBAL WATER FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2017 (a) (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS Y SHARES | 2016 (a) | 2015 (a) | 2014 (a) | 2013 (a) | 2012 (a) | ||||||||||||
Net asset value, beginning | $17.94 | $15.06 | $19.73 | $19.21 | $16.03 | $14.28 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income | 0.13 | 0.08(b) | 0.04 | 0.07 | 0.01 | 0.05 | |||||||||||
Net realized and unrealized gain (loss) | 0.67 | 2.85 | (3.45) | 1.80 | 3.99 | 3.31 | |||||||||||
Total from investment operations | 0.80 | 2.93 | (3.41) | 1.87 | 4.00 | 3.36 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | — | (0.05) | — | (0.01) | (0.02) | (0.03) | |||||||||||
Net realized gain | — | — | (1.26) | (1.34) | (0.80) | (1.58) | |||||||||||
Total distributions | — | (0.05) | (1.26) | (1.35) | (0.82) | (1.61) | |||||||||||
Total increase (decrease) in net asset value | 0.80 | 2.88 | (4.67) | 0.52 | 3.18 | 1.75 | |||||||||||
Net asset value, ending | $18.74 | $17.94 | $15.06 | $19.73 | $19.21 | $16.03 | |||||||||||
Total return (c) | 4.46 | % | 19.51 | % | (18.12 | %) | 10.14 | % | 26.07 | % | 25.55 | % | |||||
Ratios to average net assets: (d) | |||||||||||||||||
Net investment income | 1.51%(e) | 0.50%(b) | 0.23 | % | 0.36 | % | 0.08 | % | 0.40 | % | |||||||
Total expenses | 1.12%(e) | 1.27 | % | 1.49 | % | 1.49 | % | 1.66 | % | 2.12 | % | ||||||
Net expenses | 1.03%(e) | 1.22 | % | 1.49 | % | 1.49 | % | 1.60 | % | 1.60 | % | ||||||
Portfolio turnover | 27 | % | 103 | % | 110 | % | 77 | % | 104 | % | 116 | % | |||||
Net assets, ending (in thousands) | $118,105 | $84,879 | $93,551 | $134,938 | $26,009 | $3,692 | |||||||||||
(a) Net investment income per share is calculated using the Average Shares Method. | |||||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.002 per share and 0.01% of average net assets. | |||||||||||||||||
(c) Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(e) Annualized. | |||||||||||||||||
See notes to financial statements. |
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 33
NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert Impact Fund, Inc. (the “Corporation”) was organized as a Maryland corporation on August 10, 2000, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Corporation operates four (4) separate series, or mutual funds, each with its own investment objective(s) and strategies, that are accounted for separately. This report contains the financial statements and financial highlights of Calvert Global Energy Solutions Fund (“Global Energy Solutions”) and Calvert Global Water Fund (“Global Water”), each a “Fund” and collectively, the “Funds”. The Corporation is authorized to issue two billion shares of common stock, $0.01 par value per share, of which 250 million shares have been allocated to each of Global Energy Solutions and Global Water.
The investment objective of Global Energy Solutions is to seek to track the performance of the Calvert Global Energy Research Index. Global Energy Solutions is diversified and invests in equity securities of U.S. and non-U.S. companies whose main business is sustainable energy solutions, or that are significantly involved in the sustainable energy solutions sector. The investment objective of Global Water is to seek to track the performance of the Calvert Global Water Research Index. Global Water is diversified and invests in equity securities of U.S. and non-U.S. companies whose main business is in the water sector, or that are significantly involved in water-related services or technologies.
The Funds offer Class A, Class C, Class I and Class Y shares. Class A shares are generally sold with a maximum front-end sales charge of 4.75%. A contingent deferred sales charge of 0.80% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within one year of purchase. Class C shares are sold without a front-end sales charge, and with certain exceptions, are charged a contingent deferred sales charge of 1% on shares redeemed within one year of purchase. Class C shares have higher levels of expenses than Class A shares. Class I shares require a minimum account balance of $1 million. The $1 million minimum initial investment is waived for retirement plans that trade through omnibus accounts and may be waived in certain other instances where it is believed to be in the best interest of the Funds and their shareholders. Class I shares have no front-end or contingent deferred sales charge and have lower levels 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 Funds' principal underwriter to offer Class Y shares to their clients, and retirement plans, foundations, endowments and other consultant-driven business. Class Y shares have no front-end or contingent deferred sales charge and have lower levels of expenses than Class A shares. Among other things, 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.
The Funds apply the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
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 Funds use independent pricing services approved by the Board of Directors (the “Board”) to value their 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 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 securities and financial instruments of the Funds to the Funds' investment adviser (the “Adviser”) and has provided these Procedures to govern the Adviser in its valuation duties.
The Adviser 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 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 Funds' investments. U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)
34 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
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. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Funds' investments by major category are as follows:
Common stocks 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 the last available price and are 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. The Funds have retained a third party fair value pricing service to quantitatively analyze the price movement of its holdings on foreign exchanges and to automatically fair value these securities each business day. The third party fair value pricing service takes into account many factors, including, but not limited to, movements in U.S. securities markets and changes in futures contracts and foreign exchange rates that have occurred after the close of the principal foreign market, to determine a fair value as of the close of the New York Stock Exchange. Such securities are categorized as Level 2 in the hierarchy.
For restricted securities and private placements (debt and equity) where observable inputs may be limited, assumptions about market activity and risk are used and such securities are categorized as either Level 2 or Level 3 in the hierarchy depending on the relative significance of valuation inputs.
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.
Mutual funds are valued at their closing net asset value each business day and are categorized as Level 1 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 Adviser, 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 Funds 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.
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 35
The following tables summarize the market value of each of the Fund's holdings as of March 31, 2017, based on the inputs used to value them:
GLOBAL ENERGY SOLUTIONS | ||||||||||||||||||
VALUATION INPUTS | ||||||||||||||||||
INVESTMENTS IN SECURITIES | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||
Common Stocks | ||||||||||||||||||
Brazil | $976,580 | $— | $— | $976,580 | ||||||||||||||
Canada | 3,232,022 | — | — | 3,232,022 | ||||||||||||||
China | 1,537,122 | 3,429,900 | — | 4,967,022 | ||||||||||||||
France | 613,087 | 2,180,609 | — | 2,793,696 | ||||||||||||||
Germany | 486,293 | 4,163,216 | — | 4,649,509 | ||||||||||||||
Ireland | 623,027 | 615,345 | — | 1,238,372 | ||||||||||||||
New Zealand | 490,472 | 551,576 | — | 1,042,048 | ||||||||||||||
Norway | 390,628 | 1,005,208 | — | 1,395,836 | ||||||||||||||
Spain | 492,602 | 3,536,950 | — | 4,029,552 | ||||||||||||||
Thailand | — | — | 192,121 | 192,121 | ||||||||||||||
United Kingdom | 2,776,804 | 1,882,040 | — | 4,658,844 | ||||||||||||||
United States | 25,922,973 | — | — | 25,922,973 | ||||||||||||||
Other Countries* | — | 22,816,234 | — | 22,816,234 | ||||||||||||||
Total Common Stocks | $ | 37,541,610 | $40,181,078** | $192,121 | $ | 77,914,809 | ||||||||||||
High Social Impact Investments | — | 1,684,422 | 111,090 | 1,795,512 | ||||||||||||||
Time Deposit | — | 100,925 | — | 100,925 | ||||||||||||||
Short Term Investment of Cash Collateral For Securities Loaned | 10,371,490 | — | — | 10,371,490 | ||||||||||||||
TOTAL | $ | 47,913,100 | $ | 41,966,425 | $303,211^ | $ | 90,182,736 | |||||||||||
* For further breakdown of equity securities by country, please refer to the Schedule of Investments. | ||||||||||||||||||
** Includes certain securities trading primarily outside the U.S. where the value was adjusted as a result of significant market movements following the close of local trading. | ||||||||||||||||||
^ Level 3 securities represent 0.4% of net assets. |
There were no transfers between Level 1 and Level 2 during the six months ended March 31, 2017.
36 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
GLOBAL WATER | |||||||||||||||||||
VALUATION INPUTS | |||||||||||||||||||
INVESTMENTS IN SECURITIES | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | |||||||||||||||
Common Stocks | |||||||||||||||||||
Brazil | $9,132,717 | $— | $— | $9,132,717 | |||||||||||||||
Canada | 4,577,459 | — | — | 4,577,459 | |||||||||||||||
Cayman Islands | 3,842,974 | — | — | 3,842,974 | |||||||||||||||
Chile | 4,759,337 | — | — | 4,759,337 | |||||||||||||||
Italy | 5,004,777 | — | — | 5,004,777 | |||||||||||||||
Singapore | 4,043,397 | — | — | 4,043,397 | |||||||||||||||
Spain | 4,660,759 | 4,073,394 | — | 8,734,153 | |||||||||||||||
United Kingdom | 9,599,369 | 32,243,177 | — | 41,842,546 | |||||||||||||||
United States | 207,999,908 | — | — | 207,999,908 | |||||||||||||||
Other Countries* | — | 147,122,749 | — | 147,122,749 | |||||||||||||||
Total Common Stocks | $ | 253,620,697 | $183,439,320** | $— | $ | 437,060,017 | |||||||||||||
High Social Impact Investments | — | 935,790 | 596,800 | 1,532,590 | |||||||||||||||
Time Deposit | — | 537,898 | — | 537,898 | |||||||||||||||
Short Term Investment of Cash Collateral For Securities Loaned | 29,234,595 | — | — | 29,234,595 | |||||||||||||||
TOTAL | $ | 282,855,292 | $ | 184,913,008 | $596,800^ | $ | 468,365,100 | ||||||||||||
* For further breakdown of equity securities by country, please refer to the Schedule of Investments. | |||||||||||||||||||
** Includes certain securities trading primarily outside the U.S. where the value was adjusted as a result of significant market movements following the close of local trading. | |||||||||||||||||||
^ Level 3 securities represent 0.1% of net assets. |
At March 31, 2017, the value of investments transferred between Level 1 and Level 2 during the six months then ended was not significant.
Restricted Securities: The Funds may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities (excluding Rule 144A securities) is included at the end of each of the Schedule of Investments.
Security Transactions and 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 each Fund is informed of the ex-dividend date. Withholding taxes on foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
Share Class Accounting: 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 common to the classes are also allocated to each class in proportion to their relative net assets. Expenses arising in connection with a specific class are charged directly to that class.
Foreign Currency Transactions: The Funds’ 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. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
Distributions to Shareholders: Distributions to shareholders are recorded by the Funds on ex-dividend date. Dividends from net investment income and 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 U.S. GAAP; accordingly, periodic reclassifications are made within the Funds’ capital accounts to reflect income and gains available for distribution under income tax regulations.
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 37
Estimates: The preparation of financial statements in conformity with U.S. GAAP 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Federal Income Taxes: No provision for federal income or excise tax is required since each 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 Funds' tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Funds' financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years.
Interim Financial Statements: The interim financial statements relating to March 31, 2017 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Funds’ management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
NOTE B — RELATED PARTY TRANSACTIONS
Effective December 31, 2016, Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), became the investment adviser to the Funds following a transaction between CRM and certain of its affiliates and Calvert Investment Management, Inc. (CIM) and certain of its affiliates, pursuant to which CRM acquired substantially all of the business assets of CIM after satisfying various closing conditions, including shareholder approval of a new investment advisory agreement between each Fund and CRM (the “Transaction”).
For its services pursuant to the new investment advisory agreement, CRM receives an annual fee, payable monthly, at the following rates of each respective Fund’s average daily net assets:
GLOBAL ENERGY SOLUTIONS | 0.75% |
GLOBAL WATER | |
Up to and including $250 Million | 0.75% |
Over $250 Million | 0.70% |
Prior to December 31, 2016, CIM, a direct subsidiary of Calvert Investments, Inc. and an indirect subsidiary of Ameritas Holding Company, provided investment advisory services to the Funds. For its services, CIM received a fee at the same annual rates as CRM for Global Water and at 0.95% of Global Energy Solution’s average daily net assets. For the six months ended March 31, 2017, the investment advisory fee for Global Energy Solutions and Global Water amounted to $350,726 and $1,572,461, respectively, or 0.85% and 0.73% per annum, respectively, of the Funds’ average daily net assets, of which $150,478 and $792,380, respectively, was paid to CRM and $200,248 and $780,081, respectively, was paid to CIM.
CRM (CIM for the period October 1, 2016 to December 30, 2016) has agreed to reimburse the Funds' operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 1.28%, 2.03%, 0.93% and 1.03% for Class A, Class C, Class I and Class Y, respectively, of such class’ average daily net assets for Global Energy Solutions and Global Water. The expense reimbursement agreements with CRM may be changed or terminated after January 31, 2018. Prior to December 31, 2016, CIM contractually agreed to limit net annual fund operating expenses to 1.85%, 2.60%, 1.40% and 1.60% for Class A, Class C, Class I and Class Y, respectively, of such class’ average daily net assets for Global Energy Solutions. For the six months ended March 31, 2017, CRM waived or reimbursed expenses of $161,357 and $163,429 of Global Energy Solutions and Global Water, respectively, and CIM waived or reimbursed expenses of $76,247 and $172,739 of Global Energy Solutions and Global Water, respectively.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Funds. The fee is computed at an annual rate of 0.12% of each Fund’s average daily net assets and is payable monthly. Prior to December 31, 2016, Calvert Investment Administrative Services, Inc. (CIAS), an affiliate of CIM, provided administrative services to the Funds at an annual rate of 0.12% of each Fund’s average daily net assets, payable monthly. For the six months ended March 31, 2017, CRM was paid administrative fees for Global Energy Solutions and Global Water of $24,041 and $130,494, respectively, and CIAS was paid administrative fees for Global Energy Solutions and Global Water of $25,322 and $128,386, respectively.
The Funds adopted new distribution plans for Class A shares (Class A Plan) and Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act, which were approved by the Board of Directors and became effective as of December 31, 2016 or shortly thereafter upon approval by the shareholders of the respective class. Pursuant to the Class A Plan and Class C Plan, each
38 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
Fund pays a distribution fee of 0.25% and 0.75% per annum for Class A and Class C, respectively, and a service fee of 0.25% per annum for Class C of its average daily net assets attributable to such class for distribution services and facilities provided to the Funds, as well as for personal and/or account maintenance services provided. Pursuant to the Funds’ former distribution plans for Class A shares and Class C shares, each Fund was permitted to pay certain expenses associated with the distribution and servicing of its Class A and Class C shares not to exceed 0.50% for Class A and 1.00% for Class C of each Fund's average daily net assets with respect to such class. Effective December 31, 2016, the fees are paid to Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Funds' principal underwriter. Prior to December 31, 2016, the fees were paid to Calvert Investment Distributors, Inc. (CID), an affiliate of CIM and the Funds’ former distributor and principal underwriter. Distribution and service fees for Global Energy Solutions and Global Water paid or accrued for the six months ended March 31, 2017 amounted to $73,032 and $327,701, respectively, or 0.25% per annum of each Fund's Class A average daily net assets, of which $34,661 and $159,001, respectively, was paid to EVD and $38,371 and $168,700, respectively, was paid to CID. Distribution and service fees for Global Energy Solutions and Global Water paid or accrued for the six months ended March 31, 2017 amounted to $59,388 and $341,851, respectively, or 1.00% per annum of each Fund's Class C average daily net assets, of which $29,185 and $170,352, respectively, was paid to EVD and $30,203 and $171,499, respectively was paid to CID.
The Funds were informed that EVD received $4,279 and $17,037 for Global Energy Solutions and Global Water, respectively, and CID received $2,484 and $21,982 for Global Energy Solutions and Global Water, respectively, as their portion of the sales charge on sales of Class A shares for the six months ended March 31, 2017. The Funds were also informed that EVD received $1,462 and $0 for Global Energy Solutions and Global Water, respectively, and CID received $795 and $13,213, respectively, of contingent deferred sales charges paid by Fund shareholders for the same period.
Effective December 31, 2016, EVM provides sub-transfer agency services to the Funds pursuant to a Sub-Transfer Agency Support Services Agreement. For its services, EVM receives an annual fee of $8 per shareholder account. Prior to December 31, 2016, Calvert Investment Services, Inc. (CIS), an affiliate of CIM, acted as the shareholder servicing agent for the Funds and received a fee at the same rate as is paid to EVM. For the six months ended March 31, 2017, sub-transfer agency fees for Global Energy Solutions and Global Water paid to EVM were $14,949 and $28,487, respectively, and shareholder servicing fees paid to CIS were $15,708 and $28,427, respectively. Such fees are included in transfer agency fees and expenses on the Statements of Operations.
Each Director of the Funds who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Prior to December 31, 2016, each Director of the Funds who was not an employee of CIM or its affiliates received a fee of $3,000 for each Board meeting attended plus an annual fee of $52,000. Committee members received $500 for each Committee meeting attended plus an annual fee of $2,500. Committee chairs received an additional annual retainer ranging from $6,000 to $10,000. Eligible Directors may participate in a Deferred Compensation Plan (the “Plan”). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Funds or other Calvert funds selected by the Directors. The Funds purchase shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Funds’ assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Funds who are employees of CRM and, prior to December 31, 2016, of CIM or their affiliates are/were paid by CRM and CIM, respectively. In addition, in connection with the Transaction, an advisory council was established to aid the Board and the Calvert funds’ Adviser in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of the Adviser’s Chief Executive Officer and four additional members. Each member (other than the Adviser’s Chief Executive Officer) receives annual compensation of $75,000, which will be reimbursed by CIM and Ameritas Holding Company for a period of up to three years.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the six months ended March 31, 2017, the cost of purchases and proceeds from sales of investments, other than short-term securities, were as follows:
GLOBAL ENERGY SOLUTIONS | GLOBAL WATER | |||||
Purchases | $84,367,942 | $116,511,674 | ||||
Sales | $97,608,147 | $132,601,582 |
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 39
At September 30, 2016, the Funds, for federal income tax purposes, had the following capital loss carryforwards which would reduce the Funds’ taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Funds of any liability for federal income or excise tax.
Capital Loss Carryforwards | |||
Global Energy Solutions | |||
EXPIRATION DATE | |||
2017 | ($21,115,915 | ) | |
2018 | (56,693,584) | ||
2019 | (43,799,530) | ||
NO EXPIRATION DATE | |||
Short-term | ($3,159,444 | ) | |
Long-term | (63,006,114) |
Capital Loss Carryforwards | |||
Global Water | |||
NO EXPIRATION DATE | |||
Short-term | ($5,436,801 | ) | |
Long-term | (3,702,271) |
Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred in taxable years beginning after December 22, 2010 can be carried forward to offset future capital gains for an unlimited period. These losses are required to be utilized prior to the losses incurred in pre-enactment taxable years and will retain their character as either long-term or short-term. Losses incurred in pre-enactment taxable years can be utilized until expiration.
The cost and unrealized appreciation (depreciation) of investments of each Fund at March 31, 2017, as determined on a federal income tax basis, were as follows:
GLOBAL ENERGY SOLUTIONS | GLOBAL WATER | |||||||
Unrealized appreciation | $6,798,387 | $53,897,593 | ||||||
Unrealized (depreciation) | (5,617,636) | (12,870,551) | ||||||
Net unrealized appreciation (depreciation) | $1,180,751 | $41,027,042 | ||||||
Federal income tax cost of investments | $89,001,985 | $427,338,058 |
NOTE D — SECURITIES LENDING
To generate additional income, the Funds may lend their securities pursuant to a securities lending agency agreement (“Lending Agreement”) with State Street Bank, the securities lending agent. Security loans are subject to termination by the Funds at any time and, therefore, are not considered to be illiquid investments. The Funds require that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). Cash collateral is generally invested in State Street Institutional U.S. Government Money Market Fund (the “U.S. Government Fund”) that is managed by an affiliate of the custodian. The U.S. Government Fund is a registered money market fund that invests in a variety of high-quality, U.S. dollar denominated instruments. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Funds. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Funds and the securities lending agent on the basis of agreed upon contractual terms.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Funds in the case of default of any securities borrower.
40 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
The total value of securities on loan as of March 31, 2017 was as follows:
Fund | |||
Global Energy Solutions | $9,771,552 | ||
Global Water | $27,320,738 |
The following tables display a breakdown of transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of March 31, 2017.
GLOBAL ENERGY SOLUTIONS | |||||||||
Remaining Contractual Maturity of the Agreements as of March 31, 2017 | |||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | |||||
Securities Lending Transactions | |||||||||
Common Stocks | $10,371,490 | $— | $— | $— | $10,371,490 | ||||
Amount of recognized liabilities for securities lending transactions | $10,371,490 |
GLOBAL WATER | |||||||||
Remaining Contractual Maturity of the Agreements as of March 31, 2017 | |||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | |||||
Securities Lending Transactions | |||||||||
Common Stocks | $29,234,595 | $— | $— | $— | $29,234,595 | ||||
Amount of recognized liabilities for securities lending transactions | $29,234,595 |
The carrying amount of the liabilities for collateral for securities loaned at March 31, 2017 approximated their fair value. If measured at fair value, such liabilities would have been considered as Level 2 in the fair value hierarchy (see Note A) at March 31, 2017.
NOTE E — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and State Street Bank and Trust Company (SSB). Under the agreement, which expires on August 8, 2017, SSB provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Calverts Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to a Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Funds had no loans outstanding pursuant to this line of credit at March 31, 2017.
For the six months ended March 31, 2017, borrowings by the Funds under the agreement were as follows:
Fund | Average Daily Balance | Weighted Average Interest Rate | Maximum Amount Borrowed | Month of Maximum Amount Borrowed |
Global Energy Solutions | $57,722 | 2.01% | $894,385 | December 2016 |
Global Water | $125,050 | 1.97% | $2,845,166 | December 2016 |
NOTE F — AFFILIATED COMPANIES
The Funds invests a portion of their assets designated for high social impact investments in notes issued by the Calvert Social Investment Foundation (the “Foundation”) pursuant to an exemptive order granted by the U.S. Securities and Exchange Commission (the “SEC”). The Funds rely on exemptive relief to invest in the notes because the Funds’ investments in the notes may be considered prohibited transactions between affiliated persons under the 1940 Act. The Foundation may be considered an affiliated person of the Calvert Funds based on the overlap between the Foundation’s Board of Directors and the Funds’ Directors/Trustees and other potential affiliations. The Foundation has licensed use of the Calvert name from the Adviser, and the Adviser’s President and Chief Executive Officer serves on the Foundation Board. The Foundation is not owned or otherwise controlled by
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 41
the Adviser or its affiliates. Transactions in affiliated companies by each Fund for the six months ended March 31, 2017 were as follows:
GLOBAL ENERGY SOLUTIONS | ||||||||||||||||||||||
Name of Affiliated Company | Principal Amount, beginning of period | Gross Additions | Gross Reductions | Principal Amount, end of period | Value, end of period | Interest Income | Net Realized Gain (Loss) | Capital Gain Distributions Received | Change In Unrealized Appreciation (Depreciation) | |||||||||||||
Calvert Social Investment Foundation, Community Investment Notes, 0.50%, 3/18/17 | $800,000 | $— | ($800,000 | ) | $— | $— | $778 | $— | $— | $13,440 | ||||||||||||
Calvert Social Investment Foundation, Community Investment Notes, 1.00%, 5/5/17 | 1,000,000 | — | (1,000,000) | — | — | 2,055 | — | — | 17,790 | |||||||||||||
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/16/19 | — | 1,800,000 | — | 1,800,000 | 1,684,422 | 8,025 | — | — | (115,578) | |||||||||||||
TOTALS | $1,684,422 | $10,858 | $— | $— | ($84,348 | ) |
GLOBAL WATER | |||||||||||||||||||
Name of Affiliated Company | Principal Amount, beginning of period | Gross Additions | Gross Reductions | Principal Amount, end of period | Value, end of period | Interest Income | Net Realized Gain (Loss) | Capital Gain Distributions Received | Change In Unrealized Appreciation (Depreciation) | ||||||||||
Calvert Social Investment Foundation, Community Investment Notes, 1.00%, 5/5/17 | $1,000,000 | $— | ($1,000,000 | ) | $— | $— | $2,056 | $— | $— | $17,790 | |||||||||
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/16/19 | — | 1,000,000 | — | 1,000,000 | 935,790 | 4,458 | — | — | (64,210) | ||||||||||
TOTALS | $935,790 | $6,514 | $— | $— | ($46,420 | ) |
NOTE G — RISKS ASSOCIATED WITH FOREIGN INVESTMENTS
Investing in foreign securities involves additional risks relating to political, social, and economic developments abroad. Other risks result from differences between regulations that apply to U.S. and foreign issuers and markets, and the potential for foreign markets to be less liquid and more volatile than U.S. markets. Securities that trade or are denominated in currencies other than the U.S. dollar may be adversely affected by fluctuations in currency exchange rates.
The risks of investing in emerging market securities are greater than those of investing in securities of developed foreign countries. These risks include volatile currency exchange rates, periods of high inflation, increased risk of default, greater social, economic and political uncertainty and instability, less governmental supervision and regulation of securities markets, weaker auditing and financial reporting standards, lack of liquidity in the markets, and the significantly smaller market capitalizations of emerging market issuers.
42 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
NOTE H — CONCENTRATION RISK
Global Energy Solutions concentrates its investments in the sustainable energy solutions industry. This industry can be significantly affected by obsolescence of existing technology, short product lifecycles, falling prices and profits, competition from new market entrants and general economic conditions. The industry can also be significantly affected by fluctuations in energy prices and supply and demand of alternative energy fuels, energy conservation, the success of exploration projects and tax and other government regulations and policies. Companies in this industry could be adversely affected by commodity price volatility, imposition of import controls, increased competition, depletion of resources, technological developments and labor relations.
Global Water concentrates its investments in the water industry. This industry can be significantly affected by economic trends or other conditions or developments, such as the availability of water, the level of rainfall and occurrence of other climatic events, changes in water consumption, new technologies relating to the supply of water, and water conservation. The industry can also be significantly affected by environmental considerations, taxation, government regulation (including the increased cost of compliance), inflation, increases in interest rates, price and supply fluctuations, increases in the cost of raw materials and other operating costs, technological advances, and competition from new market entrants.
NOTE I — REGULATORY MATTERS
On October 18, 2016, CIM announced that it had determined that certain fees paid to third-party financial intermediaries were incorrectly allocated for payment by, and paid by, the Calvert Funds. Specifically, for periods prior to January 1, 2015, the Calvert Funds paid fees under certain intermediary agreements that were primarily for distribution-related services or were in excess of the sub-transfer agency expense cap in place during the period and therefore should have been paid by CIM out of CIM’s own assets or by the Calvert Funds under a Rule 12b-1 plan. The matter was self-reported to the SEC in 2016.
On May 2, 2017, in acceptance of a settlement proposal by CIM and CID, the SEC issued an administrative order requiring CIM and CID to pay $21,614,534 to affected shareholders of the Calvert Funds, including the Funds. The administrative order also censured CIM and CID and required them to pay a $1 million penalty to the SEC. CIM is in the process of determining the economic impact of misallocated fees on the affected Calvert Funds, including the Funds, and their shareholders, and developing a plan to reimburse eligible shareholders following that determination.
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 43
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
The Special Meeting of Shareholders of Calvert Global Energy Solutions Fund and Calvert Global Water Fund, each a series of Calvert Impact Fund, Inc. (collectively, the “Funds”) was held on December 16, 2016, and adjourned to December 23, 2016, December 28, 2016 and January 6, 2017.
Shareholders of the Funds voted on the following proposals:
1. | Approval of a new investment advisory agreement with Calvert Research and Management. |
Number of Shares* | ||||
Fund | For | Against | Abstain** | Uninstructed** |
Calvert Global Energy Solutions Fund | 5,908,631 | 137,921 | 473,036 | 2,289,591 |
Calvert Global Water Fund | 10,895,091 | 312,474 | 615,294 | 4,355,029 |
2. | Reaffirmation and approval of the Funds’ ability to invest in notes issued by Calvert Social Investment Foundation. |
Number of Shares* | ||||
Fund | For | Against | Abstain** | Uninstructed** |
Calvert Global Energy Solutions Fund | 5,924,225 | 131,326 | 464,043 | 2,289,585 |
Calvert Global Water Fund | 10,854,197 | 325,866 | 642,791 | 4,355,037 |
3. | Approval of the Funds’ reliance on a potential future exemptive order that may be granted by the U.S. Securities and Exchange Commission. |
Number of Shares* | ||||
Fund | For | Against | Abstain** | Uninstructed** |
Calvert Global Energy Solutions Fund | 6,254,580 | 163,618 | 624,248 | 2,149,545 |
Calvert Global Water Fund | 11,196,750 | 379,548 | 705,291 | 4,168,731 |
Shareholders of Class A shares of the Funds voted on the following proposal:
1. | Approval of Master Distribution Plan for Class A shares of the Funds pursuant to Rule 12b-1 under the Investment Company Act of 1940, as amended. |
Number of Shares* | ||||
Fund | For | Against | Abstain** | Uninstructed** |
Calvert Global Energy Solutions Fund | 4,516,271 | 112,517 | 403,918 | 1,469,946 |
Calvert Global Water Fund | 6,936,953 | 204,571 | 510,158 | 2,683,804 |
Shareholders of Class C shares of the Funds voted on the following proposal:
1. | Approval of Master Distribution Plan for Class C shares of the Funds pursuant to Rule 12b-1 under the Investment Company Act of 1940, as amended. |
Number of Shares* | ||||
Fund | For | Against | Abstain** | Uninstructed** |
Calvert Global Energy Solutions Fund | 865,781 | 35,136 | 61,315 | 303,746 |
Calvert Global Water Fund | 1,604,141 | 67,078 | 106,455 | 559,116 |
44 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
Shareholders of Calvert Impact Fund, Inc. voted on the following proposal:
1. | To elect Directors of Calvert Impact Fund, Inc.: |
Number of Shares* | ||
Nominee | For | Withheld |
Richard L. Baird, Jr. | 35,697,069 | 1,929,355 |
Alice Gresham Bullock | 35,777,835 | 1,848,589 |
Cari Dominguez | 35,780,136 | 1,846,288 |
Miles D. Harper III | 35,693,783 | 1,932,641 |
John G. Guffey, Jr. | 35,686,589 | 1,939,836 |
Joy V. Jones | 35,775,597 | 1,850,827 |
Anthony A. Williams | 33,920,543 | 3,705,881 |
John H. Streur | 35,672,258 | 1,954,166 |
* | Excludes fractional shares. |
** | Uninstructed shares (i.e., proxies from brokers or nominees indicating that such persons have not received instructions from the beneficial owner or other person entitled to vote shares on a particular matter with respect to which the brokers or nominees do not have discretionary power) were treated as shares that were present at the meeting for purposes of establishing a quorum, but had the effect of a vote against the proposals. Uninstructed shares are sometimes referred to as broker non-votes. Abstentions were also treated in this manner. |
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 45
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
Calvert Global Energy Solutions Fund and Calvert Global Water Fund
At a meeting held on October 14, 2016, the Board of Directors of Calvert Impact Fund, Inc. (“CIF”), and by a separate vote, the Directors who are not “interested persons” of CIF (the “Independent Directors”), approved a new Investment Advisory Agreement between CIF and Eaton Vance Investment Advisors (renamed Calvert Research and Management) (“CRM” or the “Adviser”) with respect to the Calvert Global Energy Solutions Fund and Calvert Global Water Fund (the “Funds”). The Board was advised that, subject to shareholder approval and certain other conditions, the new Investment Advisory Agreement with respect to the Funds would take effect upon the acquisition of substantially all of the business assets of Calvert Investment Management, Inc. (“CIM”) by Eaton Vance Corporation (“Eaton Vance”) (the “Transaction”).
In connection with the proposed Transaction, the Independent Directors, assisted by their independent legal counsel, requested extensive information from CIM and Eaton Vance regarding the proposed Transaction and its potential implications for the Calvert Funds. The Independent Directors reviewed and discussed this information and received advice from their independent legal counsel regarding their responsibilities in evaluating the possible Transaction and the new Investment Advisory Agreement with respect to the Funds.
The Independent Directors met separately on multiple occasions to discuss the Transaction and the proposed change in investment adviser. The interested Directors participated in portions of these meetings to provide the perspective of the Calvert organization, but did not otherwise participate in the deliberations of the Independent Directors regarding the possible change in investment adviser.
In the course of their deliberations regarding the new Investment Advisory Agreement with respect to the Funds, the Directors considered the following factors, among others: the nature, extent and quality of the services to be provided by CRM and its affiliates, including the personnel who would be providing such services; Eaton Vance’s financial condition; the proposed advisory fees; comparative fee and expense information for the Calvert Funds and for comparable funds managed by Eaton Vance or its affiliates; the anticipated profitability of the Calvert Funds to CRM and its affiliates; the direct and indirect benefits, if any, to be derived by CRM and its affiliates from their relationship with the Calvert Funds; the effect of each Calvert Fund’s projected growth and size on each Calvert Fund’s performance and expenses; and CRM’s compliance program.
In considering the nature, extent, and quality of the services to be provided to the Funds by CRM under the new Investment Advisory Agreement, the Directors took into account information provided by Eaton Vance or its affiliates relating to its operations and personnel, including, among other information, biographical information on its investment, supervisory, and professional staff and descriptions of its organizational and management structure. The Directors considered the new investment strategies to be used in managing certain Calvert Funds and the performance of other funds managed by the investment teams at Eaton Vance or its affiliates that would be managing certain Calvert Funds. The Directors also took into account CRM’s and Eaton Vance’s proposed staffing and overall resources, and noted that the staff of CRM was expected to include certain current employees of CIM as well as certain employees of affiliates of Eaton Vance under a “dual-hat” arrangement. CRM’s administrative capabilities were also considered. The Directors concluded that they were satisfied with the nature, extent and quality of services to be provided to the Funds by CRM under the new Investment Advisory Agreement.
In considering the management style and investment strategies that CRM proposed to use in managing the Calvert Funds, including the Funds, the Directors took into consideration the performance of funds currently managed by CIM and affiliates of Eaton Vance, as applicable. The Directors also noted that for certain Calvert Funds, including the Funds, CRM proposed to combine the investment capabilities of affiliates of Eaton Vance with CRM’s sustainable research capabilities. Based upon their review, the Directors concluded that CRM is qualified to manage the Funds’ assets in accordance with their investment objectives and strategies and that the proposed investment strategies were appropriate for pursuing the Funds’ investment objectives.
In considering each Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board also reviewed various comparative data provided to it in connection with its consideration of the new Investment Advisory Agreement, including, comparisons of each Fund’s returns with those of its benchmark and the average of its Lipper category for the one-, three- and five-year periods ended July 31, 2016.
In considering the Funds’ proposed fees and estimated expenses, the Directors considered certain comparative fee and expense data provided by Eaton Vance or its affiliates. The Directors also took into account that there were no increases in the advisory fees being proposed and that for certain Calvert Funds, such as the Calvert Global Energy Solutions Fund, CRM had proposed a reduction in advisory fees. The Directors further noted that CRM had agreed to maintain current fee waivers/expense reimbursements, if any, for certain Calvert Funds, and increase the fee waivers/expense reimbursements for other Calvert Funds, such as the Calvert Global Energy Solutions Fund. Based upon their review the Directors concluded that the proposed advisory fees were reasonable in view of the quality of services to be received by the Funds from CRM.
46 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
In reviewing the anticipated profitability of the Funds to CRM and its affiliates, the Directors considered the fact that affiliates of CRM would be providing shareholder servicing, administrative and distribution services to the Funds for which they would receive compensation. The Board also took into account whether CRM had the financial wherewithal to provide services to the Funds. The Board also considered that CRM would likely derive benefits to its reputation and other indirect benefits from its relationship with the Funds. Based upon its review, the Board concluded that CRM’s and its affiliates’ anticipated level of profitability from their relationship with the Funds was reasonable.
The Directors considered the effect of each Calvert Fund’s current size and potential growth on its performance and expenses. The Directors took into account management’s discussion of the Calvert Funds’ proposed advisory fees. The Directors noted that the advisory fee schedule for certain Calvert Funds, such as the Calvert Global Water Fund, will contain breakpoints that will reduce the respective advisory fee rate on assets above specified levels as the applicable Calvert Fund’s assets increased and considered the necessity of adding breakpoints with respect to the Calvert Funds that did not currently have such breakpoints in their advisory fee schedule. The Directors determined that adding breakpoints at specified levels to the advisory fee schedules of the Calvert Funds that did not currently have breakpoints, such as the Calvert Global Energy Solutions Fund, would not be appropriate at this time. The Directors noted that if the Funds’ assets increased over time, the Funds might realize economies of scale if assets increase proportionally more than certain other expenses.
In considering the approval of the new Investment Advisory Agreement, the Directors also considered the following matters:
(i) their belief that the Transaction will benefit the Calvert Funds, including the Funds;
(ii) CRM’s intention to continue to manage the Funds in a manner materially consistent with the Funds’ existing investment objectives and principal investment strategies, which includes continuing to manage the Funds pursuant to responsible investment criteria as described in the prospectus;
(iii) the financial condition and reputation of Eaton Vance and its affiliates, its worldwide presence, experience as a fund sponsor and manager, commitment to maintain a high level of cooperation with, and support to, the Calvert Funds, including the Funds, strong distribution and client service capabilities, and relationships in the asset management industry;
(iv) the intention expressed by representatives of Eaton Vance to retain certain of the existing members of the Calvert management team and other key professionals, including members of the Calvert Sustainability Research Department, in order to better continue principles-based investment research following the closing of the Transaction;
(v) Eaton Vance’s commitment to maintaining competitive compensation arrangements to attract and retain highly qualified personnel; and
(vi) that the current senior management team at Calvert has indicated its strong support of the Transaction.
In approving the new Investment Advisory Agreement with CRM, the Directors did not identify any single factor as controlling, and each Trustee may have attributed different weight to various factors.
The Directors reached the following conclusions regarding the new Investment Advisory Agreement, among others: (a) CRM has demonstrated that it possesses the capability and resources to perform the duties required of it under the Investment Advisory Agreement; (b) CRM is qualified to manage the Funds’ assets in accordance with each Fund’s investment objective and strategies; (c) CRM’s investment strategies are appropriate for pursuing the Funds’ investment objectives; and (d) the advisory fees are reasonable in view of the quality of the services to be received by the Funds from CRM. Based on the foregoing considerations, the Directors, including the Independent Directors, approved the new Investment Advisory Agreement, subject to the approval of the Funds’ shareholders.
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 47
OFFICERS AND DIRECTORS
Officers of Calvert Solution Strategies™
Hope Brown
Chief Compliance Officer
Maureen A. Gemma(1)
Secretary and Vice President
James F. Kirchner(1)
Treasurer
Directors of Calvert Solution Strategies™
Alice Gresham Bullock(2)(4)
Chairperson
Richard L. Baird, Jr.(4)
Cari Dominguez(2)(4)
John G. Guffey, Jr.(4)
Miles D. Harper, III(4)
Joy V. Jones(4)
John H. Streur(3)
Anthony A. Williams(2)(4)
(1)Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
(2)Mmes. Bullock and Dominguez and Mr. Williams began serving as Directors effective December 23, 2016.
(3)Interested Director and President
(4)Independent Director
48 calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED)
IMPORTANT NOTICES
Privacy. The Calvert organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, the Calvert organization may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.Calvert.com. |
Our pledge of privacy applies to the following entities within the Calvert organization: the Calvert Family of funds and Calvert Research and Management. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial adviser/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
calvert.com CALVERT SOLUTION STRATEGIES SEMIANNUAL REPORT (UNAUDITED) 49
This page intentionally left blank. |
This page intentionally left blank. |
This page intentionally left blank. |
CALVERT SOLUTION STRATEGIES | CALVERT’S FAMILY OF FUNDS | |||
Service for Existing Account Shareholders: 800-368-2745 Brokers: 800-368-2746 Regular Mail Calvert Funds c/o BFDS P.O. Box 219544 Kansas City, MO 64121-9544 Overnight Mail Calvert Funds c/o BFDS 330 West 9th Street Kansas City, MO 64105-1514 Web Site calvert.com Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 | Municipal Funds Tax-Free Responsible Impact Bond Fund Taxable Bond Funds Bond Portfolio Income Fund Short Duration Income Fund Long-Term Income Fund Ultra-Short Income Fund High Yield Bond Fund Green Bond Fund Unconstrained Bond Fund Balanced and Asset Allocation Funds Balanced Portfolio Conservative Allocation Fund Moderate Allocation Fund Aggressive Allocation Fund | Equity Funds Equity Portfolio U.S. Large Cap Core Responsible Index Fund U.S. Large Cap Value Responsible Index Fund U.S. Large Cap Growth Responsible Index Fund U.S. Mid Cap Core Responsible Index Fund Developed Markets Ex-U.S. Responsible Index Fund Capital Accumulation Fund International Equity Fund Small Cap Fund Global Energy Solutions Fund Global Water Fund International Opportunities Fund Emerging Markets Equity Fund |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert funds at 800-368-2745. Printed on recycled paper. | |
24200 3.31.17 |
![]() | ![]() | |
Calvert Green Bond Fund | ![]() | |
![]() | ![]() |
Semiannual Report March 31, 2017 E-Delivery Sign-Up — Details Inside | ![]() |
Choose Planet-friendly E-delivery! Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs. Just go to calvert.com. If you already have an online account at Calvert, click on Login, to access your Account, and select the documents you would like to receive via e-mail. If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps. Note: if your shares are not held directly at Calvert but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm. |
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Managers Vishal Khanduja, CFA and Brian S. Ellis, CFA, each of Calvert Research and Management | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception | ||||||||||
Class A at NAV | 10/31/2013 | 10/31/2013 | -1.08 | % | 2.03 | % | — | 2.42 | % | |||||||
Class A with 3.75% Maximum Sales Charge | — | — | -4.79 | -1.82 | — | 1.29 | ||||||||||
Class I at NAV | 10/31/2013 | 10/31/2013 | -0.83 | 2.42 | — | 2.82 | ||||||||||
Class Y at NAV | 10/31/2013 | 10/31/2013 | -0.96 | 2.29 | — | 2.69 | ||||||||||
Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index | — | — | 0.17 | % | 0.30 | % | 0.11 | % | 0.12 | % | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | — | — | -2.18 | 0.44 | 2.34 | 2.62 | ||||||||||
Ticker Symbol | Class A | Class I | Class Y | |||||||||||||
CGAFX | CGBIX | CGYFX | ||||||||||||||
% Total Annual Operating Expense Ratios3 | Class A | Class I | Class Y | |||||||||||||
Gross | 1.10 | % | 0.68 | % | 0.79 | % | ||||||||||
Net | 0.88 | 0.50 | 0.63 | |||||||||||||
% Yield4 | Class A | Class I | Class Y | |||||||||||||
SEC 30-day Yield - Subsidized | 1.77 | % | 2.22 | % | 2.09 | % | ||||||||||
SEC 30-day Yield - Unsubsidized | 1.60 | 2.00 | 1.97 |
Fund Profile | ||||||
PORTFOLIO COMPOSITION (% of total investments) | ||||||
Asset-Backed Securities | 8.7 | % | ||||
Commercial Mortgage-Backed Securities | 1.2 | % | ||||
Corporate Bonds | 54.5 | % | ||||
Floating Rate Loans | 0.3 | % | ||||
High Social Impact Investments | 0.2 | % | ||||
Taxable Municipal Obligations | 9.2 | % | ||||
Sovereign Government Bonds | 11.9 | % | ||||
U.S. Government Agencies and Instrumentalities | 1.3 | % | ||||
U.S. Government Agency Mortgage-Backed Securities | 6.6 | % | ||||
Time Deposit | 6.1 | % | ||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to calvert.com.
2 calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED)
Endnotes and Additional Disclosures | ||
1 Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index measures the performance of U.S Treasury Bills with a maturity between one and three months. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index.2 Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.3 Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/18. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.4 SEC Yield is a standardized measure based on the estimated yield to maturity of a fund’s investments over a 30-day period and is based on the maximum offer price at the date specified. The SEC Yield is not based on the distributions made by the Fund, which may differ. Subsidized yield reflects the effect of fee waivers and expense reimbursements. Fund profile subject to change due to active management. |
calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED) 3
UNDERSTANDING YOUR FUND'S EXPENSES
As an investor, you incur two types of costs. There are transaction costs, which generally include sales charges (loads) on purchases and may include redemption fees. There are also ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in this mutual fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by the Fund's investors during the period. The actual and hypothetical information presented in the examples is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2016 to March 31, 2017).
Actual Expenses
The first line for each class of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each class of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees, if applicable. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 10/1/16 | ENDING ACCOUNT VALUE 3/31/17 | EXPENSES PAID DURING PERIOD* 10/1/16 - 3/31/17 | |
Class A | ||||
Actual | 0.88% | $1,000.00 | $989.20 | $4.36 |
Hypothetical (5% return per year before expenses) | 0.88% | $1,000.00 | $1,020.54 | $4.43 |
Class I | ||||
Actual | 0.50% | $1,000.00 | $991.70 | $2.48 |
Hypothetical (5% return per year before expenses) | 0.50% | $1,000.00 | $1,022.44 | $2.52 |
Class Y | ||||
Actual | 0.63% | $1,000.00 | $990.40 | $3.13 |
Hypothetical (5% return per year before expenses) | 0.63% | $1,000.00 | $1,021.79 | $3.18 |
* Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
4 calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT GREEN BOND FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 2017 (Unaudited)
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
ASSET-BACKED SECURITIES - 9.0% | ||||
Automobile - 4.1% | ||||
Ford Credit Auto Owner Trust/Ford Credit, Series 2014-1, Class B, 2.41%, 11/15/25 (a) | 300,000 | 301,375 | ||
Toyota Auto Receivables Owner Trust: | ||||
Series 2014-A, Class A4, 1.18%, 6/17/19 | 1,063,428 | 1,063,105 | ||
Series 2016-B, Class A3, 1.30%, 4/15/20 | 1,700,000 | 1,694,520 | ||
3,059,000 | ||||
Other - 4.9% | ||||
RenewFund Receivables Trust, Series 2015-1, Class A, 3.51%, 4/15/25 (a) | 224,670 | 223,991 | ||
SolarCity LMC: | ||||
Series 2013-1, Class A, 4.80%, 11/20/38 (a) | 256,290 | 253,088 | ||
Series 2014-2, Class A, 4.02%, 7/20/44 (a) | 538,468 | 521,125 | ||
Series 2014-2, Class B, 5.44%, 7/20/44 (a) | 190,693 | 176,991 | ||
Spruce ABS Trust, Series 2016-E1, Class A, 4.32%, 6/15/28 (a) | 1,468,989 | 1,448,213 | ||
Sunrun Callisto Issuer LLC, Series 2015-1A, Class B, 5.38%, 7/20/45 (a) | 946,402 | 976,986 | ||
3,600,394 | ||||
Total Asset-Backed Securities (Cost $6,677,883) | 6,659,394 | |||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 1.3% | ||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-DSTY, Class C, 3.805%, 6/10/27 (a)(b) | 450,000 | 444,075 | ||
Morgan Stanley Capital I Trust: | ||||
Series 2014-CPT, Class F, 3.446%, 7/13/29 (a)(b) | 430,000 | 421,782 | ||
Series 2014-CPT, Class G, 3.446%, 7/13/29 (a)(b) | 100,000 | 97,136 | ||
Total Commercial Mortgage-Backed Securities (Cost $961,087) | 962,993 | |||
CORPORATE BONDS - 56.4% | ||||
Basic Materials - 1.1% | ||||
Fibria Overseas Finance Ltd., 5.50%, 1/17/27 | 780,000 | 781,677 | ||
Communications - 3.7% | ||||
Alphabet, Inc., 1.998%, 8/15/26 | 1,500,000 | 1,384,647 | ||
AT&T, Inc., 5.15%, 3/15/42 | 920,000 | 912,785 | ||
Verizon Communications, Inc.: | ||||
4.125%, 8/15/46 | 330,000 | 284,745 | ||
5.50%, 3/16/47 | 175,000 | 183,426 | ||
2,765,603 |
calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED) 5
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
CORPORATE BONDS - CONT’D | ||||
Consumer, Cyclical - 6.0% | ||||
Ford Motor Credit Co. LLC, 1.964%, 11/4/19 (b) | 400,000 | 402,082 | ||
Hyundai Capital Services, Inc., 2.875%, 3/16/21 (a) | 1,200,000 | 1,197,507 | ||
Norwegian Air Shuttle ASA Pass-Through Trust, 4.875%, 11/10/29 (a) | 700,000 | 707,774 | ||
Starbucks Corp., 2.45%, 6/15/26 | 1,150,000 | 1,101,862 | ||
Virgin Australia Trust: | ||||
7.125%, 10/23/18 (a) | 103,140 | 105,937 | ||
6.00%, 4/23/22 (a) | 310,570 | 316,781 | ||
Whirlpool Corp.: | ||||
3.70%, 5/1/25 | 400,000 | 410,224 | ||
4.50%, 6/1/46 | 200,000 | 199,148 | ||
4,441,315 | ||||
Consumer, Non-cyclical - 2.3% | ||||
Massachusetts Institute of Technology, 3.959%, 7/1/38 | 1,635,000 | 1,728,759 | ||
Financial - 19.9% | ||||
American Tower Corp.: | ||||
3.45%, 9/15/21 | 200,000 | 203,607 | ||
4.00%, 6/1/25 | 200,000 | 202,358 | ||
3.375%, 10/15/26 | 450,000 | 429,048 | ||
Bank Nederlandse Gemeenten NV, 1.625%, 11/25/19 (a) | 1,500,000 | 1,492,245 | ||
Bank of America Corp.: | ||||
1.95%, 5/12/18 | 1,175,000 | 1,177,606 | ||
2.151%, 11/9/20 | 1,375,000 | 1,362,593 | ||
Citigroup, Inc., 2.05%, 6/7/19 | 100,000 | 99,914 | ||
Digital Realty Trust LP, 3.95%, 7/1/22 | 1,395,000 | 1,452,846 | ||
ING Bank NV, 2.00%, 11/26/18 (a) | 2,100,000 | 2,098,562 | ||
Kreditanstalt fuer Wiederaufbau: | ||||
1.75%, 10/15/19 | 200,000 | 200,612 | ||
1.875%, 11/30/20 | 1,500,000 | 1,496,363 | ||
Mitsubishi UFJ Financial Group, Inc., 2.527%, 9/13/23 | 715,000 | 690,691 | ||
Prologis LP, 3.35%, 2/1/21 | 250,000 | 257,421 | ||
Regency Centers LP, 3.75%, 6/15/24 | 1,500,000 | 1,526,690 | ||
Vornado Realty LP, 2.50%, 6/30/19 | 2,000,000 | 2,011,318 | ||
14,701,874 | ||||
Government - 9.8% | ||||
African Development Bank, 1.375%, 12/17/18 | 2,000,000 | 1,997,906 | ||
Asian Development Bank: | ||||
1.00%, 8/16/19 | 1,000,000 | 987,160 | ||
2.125%, 3/19/25 | 750,000 | 729,498 | ||
European Bank for Reconstruction & Development, 0.875%, 7/22/19 | 1,000,000 | 982,806 | ||
European Investment Bank, 2.50%, 10/15/24 | 200,000 | 199,930 | ||
International Bank for Reconstruction & Development, 1.005%, 10/1/18 | 625,000 | 621,566 | ||
International Finance Corp., 2.125%, 4/7/26 | 1,000,000 | 965,025 | ||
Nordic Investment Bank, 2.25%, 9/30/21 | 750,000 | 754,999 | ||
7,238,890 |
6 calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
CORPORATE BONDS - CONT’D | ||||
Industrial - 8.2% | ||||
Johnson Controls International plc, 4.625%, 7/2/44 (b) | 200,000 | 205,199 | ||
Masco Corp., 4.45%, 4/1/25 | 100,000 | 104,374 | ||
Mexico City Airport Trust, 4.25%, 10/31/26 (a) | 750,000 | 760,313 | ||
Owens Corning, 3.40%, 8/15/26 | 2,200,000 | 2,130,506 | ||
Parker-Hannifin Corp., 3.25%, 3/1/27 (a) | 900,000 | 894,376 | ||
Pentair Finance SA: | ||||
1.875%, 9/15/17 | 1,000,000 | 1,000,488 | ||
3.625%, 9/15/20 | 157,000 | 161,218 | ||
Xylem, Inc., 4.375%, 11/1/46 | 775,000 | 767,600 | ||
6,024,074 | ||||
Technology - 3.5% | ||||
Apple, Inc., 2.85%, 2/23/23 | 2,000,000 | 2,018,924 | ||
Intel Corp., 3.10%, 7/29/22 | 150,000 | 154,166 | ||
Microsoft Corp.: | ||||
2.40%, 8/8/26 | 180,000 | 170,311 | ||
4.45%, 11/3/45 | 100,000 | 105,540 | ||
Oracle Corp., 2.65%, 7/15/26 | 130,000 | 123,787 | ||
2,572,728 | ||||
Utilities - 1.9% | ||||
American Water Capital Corp.: | ||||
6.085%, 10/15/17 | 255,000 | 260,845 | ||
3.40%, 3/1/25 | 650,000 | 666,837 | ||
4.00%, 12/1/46 | 500,000 | 507,395 | ||
1,435,077 | ||||
Total Corporate Bonds (Cost $41,798,765) | 41,689,997 | |||
FLOATING RATE LOANS (c) - 0.3% | ||||
Industrial - 0.3% | ||||
Casella Waste Systems, Inc., 4.00%, 10/17/23 (b) | 249,375 | 251,089 | ||
Total Floating Rate Loans (Cost $248,154) | 251,089 | |||
HIGH SOCIAL IMPACT INVESTMENTS - 0.2% | ||||
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/16/19 (d)(e) | 150,000 | 140,368 | ||
Total High Social Impact Investments (Cost $150,000) | 140,368 |
calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED) 7
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
TAXABLE MUNICIPAL OBLIGATIONS - 9.5% | ||||
California - 1.1% | ||||
Metropolitan Water District of Southern California Revenue Bonds, 6.947%, 7/1/40 (f) | 250,000 | 284,062 | ||
Santa Clara Valley California Transportation Authority Revenue Bonds, 5.876%, 4/1/32 (f) | 430,000 | 523,495 | ||
807,557 | ||||
District of Columbia - 1.3% | ||||
District of Columbia Water & Sewer Authority Revenue Bonds, 4.814%, 10/1/2114 | 950,000 | 948,784 | ||
Massachusetts - 2.3% | ||||
Commonwealth of Massachusetts GO Green Bonds, 3.277%, 6/1/46 | 1,725,000 | 1,572,130 | ||
Massachusetts Clean Water Trust, Revenue Bonds, 5.192%, 8/1/40 (f) | 150,000 | 171,611 | ||
1,743,741 | ||||
New York - 4.8% | ||||
New York City Water & Sewer System Revenue Bonds: | ||||
5.44%, 6/15/43 (f) | 770,000 | 958,758 | ||
5.882%, 6/15/44 (f) | 605,000 | 780,601 | ||
New York State Environmental Facilities Corp. Revenue Bonds: | ||||
1.48%, 7/15/18 | 750,000 | 750,338 | ||
2.25%, 7/15/20 | 1,040,000 | 1,047,103 | ||
3,536,800 | ||||
Total Taxable Municipal Obligations (Cost $7,328,438) | 7,036,882 | |||
SOVEREIGN GOVERNMENT BONDS - 12.3% | ||||
Export Development Canada, 1.25%, 12/10/18 | 1,230,000 | 1,233,026 | ||
Export-Import Bank of Korea, 2.125%, 2/11/21 | 1,000,000 | 978,177 | ||
Kommunalbanken AS, 1.375%, 10/26/20 (a) | 1,000,000 | 979,756 | ||
Kommuninvest i Sverige AB, 1.50%, 4/23/19 (a) | 1,000,000 | 995,371 | ||
Municipality Finance plc, 1.375%, 9/21/21 (a) | 2,000,000 | 1,924,888 | ||
Nacional Financiera SNC, 3.375%, 11/5/20 (a) | 1,500,000 | 1,521,750 | ||
Nederlandse Waterschapsbank NV, 2.375%, 3/24/26 (a) | 1,000,000 | 966,111 | ||
Svensk Exportkredit AB, 1.875%, 6/23/20 | 500,000 | 498,698 | ||
Total Sovereign Government Bonds (Cost $9,206,905) | 9,097,777 | |||
U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES - 1.4% | ||||
Overseas Private Investment Corp.: | ||||
3.22%, 9/15/29 | 800,000 | 799,492 | ||
3.16%, 6/1/33 | 193,550 | 191,728 | ||
Total U.S. Government Agencies and Instrumentalities (Cost $993,550) | 991,220 | |||
8 calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 6.9% | ||||
Fannie Mae: | ||||
3.11%, 7/1/23 | 141,540 | 146,179 | ||
2.65%, 6/1/26 | 1,975,709 | 1,945,451 | ||
2.68%, 7/1/26 | 2,000,000 | 1,963,195 | ||
2.784%, 2/25/27(b) | 997,866 | 1,005,934 | ||
Total U.S. Government Agency Mortgage-Backed Securities (Cost $5,183,573) | 5,060,759 | |||
TIME DEPOSIT - 6.3% | ||||
State Street Bank and Trust Eurodollar Time Deposit, 0.09%, 4/3/17 | 4,651,608 | 4,651,608 | ||
Total Time Deposit (Cost $4,651,608) | 4,651,608 | |||
TOTAL INVESTMENTS (Cost $77,199,963) - 103.6% | 76,542,087 | |||
Other assets and liabilities, net - (3.6%) | (2,640,336 | ) | ||
NET ASSETS - 100.0% | 73,901,751 |
FUTURES | NUMBER OF CONTRACTS | EXPIRATION DATE | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||
Short: | |||||||||
10 Year U.S. Treasury Notes | (27) | 6/17 | ($3,363,188 | ) | ($1,971 | ) | |||
U.S. Ultra-Long Treasury Bond | (28) | 6/17 | (4,497,500) | (9,708) | |||||
Total Short | ($11,679 | ) |
NOTES TO SCHEDULE OF INVESTMENTS | ||
(a) 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. Total market value of Rule 144A securities amounts to $18,826,133, which represents 25.5% of the net assets of the Fund as of March 31, 2017. | ||
(b)The coupon rate shown on floating or adjustable rate securities represents the rate in effect on March 31, 2017. | ||
(c) 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 March 31, 2017. 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. | ||
(d) Restricted Security. Total market value of restricted securities amounts to $140,368, which represents 0.2% of the net assets of the Fund as of March 31, 2017. | ||
(e) Affiliated company (see Note F). | ||
(f) Build America Bond. Represents taxable municipal obligation issued pursuant to the American Recovery and Reinvestment Act of 2009 or other legislation providing for the issuance of taxable municipal debt on which the issuer receives federal support. |
Abbreviations: | |||
GO: | General Obligation |
RESTRICTED SECURITIES | ACQUISITION DATES | COST ($) |
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/16/19 | 12/15/16 | 150,000 |
See notes to financial statements.
calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED) 9
CALVERT GREEN BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2017 (Unaudited)
ASSETS | |||
Investments in unaffiliated securities, at value (Cost $77,049,963) - see accompanying schedule | $76,401,719 | ||
Investments in affiliated securities, at value (Cost $150,000) - see accompanying schedule | $140,368 | ||
Cash collateral at broker | 181,950 | ||
Receivable for securities sold | 1,178,101 | ||
Receivable for Fund shares sold | 722,123 | ||
Interest receivable | 451,449 | ||
Interest receivable - affiliated | 669 | ||
Directors' deferred compensation plan | 37,893 | ||
Receivable from affiliate | 10,358 | ||
Total assets | 79,124,630 | ||
LIABILITIES | |||
Payable for securities purchased | 5,105,322 | ||
Payable for Fund shares redeemed | 6,684 | ||
Payable for futures contracts variation margin | 14,656 | ||
Payable to affiliates: | |||
Investment advisory fee | 18,003 | ||
Administrative fees | 6,888 | ||
Distribution Plan expenses | 6,316 | ||
Sub-transfer agent fee | 331 | ||
Directors' deferred compensation plan | 37,893 | ||
Accrued expenses and other liabilities | 26,786 | ||
Total liabilities | 5,222,879 | ||
NET ASSETS | $73,901,751 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(250,000,000 shares of $0.01 par value authorized) | $73,802,813 | ||
Accumulated undistributed net investment income | 2,357 | ||
Accumulated net realized gain (loss) | 766,136 | ||
Net unrealized appreciation (depreciation) | (669,555 | ) | |
NET ASSETS | $73,901,751 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $30,679,357 and 2,022,666 shares outstanding) | $15.17 | ||
Class I (based on net assets of $19,399,060 and 1,278,960 shares outstanding) | $15.17 | ||
Class Y (based on net assets of $23,823,334 and 1,567,387 shares outstanding) | $15.20 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/96.25 of net asset value per share) | $15.76 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. |
10 calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT GREEN BOND FUND
STATEMENT OF OPERATIONS
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)
NET INVESTMENT INCOME | |||
Investment Income: | |||
Interest income (net of foreign tax withheld of $27) | $904,935 | ||
Interest income - affiliated | 815 | ||
Securities lending income | 337 | ||
Total investment income | 906,087 | ||
Expenses: | |||
Investment advisory fee | 101,904 | ||
Administrative fees | 40,761 | ||
Transfer agency fees and expenses: | |||
Class A | 22,162 | ||
Class I | 1,626 | ||
Class Y | 6,461 | ||
Distribution Plan expenses: | |||
Class A | 36,601 | ||
Directors' fees and expenses | 3,222 | ||
Accounting fees | 14,933 | ||
Custodian fees | 13,961 | ||
Professional fees | 16,090 | ||
Registration fees: | |||
Class A | 10,910 | ||
Class I | 11,717 | ||
Class Y | 10,559 | ||
Reports to shareholders | 4,130 | ||
Miscellaneous | 5,920 | ||
Total expenses | 300,957 | ||
Reimbursement from Adviser: | |||
Class A | (27,409) | ||
Class I | (20,872) | ||
Class Y | (13,640) | ||
Administrative fees waived | (2,102) | ||
Net expenses | 236,934 | ||
NET INVESTMENT INCOME (LOSS) | 669,153 | ||
See notes to financial statements. |
calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED) 11
CALVERT GREEN BOND FUND
STATEMENT OF OPERATIONS
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited) - CONT’D
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments | 283,801 | ||
Futures | 826,323 | ||
1,110,124 | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investments | (2,383,204) | ||
Investments in affiliated securities | (7,112) | ||
Futures | (72,872) | ||
(2,463,188) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (1,353,064) | ||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | ($683,911 | ) | |
See notes to financial statements. |
12 calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT GREEN BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | SIX MONTHS ENDED MARCH 31, 2017 (Unaudited) | YEAR ENDED SEPTEMBER 30, 2016 | |||||
Operations: | |||||||
Net investment income (loss) | $669,153 | $1,197,474 | |||||
Net realized gain (loss) | 1,110,124 | 487,457 | |||||
Net change in unrealized appreciation (depreciation) | (2,463,188) | 1,793,837 | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (683,911) | 3,478,768 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (260,470) | (425,728) | |||||
Class I shares | (224,086) | (521,400) | |||||
Class Y shares | (182,985) | (248,661) | |||||
Net realized gain: | |||||||
Class A shares | (311,374) | (41,623) | |||||
Class I shares | (235,866) | (54,265) | |||||
Class Y shares | (187,273) | (21,662) | |||||
Total distributions | (1,402,054) | (1,313,339) | |||||
Capital share transactions: | |||||||
Shares sold: | |||||||
Class A shares | 8,579,354 | 15,125,309 | |||||
Class I shares | 9,064,286 | 7,914,990 | |||||
Class Y shares | 13,122,207 | 12,785,483 | |||||
Reinvestment of distributions: | |||||||
Class A shares | 535,068 | 437,836 | |||||
Class I shares | 273,525 | 350,816 | |||||
Class Y shares | 307,505 | 206,521 | |||||
Shares redeemed: | |||||||
Class A shares | (6,536,706) | (10,570,672) | |||||
Class I shares | (13,167,654) | (13,689,671) | |||||
Class Y shares | (6,008,844) | (4,072,207) | |||||
Total capital share transactions | 6,168,741 | 8,488,405 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 4,082,776 | 10,653,834 | |||||
NET ASSETS | |||||||
Beginning of period | 69,818,975 | 59,165,141 | |||||
End of period (including accumulated undistributed net investment income of $2,357 and $745, respectively) | $73,901,751 | $69,818,975 | |||||
See notes to financial statements. |
calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED) 13
CALVERT GREEN BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS - CONT’D
CAPITAL SHARE ACTIVITY | SIX MONTHS ENDED MARCH 31, 2017 (Unaudited) | YEAR ENDED SEPTEMBER 30, 2016 | |
Shares sold: | |||
Class A shares | 564,277 | 991,419 | |
Class I shares | 598,909 | 514,500 | |
Class Y shares | 862,924 | 833,800 | |
Reinvestment of distributions: | |||
Class A shares | 35,287 | 28,602 | |
Class I shares | 18,038 | 22,974 | |
Class Y shares | 20,235 | 13,433 | |
Shares redeemed: | |||
Class A shares | (430,713) | (692,812) | |
Class I shares | (867,305) | (894,121) | |
Class Y shares | (395,824) | (262,780) | |
Total capital share activity | 405,828 | 555,015 | |
See notes to financial statements. |
14 calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT GREEN BOND FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2017 (a) (Unaudited) | Year Ended September 30, | Period Ended September 30, 2014 (a)(b) | |||||||||
CLASS A SHARES | 2016 (a) | 2015 (a) | |||||||||
Net asset value, beginning | $15.64 | $15.14 | $15.20 | $15.00 | |||||||
Income from investment operations: | |||||||||||
Net investment income | 0.14 | 0.25 | 0.23 | 0.17 | |||||||
Net realized and unrealized gain (loss) | (0.31) | 0.53 | 0.06 | 0.17 | |||||||
Total from investment operations | (0.17) | 0.78 | 0.29 | 0.34 | |||||||
Distributions from: | |||||||||||
Net investment income | (0.14) | (0.25) | (0.22) | (0.14) | |||||||
Net realized gain | (0.16) | (0.03) | (0.13) | — | |||||||
Total distributions | (0.30) | (0.28) | (0.35) | (0.14) | |||||||
Total increase (decrease) in net asset value | (0.47) | 0.50 | (0.06) | 0.20 | |||||||
Net asset value, ending | $15.17 | $15.64 | $15.14 | $15.20 | |||||||
Total return (c) | (1.08 | %) | 5.21 | % | 1.95 | % | 2.29 | % | |||
Ratios to average net assets: (d) | |||||||||||
Net investment income | 1.79%(e) | 1.64 | % | 1.49 | % | 1.21%(e) | |||||
Total expenses | 1.07%(e) | 1.12 | % | 1.24 | % | 1.99%(e) | |||||
Net expenses | 0.88%(e) | 0.88 | % | 0.88 | % | 0.88%(e) | |||||
Portfolio turnover | 31 | % | 243 | % | 444 | % | 545 | % | |||
Net assets, ending (in thousands) | $30,679 | $28,987 | $23,108 | $10,622 | |||||||
(a) Net investment income per share is calculated using the Average Shares Method. | |||||||||||
(b) From October 31, 2013 inception. | |||||||||||
(c) Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||
(e) Annualized. | |||||||||||
See notes to financial statements. |
calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED) 15
CALVERT GREEN BOND FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2017 (a) (Unaudited) | Year Ended September 30, | Period Ended September 30, 2014 (a)(b) | |||||||||
CLASS I SHARES | 2016 (a) | 2015 (a) | |||||||||
Net asset value, beginning | $15.63 | $15.13 | $15.18 | $15.00 | |||||||
Income from investment operations: | |||||||||||
Net investment income | 0.16 | 0.31 | 0.29 | 0.21 | |||||||
Net realized and unrealized gain (loss) | (0.30) | 0.53 | 0.06 | 0.18 | |||||||
Total from investment operations | (0.14) | 0.84 | 0.35 | 0.39 | |||||||
Distributions from: | |||||||||||
Net investment income | (0.16) | (0.31) | (0.27) | (0.21) | |||||||
Net realized gain | (0.16) | (0.03) | (0.13) | — | |||||||
Total distributions | (0.32) | (0.34) | (0.40) | (0.21) | |||||||
Total increase (decrease) in net asset value | (0.46) | 0.50 | (0.05) | 0.18 | |||||||
Net asset value, ending | $15.17 | $15.63 | $15.13 | $15.18 | |||||||
Total return (c) | (0.83 | %) | 5.60 | % | 2.36 | % | 2.58 | % | |||
Ratios to average net assets: (d) | |||||||||||
Net investment income | 2.16%(e) | 2.01 | % | 1.89 | % | 1.51%(e) | |||||
Total expenses | 0.72%(e) | 0.67 | % | 0.76 | % | 1.17%(e) | |||||
Net expenses | 0.50%(e) | 0.50 | % | 0.50 | % | 0.50%(e) | |||||
Portfolio turnover | 31 | % | 243 | % | 444 | % | 545 | % | |||
Net assets, ending (in thousands) | $19,399 | $23,908 | $28,540 | $12,994 | |||||||
(a) Net investment income per share is calculated using the Average Shares Method. | |||||||||||
(b) From October 31, 2013 inception. | |||||||||||
(c) Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||
(e) Annualized. | |||||||||||
See notes to financial statements. |
16 calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT GREEN BOND FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2017 (a) (Unaudited) | Year Ended September 30, | Period Ended September 30, 2014 (a)(b) | |||||||||
CLASS Y SHARES | 2016 (a) | 2015 (a) | |||||||||
Net asset value, beginning | $15.67 | $15.17 | $15.22 | $15.00 | |||||||
Income from investment operations: | |||||||||||
Net investment income | 0.16 | 0.29 | 0.27 | 0.17 | |||||||
Net realized and unrealized gain (loss) | (0.32) | 0.53 | 0.06 | 0.21 | |||||||
Total from investment operations | (0.16) | 0.82 | 0.33 | 0.38 | |||||||
Distributions from: | |||||||||||
Net investment income | (0.15) | (0.29) | (0.25) | (0.16) | |||||||
Net realized gain | (0.16) | (0.03) | (0.13) | — | |||||||
Total distributions | (0.31) | (0.32) | (0.38) | (0.16) | |||||||
Total increase (decrease) in net asset value | (0.47) | 0.50 | (0.05) | 0.22 | |||||||
Net asset value, ending | $15.20 | $15.67 | $15.17 | $15.22 | |||||||
Total return (c) | (0.96 | %) | 5.46 | % | 2.21 | % | 2.56 | % | |||
Ratios to average net assets: (d) | |||||||||||
Net investment income | 2.04%(e) | 1.91 | % | 1.74 | % | 1.56%(e) | |||||
Total expenses | 0.78%(e) | 0.81 | % | 1.10 | % | 14.21%(e) | |||||
Net expenses | 0.63%(e) | 0.63 | % | 0.63 | % | 0.63%(e) | |||||
Portfolio turnover | 31 | % | 243 | % | 444 | % | 545 | % | |||
Net assets, ending (in thousands) | $23,823 | $16,923 | $7,517 | $1,046 | |||||||
(a) Net investment income per share is calculated using the Average Shares Method. | |||||||||||
(b) From October 31, 2013 inception. | |||||||||||
(c) Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||
(e) Annualized. | |||||||||||
See notes to financial statements. |
calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED) 17
NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert Impact Fund, Inc. (the “Corporation”) was organized as a Maryland corporation on August 10, 2000, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Corporation operates four (4) separate series, or mutual funds, each with its own investment objective(s) and strategies, that are accounted for separately. This report contains the financial statements and financial highlights of Calvert Green Bond Fund (the “Fund”). The Corporation is authorized to issue two billion shares of common stock, $0.01 par value per share, of which 250 million shares have been allocated to the Fund.
The investment objective of the Fund is to seek to maximize income, to the extent consistent with preservation of capital, primarily through investments in bonds. The Fund is diversified and invests primarily in “green” investments, which include those issued by companies that develop or provide products or services that seek to provide environmental solutions or that support environmental projects, among others.
The Fund offers Class A, Class I and Class Y shares. Class A shares are generally sold with a maximum front-end sales charge of 3.75%. A contingent deferred sales charge of 0.80% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within one year of purchase. Class I shares require a minimum account balance of $1 million. The $1 million minimum initial investment is waived for retirement plans that trade through omnibus accounts and may be waived in certain other instances where it is believed to be in the best interest of the Fund and its shareholders. Class I shares have no front-end or contingent deferred sales charge and have lower levels 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 principal underwriter to offer Class Y shares to their clients, and retirement plans, foundations, endowments and other consultant-driven business. Class Y shares have no front-end or contingent deferred sales charge and have lower levels of expenses than Class A shares. Among other things, 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.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
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 Directors (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 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 securities and financial instruments of the Fund to the Fund's investment adviser (the “Adviser”) and has provided these Procedures to govern the Adviser in its valuation duties.
The Adviser 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 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. U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
18 calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED)
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Fund’s investments by major category are as follows:
Debt securities are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, floating rate loans, sovereign government bonds, municipal obligations 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, 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.
For restricted securities and private placements (debt and equity) where observable inputs may be limited, assumptions about market activity and risk are used and such securities are categorized as either Level 2 or Level 3 in the hierarchy depending on the relative significance of valuation inputs.
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.
Mutual funds are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Futures contracts are valued at unrealized appreciation (depreciation) based on the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 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 Adviser, 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.
calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED) 19
The following table summarizes the market value of the Fund's holdings as of March 31, 2017, based on the inputs used to value them:
VALUATION INPUTS | |||||||||||
INVESTMENTS IN SECURITIES | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | |||||||
Asset-Backed Securities | $— | $6,659,394 | $— | $6,659,394 | |||||||
Commercial Mortgage-Backed Securities | — | 962,993 | — | 962,993 | |||||||
Corporate Bonds | — | 41,689,997 | — | 41,689,997 | |||||||
Floating Rate Loans | — | 251,089 | — | 251,089 | |||||||
High Social Impact Investments | — | 140,368 | — | 140,368 | |||||||
Taxable Municipal Obligations | — | 7,036,882 | — | 7,036,882 | |||||||
Sovereign Government Bonds | — | 9,097,777 | — | 9,097,777 | |||||||
U.S. Government Agencies and Instrumentalities | — | 991,220 | — | 991,220 | |||||||
U.S. Government Agency Mortgage-Backed Securities | — | 5,060,759 | — | 5,060,759 | |||||||
Time Deposit | — | 4,651,608 | — | 4,651,608 | |||||||
TOTAL | $— | $76,542,087 | $— | $76,542,087 | |||||||
Futures Contracts* | ($11,679 | ) | $— | $— | ($11,679 | ) | |||||
* The value listed reflects unrealized appreciation (depreciation) as shown on the Schedule of Investments. |
There were no transfers between Level 1 and Level 2 during the six months ended March 31, 2017.
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. The 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. The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Fund purchases assignments from lenders, it acquires direct rights against the borrower of the loan. When investing in a loan participation, the 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: 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 six months ended March 31, 2017, 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 Schedule of Investments.
At March 31, 2017, the Fund had the following derivatives, categorized by risk exposure:
Risk | Statement of Assets and Liabilities Location | Assets | Statement of Assets and Liabilities Location | Liabilities |
Interest Rate | Net unrealized appreciation (depreciation) | $—* | Net unrealized appreciation (depreciation) | ($11,679)* |
* Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Payable for futures contracts variation margin. |
20 calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED)
The effect of derivative instruments on the Statement of Operations for the six months ended March 31, 2017 was as follows:
Statement of Operations Location | |||||
Risk | Derivatives | Net realized gain (loss) | Net change in unrealized appreciation (depreciation) | ||
Interest Rate | Futures | $826,323 | ($72,872) | ||
The volume of outstanding contracts has varied throughout the six months ended March 31, 2017 with an average notional cost of futures contracts as in the following table: | |||||
Derivative Description | Average Notional Cost of Contracts | ||||
Futures contracts short | ($7,320,272 | ) |
Restricted Securities: The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities (excluding Rule 144A securities) is included at the end of the Schedule of Investments.
Security Transactions and 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. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded 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. 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.
Share Class Accounting: 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 common to the classes are also allocated to each class in proportion to their relative net assets. Expenses arising in connection with a specific class are charged directly to that class.
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income are declared and 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 U.S. GAAP; 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 financial statements in conformity with U.S. GAAP 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
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.
Interim Financial Statements: The interim financial statements relating to March 31, 2017 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
NOTE B — RELATED PARTY TRANSACTIONS
Effective December 31, 2016, Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), became the investment adviser to the Fund following a transaction between CRM and certain of its affiliates and Calvert Investment Management, Inc. (CIM) and certain of its affiliates, pursuant to which CRM acquired substantially all of the business
calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED) 21
assets of CIM after satisfying various closing conditions, including shareholder approval of a new investment advisory agreement between the Fund and CRM (the”Transaction”).
For its services pursuant to the new investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.30% of the Fund’s average daily net assets. Prior to December 31, 2016, CIM, a direct subsidiary of Calvert Investments, Inc. and an indirect subsidiary of Ameritas Holding Company, provided investment advisory services to the Fund. For its services, CIM received a fee at the same annual rate as the Fund’s investment advisory agreement with CRM. For the six months ended March 31, 2017, the investment advisory fee amounted to $101,904, of which $50,431 was paid to CRM and $51,473 was paid to CIM.
CRM (CIM for the period October 1, 2016 through December 30, 2016) has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.88%, 0.50% and 0.63% for Class A, Class I and Class Y, respectively, of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after January 31, 2018. For the six months ended March 31, 2017, CRM waived or reimbursed expenses of $32,512 and CIM waived or reimbursed expenses of $29,409.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets and is payable monthly. CRM has agreed to contractually waive 0.02% of the administrative fee through January 31, 2018 for Class I. Prior to December 31, 2016, Calvert Investment Administrative Services, Inc. (CIAS), an affiliate of CIM, provided administrative services to the Fund at an annual rate of 0.12% of the Fund's average daily net assets, payable monthly. In addition, CIAS contractually waived administrative fees of 0.02% for the period October 1, 2016 through December 30, 2016 for Class I. For the six months ended March 31, 2017, CRM was paid administrative fees of $20,172, of which $954 were waived and CIAS was paid administrative fees of $20,589, of which $1,148 were waived.
As of December 31, 2016, the Fund has in effect a new distribution plan for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act, which was approved by the Board of Directors and shareholders of the Fund. Pursuant to the Class A Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class A shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided. Prior to December 31, 2016, the Fund had in effect a distribution plan for Class A shares which permitted the Fund to pay certain expenses associated with the distribution and servicing of its Class A shares not to exceed 0.50% of the Fund’s average daily net assets with respect to such class. The fees were paid to Calvert Investment Distributors, Inc. (CID), an affiliate of CIM and the Fund’s former distributor and principal underwriter. Distribution and service fees paid or accrued for the six months ended March 31, 2017 amounted to $36,601 or 0.25% per annum of Class A’s average daily net assets, of which $18,477 was paid to EVD and $18,124 was paid to CID.
The Fund was informed that EVD and CID received $4,172 and $2,993, respectively, as their portion of the sales charge on sales of Class A shares for the six months ended March 31, 2017. The Fund was also informed that EVD and CID received $2 and $0, respectively, of contingent deferred sales charges paid by Fund shareholders for the same period.
Effective December 31, 2016, EVM provides sub-transfer agency services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For its services, EVM receives an annual fee of $8 per shareholder account. Prior to December 31, 2016, Calvert Investment Services, Inc. (CIS), an affiliate of CIM, acted as the shareholder servicing agent for the Fund and received a fee at the same rate as is paid to EVM. For the six months ended March 31, 2017, sub-transfer agency fees paid to EVM were $1,721 and shareholder servicing fees paid to CIS were $1,534. Such fees are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Prior to December 31, 2016, each Director of the Fund who was not an employee of CIM or its affiliates received a fee of $3,000 for each Board meeting attended plus an annual fee of $52,000. Committee members received $500 for each Committee meeting attended plus an annual fee of $2,500. Committee chairs received an additional annual retainer ranging from $6,000 to $10,000. Eligible Directors may participate in a Deferred Compensation Plan (the “Plan”). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of
22 calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED)
CRM and, prior to December 31, 2016, of CIM or their affiliates are/were paid by CRM and CIM, respectively. In addition, in connection with the Transaction, an advisory council was established to aid the Board and the Calvert funds’ Adviser in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of the Adviser’s Chief Executive Officer and four additional members. Each member (other than the Adviser’s Chief Executive Officer) receives annual compensation of $75,000, which will be reimbursed by CIM and Ameritas Holding Company for a period of up to three years.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the six months ended March 31, 2017, the cost of purchases and proceeds from sales of investments, other than U.S. government and agency securities and short-term securities, were $19,462,507 and $15,852,900, respectively. U.S. government and agency security purchases and sales were $5,674,119 and $4,684,257, respectively.
The cost and unrealized appreciation (depreciation) of investments of the Fund at March 31, 2017, as determined on a federal income tax basis, were as follows:
Unrealized appreciation | $360,043 | ||
Unrealized (depreciation) | (1,017,919) | ||
Net unrealized appreciation (depreciation) | ($657,876 | ) | |
Federal income tax cost of investments | $77,199,963 |
NOTE D — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement (“Lending Agreement”) with State Street Bank, the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). Cash collateral is generally invested in State Street Institutional U.S. Government Money Market Fund (the “U.S. Government Fund”) that is managed by an affiliate of the custodian. The U.S. Government Fund is a registered money market fund that invests in a variety of high-quality, U.S. dollar denominated instruments. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
The Fund did not have any securities on loan as of March 31, 2017.
NOTE E — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and State Street Bank and Trust Company (SSB). Under the agreement, which expires on August 8, 2017, SSB provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Calvert Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no loans outstanding pursuant to this line of credit at March 31, 2017.
For the six months ended March 31, 2017, borrowing information by the Fund under the agreement was as follows:
Average Daily Balance | Weighted Average Interest Rate | Maximum Amount Borrowed | Month of Maximum Amount Borrowed | |
$45,090 | 2.02% | $4,002,022 | January 2017 |
calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED) 23
NOTE F — AFFILIATED COMPANIES
The Fund invests a portion of its assets designated for high social impact investments in notes issued by the Calvert Social Investment Foundation (the “Foundation”) pursuant to an exemptive order granted by the U.S. Securities and Exchange Commission (the “SEC”). The Fund relies on exemptive relief to invest in the notes because the Fund’s investments in the notes may be considered prohibited transactions between affiliated persons under the 1940 Act. The Foundation may be considered an affiliated person of the Calvert Funds based on the overlap between the Foundation’s Board of Directors and the Funds’ Directors/Trustees and other potential affiliations. The Foundation has licensed use of the Calvert name from the Adviser, and the Adviser’s President and Chief Executive Officer serves on the Foundation Board. The Foundation is not owned or otherwise controlled by the Adviser or its affiliates. Transactions in affiliated companies by the Fund for the six months ended March 31, 2017 were as follows:
Name of Affiliated Company | Principal Amount, beginning of period | Gross Additions | Gross Reductions | Principal Amount, end of period | Value, end of period | Interest Income | Net Realized Gain (Loss) | Capital Gain Distributions Received | Change In Unrealized Appreciation (Depreciation) | ||||||||||
Calvert Social Investment Foundation, Community Investment Notes, 0.50%, 3/18/17 | $150,000 | $— | ($150,000 | ) | $— | $— | $146 | $— | $— | $2,520 | |||||||||
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/16/19 | — | 150,000 | — | 150,000 | 140,368 | 669 | — | — | (9,632) | ||||||||||
TOTALS | $140,368 | $815 | $— | $— | ($7,112 | ) |
24 calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED)
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
The Special Meeting of Shareholders of Calvert Green Bond Fund, a series of Calvert Impact Fund, Inc. (the “Fund”) was held on December 16, 2016 and adjourned to December 23, 2016.
Shareholders of the Fund voted on the following proposals:
1. | Approval of a new investment advisory agreement with Calvert Research and Management. |
Number of Shares* | |||
For | Against | Abstain** | Uninstructed** |
2,243,094 | 16,232 | 102,567 | 645,520 |
2. | Reaffirmation and approval of the Fund’s ability to invest in notes issued by Calvert Social Investment Foundation. |
Number of Shares* | |||
For | Against | Abstain** | Uninstructed** |
2,246,416 | 10,316 | 105,161 | 645,520 |
3. | Approval of the Fund’s reliance on a potential future exemptive order that may be granted by the U.S. Securities and Exchange Commission. |
Number of Shares* | |||
For | Against | Abstain** | Uninstructed** |
2,242,400 | 13,725 | 105,769 | 645,519 |
Shareholders of Class A shares of the Fund voted on the following proposal:
1. | Approval of Master Distribution Plan for Class A shares of the Fund pursuant to Rule 12b-1 under the Investment Company Act of 1940, as amended. |
Number of Shares* | |||
For | Against | Abstain** | Uninstructed** |
865,017 | 7,778 | 85,541 | 256,859 |
calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED) 25
Shareholders of Calvert Impact Fund, Inc. voted on the following proposal:
1. | To elect Directors of Calvert Impact Fund, Inc.: |
Number of Shares* | ||
Nominee | For | Withheld |
Richard L. Baird, Jr. | 35,697,069 | 1,929,355 |
Alice Gresham Bullock | 35,777,835 | 1,848,589 |
Cari Dominguez | 35,780,136 | 1,846,288 |
Miles D. Harper III | 35,693,783 | 1,932,641 |
John G. Guffey, Jr. | 35,686,589 | 1,939,836 |
Joy V. Jones | 35,775,597 | 1,850,827 |
Anthony A. Williams | 33,920,543 | 3,705,881 |
John H. Streur | 35,672,258 | 1,954,166 |
* | Excludes fractional shares. |
** | Uninstructed shares (i.e., proxies from brokers or nominees indicating that such persons have not received instructions from the beneficial owner or other person entitled to vote shares on a particular matter with respect to which the brokers or nominees do not have discretionary power) were treated as shares that were present at the meeting for purposes of establishing a quorum, but had the effect of a vote against the proposals. Uninstructed shares are sometimes referred to as broker non-votes. Abstentions were also treated in this manner. |
26 calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED)
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
Calvert Green Bond Fund
At a meeting held on October 14, 2016, the Board of Directors of Calvert Impact Fund, Inc. (“CIF”), and by a separate vote, the Directors who are not “interested persons” of CIF (the “Independent Directors”), approved a new Investment Advisory Agreement between CIF and Eaton Vance Investment Advisors (renamed Calvert Research and Management) (“CRM” or the “Adviser”) with respect to the Calvert Green Bond Fund (the “Fund”). The Board was advised that, subject to shareholder approval and certain other conditions, the new Investment Advisory Agreement would take effect upon the acquisition of substantially all of the business assets of Calvert Investment Management, Inc. (“CIM”) by Eaton Vance Corporation (“Eaton Vance”) (the “Transaction”).
In connection with the proposed Transaction, the Independent Directors, assisted by their independent legal counsel, requested extensive information from CIM and Eaton Vance regarding the proposed Transaction and its potential implications for the Calvert Funds. The Independent Directors reviewed and discussed this information and received advice from their independent legal counsel regarding their responsibilities in evaluating the possible Transaction and the new Investment Advisory Agreement.
The Independent Directors met separately on multiple occasions to discuss the Transaction and the proposed change in investment adviser. The interested Directors participated in portions of these meetings to provide the perspective of the Calvert organization, but did not otherwise participate in the deliberations of the Independent Directors regarding the possible change in investment adviser.
In the course of their deliberations regarding the new Investment Advisory Agreement, the Directors considered the following factors, among others: the nature, extent and quality of the services to be provided by CRM and its affiliates, including the personnel who would be providing such services; Eaton Vance’s financial condition; the proposed advisory fees; comparative fee and expense information for the Calvert Funds and for comparable funds managed by Eaton Vance or its affiliates; the anticipated profitability of the Calvert Funds to CRM and its affiliates; the direct and indirect benefits, if any, to be derived by CRM and its affiliates from their relationship with the Calvert Funds; the effect of each Calvert Fund’s projected growth and size on each Calvert Fund’s performance and expenses; and CRM’s compliance program.
In considering the nature, extent, and quality of the services to be provided to the Fund by CRM under the new Investment Advisory Agreement, the Directors took into account information provided by Eaton Vance or its affiliates relating to its operations and personnel, including, among other information, biographical information on its investment, supervisory, and professional staff and descriptions of its organizational and management structure. The Directors considered the new investment strategies to be used in managing certain Calvert Funds and the performance of other funds managed by the investment teams at Eaton Vance or its affiliates that would be managing certain Calvert Funds. The Directors also took into account CRM’s and Eaton Vance’s proposed staffing and overall resources, and noted that the staff of CRM was expected to include certain current employees of CIM as well as certain employees of affiliates of Eaton Vance under a “dual-hat” arrangement. CRM’s administrative capabilities were also considered. The Directors concluded that they were satisfied with the nature, extent and quality of services to be provided to the Fund by CRM under the new Investment Advisory Agreement.
In considering the management style and investment strategies that CRM proposed to use in managing the Calvert Funds, including the Fund, the Directors took into consideration the performance of funds currently managed by CIM and affiliates of Eaton Vance, as applicable. The Directors also noted that for certain Calvert Funds CRM proposed to combine the investment capabilities of affiliates of Eaton Vance with CRM’s sustainable research capabilities. Based upon their review, the Directors concluded that CRM is qualified to manage the Fund’s assets in accordance with its investment objective and strategies and that the proposed investment strategies were appropriate for pursuing the Fund’s investment objective.
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board also reviewed various comparative data provided to it in connection with its consideration of the new Investment Advisory Agreement, including, comparisons of the Fund’s returns with those of its benchmark and the average of its Lipper category for the one-year period ended July 31, 2016.
In considering the Fund’s proposed fees and estimated expenses, the Directors considered certain comparative fee and expense data provided by Eaton Vance or its affiliates. The Directors also took into account that there were no increases in the advisory fees being proposed and that for certain Calvert Funds, CRM had proposed a reduction in advisory fees. The Directors further noted that CRM had agreed to maintain current fee waivers/expense reimbursements, if any, for certain Calvert Funds, and increase the fee waivers/expense reimbursements for other Calvert Funds. Based upon their review the Directors concluded that the proposed advisory fee was reasonable in view of the quality of services to be received by the Fund from CRM.
In reviewing the anticipated profitability of the Fund to CRM and its affiliates, the Directors considered the fact that affiliates of CRM would be providing shareholder servicing, administrative and distribution services to the Fund for which they would receive
calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED) 27
compensation. The Board also took into account whether CRM had the financial wherewithal to provide services to the Fund. The Board also considered that CRM would likely derive benefits to its reputation and other indirect benefits from its relationship with the Fund. Based upon its review, the Board concluded that CRM’s and its affiliates’ anticipated level of profitability from their relationship with the Fund was reasonable.
The Directors considered the effect of each Calvert Fund’s current size and potential growth on its performance and expenses. The Directors took into account management’s discussion of the Calvert Funds’ proposed advisory fees. The Directors noted that the advisory fee schedule for certain Calvert Funds will contain breakpoints that will reduce the respective advisory fee rate on assets above specified levels as the applicable Calvert Fund’s assets increased and considered the necessity of adding breakpoints with respect to the Calvert Funds that did not currently have such breakpoints in their advisory fee schedule. The Directors determined that adding breakpoints at specified levels to the advisory fee schedules of the Calvert Funds that did not currently have breakpoints, such as the Fund, would not be appropriate at this time. The Directors noted that if the Fund’s assets increased over time, the Fund might realize economies of scale if assets increase proportionally more than certain other expenses.
In considering the approval of the new Investment Advisory Agreement, the Directors also considered the following matters:
(i) their belief that the Transaction will benefit the Calvert Funds, including the Fund;
(ii) CRM’s intention to continue to manage the Fund in a manner materially consistent with the Fund’s existing investment objective and principal investment strategies, which includes continuing to manage the Fund pursuant to responsible investment criteria as described in the prospectus;
(iii) the financial condition and reputation of Eaton Vance and its affiliates, its worldwide presence, experience as a fund sponsor and manager, commitment to maintain a high level of cooperation with, and support to, the Calvert Funds, including the Fund, strong distribution and client service capabilities, and relationships in the asset management industry;
(iv) the intention expressed by representatives of Eaton Vance to retain certain of the existing members of the Calvert management team and other key professionals, including members of the Calvert Sustainability Research Department, in order to better continue principles-based investment research following the closing of the Transaction;
(v) Eaton Vance’s commitment to maintaining competitive compensation arrangements to attract and retain highly qualified personnel; and
(vi) that the current senior management team at Calvert has indicated its strong support of the Transaction.
In approving the new Investment Advisory Agreement with CRM, the Directors did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.
The Directors reached the following conclusions regarding the new Investment Advisory Agreement, among others: (a) CRM has demonstrated that it possesses the capability and resources to perform the duties required of it under the Investment Advisory Agreement; (b) CRM is qualified to manage the Fund’s assets in accordance with the Fund’s investment objective and strategies; (c) CRM’s investment strategies are appropriate for pursuing the Fund’s investment objective; and (d) the advisory fees are reasonable in view of the quality of the services to be received by the Fund from CRM. Based on the foregoing considerations, the Directors, including the Independent Directors, approved the new Investment Advisory Agreement, subject to the approval of the Fund’s shareholders.
28 calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED)
OFFICERS AND DIRECTORS
Officers of Calvert Green Bond Fund
Hope Brown
Chief Compliance Officer
Maureen A. Gemma(1)
Secretary and Vice President
James F. Kirchner(1)
Treasurer
Directors of Calvert Green Bond Fund
Alice Gresham Bullock(2)(4)
Chairperson
Richard L. Baird, Jr.(4)
Cari Dominguez(2)(4)
John G. Guffey, Jr.(4)
Miles D. Harper, III(4)
Joy V. Jones(4)
John H. Streur(3)
Anthony A. Williams(2)(4)
(1)Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
(2)Mmes. Bullock and Dominguez and Mr. Williams began serving as Directors effective December 23, 2016.
(3)Interested Director and President
(4)Independent Director
calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED) 29
IMPORTANT NOTICES
Privacy. The Calvert organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, the Calvert organization may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.Calvert.com. |
Our pledge of privacy applies to the following entities within the Calvert organization: the Calvert Family of funds and Calvert Research and Management. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial adviser/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
30 calvert.com CALVERT GREEN BOND FUND SEMIANNUAL REPORT (UNAUDITED)
This page intentionally left blank. |
This page intentionally left blank. |
CALVERT GREEN BOND FUND | CALVERT’S FAMILY OF FUNDS | |||
Service for Existing Account Shareholders: 800-368-2745 Brokers: 800-368-2746 Regular Mail Calvert Funds c/o BFDS P.O. Box 219544 Kansas City, MO 64121-9544 Overnight Mail Calvert Funds c/o BFDS 330 West 9th Street Kansas City, MO 64105-1514 Web Site calvert.com Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 | Municipal Funds Tax-Free Responsible Impact Bond Fund Taxable Bond Funds Bond Portfolio Income Fund Short Duration Income Fund Long-Term Income Fund Ultra-Short Income Fund High Yield Bond Fund Green Bond Fund Unconstrained Bond Fund Balanced and Asset Allocation Funds Balanced Portfolio Conservative Allocation Fund Moderate Allocation Fund Aggressive Allocation Fund | Equity Funds Equity Portfolio U.S. Large Cap Core Responsible Index Fund U.S. Large Cap Value Responsible Index Fund U.S. Large Cap Growth Responsible Index Fund U.S. Mid Cap Core Responsible Index Fund Developed Markets Ex-U.S. Responsible Index Fund Capital Accumulation Fund International Equity Fund Small Cap Fund Global Energy Solutions Fund Global Water Fund International Opportunities Fund Emerging Markets Equity Fund |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling
1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert funds at 800-368-2745. Printed on recycled paper. | |
24202 3.31.17 |
Item 2. Code of Ethics.
Not required in this filing.
Item 3. Audit Committee Financial Expert.
Not required in this filing.
Item 4. Principal Accountant Fees and Services.
Not required in this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Please see schedule of investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
No material changes.
Item 11. Controls and Procedures.
(a) The registrant’s principal executive and principal financial officers have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 Act, as amended (the “1940 Act”) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (“Exchange Act”), as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Registrant’s Code of Ethics- Not applicable (please see Item 2)
(a)(2)(i) President’s Section 302 certification.
(a)(2)(ii) Treasurer’s Section 302 certification.
(b) Combined Section 906 certification
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Calvert Impact Fund, Inc.
By: /s/ John H. Streur
John H. Streur
President
Date: May 22, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ John H. Streur
John H. Streur
President
Date: May 22, 2017
By: /s/ James F. Kirchner
James F. Kirchner
Treasurer
Date: May 22, 2017