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: 811-03101
Calvert Management Series
(Exact Name of Registrant as Specified in Charter)
1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Service)
(202) 238-2200
(Registrant’s telephone number)
December 31
Date of Fiscal Year End
June 30, 2021
Date of Reporting Period
Item 1. | Report to Stockholders |
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% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception |
Class A at NAV | 09/30/2014 | 09/30/2014 | 3.32% | 11.02% | 4.06% | 3.69% |
Class A with 3.75% Maximum Sales Charge | — | — | (0.58) | 6.87 | 3.27 | 3.11 |
Class C at NAV | 09/30/2014 | 09/30/2014 | 2.93 | 10.18 | 3.28 | 2.91 |
Class C with 1% Maximum Sales Charge | — | — | 1.93 | 9.18 | 3.28 | 2.91 |
Class I at NAV | 09/30/2014 | 09/30/2014 | 3.45 | 11.31 | 4.39 | 4.04 |
Class R6 at NAV | 05/01/2019 | 09/30/2014 | 3.49 | 11.32 | 4.42 | 4.07 |
ICE BofA 3-Month U.S. Treasury Bill Index | — | — | 0.02% | 0.09% | 1.17% | 0.90% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
Gross | 0.95% | 1.70% | 0.70% | 0.62% |
Net | 0.92 | 1.67 | 0.67 | 0.59 |
% SEC Yield4 | Class A | Class C | Class I | Class R6 |
SEC 30-day Yield - Subsidized | 2.00% | 1.34% | 2.33% | 2.36% |
SEC 30-day Yield - Unsubsidized | 2.00 | 1.34 | 2.33 | 2.36 |
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1 | ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. 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 R6 is linked to Class I. 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.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/22. 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. |
Beginning Account Value (1/1/21) | Ending Account Value (6/30/21) | Expenses Paid During Period* (1/1/21 – 6/30/21) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,033.20 | $4.59 ** | 0.91% |
Class C | $1,000.00 | $1,029.30 | $8.35 ** | 1.66% |
Class I | $1,000.00 | $1,034.50 | $3.33 ** | 0.66% |
Class R6 | $1,000.00 | $1,034.90 | $2.98 ** | 0.59% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.28 | $4.56 ** | 0.91% |
Class C | $1,000.00 | $1,016.56 | $8.30 ** | 1.66% |
Class I | $1,000.00 | $1,021.52 | $3.31 ** | 0.66% |
Class R6 | $1,000.00 | $1,021.87 | $2.96 ** | 0.59% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2020. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Asset-Backed Securities — 18.4% |
Security | Principal Amount (000's omitted) | Value | |
Adams Outdoor Advertising, L.P., Series 2018-1, Class A, 4.81%, 11/15/48(1) | $ | 606 | $ 650,347 |
Avant Loans Funding Trust: | |||
Series 2019-A, Class C, 4.65%, 4/15/26(1) | 2,909 | 2,922,748 | |
Series 2020-REV1, Class C, 4.17%, 5/15/29(1) | 1,000 | 1,005,628 | |
Business Jet Securities, LLC, Series 2020-1A, Class A, 2.981%, 11/15/35(1) | 528 | 538,814 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 2,483 | 2,484,180 | |
Conn's Receivables Funding, LLC: | |||
Series 2019-B, Class B, 3.62%, 6/17/24(1) | 610 | 611,822 | |
Series 2020-A, Class B, 4.27%, 6/16/25(1) | 690 | 696,074 | |
Series 2020-A, Class C, 4.20%, 6/16/25(1) | 848 | 851,935 | |
Diamond Infrastructure Funding, LLC, Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 292 | 291,700 | |
Driven Brands Funding, LLC, Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 383 | 409,243 | |
ExteNet, LLC, Series 2019-1A, Class B, 4.14%, 7/26/49(1) | 490 | 508,776 | |
FOCUS Brands Funding, LLC: | |||
Series 2017-1A, Class A2IB, 3.857%, 4/30/47(1) | 1,512 | 1,537,745 | |
Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 77 | 80,511 | |
Hardee's Funding, LLC, Series 2020-1A, Class A2, 3.981%, 12/20/50(1) | 547 | 581,539 | |
Jack in the Box Funding, LLC, Series 2019-1A, Class A2I, 3.982%, 8/25/49(1) | 700 | 718,677 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 405 | 435,803 | |
Lunar Aircraft, Ltd., Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 123 | 115,007 | |
Marlette Funding Trust, Series 2020-2A, Class C, 2.83%, 9/16/30(1) | 545 | 557,871 | |
Mosaic Solar Loan Trust: | |||
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 561 | 583,602 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 73 | 77,216 | |
Series 2020-1A, Class C, 4.47%, 4/20/46(1) | 420 | 428,153 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | 256 | 256,003 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 795 | 822,082 | |
Oportun Funding X, LLC, Series 2018-C, Class C, 5.52%, 10/8/24(1) | 2,680 | 2,682,458 | |
Oportun Issuance Trust, Series 2021-B, Class C, 3.65%, 5/8/31(1) | 976 | 979,643 | |
Pagaya AI Debt Selection Trust, Series 2021-2, 3.00%, 1/25/29(1) | 1,865 | 1,880,513 | |
Planet Fitness Master Issuer, LLC: | |||
Series 2018-1A, Class A2I, 4.262%, 9/5/48(1) | 676 | 681,041 | |
Series 2018-1A, Class A2II, 4.666%, 9/5/48(1) | 690 | 722,321 |
Security | Principal Amount (000's omitted) | Value | |
Planet Fitness Master Issuer, LLC: (continued) | |||
Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | $ | 532 | $ 539,102 |
Prosper Marketplace Issuance Trust, Series 2017-1A, Class C, 5.80%, 6/15/23(1) | 11 | 10,948 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 196 | 204,262 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 426 | 449,349 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 1,675 | 1,771,823 | |
Small Business Lending Trust: | |||
Series 2019-A, Class A, 2.85%, 7/15/26(1) | 77 | 77,220 | |
Series 2020-A, Class A, 2.62%, 12/15/26(1) | 234 | 234,457 | |
SolarCity LMC Series II, LLC, Series 2014-1, Class A, 4.59%, 4/20/44(1) | 479 | 480,350 | |
SolarCity LMC Series III, LLC: | |||
Series 2014-2, Class A, 4.02%, 7/20/44(1) | 564 | 576,811 | |
Series 2014-2, Class B, 5.44%, 7/20/44(1) | 251 | 252,265 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 1,349 | 1,430,225 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 2,227 | 2,360,494 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 200 | 206,239 | |
Sunnova Helios II Issuer, LLC, Series 2018-1A, Class B, 7.71%, 7/20/48(1) | 607 | 633,411 | |
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class B, 5.47%, 11/1/55(1) | 700 | 730,098 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 189 | 203,401 | |
Theorem Funding Trust, Series 2020-1A, Class A, 2.48%, 10/15/26(1) | 195 | 196,045 | |
Thunderbolt Aircraft Lease, Ltd., Series 2017-A, Class C, 4.50%, 5/17/32(1) | 353 | 264,344 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 665 | 688,511 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 820 | 816,913 | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | 250 | 229,599 | |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 220 | 156,923 | |
Total Asset-Backed Securities (identified cost $35,844,326) | $ 36,624,242 |
Collateralized Mortgage Obligations — 7.2% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd.: | |||
Series 2020-4A, Class M2A, 2.692%, (1 mo. USD LIBOR + 2.60%), 6/25/30(1)(2) | $ | 826 | $ 832,113 |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd.: (continued) | |||
Series 2021-1A, Class M1C, 3.00%, (SOFR + 2.95%), 3/25/31(1)(2) | $ | 900 | $ 945,027 |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2015-HQ2, Class M3, 3.342%, (1 mo. USD LIBOR + 3.25%), 5/25/25(2) | 585 | 595,438 | |
Series 2017-DNA3, Class M2, 2.592%, (1 mo. USD LIBOR + 2.50%), 3/25/30(2) | 886 | 905,501 | |
Series 2018-DNA1, Class M2, 1.892%, (1 mo. USD LIBOR + 1.80%), 7/25/30(2) | 2,136 | 2,151,485 | |
Series 2018-DNA1, Class M2AT, 1.142%, (1 mo. USD LIBOR + 1.05%), 7/25/30(2) | 797 | 794,475 | |
Series 2019-DNA2, Class M2, 2.542%, (1 mo. USD LIBOR + 2.45%), 3/25/49(1)(2) | 489 | 497,743 | |
Series 2019-DNA3, Class M2, 2.142%, (1 mo. USD LIBOR + 2.05%), 7/25/49(1)(2) | 1,955 | 1,977,665 | |
Series 2020-DNA4, Class M2, 3.842%, (1 mo. USD LIBOR + 3.75%), 8/25/50(1)(2) | 167 | 169,318 | |
Series 2020-DNA5, Class M2, 2.85%, (SOFR + 2.80%), 10/25/50(1)(2) | 330 | 335,295 | |
Series 2020-DNA6, Class B1, 3.05%, (SOFR + 3.00%), 12/25/50(1)(2) | 275 | 277,857 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2014-C02, Class 1M2, 2.692%, (1 mo. USD LIBOR + 2.60%), 5/25/24(2) | 295 | 297,231 | |
Series 2014-C03, Class 1M2, 3.092%, (1 mo. USD LIBOR + 3.00%), 7/25/24(2) | 485 | 488,789 | |
Series 2014-C04, Class 1M2, 4.992%, (1 mo. USD LIBOR + 4.90%), 11/25/24(2) | 744 | 771,520 | |
Series 2018-C06, Class 1M2, 2.092%, (1 mo. USD LIBOR + 2.00%), 3/25/31(2) | 323 | 326,087 | |
Series 2018-R07, Class 1M2, 2.492%, (1 mo. USD LIBOR + 2.40%), 4/25/31(1)(2) | 460 | 463,876 | |
Home Re, Ltd.: | |||
Series 2021-1, Class M1C, 2.392%, (1 mo. USD LIBOR + 2.30%), 7/25/33(1)(2) | 325 | 324,386 | |
Series 2021-1, Class M2, 2.942%, (1 mo. USD LIBOR + 2.85%), 7/25/33(1)(2) | 1,295 | 1,283,814 | |
Toorak Mortgage Corp., Ltd.: | |||
Series 2018-1, Class A1, 4.336%, 8/25/21(1) | 201 | 202,064 | |
Series 2020-1, Class A1, 2.734% to 1/25/23, 3/25/23(1)(3) | 640 | 643,996 | |
Total Collateralized Mortgage Obligations (identified cost $13,957,973) | $ 14,283,680 |
Commercial Mortgage-Backed Securities — 8.8% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class ENM, 3.843%, 11/5/32(1)(4) | $ | 3,865 | $ 3,398,621 |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: (continued) | |||
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(4) | $ | 1,555 | $ 1,283,441 |
CGMS Commercial Mortgage Trust: | |||
Series 2017-MDRB, Class A, 1.173%, (1 mo. USD LIBOR + 1.10%), 7/15/30(1)(2) | 650 | 646,802 | |
Series 2017-MDRC, Class C, 1.373%, (1 mo. USD LIBOR + 1.30%), 7/15/30(1)(2) | 600 | 587,900 | |
Series 2017-MDRC, Class D, 2.323%, (1 mo. USD LIBOR + 2.25%), 7/15/30(1)(2) | 2,175 | 2,102,014 | |
Extended Stay America Trust, Series 2021-ESH, Class D, (1 mo. USD LIBOR + 2.25%), 7/15/38(1)(5) | 2,234 | 2,255,635 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 3.342%, (1 mo. USD LIBOR + 3.25%), 10/15/49(1)(2) | 300 | 304,867 | |
Series 2020-01, Class M10, 3.842%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(2) | 785 | 819,436 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 605 | 271,511 | |
Morgan Stanley Capital I Trust: | |||
Series 2019-BPR, Class B, 2.173%, (1 mo. USD LIBOR + 2.10%), 5/15/36(1)(2)(6) | 2,621 | 2,445,436 | |
Series 2019-BPR, Class C, 3.123%, (1 mo. USD LIBOR + 3.05%), 5/15/36(1)(2)(6) | 960 | 836,029 | |
Motel 6 Trust: | |||
Series 2017-MTL6, Class D, 2.223%, (1 mo. USD LIBOR + 2.15%), 8/15/34(1)(2) | 170 | 170,895 | |
Series 2017-MTL6, Class E, 3.323%, (1 mo. USD LIBOR + 3.25%), 8/15/34(1)(2) | 525 | 528,182 | |
Series 2017-MTL6, Class F, 4.323%, (1 mo. USD LIBOR + 4.25%), 8/15/34(1)(2) | 871 | 876,052 | |
RETL Trust, Series 2019-RVP, Class C, 2.173%, (1 mo. USD LIBOR + 2.10%), 3/15/36(1)(2) | 998 | 997,194 | |
Total Commercial Mortgage-Backed Securities (identified cost $18,355,723) | $ 17,524,015 |
Common Stocks — 0.4% |
Security | Shares | Value | |
Independent Power and Renewable Electricity Producers — 0.4% | |||
NextEra Energy Partners, L.P. | 10,300 | $ 786,508 | |
Total Common Stocks (identified cost $620,410) | $ 786,508 |
Convertible Bonds — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
Technology — 0.4% | |||
ams AG, 0.875%, 9/28/22(7) | $ | 800 | $ 782,684 |
Total Convertible Bonds (identified cost $769,525) | $ 782,684 |
Convertible Preferred Stocks — 0.3% |
Security | Shares | Value | |
Health Care Equipment & Supplies — 0.3% | |||
Becton Dickinson and Co., Series B, 6.00%(8) | 9,300 | $ 497,643 | |
Total Convertible Preferred Stocks (identified cost $512,995) | $ 497,643 |
Corporate Bonds — 32.9% |
Security | Principal Amount (000's omitted) | Value | |
Communications — 3.3% | |||
AT&T, Inc.: | |||
3.10%, 2/1/43 | $ | 407 | $ 399,608 |
3.50%, 9/15/53(1) | 510 | 513,155 | |
3.65%, 6/1/51 | 885 | 921,115 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 1,315 | 1,513,158 | |
Nokia Oyj, 6.625%, 5/15/39 | 750 | 972,881 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 410 | 480,760 | |
SES S.A., 5.30%, 4/4/43(1) | 245 | 287,985 | |
T-Mobile USA, Inc.: | |||
2.25%, 2/15/26(8) | 277 | 279,424 | |
2.625%, 4/15/26 | 412 | 422,294 | |
Ziggo B.V., 5.50%, 1/15/27(1) | 730 | 760,331 | |
$ 6,550,711 | |||
Consumer, Cyclical — 6.6% | |||
American Airlines Pass-Through Trust, 5.25%, 1/15/24 | $ | 85 | $ 83,331 |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 644 | 682,640 | |
5.75%, 4/20/29(1) | 267 | 289,028 | |
Aptiv PLC, 5.40%, 3/15/49 | 737 | 1,000,796 | |
Delta Air Lines, Inc., 3.625%, 3/15/22 | 996 | 1,010,210 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) | 757 | 842,212 | |
Ford Motor Credit Co., LLC: | |||
1.068%, (3 mo. USD LIBOR + 0.88%), 10/12/21(2) | 1,236 | 1,234,485 |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Cyclical (continued) | |||
Ford Motor Credit Co., LLC: (continued) | |||
1.256%, (3 mo. USD LIBOR + 1.08%), 8/3/22(2) | $ | 3,225 | $ 3,213,529 |
3.087%, 1/9/23 | 481 | 491,221 | |
Macy's Retail Holdings, LLC, 3.625%, 6/1/24 | 549 | 563,274 | |
MDC Holdings, Inc., 2.50%, 1/15/31 | 744 | 725,765 | |
Meritage Homes Corp., 3.875%, 4/15/29(1) | 234 | 242,483 | |
Nordstrom, Inc.: | |||
4.25%, 8/1/31(1)(8) | 521 | 543,248 | |
4.375%, 4/1/30(8) | 778 | 811,957 | |
5.00%, 1/15/44 | 713 | 711,728 | |
Tesla, Inc., 5.30%, 8/15/25(1) | 672 | 695,446 | |
$ 13,141,353 | |||
Consumer, Non-cyclical — 3.6% | |||
Ashtead Capital, Inc.: | |||
4.00%, 5/1/28(1) | $ | 441 | $ 464,704 |
4.25%, 11/1/29(1) | 514 | 556,405 | |
Block Financial, LLC, 3.875%, 8/15/30 | 914 | 988,987 | |
Centene Corp.: | |||
3.375%, 2/15/30 | 469 | 490,891 | |
4.25%, 12/15/27 | 897 | 946,335 | |
4.625%, 12/15/29 | 418 | 460,226 | |
Hikma Finance USA, LLC, 3.25%, 7/9/25(7) | 958 | 1,001,269 | |
Kraft Heinz Foods Co., 4.375%, 6/1/46 | 1,376 | 1,561,808 | |
Smithfield Foods, Inc., 5.20%, 4/1/29(1) | 595 | 693,282 | |
$ 7,163,907 | |||
Energy — 1.6% | |||
NuStar Logistics, L.P.: | |||
5.75%, 10/1/25 | $ | 583 | $ 635,773 |
6.375%, 10/1/30 | 440 | 487,364 | |
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | 1,442 | 1,479,737 | |
5.00%, 1/31/28(1) | 481 | 510,721 | |
$ 3,113,595 | |||
Financial — 12.2% | |||
AerCap Holdings N.V., 5.875% to 10/10/24, 10/10/79(9) | $ | 173 | $ 180,602 |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||
4.625%, 10/15/27(8) | 857 | 960,578 | |
6.50%, 7/15/25 | 422 | 495,279 | |
Alliance Data Systems Corp., 4.75%, 12/15/24(1) | 966 | 994,497 | |
American Assets Trust, L.P., 3.375%, 2/1/31 | 960 | 990,299 | |
Banco BTG Pactual S.A., 4.50%, 1/10/25(1) | 1,000 | 1,048,700 | |
BankUnited, Inc., 5.125%, 6/11/30 | 1,093 | 1,275,927 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
BBVA Bancomer S.A./Texas, 5.125% to 1/18/28, 1/18/33(1)(9) | $ | 1,188 | $ 1,241,104 |
Charles Schwab Corp. (The), 4.00% to 6/1/26(9)(10) | 678 | 708,510 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 951 | 977,026 | |
4.10%, 6/15/51 | 352 | 368,580 | |
Citigroup, Inc., 4.00% to 12/10/25(9)(10) | 659 | 682,889 | |
Discover Bank, 4.682% to 8/9/23, 8/9/28(9) | 615 | 653,723 | |
Discover Financial Services, 6.125% to 6/23/25(9)(10) | 264 | 297,251 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 737 | 743,449 | |
6.00%, 4/15/25(1) | 774 | 818,161 | |
Iron Mountain, Inc.: | |||
4.50%, 2/15/31(1)(8) | 876 | 888,045 | |
5.00%, 7/15/28(1) | 650 | 676,748 | |
Macquarie Bank, Ltd.: | |||
3.052% to 3/3/31, 3/3/36(1)(9) | 922 | 918,073 | |
3.624%, 6/3/30(1) | 631 | 668,159 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 1,345 | 1,482,106 | |
OneMain Finance Corp., 3.50%, 1/15/27 | 354 | 357,098 | |
Radian Group, Inc.: | |||
4.875%, 3/15/27 | 1,300 | 1,417,624 | |
6.625%, 3/15/25 | 505 | 570,584 | |
Societe Generale S.A., 4.75% to 5/26/26(1)(9)(10) | 329 | 341,749 | |
Synovus Bank/Columbus, GA, 4.00% to 10/29/25, 10/29/30(9) | 729 | 774,562 | |
Synovus Financial Corp., 5.90% to 2/7/24, 2/7/29(9) | 313 | 339,768 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(9) | 829 | 863,362 | |
Truist Financial Corp., 5.10% to 3/1/30(9)(10) | 868 | 977,585 | |
UBS Group AG, 4.375% to 2/10/31(1)(8)(9)(10) | 534 | 546,923 | |
UniCredit SpA: | |||
5.459% to 6/30/30, 6/30/35(1)(9) | 332 | 362,364 | |
5.861% to 6/19/27, 6/19/32(1)(9) | 500 | 552,720 | |
$ 24,174,045 | |||
Industrial — 2.2% | |||
Flowserve Corp., 3.50%, 10/1/30 | $ | 500 | $ 528,002 |
Hexcel Corp.: | |||
4.20%, 2/15/27 | 740 | 797,053 | |
4.95%, 8/15/25 | 458 | 504,902 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 618 | 636,540 | |
nVent Finance S.a.r.l., 4.55%, 4/15/28 | 925 | 1,017,467 | |
Valmont Industries, Inc., 5.00%, 10/1/44 | 685 | 832,248 | |
$ 4,316,212 | |||
Technology — 1.5% | |||
DXC Technology Co., 4.125%, 4/15/25 | $ | 690 | $ 758,769 |
Security | Principal Amount (000's omitted) | Value | |
Technology (continued) | |||
Seagate HDD Cayman, 5.75%, 12/1/34(8) | $ | 1,170 | $ 1,348,010 |
Western Digital Corp., 4.75%, 2/15/26 | 894 | 994,575 | |
$ 3,101,354 | |||
Utilities — 1.9% | |||
Clearway Energy Operating, LLC, 5.00%, 9/15/26 | $ | 1,570 | $ 1,618,246 |
Engie Energia Chile S.A., 3.40%, 1/28/30(1) | 790 | 812,037 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 1,260 | 1,307,502 | |
$ 3,737,785 | |||
Total Corporate Bonds (identified cost $62,282,394) | $ 65,298,962 |
High Social Impact Investments — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(11)(12) | $ | 500 | $ 490,010 |
Total High Social Impact Investments (identified cost $500,000) | $ 490,010 |
Mutual Funds — 2.8% |
Security | Shares | Value | |
Fixed-Income Mutual Funds — 2.8% | |||
Calvert Floating-Rate Advantage Fund, Class R6(13) | 592,593 | $ 5,629,632 | |
Total Mutual Funds (identified cost $5,255,815) | $ 5,629,632 |
Preferred Stocks — 3.2% |
Security | Shares | Value | |
Mortgage Real Estate Investment Trusts (REITs) — 0.8% | |||
AGNC Investment Corp., Series F, 6.125% to 4/15/25(9) | 60,687 | $ 1,520,209 | |
$ 1,520,209 | |||
Oil, Gas & Consumable Fuels — 0.7% | |||
NuStar Energy, L.P., Series B, 7.625% to 6/15/22(9) | 66,479 | $ 1,469,851 | |
$ 1,469,851 |
Security | Shares | Value | |
Real Estate Management & Development — 1.0% | |||
Brookfield Property Partners, L.P., Series A, 5.75% | 78,480 | $ 1,959,646 | |
$ 1,959,646 | |||
Wireless Telecommunication Services — 0.7% | |||
United States Cellular Corp.: | |||
5.50% (8) | 28,650 | $ 750,343 | |
6.25% | 27,000 | 738,990 | |
$ 1,489,333 | |||
Total Preferred Stocks (identified cost $6,012,556) | $ 6,439,039 |
Senior Floating-Rate Loans — 4.9%(14) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Air Transport — 0.6% | |||
SkyMiles IP, Ltd., Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), 10/20/27 | $ | 1,100 | $ 1,163,112 |
$ 1,163,112 | |||
Building and Development — 0.2% | |||
Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | $ | 341 | $ 338,916 |
$ 338,916 | |||
Business Equipment and Services — 0.3% | |||
CCC Information Services, Inc., Term Loan, 4/29/24(15) | $ | 500 | $ 500,536 |
$ 500,536 | |||
Cable and Satellite Television — 0.4% | |||
CSC Holdings, LLC, Term Loan, 2.323%, (1 mo. USD LIBOR + 2.25%), 7/17/25 | $ | 549 | $ 542,743 |
UPC Financing Partnership, Term Loan, 3.073%, (1 mo. USD LIBOR + 3.00%), 1/31/29 | 300 | 298,562 | |
$ 841,305 | |||
Drugs — 0.2% | |||
PPD, Inc., Term Loan, 2.75%, (1 mo. USD LIBOR + 2.25%, Floor 0.50%), 1/13/28 | $ | 499 | $ 498,719 |
$ 498,719 | |||
Electronics/Electrical — 1.2% | |||
Banff Merger Sub, Inc., Term Loan, 3.854%, (1 mo. USD LIBOR + 3.75%), 10/2/25 | $ | 448 | $ 445,417 |
Hyland Software, Inc., Term Loan, 4.25%, (1 mo. USD LIBOR + 3.50%, Floor 0.75%), 7/1/24 | 712 | 714,537 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Electronics/Electrical (continued) | |||
MA FinanceCo., LLC, Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | $ | 61 | $ 59,894 |
Seattle Spinco, Inc., Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 408 | 404,482 | |
SS&C European Holdings S.a.r.l., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 130 | 129,036 | |
SS&C Technologies, Inc., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 174 | 172,579 | |
Ultimate Software Group, Inc. (The), Term Loan, 3.854%, (1 mo. USD LIBOR + 3.75%), 5/4/26 | 502 | 503,039 | |
$ 2,428,984 | |||
Equipment Leasing — 0.1% | |||
Avolon TLB Borrower 1 (US), LLC, Term Loan, 2.50%, (1 mo. USD LIBOR + 1.75%, Floor 0.75%), 1/15/25 | $ | 175 | $ 175,114 |
$ 175,114 | |||
Health Care — 0.5% | |||
Change Healthcare Holdings, LLC, Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 3/1/24 | $ | 498 | $ 497,666 |
Select Medical Corporation, Term Loan, 2.36%, (1 mo. USD LIBOR + 2.25%), 3/6/25 | 550 | 547,079 | |
$ 1,044,745 | |||
Insurance — 0.7% | |||
Asurion, LLC: | |||
Term Loan, 3.104%, (1 mo. USD LIBOR + 3.00%), 11/3/23 | $ | 628 | $ 625,473 |
Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | 299 | 295,445 | |
USI, Inc., Term Loan, 3.147%, (3 mo. USD LIBOR + 3.00%), 5/16/24 | 501 | 497,158 | |
$ 1,418,076 | |||
Leisure Goods/Activities/Movies — 0.1% | |||
Bombardier Recreational Products, Inc., Term Loan, 2.104%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | $ | 136 | $ 135,117 |
$ 135,117 | |||
Telecommunications — 0.6% | |||
CenturyLink, Inc., Term Loan, 2.354%, (1 mo. USD LIBOR + 2.25%), 3/15/27 | $ | 511 | $ 505,508 |
Level 3 Financing, Inc., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 142 | 139,818 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Telecommunications (continued) | |||
Ziggo Financing Partnership, Term Loan, 2.573%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | $ | 510 | $ 505,679 |
$ 1,151,005 | |||
Total Senior Floating-Rate Loans (identified cost $9,710,274) | $ 9,695,629 |
Sovereign Government Bonds — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
Kreditanstalt fuer Wiederaufbau, 1.25%, 8/28/23 | NOK | 6,040 | $ 707,549 |
Total Sovereign Government Bonds (identified cost $661,226) | $ 707,549 |
U.S. Treasury Obligations — 4.6% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bond, 1.875%, 2/15/51 | $ | 2,237 | $ 2,135,636 |
U.S. Treasury Inflation-Protected Note, 0.75%, 7/15/28(16) | 1,716 | 1,969,732 | |
U.S. Treasury Notes: | |||
0.125%, 6/30/22 | 1,653 | 1,653,470 | |
0.375%, 3/31/22 | 1,649 | 1,652,669 | |
1.625%, 12/31/21 | 1,628 | 1,640,696 | |
Total U.S. Treasury Obligations (identified cost $8,693,673) | $ 9,052,203 |
Short-Term Investments — 17.1% | |||
Affiliated Fund — 15.1% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.07%(17) | 29,982,799 | $ 29,982,799 | |
Total Affiliated Fund (identified cost $29,982,824) | $ 29,982,799 | ||
Securities Lending Collateral — 2.0% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.02%(18) | 3,927,661 | $ 3,927,661 | |
Total Securities Lending Collateral (identified cost $3,927,661) | $ 3,927,661 | ||
Total Short-Term Investments (identified cost $33,910,485) | $ 33,910,460 | ||
Total Investments — 101.6% (identified cost $197,087,375) | $201,722,256 | ||
Other Assets, Less Liabilities — (1.6)% | $ (3,130,329) | ||
Net Assets — 100.0% | $ 198,591,927 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At June 30, 2021, the aggregate value of these securities is $83,700,319 or 42.1% of the Fund's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at June 30, 2021. |
(3) | Step coupon security. Interest rate represents the rate in effect at June 30, 2021. |
(4) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at June 30, 2021. |
(5) | When-issued, variable rate security whose interest rate will be determined after June 30, 2021. |
(6) | Represents an investment in an issuer that may be deemed to be an affiliate effective March 1, 2021 (see Note 8). |
(7) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At June 30, 2021, the aggregate value of these securities is $1,783,953 or 0.9% of the Fund's net assets. |
(8) | All or a portion of this security was on loan at June 30, 2021. The aggregate market value of securities on loan at June 30, 2021 was $4,899,722. |
(9) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(10) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(11) | May be deemed to be an affiliated company (see Note 8). |
(12) | Restricted security. Total market value of restricted securities amounts to $490,010, which represents 0.2% of the net assets of the Fund as of June 30, 2021. |
(13) | Affiliated fund (see Note 8). |
(14) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate ("LIBOR") and secondarily, the prime rate offered by one or more major United States banks (the "Prime Rate"). Base lending rates may be subject to a floor, or minimum rate. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(15) | This Senior Loan will settle after June 30, 2021, at which time the interest rate will be determined. |
(16) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(17) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2021. |
(18) | Represents investment of cash collateral received in connection with securities lending. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 10-Year Treasury Note | (3) | Short | 9/21/21 | $ (397,500) | $ (2,302) |
U.S. Long Treasury Bond | (11) | Short | 9/21/21 | (1,768,250) | (55,880) |
U.S. Ultra 10-Year Treasury Note | (135) | Short | 9/21/21 | (19,872,422) | (348,293) |
U.S. Ultra-Long Treasury Bond | (74) | Short | 9/21/21 | (14,258,875) | (691,579) |
$(1,098,054) |
Description | Acquisition Date | Cost |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23 | 12/14/20 | $500,000 |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
Currency Abbreviations: | |
NOK | – Norwegian Krone |
USD | – United States Dollar |
June 30, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $157,813,296) - including $4,899,722 of securities on loan | $ 162,338,350 |
Investments in securities of affiliated issuers, at value (identified cost $39,274,079) | 39,383,906 |
Cash | 1,004,514 |
Deposits at broker for futures contracts | 900,000 |
Receivable for investments sold | 607,125 |
Receivable for capital shares sold | 768,435 |
Dividends and interest receivable | 932,426 |
Dividends and interest receivable - affiliated | 27,366 |
Securities lending income receivable | 1,191 |
Tax reclaims receivable | 13 |
Trustees' deferred compensation plan | 126,616 |
Total assets | $206,089,942 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 156,537 |
Payable for investments purchased | 500,625 |
Payable for when-issued securities | 2,243,368 |
Payable for capital shares redeemed | 356,354 |
Distributions payable | 24,316 |
Deposits for securities loaned | 3,927,661 |
Payable to affiliates: | |
Investment advisory fee | 57,127 |
Administrative fee | 19,587 |
Distribution and service fees | 6,313 |
Sub-transfer agency fee | 1,427 |
Trustees' deferred compensation plan | 126,616 |
Other | 1,288 |
Accrued expenses | 76,796 |
Total liabilities | $ 7,498,015 |
Net Assets | $198,591,927 |
Sources of Net Assets | |
Paid-in capital | $ 192,132,785 |
Distributable earnings | 6,459,142 |
Total | $198,591,927 |
Class A Shares | |
Net Assets | $ 25,883,492 |
Shares Outstanding | 1,656,333 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 15.63 |
Maximum Offering Price Per Share (100 ÷ 96.25 of net asset value per share) | $ 16.24 |
Class C Shares | |
Net Assets | $ 1,250,211 |
Shares Outstanding | 79,956 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 15.64 |
June 30, 2021 | |
Class I Shares | |
Net Assets | $138,316,283 |
Shares Outstanding | 8,874,512 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 15.59 |
Class R6 Shares | |
Net Assets | $ 33,141,941 |
Shares Outstanding | 2,125,884 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 15.59 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
June 30, 2021 | |
Investment Income | |
Dividend income | $ 267,401 |
Dividend income - affiliated issuers | 121,948 |
Interest and other income | 2,965,844 |
Interest income - affiliated issuers | 34,408 |
Securities lending income, net | 7,503 |
Total investment income | $ 3,397,104 |
Expenses | |
Investment advisory fee | $ 356,082 |
Administrative fee | 122,085 |
Distribution and service fees: | |
Class A | 31,062 |
Class C | 5,624 |
Trustees' fees and expenses | 4,891 |
Custodian fees | 5,294 |
Transfer agency fees and expenses | 87,227 |
Accounting fees | 22,973 |
Professional fees | 19,645 |
Registration fees | 37,426 |
Reports to shareholders | 4,523 |
Miscellaneous | 24,492 |
Total expenses | $ 721,324 |
Waiver and/or reimbursement of expenses by affiliate | $ (26,089) |
Net expenses | $ 695,235 |
Net investment income | $ 2,701,869 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 1,575,235 |
Investment securities - affiliated issuers | (1,967) |
Futures contracts | 2,720,540 |
Foreign currency transactions | (2,855) |
Forward foreign currency exchange contracts | (6,702) |
Net realized gain | $ 4,284,251 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 1,079,629 |
Investment securities - affiliated issuers | 73,704 |
Futures contracts | (1,230,050) |
Foreign currency | (2,825) |
Forward foreign currency exchange contracts | 14,107 |
Net change in unrealized appreciation (depreciation) | $ (65,435) |
Net realized and unrealized gain | $ 4,218,816 |
Net increase in net assets from operations | $ 6,920,685 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 2,701,869 | $ 6,032,794 |
Net realized gain (loss) | 4,284,251 | (827,600) |
Net change in unrealized appreciation (depreciation) | (65,435) | 1,256,268 |
Net increase in net assets from operations | $ 6,920,685 | $ 6,461,462 |
Distributions to shareholders: | ||
Class A | $ (300,605) | $ (630,250) |
Class C | (9,368) | (23,523) |
Class I | (1,949,710) | (4,177,831) |
Class R6 | (427,028) | (1,090,151) |
Total distributions to shareholders | $ (2,686,711) | $ (5,921,755) |
Tax return of capital to shareholders: | ||
Class A | $ — | $ (17,904) |
Class C | — | (668) |
Class I | — | (118,686) |
Class R6 | — | (30,970) |
Total tax return of capital to shareholders | $ — | $ (168,228) |
Capital share transactions: | ||
Class A | $ 1,677,918 | $ (3,153,558) |
Class C | 4,138 | 185,726 |
Class I | (14,125,887) | 16,731,556 |
Class R6 | 2,407,864 | (10,848,498) |
Net increase (decrease) in net assets from capital share transactions | $ (10,035,967) | $ 2,915,226 |
Net increase (decrease) in net assets | $ (5,801,993) | $ 3,286,705 |
Net Assets | ||
At beginning of period | $ 204,393,920 | $ 201,107,215 |
At end of period | $198,591,927 | $204,393,920 |
Class A | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 15.31 | $ 15.15 | $ 14.64 | $ 15.07 | $ 15.08 | $ 14.78 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.19 | $ 0.40 | $ 0.46 | $ 0.44 | $ 0.37 | $ 0.49 |
Net realized and unrealized gain (loss) | 0.32 | 0.16 | 0.52 | (0.42) | 0.11 | 0.42 |
Total income from operations | $ 0.51 | $ 0.56 | $ 0.98 | $ 0.02 | $ 0.48 | $ 0.91 |
Less Distributions | ||||||
From net investment income | $ (0.19) | $ (0.39) | $ (0.47) | $ (0.45) | $ (0.37) | $ (0.48) |
From net realized gain | — | — | — | — | (0.12) | (0.13) |
Tax return of capital | — | (0.01) | — | — | — | — |
Total distributions | $ (0.19) | $ (0.40) | $ (0.47) | $ (0.45) | $ (0.49) | $ (0.61) |
Net asset value — End of period | $ 15.63 | $ 15.31 | $ 15.15 | $ 14.64 | $ 15.07 | $ 15.08 |
Total Return(2) | 3.32% (3) | 3.86% | 6.76% | 0.12% | 3.21% | 6.24% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $25,883 | $23,704 | $26,711 | $24,045 | $15,220 | $17,022 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.93% (5) | 0.93% | 0.96% | 0.93% | 1.09% | 1.20% |
Net expenses | 0.91% (5) | 0.92% | 0.94% | 0.93% | 1.08% | 1.10% |
Net investment income | 2.43% (5) | 2.70% | 3.05% | 2.96% | 2.41% | 3.30% |
Portfolio Turnover | 41% (3)(6) | 104% (6) | 87% | 88% | 111% | 104% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | 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. |
(5) | Annualized. |
(6) | Includes the effect of To Be Announced (TBA) transactions. |
Class C | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 15.32 | $ 15.16 | $ 14.65 | $ 15.08 | $ 15.09 | $ 14.79 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.13 | $ 0.29 | $ 0.35 | $ 0.33 | $ 0.26 | $ 0.38 |
Net realized and unrealized gain (loss) | 0.32 | 0.16 | 0.52 | (0.42) | 0.10 | 0.42 |
Total income (loss) from operations | $ 0.45 | $ 0.45 | $ 0.87 | $ (0.09) | $ 0.36 | $ 0.80 |
Less Distributions | ||||||
From net investment income | $ (0.13) | $ (0.28) | $ (0.36) | $ (0.34) | $ (0.25) | $ (0.37) |
From net realized gain | — | — | — | — | (0.12) | (0.13) |
Tax return of capital | — | (0.01) | — | — | — | — |
Total distributions | $ (0.13) | $ (0.29) | $ (0.36) | $ (0.34) | $ (0.37) | $ (0.50) |
Net asset value — End of period | $15.64 | $15.32 | $15.16 | $14.65 | $15.08 | $15.09 |
Total Return(2) | 2.93% (3) | 3.08% | 6.03% | (0.68)% | 2.41% | 5.46% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 1,250 | $ 1,223 | $ 1,031 | $ 934 | $ 649 | $ 1,126 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 1.69% (5) | 1.68% | 1.71% | 1.68% | 3.42% | 3.33% |
Net expenses | 1.66% (5) | 1.67% | 1.70% | 1.68% | 1.84% | 1.85% |
Net investment income | 1.68% (5) | 1.95% | 2.30% | 2.20% | 1.69% | 2.57% |
Portfolio Turnover | 41% (3)(6) | 104% (6) | 87% | 88% | 111% | 104% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | 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. |
(5) | Annualized. |
(6) | Includes the effect of To Be Announced (TBA) transactions. |
Class I | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 15.27 | $ 15.11 | $ 14.60 | $ 15.02 | $ 15.04 | $ 14.74 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.21 | $ 0.43 | $ 0.50 | $ 0.48 | $ 0.43 | $ 0.56 |
Net realized and unrealized gain (loss) | 0.32 | 0.17 | 0.52 | (0.41) | 0.10 | 0.42 |
Total income from operations | $ 0.53 | $ 0.60 | $ 1.02 | $ 0.07 | $ 0.53 | $ 0.98 |
Less Distributions | ||||||
From net investment income | $ (0.21) | $ (0.43) | $ (0.51) | $ (0.49) | $ (0.43) | $ (0.55) |
From net realized gain | — | — | — | — | (0.12) | (0.13) |
Tax return of capital | — | (0.01) | — | — | — | — |
Total distributions | $ (0.21) | $ (0.44) | $ (0.51) | $ (0.49) | $ (0.55) | $ (0.68) |
Net asset value — End of period | $ 15.59 | $ 15.27 | $ 15.11 | $ 14.60 | $ 15.02 | $ 15.04 |
Total Return(2) | 3.45% (3) | 4.12% | 7.06% | 0.43% | 3.59% | 6.73% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $138,316 | $149,364 | $132,062 | $119,207 | $93,868 | $54,389 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.68% (5) | 0.68% | 0.71% | 0.68% | 0.70% | 0.68% |
Net expenses | 0.66% (5) | 0.67% | 0.67% | 0.65% | 0.65% | 0.65% |
Net investment income | 2.68% (5) | 2.95% | 3.32% | 3.22% | 2.82% | 3.76% |
Portfolio Turnover | 41% (3)(6) | 104% (6) | 87% | 88% | 111% | 104% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | 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. |
(5) | Annualized. |
(6) | Includes the effect of To Be Announced (TBA) transactions. |
Class R6 | |||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | Period Ended December 31, | |
2020 | 2019 (1) | ||
Net asset value — Beginning of period | $ 15.27 | $ 15.11 | $ 15.00 |
Income (Loss) From Operations | |||
Net investment income | $ 0.21(2) | $ 0.44(2) | $ 0.33 |
Net realized and unrealized gain | 0.32 | 0.17 | 0.11 |
Total income from operations | $ 0.53 | $ 0.61 | $ 0.44 |
Less Distributions | |||
From net investment income | $ (0.21) | $ (0.44) | $ (0.33) |
From return of capital | — | (0.01) | — |
Total distributions | $ (0.21) | $ (0.45) | $ (0.33) |
Net asset value — End of period | $ 15.59 | $ 15.27 | $ 15.11 |
Total Return(3) | 3.49% (4) | 4.20% | 2.97% (4) |
Ratios/Supplemental Data | |||
Net assets, end of period (000’s omitted) | $33,142 | $30,102 | $41,304 |
Ratios (as a percentage of average daily net assets):(5) | |||
Total expenses | 0.62% (6) | 0.60% | 0.61% (6) |
Net expenses | 0.59% (6) | 0.59% | 0.61% (6) |
Net investment income | 2.76% (6) | 3.05% | 3.27% (6) |
Portfolio Turnover | 41% (4)(7) | 104% (7) | 87% (8) |
(1) | For the period from the commencement of operations, May 1, 2019, to December 31, 2019. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | 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. |
(6) | Annualized. |
(7) | Includes the effect of To Be Announced (TBA) transactions. |
(8) | For the year ended December 31, 2019. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 36,624,242 | $ — | $ 36,624,242 |
Collateralized Mortgage Obligations | — | 14,283,680 | — | 14,283,680 |
Commercial Mortgage-Backed Securities | — | 17,524,015 | — | 17,524,015 |
Common Stocks | 786,508 (1) | — | — | 786,508 |
Convertible Bonds | — | 782,684 | — | 782,684 |
Convertible Preferred Stocks | 497,643 | — | — | 497,643 |
Corporate Bonds | — | 65,298,962 | — | 65,298,962 |
High Social Impact Investments | — | 490,010 | — | 490,010 |
Mutual Funds | 5,629,632 | — | — | 5,629,632 |
Preferred Stocks | 6,439,039 | — | — | 6,439,039 |
Senior Floating-Rate Loans | — | 9,695,629 | — | 9,695,629 |
Sovereign Government Bonds | — | 707,549 | — | 707,549 |
U.S. Treasury Obligations | — | 9,052,203 | — | 9,052,203 |
Short-Term Investments: | ||||
Affiliated Fund | — | 29,982,799 | — | 29,982,799 |
Securities Lending Collateral | 3,927,661 | — | — | 3,927,661 |
Total Investments | $17,280,483 | $184,441,773 | $ — | $201,722,256 |
Liability Description | ||||
Futures Contracts | $ (1,098,054) | $ — | $ — | $ (1,098,054) |
Total | $ (1,098,054) | $ — | $ — | $ (1,098,054) |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Aggregate cost | $197,188,731 |
Gross unrealized appreciation | $ 5,959,888 |
Gross unrealized depreciation | (2,524,417) |
Net unrealized appreciation | $ 3,435,471 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $ — | $(1,098,054) (1) |
(1) | Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Statement of Operations Caption | Foreign exchange | Interest rate | Total |
Net realized gain (loss): | |||
Investment securities(1) | $ — | $ 86,233 | $ 86,233 |
Forward foreign currency exchange contracts | (6,702) | — | (6,702) |
Futures contracts | — | 2,720,540 | 2,720,540 |
Total | $ (6,702) | $ 2,806,773 | $ 2,800,071 |
Change in unrealized appreciation (depreciation): | |||
Forward foreign currency exchange contracts | $ 14,107 | $ — | $ 14,107 |
Futures contracts | — | (1,230,050) | (1,230,050) |
Total | $14,107 | $(1,230,050) | $(1,215,943) |
(1) | Relates to purchased options. |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* |
$3,570,000 | $33,864,000 | $437,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Convertible Preferred Stocks | $ 243,756 | $ — | $ — | $ — | $ 243,756 |
Corporate Bonds | 2,932,285 | — | — | — | 2,932,285 |
Preferred Stocks | 751,620 | — | — | — | 751,620 |
Total | $3,927,661 | $ — | $ — | $ — | $3,927,661 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Shares/Units, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2019-BPR, Class B, 2.173%, (1 mo. USD LIBOR + 2.10%), 5/15/36(1) | $ — | $ — | $ — | $ — | $ 20,653 | $ 2,445,436 | $ 20,374 | $ 2,621,000 |
Series 2019-BPR, Class C, 3.123%, (1 mo. USD LIBOR + 3.05%), 5/15/36(1) | — | — | — | — | 13,336 | 836,029 | 10,284 | 960,000 |
High Social Impact Investments | ||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(2) | 481,990 | — | — | — | 8,020 | 490,010 | 3,750 | 500,000 |
Mutual Funds | ||||||||
Calvert Floating-Rate Advantage Fund, Class R6 | 5,141,432 | 456,480 | — | — | 31,720 | 5,629,632 | 107,833 | 592,593 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Shares/Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $28,060,227 | $73,828,018 | $(71,903,454) | $ (1,967) | $ (25) | $ 29,982,799 | $ 14,115 | 29,982,799 |
Totals | $(1,967) | $73,704 | $39,383,906 | $156,356 |
(1) | May be deemed to be an affiliated issuer as of March 1, 2021 (see Note 2). |
(2) | Restricted security. |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 351,240 | $ 5,456,830 | 778,445 | $ 11,348,973 | |
Reinvestment of distributions | 17,206 | 267,679 | 35,821 | 525,103 | |
Shares redeemed | (261,364) | (4,062,114) | (1,031,025) | (15,054,899) | |
Converted from Class C | 995 | 15,523 | 1,818 | 27,265 | |
Net increase (decrease) | 108,077 | $ 1,677,918 | (214,941) | $ (3,153,558) | |
Class C | |||||
Shares sold | 17,862 | $ 278,469 | 31,309 | $ 469,806 | |
Reinvestment of distributions | 559 | 8,700 | 1,544 | 22,597 | |
Shares redeemed | (17,323) | (267,508) | (19,232) | (279,412) | |
Converted to Class A | (995) | (15,523) | (1,817) | (27,265) | |
Net increase | 103 | $ 4,138 | 11,804 | $ 185,726 | |
Class I | |||||
Shares sold | 2,761,890 | $ 42,803,001 | 5,980,100 | $ 87,206,665 | |
Reinvestment of distributions | 117,914 | 1,829,127 | 276,317 | 4,031,132 | |
Shares redeemed | (3,786,448) | (58,758,015) | (5,215,987) | (74,506,241) | |
Net increase (decrease) | (906,644) | $(14,125,887) | 1,040,430 | $ 16,731,556 | |
Class R6 | |||||
Shares sold | 153,132 | $ 2,378,521 | 265,036 | $ 3,973,834 | |
Reinvestment of distributions | 27,518 | 427,009 | 76,993 | 1,121,121 | |
Shares redeemed | (25,647) | (397,666) | (1,104,495) | (15,943,453) | |
Net increase (decrease) | 155,003 | $ 2,407,864 | (762,466) | $(10,848,498) |
Number of Shares(1) | ||||
For | Against | Abstain (2) | Broker Non-Votes(2) | |
7,818,377.482 | 29,603.114 | 309,343.834 | 0 |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Trustees |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Trustee and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
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% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 08/23/1983 | 08/23/1983 | (0.02)% | 2.17% | 2.50% | 3.44% |
Class A with 3.75% Maximum Sales Charge | — | — | (3.79) | (1.68) | 1.72 | 3.04 |
Class C at NAV | 07/15/2015 | 08/23/1983 | (0.33) | 1.47 | 1.76 | 2.98 |
Class C with 1% Maximum Sales Charge | — | — | (1.33) | 0.47 | 1.76 | 2.98 |
Class I at NAV | 07/15/2015 | 08/23/1983 | 0.11 | 2.42 | 2.82 | 3.63 |
Bloomberg Barclays Municipal Bond Index | — | — | 1.06% | 4.17% | 3.25% | 4.28% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
Gross | 0.88% | 1.62% | 0.63% |
Net | 0.75 | 1.50 | 0.50 |
% SEC Yield4 | Class A | Class C | Class I |
SEC 30-day Yield - Subsidized | 0.31% | (0.41)% | 0.57% |
SEC 30-day Yield - Unsubsidized | 0.21 | (0.53) | 0.46 |
![](https://capedge.com/proxy/N-CSRS/0001193125-21-254922/g188209img079578b63.jpg)
1 | Bloomberg Barclays Municipal Bond Index is an unmanaged index of municipal bonds traded in the U.S. 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 C and Class I is linked to Class A. Performance presented in the Financial Highlights included in the financial statements is not linked.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/22. 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. | |
Important Notice to Shareholders | |
Effective August 24, 2021, the Bloomberg Barclays fixed income indices will be rebranded as Bloomberg indices. |
Beginning Account Value (1/1/21) | Ending Account Value (6/30/21) | Expenses Paid During Period* (1/1/21 – 6/30/21) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 999.80 | $3.72 ** | 0.75% |
Class C | $1,000.00 | $ 996.70 | $7.43 ** | 1.50% |
Class I | $1,000.00 | $1,001.10 | $2.48 ** | 0.50% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,021.08 | $3.76 ** | 0.75% |
Class C | $1,000.00 | $1,017.36 | $7.50 ** | 1.50% |
Class I | $1,000.00 | $1,022.32 | $2.51 ** | 0.50% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2020. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Corporate Bonds — 2.6% |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Non-cyclical — 0.9% | |||
Conservation Fund (The), Green Bonds, 3.474%, 12/15/29 | $ | 3,493 | $ 3,741,899 |
$ 3,741,899 | |||
Industrial — 0.7% | |||
Nature Conservancy (The): | |||
Series A, 0.794%, 7/1/25 | $ | 1,450 | $ 1,423,708 |
Series A, 0.944%, 7/1/26 | 1,285 | 1,263,536 | |
$ 2,687,244 | |||
Other Revenue — 1.0% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | $ | 4,000 | $ 4,107,626 |
$ 4,107,626 | |||
Total Corporate Bonds (identified cost $10,304,977) | $ 10,536,769 |
Tax-Exempt Mortgage-Backed Securities — 1.2% |
Security | Principal Amount (000's omitted) | Value | |
Housing — 1.2% | |||
California Housing Finance Agency, Municipal Certificates, Series 2021-1, Class A, 3.50%, 11/20/35 | $ | 2,616 | $ 3,064,976 |
Washington Housing Finance Commission, Municipal Certificates, Series 2021-1, Class A, 3.50%, 12/20/35 | 1,638 | 1,912,523 | |
Total Tax-Exempt Mortgage-Backed Securities (identified cost $4,803,456) | $ 4,977,499 |
Tax-Exempt Municipal Obligations — 92.0% |
Security | Principal Amount (000's omitted) | Value | |
Bond Bank — 16.4% | |||
California Infrastructure and Economic Development Bank, (Clean Water State Revolving Fund), Green Bonds, 5.00%, 10/1/31 | $ | 1,000 | $ 1,270,620 |
Connecticut, (Revolving Fund): | |||
Green Bonds, 4.00%, 2/1/37 | 3,000 | 3,595,560 | |
Green Bonds, 5.00%, 5/1/34 | 1,140 | 1,401,106 | |
Illinois Finance Authority, (Clean Water Initiative Revolving Fund): | |||
Green Bonds, 5.00%, 1/1/28 | 8,000 | 10,167,360 | |
5.00%, 7/1/32 | 1,500 | 1,839,090 |
Security | Principal Amount (000's omitted) | Value | |
Bond Bank (continued) | |||
Indiana Finance Authority, (Revolving Fund): | |||
Green Bonds, 5.00%, 2/1/29 | $ | 2,000 | $ 2,443,000 |
Green Bonds, Series 2018A, 5.00%, 2/1/25 | 2,510 | 2,925,254 | |
Green Bonds, Series 2019E, 5.00%, 2/1/25 | 1,920 | 2,237,645 | |
Iowa Finance Authority, (State Revolving Fund): | |||
Green Bonds, 5.00%, 8/1/27 | 1,805 | 2,274,228 | |
Green Bonds, 5.00%, 8/1/28 | 1,425 | 1,841,585 | |
Green Bonds, 5.00%, 8/1/29 | 875 | 1,156,584 | |
Green Bonds, 5.00%, 8/1/35 | 1,500 | 1,911,480 | |
Michigan Finance Authority, (Clean Water Revolving Fund): | |||
3.00%, 10/1/36 | 1,500 | 1,705,845 | |
3.00%, 10/1/37 | 1,390 | 1,577,455 | |
New Mexico Finance Authority, (Senior Lien Public Project Revolving Fund): | |||
5.00%, 6/1/25 | 2,015 | 2,374,093 | |
5.00%, 6/1/26 | 1,595 | 1,941,227 | |
Oklahoma Water Resources Board: | |||
4.00%, 10/1/31 | 120 | 150,010 | |
4.00%, 10/1/32 | 430 | 535,935 | |
4.00%, 10/1/34 | 150 | 186,165 | |
Rhode Island Infrastructure Bank, (Safe Drinking Water Revolving Fund), Green Bonds, 4.00%, 10/1/34 | 2,650 | 3,241,877 | |
Texas Water Development Board, (Revolving Fund): | |||
4.00%, 8/1/34 | 5,000 | 6,196,200 | |
4.00%, 8/1/37 | 2,750 | 3,384,727 | |
Texas Water Development Board, (State Water Implementation Revenue Fund), 5.00%, 10/15/27 | 2,500 | 3,163,600 | |
Wisconsin, Environmental Improvement Fund Revenue: | |||
Green Bonds, 5.00%, 6/1/34 | 1,295 | 1,689,871 | |
Green Bonds, 5.00%, 6/1/37 | 5,035 | 6,520,577 | |
$ 65,731,094 | |||
Education — 10.7% | |||
Adams County General Authority, PA, (Gettysburg College): | |||
5.00%, 8/15/27 | $ | 1,330 | $ 1,648,615 |
5.00%, 8/15/29 | 1,720 | 2,210,114 | |
Arizona State University: | |||
4.00%, 7/1/42 | 1,500 | 1,797,000 | |
Green Bonds, 5.00%, 7/1/39 | 2,000 | 2,566,040 | |
Green Bonds, 5.00%, 7/1/41 | 3,000 | 3,499,140 | |
Build NYC Resource Corp., NY, (Academic Leadership Charter School): | |||
4.00%, 6/15/22 | 100 | 103,274 | |
4.00%, 6/15/23 | 100 | 106,596 | |
4.00%, 6/15/24 | 120 | 131,575 | |
4.00%, 6/15/25 | 110 | 123,528 |
Security | Principal Amount (000's omitted) | Value | |
Education (continued) | |||
Build NYC Resource Corp., NY, (Academic Leadership Charter School): (continued) | |||
4.00%, 6/15/26 | $ | 110 | $ 125,822 |
4.00%, 6/15/27 | 80 | 93,030 | |
4.00%, 6/15/28 | 125 | 147,476 | |
4.00%, 6/15/30 | 100 | 116,152 | |
4.00%, 6/15/31 | 100 | 115,653 | |
California Educational Facilities Authority, (Loyola Marymount University): | |||
Green Bonds, 5.00%, 10/1/33 | 920 | 1,153,238 | |
Green Bonds, 5.00%, 10/1/36 | 765 | 951,668 | |
Green Bonds, 5.00%, 10/1/38 | 730 | 904,448 | |
Colorado State University: | |||
4.00%, 3/1/26 | 210 | 243,298 | |
5.00%, 3/1/27 | 225 | 279,106 | |
District of Columbia, (Gallaudet University): | |||
Social Bonds, 5.00%, 4/1/26 | 300 | 359,955 | |
Social Bonds, 5.00%, 4/1/27 | 300 | 370,137 | |
Social Bonds, 5.00%, 4/1/28 | 325 | 410,498 | |
Social Bonds, 5.00%, 4/1/29 | 300 | 386,148 | |
Social Bonds, 5.00%, 4/1/30 | 300 | 392,679 | |
Social Bonds, 5.00%, 4/1/31 | 325 | 433,732 | |
District of Columbia, (Rocketship DC Obligated Group): | |||
5.00%, 6/1/29(1) | 360 | 421,301 | |
5.00%, 6/1/31(1) | 1,000 | 1,221,830 | |
Georgia Private Colleges and Universities Authority, (Emory University), 5.00%, 9/1/33 | 500 | 651,085 | |
Grand Valley State University, MI, 5.00%, 12/1/33 | 1,000 | 1,176,800 | |
Indiana Finance Authority, (Butler University), 5.00%, 2/1/31 | 1,130 | 1,240,616 | |
Ivy Tech Community College, IN: | |||
5.00%, 7/1/28 | 1,575 | 2,010,393 | |
5.00%, 7/1/29 | 925 | 1,202,213 | |
Kansas Development Finance Authority, (Wichita State University), 3.00%, 6/1/31 | 1,925 | 2,111,475 | |
Kentucky Bond Development Corp., (Transylvania University): | |||
2.00%, 3/1/23 | 160 | 163,338 | |
5.00%, 3/1/27 | 80 | 96,225 | |
5.00%, 3/1/28 | 100 | 122,873 | |
5.00%, 3/1/29 | 155 | 194,007 | |
Los Ranchos de Albuquerque, NM, (Albuquerque Academy): | |||
5.00%, 9/1/27 | 350 | 419,244 | |
5.00%, 9/1/28 | 225 | 274,331 | |
5.00%, 9/1/29 | 400 | 495,180 | |
Louisiana Public Facilities Authority, (Loyola University), 5.00%, 10/1/26(2) | 215 | 261,950 |
Security | Principal Amount (000's omitted) | Value | |
Education (continued) | |||
Massachusetts School Building Authority, Social Bonds, 5.00%, 8/15/35 | $ | 1,500 | $ 1,990,740 |
Miami University, OH: | |||
5.00%, 9/1/24 | 600 | 688,986 | |
5.00%, 9/1/27 | 730 | 918,303 | |
Monroe County Industrial Development Corp., NY, (True North Rochester Preparatory Charter School), 5.00%, 6/1/40(1) | 670 | 790,680 | |
Montgomery County Industrial Development Authority, PA, (Germantown Academy), 4.00%, 10/1/36(2) | 450 | 508,212 | |
New York Dormitory Authority, (Cornell University), Green Bonds, 5.00%, 7/1/26 | 500 | 611,475 | |
Ohio State University, 5.00%, 12/1/29 | 1,915 | 2,536,513 | |
Pennsylvania Higher Educational Facilities Authority, (State System of Higher Education), 4.00%, 6/15/36 | 1,550 | 1,749,175 | |
University of Arizona, Green Bonds, 5.00%, 6/1/42 | 2,000 | 2,375,720 | |
$ 42,901,587 | |||
Electric Utilities — 1.2% | |||
Mesa, AZ, Utility Systems Revenue, 5.00%, 7/1/31 | $ | 1,000 | $ 1,266,320 |
Southern California Public Power Authority, Green Bonds, 5.00%, 7/1/30 | 1,500 | 1,666,965 | |
Trinity Public Utilities District Authority, CA, Green Bonds, 4.00%, 4/1/29 | 1,120 | 1,289,624 | |
Utah Associated Municipal Power Systems, 5.00%, 9/1/30 | 655 | 807,084 | |
$ 5,029,993 | |||
Escrowed/Prerefunded — 0.6% | |||
Ohio State University, Escrowed to Maturity, 5.00%, 12/1/29 | $ | 85 | $ 113,015 |
Rhode Island Clean Water Finance Agency, (Water Pollution Control Revolving Fund): | |||
Prerefunded to 10/1/23, 5.00%, 10/1/30 | 1,000 | 1,108,040 | |
Prerefunded to 10/1/23, 5.00%, 10/1/31 | 1,000 | 1,108,040 | |
$ 2,329,095 | |||
General Obligations — 20.4% | |||
Bexar County, TX, 4.00%, 6/15/32 | $ | 2,000 | $ 2,259,300 |
California: | |||
Green Bonds, 3.75%, 10/1/37 | 1,000 | 1,082,050 | |
4.00%, 9/1/32 | 1,000 | 1,160,650 | |
Comal Independent School District, TX, (PSF Guaranteed), 5.00%, 2/1/28 | 2,000 | 2,541,280 | |
Connecticut, Green Bonds, 5.00%, 11/15/31 | 1,000 | 1,142,320 | |
Desert Sands Unified School District, CA, (Election of 2014), 5.00%, 8/1/39 | 2,000 | 2,476,460 | |
Fort Bend Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/26 | 750 | 918,938 | |
Franklin Regional School District, PA, 5.00%, 5/1/27 | 100 | 123,841 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Fremont Union High School District, CA, 4.00%, 8/1/36 | $ | 1,500 | $ 1,769,505 |
Hampton, VA, Green Bonds, 3.00%, 9/1/34 | 500 | 561,640 | |
Hawaii, 4.00%, 10/1/34 | 2,000 | 2,321,160 | |
Johnson County Unified School District No. 229, KS, 3.00%, 10/1/28 | 2,000 | 2,301,320 | |
Lake Stevens School District No. 4, WA, 4.00%, 12/1/35 | 2,460 | 2,814,068 | |
Lewisville Independent School District, TX, (PSF Guaranteed), 4.00%, 8/15/36 | 5,595 | 6,749,864 | |
Los Rios Community College District, CA, 4.00%, 8/1/33 | 2,000 | 2,335,880 | |
Massachusetts, Green Bonds, 5.00%, 4/1/37 | 2,000 | 2,469,980 | |
Matanuska-Susitna Borough, AK, 4.50%, 7/1/29 | 1,670 | 1,979,418 | |
Mesa Unified School District No. 4, AZ, 5.00%, 7/1/27 | 1,000 | 1,251,780 | |
Milwaukee Metropolitan Sewerage District, WI, Green Bonds-Climate Bond Certified, 4.00%, 10/1/30 | 3,615 | 4,468,212 | |
New York, NY, 5.00%, 8/1/26 | 2,000 | 2,235,020 | |
North East Independent School District, TX, (PSF Guaranteed), 5.25%, 2/1/26 | 1,000 | 1,215,240 | |
North St. Paul-Maplewood-Oakdale Independent School District No. 622, MN: | |||
4.00%, 2/1/31 | 1,000 | 1,180,860 | |
5.00%, 2/1/33 | 650 | 807,996 | |
Northside Independent School District, TX: | |||
(PSF Guaranteed), 4.00%, 8/1/31 | 930 | 1,136,655 | |
(PSF Guaranteed), 4.00%, 8/1/32 | 400 | 487,276 | |
Ohio: | |||
4.00%, 3/1/24 | 2,285 | 2,513,317 | |
4.00%, 3/1/25 | 1,140 | 1,291,506 | |
Oxnard Union High School District, CA, (Election of 2018), 4.00%, 8/1/37 | 2,000 | 2,348,280 | |
Passaic County Improvement Authority, NJ, (Paterson Board of Education): | |||
Green Bonds, 3.00%, 2/1/42 | 1,175 | 1,287,060 | |
Green Bonds, 4.00%, 2/1/32 | 300 | 366,528 | |
Green Bonds, 4.00%, 2/1/33 | 250 | 304,555 | |
Phoenix Union High School District No. 210, AZ, 5.00%, 7/1/25 | 2,750 | 3,252,865 | |
Salem-Keizer School District No. 24J, OR, 4.00%, 6/15/37 | 5,000 | 6,105,700 | |
San Diego Unified School District, CA, (Election of 2012), Green Bonds, 5.00%, 7/1/30 | 2,000 | 2,511,500 | |
San Francisco Bay Area Rapid Transit District, CA, (Election of 2004), Green Bonds, 3.00%, 8/1/38 | 3,235 | 3,559,826 | |
San Francisco Bay Area Rapid Transit District, CA, (Election of 2016): | |||
Green Bonds, 5.00%, 8/1/33 | 1,000 | 1,249,200 | |
Green Bonds, 5.00%, 8/1/35 | 1,120 | 1,468,947 | |
Spring Branch Independent School District, TX, (PSF Guaranteed), 5.00%, 2/1/27 | 1,725 | 2,136,982 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Will County, IL: | |||
Green Bonds, 5.00%, 11/15/26 | $ | 450 | $ 552,249 |
Green Bonds, 5.00%, 11/15/28 | 1,000 | 1,282,980 | |
Green Bonds, 5.00%, 11/15/29 | 900 | 1,178,334 | |
Wyandotte County Unified School District No. 203, KS, 4.00%, 9/1/23 | 1,545 | 1,669,403 | |
Ypsilanti Community Schools, MI, 5.00%, 5/1/30 | 1,000 | 1,205,440 | |
$ 82,075,385 | |||
Hospital — 4.1% | |||
Massachusetts Development Finance Agency, (Dana-Farber Cancer Institute), 5.00%, 12/1/34 | $ | 500 | $ 604,370 |
Michigan Finance Authority, (Beaumont Health Credit Group), 4.00%, 11/1/46 | 2,000 | 2,204,600 | |
New York City Health and Hospitals Corp., NY: | |||
4.00%, 2/15/27 | 2,250 | 2,658,150 | |
4.00%, 2/15/28 | 4,700 | 5,654,711 | |
New York Dormitory Authority, (Memorial Sloan Kettering Cancer Center), 4.00%, 7/1/31 | 2,000 | 2,452,560 | |
Ohio, (Cleveland Clinic Health System), 5.00%, 1/1/27 | 2,315 | 2,865,391 | |
$ 16,439,782 | |||
Housing — 7.0% | |||
California Municipal Finance Authority, (Caritas Corp.), Mobile Home Park Revenue, 5.00%, 8/15/28 | $ | 1,240 | $ 1,510,072 |
CSCDA Community Improvement Authority, CA, Essential Housing Revenue, 2.65%, 12/1/46(1) | 910 | 930,839 | |
Cuyahoga Metropolitan Housing Authority, OH, 2.00%, 12/1/31 | 1,250 | 1,267,400 | |
Independent Cities Finance Authority, CA, (Castle Mobile Estates): | |||
3.00%, 5/15/22 | 170 | 173,682 | |
3.00%, 5/15/23 | 170 | 177,560 | |
3.00%, 5/15/24 | 175 | 187,292 | |
3.00%, 5/15/25 | 185 | 201,435 | |
3.00%, 5/15/26 | 190 | 210,113 | |
3.00%, 5/15/31 | 500 | 556,895 | |
Independent Cities Finance Authority, CA, (Union City Tropics), Mobile Home Park Revenue: | |||
4.00%, 5/15/31 | 1,020 | 1,194,053 | |
4.00%, 5/15/34 | 1,145 | 1,326,895 | |
Maryland Community Development Administration, Department of Housing and Community Development: | |||
4.05%, 7/1/40 | 1,575 | 1,683,580 | |
4.35%, 7/1/50 | 1,000 | 1,069,970 | |
Massachusetts Housing Finance Agency, (AMT), 3.30%, 12/1/28 | 750 | 794,918 |
Security | Principal Amount (000's omitted) | Value | |
Housing (continued) | |||
New York City Housing Development Corp., NY: | |||
Sustainable Development Bonds, 1.70%, 5/1/32 | $ | 2,100 | $ 2,102,205 |
Sustainable Development Bonds, 1.75%, 11/1/32 | 1,060 | 1,063,169 | |
3.80%, 11/1/30 | 1,000 | 1,065,360 | |
New York Housing Finance Agency, Climate Bond Certified/Sustainability Bonds, (FHLMC / FNMA / SONYMA), 2.85%, 11/1/39 | 2,000 | 2,114,880 | |
New York Housing Finance Agency, Climate Bond Certified/Sustainability Bonds, (SONYMA), 0.75%, 11/1/25 | 3,000 | 3,004,980 | |
Pennsylvania Housing Finance Agency, SFMR: | |||
Social Bonds, 0.95%, 10/1/28 | 1,125 | 1,119,375 | |
3.90%, 10/1/35 | 1,000 | 1,047,010 | |
(AMT), Social Bonds, 5.00%, 4/1/24 | 700 | 785,358 | |
(AMT), Social Bonds, 5.00%, 10/1/24 | 1,000 | 1,141,370 | |
(AMT), Social Bonds, 5.00%, 4/1/25 | 500 | 579,655 | |
(AMT), Social Bonds, 5.00%, 10/1/25 | 500 | 587,650 | |
Public Finance Authority, WI, (NC A&T Real Estate Foundation, LLC): | |||
5.00%, 6/1/28 | 665 | 819,759 | |
5.00%, 6/1/29 | 365 | 457,513 | |
Utah Housing Corp., 4.00%, 1/1/36 | 800 | 844,640 | |
$ 28,017,628 | |||
Industrial Development Revenue — 1.1% | |||
California Pollution Control Financing Authority, (Waste Management, Inc.), (AMT), 3.00%, 11/1/25 | $ | 850 | $ 942,072 |
National Finance Authority, NH, (Covanta), (AMT), Green Bonds, 3.75% to 7/2/40 (Put Date), 7/1/45(1) | 1,955 | 2,098,262 | |
Nez Perce County, ID, (Potlatch Corp.), 2.75%, 10/1/24 | 1,000 | 1,066,690 | |
Pennsylvania Economic Development Financing Authority, (Waste Management, Inc.), (AMT), 2.625%, 11/1/21 | 500 | 503,770 | |
$ 4,610,794 | |||
Insured - General Obligations — 0.6% | |||
Connecticut, (AGM), 5.00%, 10/15/27 | $ | 1,155 | $ 1,423,815 |
Long Beach Unified School District, CA, (AGC), 0.00%, 8/1/25 | 1,000 | 971,290 | |
$ 2,395,105 | |||
Insured - Housing — 0.3% | |||
California Municipal Finance Authority, (CHF-Davis II, LLC - Orchard Park Student Housing): | |||
(BAM), Green Bonds, 5.00%, 5/15/25 | $ | 350 | $ 409,976 |
(BAM), Green Bonds, 5.00%, 5/15/27 | 450 | 556,686 | |
(BAM), Green Bonds, 5.00%, 5/15/29 | 350 | 451,896 | |
$ 1,418,558 |
Security | Principal Amount (000's omitted) | Value | |
Insured - Solid Waste — 0.3% | |||
South Bayside Waste Management Authority, CA, (Shoreway Environmental Center): | |||
(AGM), (AMT), Green Bonds, 5.00%, 9/1/28 | $ | 15 | $ 19,173 |
(AGM), (AMT), Green Bonds, 5.00%, 9/1/28 | 485 | 616,789 | |
(AGM), (AMT), Green Bonds, 5.00%, 9/1/30 | 15 | 19,556 | |
(AGM), (AMT), Green Bonds, 5.00%, 9/1/30 | 485 | 621,605 | |
$ 1,277,123 | |||
Insured - Special Tax Revenue — 0.1% | |||
Martha's Vineyard Land Bank, (BAM), Green Bonds, 5.00%, 5/1/32 | $ | 400 | $ 488,528 |
$ 488,528 | |||
Insured - Transportation — 0.3% | |||
Ohio, (Portsmouth Gateway Group, LLC), (AGM), (AMT), 5.00%, 12/31/30 | $ | 1,000 | $ 1,149,660 |
$ 1,149,660 | |||
Insured - Water and Sewer — 0.3% | |||
Bloomington, IN, Sewage Works Revenue: | |||
(BAM), Green Bonds, 2.00%, 1/1/27 | $ | 100 | $ 106,123 |
(BAM), Green Bonds, 4.00%, 1/1/29 | 500 | 602,050 | |
(BAM), Green Bonds, 4.00%, 1/1/31 | 500 | 616,505 | |
$ 1,324,678 | |||
Lease Revenue / Certificates of Participation — 1.7% | |||
Connecticut Health and Educational Facilities Authority, (State Supported Child Care): | |||
5.00%, 7/1/25 | $ | 300 | $ 352,245 |
5.00%, 7/1/26 | 435 | 525,759 | |
5.00%, 7/1/27 | 255 | 315,988 | |
Kansas City, MO, Special Obligation Bonds: | |||
4.00%, 10/1/34 | 500 | 561,925 | |
4.00%, 10/1/35 | 600 | 672,906 | |
New Jersey Economic Development Authority, (School Facilities Construction): | |||
Social Bonds, 5.00%, 6/15/26 | 555 | 668,703 | |
Social Bonds, 5.00%, 6/15/27 | 410 | 505,981 | |
University of Mississippi Educational Building Corp., 5.00%, 10/1/28 | 1,000 | 1,282,030 | |
University of North Dakota, Certificates of Participation, Green Certificates, 5.00%, 4/1/48 | 1,500 | 1,761,090 | |
$ 6,646,627 | |||
Other Revenue — 6.3% | |||
Battery Park City Authority, NY: | |||
5.00%, 11/1/39 | $ | 200 | $ 260,490 |
Security | Principal Amount (000's omitted) | Value | |
Other Revenue (continued) | |||
Battery Park City Authority, NY: (continued) | |||
Sustainability Bonds, 5.00%, 11/1/49 | $ | 3,250 | $ 4,174,430 |
Build NYC Resource Corp., NY, (YMCA of Greater New York), 4.00%, 8/1/36 | 1,915 | 2,069,675 | |
California Infrastructure and Economic Development Bank, Prerefunded to 10/1/25, 5.00%, 10/1/34 | 2,000 | 2,389,840 | |
California Infrastructure and Economic Development Bank, (California Academy of Sciences), 0.38%, (SIFMA +0.35%), 8/1/24 (Put Date), 8/1/47 | 2,630 | 2,636,312 | |
Chester County Industrial Development Authority, PA, (Longwood Gardens, Inc.), Sustainability Bonds, 4.00%, 12/1/25 | 310 | 357,554 | |
Connecticut Health and Educational Facilities Authority, (State Supported Child Care), 4.00%, 7/1/38 | 1,170 | 1,260,558 | |
Fairfax County Economic Development Authority, VA, (National Wildlife Federation): | |||
Green Bonds, 5.00%, 9/1/34 | 1,310 | 1,643,408 | |
Green Bonds, 5.00%, 9/1/36 | 1,445 | 1,803,779 | |
Illinois Educational Facilities Authority, (Field Museum of Natural History): | |||
4.00%, 11/1/36 | 1,000 | 1,154,360 | |
4.45%, 11/1/36 | 1,000 | 1,169,120 | |
Massachusetts Water Pollution Abatement Trust, 5.25%, 8/1/29 | 1,000 | 1,341,280 | |
New York City Trust for Cultural Resources, NY, (Whitney Museum of American Art), Green Bonds, 5.00%, 7/1/31 | 3,750 | 5,125,312 | |
$ 25,386,118 | |||
Senior Living/Life Care — 0.5% | |||
Vermont Economic Development Authority, (Wake Robin Corp.), 5.00%, 5/1/24 | $ | 1,875 | $ 2,044,144 |
$ 2,044,144 | |||
Special Tax Revenue — 8.4% | |||
Allegheny County Port Authority, PA, 5.00%, 3/1/27 | $ | 10,000 | $ 12,224,000 |
Central Puget Sound Regional Transit Authority, WA, Sales Tax Revenue: | |||
Green Bonds, 4.00%, 11/1/33 | 1,100 | 1,252,889 | |
Green Bonds, 5.00%, 11/1/35 | 1,000 | 1,183,400 | |
Green Bonds, 5.00%, 11/1/45 | 2,500 | 2,914,225 | |
Los Angeles County Metropolitan Transportation Authority, CA, Sales Tax Revenue, Green Bonds, 5.00%, 7/1/39 | 2,000 | 2,532,000 | |
Massachusetts Bay Transportation Authority, Sales Tax Revenue: | |||
5.00%, 7/1/26 | 1,000 | 1,220,190 | |
5.00%, 7/1/28 | 1,000 | 1,286,610 | |
5.00%, 7/1/31 | 1,000 | 1,370,150 |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue (continued) | |||
Metropolitan Transportation Authority, NY, Dedicated Tax Revenue: | |||
Green Bonds, Series 2017A, 5.00%, 11/15/35 | $ | 1,000 | $ 1,212,030 |
Green Bonds, Series 2017B, 5.00%, 11/15/35 | 2,275 | 2,796,862 | |
New York Dormitory Authority, Personal Income Tax Revenue, 5.00%, 8/15/29 | 1,000 | 1,005,820 | |
Regional Transportation District, CO, Sales Tax Revenue: | |||
Green Bonds, 5.00%, 11/1/28 | 2,500 | 3,235,500 | |
5.00%, 11/1/32 | 1,000 | 1,395,870 | |
$ 33,629,546 | |||
Transportation — 0.4% | |||
Washington Metropolitan Area Transit Authority, D.C., Green Bonds, 5.00%, 7/15/30 | $ | 1,250 | $ 1,674,850 |
$ 1,674,850 | |||
Water and Sewer — 11.3% | |||
Aurora, CO, Water Revenue, Green Bonds, 5.00%, 8/1/31 | $ | 2,000 | $ 2,425,260 |
Austin, TX, Water & Wastewater System Revenue, 5.00%, 11/15/33 | 2,000 | 2,497,380 | |
Cary, NC, Combined Enterprise System Revenue, 5.00%, 12/1/24 | 1,745 | 2,023,537 | |
Cleveland, OH, Water Revenue: | |||
5.00%, 1/1/27 | 150 | 185,754 | |
5.00%, 1/1/28 | 770 | 948,070 | |
Dallas, TX, Waterworks and Sewer System Revenue, 4.00%, 10/1/35 | 1,000 | 1,232,970 | |
Denver City and County Board of Water Commissioners, CO, 4.00%, 9/15/33 | 3,000 | 3,736,140 | |
District of Columbia Water and Sewer Authority, 5.00%, 10/1/26 | 500 | 615,845 | |
East Baton Rouge Sewerage Commission, LA, 4.00%, 2/1/35 | 1,000 | 1,199,950 | |
East Bay Municipal Utility District, CA, Water System Revenue: | |||
Green Bonds, 5.00%, 6/1/35 | 1,000 | 1,239,790 | |
Green Bonds, 5.00%, 6/1/36 | 1,650 | 2,147,805 | |
Greensboro, NC, Combined Enterprise System Revenue, 4.00%, 6/1/34 | 500 | 617,760 | |
Indiana Finance Authority, (CWA Authority): | |||
Green Bonds, 5.00%, 10/1/27 | 615 | 775,318 | |
Green Bonds, 5.00%, 10/1/28 | 765 | 985,075 | |
Green Bonds, 5.00%, 10/1/30 | 1,000 | 1,221,150 | |
Green Bonds, 5.00%, 10/1/34 | 300 | 397,548 | |
Green Bonds, 5.00%, 10/1/35 | 425 | 562,636 | |
Green Bonds, 5.00%, 10/1/36 | 1,000 | 1,215,870 | |
Kansas City, MO, Water Revenue, 4.00%, 12/1/33 | 870 | 1,076,947 | |
Los Angeles, CA, Wastewater System Revenue: | |||
Green Bonds, 5.00%, 6/1/34 | 1,000 | 1,268,450 |
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer (continued) | |||
Los Angeles, CA, Wastewater System Revenue: (continued) | |||
Green Bonds, 5.00%, 6/1/38 | $ | 2,000 | $ 2,472,960 |
Lubbock,TX, Water and Wastewater System Revenue: | |||
4.00%, 2/15/30 | 650 | 786,572 | |
4.00%, 2/15/31 | 435 | 522,661 | |
4.00%, 2/15/32 | 325 | 390,647 | |
4.00%, 2/15/33 | 200 | 239,766 | |
5.00%, 2/15/25 | 300 | 349,398 | |
5.00%, 2/15/26 | 400 | 481,340 | |
Massachusetts Water Resources Authority: | |||
Green Bonds, 5.00%, 8/1/32 | 1,500 | 1,873,875 | |
Green Bonds, 5.00%, 8/1/40 | 1,000 | 1,210,400 | |
Metropolitan Water District of Southern California, 0.17%, (SIFMA + 0.14%), 5/21/24 (Put Date), 7/1/37 | 3,335 | 3,335,767 | |
Northern Kentucky Water District, 4.00%, 2/1/29 | 1,565 | 1,879,800 | |
Pennsylvania Economic Development Financing Authority, (Pennsylvania-American Water Co.), 3.00%, 4/1/39 | 2,500 | 2,717,425 | |
St. Paul, MN, Sewer Revenue, Green Bonds, 5.00%, 12/1/26 | 1,165 | 1,442,724 | |
Trinity River Authority, TX, (Mountain Creek Regional Wastewater System), 4.00%, 8/1/33 | 1,000 | 1,242,750 | |
$ 45,319,340 | |||
Total Tax-Exempt Municipal Obligations (identified cost $354,916,193) | $369,889,635 |
Taxable Municipal Obligations — 3.2% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 1.1% | |||
Detroit, MI: | |||
Social Bonds, 1.817%, 4/1/22 | $ | 800 | $ 805,192 |
Social Bonds, 2.017%, 4/1/23 | 375 | 379,792 | |
Social Bonds, 2.189%, 4/1/24 | 400 | 406,100 | |
Larkspur-Corte Madera School District, CA, (Election of 2011 and 2014): | |||
1.702%, 8/1/30 | 415 | 417,092 | |
1.802%, 8/1/31 | 400 | 402,644 | |
1.902%, 8/1/32 | 1,100 | 1,108,305 | |
Tustin Unified School District, CA: | |||
1.345%, 8/1/28 | 280 | 277,878 | |
1.554%, 8/1/29 | 535 | 534,304 | |
$ 4,331,307 |
Security | Principal Amount (000's omitted) | Value | |
Housing — 0.1% | |||
Independent Cities Finance Authority, CA, (Sahara Mobile Home Park), 2.51%, 6/15/31 | $ | 500 | $ 505,790 |
$ 505,790 | |||
Insured - Housing — 0.2% | |||
Oregon Facilities Authority, (CHF-Ashland, LLC - Southern Oregon University): | |||
(AGM), 1.509%, 7/1/25 | $ | 150 | $ 150,621 |
(AGM), 2.005%, 7/1/27 | 185 | 185,755 | |
(AGM), 2.429%, 7/1/29 | 275 | 277,700 | |
(AGM), 2.679%, 7/1/31 | 350 | 356,286 | |
$ 970,362 | |||
Senior Living/Life Care — 0.1% | |||
California Public Finance Authority, (Enso Village), Green Bonds, 2.875%, 5/15/27(1) | $ | 350 | $ 352,650 |
$ 352,650 | |||
Special Tax Revenue — 1.5% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
2.02%, 6/1/24 | $ | 1,000 | $ 1,039,490 |
2.211%, 6/1/25 | 1,500 | 1,575,750 | |
2.361%, 6/1/26 | 2,000 | 2,116,460 | |
Massachusetts Bay Transportation Authority, Sales Tax Revenue, 0.99%, 7/1/25 | 1,135 | 1,142,468 | |
$ 5,874,168 | |||
Water and Sewer — 0.2% | |||
Narragansett Bay Commission, RI, Wastewater System Revenue, Green Bonds, 1.497%, 9/1/24 | $ | 660 | $ 674,032 |
$ 674,032 | |||
Total Taxable Municipal Obligations (identified cost $12,410,625) | $ 12,708,309 |
Short-Term Investments — 0.1% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.07%(3) | 231,667 | $ 231,667 | |
Total Short-Term Investments (identified cost $231,667) | $ 231,667 | ||
Total Investments — 99.1% (identified cost $382,666,918) | $398,343,879 | ||
Other Assets, Less Liabilities — 0.9% | $ 3,573,893 | ||
Net Assets — 100.0% | $401,917,772 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At June 30, 2021, the aggregate value of these securities is $5,815,562 or 1.4% of the Fund's net assets. |
(2) | When-issued security. |
(3) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2021. |
At June 30, 2021, the concentration of the Fund's investments in the various states, determined as a percentage of net assets, is as follows: | |
California 16.8% | |
New York10.3% | |
Others, representing less than 10% individually71.9% | |
The Fund invests primarily in debt securities issued by municipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. At June 30, 2021, 2.2% of total investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution or financial guaranty assurance agency ranged from 0.2% to 1.2% of total investments. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 10-Year Treasury Note | (94) | Short | 9/21/21 | $(12,455,000) | $ (32,560) |
$(32,560) |
Abbreviations: | |
AGC | – Assured Guaranty Corp. |
AGM | – Assured Guaranty Municipal Corp. |
AMT | – Interest earned from these securities may be considered a tax preference item for purposes of the Federal Alternative Minimum Tax. |
BAM | – Build America Mutual Assurance Co. |
FHLMC | – Federal Home Loan Mortgage Corp. |
FNMA | – Federal National Mortgage Association |
PSF | – Permanent School Fund |
SFMR | – Single Family Mortgage Revenue |
SIFMA | – Securities Industry and Financial Markets Association Municipal Swap Index |
SONYMA | – State of New York Mortgage Agency |
June 30, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $382,435,251) | $ 398,112,212 |
Investments in securities of affiliated issuers, at value (identified cost $231,667) | 231,667 |
Deposits at broker for futures contracts | 143,399 |
Receivable for investments sold | 345,000 |
Receivable for capital shares sold | 578,567 |
Interest receivable | 4,047,079 |
Dividends receivable - affiliated | 89 |
Receivable from affiliate | 50,568 |
Trustees' deferred compensation plan | 121,070 |
Total assets | $403,629,651 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 22,056 |
Payable for when-issued securities | 769,487 |
Payable for capital shares redeemed | 458,508 |
Distributions payable | 54,310 |
Payable to affiliates: | |
Investment advisory fee | 115,653 |
Administrative fee | 39,652 |
Distribution and service fees | 27,912 |
Sub-transfer agency fee | 3,901 |
Trustees' deferred compensation plan | 121,070 |
Accrued expenses | 99,330 |
Total liabilities | $ 1,711,879 |
Net Assets | $401,917,772 |
Sources of Net Assets | |
Paid-in capital | $ 417,189,549 |
Accumulated loss | (15,271,777) |
Total | $401,917,772 |
Class A Shares | |
Net Assets | $ 127,246,751 |
Shares Outstanding | 7,599,207 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 16.74 |
Maximum Offering Price Per Share (100 ÷ 96.25 of net asset value per share) | $ 17.39 |
Class C Shares | |
Net Assets | $ 2,202,060 |
Shares Outstanding | 131,505 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 16.75 |
June 30, 2021 | |
Class I Shares | |
Net Assets | $272,468,961 |
Shares Outstanding | 16,229,487 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 16.79 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
June 30, 2021 | |
Investment Income | |
Dividend income - affiliated issuers | $ 11,656 |
Interest income | 3,467,811 |
Total investment income | $ 3,479,467 |
Expenses | |
Investment advisory fee | $ 681,904 |
Administrative fee | 233,796 |
Distribution and service fees: | |
Class A | 157,821 |
Class C | 10,977 |
Trustees' fees and expenses | 6,570 |
Custodian fees | 4,016 |
Transfer agency fees and expenses | 138,583 |
Accounting fees | 44,134 |
Professional fees | 21,420 |
Registration fees | 41,526 |
Reports to shareholders | 8,182 |
Miscellaneous | 28,015 |
Total expenses | $ 1,376,944 |
Waiver and/or reimbursement of expenses by affiliate | $ (232,265) |
Net expenses | $ 1,144,679 |
Net investment income | $ 2,334,788 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ (264,907) |
Investment securities - affiliated issuers | (2,699) |
Futures contracts | 281,660 |
Net realized gain | $ 14,054 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (1,990,729) |
Futures contracts | (32,762) |
Net change in unrealized appreciation (depreciation) | $(2,023,491) |
Net realized and unrealized loss | $(2,009,437) |
Net increase in net assets from operations | $ 325,351 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 2,334,788 | $ 4,108,085 |
Net realized gain (loss) | 14,054 | (640,427) |
Net change in unrealized appreciation (depreciation) | (2,023,491) | 8,938,905 |
Net increase in net assets from operations | $ 325,351 | $ 12,406,563 |
Distributions to shareholders: | ||
Class A | $ (656,472) | $ (1,778,273) |
Class C | (3,181) | (13,278) |
Class I | (1,682,102) | (2,316,944) |
Total distributions to shareholders | $ (2,341,755) | $ (4,108,495) |
Capital share transactions: | ||
Class A | $ (475,599) | $ 6,964,795 |
Class C | (35,023) | 680,155 |
Class I | 31,698,974 | 171,111,169 |
Net increase in net assets from capital share transactions | $ 31,188,352 | $178,756,119 |
Net increase in net assets | $ 29,171,948 | $187,054,187 |
Net Assets | ||
At beginning of period | $ 372,745,824 | $ 185,691,637 |
At end of period | $401,917,772 | $372,745,824 |
Class A | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 16.83 | $ 16.36 | $ 15.61 | $ 15.91 | $ 15.55 | $ 16.03 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.09 | $ 0.24 | $ 0.35 | $ 0.38 | $ 0.41 | $ 0.42 |
Net realized and unrealized gain (loss) | (0.09) | 0.47 | 0.75 | (0.30) | 0.36 | (0.48) |
Total income (loss) from operations | $ — | $ 0.71 | $ 1.10 | $ 0.08 | $ 0.77 | $ (0.06) |
Less Distributions | ||||||
From net investment income | $ (0.09) | $ (0.24) | $ (0.35) | $ (0.38) | $ (0.41) | $ (0.42) |
Total distributions | $ (0.09) | $ (0.24) | $ (0.35) | $ (0.38) | $ (0.41) | $ (0.42) |
Net asset value — End of period | $ 16.74 | $ 16.83 | $ 16.36 | $ 15.61 | $ 15.91 | $ 15.55 |
Total Return(2) | (0.02)% (3) | 4.38% | 7.10% | 0.54% | 5.00% | (0.42)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $127,247 | $128,384 | $117,964 | $108,866 | $119,971 | $131,474 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.87% (5) | 0.88% | 0.96% | 0.95% | 0.94% | 0.92% |
Net expenses | 0.75% (5) | 0.75% | 0.77% | 0.80% | 0.80% | 0.80% |
Net investment income | 1.04% (5) | 1.45% | 2.15% | 2.44% | 2.61% | 2.62% |
Portfolio Turnover | 12% (3) | 14% | 18% | 9% | 27% | 24% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | 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. |
(5) | Annualized. |
Class C | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 16.83 | $ 16.36 | $ 15.61 | $ 15.91 | $ 15.55 | $ 16.05 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.02 | $ 0.11 | $ 0.22 | $ 0.26 | $ 0.29 | $ 0.30 |
Net realized and unrealized gain (loss) | (0.08) | 0.48 | 0.76 | (0.29) | 0.37 | (0.49) |
Total income (loss) from operations | $ (0.06) | $ 0.59 | $ 0.98 | $ (0.03) | $ 0.66 | $ (0.19) |
Less Distributions | ||||||
From net investment income | $ (0.02) | $ (0.12) | $ (0.23) | $ (0.27) | $ (0.30) | $ (0.31) |
Total distributions | $ (0.02) | $ (0.12) | $ (0.23) | $ (0.27) | $ (0.30) | $ (0.31) |
Net asset value — End of period | $16.75 | $16.83 | $16.36 | $15.61 | $15.91 | $15.55 |
Total Return(2) | (0.33)% (3) | 3.60% | 6.29% | (0.19)% | 4.25% | (1.25)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 2,202 | $ 2,249 | $ 1,510 | $ 1,195 | $ 1,240 | $ 912 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 1.62% (5) | 1.62% | 1.71% | 1.69% | 2.87% | 3.08% |
Net expenses | 1.50% (5) | 1.50% | 1.51% | 1.55% | 1.55% | 1.55% |
Net investment income | 0.29% (5) | 0.67% | 1.37% | 1.69% | 1.84% | 1.86% |
Portfolio Turnover | 12% (3) | 14% | 18% | 9% | 27% | 24% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | 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. |
(5) | Annualized. |
Class I | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 16.88 | $ 16.40 | $ 15.65 | $ 15.93 | $ 15.57 | $ 16.06 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.11 | $ 0.26 | $ 0.39 | $ 0.44 | $ 0.46 | $ 0.48 |
Net realized and unrealized gain (loss) | (0.09) | 0.50 | 0.76 | (0.30) | 0.36 | (0.49) |
Total income (loss) from operations | $ 0.02 | $ 0.76 | $ 1.15 | $ 0.14 | $ 0.82 | $ (0.01) |
Less Distributions | ||||||
From net investment income | $ (0.11) | $ (0.28) | $ (0.40) | $ (0.42) | $ (0.46) | $ (0.48) |
Total distributions | $ (0.11) | $ (0.28) | $ (0.40) | $ (0.42) | $ (0.46) | $ (0.48) |
Net asset value — End of period | $ 16.79 | $ 16.88 | $ 16.40 | $ 15.65 | $ 15.93 | $15.57 |
Total Return(2) | 0.11% (3) | 4.69% | 7.38% | 0.92% | 5.35% | (0.13)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $272,469 | $242,113 | $66,218 | $35,812 | $23,193 | $ 9,434 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.62% (5) | 0.63% | 0.71% | 0.69% | 0.76% | 1.10% |
Net expenses | 0.50% (5) | 0.50% | 0.49% | 0.45% | 0.45% | 0.45% |
Net investment income | 1.28% (5) | 1.59% | 2.39% | 2.79% | 2.93% | 2.99% |
Portfolio Turnover | 12% (3) | 14% | 18% | 9% | 27% | 24% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | 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. |
(5) | Annualized. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds | $ — | $ 10,536,769 | $ — | $ 10,536,769 |
Tax-Exempt Mortgage-Backed Securities | — | 4,977,499 | — | 4,977,499 |
Tax-Exempt Municipal Obligations | — | 369,889,635 | — | 369,889,635 |
Taxable Municipal Obligations | — | 12,708,309 | — | 12,708,309 |
Short-Term Investments | — | 231,667 | — | 231,667 |
Total Investments | $ — | $398,343,879 | $ — | $398,343,879 |
Liability Description | ||||
Futures Contracts | $ (32,560) | $ — | $ — | $ (32,560) |
Total | $(32,560) | $ — | $ — | $ (32,560) |
Aggregate cost | $382,658,823 |
Gross unrealized appreciation | $ 16,129,348 |
Gross unrealized depreciation | (476,852) |
Net unrealized appreciation | $ 15,652,496 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Accumulated loss | $ — | $(32,560) (1) |
(1) | Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Statement of Operations Caption | |||
Derivative | Net realized gain (loss): Futures contracts | Change in unrealized appreciation (depreciation): Futures contracts | |
Futures contracts | $ 281,660 | $ (32,762) |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $37,123,010 | $56,910,004 | $(93,798,648) | $(2,699) | $ — | $231,667 | $11,656 | 231,667 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 399,253 | $ 6,681,579 | 1,047,301 | $ 17,386,171 | |
Reinvestment of distributions | 35,480 | 591,984 | 97,265 | 1,613,509 | |
Shares redeemed | (463,194) | (7,749,162) | (737,239) | (12,196,535) | |
Converted from Class C | — | — | 9,639 | 161,650 | |
Net increase (decrease) | (28,461) | $ (475,599) | 416,966 | $ 6,964,795 | |
Class C | |||||
Shares sold | 14,069 | $ 235,381 | 62,014 | $ 1,024,793 | |
Reinvestment of distributions | 191 | 3,190 | 793 | 13,150 | |
Shares redeemed | (16,359) | (273,594) | (11,842) | (196,138) | |
Converted to Class A | — | — | (9,639) | (161,650) | |
Net increase (decrease) | (2,099) | $ (35,023) | 41,326 | $ 680,155 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 4,794,725 | $ 80,418,251 | 12,090,071 | $ 200,505,646 | |
Reinvestment of distributions | 85,397 | 1,428,930 | 129,582 | 2,160,446 | |
Shares redeemed | (2,997,506) | (50,148,207) | (1,910,053) | (31,554,923) | |
Net increase | 1,882,616 | $ 31,698,974 | 10,309,600 | $171,111,169 |
Number of Shares(1) | ||||
For | Against | Abstain (2) | Broker Non-Votes(2) | |
11,986,492.711 | 234,663.358 | 839,362.002 | 0 |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Trustees |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Trustee and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
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 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. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not applicable.
Item 13. | Exhibits |
(a)(1) | Registrant’s Code of Ethics- Not applicable (please see Item 2) | |
President’s Section 302 certification. | ||
Treasurer’s Section 302 certification. | ||
(a)(3) | Not applicable. | |
Change in Independent Public Accountant. | ||
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 Management Series | ||
By: | /s/ John H. Streur | |
John H. Streur | ||
President | ||
Date: | August 24, 2021 |
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: | August 24, 2021 | |
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | August 24, 2021 |