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 Services)
(202) 238-2200
(Registrant’s Telephone Number)
December 31
Date of Fiscal Year End
December 31, 2021
Date of Reporting Period
Item 1. Reports to Stockholders
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% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception |
Class A at NAV | 09/30/2014 | 09/30/2014 | 3.62% | 3.49% | 3.47% |
Class A with 3.75% Maximum Sales Charge | — | — | (0.29) | 2.70 | 2.93 |
Class C at NAV | 09/30/2014 | 09/30/2014 | 2.77 | 2.70 | 2.69 |
Class C with 1% Maximum Sales Charge | — | — | 1.77 | 2.70 | 2.69 |
Class I at NAV | 09/30/2014 | 09/30/2014 | 3.81 | 3.78 | 3.81 |
Class R6 at NAV | 05/01/2019 | 09/30/2014 | 3.96 | 3.83 | 3.85 |
ICE BofA 3-Month U.S. Treasury Bill Index | — | — | 0.05% | 1.14% | 0.84% |
% 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 | 2.02% | 1.34% | 2.36% | 2.43% |
SEC 30-day Yield - Unsubsidized | 2.02 | 1.34 | 2.36 | 2.43 |
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Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2014 | $12,121 | N.A. |
Class I | $250,000 | 09/30/2014 | $327,859 | N.A. |
Class R6 | $1,000,000 | 09/30/2014 | $1,315,032 | N.A. |
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† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
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. | |
Additional Information | |
Bloomberg U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. ICE BofA U.S. High Yield Index is an unmanaged index of below investment grade U.S. corporate bonds. 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. S&P/LSTA Leveraged Loan Index is an unmanaged index of the institutional leveraged loan market. S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. S&P/LSTA Leveraged Loan indices and S&P Dow Jones Indices are products of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); LSTA is a trademark of Loan Syndications and Trading Association, Inc. S&P DJI, Dow Jones, their respective affiliates and their third party licensors do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Nasdaq Composite Index is a market capitalization-weighted index of all domestic and international securities listed on Nasdaq. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. | |
Credit spread is the difference in yield between a U.S. Treasury bond and another debt security of the same maturity but different credit quality. |
Beginning Account Value (7/1/21) | Ending Account Value (12/31/21) | Expenses Paid During Period* (7/1/21 – 12/31/21) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,002.90 | $4.54 ** | 0.90% |
Class C | $1,000.00 | $ 998.40 | $8.31 ** | 1.65% |
Class I | $1,000.00 | $1,003.50 | $3.28 ** | 0.65% |
Class R6 | $1,000.00 | $1,004.60 | $2.83 ** | 0.56% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.67 | $4.58 ** | 0.90% |
Class C | $1,000.00 | $1,016.89 | $8.39 ** | 1.65% |
Class I | $1,000.00 | $1,021.93 | $3.31 ** | 0.65% |
Class R6 | $1,000.00 | $1,022.38 | $2.85 ** | 0.56% |
* | 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 184/365 (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 June 30, 2021. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Asset-Backed Securities — 20.8% |
Security | Principal Amount (000's omitted) | Value | |
Adams Outdoor Advertising, L.P., Series 2018-1, Class A, 4.81%, 11/15/48(1) | $ | 593 | $ 611,811 |
Avant Loans Funding Trust: | |||
Series 2020-REV1, Class C, 4.17%, 5/15/29(1) | 1,000 | 1,003,479 | |
Series 2021-REV1, Class D, 4.30%, 7/15/30(1) | 1,512 | 1,518,469 | |
Business Jet Securities, LLC, Series 2020-1A, Class A, 2.981%, 11/15/35(1) | 458 | 458,356 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 2,112 | 2,110,362 | |
Cologix Data Centers US Issuer, LLC, Series 2021-1A, Class B, 3.79%, 12/26/51(1) | 1,315 | 1,316,386 | |
Conn's Receivables Funding, LLC: | |||
Series 2020-A, Class B, 4.27%, 6/16/25(1) | 697 | 699,889 | |
Series 2020-A, Class C, 4.20%, 6/16/25(1) | 370 | 371,245 | |
Series 2021-A, Class B, 2.87%, 5/15/26(1) | 930 | 927,797 | |
Series 2021-A, Class C, 4.59%, 5/15/26(1) | 2,190 | 2,183,915 | |
Diamond Infrastructure Funding, LLC, Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 292 | 291,038 | |
Driven Brands Funding, LLC, Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 381 | 397,877 | |
ExteNet, LLC, Series 2019-1A, Class B, 4.14%, 7/26/49(1) | 725 | 738,843 | |
FOCUS Brands Funding, LLC: | |||
Series 2017-1A, Class A2IB, 3.857%, 4/30/47(1) | 1,504 | 1,527,350 | |
Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 76 | 80,739 | |
Hardee's Funding, LLC, Series 2020-1A, Class A2, 3.981%, 12/20/50(1) | 544 | 572,213 | |
Jack in the Box Funding, LLC, Series 2019-1A, Class A2I, 3.982%, 8/25/49(1) | 700 | 705,672 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 405 | 427,090 | |
Loanpal Solar Loan, Ltd., Series 2020-1GS, Class C, 2.00%, 6/20/47(1) | 1,267 | 1,163,069 | |
Lunar Aircraft, Ltd., Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 117 | 106,725 | |
Marlette Funding Trust, Series 2020-2A, Class C, 2.83%, 9/16/30(1) | 545 | 552,407 | |
Mosaic Solar Loan Trust: | |||
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 474 | 484,005 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 64 | 65,877 | |
Series 2020-1A, Class C, 4.47%, 4/20/46(1) | 191 | 193,055 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | 221 | 220,575 | |
Series 2021-3A, Class C, 1.77%, 6/20/52(1) | 345 | 338,688 | |
Series 2021-3A, Class D, 3.28%, 6/20/52(1) | 632 | 624,757 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 791 | 797,692 | |
NRZ Excess Spread-Collateralized Notes: | |||
Series 2021-FHT1, Class A, 3.104%, 7/25/26(1) | 169 | 168,476 |
Security | Principal Amount (000's omitted) | Value | |
NRZ Excess Spread-Collateralized Notes: (continued) | |||
Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | $ | 2,009 | $ 2,008,792 |
Oportun Issuance Trust: | |||
Series 2021-B, Class C, 3.65%, 5/8/31(1) | 976 | 977,852 | |
Series 2021-C, Class B, 2.67%, 10/8/31(1) | 2,995 | 2,974,033 | |
Series 2021-C, Class C, 3.61%, 10/8/31(1) | 470 | 466,866 | |
Pagaya AI Debt Selection Trust: | |||
Series 2020-3, Class B, 3.22%, 5/17/27(1) | 1,570 | 1,589,970 | |
Series 2021-2, 3.00%, 1/25/29(1) | 1,608 | 1,609,090 | |
Series 2021-3, Class C, 3.27%, 5/15/29(1) | 3,950 | 3,897,615 | |
Series 2021-5, Class C, 3.93%, 8/15/29(1) | 1,262 | 1,260,487 | |
Planet Fitness Master Issuer, LLC: | |||
Series 2018-1A, Class A2I, 4.262%, 9/5/48(1) | 798 | 801,268 | |
Series 2018-1A, Class A2II, 4.666%, 9/5/48(1) | 343 | 351,760 | |
Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 529 | 545,006 | |
Prodigy Finance, Series 2021-1A, Class C, 3.852%, (1 mo. USD LIBOR + 3.75%), 7/25/51(1)(2) | 986 | 990,691 | |
Prosper Marketplace Issuance Trust, Series 2019-4A, Class C, 4.95%, 2/17/26(1) | 1,190 | 1,201,893 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 195 | 194,690 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 424 | 428,549 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 1,667 | 1,710,389 | |
Small Business Lending Trust, Series 2020-A, Class A, 2.62%, 12/15/26(1) | 63 | 62,598 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 1,346 | 1,399,511 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 1,833 | 1,900,496 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 200 | 204,049 | |
Sunnova Helios II Issuer, LLC, Series 2021-A, Class B, 3.15%, 2/20/48(1) | 912 | 895,011 | |
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class B, 5.47%, 11/1/55(1) | 676 | 692,770 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 176 | 186,284 | |
Theorem Funding Trust: | |||
Series 2020-1A, Class A, 2.48%, 10/15/26(1) | 62 | 62,747 | |
Series 2020-1A, Class B, 3.95%, 10/15/26(1) | 2,269 | 2,298,850 | |
Series 2021-1A, Class B, 1.84%, 12/15/27(1) | 891 | 881,239 | |
Thunderbolt Aircraft Lease, Ltd., Series 2017-A, Class C, 4.50%, 5/17/32(1) | 353 | 233,843 | |
Upstart Securitization Trust: | |||
Series 2020-1, Class C, 4.899%, 4/22/30(1) | 1,934 | 1,988,425 | |
Series 2020-3, Class C, 6.25%, 11/20/30(1) | 2,300 | 2,432,800 | |
Series 2021-1, Class B, 1.89%, 3/20/31(1) | 750 | 746,858 |
Security | Principal Amount (000's omitted) | Value | |
Vantage Data Centers Issuer, LLC: | |||
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | $ | 1,232 | $ 1,259,128 |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 820 | 805,652 | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | 244 | 227,349 | |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 194 | 140,855 | |
Total Asset-Backed Securities (identified cost $58,127,257) | $ 58,085,273 |
Collateralized Mortgage Obligations — 12.0% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd.: | |||
Series 2017-1, Class B1, 4.852%, (1 mo. USD LIBOR + 4.75%), 10/25/27(1)(2) | $ | 655 | $ 669,570 |
Series 2020-4A, Class M2A, 2.702%, (1 mo. USD LIBOR + 2.60%), 6/25/30(1)(2) | 53 | 53,506 | |
Series 2021-1A, Class M1C, 3.00%, (30-day average SOFR + 2.95%), 3/25/31(1)(2) | 900 | 927,227 | |
Series 2021-3A, Class M1B, 1.45%, (30-day average SOFR + 1.40%), 9/25/31(1)(2) | 2,220 | 2,211,570 | |
Eagle Re, Ltd., Series 2021-2, Class M1C, 3.50%, (30-day average SOFR + 3.45%), 4/25/34(1)(2) | 861 | 864,820 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2015-HQ2, Class M3, 3.353%, (1 mo. USD LIBOR + 3.25%), 5/25/25(2) | 349 | 354,511 | |
Series 2017-DNA3, Class M2, 2.603%, (1 mo. USD LIBOR + 2.50%), 3/25/30(2) | 880 | 898,069 | |
Series 2018-DNA1, Class M2, 1.903%, (1 mo. USD LIBOR + 1.80%), 7/25/30(2) | 1,991 | 2,004,126 | |
Series 2018-DNA1, Class M2AT, 1.153%, (1 mo. USD LIBOR + 1.05%), 7/25/30(2) | 665 | 667,525 | |
Series 2019-DNA2, Class M2, 2.553%, (1 mo. USD LIBOR + 2.45%), 3/25/49(1)(2) | 489 | 495,195 | |
Series 2019-DNA3, Class B2, 8.253%, (1 mo. USD LIBOR + 8.15%), 7/25/49(1)(2) | 1,270 | 1,347,654 | |
Series 2019-DNA3, Class M2, 2.153%, (1 mo. USD LIBOR + 2.05%), 7/25/49(1)(2) | 1,955 | 1,972,152 | |
Series 2019-HQA2, Class B1, 4.203%, (1 mo. USD LIBOR + 4.10%), 4/25/49(1)(2) | 795 | 814,771 | |
Series 2019-HQA3, Class B1, 3.103%, (1 mo. USD LIBOR + 3.00%), 9/25/49(1)(2) | 410 | 413,703 | |
Series 2019-HQA4, Class B1, 3.053%, (1 mo. USD LIBOR + 2.95%), 11/25/49(1)(2) | 290 | 292,267 | |
Series 2020-DNA4, Class M2, 3.853%, (1 mo. USD LIBOR + 3.75%), 8/25/50(1)(2) | 62 | 62,539 | |
Series 2020-DNA5, Class M2, 2.85%, (30-day average SOFR + 2.80%), 10/25/50(1)(2) | 234 | 236,057 | |
Series 2020-DNA6, Class B1, 3.05%, (30-day average SOFR + 3.00%), 12/25/50(1)(2) | 275 | 278,859 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: (continued) | |||
Series 2020-HQA2, Class B1, 4.203%, (1 mo. USD LIBOR + 4.10%), 3/25/50(1)(2) | $ | 569 | $ 589,473 |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2014-C04, Class 1M2, 5.003%, (1 mo. USD LIBOR + 4.90%), 11/25/24(2) | 580 | 603,946 | |
Series 2018-C06, Class 1M2, 2.103%, (1 mo. USD LIBOR + 2.00%), 3/25/31(2) | 319 | 321,715 | |
Series 2018-R07, Class 1M2, 2.502%, (1 mo. USD LIBOR + 2.40%), 4/25/31(1)(2) | 252 | 254,051 | |
Series 2019-R01, Class 2B1, 4.453%, (1 mo. USD LIBOR + 4.35%), 7/25/31(1)(2) | 795 | 818,821 | |
Series 2019-R02, Class 1B1, 4.253%, (1 mo. USD LIBOR + 4.15%), 8/25/31(1)(2) | 795 | 816,211 | |
Series 2019-R03, Class 1B1, 4.203%, (1 mo. USD LIBOR + 4.10%), 9/25/31(1)(2) | 795 | 817,039 | |
Series 2019-R05, Class 1B1, 4.203%, (1 mo. USD LIBOR + 4.10%), 7/25/39(1)(2) | 1,375 | 1,400,285 | |
Series 2019-R06, Class 2B1, 3.852%, (1 mo. USD LIBOR + 3.75%), 9/25/39(1)(2) | 950 | 962,899 | |
Series 2019-R07, Class 1B1, 3.503%, (1 mo. USD LIBOR + 3.40%), 10/25/39(1)(2) | 1,173 | 1,185,426 | |
Series 2020-R02, Class 2B1, 3.103%, (1 mo. USD LIBOR + 3.00%), 1/25/40(1)(2) | 494 | 497,323 | |
Series 2021-R01, Class 1B2, 6.05%, (30-day average SOFR + 6.00%), 10/25/41(1)(2) | 836 | 856,212 | |
Series 2021-R02, Class 2B1, 3.35%, (30-day average SOFR + 3.30%), 11/25/41(1)(2) | 180 | 180,877 | |
FMC GMSR Issuer Trust: | |||
Series 2021-GT1, Class A, 3.62%, 7/25/26(1)(3) | 655 | 651,079 | |
Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(3) | 1,029 | 1,023,172 | |
Home Re, Ltd.: | |||
Series 2018-1, Class M2, 3.102%, (1 mo. USD LIBOR + 3.00%), 10/25/28(1)(2) | 4,385 | 4,424,930 | |
Series 2021-1, Class M1C, 2.402%, (1 mo. USD LIBOR + 2.30%), 7/25/33(1)(2) | 325 | 320,740 | |
Series 2021-1, Class M2, 2.952%, (1 mo. USD LIBOR + 2.85%), 7/25/33(1)(2) | 1,295 | 1,265,662 | |
Radnor Re, Ltd., Series 2021-2, Class M1A, 1.90%, (30-day average SOFR + 1.85%), 11/25/31(1)(2) | 455 | 457,088 | |
Toorak Mortgage Corp., Ltd., Series 2020-1, Class A1, 2.734% to 1/25/23, 3/25/23(1)(4) | 640 | 641,624 | |
ZH Trust: | |||
Series 2021-1, Class A, 2.253%, 2/18/27(1) | 450 | 448,697 | |
Series 2021-2, Class A, 2.349%, 10/17/27(1) | 393 | 391,204 | |
Total Collateralized Mortgage Obligations (identified cost $33,228,058) | $ 33,492,595 |
Commercial Mortgage-Backed Securities — 10.2% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class ENM, 3.719%, 11/5/32(1)(3) | $ | 3,865 | $ 3,622,630 |
Series 2019-BPR, Class FNM, 3.719%, 11/5/32(1)(3) | 1,555 | 1,248,125 | |
BBCMS Mortgage Trust, Series 2018-RRI, Class F, 4.759%, (1 mo. USD LIBOR + 4.65%), 2/15/33(1)(2) | 1,198 | 1,203,472 | |
BX Commercial Mortgage Trust, Series 2021-VOLT, Class D, 1.759%, (1 mo. USD LIBOR + 1.65%), 9/15/36(1)(2) | 2,362 | 2,347,091 | |
CGMS Commercial Mortgage Trust: | |||
Series 2017-MDRB, Class A, 1.21%, (1 mo. USD LIBOR + 1.10%), 7/15/30(1)(2) | 406 | 405,002 | |
Series 2017-MDRC, Class C, 1.41%, (1 mo. USD LIBOR + 1.30%), 7/15/30(1)(2) | 600 | 593,604 | |
Series 2017-MDRC, Class D, 2.36%, (1 mo. USD LIBOR + 2.25%), 7/15/30(1)(2) | 2,175 | 2,136,329 | |
Extended Stay America Trust, Series 2021-ESH, Class D, 2.36%, (1 mo. USD LIBOR + 2.25%), 7/15/38(1)(2) | 2,827 | 2,831,565 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 3.352%, (1 mo. USD LIBOR + 3.25%), 10/15/49(1)(2) | 970 | 960,307 | |
Series 2020-01, Class M10, 3.852%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(2) | 2,252 | 2,291,462 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 605 | 177,870 | |
Med Trust, Series 2021-MDLN, Class G, 5.36%, (1 mo. USD LIBOR + 5.25%), 11/15/38(1)(2) | 1,130 | 1,121,549 | |
Morgan Stanley Capital I Trust: | |||
Series 2017-CLS, Class E, 2.06%, (1 mo. USD LIBOR + 1.95%), 11/15/34(1)(2)(5) | 671 | 670,116 | |
Series 2017-CLS, Class F, 2.71%, (1 mo. USD LIBOR + 2.60%), 11/15/34(1)(2)(5) | 2,196 | 2,189,100 | |
Series 2019-BPR, Class B, 2.21%, (1 mo. USD LIBOR + 2.10%), 5/15/36(1)(2)(5) | 2,621 | 2,501,861 | |
Series 2019-BPR, Class C, 3.16%, (1 mo. USD LIBOR + 3.05%), 5/15/36(1)(2)(5) | 960 | 874,265 | |
Motel Trust, Series 2021-MTL6, Class D, 2.21%, (1 mo. USD LIBOR + 2.10%), 9/15/38(1)(2) | 171 | 171,385 | |
VMC Finance, LLC, Series 2021-HT1, Class B, 4.603%, (1 mo. USD LIBOR + 4.50%), 1/18/37(1)(2) | 3,122 | 3,125,688 | |
Total Commercial Mortgage-Backed Securities (identified cost $29,214,847) | $ 28,471,421 |
Common Stocks — 0.1% |
Security | Shares | Value | |
Diversified Telecommunication Services — 0.1% | |||
Verizon Communications, Inc. | 8,000 | $ 415,680 | |
Total Common Stocks (identified cost $446,149) | $ 415,680 |
Convertible Bonds — 0.7% |
Security | Principal Amount (000's omitted) | Value | |
Technology — 0.7% | |||
ams AG, 0.875%, 9/28/22(6) | $ | 2,000 | $ 1,971,113 |
Total Convertible Bonds (identified cost $1,967,180) | $ 1,971,113 |
Corporate Bonds — 30.5% |
Security | Principal Amount (000's omitted) | Value | |
Basic Materials — 0.2% | |||
WR Grace Holdings, LLC, 5.625%, 8/15/29(1) | $ | 670 | $ 687,588 |
$ 687,588 | |||
Communications — 4.1% | |||
AT&T, Inc.: | |||
3.10%, 2/1/43 | $ | 677 | $ 659,529 |
3.50%, 9/15/53 | 560 | 566,037 | |
3.65%, 6/1/51 | 885 | 918,551 | |
CCO Holdings, LLC/CCO Holdings Capital Corp., 5.00%, 2/1/28(1) | 1,993 | 2,076,706 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 1,350 | 1,515,213 | |
Level 3 Financing, Inc., 3.75%, 7/15/29(1) | 450 | 428,229 | |
Nokia Oyj: | |||
4.375%, 6/12/27 | 600 | 648,729 | |
6.625%, 5/15/39 | 750 | 1,038,847 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 410 | 469,694 | |
SES S.A., 5.30%, 4/4/43(1) | 245 | 281,303 | |
Sprint Corp., 7.875%, 9/15/23 | 1,204 | 1,327,681 | |
T-Mobile USA, Inc.: | |||
2.25%, 2/15/26(7) | 277 | 278,115 | |
2.625%, 4/15/26 | 412 | 414,598 | |
Ziggo B.V., 5.50%, 1/15/27(1) | 730 | 750,922 | |
$ 11,374,154 |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Cyclical — 5.7% | |||
American Airlines Pass-Through Trust, 5.25%, 1/15/24 | $ | 78 | $ 77,131 |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 1,617 | 1,683,992 | |
5.75%, 4/20/29(1) | 267 | 285,892 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 1,239 | 1,322,341 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) | 757 | 827,236 | |
Ford Motor Credit Co., LLC: | |||
1.221%, (3 mo. USD LIBOR + 1.08%), 8/3/22(2) | 3,225 | 3,230,862 | |
3.087%, 1/9/23 | 481 | 489,764 | |
3.375%, 11/13/25 | 1,294 | 1,346,064 | |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 475 | 485,699 | |
4.375%, 1/15/31(1)(7) | 945 | 1,010,143 | |
Macy's Retail Holdings, LLC: | |||
3.625%, 6/1/24 | 549 | 561,932 | |
4.30%, 2/15/43 | 495 | 435,085 | |
MDC Holdings, Inc., 2.50%, 1/15/31 | 894 | 865,989 | |
Nordstrom, Inc.: | |||
4.25%, 8/1/31(7) | 521 | 512,674 | |
4.375%, 4/1/30(7) | 778 | 786,013 | |
5.00%, 1/15/44(7) | 713 | 665,985 | |
Powdr Corp., 6.00%, 8/1/25(1) | 1,285 | 1,340,191 | |
$ 15,926,993 | |||
Consumer, Non-cyclical — 3.2% | |||
Ashtead Capital, Inc.: | |||
4.00%, 5/1/28(1) | $ | 441 | $ 461,060 |
4.25%, 11/1/29(1) | 514 | 548,547 | |
Avantor Funding, Inc., 4.625%, 7/15/28(1) | 1,258 | 1,313,560 | |
Avon Products, Inc., 8.45%, 3/15/43 | 429 | 528,273 | |
Block Financial, LLC, 3.875%, 8/15/30 | 1,108 | 1,186,801 | |
Centene Corp.: | |||
3.375%, 2/15/30 | 469 | 478,406 | |
4.25%, 12/15/27 | 897 | 936,674 | |
4.625%, 12/15/29 | 543 | 586,543 | |
Hikma Finance USA, LLC, 3.25%, 7/9/25(6) | 958 | 985,475 | |
Natura Cosmeticos S.A., 4.125%, 5/3/28(1) | 976 | 959,281 | |
Smithfield Foods, Inc.: | |||
2.625%, 9/13/31(1)(7) | 437 | 423,286 | |
5.20%, 4/1/29(1) | 595 | 680,220 | |
$ 9,088,126 | |||
Energy — 1.3% | |||
NuStar Logistics, L.P.: | |||
5.75%, 10/1/25 | $ | 583 | $ 627,964 |
Security | Principal Amount (000's omitted) | Value | |
Energy (continued) | |||
NuStar Logistics, L.P.: (continued) | |||
6.00%, 6/1/26 | $ | 340 | $ 369,255 |
6.375%, 10/1/30 | 440 | 489,073 | |
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | 1,442 | 1,513,927 | |
5.00%, 1/31/28(1) | 625 | 662,891 | |
$ 3,663,110 | |||
Financial — 12.2% | |||
AerCap Holdings N.V., 5.875% to 10/10/24, 10/10/79(8) | $ | 173 | $ 179,308 |
Alliance Data Systems Corp., 4.75%, 12/15/24(1) | 1,634 | 1,668,968 | |
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) | 670 | 695,822 | |
American Assets Trust, L.P., 3.375%, 2/1/31 | 1,010 | 1,032,446 | |
Banco BTG Pactual S.A./Cayman Islands, 4.50%, 1/10/25(1) | 1,290 | 1,302,848 | |
Banco do Brasil S.A., 3.25%, 9/30/26(1) | 1,735 | 1,690,931 | |
BankUnited, Inc., 5.125%, 6/11/30 | 526 | 599,740 | |
BBVA Bancomer S.A./Texas, 5.125% to 1/18/28, 1/18/33(1)(7)(8) | 1,538 | 1,580,856 | |
Broadstone Net Lease, LLC, 2.60%, 9/15/31 | 305 | 296,390 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 1,140 | 1,171,038 | |
4.10%, 6/15/51(7) | 352 | 382,369 | |
Citigroup, Inc., 4.00% to 12/10/25(8)(9) | 659 | 665,590 | |
Enact Holdings, Inc., 6.50%, 8/15/25(1) | 2,477 | 2,708,612 | |
EPR Properties, 3.75%, 8/15/29 | 1,218 | 1,230,489 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 1,105 | 1,117,531 | |
6.00%, 4/15/25(1) | 774 | 805,734 | |
Iron Mountain, Inc.: | |||
4.50%, 2/15/31(1) | 929 | 940,612 | |
5.00%, 7/15/28(1) | 1,114 | 1,146,312 | |
Macquarie Bank, Ltd.: | |||
3.052% to 3/3/31, 3/3/36(1)(8) | 864 | 852,804 | |
3.624%, 6/3/30(1) | 631 | 659,099 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 1,445 | 1,547,595 | |
OneMain Finance Corp.: | |||
3.50%, 1/15/27 | 693 | 686,060 | |
7.125%, 3/15/26 | 1,065 | 1,215,671 | |
Radian Group, Inc.: | |||
4.875%, 3/15/27 | 1,490 | 1,600,353 | |
6.625%, 3/15/25 | 505 | 558,623 | |
Sabra Health Care, L.P., 3.20%, 12/1/31 | 1,244 | 1,217,042 | |
Societe Generale S.A., 4.75% to 5/26/26(1)(8)(9) | 329 | 334,892 | |
Stewart Information Services Corp., 3.60%, 11/15/31 | 814 | 825,113 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
Synovus Bank/Columbus, GA, 4.00% to 10/29/25, 10/29/30(8) | $ | 729 | $ 759,905 |
Synovus Financial Corp., 5.90% to 2/7/24, 2/7/29(8) | 979 | 1,046,927 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(8) | 981 | 1,014,793 | |
Truist Financial Corp., 5.10% to 3/1/30(8)(9) | 868 | 972,160 | |
UBS Group AG, 4.375% to 2/10/31(1)(7)(8)(9) | 534 | 528,820 | |
UniCredit SpA: | |||
5.459% to 6/30/30, 6/30/35(1)(8) | 332 | 362,100 | |
5.861% to 6/19/27, 6/19/32(1)(8) | 700 | 768,482 | |
$ 34,166,035 | |||
Industrial — 0.9% | |||
Hexcel Corp., 4.20%, 2/15/27 | $ | 112 | $ 120,342 |
Imola Merger Corp., 4.75%, 5/15/29(1) | 1,148 | 1,179,989 | |
Valmont Industries, Inc., 5.00%, 10/1/44 | 937 | 1,160,962 | |
$ 2,461,293 | |||
Technology — 1.7% | |||
DXC Technology Co., 2.375%, 9/15/28 | $ | 458 | $ 448,076 |
Kyndryl Holdings, Inc., 2.70%, 10/15/28(1) | 1,587 | 1,537,129 | |
Seagate HDD Cayman: | |||
3.375%, 7/15/31 | 500 | 488,665 | |
5.75%, 12/1/34(7) | 1,170 | 1,350,086 | |
Western Digital Corp., 4.75%, 2/15/26 | 833 | 911,931 | |
$ 4,735,887 | |||
Utilities — 1.2% | |||
Clearway Energy Operating, LLC, 3.75%, 1/15/32(1) | $ | 401 | $ 398,568 |
Engie Energia Chile S.A., 3.40%, 1/28/30(1) | 790 | 801,009 | |
NextEra Energy Operating Partners, L.P., 4.50%, 9/15/27(1) | 800 | 864,800 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 1,260 | 1,309,215 | |
$ 3,373,592 | |||
Total Corporate Bonds (identified cost $83,940,811) | $ 85,476,778 |
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(10)(11) | $ | 500 | $ 489,530 |
Total High Social Impact Investments (identified cost $500,000) | $ 489,530 |
Mutual Funds — 3.1% |
Security | Shares | Value | |
Fixed-Income Mutual Funds — 3.1% | |||
Calvert Floating-Rate Advantage Fund, Class R6(12) | 917,630 | $ 8,680,782 | |
Total Mutual Funds (identified cost $8,331,125) | $ 8,680,782 |
Preferred Stocks — 1.6% |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels — 0.4% | |||
NuStar Energy, L.P., Series B, 7.625% to 6/15/22(8) | 53,308 | $ 1,199,430 | |
$ 1,199,430 | |||
Real Estate Management & Development — 0.7% | |||
Brookfield Property Partners, L.P., Series A, 5.75% | 78,480 | $ 1,848,989 | |
$ 1,848,989 | |||
Wireless Telecommunication Services — 0.5% | |||
United States Cellular Corp.: | |||
5.50% | 27,725 | $ 731,940 | |
6.25% | 27,000 | 731,700 | |
$ 1,463,640 | |||
Total Preferred Stocks (identified cost $4,356,709) | $ 4,512,059 |
Senior Floating-Rate Loans — 4.3%(13) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Air Transport — 0.4% | |||
SkyMiles IP, Ltd., Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), 10/20/27 | $ | 1,100 | $ 1,165,862 |
$ 1,165,862 | |||
Automotive — 0.2% | |||
Clarios Global, L.P., Term Loan, 4/30/26(14) | $ | 600 | $ 597,313 |
$ 597,313 | |||
Building and Development — 0.2% | |||
Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 2.852%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | $ | 588 | $ 585,369 |
$ 585,369 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Cable and Satellite Television — 0.5% | |||
CSC Holdings, LLC, Term Loan, 2.36%, (1 mo. USD LIBOR + 2.25%), 7/17/25 | $ | 546 | $ 538,074 |
UPC Financing Partnership, Term Loan, 3.11%, (1 mo. USD LIBOR + 3.00%), 1/31/29 | 500 | 499,000 | |
Virgin Media Bristol, LLC, Term Loan, 3.36%, (1 mo. USD LIBOR + 3.25%), 1/31/29 | 500 | 500,313 | |
$ 1,537,387 | |||
Electronics/Electrical — 1.0% | |||
Banff Merger Sub, Inc., Term Loan, 3.974%, (3 mo. USD LIBOR + 3.75%), 10/2/25 | $ | 445 | $ 443,735 |
Hyland Software, Inc., Term Loan, 4.25%, (1 mo. USD LIBOR + 3.50%, Floor 0.75%), 7/1/24 | 709 | 710,441 | |
Informatica, LLC, Term Loan, 2.875%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 300 | 299,288 | |
MA FinanceCo., LLC, Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 60 | 60,159 | |
Seattle Spinco, Inc., Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 408 | 406,268 | |
SS&C European Holdings S.a.r.l., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 119 | 118,175 | |
SS&C Technologies, Inc., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 150 | 147,927 | |
Ultimate Software Group, Inc. (The), Term Loan, 3.854%, (1 mo. USD LIBOR + 3.75%), 5/4/26 | 500 | 498,924 | |
$ 2,684,917 | |||
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 | $ 175,641 |
$ 175,641 | |||
Health Care — 0.8% | |||
Change Healthcare Holdings, LLC, Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 3/1/24 | $ | 472 | $ 472,049 |
ICON Luxembourg S.a.r.l.: | |||
Term Loan, 2.75%, (3 mo. USD LIBOR + 2.25%, Floor 0.50%), 7/3/28 | 544 | 545,449 | |
Term Loan, 2.75%, (3 mo. USD LIBOR + 2.25%, Floor 0.50%), 7/3/28 | 136 | 135,899 | |
Ortho-Clinical Diagnostics S.A., Term Loan, 3.103%, (1 mo. USD LIBOR + 3.00%), 6/30/25 | 650 | 650,583 | |
Select Medical Corporation, Term Loan, 2.36%, (1 mo. USD LIBOR + 2.25%), 3/6/25 | 550 | 546,992 | |
$ 2,350,972 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Insurance — 0.5% | |||
Asurion, LLC: | |||
Term Loan, 3.229%, (1 mo. USD LIBOR + 3.125%), 11/3/23 | $ | 509 | $ 508,806 |
Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | 297 | 295,299 | |
USI, Inc., Term Loan, 3.224%, (3 mo. USD LIBOR + 3.00%), 5/16/24 | 499 | 495,480 | |
$ 1,299,585 | |||
Leisure Goods/Activities/Movies — 0.2% | |||
Bombardier Recreational Products, Inc., Term Loan, 2.101%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | $ | 136 | $ 134,362 |
Delta 2 (LUX) S.a.r.l., Term Loan, 2/1/24(14) | 500 | 500,134 | |
$ 634,496 | |||
Telecommunications — 0.4% | |||
CenturyLink, Inc., Term Loan, 2.354%, (1 mo. USD LIBOR + 2.25%), 3/15/27 | $ | 509 | $ 503,499 |
Level 3 Financing, Inc., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 142 | 139,995 | |
Ziggo Financing Partnership, Term Loan, 2.61%, (3 mo. USD LIBOR + 2.50%), 4/30/28 | 510 | 505,219 | |
$ 1,148,713 | |||
Total Senior Floating-Rate Loans (identified cost $12,182,342) | $ 12,180,255 |
Sovereign Government Bonds — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
Kreditanstalt fuer Wiederaufbau, 1.25%, 8/28/23 | NOK | 6,040 | $ 684,841 |
Total Sovereign Government Bonds (identified cost $658,683) | $ 684,841 |
U.S. Treasury Obligations — 11.1% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Notes: | |||
0.25%, 3/15/24 | $ | 14,274 | $ 14,105,054 |
0.25%, 5/31/25 | 14,310 | 13,922,065 | |
1.00%, 7/31/28 | 1,048 | 1,020,531 | |
1.25%, 4/30/28 | 1,050 | 1,040,689 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Notes: (continued) | |||
1.375%, 10/31/28 | $ | 860 | $ 856,775 |
Total U.S. Treasury Obligations (identified cost $30,976,872) | $ 30,945,114 |
Short-Term Investments — 6.9% | |||
Affiliated Fund — 5.2% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.06%(15) | 14,462,361 | $ 14,462,361 | |
Total Affiliated Fund (identified cost $14,461,914) | $ 14,462,361 | ||
Securities Lending Collateral — 1.7% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%(16) | 4,683,635 | $ 4,683,635 | |
Total Securities Lending Collateral (identified cost $4,683,635) | $ 4,683,635 | ||
Total Short-Term Investments (identified cost $19,145,549) | $ 19,145,996 | ||
Total Purchased Options — 0.0%(17) (identified cost $101,832) | $ 83,125 | ||
Total Investments — 101.7% (identified cost $283,177,414) | $284,634,562 | ||
Other Assets, Less Liabilities — (1.7)% | $ (4,781,462) | ||
Net Assets — 100.0% | $ 279,853,100 |
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 December 31, 2021, the aggregate value of these securities is $156,667,238 or 56.0% of the Fund's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at December 31, 2021. |
(3) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at December 31, 2021. |
(4) | Step coupon security. Interest rate represents the rate in effect at December 31, 2021. |
(5) | Represents an investment in an issuer that may be deemed to be an affiliate effective March 1, 2021 (see Note 8). |
(6) | 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 December 31, 2021, the aggregate value of these securities is $2,956,588 or 1.1% of the Fund's net assets. |
(7) | All or a portion of this security was on loan at December 31, 2021. The aggregate market value of securities on loan at December 31, 2021 was $5,293,123. |
(8) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(9) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(10) | May be deemed to be an affiliated company (see Note 8). |
(11) | Restricted security. Total market value of restricted securities amounts to $489,530, which represents 0.2% of the net assets of the Fund as of December 31, 2021. |
(12) | Affiliated fund (see Note 8). |
(13) | 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. |
(14) | This Senior Loan will settle after December 31, 2021, at which time the interest rate will be determined. |
(15) | 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 December 31, 2021. |
(16) | Represents investment of cash collateral received in connection with securities lending. |
(17) | Amount is less than 0.05%. |
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
U.S. 10-Year Treasury Note Futures 3/2022 | 280 | $36,531,250 | $128.50 | 2/18/22 | $ 83,125 |
Total | $83,125 |
(1) | Amount is less than 0.05%. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 197 | Long | 3/31/22 | $ 42,979,860 | $ (3,956) |
U.S. 5-Year Treasury Note | 82 | Long | 3/31/22 | 9,920,078 | 40,859 |
U.S. 10-Year Treasury Note | (15) | Short | 3/22/22 | (1,957,031) | (19,246) |
U.S. Long Treasury Bond | (11) | Short | 3/22/22 | (1,764,813) | (18,583) |
U.S. Ultra 10-Year Treasury Note | (140) | Short | 3/22/22 | (20,501,250) | (282,608) |
U.S. Ultra-Long Treasury Bond | (62) | Short | 3/22/22 | (12,221,750) | (282,960) |
$(566,494) |
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 |
December 31, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $253,477,369) - including $5,293,123 of securities on loan | $ 254,766,547 |
Investments in securities of affiliated issuers, at value (identified cost $29,700,045) | 29,868,015 |
Cash | 429,504 |
Deposits at broker for futures contracts | 900,000 |
Receivable for capital shares sold | 1,274,036 |
Dividends and interest receivable | 1,277,756 |
Dividends and interest receivable - affiliated | 36,115 |
Securities lending income receivable | 2,020 |
Receivable from affiliate | 4,560 |
Trustees' deferred compensation plan | 135,082 |
Total assets | $288,693,635 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 330,335 |
Payable for investments purchased | 3,237,487 |
Payable for capital shares redeemed | 242,110 |
Distributions payable | 15,102 |
Deposits for securities loaned | 4,683,635 |
Payable to affiliates: | |
Investment advisory fee | 79,818 |
Administrative fee | 27,366 |
Distribution and service fees | 7,649 |
Sub-transfer agency fee | 1,801 |
Trustees' deferred compensation plan | 135,082 |
Accrued expenses | 80,150 |
Total liabilities | $ 8,840,535 |
Net Assets | $279,853,100 |
Sources of Net Assets | |
Paid-in capital | $ 278,397,035 |
Distributable earnings | 1,456,065 |
Net Assets | $279,853,100 |
Class A Shares | |
Net Assets | $ 30,843,985 |
Shares Outstanding | 2,009,994 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 15.35 |
Maximum Offering Price Per Share (100 ÷ 96.25 of net asset value per share) | $ 15.95 |
Class C Shares | |
Net Assets | $ 1,248,595 |
Shares Outstanding | 81,318 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 15.35 |
December 31, 2021 | |
Class I Shares | |
Net Assets | $200,170,130 |
Shares Outstanding | 13,079,964 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 15.30 |
Class R6 Shares | |
Net Assets | $ 47,590,390 |
Shares Outstanding | 3,108,953 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 15.31 |
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. |
Year Ended | |
December 31, 2021 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $1,773) | $ 456,636 |
Dividend income - affiliated issuers | 264,743 |
Interest and other income (net of foreign taxes withheld of $2,138) | 5,925,654 |
Interest income - affiliated issuers | 101,865 |
Securities lending income, net | 19,859 |
Total investment income | $ 6,768,757 |
Expenses | |
Investment advisory fee | $ 770,225 |
Administrative fee | 264,077 |
Distribution and service fees: | |
Class A | 66,230 |
Class C | 12,200 |
Trustees' fees and expenses | 9,095 |
Custodian fees | 11,601 |
Transfer agency fees and expenses | 180,086 |
Accounting fees | 49,518 |
Professional fees | 36,383 |
Registration fees | 83,353 |
Reports to shareholders | 12,226 |
Miscellaneous | 34,632 |
Total expenses | $ 1,529,626 |
Waiver and/or reimbursement of expenses by affiliate | $ (42,680) |
Net expenses | $ 1,486,946 |
Net investment income | $ 5,281,811 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 3,769,746 |
Investment securities - affiliated issuers | (2,704) |
Futures contracts | 1,435,460 |
Foreign currency transactions | 766 |
Forward foreign currency exchange contracts | (10,233) |
Net realized gain | $ 5,193,035 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (2,156,247) |
Investment securities - affiliated issuers | 131,847 |
Futures contracts | (698,490) |
Foreign currency | (3,040) |
Forward foreign currency exchange contracts | 14,107 |
Net change in unrealized appreciation (depreciation) | $(2,711,823) |
Net realized and unrealized gain | $ 2,481,212 |
Net increase in net assets from operations | $ 7,763,023 |
Year Ended December 31, | ||
2021 | 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 5,281,811 | $ 6,032,794 |
Net realized gain (loss) | 5,193,035 | (827,600) |
Net change in unrealized appreciation (depreciation) | (2,711,823) | 1,256,268 |
Net increase in net assets from operations | $ 7,763,023 | $ 6,461,462 |
Distributions to shareholders: | ||
Class A | $ (918,389) | $ (630,250) |
Class C | (31,820) | (23,523) |
Class I | (5,856,583) | (4,177,831) |
Class R6 | (1,401,674) | (1,090,151) |
Total distributions to shareholders | $ (8,208,466) | $ (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 | $ 7,191,354 | $ (3,153,558) |
Class C | 26,741 | 185,726 |
Class I | 50,991,323 | 16,731,556 |
Class R6 | 17,695,205 | (10,848,498) |
Net increase in net assets from capital share transactions | $ 75,904,623 | $ 2,915,226 |
Net increase in net assets | $ 75,459,180 | $ 3,286,705 |
Net Assets | ||
At beginning of year | $ 204,393,920 | $ 201,107,215 |
At end of year | $279,853,100 | $204,393,920 |
Class A | |||||
Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of year | $ 15.31 | $ 15.15 | $ 14.64 | $ 15.07 | $ 15.08 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.34 | $ 0.40 | $ 0.46 | $ 0.44 | $ 0.37 |
Net realized and unrealized gain (loss) | 0.21 | 0.16 | 0.52 | (0.42) | 0.11 |
Total income from operations | $ 0.55 | $ 0.56 | $ 0.98 | $ 0.02 | $ 0.48 |
Less Distributions | |||||
From net investment income | $ (0.34) | $ (0.39) | $ (0.47) | $ (0.45) | $ (0.37) |
From net realized gain | (0.17) | — | — | — | (0.12) |
Tax return of capital | — | (0.01) | — | — | — |
Total distributions | $ (0.51) | $ (0.40) | $ (0.47) | $ (0.45) | $ (0.49) |
Net asset value — End of year | $ 15.35 | $ 15.31 | $ 15.15 | $ 14.64 | $ 15.07 |
Total Return(2) | 3.62% | 3.86% | 6.76% | 0.12% | 3.21% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $30,844 | $23,704 | $26,711 | $24,045 | $15,220 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.92% | 0.93% | 0.96% | 0.93% | 1.09% |
Net expenses | 0.90% | 0.92% | 0.94% | 0.93% | 1.08% |
Net investment income | 2.18% | 2.70% | 3.05% | 2.96% | 2.41% |
Portfolio Turnover | 96% (4) | 104% (4) | 87% | 88% | 111% |
(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) | 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. |
(4) | Includes the effect of To Be Announced (TBA) transactions. |
Class C | |||||
Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of year | $ 15.32 | $ 15.16 | $ 14.65 | $ 15.08 | $ 15.09 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.22 | $ 0.29 | $ 0.35 | $ 0.33 | $ 0.26 |
Net realized and unrealized gain (loss) | 0.21 | 0.16 | 0.52 | (0.42) | 0.10 |
Total income (loss) from operations | $ 0.43 | $ 0.45 | $ 0.87 | $ (0.09) | $ 0.36 |
Less Distributions | |||||
From net investment income | $ (0.23) | $ (0.28) | $ (0.36) | $ (0.34) | $ (0.25) |
From net realized gain | (0.17) | — | — | — | (0.12) |
Tax return of capital | — | (0.01) | — | — | — |
Total distributions | $ (0.40) | $ (0.29) | $ (0.36) | $ (0.34) | $ (0.37) |
Net asset value — End of year | $15.35 | $15.32 | $15.16 | $14.65 | $15.08 |
Total Return(2) | 2.77% | 3.08% | 6.03% | (0.68)% | 2.41% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 1,249 | $ 1,223 | $ 1,031 | $ 934 | $ 649 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 1.67% | 1.68% | 1.71% | 1.68% | 3.42% |
Net expenses | 1.65% | 1.67% | 1.70% | 1.68% | 1.84% |
Net investment income | 1.42% | 1.95% | 2.30% | 2.20% | 1.69% |
Portfolio Turnover | 96% (4) | 104% (4) | 87% | 88% | 111% |
(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) | 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. |
(4) | Includes the effect of To Be Announced (TBA) transactions. |
Class I | |||||
Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of year | $ 15.27 | $ 15.11 | $ 14.60 | $ 15.02 | $ 15.04 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.38 | $ 0.43 | $ 0.50 | $ 0.48 | $ 0.43 |
Net realized and unrealized gain (loss) | 0.20 | 0.17 | 0.52 | (0.41) | 0.10 |
Total income from operations | $ 0.58 | $ 0.60 | $ 1.02 | $ 0.07 | $ 0.53 |
Less Distributions | |||||
From net investment income | $ (0.38) | $ (0.43) | $ (0.51) | $ (0.49) | $ (0.43) |
From net realized gain | (0.17) | — | — | — | (0.12) |
Tax return of capital | — | (0.01) | — | — | — |
Total distributions | $ (0.55) | $ (0.44) | $ (0.51) | $ (0.49) | $ (0.55) |
Net asset value — End of year | $ 15.30 | $ 15.27 | $ 15.11 | $ 14.60 | $ 15.02 |
Total Return(2) | 3.81% | 4.12% | 7.06% | 0.43% | 3.59% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $200,170 | $149,364 | $132,062 | $119,207 | $93,868 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.67% | 0.68% | 0.71% | 0.68% | 0.70% |
Net expenses | 0.65% | 0.67% | 0.67% | 0.65% | 0.65% |
Net investment income | 2.42% | 2.95% | 3.32% | 3.22% | 2.82% |
Portfolio Turnover | 96% (4) | 104% (4) | 87% | 88% | 111% |
(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) | 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. |
(4) | Includes the effect of To Be Announced (TBA) transactions. |
Class R6 | |||
Year Ended December 31, | Period Ended December 31, | ||
2021 | 2020 | 2019 (1) | |
Net asset value — Beginning of period | $ 15.27 | $ 15.11 | $ 15.00 |
Income (Loss) From Operations | |||
Net investment income | $ 0.39(2) | $ 0.44(2) | $ 0.33 |
Net realized and unrealized gain | 0.21 | 0.17 | 0.11 |
Total income from operations | $ 0.60 | $ 0.61 | $ 0.44 |
Less Distributions | |||
From net investment income | $ (0.39) | $ (0.44) | $ (0.33) |
From net realized gain | (0.17) | — | — |
From return of capital | — | (0.01) | — |
Total distributions | $ (0.56) | $ (0.45) | $ (0.33) |
Net asset value — End of period | $ 15.31 | $ 15.27 | $ 15.11 |
Total Return(3) | 3.96% | 4.20% | 2.97% (4) |
Ratios/Supplemental Data | |||
Net assets, end of period (000’s omitted) | $47,590 | $30,102 | $41,304 |
Ratios (as a percentage of average daily net assets):(5) | |||
Total expenses | 0.59% | 0.60% | 0.61% (6) |
Net expenses | 0.57% | 0.59% | 0.61% (6) |
Net investment income | 2.49% | 3.05% | 3.27% (6) |
Portfolio Turnover | 96% (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 | $ — | $ 58,085,273 | $ — | $ 58,085,273 |
Collateralized Mortgage Obligations | — | 33,492,595 | — | 33,492,595 |
Commercial Mortgage-Backed Securities | — | 28,471,421 | — | 28,471,421 |
Common Stocks | 415,680 (1) | — | — | 415,680 |
Convertible Bonds | — | 1,971,113 | — | 1,971,113 |
Corporate Bonds | — | 85,476,778 | — | 85,476,778 |
High Social Impact Investments | — | 489,530 | — | 489,530 |
Mutual Funds | 8,680,782 | — | — | 8,680,782 |
Preferred Stocks | 4,512,059 | — | — | 4,512,059 |
Senior Floating-Rate Loans | — | 12,180,255 | — | 12,180,255 |
Sovereign Government Bonds | — | 684,841 | — | 684,841 |
U.S. Treasury Obligations | — | 30,945,114 | — | 30,945,114 |
Short-Term Investments: | ||||
Affiliated Fund | — | 14,462,361 | — | 14,462,361 |
Securities Lending Collateral | 4,683,635 | — | — | 4,683,635 |
Purchased Put Options | 83,125 | — | — | 83,125 |
Total Investments | $18,375,281 | $266,259,281 | $ — | $284,634,562 |
Futures Contracts | $ 40,859 | $ — | $ — | $ 40,859 |
Total | $18,416,140 | $266,259,281 | $ — | $284,675,421 |
Liability Description | ||||
Futures Contracts | $ (607,353) | $ — | $ — | $ (607,353) |
Total | $ (607,353) | $ — | $ — | $ (607,353) |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Year Ended December 31, | ||
2021 | 2020 | |
Ordinary income | $6,674,301 | $5,921,755 |
Long-term capital gains | $1,534,165 | $ — |
Tax return of capital | $ — | $ 168,228 |
Undistributed ordinary income | $ 3,680 |
Undistributed long-term capital gains | 162,342 |
Net unrealized appreciation | 1,305,145 |
Distributions payable | (15,102) |
Distributable earnings | $1,456,065 |
Aggregate cost | $283,246,259 |
Gross unrealized appreciation | $ 3,157,054 |
Gross unrealized depreciation | (1,851,876) |
Net unrealized appreciation | $ 1,305,178 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $ 40,859(1) | $ (607,353)(1) | |
Purchased options | Investments in securities of unaffiliated issuers, at value | 83,125 | — | |
Total | $123,984 | $(607,353) |
(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 | (10,233) | — | (10,233) |
Futures contracts | — | 1,435,460 | 1,435,460 |
Total | $(10,233) | $1,521,693 | $1,511,460 |
Change in unrealized appreciation (depreciation): | |||
Investment securities(1) | $ — | $ (18,707) | $ (18,707) |
Forward foreign currency exchange contracts | 14,107 | — | 14,107 |
Futures contracts | — | (698,490) | (698,490) |
Total | $ 14,107 | $ (717,197) | $ (703,090) |
(1) | Relates to purchased options. |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* |
$7,999,000 | $35,432,000 | $235,000 |
* | 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 | |
Corporate Bonds | $4,683,635 | $ — | $ — | $ — | $4,683,635 |
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 2017-CLS, Class E, 2.06%, (1 mo. USD LIBOR + 1.95%), 11/15/34(1) | $ — | $ 670,476 | $ — | $ — | $ (360) | $ 670,116 | $ 996 | $ 671,000 |
Series 2017-CLS, Class F, 2.71%, (1 mo. USD LIBOR + 2.60%), 11/15/34(1) | — | 2,200,118 | — | — | (10,912) | 2,189,100 | 16,808 | 2,196,000 |
Series 2019-BPR, Class B, 2.206%, (1 mo. USD LIBOR + 2.10%), 5/15/36 (1) | — | — | — | — | 76,000 | 2,501,861 | 50,848 | 2,621,000 |
Series 2019-BPR, Class C, 3.156%, (1 mo. USD LIBOR + 3.05%), 5/15/36 (1) | — | — | — | — | 51,572 | 874,265 | 25,713 | 960,000 |
High Social Impact Investments | ||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(2) | 481,990 | — | — | — | 7,540 | 489,530 | 7,500 | 500,000 |
Mutual Funds | ||||||||
Calvert Floating-Rate Advantage Fund, Class R6 | 5,141,432 | 3,531,790 | — | — | 7,560 | 8,680,782 | 242,278 | 917,630 |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | 28,060,227 | 160,822,366 | (174,417,975) | (2,704) | 447 | 14,462,361 | 22,465 | 14,462,361 |
Totals | $(2,704) | $131,847 | $29,868,015 | $366,608 |
(1) | Affiliated issuer as of March 1, 2021 (see Note 2). |
(2) | Restricted security. |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 924,682 | $ 14,390,599 | 778,445 | $ 11,348,973 | |
Reinvestment of distributions | 54,856 | 847,704 | 35,821 | 525,103 | |
Shares redeemed | (519,560) | (8,074,411) | (1,031,025) | (15,054,899) | |
Converted from Class C | 1,760 | 27,462 | 1,818 | 27,265 | |
Net increase (decrease) | 461,738 | $ 7,191,354 | (214,941) | $ (3,153,558) |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class C | |||||
Shares sold | 33,833 | $ 527,810 | 31,309 | $ 469,806 | |
Reinvestment of distributions | 1,943 | 30,005 | 1,544 | 22,597 | |
Shares redeemed | (32,552) | (503,612) | (19,232) | (279,412) | |
Converted to Class A | (1,759) | (27,462) | (1,817) | (27,265) | |
Net increase | 1,465 | $ 26,741 | 11,804 | $ 185,726 | |
Class I | |||||
Shares sold | 8,072,554 | $125,124,841 | 5,980,100 | $ 87,206,665 | |
Reinvestment of distributions | 362,291 | 5,585,145 | 276,317 | 4,031,132 | |
Shares redeemed | (5,136,037) | (79,718,663) | (5,215,987) | (74,506,241) | |
Net increase | 3,298,808 | $ 50,991,323 | 1,040,430 | $ 16,731,556 | |
Class R6 | |||||
Shares sold | 1,129,019 | $ 17,556,104 | 265,036 | $ 3,973,834 | |
Reinvestment of distributions | 89,979 | 1,387,151 | 76,993 | 1,121,121 | |
Shares redeemed | (80,926) | (1,248,050) | (1,104,495) | (15,943,453) | |
Net increase (decrease) | 1,138,072 | $ 17,695,205 | (762,466) | $(10,848,498) |
Boston, Massachusetts
February 24, 2022
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
John H. Streur(1) 1960 | Trustee and President | Since 2015 | President and Chief Executive Officer of CRM (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Other Directorships. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. |
Noninterested Trustees | |||
Richard L. Baird, Jr. 1948 | Trustee | Since 1980 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA. Other Directorships. None. |
Alice Gresham Bullock 1950 | Chair and Trustee | Since 2016 | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships. None. |
Cari M. Dominguez 1949 | Trustee | Since 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships. ManpowerGroup Inc. (workforce solutions company); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Trustee | Since 1982 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Other Directorships. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Trustee | Since 2016 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram) (November 1999 - September 2014). Other Directorships. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Trustee | Since 2016 | Attorney. Other Directorships. Palm Management Corporation. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Anthony A. Williams 1951 | Trustee | Since 2010 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization); The Howard Hughes Corporation (real estate development). |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Hope L. Brown 1973 | Chief Compliance Officer | Since 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). |
Deidre E. Walsh 1971 | Secretary, Vice President and Chief Legal Officer | Since 2021 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2021). Also Vice President of Eaton Vance and certain of its affiliates and officer of 138 registered investment companies advised or administered by Eaton Vance. |
James F. Kirchner 1967 | Treasurer | Since 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 138 registered investment companies advised or administered by Eaton Vance. |
(1) Mr. Streur is an interested person of the Fund because of his positions with the Fund’s adviser and certain affiliates. |
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 | One Year | Five Years | Ten Years | Since Inception |
Class A at NAV | 08/23/1983 | 08/23/1983 | 0.19% | 3.40% | 2.98% | 5.29% |
Class A with 3.75% Maximum Sales Charge | — | — | (3.60) | 2.61 | 2.59 | 5.19 |
Class C at NAV | 07/15/2015 | 07/15/2015 | (0.56) | 2.64 | — | 2.31 |
Class C with 1% Maximum Sales Charge | — | — | (1.55) | 2.64 | — | 2.31 |
Class I at NAV | 07/15/2015 | 08/23/1983 | 0.38 | 3.71 | 3.18 | 5.35 |
Bloomberg Municipal Bond Index | — | — | 1.52% | 4.17% | 3.72% | 6.46% |
% 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 | 0.36% | (0.36)% | 0.63% |
SEC 30-day Yield - Unsubsidized | 0.26 | (0.47) | 0.52 |
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Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 07/15/2015 | $11,592 | N.A. |
Class I | $250,000 | 12/31/2011 | $342,097 | N.A. |
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† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
1 | Bloomberg 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 I is linked to Class A. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. Performance presented in the Financial Highlights included in the financial statements is not linked.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. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
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. |
Additional Information | |
Yield curve is a graphical representation of the yields offered by bonds of various maturities. The yield curve flattens when long-term interest rates fall and/or short-term interest rates increase, and the yield curve steepens when long-term interest rates increase and/or short-term interest rates fall. |
Beginning Account Value (7/1/21) | Ending Account Value (12/31/21) | Expenses Paid During Period* (7/1/21 – 12/31/21) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,002.00 | $3.78 ** | 0.75% |
Class C | $1,000.00 | $ 997.70 | $7.55 ** | 1.50% |
Class I | $1,000.00 | $1,002.70 | $2.52 ** | 0.50% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,021.42 | $3.82 ** | 0.75% |
Class C | $1,000.00 | $1,017.64 | $7.63 ** | 1.50% |
Class I | $1,000.00 | $1,022.68 | $2.55 ** | 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 184/365 (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 June 30, 2021. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Corporate Bonds — 2.5% |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Cyclical — 0.1% | |||
YMCA of Greater New York, 2.303%, 8/1/26 | $ | 265 | $ 262,776 |
$ 262,776 | |||
Consumer, Non-cyclical — 0.8% | |||
Conservation Fund (The), Green Bonds, 3.474%, 12/15/29 | $ | 3,493 | $ 3,690,330 |
$ 3,690,330 | |||
Industrial — 0.6% | |||
Nature Conservancy (The): | |||
Series A, 0.794%, 7/1/25 | $ | 1,450 | $ 1,419,716 |
Series A, 0.944%, 7/1/26 | 1,285 | 1,252,688 | |
$ 2,672,404 | |||
Other Revenue — 1.0% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | $ | 4,000 | $ 4,143,083 |
$ 4,143,083 | |||
Total Corporate Bonds (identified cost $10,562,460) | $ 10,768,593 |
Tax-Exempt Mortgage-Backed Securities — 1.8% |
Security | Principal Amount (000's omitted) | Value | |
Housing — 1.8% | |||
California Housing Finance Agency, Municipal Certificates: | |||
Series 2021-1, Class A, 3.50%, 11/20/35 | $ | 2,597 | $ 2,964,747 |
Series 2021-3, Class A, 3.25%, 8/20/36 | 2,497 | 2,831,092 | |
Washington Housing Finance Commission, Municipal Certificates, Series 2021-1, Class A, 3.50%, 12/20/35 | 1,626 | 1,885,891 | |
Total Tax-Exempt Mortgage-Backed Securities (identified cost $7,502,178) | $ 7,681,730 |
Tax-Exempt Municipal Obligations — 87.0% |
Security | Principal Amount (000's omitted) | Value | |
Bond Bank — 14.5% | |||
California Infrastructure and Economic Development Bank, (Clean Water State Revolving Fund), Green Bonds, 5.00%, 10/1/31 | $ | 1,000 | $ 1,248,820 |
Security | Principal Amount (000's omitted) | Value | |
Bond Bank (continued) | |||
Connecticut, (Revolving Fund): | |||
Green Bonds, 4.00%, 2/1/37 | $ | 3,000 | $ 3,560,190 |
Green Bonds, 5.00%, 5/1/34 | 1,140 | 1,379,104 | |
Illinois Finance Authority, (Clean Water Initiative Revolving Fund): | |||
5.00%, 7/1/32 | 1,500 | 1,799,010 | |
Green Bonds, 5.00%, 1/1/28 | 8,000 | 9,943,280 | |
Indiana Finance Authority, (Revolving Fund): | |||
Green Bonds, 5.00%, 2/1/29 | 2,000 | 2,394,840 | |
Green Bonds, Series 2018A, 5.00%, 2/1/25 | 2,510 | 2,862,680 | |
Green Bonds, Series 2019E, 5.00%, 2/1/25 | 1,920 | 2,189,779 | |
Iowa Finance Authority, (State Revolving Fund): | |||
Green Bonds, 5.00%, 8/1/27 | 1,805 | 2,227,370 | |
Green Bonds, 5.00%, 8/1/28 | 1,425 | 1,804,990 | |
Green Bonds, 5.00%, 8/1/29 | 875 | 1,133,239 | |
Green Bonds, 5.00%, 8/1/35 | 1,500 | 1,880,925 | |
Michigan Finance Authority, (Clean Water Revolving Fund): | |||
3.00%, 10/1/36 | 1,500 | 1,696,020 | |
3.00%, 10/1/37 | 1,390 | 1,569,268 | |
New Mexico Finance Authority, (Senior Lien Public Project Revolving Fund), 5.00%, 6/1/26 | 1,595 | 1,898,194 | |
New York State Environmental Facilities Corp., (State Revolving Fund), Green Bonds, 5.00%, 8/15/27 | 500 | 617,640 | |
Oklahoma Water Resources Board: | |||
4.00%, 10/1/31 | 120 | 148,112 | |
4.00%, 10/1/32 | 430 | 529,502 | |
4.00%, 10/1/34 | 150 | 184,295 | |
Rhode Island Infrastructure Bank, (Safe Drinking Water Revolving Fund), Green Bonds, 4.00%, 10/1/34 | 2,650 | 3,207,215 | |
Texas Water Development Board, (Revolving Fund): | |||
4.00%, 8/1/34 | 5,000 | 6,133,850 | |
4.00%, 8/1/37 | 2,750 | 3,336,850 | |
Texas Water Development Board, (State Water Implementation Revenue Fund), 5.00%, 10/15/27 | 2,500 | 3,098,650 | |
Wisconsin, Environmental Improvement Fund Revenue: | |||
Green Bonds, 5.00%, 6/1/34 | 1,295 | 1,655,127 | |
Green Bonds, 5.00%, 6/1/37 | 5,035 | 6,409,656 | |
$ 62,908,606 | |||
Education — 10.3% | |||
Adams County General Authority, PA, (Gettysburg College): | |||
5.00%, 8/15/27 | $ | 1,330 | $ 1,616,748 |
5.00%, 8/15/29 | 1,720 | 2,171,810 | |
Arizona State University: | |||
Green Bonds, 5.00%, 7/1/39 | 2,000 | 2,533,960 | |
Green Bonds, 5.00%, 7/1/41 | 3,000 | 3,431,610 |
Security | Principal Amount (000's omitted) | Value | |
Education (continued) | |||
Build NYC Resource Corp., NY, (Academic Leadership Charter School): | |||
4.00%, 6/15/22 | $ | 100 | $ 101,532 |
4.00%, 6/15/23 | 100 | 104,790 | |
4.00%, 6/15/24 | 120 | 129,217 | |
4.00%, 6/15/25 | 110 | 121,398 | |
4.00%, 6/15/26 | 110 | 123,673 | |
4.00%, 6/15/27 | 80 | 91,435 | |
4.00%, 6/15/28 | 125 | 144,951 | |
4.00%, 6/15/30 | 100 | 114,440 | |
4.00%, 6/15/31 | 100 | 113,990 | |
California Educational Facilities Authority, (Loyola Marymount University): | |||
Green Bonds, 5.00%, 10/1/33 | 920 | 1,139,954 | |
Green Bonds, 5.00%, 10/1/36 | 765 | 944,010 | |
Green Bonds, 5.00%, 10/1/38 | 730 | 898,024 | |
Colorado State University: | |||
4.00%, 3/1/26 | 210 | 239,146 | |
5.00%, 3/1/27 | 225 | 273,580 | |
District of Columbia, (Gallaudet University): | |||
Social Bonds, 5.00%, 4/1/26 | 300 | 352,668 | |
Social Bonds, 5.00%, 4/1/27 | 300 | 362,862 | |
Social Bonds, 5.00%, 4/1/28 | 325 | 402,561 | |
Social Bonds, 5.00%, 4/1/29 | 300 | 379,188 | |
Social Bonds, 5.00%, 4/1/30 | 300 | 386,037 | |
Social Bonds, 5.00%, 4/1/31 | 325 | 426,725 | |
District of Columbia, (Rocketship DC Obligated Group): | |||
5.00%, 6/1/29(1) | 360 | 414,288 | |
5.00%, 6/1/31(1) | 1,000 | 1,203,300 | |
Georgia Private Colleges and Universities Authority, (Emory University), 5.00%, 9/1/33 | 500 | 641,390 | |
Grand Valley State University, MI, 5.00%, 12/1/33 | 1,000 | 1,168,790 | |
Indiana Finance Authority, (Butler University), 5.00%, 2/1/31 | 1,130 | 1,226,152 | |
Ivy Tech Community College, IN: | |||
5.00%, 7/1/28 | 1,575 | 1,979,460 | |
5.00%, 7/1/29 | 925 | 1,184,268 | |
Kansas Development Finance Authority, (Wichita State University), 3.00%, 6/1/31 | 1,925 | 2,117,115 | |
Kentucky Bond Development Corp., (Transylvania University): | |||
2.00%, 3/1/23 | 160 | 162,802 | |
5.00%, 3/1/27 | 80 | 95,658 | |
5.00%, 3/1/28 | 100 | 122,410 | |
5.00%, 3/1/29 | 155 | 193,285 | |
Los Ranchos de Albuquerque, NM, (Albuquerque Academy): | |||
5.00%, 9/1/27 | 350 | 421,011 | |
5.00%, 9/1/28 | 225 | 276,586 |
Security | Principal Amount (000's omitted) | Value | |
Education (continued) | |||
Los Ranchos de Albuquerque, NM, (Albuquerque Academy): (continued) | |||
5.00%, 9/1/29 | $ | 400 | $ 501,200 |
Louisiana Public Facilities Authority, (Loyola University), 5.00%, 10/1/26 | 215 | 252,346 | |
Maricopa County Industrial Development Authority, AZ, (Arizona Autism Charter Schools), 4.00%, 7/1/31(1) | 250 | 282,027 | |
Maricopa County Industrial Development Authority, AZ, (Legacy Traditional Schools), 3.00%, 7/1/31(1) | 500 | 535,670 | |
Miami University, OH: | |||
5.00%, 9/1/24 | 600 | 673,062 | |
5.00%, 9/1/27 | 730 | 899,185 | |
Monroe County Industrial Development Corp., NY, (True North Rochester Preparatory Charter School), 5.00%, 6/1/40(1) | 670 | 791,786 | |
Montgomery County Industrial Development Authority, PA, (Germantown Academy), 4.00%, 10/1/36 | 450 | 496,822 | |
New York Dormitory Authority, (Cornell University), Green Bonds, 5.00%, 7/1/26 | 500 | 598,310 | |
Ohio State University, 5.00%, 12/1/29 | 1,915 | 2,496,145 | |
Oregon Health and Science University: | |||
Green Bonds, 5.00%, 7/1/33 | 1,210 | 1,632,169 | |
Green Bonds, 5.00%, 7/1/34 | 1,300 | 1,742,741 | |
Pennsylvania Higher Educational Facilities Authority, (State System of Higher Education), 4.00%, 6/15/36 | 1,550 | 1,729,118 | |
Public Finance Authority, WI, (Coral Academy of Science Las Vegas): | |||
4.00%, 7/1/24 | 300 | 319,593 | |
4.00%, 7/1/31 | 325 | 366,363 | |
4.00%, 7/1/41 | 1,000 | 1,107,910 | |
University of Arizona, Green Bonds, 5.00%, 6/1/42 | 2,000 | 2,355,600 | |
$ 44,590,871 | |||
Electric Utilities — 1.1% | |||
Mesa, AZ, Utility Systems Revenue, 5.00%, 7/1/31 | $ | 1,000 | $ 1,245,720 |
Southern California Public Power Authority, Green Bonds, 5.00%, 7/1/30 | 1,500 | 1,630,650 | |
Trinity Public Utilities District Authority, CA, Green Bonds, 4.00%, 4/1/29 | 1,120 | 1,271,189 | |
Utah Associated Municipal Power Systems, 5.00%, 9/1/30 | 655 | 794,685 | |
$ 4,942,244 | |||
Escrowed/Prerefunded — 3.1% | |||
Aurora, CO, Water Revenue, Green Bonds, Prerefunded to 8/1/26, 5.00%, 8/1/31 | $ | 2,000 | $ 2,400,520 |
Build NYC Resource Corp., NY, (YMCA of Greater New York), Prerefunded to 8/1/25, 4.00%, 8/1/36 | 1,915 | 2,147,290 |
Security | Principal Amount (000's omitted) | Value | |
Escrowed/Prerefunded (continued) | |||
Central Puget Sound Regional Transit Authority, WA, Sales Tax Revenue: | |||
Green Bonds, Prerefunded to 11/1/25, 4.00%, 11/1/33 | $ | 1,100 | $ 1,246,652 |
Green Bonds, Prerefunded to 11/1/25, 5.00%, 11/1/35 | 1,000 | 1,171,180 | |
Green Bonds, Prerefunded to 11/1/25, 5.00%, 11/1/45 | 2,500 | 2,927,950 | |
Massachusetts Water Resources Authority, Green Bonds, Prerefunded to 8/1/26, 5.00%, 8/1/40 | 1,000 | 1,200,260 | |
Ohio State University, Escrowed to Maturity, 5.00%, 12/1/29 | 85 | 110,975 | |
Rhode Island Clean Water Finance Agency, (Water Pollution Control Revolving Fund): | |||
Prerefunded to 10/1/23, 5.00%, 10/1/30 | 1,000 | 1,082,240 | |
Prerefunded to 10/1/23, 5.00%, 10/1/31 | 1,000 | 1,082,240 | |
$ 13,369,307 | |||
General Obligations — 16.5% | |||
Bexar County, TX, Prerefunded to 6/15/25, 4.00%, 6/15/32 | $ | 2,000 | $ 2,243,780 |
California: | |||
4.00%, 9/1/32 | 1,000 | 1,146,470 | |
Green Bonds, 3.75%, 10/1/37 | 1,000 | 1,073,180 | |
Comal Independent School District, TX, (PSF Guaranteed), 5.00%, 2/1/28 | 2,000 | 2,493,940 | |
Connecticut, Green Bonds, 5.00%, 11/15/31 | 1,000 | 1,124,810 | |
Desert Sands Unified School District, CA, (Election of 2014), 5.00%, 8/1/39 | 2,000 | 2,436,200 | |
Fort Bend Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/26 | 750 | 899,392 | |
Franklin Regional School District, PA, 5.00%, 5/1/27 | 100 | 121,974 | |
Fremont Union High School District, CA, 4.00%, 8/1/36 | 1,500 | 1,756,200 | |
Hampton, VA, Green Bonds, 3.00%, 9/1/34 | 500 | 558,505 | |
Hawaii, 4.00%, 10/1/34 | 2,000 | 2,281,300 | |
Johnson County Unified School District No. 229, KS, 3.00%, 10/1/28 | 2,000 | 2,273,840 | |
Lake Stevens School District No. 4, WA, 4.00%, 12/1/35 | 2,460 | 2,775,003 | |
Los Rios Community College District, CA, 4.00%, 8/1/33 | 2,000 | 2,307,820 | |
Massachusetts, Green Bonds, 5.00%, 4/1/37 | 2,000 | 2,430,840 | |
Matanuska-Susitna Borough, AK, 4.50%, 7/1/29 | 1,670 | 1,942,010 | |
Mesa Unified School District No. 4, AZ, 5.00%, 7/1/27 | 1,000 | 1,227,600 | |
Milwaukee Metropolitan Sewerage District, WI, Green Bonds, 4.00%, 10/1/30 | 3,615 | 4,408,276 | |
New York, NY, 5.00%, 8/1/26 | 2,000 | 2,190,720 | |
North East Independent School District, TX, (PSF Guaranteed), 5.25%, 2/1/26 | 1,000 | 1,189,350 | |
North St. Paul-Maplewood-Oakdale Independent School District No. 622, MN: | |||
4.00%, 2/1/31 | 1,000 | 1,165,260 | |
5.00%, 2/1/33 | 650 | 795,496 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Northside Independent School District, TX: | |||
(PSF Guaranteed), 4.00%, 8/1/31 | $ | 930 | $ 1,125,114 |
(PSF Guaranteed), 4.00%, 8/1/32 | 400 | 481,868 | |
Oxnard Union High School District, CA, (Election of 2018), 4.00%, 8/1/37 | 2,000 | 2,361,960 | |
Passaic County Improvement Authority, NJ, (Paterson Board of Education): | |||
Green Bonds, 3.00%, 2/1/42 | 1,175 | 1,283,382 | |
Green Bonds, 4.00%, 2/1/32 | 300 | 362,016 | |
Green Bonds, 4.00%, 2/1/33 | 250 | 301,122 | |
Phoenix Union High School District No. 210, AZ, 5.00%, 7/1/25 | 2,750 | 3,183,785 | |
Salem-Keizer School District No. 24J, OR, 4.00%, 6/15/37 | 5,000 | 6,038,700 | |
San Diego Unified School District, CA, (Election of 2012), Green Bonds, 5.00%, 7/1/30 | 2,000 | 2,461,240 | |
San Francisco Bay Area Rapid Transit District, CA, (Election of 2004), Green Bonds, 3.00%, 8/1/38 | 3,235 | 3,549,863 | |
San Francisco Bay Area Rapid Transit District, CA, (Election of 2016): | |||
Green Bonds, 5.00%, 8/1/33 | 1,000 | 1,227,860 | |
Green Bonds, 5.00%, 8/1/35 | 1,120 | 1,455,552 | |
Spring Branch Independent School District, TX, (PSF Guaranteed), 5.00%, 2/1/27 | 1,725 | 2,093,546 | |
West Haven, CT: | |||
4.00%, 9/15/24 | 260 | 283,143 | |
4.00%, 9/15/25 | 255 | 284,718 | |
4.00%, 9/15/26 | 255 | 290,343 | |
4.00%, 9/15/27 | 245 | 283,286 | |
Will County, IL: | |||
Green Bonds, 5.00%, 11/15/26 | 450 | 541,120 | |
Green Bonds, 5.00%, 11/15/28 | 1,000 | 1,265,850 | |
Green Bonds, 5.00%, 11/15/29 | 900 | 1,164,132 | |
Wyandotte County Unified School District No. 203, KS, 4.00%, 9/1/23 | 1,545 | 1,638,333 | |
Ypsilanti Community Schools, MI, 5.00%, 5/1/30 | 1,000 | 1,181,800 | |
$ 71,700,699 | |||
Hospital — 6.3% | |||
DuBois Hospital Authority, PA, (Penn Highlands Healthcare): | |||
5.00%, 7/15/32 | $ | 820 | $ 1,069,108 |
5.00%, 7/15/34 | 890 | 1,155,861 | |
5.00%, 7/15/35 | 930 | 1,205,717 | |
5.00%, 7/15/36 | 500 | 646,855 | |
Idaho Health Facilities Authority, (St. Luke's Health System): | |||
4.00%, 3/1/39 | 710 | 848,230 | |
4.00%, 3/1/40 | 845 | 1,007,620 | |
4.00%, 3/1/41 | 805 | 957,491 |
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
Indiana Finance Authority, (Good Samaritan Hospital): | |||
4.00%, 4/1/35(2) | $ | 1,205 | $ 1,389,269 |
4.00%, 4/1/36(2) | 2,520 | 2,902,435 | |
Massachusetts Development Finance Agency, (Dana-Farber Cancer Institute), 5.00%, 12/1/34 | 500 | 595,115 | |
Michigan Finance Authority, (Beaumont Health Credit Group), 4.00%, 11/1/46 | 2,000 | 2,191,480 | |
New York City Health and Hospitals Corp., NY: | |||
4.00%, 2/15/27 | 2,250 | 2,617,110 | |
4.00%, 2/15/28 | 4,700 | 5,565,411 | |
New York Dormitory Authority, (Memorial Sloan Kettering Cancer Center), 4.00%, 7/1/31 | 2,000 | 2,418,960 | |
Ohio, (Cleveland Clinic Health System), 5.00%, 1/1/27 | 2,315 | 2,799,182 | |
$ 27,369,844 | |||
Housing — 7.3% | |||
California Municipal Finance Authority, (Caritas Corp.), Mobile Home Park Revenue, 5.00%, 8/15/28 | $ | 1,240 | $ 1,480,262 |
Cuyahoga Metropolitan Housing Authority, OH, 2.00%, 12/1/31 | 1,250 | 1,263,750 | |
Independent Cities Finance Authority, CA, (Castle Mobile Estates): | |||
3.00%, 5/15/22 | 170 | 171,537 | |
3.00%, 5/15/23 | 170 | 175,374 | |
3.00%, 5/15/24 | 175 | 184,377 | |
3.00%, 5/15/25 | 185 | 198,033 | |
3.00%, 5/15/26 | 190 | 206,439 | |
3.00%, 5/15/31 | 500 | 547,245 | |
Independent Cities Finance Authority, CA, (Union City Tropics), Mobile Home Park Revenue: | |||
4.00%, 5/15/31 | 1,020 | 1,176,682 | |
4.00%, 5/15/34 | 1,145 | 1,309,307 | |
Independent Cities Finance Authority, CA, (Vista de Santa Barbara Mobilehome Park): | |||
3.00%, 9/15/26 | 270 | 295,577 | |
3.00%, 9/15/27 | 275 | 304,617 | |
3.00%, 9/15/28 | 285 | 317,960 | |
3.00%, 9/15/29 | 295 | 331,014 | |
Maryland Community Development Administration, Department of Housing and Community Development: | |||
4.05%, 7/1/40 | 1,575 | 1,673,642 | |
4.35%, 7/1/50 | 1,000 | 1,062,890 | |
Massachusetts Housing Finance Agency, (AMT), 3.30%, 12/1/28 | 750 | 785,520 | |
New York City Housing Development Corp., NY: | |||
0.90% to 1/1/26 (Put Date), 11/1/60 | 4,000 | 3,999,080 | |
3.80%, 11/1/30 | 1,000 | 1,053,090 | |
Sustainable Development Bonds, 1.70%, 5/1/32 | 2,100 | 2,097,606 |
Security | Principal Amount (000's omitted) | Value | |
Housing (continued) | |||
New York City Housing Development Corp., NY: (continued) | |||
Sustainable Development Bonds, 1.75%, 11/1/32 | $ | 1,060 | $ 1,061,548 |
New York Housing Finance Agency: | |||
Sustainability Bonds, (FHLMC / FNMA / SONYMA), 2.85%, 11/1/39 | 2,000 | 2,096,260 | |
Sustainability Bonds, (SONYMA), 0.75%, 11/1/25 | 3,000 | 3,000,030 | |
Pennsylvania Housing Finance Agency, SFMR: | |||
3.90%, 10/1/35 | 945 | 979,625 | |
(AMT), Social Bonds, 5.00%, 4/1/24 | 700 | 766,731 | |
(AMT), Social Bonds, 5.00%, 10/1/24 | 1,000 | 1,113,720 | |
(AMT), Social Bonds, 5.00%, 4/1/25 | 500 | 566,100 | |
(AMT), Social Bonds, 5.00%, 10/1/25 | 500 | 575,070 | |
Social Bonds, 0.95%, 10/1/28 | 1,125 | 1,100,239 | |
Public Finance Authority, WI, (NC A&T Real Estate Foundation, LLC): | |||
5.00%, 6/1/28 | 665 | 805,335 | |
5.00%, 6/1/29 | 365 | 450,217 | |
Utah Housing Corp., 4.00%, 1/1/36 | 770 | 802,509 | |
$ 31,951,386 | |||
Industrial Development Revenue — 0.9% | |||
California Pollution Control Financing Authority, (Waste Management, Inc.), (AMT), 3.00%, 11/1/25 | $ | 850 | $ 922,309 |
National Finance Authority, NH, (Covanta), (AMT), Green Bonds, 3.75% to 7/2/40 (Put Date), 7/1/45(1) | 1,955 | 2,059,671 | |
Nez Perce County, ID, (Potlatch Corp.), 2.75%, 10/1/24 | 1,000 | 1,054,720 | |
$ 4,036,700 | |||
Insured - Education — 1.0% | |||
University of Oklahoma: | |||
(AGM), 5.00%, 7/1/28 | $ | 1,350 | $ 1,696,680 |
(AGM), 5.00%, 7/1/29 | 900 | 1,157,490 | |
(AGM), 5.00%, 7/1/30 | 1,000 | 1,314,950 | |
$ 4,169,120 | |||
Insured - General Obligations — 0.5% | |||
Connecticut, (AGM), 5.00%, 10/15/27 | $ | 1,155 | $ 1,394,859 |
Long Beach Unified School District, CA, (AGC), 0.00%, 8/1/25 | 1,000 | 972,500 | |
$ 2,367,359 | |||
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 | $ 400,085 |
(BAM), Green Bonds, 5.00%, 5/15/27 | 450 | 544,711 | |
(BAM), Green Bonds, 5.00%, 5/15/29 | 350 | 443,209 | |
$ 1,388,005 |
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 | $ 18,834 |
(AGM), (AMT), Green Bonds, 5.00%, 9/1/28 | 485 | 605,993 | |
(AGM), (AMT), Green Bonds, 5.00%, 9/1/30 | 15 | 19,229 | |
(AGM), (AMT), Green Bonds, 5.00%, 9/1/30 | 485 | 612,327 | |
$ 1,256,383 | |||
Insured - Special Tax Revenue — 0.1% | |||
Martha's Vineyard Land Bank, (BAM), Green Bonds, 5.00%, 5/1/32 | $ | 400 | $ 481,564 |
$ 481,564 | |||
Insured - Transportation — 0.3% | |||
Ohio, (Portsmouth Gateway Group, LLC), (AGM), (AMT), 5.00%, 12/31/30 | $ | 1,000 | $ 1,129,000 |
$ 1,129,000 | |||
Insured - Water and Sewer — 0.3% | |||
Bloomington, IN, Sewage Works Revenue: | |||
(BAM), Green Bonds, 2.00%, 1/1/27 | $ | 100 | $ 104,778 |
(BAM), Green Bonds, 4.00%, 1/1/29 | 500 | 593,710 | |
(BAM), Green Bonds, 4.00%, 1/1/31 | 500 | 609,010 | |
$ 1,307,498 | |||
Lease Revenue/Certificates of Participation — 1.5% | |||
Connecticut Health and Educational Facilities Authority, (State Supported Child Care): | |||
5.00%, 7/1/25 | $ | 300 | $ 345,066 |
5.00%, 7/1/26 | 435 | 515,640 | |
5.00%, 7/1/27 | 255 | 310,126 | |
Kansas City, MO, Special Obligation Bonds: | |||
4.00%, 10/1/34 | 500 | 554,695 | |
4.00%, 10/1/35 | 600 | 664,476 | |
New Jersey Economic Development Authority, (School Facilities Construction): | |||
Social Bonds, 5.00%, 6/15/26 | 555 | 655,594 | |
Social Bonds, 5.00%, 6/15/27 | 410 | 497,744 | |
University of Mississippi Educational Building Corp., 5.00%, 10/1/28 | 1,000 | 1,258,510 | |
University of North Dakota, Certificates of Participation, Green Certificates, 5.00%, 4/1/48 | 1,500 | 1,815,360 | |
$ 6,617,211 | |||
Other Revenue — 5.8% | |||
Battery Park City Authority, NY: | |||
5.00%, 11/1/39 | $ | 200 | $ 257,720 |
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 | $ 4,137,542 |
California Community Choice Financing Authority, Green Bonds, 4.00%, 10/1/52 | 2,000 | 2,309,900 | |
California Infrastructure and Economic Development Bank, Prerefunded to 10/1/25, 5.00%, 10/1/34 | 2,000 | 2,343,740 | |
California Infrastructure and Economic Development Bank, (California Academy of Sciences), 0.45%, (SIFMA + 0.35%), 8/1/24 (Put Date), 8/1/47(3) | 2,630 | 2,637,811 | |
Chester County Industrial Development Authority, PA, (Longwood Gardens, Inc.), Sustainability Bonds, 4.00%, 12/1/25 | 310 | 346,859 | |
Connecticut Health and Educational Facilities Authority, (State Supported Child Care), 4.00%, 7/1/38 | 1,170 | 1,250,215 | |
Fairfax County Economic Development Authority, VA, (National Wildlife Federation): | |||
Green Bonds, 5.00%, 9/1/34 | 1,310 | 1,620,955 | |
Green Bonds, 5.00%, 9/1/36 | 1,445 | 1,780,168 | |
Illinois Educational Facilities Authority, (Field Museum of Natural History): | |||
4.00%, 11/1/36 | 1,000 | 1,147,400 | |
4.45%, 11/1/36 | 1,000 | 1,152,250 | |
Massachusetts Water Pollution Abatement Trust, 5.25%, 8/1/29 | 1,000 | 1,316,780 | |
New York City Trust for Cultural Resources, NY, (Whitney Museum of American Art), Green Bonds, 5.00%, 7/1/31 | 3,750 | 5,048,100 | |
$ 25,349,440 | |||
Senior Living/Life Care — 0.5% | |||
Vermont Economic Development Authority, (Wake Robin Corp.), 5.00%, 5/1/24 | $ | 1,875 | $ 2,029,725 |
$ 2,029,725 | |||
Special Tax Revenue — 6.9% | |||
Allegheny County Port Authority, PA, 5.00%, 3/1/27 | $ | 10,000 | $ 12,040,900 |
Los Angeles County Metropolitan Transportation Authority, CA, Sales Tax Revenue, Green Bonds, 5.00%, 7/1/39 | 2,000 | 2,506,640 | |
Massachusetts Bay Transportation Authority, Sales Tax Revenue: | |||
5.00%, 7/1/26 | 1,000 | 1,194,660 | |
5.00%, 7/1/28 | 1,000 | 1,262,550 | |
5.00%, 7/1/31 | 1,000 | 1,348,290 | |
Massachusetts School Building Authority, Social Bonds, 5.00%, 8/15/35 | 1,500 | 1,967,955 | |
Metropolitan Transportation Authority, NY, Dedicated Tax Revenue: | |||
Green Bonds, Series 2017A, 5.00%, 11/15/35 | 1,000 | 1,202,200 | |
Green Bonds, Series 2017B, 5.00%, 11/15/35 | 2,275 | 2,776,524 |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue (continued) | |||
New York Dormitory Authority, Personal Income Tax Revenue, 5.00%, 8/15/29 | $ | 1,000 | $ 1,000,800 |
Regional Transportation District, CO, Sales Tax Revenue: | |||
5.00%, 11/1/32 | 1,000 | 1,376,670 | |
Green Bonds, 5.00%, 11/1/28 | 2,500 | 3,173,125 | |
$ 29,850,314 | |||
Transportation — 0.4% | |||
Washington Metropolitan Area Transit Authority, D.C., Green Bonds, 5.00%, 7/15/30 | $ | 1,250 | $ 1,655,812 |
$ 1,655,812 | |||
Water and Sewer — 9.1% | |||
Austin, TX, Water & Wastewater System Revenue, 5.00%, 11/15/33 | $ | 2,000 | $ 2,459,780 |
Cary, NC, Combined Enterprise System Revenue, 5.00%, 12/1/24 | 1,745 | 1,978,935 | |
Cleveland, OH, Water Revenue: | |||
5.00%, 1/1/27 | 150 | 181,783 | |
5.00%, 1/1/28 | 770 | 929,405 | |
Dallas, TX, Waterworks and Sewer System Revenue, 4.00%, 10/1/35 | 1,000 | 1,222,190 | |
Denver City and County Board of Water Commissioners, CO, 4.00%, 9/15/33 | 3,000 | 3,695,850 | |
District of Columbia Water and Sewer Authority, 5.00%, 10/1/26 | 500 | 603,515 | |
East Baton Rouge Sewerage Commission, LA, 4.00%, 2/1/35 | 1,000 | 1,187,030 | |
East Bay Municipal Utility District, CA, Water System Revenue: | |||
Green Bonds, 5.00%, 6/1/35 | 1,000 | 1,224,850 | |
Green Bonds, 5.00%, 6/1/36 | 1,650 | 2,124,771 | |
Greensboro, NC, Combined Enterprise System Revenue, 4.00%, 6/1/34 | 500 | 612,845 | |
Indiana Finance Authority, (CWA Authority): | |||
Green Bonds, 5.00%, 10/1/27 | 615 | 761,112 | |
Green Bonds, 5.00%, 10/1/28 | 765 | 967,886 | |
Green Bonds, 5.00%, 10/1/30 | 1,000 | 1,198,530 | |
Green Bonds, 5.00%, 10/1/34 | 300 | 393,669 | |
Green Bonds, 5.00%, 10/1/35 | 425 | 556,074 | |
Green Bonds, 5.00%, 10/1/36 | 1,000 | 1,195,750 | |
Kansas City, MO, Water Revenue, 4.00%, 12/1/33 | 870 | 1,066,194 | |
Los Angeles, CA, Wastewater System Revenue: | |||
Green Bonds, 5.00%, 6/1/34 | 1,000 | 1,249,560 | |
Green Bonds, 5.00%, 6/1/38 | 2,000 | 2,431,920 | |
Lubbock,TX, Water and Wastewater System Revenue: | |||
4.00%, 2/15/30 | 650 | 775,807 | |
4.00%, 2/15/31 | 435 | 516,006 |
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer (continued) | |||
Lubbock,TX, Water and Wastewater System Revenue: (continued) | |||
4.00%, 2/15/32 | $ | 325 | $ 385,736 |
4.00%, 2/15/33 | 200 | 236,986 | |
5.00%, 2/15/25 | 300 | 341,931 | |
5.00%, 2/15/26 | 400 | 471,588 | |
Massachusetts Water Resources Authority, Green Bonds, 5.00%, 8/1/32 | 1,500 | 1,841,100 | |
Metropolitan Water District of Southern California, 0.24%, (SIFMA + 0.14%), 5/21/24 (Put Date), 7/1/37(3) | 3,335 | 3,333,733 | |
Northern Kentucky Water District, 4.00%, 2/1/29 | 1,565 | 1,853,539 | |
Pennsylvania Economic Development Financing Authority, (Pennsylvania-American Water Co.), 3.00%, 4/1/39 | 2,500 | 2,709,275 | |
Trinity River Authority, TX, (Mountain Creek Regional Wastewater System), 4.00%, 8/1/33 | 1,000 | 1,229,110 | |
$ 39,736,460 | |||
Total Tax-Exempt Municipal Obligations (identified cost $364,490,908) | $378,207,548 |
Taxable Municipal Obligations — 5.7% |
Security | Principal Amount (000's omitted) | Value | |
Education — 0.9% | |||
San Antonio Education Facilities Corp., TX, (University of the Incarnate Word): | |||
1.74%, 4/1/25 | $ | 600 | $ 592,548 |
1.99%, 4/1/26 | 550 | 542,817 | |
2.19%, 4/1/27 | 600 | 591,594 | |
2.38%, 4/1/28 | 1,190 | 1,173,400 | |
2.50%, 4/1/29 | 1,000 | 989,000 | |
$ 3,889,359 | |||
Electric Utilities — 0.4% | |||
Confederated Tribes of Warm Springs Reservation, OR, (Pelton-Round Butte Hydroelectric Project): | |||
Green Bonds, 2.015%, 11/1/25(1) | $ | 745 | $ 744,158 |
Green Bonds, 2.52%, 11/1/28(1) | 1,205 | 1,210,579 | |
$ 1,954,737 | |||
General Obligations — 1.0% | |||
Detroit, MI: | |||
Social Bonds, 1.817%, 4/1/22 | $ | 800 | $ 800,920 |
Social Bonds, 2.017%, 4/1/23 | 375 | 376,384 | |
Social Bonds, 2.189%, 4/1/24 | 400 | 399,884 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Larkspur-Corte Madera School District, CA, (Election of 2011 and 2014): | |||
1.702%, 8/1/30 | $ | 415 | $ 411,580 |
1.802%, 8/1/31 | 400 | 397,952 | |
1.902%, 8/1/32 | 1,100 | 1,099,054 | |
Tustin Unified School District, CA: | |||
1.345%, 8/1/28 | 280 | 275,405 | |
1.554%, 8/1/29 | 535 | 530,549 | |
$ 4,291,728 | |||
Hospital — 0.9% | |||
University of Wisconsin Hospitals and Clinics Authority: | |||
1.05%, 4/1/24 | $ | 1,250 | $ 1,245,288 |
1.47%, 4/1/25 | 1,000 | 997,220 | |
1.89%, 4/1/27 | 1,255 | 1,258,338 | |
2.09%, 4/1/28 | 590 | 593,664 | |
$ 4,094,510 | |||
Housing — 0.1% | |||
Independent Cities Finance Authority, CA, (Sahara Mobile Home Park), 2.51%, 6/15/31 | $ | 500 | $ 499,045 |
$ 499,045 | |||
Insured - Housing — 0.2% | |||
Oregon Facilities Authority, (CHF-Ashland, LLC - Southern Oregon University): | |||
(AGM), 1.509%, 7/1/25 | $ | 150 | $ 148,320 |
(AGM), 2.005%, 7/1/27 | 185 | 183,115 | |
(AGM), 2.429%, 7/1/29 | 275 | 274,453 | |
(AGM), 2.679%, 7/1/31 | 350 | 349,989 | |
$ 955,877 | |||
Other Revenue — 0.6% | |||
Utah Transit Authority, Sales Tax Revenue, Green Bonds, 1.72%, 12/15/27 | $ | 2,500 | $ 2,514,400 |
$ 2,514,400 | |||
Senior Living/Life Care — 0.1% | |||
California Public Finance Authority, (Enso Village), Green Bonds, 2.875%, 5/15/27(1) | $ | 350 | $ 352,807 |
$ 352,807 | |||
Special Tax Revenue — 1.3% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
2.02%, 6/1/24 | $ | 1,000 | $ 1,021,960 |
2.211%, 6/1/25 | 1,500 | 1,543,995 |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue (continued) | |||
California Health Facilities Financing Authority, (No Place Like Home Program): (continued) | |||
2.361%, 6/1/26 | $ | 2,000 | $ 2,072,580 |
Massachusetts Bay Transportation Authority, Sales Tax Revenue, 0.99%, 7/1/25 | 1,135 | 1,124,501 | |
$ 5,763,036 | |||
Water and Sewer — 0.2% | |||
Narragansett Bay Commission, RI, Wastewater System Revenue, Green Bonds, 1.497%, 9/1/24 | $ | 660 | $ 665,075 |
$ 665,075 | |||
Total Taxable Municipal Obligations (identified cost $24,895,597) | $ 24,980,574 |
Short-Term Investments — 3.0% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.06%(4) | 13,043,583 | $ 13,043,583 | |
Total Short-Term Investments (identified cost $13,043,287) | $ 13,043,583 | ||
Total Investments — 100.0% (identified cost $420,494,430) | $434,682,028 | ||
Other Assets, Less Liabilities — 0.0%(5) | $ 81,971 | ||
Net Assets — 100.0% | $434,763,999 |
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 December 31, 2021, the aggregate value of these securities is $7,594,286 or 1.7% of the Fund's net assets. |
(2) | When-issued security. |
(3) | Floating rate security. The stated interest rate represents the rate in effect at December 31, 2021. |
(4) | 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 December 31, 2021. |
(5) | Amount is less than 0.05%. |
At December 31, 2021, the concentration of the Fund's investments in the various states, determined as a percentage of net assets, is as follows: | |
California 16.6% | |
New York10.5% | |
Others, representing less than 10% individually67.4% | |
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 December 31, 2021, 3.0% 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 2.0% 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 | 3/22/22 | $(12,264,063) | $ (136,770) |
$(136,770) |
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 |
December 31, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $407,451,143) | $ 421,638,445 |
Investments in securities of affiliated issuers, at value (identified cost $13,043,287) | 13,043,583 |
Deposits at broker for futures contracts | 141,099 |
Receivable for investments sold | 30,000 |
Receivable for capital shares sold | 1,176,463 |
Interest receivable | 4,286,099 |
Dividends receivable - affiliated | 698 |
Receivable from affiliate | 40,184 |
Trustees' deferred compensation plan | 129,704 |
Total assets | $440,486,275 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 23,521 |
Payable for when-issued securities | 4,216,209 |
Payable for capital shares redeemed | 981,742 |
Distributions payable | 53,046 |
Payable to affiliates: | |
Investment advisory fee | 128,795 |
Administrative fee | 44,158 |
Distribution and service fees | 29,371 |
Sub-transfer agency fee | 5,042 |
Trustees' deferred compensation plan | 129,704 |
Accrued expenses | 110,688 |
Total liabilities | $ 5,722,276 |
Net Assets | $434,763,999 |
Sources of Net Assets | |
Paid-in capital | $ 451,393,625 |
Accumulated loss | (16,629,626) |
Net Assets | $434,763,999 |
Class A Shares | |
Net Assets | $ 128,437,093 |
Shares Outstanding | 7,695,053 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 16.69 |
Maximum Offering Price Per Share (100 ÷ 96.25 of net asset value per share) | $ 17.34 |
Class C Shares | |
Net Assets | $ 2,258,016 |
Shares Outstanding | 135,282 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 16.69 |
December 31, 2021 | |
Class I Shares | |
Net Assets | $304,068,890 |
Shares Outstanding | 18,170,318 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 16.73 |
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. |
Year Ended | |
December 31, 2021 | |
Investment Income | |
Dividend income - affiliated issuers | $ 14,026 |
Interest income | 7,150,682 |
Total investment income | $ 7,164,708 |
Expenses | |
Investment advisory fee | $ 1,418,912 |
Administrative fee | 486,484 |
Distribution and service fees: | |
Class A | 319,597 |
Class C | 22,125 |
Trustees' fees and expenses | 13,765 |
Custodian fees | 8,059 |
Transfer agency fees and expenses | 284,590 |
Accounting fees | 91,458 |
Professional fees | 37,788 |
Registration fees | 74,713 |
Reports to shareholders | 19,801 |
Miscellaneous | 67,894 |
Total expenses | $ 2,845,186 |
Waiver and/or reimbursement of expenses by affiliate | $ (474,266) |
Net expenses | $ 2,370,920 |
Net investment income | $ 4,793,788 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ (196,132) |
Investment securities - affiliated issuers | (4,308) |
Futures contracts | 446,120 |
Net realized gain | $ 245,680 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (3,480,388) |
Investment securities - affiliated issuers | 296 |
Futures contracts | (136,972) |
Net change in unrealized appreciation (depreciation) | $(3,617,064) |
Net realized and unrealized loss | $(3,371,384) |
Net increase in net assets from operations | $ 1,422,404 |
Year Ended December 31, | ||
2021 | 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 4,793,788 | $ 4,108,085 |
Net realized gain (loss) | 245,680 | (640,427) |
Net change in unrealized appreciation (depreciation) | (3,617,064) | 8,938,905 |
Net increase in net assets from operations | $ 1,422,404 | $ 12,406,563 |
Distributions to shareholders: | ||
Class A | $ (1,302,502) | $ (1,778,273) |
Class C | (5,946) | (13,278) |
Class I | (3,488,209) | (2,316,944) |
Total distributions to shareholders | $ (4,796,657) | $ (4,108,495) |
Capital share transactions: | ||
Class A | $ 1,128,640 | $ 6,964,795 |
Class C | 27,464 | 680,155 |
Class I | 64,236,324 | 171,111,169 |
Net increase in net assets from capital share transactions | $ 65,392,428 | $178,756,119 |
Net increase in net assets | $ 62,018,175 | $187,054,187 |
Net Assets | ||
At beginning of year | $ 372,745,824 | $ 185,691,637 |
At end of year | $434,763,999 | $372,745,824 |
Class A | |||||
Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of year | $ 16.83 | $ 16.36 | $ 15.61 | $ 15.91 | $ 15.55 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.17 | $ 0.24 | $ 0.35 | $ 0.38 | $ 0.41 |
Net realized and unrealized gain (loss) | (0.14) | 0.47 | 0.75 | (0.30) | 0.36 |
Total income from operations | $ 0.03 | $ 0.71 | $ 1.10 | $ 0.08 | $ 0.77 |
Less Distributions | |||||
From net investment income | $ (0.17) | $ (0.24) | $ (0.35) | $ (0.38) | $ (0.41) |
Total distributions | $ (0.17) | $ (0.24) | $ (0.35) | $ (0.38) | $ (0.41) |
Net asset value — End of year | $ 16.69 | $ 16.83 | $ 16.36 | $ 15.61 | $ 15.91 |
Total Return(2) | 0.19% | 4.38% | 7.10% | 0.54% | 5.00% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $128,437 | $128,384 | $117,964 | $108,866 | $119,971 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.87% | 0.88% | 0.96% | 0.95% | 0.94% |
Net expenses | 0.75% | 0.75% | 0.77% | 0.80% | 0.80% |
Net investment income | 1.02% | 1.45% | 2.15% | 2.44% | 2.61% |
Portfolio Turnover | 18% | 14% | 18% | 9% | 27% |
(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) | 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. |
Class C | |||||
Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of year | $ 16.83 | $ 16.36 | $ 15.61 | $ 15.91 | $ 15.55 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.04 | $ 0.11 | $ 0.22 | $ 0.26 | $ 0.29 |
Net realized and unrealized gain (loss) | (0.13) | 0.48 | 0.76 | (0.29) | 0.37 |
Total income (loss) from operations | $ (0.09) | $ 0.59 | $ 0.98 | $ (0.03) | $ 0.66 |
Less Distributions | |||||
From net investment income | $ (0.05) | $ (0.12) | $ (0.23) | $ (0.27) | $ (0.30) |
Total distributions | $ (0.05) | $ (0.12) | $ (0.23) | $ (0.27) | $ (0.30) |
Net asset value — End of year | $16.69 | $16.83 | $16.36 | $15.61 | $15.91 |
Total Return(2) | (0.56)% | 3.60% | 6.29% | (0.19)% | 4.25% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 2,258 | $ 2,249 | $ 1,510 | $ 1,195 | $ 1,240 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 1.62% | 1.62% | 1.71% | 1.69% | 2.87% |
Net expenses | 1.50% | 1.50% | 1.51% | 1.55% | 1.55% |
Net investment income | 0.27% | 0.67% | 1.37% | 1.69% | 1.84% |
Portfolio Turnover | 18% | 14% | 18% | 9% | 27% |
(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) | 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. |
Class I | |||||
Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of year | $ 16.88 | $ 16.40 | $ 15.65 | $ 15.93 | $ 15.57 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.21 | $ 0.26 | $ 0.39 | $ 0.44 | $ 0.46 |
Net realized and unrealized gain (loss) | (0.15) | 0.50 | 0.76 | (0.30) | 0.36 |
Total income from operations | $ 0.06 | $ 0.76 | $ 1.15 | $ 0.14 | $ 0.82 |
Less Distributions | |||||
From net investment income | $ (0.21) | $ (0.28) | $ (0.40) | $ (0.42) | $ (0.46) |
Total distributions | $ (0.21) | $ (0.28) | $ (0.40) | $ (0.42) | $ (0.46) |
Net asset value — End of year | $ 16.73 | $ 16.88 | $ 16.40 | $ 15.65 | $ 15.93 |
Total Return(2) | 0.38% | 4.69% | 7.38% | 0.92% | 5.35% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $304,069 | $242,113 | $66,218 | $35,812 | $23,193 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.62% | 0.63% | 0.71% | 0.69% | 0.76% |
Net expenses | 0.50% | 0.50% | 0.49% | 0.45% | 0.45% |
Net investment income | 1.27% | 1.59% | 2.39% | 2.79% | 2.93% |
Portfolio Turnover | 18% | 14% | 18% | 9% | 27% |
(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) | 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. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds | $ — | $ 10,768,593 | $ — | $ 10,768,593 |
Tax-Exempt Mortgage-Backed Securities | — | 7,681,730 | — | 7,681,730 |
Tax-Exempt Municipal Obligations | — | 378,207,548 | — | 378,207,548 |
Taxable Municipal Obligations | — | 24,980,574 | — | 24,980,574 |
Short-Term Investments | — | 13,043,583 | — | 13,043,583 |
Total Investments | $ — | $434,682,028 | $ — | $434,682,028 |
Liability Description | ||||
Futures Contracts | $ (136,770) | $ — | $ — | $ (136,770) |
Total | $(136,770) | $ — | $ — | $ (136,770) |
Year Ended December 31, | ||
2021 | 2020 | |
Tax-exempt income | $4,331,081 | $3,860,209 |
Ordinary income | $ 465,576 | $ 248,286 |
Undistributed tax-exempt income | $ 346,285 |
Deferred capital losses | (31,102,662) |
Net unrealized appreciation | 14,179,797 |
Distributions payable | (53,046) |
Accumulated loss | $(16,629,626) |
Aggregate cost | $420,502,231 |
Gross unrealized appreciation | $ 14,902,146 |
Gross unrealized depreciation | (722,349) |
Net unrealized appreciation | $ 14,179,797 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Accumulated loss | $ — | $(136,770) (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 | $ 446,120 | $ (136,972) |
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 | $116,293,568 | $(140,368,983) | $(4,308) | $296 | $13,043,583 | $14,026 | 13,043,583 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 850,214 | $ 14,223,778 | 1,047,301 | $ 17,386,171 | |
Reinvestment of distributions | 70,658 | 1,179,909 | 97,265 | 1,613,509 | |
Shares redeemed | (853,487) | (14,275,047) | (737,239) | (12,196,535) | |
Converted from Class C | — | — | 9,639 | 161,650 | |
Net increase | 67,385 | $ 1,128,640 | 416,966 | $ 6,964,795 | |
Class C | |||||
Shares sold | 26,654 | $ 445,789 | 62,014 | $ 1,024,793 | |
Reinvestment of distributions | 355 | 5,933 | 793 | 13,150 | |
Shares redeemed | (25,331) | (424,258) | (11,842) | (196,138) | |
Converted to Class A | — | — | (9,639) | (161,650) | |
Net increase | 1,678 | $ 27,464 | 41,326 | $ 680,155 | |
Class I | |||||
Shares sold | 8,668,030 | $145,361,153 | 12,090,071 | $ 200,505,646 | |
Reinvestment of distributions | 178,530 | 2,989,101 | 129,582 | 2,160,446 | |
Shares redeemed | (5,023,113) | (84,113,930) | (1,910,053) | (31,554,923) | |
Net increase | 3,823,447 | $ 64,236,324 | 10,309,600 | $171,111,169 |
Boston, Massachusetts
February 24, 2022
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
John H. Streur(1) 1960 | Trustee and President | Since 2015 | President and Chief Executive Officer of CRM (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Other Directorships. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. |
Noninterested Trustees | |||
Richard L. Baird, Jr. 1948 | Trustee | Since 1980 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA. Other Directorships. None. |
Alice Gresham Bullock 1950 | Chair and Trustee | Since 2016 | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships. None. |
Cari M. Dominguez 1949 | Trustee | Since 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships. ManpowerGroup Inc. (workforce solutions company); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Trustee | Since 1982 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Other Directorships. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Trustee | Since 2016 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram) (November 1999 - September 2014). Other Directorships. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Trustee | Since 2016 | Attorney. Other Directorships. Palm Management Corporation. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Anthony A. Williams 1951 | Trustee | Since 2010 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization); The Howard Hughes Corporation (real estate development). |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Hope L. Brown 1973 | Chief Compliance Officer | Since 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). |
Deidre E. Walsh 1971 | Secretary, Vice President and Chief Legal Officer | Since 2021 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2021). Also Vice President of Eaton Vance and certain of its affiliates and officer of 138 registered investment companies advised or administered by Eaton Vance. |
James F. Kirchner 1967 | Treasurer | Since 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 138 registered investment companies advised or administered by Eaton Vance. |
(1) Mr. Streur is an interested person of the Fund because of his positions with the Fund’s adviser and certain affiliates. |
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
The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-368-2745. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
Item 3. Audit Committee Financial Expert
The registrant’s Board of Trustees has determined that Miles D. Harper III, an “independent” Trustee serving on the registrant’s audit committee, is an “audit committee financial expert,” as defined in Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services
(a) –(d)
The various Series comprising the Trust have differing fiscal year ends (September 30 and December 31). The following table presents the aggregate audit, audit-related, tax, and other fees billed to all of the Series in the Trust by its principal accountant for the last two fiscal years of each Series.
Fiscal Years Ended | 9/30/20 | %* | 12/31/20 | %* | 9/30/21 | %* | 12/31/21 | %* | ||||||||||||||||||||||||
Audit Fees | $ | 33,047 | 0 | % | $ | 53,300 | 0 | % | $ | 33,000 | 0 | % | $ | 53,000 | 0 | % | ||||||||||||||||
Audit-Related Fees(1) | $ | 0 | 0 | % | $ | 0 | 0 | % | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||||||||||
Tax Fees(2) | $ | 4,950 | 0 | % | $ | 9,900 | 0 | % | $ | 4,950 | 0 | % | $ | 9,900 | 0 | % | ||||||||||||||||
All Other Fees(3) | $ | 0 | 0 | % | $ | 0 | 0 | % | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||||||||||
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Total | $ | 37,997 | 0 | % | $ | 63,200 | 0 | % | $ | 37,950 | 0 | % | $ | 62,900 | 0 | % | ||||||||||||||||
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* | Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimus waiver of Committee’s requirement to pre-approve) |
(1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. |
(2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters. |
(3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
(e) The Audit Committee is required to pre-approve all audit and non-audit services provided to the registrant by the auditors, and to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. In determining whether to pre-approve non-audit services, the Audit Committee considers whether the services are consistent with maintaining the independence of the auditors. The Committee may delegate its authority to pre-approve certain matters to one or more of its members. In this regard, the Committee has delegated authority jointly to the Audit Committee Chair together with another Committee member with respect to non-audit services not exceeding $25,000 in each instance. In addition, the Committee has pre-approved the retention of the auditors to provide tax-related services related to the tax treatment and tax accounting of newly acquired securities, upon request by the investment adviser in each instance.
(f) Not applicable.
(g) Aggregate non-audit fees billed by the registrant’s principal accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of each Series.
Fiscal Year ended 9/30/20 | Fiscal Year ended 12/31/20 | Fiscal Year ended 9/30/21 | Fiscal Year ended 12/31/21 | |||||||||||
$ | %* | $ | %* | $ | %* | $ | %* | |||||||
$4,950 | 0% | $9,900 | 0% | $4,950 | 0% | $9,900 | 0% |
* | Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimus waiver of Committee’s requirement to pre-approve). |
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders 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). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CALVERT MANAGEMENT SERIES | ||
By: | /s/ John H. Streur | |
John H. Streur | ||
President |
Date: February 24, 2022
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/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer |
Date: February 24, 2022
By: | /s/ John H. Streur | |
John H. Streur | ||
President |
Date: February 24, 2022