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)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Service)
(202) 238-2200
(Registrant's Telephone Number)
September 30
Date of Fiscal Year End
March 31, 2019
Date of Reporting Period
____________________________________________________________________________________
Item 1. Report to Stockholders.
Calvert Floating-Rate Advantage Fund
Calvert Ultra-Short Duration Income NextShares
Calvert Floating-Rate Advantage Fund |
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (calvert.com/prospectus), and you will be notified by mail each time a report is posted and provided with a website address to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you are a direct investor, you may elect to receive shareholder reports and other communications from the Fund electronically by signing up for e-Delivery at calvert.com. If you own your shares through a financial intermediary (such as a broker-dealer or bank), you must contact your financial intermediary to sign up.
You may elect to receive all future Fund shareholder reports in paper free of charge. If you are a direct investor, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 1-800-368-2745. If you own these shares through a financial intermediary, you must contact your financial intermediary or follow instructions included with this disclosure, if applicable, to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Calvert funds held directly or to all funds held through your financial intermediary, as applicable.
Semiannual Report March 31, 2019 E-Delivery Sign-Up — Details Inside |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report must be preceded or accompanied by a current summary prospectus or prospectus. Before investing, investors should consider carefully the investment objective, risks, and charges and expenses of a mutual fund. This and other important information is contained in the summary prospectus and prospectus, which can be obtained from a financial advisor. Prospective investors should read the prospectus carefully before investing. For further information, please call 1-800-368-2745. |
Choose Planet-friendly E-delivery! Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs. Just go to www.calvert.com. If you already have an online account with the Calvert funds, click on Login to access your Account and select the documents you would like to receive via e-mail. If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps. Note: If your shares are not held directly with the Calvert funds but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm. |
2 www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND ANNUAL REPORT (UNAUDITED)
3 www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND ANNUAL REPORT (UNAUDITED)
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Managers Scott H. Page, CFA, Craig P. Russ, and Catherine C. McDermott, each of Calvert Research and Management | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception | ||||||||||
Class A at NAV | 10/10/2017 | 10/10/2017 | -0.20 | % | 1.68 | % | — | % | 2.06 | % | ||||||
Class A with 3.75% Maximum Sales Charge | — | — | -3.96 | -2.14 | — | -0.56 | ||||||||||
Class I at NAV | 10/10/2017 | 10/10/2017 | -0.07 | 1.95 | — | 2.31 | ||||||||||
Class R6 at NAV | 10/10/2017 | 10/10/2017 | 0.02 | 1.91 | — | 2.28 | ||||||||||
S&P/LSTA Leveraged Loan Index | — | — | 0.40 | % | 2.97 | % | 3.62 | % | 3.62 | % | ||||||
% Total Annual Operating Expense Ratios3 | Class A | Class I | Class R6 | |||||||||||||
Gross | 2.20 | % | 1.95 | % | 1.89 | % | ||||||||||
Net | 1.83 | 1.58 | 1.52 | |||||||||||||
% Total Leverage4 | ||||||||||||||||
Borrowings | 12.78 | % |
Fund Profile | |||||||
TEN LARGEST SECTORS (% of total investments)5 | TEN LARGEST ISSUERS (% of total investments)6 | ||||||
Electronics/Electrical | 16.1 | % | Infor (US), Inc. | 1.5 | % | ||
Health Care | 12.1 | % | Kronos Incorporated | 1.5 | % | ||
Business Equipment and Services | 10.1 | % | SolarWinds Holdings, Inc. | 1.5 | % | ||
Industrial Equipment | 7.2 | % | Hyland Software, Inc. | 1.4 | % | ||
Telecommunications | 6.7 | % | Asurion, LLC | 1.4 | % | ||
Leisure Goods/Activities/Movies | 5.1 | % | Sprint Communications, Inc. | 1.3 | % | ||
Building and Development | 4.7 | % | Clark Equipment Company | 1.3 | % | ||
Containers and Glass Products | 4.4 | % | Zekelman Industries, Inc. | 1.3 | % | ||
Financial Intermediaries | 3.7 | % | American Builders & Contractors Supply Co., Inc. | 1.3 | % | ||
Insurance | 3.6 | % | Gates Global, LLC | 1.3 | % | ||
Total | 73.7 | % | Total | 13.8 | % | ||
CREDIT QUALITY (% of bond and loan holdings)7 | |||||||
BBB | 5.2 | % | |||||
BB | 24.3 | % | |||||
B | 61.5 | % | |||||
CCC or Lower | 3.0 | % | |||||
Not Rated | 6.0 | % | |||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
2 www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED)
Endnotes and Additional Disclosures |
1 | S&P/LSTA Leveraged Loan Index is an unmanaged index of the institutional leveraged loan market. S&P Dow Jones Indices are a product 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”); S&P DJI, Dow Jones and their respective affiliates 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. 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 since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. |
3 Net expense ratio reflects a contractual expense reimbursement that continues through 1/31/20. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.
4 | Total leverage is shown as a percentage of the Fund’s aggregate net assets plus borrowings outstanding. The Fund employs leverage through borrowings. Use of leverage creates an opportunity for income, but creates risks including greater volatility of NAV. The cost of borrowings rises and falls with changes in short-term interest rates. The Fund may be required to maintain prescribed asset coverage for its borrowings and may be required to reduce its borrowings at an inopportune time. |
5 | Does not include Short Term Investment of Cash Collateral for Securities Loaned. |
6 | Excludes cash and cash equivalents. |
7 | Credit ratings are categorized using S&P Global Ratings (“S&P”). Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. Holdings designated as Not Rated (if any) are not rated by S&P. |
Fund profile subject to change due to active management.
www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED) 3
FUND EXPENSES
Example
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2018 to March 31, 2019).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
Beginning Account Value (10/1/18) | Ending Account Value (3/31/19) | Expenses Paid During Period* (10/1/18 - 3/31/19) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $998.00 | $10.46** | 2.10% |
Class I | $1,000.00 | $999.30 | $8.87** | 1.78% |
Class R6 | $1,000.00 | $1,000.20 | $9.03** | 1.81% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,014.46 | $10.55** | 2.10% |
Class I | $1,000.00 | $1,016.06 | $8.95** | 1.78% |
Class R6 | $1,000.00 | $1,015.91 | $9.10** | 1.81% |
* 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 182/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2018. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
4 www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT FLOATING-RATE ADVANTAGE FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 2019 (Unaudited)
PRINCIPAL AMOUNT ($) | VALUE ($) | |
SENIOR FLOATING RATE LOANS (1) - 107.6% | ||
Aerospace and Defense - 0.4% | ||
WP CPP Holdings, LLC, Term Loan, 6.51%, (3 mo. USD LIBOR + 3.75%), 4/30/25 | 248,750 | 247,273 |
Automotive - 3.1% | ||
Dayco Products, LLC, Term Loan, 6.879%, (3 mo. USD LIBOR + 4.25%), 5/19/23 | 196,386 | 192,458 |
Garrett LX III S.a.r.l., Term Loan, 5.11%, (3 mo. USD LIBOR + 2.50%), 9/27/25 | 398,000 | 391,533 |
Panther BF Aggregator 2 LP, Term Loan, 3/18/26 (2) | 275,000 | 272,243 |
Thor Industries, Inc., Term Loan, 6.25%, (1 mo. USD LIBOR + 3.75%), 2/1/26 | 160,149 | 153,441 |
TI Group Automotive Systems, LLC, Term Loan, 4.999%, (1 mo. USD LIBOR + 2.50%), 6/30/22 | 381,229 | 376,301 |
Tower Automotive Holdings USA, LLC, Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), 3/7/24 | 434,017 | 424,252 |
1,810,228 | ||
Brokerage/Securities Dealers/Investment Houses - 0.8% | ||
Advisor Group, Inc., Term Loan, 6.249%, (1 mo. USD LIBOR + 3.75%), 8/15/25 | 348,250 | 349,338 |
Aretec Group, Inc., Term Loan, 6.749%, (1 mo. USD LIBOR + 4.25%), 10/1/25 | 124,688 | 123,285 |
472,623 | ||
Building and Development - 5.3% | ||
American Builders & Contractors Supply Co., Inc., Term Loan, 4.499%, (1 mo. USD LIBOR + 2.00%), 10/31/23 | 888,665 | 866,369 |
Brookfield Property REIT, Inc., Term Loan, 4.996%, (1 mo. USD LIBOR + 2.50%), 8/27/25 | 248,750 | 240,251 |
Core & Main L.P., Term Loan, 5.626%, (3 mo. USD LIBOR + 3.00%), 8/1/24 | 544,991 | 541,571 |
DTZ U.S. Borrower, LLC, Term Loan, 5.749%, (1 mo. USD LIBOR + 3.25%), 8/21/25 | 322,752 | 320,785 |
Henry Company, LLC, Term Loan, 6.499%, (1 mo. USD LIBOR + 4.00%), 10/5/23 | 271,528 | 271,019 |
Realogy Group, LLC, Term Loan, 4.732%, (1 mo. USD LIBOR + 2.25%), 2/8/25 | 640,258 | 623,451 |
Werner FinCo L.P., Term Loan, 6.601%, (3 mo. USD LIBOR + 4.00%), 7/24/24 | 197,494 | 190,581 |
3,054,027 | ||
Business Equipment and Services - 11.4% | ||
AppLovin Corporation, Term Loan, 6.249%, (1 mo. USD LIBOR + 3.75%), 8/15/25 | 349,125 | 349,561 |
Brand Energy & Infrastructure Services, Inc., Term Loan, 6.956%, (USD LIBOR + 4.25%), 6/21/24 (3) | 196,993 | 189,605 |
Camelot UK Holdco Limited, Term Loan, 5.746%, (1 mo. USD LIBOR + 3.25%), 10/3/23 | 192,912 | 191,948 |
Carbonite, Inc, Term Loan, 3/21/26 (2) | 250,000 | 248,516 |
Ceridian HCM Holding, Inc., Term Loan, 5.493%, (1 mo. USD LIBOR + 3.00%), 4/30/25 | 497,500 | 496,464 |
Change Healthcare Holdings, LLC, Term Loan, 5.249%, (1 mo. USD LIBOR + 2.75%), 3/1/24 | 821,566 | 811,297 |
Cypress Intermediate Holdings III, Inc., Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), 4/26/24 | 370,667 | 365,049 |
EIG Investors Corp., Term Loan, 6.389%, (3 mo. USD LIBOR + 3.75%), 2/9/23 | 443,041 | 441,748 |
IRI Holdings, Inc., Term Loan, 7.129%, (3 mo. USD LIBOR + 4.50%), 12/1/25 | 174,563 | 171,508 |
J.D. Power and Associates, Term Loan, 6.249%, (1 mo. USD LIBOR + 3.75%), 9/7/23 | 295,456 | 291,024 |
KAR Auction Services, Inc., Term Loan, 5.125%, (3 mo. USD LIBOR + 2.50%), 3/9/23 | 641,764 | 639,089 |
Kronos Incorporated, Term Loan, 5.736%, (3 mo. USD LIBOR + 3.00%), 11/1/23 | 981,207 | 971,778 |
www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED) 5
PRINCIPAL AMOUNT ($) | VALUE ($) | |
SENIOR FLOATING RATE LOANS (1) - CONT’D | ||
Pre-Paid Legal Services, Inc., Term Loan, 5.499%, (1 mo. USD LIBOR + 3.00%), 5/1/25 | 329,638 | 325,724 |
Prime Security Services Borrower, LLC, Term Loan, 5.249%, (1 mo. USD LIBOR + 2.75%), 5/2/22 | 455,497 | 451,593 |
ServiceMaster Company, Term Loan, 4.999%, (1 mo. USD LIBOR + 2.50%), 11/8/23 | 83,055 | 82,950 |
SMG Holdings, Inc., Term Loan, 5.499%, (1 mo. USD LIBOR + 3.00%), 1/23/25 | 247,500 | 245,128 |
Vestcom Parent Holdings, Inc., Term Loan, 6.499%, (1 mo. USD LIBOR + 4.00%), 12/19/23 | 97,000 | 93,120 |
West Corporation, Term Loan, 6.629%, (3 mo. USD LIBOR + 4.00%), 10/10/24 | 247,494 | 232,644 |
6,598,746 | ||
Cable and Satellite Television - 1.3% | ||
Telenet Financing USD, LLC, Term Loan, 4.734%, (1 mo. USD LIBOR + 2.25%), 8/15/26 | 275,000 | 269,844 |
Ziggo Secured Finance Partnership, Term Loan, 4.984%, (1 mo. USD LIBOR + 2.50%), 4/15/25 | 500,000 | 487,812 |
757,656 | ||
Chemicals and Plastics - 3.1% | ||
Alpha 3 B.V., Term Loan, 5.601%, (3 mo. USD LIBOR + 3.00%), 1/31/24 | 309,517 | 303,521 |
Minerals Technologies, Inc., Term Loan, 4.858%, (USD LIBOR + 2.25%), 2/14/24 (3) | 604,096 | 604,096 |
PMHC II, Inc., Term Loan, 6.169%, (USD LIBOR + 3.50%), 3/31/25 (3) | 248,120 | 242,227 |
Polar US Borrower, LLC, Term Loan, 9.198%, (3 mo. USD Prime + 4.75%), 10/15/25 | 299,250 | 298,128 |
Starfruit Finco B.V., Term Loan, 5.74%, (1 mo. USD LIBOR + 3.25%), 10/1/25 | 325,000 | 320,834 |
1,768,806 | ||
Containers and Glass Products - 3.7% | ||
Berlin Packaging, LLC, Term Loan, 5.495%, (USD LIBOR + 3.00%), 11/7/25 (3) | 248,125 | 240,991 |
Berry Global, Inc., Term Loan, 4.61%, (2 mo. USD LIBOR + 2.00%), 10/1/22 | 610,480 | 607,695 |
BWAY Holding Company, Term Loan, 6.033%, (3 mo. USD LIBOR + 3.25%), 4/3/24 | 345,856 | 338,247 |
Flex Acquisition Company, Inc.: | ||
Term Loan, 5.626%, (USD LIBOR + 3.00%), 12/29/23 (3) | 493,719 | 479,678 |
Term Loan, 5.876%, (USD LIBOR + 3.25%), 6/29/25 (3) | 149,250 | 145,092 |
Libbey Glass, Inc., Term Loan, 5.493%, (1 mo. USD LIBOR + 3.00%), 4/9/21 | 246,425 | 232,872 |
Pelican Products, Inc., Term Loan, 5.981%, (1 mo. USD LIBOR + 3.50%), 5/1/25 | 74,438 | 73,321 |
2,117,896 | ||
Cosmetics/Toiletries - 0.9% | ||
KIK Custom Products, Inc., Term Loan, 6.496%, (1 mo. USD LIBOR + 4.00%), 5/15/23 | 550,000 | 521,469 |
Drugs - 1.2% | ||
Albany Molecular Research, Inc., Term Loan, 5.749%, (1 mo. USD LIBOR + 3.25%), 8/30/24 | 197,000 | 193,881 |
Amneal Pharmaceuticals, LLC, Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), 5/4/25 | 321,672 | 321,268 |
Arbor Pharmaceuticals, Inc., Term Loan, 7.601%, (3 mo. USD LIBOR + 5.00%), 7/5/23 | 185,949 | 162,705 |
677,854 | ||
Ecological Services and Equipment - 0.5% | ||
GFL Environmental, Inc., Term Loan, 5.499%, (1 mo. USD LIBOR + 3.00%), 5/30/25 | 273,013 | 265,164 |
6 www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | |
SENIOR FLOATING RATE LOANS (1) - CONT’D | ||
Electronics/Electrical - 18.2% | ||
Almonde, Inc., Term Loan, 6.101%, (3 mo. USD LIBOR + 3.50%), 6/13/24 | 474,358 | 458,015 |
Applied Systems, Inc., Term Loan, 9/19/24 (2) | 825,000 | 815,890 |
Aptean, Inc., Term Loan, 6.86%, (3 mo. USD LIBOR + 4.25%), 12/20/22 | 138,525 | 138,612 |
Avast Software B.V., Term Loan, 5.101%, (3 mo. USD LIBOR + 2.50%), 9/30/23 | 195,685 | 195,673 |
Banff Merger Sub, Inc., Term Loan, 6.851%, (3 mo. USD LIBOR + 4.25%), 10/2/25 | 498,750 | 489,461 |
Barracuda Networks, Inc., Term Loan, 5.741%, (1 mo. USD LIBOR + 3.25%), 2/12/25 | 248,125 | 246,678 |
Cohu, Inc., Term Loan, 5.601%, (3 mo. USD LIBOR + 3.00%), 9/20/25 | 497,500 | 482,575 |
CommScope, Inc., Term Loan, 2/6/26 (2) | 450,000 | 450,954 |
CPI International, Inc., Term Loan, 5.999%, (1 mo. USD LIBOR + 3.50%), 7/26/24 | 298,485 | 297,552 |
Epicor Software Corporation, Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), 6/1/22 | 591,972 | 585,930 |
Exact Merger Sub, LLC, Term Loan, 9/27/24 (2) | 200,000 | 199,083 |
EXC Holdings III Corp., Term Loan, 6.101%, (3 mo. USD LIBOR + 3.50%), 12/2/24 | 197,500 | 196,759 |
Financial & Risk US Holdings, Inc., Term Loan, 6.249%, (1 mo. USD LIBOR + 3.75%), 10/1/25 | 124,688 | 121,168 |
GlobalLogic Holdings, Inc.: | ||
Term Loan, 3.25%, 8/1/25 (4) | 50,000 | 49,811 |
Term Loan, 5.749%, (1 mo. USD LIBOR + 3.25%), 8/1/25 | 348,250 | 346,935 |
Hyland Software, Inc., Term Loan, 5.999%, (1 mo. USD LIBOR + 3.50%), 7/1/24 | 941,501 | 941,648 |
Infoblox, Inc., Term Loan, 6.999%, (1 mo. USD LIBOR + 4.50%), 11/7/23 | 246,875 | 247,081 |
Infor (US), Inc., Term Loan, 5.249%, (1 mo. USD LIBOR + 2.75%), 2/1/22 | 982,963 | 979,583 |
Informatica, LLC, Term Loan, 5.749%, (1 mo. USD LIBOR + 3.25%), 8/5/22 | 421,135 | 420,661 |
SGS Cayman L.P., Term Loan, 7.976%, (3 mo. USD LIBOR + 5.38%), 4/23/21 | 65,403 | 63,973 |
SkillSoft Corporation, Term Loan, 7.249%, (1 mo. USD LIBOR + 4.75%), 4/28/21 | 595,337 | 501,571 |
SolarWinds Holdings, Inc., Term Loan, 5.249%, (1 mo. USD LIBOR + 2.75%), 2/5/24 | 966,911 | 958,278 |
Sutherland Global Services, Inc., Term Loan, 7.976%, (3 mo. USD LIBOR + 5.38%), 4/23/21 | 280,970 | 274,823 |
Tibco Software, Inc., Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), 12/4/20 | 295,466 | 294,450 |
Ultra Clean Holdings, Inc., Term Loan, 6.999%, (1 mo. USD LIBOR + 4.50%), 8/27/25 | 98,750 | 95,294 |
Veritas Bermuda, Ltd., Term Loan, 7.021%, (USD LIBOR + 4.50%), 1/27/23 (3) | 147,116 | 136,542 |
Vero Parent, Inc., Term Loan, 6.999%, (1 mo. USD LIBOR + 4.50%), 8/16/24 | 248,750 | 247,817 |
Wall Street Systems Delaware, Inc., Term Loan, 5.651%, (3 mo. USD LIBOR + 3.00%), 11/21/24 | 317,593 | 306,874 |
10,543,691 | ||
Equipment Leasing - 0.5% | ||
IBC Capital Limited, Term Loan, 6.36%, (3 mo. USD LIBOR + 3.75%), 9/11/23 | 298,492 | 290,284 |
Financial Intermediaries - 4.2% | ||
Citco Funding, LLC, Term Loan, 4.999%, (1 mo. USD LIBOR + 2.50%), 9/28/23 | 640,201 | 636,600 |
Freedom Mortgage Corporation, Term Loan, 7.249%, (1 mo. USD LIBOR + 4.75%), 2/23/22 | 481,013 | 482,215 |
Harbourvest Partners, LLC, Term Loan, 4.849%, (2 mo. USD LIBOR + 2.25%), 3/1/25 | 46,365 | 45,901 |
Sesac Holdco II, LLC, Term Loan, 5.499%, (1 mo. USD LIBOR + 3.00%), 2/23/24 | 345,592 | 338,248 |
Victory Capital Holdings, Inc., Term Loan, 5.249%, (1 mo. USD LIBOR + 2.75%), 2/12/25 | 272,222 | 271,712 |
Virtus Investment Partners, Inc., Term Loan, 4.865%, (3 mo. USD LIBOR + 2.25%), 6/1/24 | 679,142 | 675,958 |
2,450,634 | ||
www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED) 7
PRINCIPAL AMOUNT ($) | VALUE ($) | |
SENIOR FLOATING RATE LOANS (1) - CONT’D | ||
Food Products - 1.9% | ||
Del Monte Foods, Inc., Term Loan, 5.906%, (3 mo. USD LIBOR + 3.25%), 2/18/21 | 348,168 | 275,923 |
Post Holdings, Inc., Term Loan, 4.49%, (1 mo. USD LIBOR + 2.00%), 5/24/24 | 597,244 | 593,511 |
Restaurant Technologies, Inc., Term Loan, 10/1/25 (2) | 250,000 | 249,062 |
1,118,496 | ||
Food Service - 0.5% | ||
IRB Holding Corp., Term Loan, 5.739%, (1 mo. USD LIBOR + 3.25%), 2/5/25 | 320,500 | 313,188 |
Food/Drug Retailers - 0.5% | ||
Albertsons, LLC, Term Loan, 5.609%, (3 mo. USD LIBOR + 3.00%), 12/21/22 | 291,114 | 289,138 |
Health Care - 11.7% | ||
Accelerated Health Systems, LLC, Term Loan, 5.99%, (1 mo. USD LIBOR + 3.50%), 10/31/25 | 49,875 | 49,875 |
Alliance Healthcare Services, Inc., Term Loan, 6.999%, (1 mo. USD LIBOR + 4.50%), 10/24/23 | 193,750 | 192,297 |
Argon Medical Devices, Inc., Term Loan, 6.249%, (1 mo. USD LIBOR + 3.75%), 1/23/25 | 198,000 | 197,340 |
BioClinica, Inc., Term Loan, 7.00%, (3 mo. USD LIBOR + 4.25%), 10/20/23 | 196,977 | 178,264 |
DaVita, Inc., Term Loan, 5.249%, (1 mo. USD LIBOR + 2.75%), 6/24/21 | 639,922 | 640,619 |
Envision Healthcare Corporation, Term Loan, 6.249%, (1 mo. USD LIBOR + 3.75%), 10/10/25 | 498,750 | 467,474 |
Greatbatch Ltd., Term Loan, 5.49%, (1 mo. USD LIBOR + 3.00%), 10/27/22 | 349,992 | 350,123 |
Hanger, Inc., Term Loan, 5.999%, (1 mo. USD LIBOR + 3.50%), 3/6/25 | 99,000 | 98,753 |
Kinetic Concepts, Inc., Term Loan, 2/2/24 (2) | 500,000 | 497,292 |
KUEHG Corp., Term Loan, 6.351%, (3 mo. USD LIBOR + 3.75%), 2/21/25 | 419,306 | 413,933 |
MPH Acquisition Holdings, LLC, Term Loan, 5.351%, (3 mo. USD LIBOR + 2.75%), 6/7/23 | 836,745 | 810,910 |
One Call Corporation, Term Loan, 7.732%, (1 mo. USD LIBOR + 5.25%), 11/25/22 | 195,655 | 166,796 |
Ortho-Clinical Diagnostics S.A., Term Loan, 5.749%, (1 mo. USD LIBOR + 3.25%), 6/30/25 | 731,775 | 705,858 |
RadNet, Inc., Term Loan, 6.529%, (3 mo. USD LIBOR + 3.75%), 6/30/23 | 184,211 | 184,671 |
Select Medical Corporation, Term Loan, 4.99%, (1 mo. USD LIBOR + 2.50%), 3/6/25 | 272,883 | 271,852 |
Sotera Health Holdings, LLC, Term Loan, 5/15/22 (2) | 300,000 | 294,563 |
Tecomet, Inc., Term Loan, 5.993%, (1 mo. USD LIBOR + 3.50%), 5/1/24 | 496,212 | 494,972 |
U.S. Anesthesia Partners, Inc., Term Loan, 5.499%, (1 mo. USD LIBOR + 3.00%), 6/23/24 | 394,607 | 390,579 |
Verscend Holding Corp., Term Loan, 6.999%, (1 mo. USD LIBOR + 4.50%), 8/27/25 | 248,127 | 246,418 |
VVC Holding Corp., Term Loan, 7.197%, (3 mo. USD LIBOR + 4.50%), 2/11/26 | 150,000 | 148,000 |
6,800,589 | ||
Home Furnishings - 1.3% | ||
Bright Bidco B.V., Term Loan, 6.068%, (USD LIBOR + 3.50%), 6/30/24 (3) | 295,493 | 233,070 |
Serta Simmons Bedding, LLC, Term Loan, 5.983%, (1 mo. USD LIBOR + 3.50%), 11/8/23 | 693,194 | 515,274 |
748,344 | ||
Industrial Equipment - 8.1% | ||
Altra Industrial Motion Corp., Term Loan, 4.499%, (1 mo. USD LIBOR + 2.00%), 10/1/25 | 73,041 | 72,006 |
Apex Tool Group, LLC, Term Loan, 6.249%, (1 mo. USD LIBOR + 3.75%), 2/1/22 | 290,625 | 282,996 |
Carlisle Foodservice Products, Inc., Term Loan, 5.499%, (1 mo. USD LIBOR + 3.00%), 3/20/25 | 297,417 | 290,725 |
Clark Equipment Company, Term Loan, 4.601%, (3 mo. USD LIBOR + 2.00%), 5/18/24 | 892,055 | 875,887 |
CPM Holdings, Inc., Term Loan, 6.249%, (1 mo. USD LIBOR + 3.75%), 11/15/25 | 24,938 | 24,782 |
8 www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | |
SENIOR FLOATING RATE LOANS (1) - CONT’D | ||
DexKo Global, Inc., Term Loan, 5.999%, (1 mo. USD LIBOR + 3.50%), 7/24/24 | 247,889 | 244,325 |
Engineered Machinery Holdings, Inc., Term Loan, 5.851%, (3 mo. USD LIBOR + 3.25%), 7/19/24 | 320,938 | 309,705 |
EWT Holdings III Corp., Term Loan, 5.499%, (1 mo. USD LIBOR + 3.00%), 12/20/24 | 591,247 | 585,334 |
Filtration Group Corporation, Term Loan, 5.499%, (1 mo. USD LIBOR + 3.00%), 3/29/25 | 519,750 | 516,610 |
Gates Global, LLC, Term Loan, 5.249%, (1 mo. USD LIBOR + 2.75%), 4/1/24 | 837,744 | 830,189 |
Robertshaw US Holding Corp., Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), 2/28/25 | 420,750 | 396,557 |
Titan Acquisition Limited, Term Loan, 5.499%, (1 mo. USD LIBOR + 3.00%), 3/28/25 | 297,000 | 276,581 |
4,705,697 | ||
Insurance - 4.0% | ||
AmWINS Group, Inc., Term Loan, 5.247%, (1 mo. USD LIBOR + 2.75%), 1/25/24 | 492,443 | 486,842 |
Asurion, LLC: | ||
Term Loan, 5.499%, (1 mo. USD LIBOR + 3.00%), 8/4/22 | 840,313 | 837,162 |
Term Loan - Second Lien, 8.999%, (1 mo. USD LIBOR + 6.50%), 8/4/25 | 100,000 | 101,578 |
Hub International Limited, Term Loan, 5.51%, (3 mo. USD LIBOR + 2.75%), 4/25/25 | 521,063 | 504,725 |
Sedgwick Claims Management Services, Inc., Term Loan, 5.749%, (1 mo. USD LIBOR + 3.25%), 12/31/25 | 124,688 | 122,330 |
USI, Inc., Term Loan, 5.601%, (3 mo. USD LIBOR + 3.00%), 5/16/24 | 295,500 | 286,266 |
2,338,903 | ||
Leisure Goods/Activities/Movies - 5.8% | ||
AMC Entertainment Holdings, Inc., Term Loan, 4.734%, (1 mo. USD LIBOR + 2.25%), 12/15/23 | 640,201 | 639,100 |
Ancestry.com Operations, Inc., Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), 10/19/23 | 542,172 | 539,461 |
Bombardier Recreational Products, Inc., Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), 5/23/25 | 643,488 | 631,101 |
Delta 2 (LUX) S.a.r.l., Term Loan, 4.999%, (1 mo. USD LIBOR + 2.50%), 2/1/24 | 550,000 | 529,375 |
Emerald Expositions Holding, Inc., Term Loan, 5.249%, (1 mo. USD LIBOR + 2.75%), 5/22/24 | 285,558 | 279,847 |
Match Group, Inc., Term Loan, 5.09%, (2 mo. USD LIBOR + 2.50%), 11/16/22 | 650,000 | 648,375 |
Travel Leaders Group, LLC, Term Loan, 6.482%, (1 mo. USD LIBOR + 4.00%), 1/25/24 | 99,250 | 99,746 |
3,367,005 | ||
Lodging and Casinos - 2.4% | ||
ESH Hospitality, Inc., Term Loan, 4.499%, (1 mo. USD LIBOR + 2.00%), 8/30/23 | 572,590 | 568,603 |
Playa Resorts Holding B.V., Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), 4/29/24 | 221,745 | 213,614 |
RHP Hotel Properties L.P., Term Loan, 4.78%, (3 mo. USD LIBOR + 2.00%), 5/11/24 | 641,834 | 636,753 |
1,418,970 | ||
Publishing - 3.1% | ||
Ascend Learning, LLC, Term Loan, 5.499%, (1 mo. USD LIBOR + 3.00%), 7/12/24 | 595,466 | 585,045 |
Getty Images, Inc., Term Loan, 7.00%, (1 mo. USD LIBOR + 4.50%), 2/19/26 | 274,813 | 273,712 |
Harland Clarke Holdings Corp., Term Loan, 7.351%, (3 mo. USD LIBOR + 4.75%), 11/3/23 | 184,154 | 166,659 |
LSC Communications, Inc., Term Loan, 7.999%, (1 mo. USD LIBOR + 5.50%), 9/30/22 | 162,400 | 162,400 |
ProQuest, LLC, Term Loan, 5.851%, (3 mo. USD LIBOR + 3.25%), 10/24/21 | 592,120 | 590,640 |
1,778,456 | ||
www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED) 9
PRINCIPAL AMOUNT ($) | VALUE ($) | |
SENIOR FLOATING RATE LOANS (1) - CONT’D | ||
Radio and Television - 1.1% | ||
Entravision Communications Corporation, Term Loan, 5.249%, (1 mo. USD LIBOR + 2.75%), 11/29/24 | 409,167 | 390,754 |
Mission Broadcasting, Inc., Term Loan, 4.739%, (1 mo. USD LIBOR + 2.25%), 1/17/24 | 37,830 | 37,026 |
Nexstar Broadcasting, Inc., Term Loan, 4.746%, (1 mo. USD LIBOR + 2.25%), 1/17/24 | 205,545 | 201,177 |
628,957 | ||
Retailers (Except Food and Drug) - 1.0% | ||
Bass Pro Group, LLC, Term Loan, 7.499%, (1 mo. USD LIBOR + 5.00%), 9/25/24 | 246,867 | 241,928 |
Hoya Midco, LLC, Term Loan, 5.999%, (1 mo. USD LIBOR + 3.50%), 6/30/24 | 196,993 | 191,083 |
LSF9 Atlantis Holdings, LLC, Term Loan, 8.481%, (1 mo. USD LIBOR + 6.00%), 5/1/23 | 143,727 | 133,486 |
566,497 | ||
Steel - 2.7% | ||
GrafTech Finance, Inc., Term Loan, 5.999%, (1 mo. USD LIBOR + 3.50%), 2/12/25 | 455,057 | 452,782 |
Phoenix Services International, LLC, Term Loan, 6.243%, (1 mo. USD LIBOR + 3.75%), 3/1/25 | 247,500 | 245,953 |
Zekelman Industries, Inc., Term Loan, 4.74%, (1 mo. USD LIBOR + 2.25%), 6/14/21 | 876,316 | 868,922 |
1,567,657 | ||
Telecommunications - 7.6% | ||
CenturyLink, Inc., Term Loan, 5.249%, (1 mo. USD LIBOR + 2.75%), 1/31/25 | 841,112 | 824,289 |
Colorado Buyer, Inc., Term Loan, 5.60%, (3 mo. USD LIBOR + 3.00%), 5/1/24 | 396,345 | 384,785 |
Digicel International Finance Limited, Term Loan, 5.88%, (3 mo. USD LIBOR + 3.25%), 5/28/24 | 246,623 | 219,905 |
Intelsat Jackson Holdings S.A., Term Loan, 6.24%, (1 mo. USD LIBOR + 3.75%), 11/27/23 | 574,000 | 564,314 |
Level 3 Financing, Inc., Term Loan, 4.736%, (1 mo. USD LIBOR + 2.25%), 2/22/24 | 650,000 | 643,500 |
SBA Senior Finance II, LLC, Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), 4/11/25 | 689,920 | 676,337 |
Sprint Communications, Inc., Term Loan, 2/2/24 (2) | 900,000 | 883,687 |
Syniverse Holdings, Inc., Term Loan, 7.484%, (1 mo. USD LIBOR + 5.00%), 3/9/23 | 247,500 | 227,236 |
4,424,053 | ||
Utilities - 1.3% | ||
Granite Acquisition, Inc., Term Loan, 6.101%, (3 mo. USD LIBOR + 3.50%), 12/19/21 | 500,000 | 500,000 |
USIC Holdings, Inc., Term Loan, 5.749%, (1 mo. USD LIBOR + 3.25%), 12/8/23 | 248,159 | 242,472 |
742,472 | ||
Total Senior Floating Rate Loans (Cost $63,853,465) | 62,384,773 | |
SHARES | VALUE ($) | |
EXCHANGE-TRADED FUNDS - 0.8% | ||
SPDR Blackstone / GSO Senior Loan ETF (5) | 10,750 | 495,037 |
Total Exchange-Traded Funds (Cost $500,950) | 495,037 | |
10 www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - 4.6% | ||
Automotive - 0.1% | ||
Panther BF Aggregator 2 LP / Panther Finance Co., Inc., 6.25%, 5/15/26 (6)(7) | 25,000 | 25,563 |
Cable and Satellite Television - 1.3% | ||
Virgin Media Secured Finance PLC, 5.50%, 1/15/25 (6) | 750,000 | 765,937 |
Containers and Glass Products - 1.3% | ||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC, 5.125%, 7/15/23 (6) | 750,000 | 763,125 |
Health Care - 1.9% | ||
Avantor, Inc., 6.00%, 10/1/24 (6) | 300,000 | 312,000 |
HCA, Inc., 5.25%, 4/15/25 | 750,000 | 804,982 |
1,116,982 | ||
Total Corporate Bonds (Cost $2,648,948) | 2,671,607 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 0.7% | ||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.43% | 404,200 | 404,200 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $404,200) | 404,200 | |
TOTAL INVESTMENTS (Cost $67,407,563) - 113.7% | 65,955,617 | |
Less Unfunded Loan Commitments - (0.1%) | (50,000) | |
NET INVESTMENTS (Cost $67,357,563) - 113.6% | 65,905,617 | |
Note Payable - (14.7%) | (8,500,000) | |
Other assets and liabilities, net - 1.0% | 593,407 | |
NET ASSETS - 100.0% | 57,999,024 |
www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED) 11
NOTES TO SCHEDULE OF INVESTMENTS | |
(1) Remaining maturities of senior floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. Senior floating rate loans generally pay interest at rates which are periodically re-determined at a spread above the London Interbank Offered Rate (“LIBOR”) or other short-term rates. The rate shown is the rate in effect at March 31, 2019. Senior floating rate loans are generally considered restrictive in that the Fund is ordinarily contractually obligated to receive consent from the Agent Bank and/or borrower prior to disposition of a senior floating rate loan. | |
(2) This Senior Loan will settle after March 31, 2019, at which time the interest rate will be determined. | |
(3) The stated interest rate represents the weighted average interest rate at March 31, 2019 of contracts within the loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. | |
(4) Unfunded or partially unfunded loan commitments. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. | |
(5) All or a portion of this security was on loan at March 31, 2019. The aggregate market value of securities on loan at March 31, 2019 was $439,409. | |
(6) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $1,866,625, which represents 3.2% of the net assets of the Fund as of March 31, 2019. | |
(7) When-issued security. | |
Abbreviations: | |
LIBOR: | London Interbank Offered Rate |
USD: | United States Dollar |
See notes to financial statements. |
12 www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT FLOATING-RATE ADVANTAGE FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2019 (Unaudited)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $67,357,563) - including $439,409 of securities on loan | $65,905,617 | ||
Cash | 3,852,888 | ||
Receivable for investments sold | 1,566,706 | ||
Receivable for capital shares sold | 178,906 | ||
Interest receivable | 163,562 | ||
Securities lending income receivable | 363 | ||
Receivable from affiliate | 8,341 | ||
Trustees’ deferred compensation plan | 205 | ||
Prepaid upfront fees on note payable | 21,694 | ||
Prepaid expenses | 6,251 | ||
Other assets | 2,341 | ||
Total assets | 71,706,874 | ||
LIABILITIES | |||
Payable for investments purchased | 4,637,750 | ||
Payable for when-issued securities | 25,000 | ||
Payable for capital shares redeemed | 16,181 | ||
Deposits for securities loaned | 404,200 | ||
Payable to affiliates: | |||
Investment advisory fee | 28,120 | ||
Administrative fee | 5,687 | ||
Distribution and service fees | 698 | ||
Sub-transfer agency fee | 225 | ||
Trustees’ deferred compensation plan | 205 | ||
Accrued expenses | 89,784 | ||
Note payable | 8,500,000 | ||
Total liabilities | 13,707,850 | ||
NET ASSETS | $57,999,024 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to shares of beneficial interest | |||
(unlimited number of no par value shares authorized) | $60,796,077 | ||
Accumulated loss | (2,797,053) | ||
Total | $57,999,024 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $3,323,671 and 341,778 shares outstanding) | $9.72 | ||
Class I (based on net assets of $23,151,129 and 2,381,255 shares outstanding) | $9.72 | ||
Class R6 (based on net assets of $31,524,224 and 3,243,650 shares outstanding) | $9.72 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/96.25 of net asset value per share) | $10.10 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. |
www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED) 13
CALVERT FLOATING-RATE ADVANTAGE FUND
STATEMENT OF OPERATIONS
SIX MONTHS ENDED MARCH 31, 2019 (Unaudited)
INVESTMENT INCOME | |||
Dividend income | $2,364 | ||
Interest income | 2,348,199 | ||
Securities lending income, net | 363 | ||
Total investment income | 2,350,926 | ||
EXPENSES | |||
Investment advisory fee | 211,150 | ||
Administrative fee | 42,012 | ||
Distribution and service fees: | |||
Class A | 4,117 | ||
Trustees’ fees and expenses | 2,525 | ||
Custodian fees | 19,402 | ||
Transfer agency fees and expenses | 14,834 | ||
Accounting fees | 8,961 | ||
Professional fees | 29,020 | ||
Registration fees | 32,075 | ||
Reports to shareholders | 4,147 | ||
Interest expense and fees and other borrowing costs | 353,833 | ||
Miscellaneous | 7,615 | ||
Total expenses | 729,691 | ||
Waiver and/or reimbursement of expenses by affiliate | (95,405) | ||
Reimbursement of expenses-other | (1,060) | ||
Net expenses | 633,226 | ||
Net investment income | 1,717,700 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized loss on investment securities | (1,257,993) | ||
Net change in unrealized appreciation (depreciation) on investment securities | (1,362,441) | ||
Net realized and unrealized loss | (2,620,434) | ||
Net decrease in net assets resulting from operations | ($902,734 | ) | |
See notes to financial statements. |
14 www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT FLOATING-RATE ADVANTAGE FUND
STATEMENT OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended March 31, 2019 (Unaudited) | Period Ended September 30, 2018(1) | |||||
Operations: | |||||||
Net investment income | $1,717,700 | $2,552,868 | |||||
Net realized loss | (1,257,993 | ) | (146,700 | ) | |||
Net change in unrealized appreciation (depreciation) | (1,362,441 | ) | (89,505 | ) | |||
Net increase (decrease) in net assets resulting from operations | (902,734 | ) | 2,316,663 | ||||
Distributions to shareholders: | |||||||
Class A shares | (77,697 | ) | (41,317 | ) | |||
Class I shares | (659,572 | ) | (553,234 | ) | |||
Class R6 shares | (973,571 | ) | (1,961,208 | ) | |||
Total distributions to shareholders | (1,710,840 | ) | (2,555,759 | ) | |||
Capital share transactions: | |||||||
Class A shares | 318,611 | 3,090,163 | |||||
Class I shares | (1,894,466 | ) | 26,491,733 | ||||
Class R6 shares | (19,945,582 | ) | 52,791,235 | ||||
Net increase (decrease) in net assets from capital share transactions | (21,521,437 | ) | 82,373,131 | ||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (24,135,011 | ) | 82,134,035 | ||||
NET ASSETS | |||||||
Beginning of period | 82,134,035 | — | |||||
End of period | $57,999,024 | $82,134,035 | |||||
(1) For the period from the start of business, October 10, 2017, to September 30, 2018. | |||||||
See notes to financial statements. |
www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED) 15
CALVERT FLOATING-RATE ADVANTAGE FUND
STATEMENT OF CASH FLOWS
CASH FLOWS FROM OPERATING ACTIVITIES | Six Months Ended March 31, 2019 (Unaudited) | ||
Net decrease in net assets from operations | ($902,734 | ) | |
Adjustments to reconcile net decrease in net assets from operations to net cash provided by operating activities: | |||
Investments purchased | (20,381,496 | ) | |
Investments sold and principal repayments | 46,437,101 | ||
Increase in short-term investments, net | (404,200 | ) | |
Net amortization/accretion of premium (discount) | 11,195 | ||
Amortization of prepaid upfront fees on note payable | 9,931 | ||
Decrease in interest receivable | 2,865 | ||
Increase in securities lending income receivable | (363 | ) | |
Decrease in receivable from affiliate | 13,935 | ||
Decrease in prepaid expenses | 8,132 | ||
Increase in trustees’ deferred compensation plan | (125 | ) | |
Increase in other assets | (1,060 | ) | |
Increase in deposits for securities loaned | 404,200 | ||
Decrease in payable to affiliate for investment advisory fee | (10,300 | ) | |
Decrease in payable to affiliate for administrative fee | (1,886 | ) | |
Increase in payable to affiliate for distribution and service fees | 132 | ||
Increase in payable to affiliate for sub-transfer agency fee | 130 | ||
Increase in payable to affiliate for trustees’ deferred compensation plan | 125 | ||
Decrease in accrued expenses | (31,263 | ) | |
Decrease in unfunded loan commitments | (35,601 | ) | |
Net change in unrealized (appreciation) depreciation from investments | 1,362,441 | ||
Net realized loss from investments | 1,257,993 | ||
Net cash provided by operating activities | $28,641,886 | ||
CASH FLOWS FROM FINANCING ACTIVITIES | |||
Cash distributions paid to shareholders | ($332,642 | ) | |
Proceeds from capital shares sold | 24,408,531 | ||
Capital shares redeemed | (46,950,272 | ) | |
Prepaid upfront fees on note payable | (31,625 | ) | |
Proceeds from note payable | 21,000,000 | ||
Repayments of note payable | (31,500,000 | ) | |
Net cash used in financing activities | ($33,406,008 | ) | |
Net decrease in cash | ($5,666,856 | ) | |
Cash at beginning of period | $9,519,744 | ||
Cash at end of period | $3,852,888 | ||
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION: | |||
Noncash financing activities not included herein consist of: Reinvestment of dividends and distributions | $1,378,198 | ||
Cash paid for interest and fees on borrowings | $393,193 | ||
See notes to financial statements. |
16 www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT FLOATING-RATE ADVANTAGE FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2019 (Unaudited) | Period Ended September 30, 2018 (1) | |||||
CLASS A SHARES | ||||||
Net asset value, beginning | $9.97 | $10.00 | ||||
Income from investment operations: | ||||||
Net investment income (2) | 0.23 | 0.38 | ||||
Net realized and unrealized loss | (0.25) | (0.06) | ||||
Total from investment operations | (0.02) | 0.32 | ||||
Distributions from: | ||||||
Net investment income | (0.23) | (0.35) | ||||
Total distributions | (0.23) | (0.35) | ||||
Total decrease in net asset value | (0.25) | (0.03) | ||||
Net asset value, ending | $9.72 | $9.97 | ||||
Total return (3)(4) | (0.20 | %) | 3.25 | % | ||
Ratios to average net assets: (5) | ||||||
Total expenses(6)(7) | 2.39 | % | 2.48 | % | ||
Net expenses(6)(7) | 2.10 | % | 2.13 | % | ||
Net investment income(6) | 4.73 | % | 3.93 | % | ||
Portfolio turnover (4) | 21 | % | 35 | % | ||
Net assets, ending (in thousands) | $3,324 | $3,090 | ||||
(1) For the period from the start of business, October 10, 2017, to September 30, 2018. | ||||||
(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 interest expense and fees and other borrowing costs of 1.07% and 1.07% for the six months ended March 31, 2019 and the period ended September 30, 2018, respectively. | ||||||
See notes to financial statements. |
www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED) 17
CALVERT FLOATING-RATE ADVANTAGE FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2019 (Unaudited) | Period Ended September 30, 2018 (1) | |||||
CLASS I SHARES | ||||||
Net asset value, beginning | $9.97 | $10.00 | ||||
Income from investment operations: | ||||||
Net investment income (2) | 0.24 | 0.40 | ||||
Net realized and unrealized loss | (0.25) | (0.06) | ||||
Total from investment operations | (0.01) | 0.34 | ||||
Distributions from: | ||||||
Net investment income | (0.24) | (0.37) | ||||
Total distributions | (0.24) | (0.37) | ||||
Total decrease in net asset value | (0.25) | (0.03) | ||||
Net asset value, ending | $9.72 | $9.97 | ||||
Total return (3)(4) | (0.07 | %) | 3.48 | % | ||
Ratios to average net assets: (5) | ||||||
Total expenses(6)(7) | 2.08 | % | 2.06 | % | ||
Net expenses(6)(8) | 1.78 | % | 1.67 | % | ||
Net investment income(6) | 4.91 | % | 4.10 | % | ||
Portfolio turnover (4) | 21 | % | 35 | % | ||
Net assets, ending (in thousands) | $23,151 | $26,452 | ||||
(1) For the period from the start of business, October 10, 2017, to September 30, 2018. | ||||||
(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 interest expense and fees and other borrowing costs of 1.00% and 0.91% for the six months ended March 31, 2019 and the period ended September 30, 2018, respectively. | ||||||
See notes to financial statements. |
18 www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT FLOATING-RATE ADVANTAGE FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2019 (Unaudited) | Period Ended September 30, 2018 (1) | |||||
CLASS R6 SHARES | ||||||
Net asset value, beginning | $9.96 | $10.00 | ||||
Income from investment operations: | ||||||
Net investment income (2) | 0.24 | 0.37 | ||||
Net realized and unrealized loss | (0.24) | (0.04) | ||||
Total from investment operations | — | 0.33 | ||||
Distributions from: | ||||||
Net investment income | (0.24) | (0.37) | ||||
Total distributions | (0.24) | (0.37) | ||||
Total decrease in net asset value | (0.24) | (0.04) | ||||
Net asset value, ending | $9.72 | $9.96 | ||||
Total return (3)(4) | 0.02 | % | 3.35 | % | ||
Ratios to average net assets: (5) | ||||||
Total expenses(6)(7) | 2.07 | % | 1.74 | % | ||
Net expenses(6)(7) | 1.81 | % | 1.44 | % | ||
Net investment income(6) | 4.94 | % | 3.81 | % | ||
Portfolio turnover (4) | 21 | % | 35 | % | ||
Net assets, ending (in thousands) | $31,524 | $52,592 | ||||
(1) For the period from the start of business, October 10, 2017, to September 30, 2018. | ||||||
(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 interest expense and fees and other borrowing costs of 1.03% and 0.69% for the six months ended March 31, 2019 and the period ended September 30, 2018, respectively. | ||||||
See notes to financial statements. |
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NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert Floating-Rate Advantage Fund (the Fund) is a diversified series of Calvert Management Series (the Trust). The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to provide a high level of current income. The Fund commenced operations on October 10, 2017. The Fund invests primarily in senior floating-rate loans of domestic and foreign borrowers.
The Fund offers three classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. A contingent deferred sales charge of 0.80% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within 12 months of purchase. Class I and Class R6 shares are sold at net asset value, are not subject to a sales charge and are sold only to certain eligible investors. Each class represents a pro rata interest in the Fund, but votes separately on class-specific matters and is subject to different expenses.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Trustees (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Valuation techniques used to value the Fund’s investments by major category are as follows:
Debt Securities. Debt securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. Accordingly, debt securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities of sufficient credit quality purchased with remaining maturities of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Senior Floating Rate Loans. Interests in senior floating rate loans for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service, and are categorized as Level 2 in the hierarchy.
Other Securities. Exchange-traded funds are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund’s adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent
20 www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED)
of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund’s holdings as of March 31, 2019, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||
Senior Floating Rate Loans (less Unfunded Loan Commitments) | $ | — | $ | 62,334,773 | $ | — | $ | 62,334,773 | ||||
Exchange-Traded Funds | 495,037 | — | — | 495,037 | ||||||||
Corporate Bonds | — | 2,671,607 | — | 2,671,607 | ||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 404,200 | — | — | 404,200 | ||||||||
Total Investments | $ | 899,237 | $ | 65,006,380 | $ | — | $ | 65,905,617 |
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. Non-cash dividends are recorded at the fair value of the securities received. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. The Fund earns certain fees in connection with its investments in senior floating rate loans. These fees are in addition to interest payments earned and may include amendment fees, consent fees and prepayment fees, which are recorded to income as earned.
C. Share Class Accounting: Realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Net investment income, other than class-specific expenses, is allocated daily to each class of shares based upon the ratio of the value of each class’s paid shares to the total value of all paid shares. Expenses arising in connection with a specific class are charged directly to that class. Sub-accounting, recordkeeping and similar administrative fees payable to financial intermediaries, which are a component of transfer agency fees and expenses on the Statement of Operations, are not allocated to Class R6 shares.
D. Senior Floating Rate Loans: The Fund may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. The Fund’s investment in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the lender) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. When the Fund purchases assignments from lenders, it acquires direct rights against the borrower of the loan. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of such payments by the lender from the borrower. The Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is issuing the participation interest.
E. Unfunded Loan Commitments: The Fund may enter into certain loan agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments are disclosed in the accompanying Schedule of Investments. At March 31, 2019, the Fund had sufficient cash and/or securities to cover these commitments.
F. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. The Fund declares income distributions daily to shareholders of record at the time of declaration and generally pays them monthly. Distributions of realized capital gains are made at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
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G. Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
H. Indemnifications: Under the Trust’s organizational document, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Trust) could be deemed to have personal liability for the obligations of the Trust. However, the Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and provides that upon request, the Trust shall assume the defense on behalf of any Fund shareholders or former shareholders. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
I. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
J. When-Issued Securities and Delayed Delivery Transactions: The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. At the time the transaction is negotiated, the price of the security that will be delivered is fixed. The Fund maintains cash and/or security positions for these commitments such that sufficient liquid assets will be available to make payments upon settlement. Securities purchased on a delayed delivery or when-issued basis are marked-to-market daily and begin earning interest on settlement date. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.
K. Interim Financial Statements: The interim financial statements relating to March 31, 2019 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the following annual rates of the Fund’s average daily gross assets: 0.48% up to and including $1 billion and 0.43% on the excess of $1 billion. Gross assets of the Fund are calculated by deducting all liabilities of the Fund except the principal amount of any indebtedness for money borrowed, including debt securities issued by the Fund. For the six months ended March 31, 2019, the investment advisory fee amounted to $211,150 or 0.60% (annualized) of the Fund’s average daily net assets.
CRM has agreed to reimburse certain of the Fund’s operating expenses (excluding investment advisory, administrative and distribution and service fees) in excess of 0.06% annually for each of Class A, Class I and Class R6 of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after January 31, 2020. For the six months ended March 31, 2019, CRM waived or reimbursed expenses of $95,405. The expense reimbursement relates to ordinary operating expenses only and does not include expenses such as: brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense and other borrowing costs, taxes or litigation expenses.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class A, Class I and Class R6 and is payable monthly. For the six months ended March 31, 2019, CRM was paid administrative fees of $42,012.
The Fund has in effect a distribution plan for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class A Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class A shares for distribution services and facilities provided to the Fund by EVD, as well as for personal services and/or the maintenance of shareholder accounts. Distribution and service fees paid or accrued for the six months ended March 31, 2019 amounted to $4,117 for Class A shares.
The Fund was informed that EVD received $1,356 as its portion of the sales charge on sales of Class A shares and no contingent deferred sales charges paid by Fund shareholders for the six months ended March 31, 2019.
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EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended March 31, 2019, sub-transfer agency fees and expenses incurred to EVM amounted to $441 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Trustee of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $117,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $15,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Trustees may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Trustees. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Trustees’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Trustees of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company, CIM’s parent company, through the end of 2019. For the six months ended March 31, 2019, the Fund’s allocated portion of such expense and reimbursement was $1,060, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — INVESTMENT ACTIVITY
During the six months ended March 31, 2019, the cost of purchases and proceeds from sales of investments, other than short-term securities and including paydowns and principal repayments on senior floating rate loans, were $17,674,777 and $47,997,406, respectively.
NOTE 4 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
At September 30, 2018, the Fund, for federal income tax purposes, had deferred capital losses of $97,798 which would reduce the Fund’s taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at September 30, 2018, $97,798 are short-term.
The cost and unrealized appreciation (depreciation) of investments of the Fund at March 31, 2019, as determined on a federal income tax basis, were as follows:
Aggregate cost | $67,406,465 | ||
Gross unrealized appreciation | $43,999 | ||
Gross unrealized depreciation | (1,544,847) | ||
Net unrealized appreciation (depreciation) | ($1,500,848 | ) |
NOTE 5 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as
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well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At March 31, 2019, the total value of securities on loan was $439,409 and the total value of collateral received was $448,474, comprised of cash of $404,200 and U.S. Government and/or agencies securities of $44,274.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of March 31, 2019.
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Corporate Bonds | $448,474 | $— | $— | $— | $448,474 |
The carrying amount of the liability for deposits for securities loaned at March 31, 2019 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at March 31, 2019.
NOTE 6 — CREDIT AGREEMENT
The Fund has entered into a committed, senior secured 364-day revolving line of credit, as amended (the Agreement) with a bank(s) to borrow up to a limit of $45 million. Borrowings under the Agreement are secured by the assets of the Fund. The Fund is required to maintain a certain borrowing base while borrowings are outstanding. Borrowings may be made for the purchase of investment securities and temporary or emergency purposes. The Fund may elect for its borrowings to bear interest at the higher of the (i) bank’s prime rate and (ii) Federal Funds rate plus 0.85%; or the one week, one, two, three or six month London Interbank Offered Rate plus 0.85%. Under the terms of the Agreement, in effect through March 17, 2020, the Fund pays a facility fee of 0.15% per annum on the commitment amount. In connection with the extension of the term of the Agreement on October 24, 2018 and subsequent renewal on March 19, 2019, the Fund paid upfront fees of $9,125 and $22,500, respectively, which were/are being amortized to interest expense through March 19, 2019 and March 17, 2020, respectively. The unamortized balance at March 31, 2019 is approximately $22,000 and is included in prepaid upfront fees on note payable on the Statement of Assets and Liabilities. At March 31, 2019, the Fund had borrowings outstanding under the Agreement of $8,500,000 at an interest rate of 3.34%. Based on the short-term nature of the borrowings under the Agreement and the variable interest rate, the carrying amount of the borrowings at March 31, 2019 approximated its fair value. If measured at fair value, borrowings under the Agreement would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at March 31, 2019. For the six months ended March 31, 2019, the average borrowings under the Agreement and the average interest rate (excluding fees) were $17,920,330 and 3.25%, respectively.
24 www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED)
NOTE 7 – CAPITAL SHARES
Transactions in capital shares for the six months ended March 31, 2019 and the period ended September 30, 2018 were as follows:
Six Months Ended March 31, 2019 (Unaudited) | Period Ended September 30, 2018 (1) | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Class A | |||||||||||
Shares sold | 113,675 | $1,112,302 | 322,089 | $3,210,796 | |||||||
Reinvestment of distributions | 7,631 | 74,082 | 4,105 | 40,844 | |||||||
Shares redeemed | (89,478 | ) | (867,773 | ) | (16,244 | ) | (161,477 | ) | |||
Net increase | 31,828 | $318,611 | 309,950 | $3,090,163 | |||||||
Class I | |||||||||||
Shares sold | 1,945,348 | $19,135,615 | 4,708,181 | $47,007,516 | |||||||
Reinvestment of distributions | 64,972 | 630,228 | 31,113 | 309,507 | |||||||
Shares redeemed | (2,283,080 | ) | (21,660,309 | ) | (2,085,279 | ) | (20,825,290 | ) | |||
Net increase (decrease) | (272,760 | ) | ($1,894,466 | ) | 2,654,015 | $26,491,733 | |||||
Class R6 | |||||||||||
Shares sold | 390,150 | $3,800,029 | 5,432,328 | $54,310,393 | |||||||
Reinvestment of distributions | 69,386 | 673,888 | 197,468 | 1,967,481 | |||||||
Shares redeemed | (2,494,667 | ) | (24,419,499 | ) | (351,015 | ) | (3,486,639 | ) | |||
Net increase (decrease) | (2,035,131 | ) | ($19,945,582 | ) | 5,278,781 | $52,791,235 | |||||
(1) For the period from the start of business, October 10, 2017, to September 30, 2018. |
NOTE 8 – CREDIT RISK
The Fund invests primarily in below investment grade senior floating rate loans, which have speculative characteristics because of the credit risk associated with their issuers. Changes in economic conditions or other circumstances are more likely to reduce the capacity of issuers of these securities to make principal and interest payments. Such companies are more likely to default on their payments of interest and principal owed than issuers of investment grade bonds. An economic downturn generally leads to a higher non-payment rate, and a loan or other debt obligation may lose significant value before a default occurs. Lower rated investments also may be subject to greater price volatility than higher rated investments. Moreover, the specific collateral used to secure a loan may decline in value or become illiquid, which would adversely affect the loan’s value.
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BOARD OF TRUSTEES’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 6, 2019, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Trustees reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Trustees were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Trustees reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying fund(s), references to “each fund” in this section may include information that was considered at the underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
26 www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED)
Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Trustees participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Trustees held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more underlying funds, the Board considered similar information about the underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Trustees, did not identify any single factor as controlling, and each Trustee may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Trustees, concluded that the continuation of the investment advisory agreement of Calvert Floating-Rate Advantage Fund (the “Fund”), including the fee payable under the agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve the continuation of the investment advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser under the investment advisory agreement, the Board reviewed information provided by the Adviser relating to its operations and personnel, including, among other information, biographical information on the Adviser’s investment personnel and descriptions of its organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser as well as the Board’s familiarity with management through Board meetings, discussions and other reports. The Board considered the Adviser’s management style and its performance in employing its investment strategies as well as its current level of staffing and overall resources. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser under the investment advisory agreement.
www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED) 27
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s peer category and its benchmark index. The Board’s review included comparative performance data for the one-year and since inception periods ended January 31, 2019. This performance data indicated that the Fund had underperformed the average of the Fund’s peer category and its benchmark index for the one-year and since inception periods ended January 31, 2019. The Board took into account management’s discussion of the Fund’s performance and the Fund’s limited performance history. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its peer category and its benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense group. Among other findings, the data indicated that the Fund’s advisory and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) were below the median of the Fund’s expense group and the Fund’s total expenses (net of waivers and/or reimbursements) were below the median of the Fund’s expense group. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management fees were reasonable in view of the nature, extent and quality of services provided by the Adviser.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Based upon its review, the Board concluded that the Adviser’s and its affiliates’ level of profitability from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board also took into account the breakpoint in the advisory fee schedule for the Fund that would reduce the advisory fee rate on assets above a specific asset level. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
28 www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED)
OFFICERS AND TRUSTEES
Officers of Calvert Floating-Rate Advantage Fund
Hope L. Brown
Chief Compliance Officer
Maureen A. Gemma
Vice President, Secretary and Chief Legal Officer
James F. Kirchner
Treasurer
Trustees of Calvert Floating-Rate Advantage Fund
Alice Gresham Bullock
Chairperson
Richard L. Baird, Jr.
Cari M. Dominguez
John G. Guffey, Jr.
Miles D. Harper, III
Joy V. Jones
John H. Streur*
Anthony A. Williams
*Interested Trustee and President
www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED) 29
IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC for the first and third quarters of each fiscal year. The Form N-PORT will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov.
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
30 www.calvert.com CALVERT FLOATING-RATE ADVANTAGE FUND SEMIANNUAL REPORT (UNAUDITED)
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CALVERT FLOATING-RATE ADVANTAGE FUND | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 | |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Printed on recycled paper. | |
28874 3.31.19 |
Calvert Ultra-Short Duration Income NextShares (CRUSC) Listing Exchange: The NASDAQ Stock Market LLC |
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (calvert.com/nextshares-documents), and you will be notified by mail each time a report is posted and provided with a website address to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by contacting your financial intermediary (such as a financial advisor, broker-dealer or bank).
You may elect to receive all future Fund shareholder reports in paper free of charge. You can contact your financial intermediary or follow instructions included with this disclosure, if applicable, to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held through your financial intermediary.
Semiannual Report March 31, 2019 E-Delivery Sign-Up — Details Inside | |
NextShares® is a registered trademark of NextShares Solutions LLC. All rights reserved.
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report must be preceded or accompanied by a current summary prospectus or prospectus. Before investing in NextShares, investors should consider carefully the investment objective, risks, and charges and expenses. This and other important information is contained in the summary prospectus and prospectus, which can be obtained from a financial advisor. Prospective investors should read the prospectus carefully before investing. For further information, please call 1-800-368-2745. |
Choose Planet-friendly E-delivery! On-line statements, prospectuses, and fund reports may be available through your brokerage firm. Please contact your broker for electronic delivery options available through their firm. |
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Managers Vishal Khanduja, CFA and Brian S. Ellis, CFA, each of Calvert Research and Management | ||||||||||||||||
% Average Annual Total Returns | Fund Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Fund Inception | ||||||||||
Fund at NAV | 01/10/2018 | 01/10/2018 | 1.39 | % | 2.75 | % | — | % | 2.44 | % | ||||||
Fund at Market Price | 01/10/2018 | 01/10/2018 | 1.39 | 2.75 | — | 2.44 | ||||||||||
Bloomberg Barclays 9-12 Months Short Treasury Index | — | — | 1.52 | % | 2.43 | % | 0.89 | % | 2.20 | % | ||||||
% Total Annual Operating Expense Ratios3 | ||||||||||||||||
Gross | 1.93 | % | ||||||||||||||
Net | 0.39 | |||||||||||||||
% Distribution Rates/Yields4 | ||||||||||||||||
Distribution Rate at NAV | 2.70 | % | ||||||||||||||
SEC 30-day Yield - Subsidized | 2.85 | |||||||||||||||
SEC 30-day Yield - Unsubsidized | 2.42 |
Fund Profile | ||||
PORTFOLIO COMPOSITION (% of total investments) | ||||
Corporate Bonds | 40.6 | % | ||
Asset-Backed Securities | 39.9 | % | ||
Collateralized Mortgage-Backed Obligations | 8.9 | % | ||
Commercial Mortgage-Backed Securities | 5.9 | % | ||
U.S. Treasury Obligations | 4.7 | % | ||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than indicated. The Fund’s performance at market price will differ from its results at net asset value (NAV). The market price used to calculate the Market Price return is the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. If you trade your shares at another time during the day, your return may differ. Returns are historical and are calculated by determining the percentage change in NAV or market price (as applicable) with all distributions reinvested at NAV or closing market price (as applicable) on the payment date of the distribution, and are net of management fees and other expenses. Returns are before taxes unless otherwise noted. Performance less than or equal to one year is cumulative. For performance as of the most recent month-end, including historical trading premiums/discounts relative to NAV, please refer to www.calvert.com.
2 www.calvert.com CALVERT ULTRA-SHORT DURATION INCOME NEXTSHARES SEMIANNUAL REPORT (UNAUDITED)
Endnotes and Additional Disclosures |
1 | Bloomberg Barclays 9-12 Months Short Treasury Index measures the performance of U.S. Treasury bills, notes, and bonds with a maturity between nine and twelve months. 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. Performance since inception for an index, if presented, is the performance since the Fund’s inception. |
2 | Shares of NextShares funds are normally bought and sold in the secondary market through a broker, and may not be individually purchased or redeemed from the fund. In the secondary market, buyers and sellers transact with each other, rather than with the fund. NextShares funds issue and redeem shares only in specified creation unit quantities in transactions by or through Authorized Participants. In such transactions, a fund issues and redeems shares in exchange for the basket of securities, other instruments and/or cash that the fund specifies each business day. By transacting in kind, a NextShares fund can lower its trading costs and enhance fund tax efficiency by avoiding forced sales of securities to meet redemptions. Redemptions may be effected partially or entirely in cash when in-kind delivery is not practicable or deemed not in the best interests of shareholders. A fund’s basket is not intended to be representative of the fund’s current portfolio positions and may vary significantly from current positions. As exchange-traded securities, NextShares can operate with low transfer agency expenses by utilizing the same highly efficient share processing system as used for exchange-listed stocks and ETFs. |
Market trading prices of NextShares are linked to the fund’s next-computed net asset value (NAV) and will vary from NAV by a market-determined premium or discount, which may be zero. Buyers and sellers of NextShares will not know the value of their purchases and sales until after the fund’s NAV is determined at the end of the trading day. Market trading prices may vary significantly from anticipated levels. NextShares do not offer investors the opportunity to buy and sell intraday based on current (versus end-of-day) determinations of fund value. NextShares trade execution prices will fluctuate based on changes in NAV. Although limit orders may be used to control trading costs, they cannot be used to control or limit trade execution prices. As a new type of fund, NextShares have a limited operating history and may initially be available through a limited number of brokers. There can be no guarantee that an active trading market for NextShares will develop or be maintained, or that their listing will continue unchanged. Buying and selling NextShares may require payment of brokerage commissions and expose transacting shareholders to other trading costs. Frequent trading may detract from realized investment returns. The return on a shareholder’s NextShares investment will be reduced if the shareholder sells shares at a greater discount or narrower premium to NAV than he or she acquired the shares.
3 | Source: Fund prospectus. Net expense ratio reflects a contractual expense reimbursement that continues through 1/31/20. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
4 | The Distribution Rate is based on the Fund’s last regular distribution per share in the period (annualized) divided by the Fund’s NAV at the end of the period. The Fund’s distributions may be comprised of amounts characterized for federal income tax purposes as tax-exempt income, qualified and non-qualified ordinary dividends, capital gains and nondividend distributions, also known as return of capital. The Fund will determine the federal income tax character of distributions paid to a shareholder after the end of the calendar year. This is reported on the IRS form 1099-DIV and provided to the shareholder shortly after each year-end. The Fund’s distributions are determined by the investment adviser based on its current assessment of the Fund’s long-term return potential. As portfolio and market conditions change, the rate of distributions paid by the Fund could change. The 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.
www.calvert.com CALVERT ULTRA-SHORT DURATION INCOME NEXTSHARES SEMIANNUAL REPORT (UNAUDITED) 3
FUND EXPENSES
Example
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of Fund shares; and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2018 - March 31, 2019).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions on purchases and sales of Fund shares. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
Beginning Account Value (10/1/18) | Ending Account Value (3/31/19) | Expenses Paid During Period* (10/1/18 - 3/31/19) | Annualized Expense Ratio | |
Actual | ||||
$1,000.00 | $1,013.90 | $1.91** | 0.38% | |
Hypothetical | ||||
(5% return per year before expenses) | ||||
$1,000.00 | $1,023.04 | $1.92** | 0.38% | |
* Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2018. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
4 www.calvert.com CALVERT ULTRA-SHORT DURATION INCOME NEXTSHARES SEMIANNUAL REPORT (UNAUDITED)
CALVERT ULTRA-SHORT DURATION INCOME NEXTSHARES
SCHEDULE OF INVESTMENTS
MARCH 31, 2019 (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - 40.4% | ||
Communications - 2.0% | ||
Comcast Corp.: | ||
3.237%, (3 mo. USD LIBOR + 0.44%), 10/1/21 (1) | 52,000 | 52,075 |
3.30%, 10/1/20 | 50,000 | 50,495 |
Verizon Communications, Inc.: | ||
3.615%, (3 mo. USD LIBOR + 1.00%), 3/16/22 (1) | 33,000 | 33,509 |
3.784%, (3 mo. USD LIBOR + 1.10%), 5/15/25 (1) | 64,000 | 64,061 |
200,140 | ||
Consumer, Cyclical - 5.9% | ||
Ford Motor Credit Co. LLC: | ||
3.387%, (3 mo. USD LIBOR + 0.79%), 6/12/20 (1) | 200,000 | 198,413 |
3.668%, (3 mo. USD LIBOR + 0.93%), 11/4/19 (1) | 200,000 | 200,181 |
Hyundai Capital America, 3.744%, (3 mo. USD LIBOR + 0.94%), 7/8/21 (1)(2) | 30,000 | 30,005 |
Lennar Corp., 4.50%, 11/15/19 | 65,000 | 65,244 |
Marriott International, Inc.: | ||
3.245%, (3 mo. USD LIBOR + 0.65%), 3/8/21 (1) | 51,000 | 51,142 |
Series Y, 3.226%, (3 mo. USD LIBOR + 0.60%), 12/1/20 (1) | 50,000 | 50,086 |
595,071 | ||
Consumer, Non-cyclical - 7.1% | ||
Becton Dickinson and Co.: | ||
2.133%, 6/6/19 | 100,000 | 99,875 |
3.476%, (3 mo. USD LIBOR + 0.875%), 12/29/20 (1) | 244,000 | 244,026 |
Conagra Brands, Inc., 3.511%, (3 mo. USD LIBOR + 0.75%), 10/22/20 (1) | 31,000 | 30,974 |
CVS Health Corp.: | ||
3.125%, 3/9/20 | 38,000 | 38,115 |
3.231%, (3 mo. USD LIBOR + 0.63%), 3/9/20 (1) | 94,000 | 94,241 |
3.321%, (3 mo. USD LIBOR + 0.72%), 3/9/21 (1) | 65,000 | 65,171 |
Kraft Heinz Foods Co., 3.267%, (3 mo. USD LIBOR + 0.57%), 2/10/21 (1) | 106,000 | 105,725 |
Teva Pharmaceutical Finance Netherlands III BV, 1.70%, 7/19/19 | 36,000 | 35,924 |
714,051 | ||
Financial - 21.6% | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.75%, 5/15/19 | 150,000 | 150,128 |
Ally Financial, Inc., 4.125%, 3/30/20 | 41,000 | 41,373 |
Athene Global Funding: | ||
3.901%, (3 mo. USD LIBOR + 1.14%), 4/20/20 (1)(2) | 50,000 | 50,292 |
4.038%, (3 mo. USD LIBOR + 1.23%), 7/1/22 (1)(2) | 100,000 | 100,503 |
www.calvert.com CALVERT ULTRA-SHORT DURATION INCOME NEXTSHARES SEMIANNUAL REPORT (UNAUDITED) 5
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
Bank of America Corp.: | ||
3.152%, (3 mo. USD LIBOR + 0.38%), 1/23/22 (1) | 57,000 | 56,830 |
3.389%, (3 mo. USD LIBOR + 0.79%), 3/5/24 (1) | 40,000 | 39,884 |
3.421%, (3 mo. USD LIBOR + 0.66%), 7/21/21 (1) | 200,000 | 200,520 |
3.941%, (3 mo. USD LIBOR + 1.18%), 10/21/22 (1) | 100,000 | 101,207 |
Capital One Financial Corp.: | ||
3.458%, (3 mo. USD LIBOR + 0.76%), 5/12/20 (1) | 150,000 | 150,672 |
3.471%, (3 mo. USD LIBOR + 0.72%), 1/30/23 (1) | 150,000 | 148,150 |
Citigroup, Inc.: | ||
3.665%, (3 mo. USD LIBOR + 1.07%), 12/8/21 (1) | 400,000 | 404,657 |
3.928%, (3 mo. USD LIBOR + 1.19%), 8/2/21 (1) | 35,000 | 35,509 |
Goldman Sachs Group, Inc. (The): | ||
3.339%, (3 mo. USD LIBOR + 0.73%), 12/27/20 (1) | 200,000 | 200,429 |
3.854%, (3 mo. USD LIBOR + 1.17%), 5/15/26 (1) | 38,000 | 37,312 |
JPMorgan Chase & Co.: | ||
3.662%, (3 mo. USD LIBOR + 0.89%), 7/23/24 (1) | 31,000 | 30,942 |
Series V, 5.00% to 7/1/19 (3)(4) | 20,000 | 19,915 |
Marsh & McLennan Cos., Inc., 3.801%, (3 mo. USD LIBOR + 1.20%), 12/29/21 (1) | 15,000 | 15,037 |
Morgan Stanley, 3.247%, (3 mo. USD LIBOR + 0.55%), 2/10/21 (1) | 150,000 | 150,171 |
Synchrony Financial: | ||
3.00%, 8/15/19 | 75,000 | 75,024 |
3.968%, (3 mo. USD LIBOR + 1.23%), 2/3/20 (1) | 150,000 | 150,751 |
2,159,306 | ||
Industrial - 1.4% | ||
CNH Industrial Capital LLC, 3.375%, 7/15/19 | 110,000 | 110,153 |
Wabtec Corp., 3.911%, (3 mo. USD LIBOR + 1.30%), 9/15/21 (1) | 28,000 | 27,979 |
138,132 | ||
Technology - 2.4% | ||
DXC Technology Co., 3.576%, (3 mo. USD LIBOR + 0.95%), 3/1/21 (1) | 192,000 | 192,004 |
Hewlett Packard Enterprise Co., 3.515%, (3 mo. USD LIBOR + 0.72%), 10/5/21 (1) | 48,000 | 47,838 |
239,842 | ||
Total Corporate Bonds (Cost $4,051,591) | 4,046,542 | |
ASSET-BACKED SECURITIES - 39.8% | ||
Automobile - 12.5% | ||
Avis Budget Rental Car Funding AESOP LLC: | ||
Series 2014-1A, Class A, 2.46%, 7/20/20 (2) | 156,667 | 156,545 |
Series 2014-2A, Class A, 2.50%, 2/20/21 (2) | 200,000 | 199,452 |
Chesapeake Funding II LLC, Series 2016-2A, Class A1, 1.88%, 6/15/28 (2) | 120,259 | 119,861 |
Enterprise Fleet Financing LLC, Series 2017-3, Class A2, 2.13%, 5/22/23 (2) | 224,428 | 223,329 |
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PRINCIPAL AMOUNT ($) | VALUE ($) | |
ASSET-BACKED SECURITIES - CONT’D | ||
Hertz Fleet Lease Funding L.P.: | ||
Series 2017-1, Class A1, 3.143%, (1 mo. USD LIBOR + 0.65%), 4/10/31 (1)(2) | 150,331 | 150,556 |
Series 2017-1, Class A2, 2.13%, 4/10/31 (2) | 133,627 | 133,108 |
OneMain Direct Auto Receivables Trust, Series 2017-2A, Class A, 2.31%, 12/14/21 (2) | 148,560 | 148,069 |
OSCAR US Funding X LLC, Series 2019-1A, Class A2, 3.10%, 4/11/22 (2) | 30,000 | 30,215 |
Tesla Auto Lease Trust: | ||
Series 2018-A, Class A, 2.32%, 12/20/19 (2) | 41,006 | 40,954 |
Series 2018-B, Class A, 3.71%, 8/20/21 (2) | 49,163 | 49,740 |
1,251,829 | ||
Consumer Loan - 19.3% | ||
Avant Loans Funding Trust: | ||
Series 2016-C, Class C, 8.83%, 8/15/22 (2) | 47,766 | 48,060 |
Series 2017-B, Class B, 3.38%, 4/15/21 (2) | 78,767 | 78,726 |
Series 2018-B, Class A, 3.42%, 1/18/22 (2) | 103,967 | 104,097 |
Conn’s Receivables Funding LLC, Series 2017-B, Class B, 4.52%, 4/15/21 (2) | 183,711 | 184,334 |
Consumer Loan Underlying Bond Credit Trust: | ||
Series 2017-P1, Class A, 2.42%, 9/15/23 (2) | 11,386 | 11,381 |
Series 2017-P1, Class B, 3.56%, 9/15/23 (2) | 100,000 | 100,122 |
Marlette Funding Trust, Series 2018-1A, Class A, 2.61%, 3/15/28 (2) | 52,762 | 52,674 |
OneMain Financial Issuance Trust: | ||
Series 2015-1A, Class A, 3.19%, 3/18/26 (2) | 12,041 | 12,059 |
Series 2016-1A, Class A, 3.66%, 2/20/29 (2) | 293,335 | 294,616 |
Series 2016-2A, Class A, 4.10%, 3/20/28 (2) | 51,675 | 51,818 |
Prosper Marketplace Issuance Trust: | ||
Series 2017-2A, Class B, 3.48%, 9/15/23 (2) | 210,330 | 210,551 |
Series 2017-3A, Class A, 2.36%, 11/15/23 (2) | 43,543 | 43,513 |
Series 2017-3A, Class B, 3.36%, 11/15/23 (2) | 100,000 | 99,951 |
Series 2018-2A, Class A, 3.35%, 10/15/24 (2) | 68,230 | 68,330 |
SoFi Consumer Loan Program LLC, Series 2017-5, Class A2, 2.78%, 9/25/26 (2) | 100,000 | 99,721 |
SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, 4/25/29 (2) | 45,841 | 45,840 |
Springleaf Funding Trust: | ||
Series 2015-BA, Class A, 3.48%, 5/15/28 (2) | 100,000 | 100,691 |
Series 2016-AA, Class A, 2.90%, 11/15/29 (2) | 219,026 | 218,738 |
Verizon Owner Trust, Series 2016-1A, Class B, 1.46%, 1/20/21 (2) | 100,000 | 99,264 |
1,924,486 | ||
Equipment - 0.5% | ||
Volvo Financial Equipment LLC, Series 2018-1A, Class A2, 2.26%, 9/15/20 (2) | 49,631 | 49,559 |
Other - 1.0% | ||
NextGear Floorplan Master Owner Trust, Series 2016-2A, Class A2, 2.19%, 9/15/21 (2) | 100,000 | 99,651 |
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PRINCIPAL AMOUNT ($) | VALUE ($) | |
ASSET-BACKED SECURITIES - CONT’D | ||
Single-Family Rental - 2.9% | ||
Invitation Homes Trust: | ||
Series 2017-SFR2, Class A, 3.332%, (1 mo. USD LIBOR + 0.85%), 12/17/36 (1)(2) | 194,187 | 193,636 |
Series 2018-SFR2, Class D, 3.934%, (1 mo. USD LIBOR + 1.45%), 6/17/37 (1)(2) | 100,000 | 99,396 |
293,032 | ||
Timeshare - 2.6% | ||
Sierra Timeshare Receivables Funding LLC, Series 2014-3A, Class B, 2.80%, 10/20/31 (2) | 262,430 | 261,546 |
Whole Business - 1.0% | ||
Wendy’s Funding LLC, Series 2015-1A, Class A2II, 4.08%, 6/15/45 (2) | 96,500 | 97,722 |
Total Asset-Backed Securities (Cost $3,970,714) | 3,977,825 | |
COLLATERALIZED MORTGAGE-BACKED OBLIGATIONS - 8.9% | ||
Bellemeade Re Ltd., Series 2015-1A, Class M2, 6.786%, (1 mo. USD LIBOR + 4.30%), 7/25/25 (1)(2) | 41,057 | 41,230 |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | ||
Series 2018-DNA1, Class M1, 2.936%, (1 mo. USD LIBOR + 0.45%), 7/25/30 (1) | 127,291 | 126,896 |
Series 2018-SPI2, Class M1, 3.819%, 5/25/48 (2)(5) | 10,396 | 10,406 |
Series 2019-DNA1, Class M1, 3.386%, (1 mo. USD LIBOR + 0.90%), 1/25/49 (1)(2) | 50,000 | 50,147 |
Series 2019-DNA2, Class M1, 3.287%, (1 mo. USD LIBOR + 0.80%), 3/25/49 (1)(2) | 100,000 | 100,257 |
Federal National Mortgage Association Connecticut Avenue Securities: | ||
Series 2014-C01, Class M2, 6.886%, (1 mo. USD LIBOR + 4.40%), 1/25/24 (1) | 22,000 | 24,476 |
Series 2014-C02, Class 1M2, 5.086%, (1 mo. USD LIBOR + 2.60%), 5/25/24 (1) | 110,000 | 115,077 |
Series 2014-C03, Class 1M2, 5.486%, (1 mo. USD LIBOR + 3.00%), 7/25/24 (1) | 170,399 | 180,416 |
Series 2014-C03, Class 2M2, 5.386%, (1 mo. USD LIBOR + 2.90%), 7/25/24 (1) | 226,910 | 238,462 |
Total Collateralized Mortgage-Backed Obligations (Cost $896,297) | 887,367 | |
U.S. TREASURY OBLIGATIONS - 4.7% | ||
U.S. Treasury Notes: | ||
0.875%, 6/15/19 | 200,000 | 199,347 |
1.00%, 6/30/19 | 75,000 | 74,725 |
1.625%, 6/30/19 | 200,000 | 199,555 |
Total U.S. Treasury Obligations (Cost $473,675) | 473,627 | |
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PRINCIPAL AMOUNT ($) | VALUE ($) | |
COMMERCIAL MORTGAGE-BACKED SECURITIES - 5.9% | ||
BBCMS Trust, Series 2018-RRI, Class A, 3.184%, (1 mo. USD LIBOR + 0.70%), 2/15/33 (1)(2) | 98,993 | 98,028 |
Morgan Stanley Capital I Trust, Series 2017-CLS, Class A, 3.184%, (1 mo. USD LIBOR + 0.70%), 11/15/34 (1)(2) | 250,000 | 249,034 |
Motel 6 Trust, Series 2017-MTL6, Class A, 3.404%, (1 mo. USD LIBOR + 0.92%), 8/15/34 (1)(2) | 69,459 | 69,252 |
RETL Trust, Series 2019-RVP, Class A, 3.634%, (1 mo. USD LIBOR + 1.15%), 3/15/36 (1)(2) | 175,000 | 175,328 |
Total Commercial Mortgage-Backed Securities (Cost $593,875) | 591,642 | |
TOTAL INVESTMENTS (Cost $9,986,152) - 99.7% | 9,977,003 | |
Other assets and liabilities, net - 0.3% | 29,551 | |
NET ASSETS - 100.0% | 10,006,554 |
NOTES TO SCHEDULE OF INVESTMENTS | |
(1) Variable rate security. The stated interest rate represents the rate in effect at March 31, 2019. | |
(2) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $4,952,307, which represents 49.5% of the net assets of the Fund as of March 31, 2019. | |
(3) Perpetual security with no stated maturity date but may be subject to calls by the issuer. | |
(4) Security converts to floating rate after the indicated fixed-rate coupon period. | |
(5) Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at March 31, 2019. | |
Abbreviations: | |
LIBOR: | London Interbank Offered Rate |
Currency Abbreviations: | |
USD: | United States Dollar |
See notes to financial statements. |
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CALVERT ULTRA-SHORT DURATION INCOME NEXTSHARES
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2019 (UNAUDITED)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $9,986,152) | $9,977,003 | ||
Cash | 254,866 | ||
Receivable for investments sold | 29,941 | ||
Interest receivable | 28,539 | ||
Securities lending income receivable | 10 | ||
Receivable from affiliate | 3,869 | ||
Trustees’ deferred compensation plan | 13 | ||
Other assets | 229 | ||
Total assets | 10,294,470 | ||
LIABILITIES | |||
Payable to affiliates: | |||
Investment advisory fee | 2,207 | ||
Administrative fee | 1,019 | ||
Operations agreement fee | 424 | ||
Trustees’ deferred compensation plan | 13 | ||
Accrued expenses | 60,393 | ||
Demand note payable | 223,860 | ||
Total liabilities | 287,916 | ||
NET ASSETS | $10,006,554 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to shares of beneficial interest | |||
(unlimited number of no par value shares authorized) | $10,004,906 | ||
Distributable earnings | 1,648 | ||
Total | $10,006,554 | ||
NET ASSET VALUE PER SHARE (based on net assets of $10,006,554 and 1,000,000 shares outstanding) | $10.01 | ||
See notes to financial statements. |
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CALVERT ULTRA-SHORT DURATION INCOME NEXTSHARES
STATEMENT OF OPERATIONS
SIX MONTHS ENDED MARCH 31, 2019 (UNAUDITED)
INVESTMENT INCOME | |||
Interest income | $159,948 | ||
Securities lending income, net | 22 | ||
Total investment income | 159,970 | ||
EXPENSES | |||
Investment advisory fee | 12,931 | ||
Administrative fee | 5,968 | ||
Operations agreement fee | 2,487 | ||
Trustees’ fees and expenses | 297 | ||
Custodian fees | 27,009 | ||
Transfer agency fees and expenses | 6,846 | ||
Professional fees | 10,186 | ||
Registration fees | 1,212 | ||
Reports to shareholders | 503 | ||
Listing fee | 3,590 | ||
Intraday pricing fee | 5,984 | ||
Miscellaneous | 1,336 | ||
Total expenses | 78,349 | ||
Waiver and/or reimbursement of expenses by affiliate | (59,197) | ||
Reimbursement of expenses-other | (128) | ||
Net expenses | 19,024 | ||
Net investment income | 140,946 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities | (497) | ||
Futures contracts | 235 | ||
(262) | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | (11,476) | ||
Futures contracts | 1,158 | ||
(10,318) | |||
Net realized and unrealized loss | (10,580) | ||
Net increase in net assets resulting from operations | $130,366 | ||
See notes to financial statements. |
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CALVERT ULTRA-SHORT DURATION INCOME NEXTSHARES
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended March 31, 2019 (Unaudited) | Period Ended September 30, 2018 (1) | |||||
Operations: | |||||||
Net investment income | $140,946 | $161,236 | |||||
Net realized loss | (262) | (7,523) | |||||
Net change in unrealized appreciation (depreciation) | (10,318) | 1,169 | |||||
Net increase in net assets resulting from operations | 130,366 | 154,882 | |||||
Distributions to shareholders | (137,900) | (145,700) | |||||
Capital share transactions: | |||||||
Proceeds from sale of shares | — | 9,999,906 | |||||
Transaction fees | — | 5,000 | |||||
Net increase in net assets from capital share transactions | — | 10,004,906 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (7,534) | 10,014,088 | |||||
NET ASSETS | |||||||
Beginning of period | 10,014,088 | — | |||||
End of period | $10,006,554 | $10,014,088 | |||||
Changes in shares outstanding | |||||||
Shares outstanding, beginning of period | 1,000,000 | — | |||||
Shares sold | — | 1,000,000 | |||||
Shares outstanding, end of period | 1,000,000 | 1,000,000 | |||||
(1) For the period from the start of business, January 10, 2018, to September 30, 2018. | |||||||
See notes to financial statements. |
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CALVERT ULTRA-SHORT DURATION INCOME NEXTSHARES
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2019 (Unaudited) | Period Ended September 30, 2018 (1) | ||||||
Net asset value, beginning | $10.01 | $10.00 | |||||
Income from investment operations: | |||||||
Net investment income (2) | 0.14 | 0.16 | |||||
Net realized and unrealized loss | — | — | (3) | ||||
Total from investment operations | 0.14 | 0.16 | |||||
Distributions from: | |||||||
Net investment income | (0.14) | (0.15) | |||||
Total distributions | (0.14) | (0.15) | |||||
Total increase in net asset value | — | 0.01 | |||||
Net asset value, ending | $10.01 | $10.01 | |||||
Total return (4)(5) | 1.39 | % | 1.57 | % | |||
Ratios to average net assets: (6) | |||||||
Total expenses(7) | 1.58 | % | 1.93 | % | (8) | ||
Net expenses(7) | 0.38 | % | 0.39 | % | (8) | ||
Net investment income(7) | 2.83 | % | 2.24 | % | |||
Portfolio turnover (5) | 42 | % | 64 | % | |||
Net assets, ending (in thousands) | $10,007 | $10,014 | |||||
(1) For the period from the start of business, January 10, 2018, to September 30, 2018. | |||||||
(2) Computed using average shares outstanding. | |||||||
(3) Amount is less than ($0.005). | |||||||
(4) 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 a market-determined premium or discount. Investment returns assume that all distributions have been reinvested at net asset value. | |||||||
(5) Not annualized. | |||||||
(6) 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. | |||||||
(7) Annualized. | |||||||
(8) Includes interest expense of 0.01% for the period from the start of business, January 10, 2018, to September 30, 2018. | |||||||
See notes to financial statements. |
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NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert Ultra-Short Duration Income NextShares (the Fund) is a diversified series of Calvert Management Series (the Trust). The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act). The investment objective of the Fund is to seek to maximize income, to the extent consistent with preservation of capital, through investment in short-term bonds and income-producing securities. The Fund is an exchange-traded managed fund operating pursuant to an order issued by the SEC granting an exemption from certain provisions of the 1940 Act. Individual shares of the Fund may be purchased and sold only on a national securities exchange or alternative trading system through a broker-dealer that offers NextShares, and may not be directly purchased or redeemed from the Fund. Market trading prices for the Fund are directly linked to the Fund’s next-computed net asset value per share (NAV) and will vary from NAV by a market-determined premium or discount, which may be zero.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Trustees (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Valuation techniques used to value the Fund’s investments by major category are as follows:
Debt Securities. Debt securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. Accordingly, debt securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities of sufficient credit quality purchased with remaining maturities of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund’s adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
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The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund’s holdings as of March 31, 2019, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||
Corporate Bonds | $ | — | $ | 4,046,542 | $ | — | $ | 4,046,542 | ||||
Asset-Backed Securities | — | 3,977,825 | — | 3,977,825 | ||||||||
Collateralized Mortgage-Backed Obligations | — | 887,367 | — | 887,367 | ||||||||
U.S. Treasury Obligations | — | 473,627 | — | 473,627 | ||||||||
Commercial Mortgage-Backed Securities | — | 591,642 | — | 591,642 | ||||||||
Total Investments | $ | — | $ | 9,977,003 | $ | — | $ | 9,977,003 |
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
C. Futures Contracts: The Fund may enter into futures contracts to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade, which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Fund.
D. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income are declared and paid monthly. Distributions from net realized capital gains, if any, are paid at least annually. Distributions are paid in cash and cannot be automatically reinvested in additional shares of the Fund. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
E. Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
F. Indemnifications: Under the Trust’s organizational document, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Trust) could be deemed to have personal liability for the obligations of the Trust. However, the Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and provides that upon request, the Trust shall assume the defense on behalf of any Fund shareholders or former shareholders. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
G. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
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H. Interim Financial Statements: The interim financial statements relating to March 31, 2019 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), as compensation for investment management services rendered to the Fund. Pursuant to the investment advisory and administrative agreement, CRM receives a fee, payable monthly, at the following annual rates of the Fund’s average daily net assets: 0.26% on the first $1 billion and 0.25% on the excess of $1 billion. For the six months ended March 31, 2019, the investment advisory fee amounted to $12,931 or 0.26% (annualized) of the Fund’s average daily net assets.
CRM has agreed to reimburse the Fund’s expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.38% of the Fund’s average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after January 31, 2020. For the six months ended March 31, 2019, CRM waived or reimbursed expenses of $59,197.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets and is payable monthly. For the six months ended March 31, 2019, CRM was paid administrative fees of $5,968.
The Trust, on behalf of the Fund, has entered into an operations agreement with CRM pursuant to which CRM provides the Fund with services required for it to operate as a NextShares exchange-traded managed fund in accordance with the exemptive order. Pursuant to the agreement, the Fund pays CRM a monthly fee at an annual rate of 0.05% of the Fund’s average daily net assets provided the average net assets of NextShares funds sponsored by CRM (“Covered Assets”) are less than $10 billion. The annual rate is reduced if Covered Assets are $10 billion and above. For the six months ended March 31, 2019, the operations agreement fee amounted to $2,487 or 0.05% (annualized) of the Fund’s average daily net assets.
Each Trustee of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $117,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $15,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Trustees may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Trustees. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Trustees’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Trustees of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company, CIM’s parent company, through the end of 2019. For the six months ended March 31, 2019, the Fund’s allocated portion of such expense and reimbursement was $128, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — INVESTMENT ACTIVITY
During the six months ended March 31, 2019, the cost of purchases and proceeds from sales of investments, other than U.S. government and agency securities and short-term securities, and including maturities and paydowns, were $3,783,740 and $3,674,627, respectively. Purchases and sales of U.S. government and agency securities, including paydowns, were $310,060 and $196,897, respectively.
NOTE 4 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
At September 30, 2018, the Fund, for federal income tax purposes, had deferred capital losses of $15,182 which would reduce the Fund’s taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at September 30, 2018, $13,555 are short-term and $1,627 are long-term.
16 www.calvert.com CALVERT ULTRA-SHORT DURATION INCOME NEXTSHARES SEMIANNUAL REPORT (UNAUDITED)
The cost and unrealized appreciation (depreciation) of investments of the Fund at March 31, 2019, as determined on a federal income tax basis, were as follows:
Aggregate cost | $9,981,289 | ||
Gross unrealized appreciation | $13,043 | ||
Gross unrealized depreciation | (17,329) | ||
Net unrealized appreciation (depreciation) | ($4,286 | ) |
NOTE 5 — FINANCIAL INSTRUMENTS
During the six months ended March 31, 2019, the Fund used futures contracts to hedge interest rate risk and to manage duration. At March 31, 2019, there were no obligations outstanding under these financial instruments.
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is interest rate risk for the six months ended March 31, 2019 was as follows:
Statement of Operations Caption | ||
Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts |
Futures contracts | $235 | $1,158 |
The average notional cost of futures contracts (long) outstanding during the six months ended March 31, 2019 was approximately $181,000.
NOTE 6 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
The Fund did not have any securities on loan at March 31, 2019.
NOTE 7 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $62.5 million committed unsecured line of credit agreement with SSB, which is in effect through August 6, 2019. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.00% per annum. A commitment fee of 0.20% per annum is incurred on the unused portion of the committed facility. An administrative fee of $37,500 was incurred in connection with the renewal of the facility in August 2018. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. At March 31, 2019, the Fund had a balance outstanding pursuant to this line of credit of $223,860 at an interest rate of 3.49%. Based on the short-term nature of the borrowings under the line of credit and variable interest rate, the carrying value of the borrowings approximated its fair value at March 31, 2019. If measured at fair value, borrowings under the line of credit would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at March 31, 2019. The Fund did not have any significant borrowings or allocated fees during the six months ended March 31, 2019.
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NOTE 8 — CAPITAL SHARE TRANSACTIONS
The Trust may issue an unlimited number of shares of capital stock (no par value per share) in one or more series (such as the Fund).The Fund issues and redeems shares only in blocks of 25,000 shares or multiples thereof (“Creation Units”). The Fund issues and redeems Creation Units in return for the securities, other instruments and/or cash (the “Basket”) that the Fund specifies each business day. Creation Units may be purchased or redeemed only by or through Authorized Participants, which are broker-dealers or institutional investors that have entered into agreements with the Fund’s distributor for this purpose. The Fund imposes a transaction fee on Creation Units issued and redeemed to offset the estimated cost to the Fund of processing the transaction, which is paid by the Authorized Participants directly to a third-party administrator. In addition, Authorized Participants pay the Fund a variable charge for converting the Basket to or from the desired portfolio composition. Such variable charges are reflected as Transaction fees on the Statements of Changes in Net Assets.
At March 31, 2019, EVM owned approximately 99.5% of the outstanding shares of the Fund.
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BOARD OF TRUSTEES’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 6, 2019, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Trustees reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Trustees were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Trustees reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying fund(s), references to “each fund” in this section may include information that was considered at the underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
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Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Trustees participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Trustees held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more underlying funds, the Board considered similar information about the underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Trustees, did not identify any single factor as controlling, and each Trustee may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Trustees, concluded that the continuation of the investment advisory and administrative agreement of Calvert Ultra-Short Duration Income NextShares (the “Fund”), including the fee payable under the agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve the continuation of the investment advisory and administrative agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser under the investment advisory and administrative agreement, the Board reviewed information provided by the Adviser relating to its operations and personnel, including, among other information, biographical information on the Adviser’s investment personnel and descriptions of its organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser as well as the Board’s familiarity with management through Board meetings, discussions and other reports. The Board considered the Adviser’s management style and its performance in employing its investment strategies as well as its current level of staffing and overall resources. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser under the investment advisory and administrative agreement.
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Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s peer category and its benchmark index. The Board’s review included comparative performance data for the one-year period ended January 31, 2019. This performance data indicated that the Fund had outperformed the average of the Fund’s peer category for the one-year period ended January 31, 2019 and underperformed its benchmark index for the one-year period ended January 31, 2019. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its peer category and its benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense group. Among other findings, the data indicated that the Fund’s advisory and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) were below the median of the Fund’s expense group and the Fund’s total expenses (net of waivers and/or reimbursements) were below the median of the Fund’s expense group. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management fees were reasonable in view of the nature, extent and quality of services provided by the Adviser.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and operational services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Based upon its review, the Board concluded that the Adviser’s and its affiliates’ level of profitability from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board also took into account the breakpoint in the advisory fee schedule for the Fund that would reduce the advisory fee rate on assets above a specific asset level. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
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OFFICERS AND TRUSTEES
Officers of Calvert Ultra-Short Duration Income NextShares
Hope L. Brown
Chief Compliance Officer
Maureen A. Gemma
Vice President, Secretary and Chief Legal Officer
James F. Kirchner
Treasurer
Trustees of Calvert Ultra-Short Duration Income NextShares
Alice Gresham Bullock
Chairperson
Richard L. Baird, Jr.
Cari M. Dominguez
John G. Guffey, Jr.
Miles D. Harper, III
Joy V. Jones
John H. Streur*
Anthony A. Williams
*Interested Trustee and President
22 www.calvert.com CALVERT ULTRA-SHORT DURATION INCOME NEXTSHARES SEMIANNUAL REPORT (UNAUDITED)
IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits delivery of only one copy of fund shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Your broker may household the mailing of your documents indefinitely unless you instruct your broker otherwise. If you would prefer that your Calvert documents not be householded, please contact your broker. Your instructions that householding not apply to delivery of your Calvert documents will typically be effective within 30 days of receipt by your broker.
Portfolio Holdings. Each Calvert fund files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC for the first and third quarters of each fiscal year. The Form N-PORT will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov.
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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CALVERT ULTRA-SHORT DURATION INCOME NEXTSHARES | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer and Dividend Disbursing Agent State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
Distributor* Foreside Fund Services, LLC Three Canal Plaza, Suite 100 Portland, ME 04101 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 | |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Printed on recycled paper. | |
28875 3.31.19 |
Item 2. Code of Ethics.
Not required in this filing.
Item 3. Audit Committee Financial Expert.
Not required in this filing.
Item 4. Principal Accountant Fees and Services.
Not required in this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Please see schedule of investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
No material changes.
Item 11. Controls and Procedures.
(a) The registrant’s principal executive and principal financial officers have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 Act, as amended (the “1940 Act”) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (“Exchange Act”), as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. 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) President’s Section 302 certification.
(a)(2)(ii) Treasurer’s Section 302 certification.
(b) Combined Section 906 certification.
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CALVERT MANAGEMENT SERIES
By: /s/ John H. Streur
John H. Streur
President
Date: May 28, 2019
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ John H. Streur
John H. Streur
President
Date: May 28, 2019
By: /s/ James F. Kirchner
James F. Kirchner
Treasurer
Date: May 28, 2019