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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-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, 2020
Date of Reporting Period
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Item 1. | Report to Stockholders. |
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% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception |
Class A at NAV | 10/10/2017 | 10/10/2017 | (10.85)% | (8.52)% | —% | (2.36)% |
Class A with 3.75% Maximum Sales Charge | — | — | (14.21) | (11.96) | — | (3.85) |
Class I at NAV | 10/10/2017 | 10/10/2017 | (10.77) | (8.41) | — | (2.17) |
Class R6 at NAV | 10/10/2017 | 10/10/2017 | (10.77) | (8.41) | — | (2.18) |
·· | ||||||
S&P/LSTA Leveraged Loan Index | — | — | (11.54)% | (9.16)% | 1.14% | (1.75)% |
% Total Annual Operating Expense Ratios3 | Class A | Class I | Class R6 |
Gross | 2.29% | 2.04% | 1.99% |
Net | 1.98 | 1.73 | 1.73 |
% Total Leverage4 | |
Borrowings | 12.88% |
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Top 10 Sectors (% of total investments)* | |
Electronics/Electrical | 17.7% |
Health Care | 11.7 |
Business Equipment and Services | 9.0 |
Industrial Equipment | 6.9 |
Telecommunications | 6.6 |
Cable and Satellite Television | 4.8 |
Insurance | 4.5 |
Leisure Goods/Activities/Movies | 3.8 |
Chemicals and Plastics | 3.1 |
Radio and Television | 2.2 |
Total | 70.3% |
* | Excludes cash and cash equivalents. |
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1 | S&P/LSTA Leveraged Loan Index is an unmanaged index of the institutional leveraged loan market. S&P/LSTA Leveraged Loan indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® is a registered trademark of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); LSTA is a trademark of Loan Syndications and Trading Association, Inc. S&P DJI, Dow Jones, their respective affiliates and their third party licensors do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. 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 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/21. 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.Fund profile subject to change due to active management.Important Notice to ShareholdersEffective February 1, 2020, the Fund is managed by Craig P. Russ, Catherine C. McDermott and Andrew N. Sveen. |
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Beginning Account Value (10/1/19) | Ending Account Value (3/31/20) | Expenses Paid During Period* (10/1/19 – 3/31/20) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $891.50 | $8.18** | 1.73% |
Class I | $1,000.00 | $892.30 | $6.91** | 1.46% |
Class R6 | $1,000.00 | $892.30 | $6.91** | 1.46% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,016.35 | $8.72** | 1.73% |
Class I | $1,000.00 | $1,017.70 | $7.36** | 1.46% |
Class R6 | $1,000.00 | $1,017.70 | $7.36** | 1.46% |
* | 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 183/366 (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, 2019. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
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Corporate Bonds — 3.8% |
Security | Principal Amount (000's omitted) | Value |
Automotive & Auto Parts — 0.1% | ||
Panther BF Aggregator 2, L.P./Panther Finance Co., Inc., 6.25%, 5/15/26(1) | $ 25 | $ 23,766 |
$ 23,766 | ||
Building and Development — 0.0%(2) | ||
American Builders & Contractors Supply Co., Inc., 4.00%, 1/15/28(1) | $ 25 | $ 22,889 |
$ 22,889 | ||
Business Equipment and Services — 0.3% | ||
Allied Universal Holdco, LLC, 6.625%, 7/15/26(1) | $ 50 | $ 49,219 |
Garda World Security Corp., 4.625%, 2/15/27(1) | 75 | 67,687 |
Prime Security Services Borrower, LLC/Prime Finance, Inc., 5.75%, 4/15/26(1) | 75 | 73,922 |
$190,828 | ||
Containers and Glass Products — 1.2% | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC, 5.125%, 7/15/23(1) | $ 750 | $749,059 |
$749,059 | ||
Financial Intermediaries — 0.0%(2) | ||
AG Issuer, LLC, 6.25%, 3/1/28(1) | $ 25 | $21,187 |
$21,187 | ||
Health Care — 1.8% | ||
Avantor, Inc., 6.00%, 10/1/24(1) | $ 300 | $316,186 |
HCA, Inc., 5.25%, 4/15/25 | 750 | 788,280 |
$1,104,466 | ||
Radio and Television — 0.2% | ||
Diamond Sports Group, LLC/Diamond Sports Finance Co., 5.375%, 8/15/26(1) | $ 50 | $40,907 |
iHeartCommunications, Inc.: | ||
4.75%, 1/15/28(1) | 25 | 22,639 |
5.25%, 8/15/27(1) | 25 | 21,924 |
$85,470 | ||
Telecommunications — 0.2% | ||
CenturyLink, Inc., 4.00%, 2/15/27(1) | $ 125 | $120,312 |
$120,312 | ||
Total Corporate Bonds (identified cost $2,350,407) | $2,317,977 |
Exchange-Traded Funds — 1.3% |
Security | Shares | Value |
Invesco Senior Loan ETF | 16,100 | $ 329,406 |
SPDR Blackstone / GSO Senior Loan ETF | 10,750 | 430,107 |
Total Exchange-Traded Funds (identified cost $866,581) | $ 759,513 |
Senior Floating Rate Loans — 101.2%(3) |
Security | Principal Amount (000's omitted) | Value |
Aerospace and Defense — 0.6% | ||
Dynasty Acquisition Co., Inc.: | ||
Term Loan, 4.95%, (3 mo. USD LIBOR + 3.50%), 4/6/26 | $ 16 | $ 12,780 |
Term Loan, 4.95%, (3 mo. USD LIBOR + 3.50%), 4/6/26 | 9 | 6,871 |
WP CPP Holdings, LLC, Term Loan, 5.53%, (USD LIBOR + 3.75%), 4/30/25(4) | 445 | 339,725 |
$ 359,376 | ||
Automotive — 1.2% | ||
Adient US, LLC, Term Loan, 5.524%, (3 mo. USD LIBOR + 4.00%), 5/6/24 | $ 248 | $ 220,521 |
Bright Bidco B.V., Term Loan, 4.573%, (USD LIBOR + 3.50%), 6/30/24(4) | 168 | 59,853 |
Thor Industries, Inc., Term Loan, 5.365%, (1 mo. USD LIBOR + 3.75%), 2/1/26 | 112 | 95,665 |
TI Group Automotive Systems, LLC, Term Loan, 3.489%, (1 mo. USD LIBOR + 2.50%), 6/30/22 | 381 | 348,824 |
$724,863 | ||
Automotive & Auto Parts — 0.7% | ||
Panther BF Aggregator 2, L.P., Term Loan, 4.44%, (1 mo. USD LIBOR + 3.50%), 4/30/26 | $ 497 | $457,700 |
$457,700 | ||
Brokerage/Securities Dealers/Investment Houses — 0.4% | ||
Advisor Group, Inc., Term Loan, 5.989%, (1 mo. USD LIBOR + 5.00%), 7/31/26 | $ 324 | $249,624 |
$249,624 | ||
Building and Development — 1.9% | ||
American Builders & Contractors Supply Co., Inc., Term Loan, 2.989%, (1 mo. USD LIBOR + 2.00%), 1/15/27 | $ 174 | $158,163 |
Brookfield Property REIT, Inc., Term Loan, 3.489%, (1 mo. USD LIBOR + 2.50%), 8/27/25 | 246 | 176,808 |
Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 3.739%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | 320 | 288,287 |
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Security | Principal Amount (000's omitted) | Value |
Building and Development (continued) | ||
Henry Company, LLC, Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), 10/5/23 | $ 269 | $ 230,677 |
Realogy Group, LLC, Term Loan, 3.831%, (1 mo. USD LIBOR + 2.25%), 2/8/25 | 162 | 140,468 |
Werner FinCo L.P., Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), 7/24/24 | 196 | 173,008 |
$ 1,167,411 | ||
Business Equipment and Services — 9.3% | ||
Allied Universal Holdco, LLC, Term Loan, 5.239%, (1 mo. USD LIBOR + 4.25%), 7/10/26 | $ 374 | $ 346,008 |
AppLovin Corporation, Term Loan, 4.489%, (1 mo. USD LIBOR + 3.50%), 8/15/25 | 395 | 356,599 |
BidFair MergerRight Inc., Term Loan, 6.50%, (1 mo. USD LIBOR + 5.50%, Floor 1.00%), 1/15/27 | 199 | 160,569 |
Brand Energy & Infrastructure Services, Inc., Term Loan, 6.085%, (3 mo. USD LIBOR + 4.25%), 6/21/24 | 195 | 159,240 |
Camelot U.S. Acquisition 1 Co., Term Loan, 4.239%, (1 mo. USD LIBOR + 3.25%), 10/31/26 | 125 | 112,842 |
CCC Information Services, Inc., Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), 4/29/24 | 417 | 385,062 |
Ceridian HCM Holding, Inc., Term Loan, 3.489%, (1 mo. USD LIBOR + 2.50%), 4/30/25 | 642 | 600,382 |
EIG Investors Corp., Term Loan, 5.388%, (3 mo. USD LIBOR + 3.75%), 2/9/23 | 268 | 219,706 |
Garda World Security Corporation, Term Loan, 6.39%, (3 mo. USD LIBOR + 4.75%), 10/30/26 | 103 | 98,422 |
IG Investment Holdings, LLC, Term Loan, 5.45%, (3 mo. USD LIBOR + 4.00%), 5/23/25 | 298 | 241,159 |
IRI Holdings, Inc., Term Loan, 6.113%, (3 mo. USD LIBOR + 4.50%), 12/1/25 | 421 | 338,547 |
Kronos Incorporated, Term Loan, 4.763%, (3 mo. USD LIBOR + 3.00%), 11/1/23 | 978 | 906,243 |
KUEHG Corp., Term Loan, 5.20%, (3 mo. USD LIBOR + 3.75%), 2/21/25 | 266 | 200,329 |
Outfront Media Capital, LLC, Term Loan, 2.547%, (1 mo. USD LIBOR + 1.75%), 11/18/26 | 75 | 64,875 |
Pike Corporation, Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), 7/24/26 | 48 | 44,699 |
Prime Security Services Borrower, LLC, Term Loan, 4.606%, (1 mo. USD LIBOR + 3.25%), 9/23/26 | 395 | 359,748 |
SMG US Midco 2, Inc., Term Loan, 3.429%, (3 mo. USD LIBOR + 2.50%), 1/23/25 | 245 | 184,983 |
Spin Holdco, Inc., Term Loan, 5.093%, (3 mo. USD LIBOR + 3.25%), 11/14/22 | 495 | 442,945 |
Trans Union, LLC, Term Loan, 2.739%, (1 mo. USD LIBOR + 1.75%), 11/16/26 | 73 | 70,046 |
Security | Principal Amount (000's omitted) | Value |
Business Equipment and Services (continued) | ||
WASH Multifamily Laundry Systems, LLC, Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), 5/14/22 | $ 214 | $ 182,080 |
West Corporation, Term Loan, 5.45%, (3 mo. USD LIBOR + 4.00%), 10/10/24 | 245 | 188,640 |
$ 5,663,124 | ||
Cable and Satellite Television — 5.1% | ||
Charter Communications Operating, LLC, Term Loan, 2.74%, (1 mo. USD LIBOR + 1.75%), 2/1/27 | $ 499 | $ 482,122 |
CSC Holdings, LLC, Term Loan, 2.862%, (1 mo. USD LIBOR + 2.25%), 7/17/25 | 399 | 387,005 |
Telenet Financing USD, LLC, Term Loan, 2.705%, (1 mo. USD LIBOR + 2.00%), 4/30/28 | 275 | 255,406 |
UPC Broadband Holding B.V., Term Loan, 2.955%, (1 mo. USD LIBOR + 2.25%), 4/30/28 | 650 | 590,417 |
Virgin Media Bristol, LLC, Term Loan, 3.205%, (1 mo. USD LIBOR + 2.50%), 1/31/28 | 600 | 571,500 |
Ziggo Financing Partnership, Term Loan, 3.205%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | 900 | 840,375 |
$3,126,825 | ||
Chemicals and Plastics — 3.3% | ||
Alpha 3 B.V., Term Loan, 4.45%, (3 mo. USD LIBOR + 3.00%), 1/31/24 | $ 306 | $283,815 |
Minerals Technologies, Inc., Term Loan, 3.217%, (USD LIBOR + 2.25%), 2/14/24(4) | 604 | 558,789 |
Momentive Performance Materials, Inc., Term Loan, 4.24%, (1 mo. USD LIBOR + 3.25%), 5/15/24 | 347 | 286,584 |
PMHC II, Inc., Term Loan, 4.50%, (1 yr. USD LIBOR + 3.50%, Floor 1.00%), 3/31/25 | 246 | 149,211 |
Pregis TopCo Corporation, Term Loan, 4.989%, (1 mo. USD LIBOR + 4.00%), 7/31/26 | 50 | 43,890 |
Starfruit Finco B.V., Term Loan, 10/1/25(5) | 500 | 457,500 |
Univar, Inc., Term Loan, 3.70%, (3 mo. USD LIBOR + 2.25%), 7/1/24 | 264 | 247,245 |
$2,027,034 | ||
Containers and Glass Products — 1.1% | ||
Berry Global, Inc., Term Loan, 2.863%, (1 mo. USD LIBOR + 2.00%), 7/1/26 | $ 74 | $70,492 |
Flex Acquisition Company, Inc., Term Loan, 4.898%, (USD LIBOR + 3.00%), 12/29/23(4) | 305 | 271,937 |
Libbey Glass, Inc., Term Loan, 4.005%, (1 mo. USD LIBOR + 3.00%), 4/9/21 | 244 | 116,099 |
Pelican Products, Inc., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), 5/1/25 | 74 | 60,240 |
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Security | Principal Amount (000's omitted) | Value |
Containers and Glass Products (continued) | ||
Reynolds Consumer Products, Inc, Term Loan, 3.501%, (3 mo. USD LIBOR + 1.75%), 2/4/27 | $ 175 | $ 166,141 |
$ 684,909 | ||
Cosmetics/Toiletries — 1.3% | ||
Kronos Acquisition Holdings, Inc., Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), 5/15/23 | $ 850 | $ 768,188 |
$ 768,188 | ||
Diversified Media — 0.2% | ||
Terrier Media Buyer, Inc., Term Loan, 5.70%, (3 mo. USD LIBOR + 4.25%), 12/17/26 | $ 125 | $ 108,089 |
$ 108,089 | ||
Drugs — 1.6% | ||
Albany Molecular Research, Inc., Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), 8/30/24 | $ 195 | $174,525 |
Amneal Pharmaceuticals, LLC, Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), 5/4/25 | 268 | 235,441 |
Arbor Pharmaceuticals, Inc., Term Loan, 6.00%, (1 mo. USD LIBOR + 5.00%, Floor 1.00%), 7/5/23 | 151 | 113,437 |
Grifols Worldwide Operations USA, Inc., Term Loan, 2.684%, (1 week USD LIBOR + 2.00%), 11/15/27 | 50 | 47,797 |
Jaguar Holding Company II, Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 8/18/22 | 448 | 431,610 |
$1,002,810 | ||
Ecological Services and Equipment — 1.5% | ||
GFL Environmental, Inc., Term Loan, 3.991%, (1 mo. USD LIBOR + 3.00%), 5/30/25 | $ 414 | $403,763 |
US Ecology Holdings, Inc., Term Loan, 11/1/26(5) | 500 | 482,500 |
$886,263 | ||
Electronics/Electrical — 18.8% | ||
Almonde, Inc., Term Loan, 5.277%, (3 mo. USD LIBOR + 3.50%), 6/13/24 | $ 470 | $409,217 |
Applied Systems, Inc., Term Loan, 4.70%, (3 mo. USD LIBOR + 3.25%), 9/19/24 | 815 | 750,185 |
Avast Software B.V., Term Loan, 3.70%, (3 mo. USD LIBOR + 2.25%), 9/29/23 | 143 | 130,347 |
Banff Merger Sub, Inc., Term Loan, 5.239%, (1 mo. USD LIBOR + 4.25%), 10/2/25 | 545 | 467,282 |
Buzz Merger Sub, Ltd., Term Loan, 3.739%, (1 mo. USD LIBOR + 2.75%), 1/29/27 | 150 | 138,750 |
CDW, LLC, Term Loan, 2.74%, (1 mo. USD LIBOR + 1.75%), 10/13/26 | 99 | 96,126 |
CommScope, Inc., Term Loan, 4.239%, (1 mo. USD LIBOR + 3.25%), 4/6/26 | 448 | 425,362 |
Security | Principal Amount (000's omitted) | Value |
Electronics/Electrical (continued) | ||
CPI International, Inc., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), 7/26/24 | $ 121 | $ 101,558 |
ECI Macola Max Holdings, LLC, Term Loan, 5.70%, (3 mo. USD LIBOR + 4.25%), 9/27/24 | 197 | 177,392 |
Epicor Software Corporation, Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), 6/1/22 | 786 | 728,582 |
EXC Holdings III Corp., Term Loan, 4.95%, (3 mo. USD LIBOR + 3.50%), 12/2/24 | 196 | 173,017 |
Go Daddy Operating Company, LLC, Term Loan, 2/15/24(5) | 500 | 479,500 |
Hyland Software, Inc., Term Loan, 4.239%, (1 mo. USD LIBOR + 3.25%), 7/1/24 | 1,056 | 986,568 |
Infoblox, Inc., Term Loan, 5.489%, (1 mo. USD LIBOR + 4.50%), 11/7/23 | 244 | 217,494 |
Infor (US), Inc., Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), 2/1/22 | 975 | 944,843 |
Informatica, LLC, Term Loan, 2/25/27(5) | 750 | 663,750 |
NCR Corporation, Term Loan, 3.49%, (1 mo. USD LIBOR + 2.50%), 8/28/26 | 224 | 204,846 |
Refinitiv US Holdings, Inc., Term Loan, 4.239%, (1 mo. USD LIBOR + 3.25%), 10/1/25 | 223 | 215,745 |
SGS Cayman L.P., Term Loan, 6.825%, (3 mo. USD LIBOR + 5.38%), 4/23/21 | 65 | 48,215 |
SkillSoft Corporation, Term Loan, 6.527%, (3 mo. USD LIBOR + 4.75%), 4/28/21 | 341 | 224,538 |
SolarWinds Holdings, Inc., Term Loan, 3.739%, (1 mo. USD LIBOR + 2.75%), 2/5/24 | 957 | 892,993 |
Solera, LLC, Term Loan, 4.363%, (3 mo. USD LIBOR + 2.75%), 3/3/23 | 496 | 465,116 |
SS&C Technologies Holdings Europe S.a.r.l., Term Loan, 4/16/25(5) | 208 | 198,321 |
SS&C Technologies, Inc., Term Loan, 4/16/25(5) | 292 | 277,929 |
Sutherland Global Services, Inc., Term Loan, 6.825%, (3 mo. USD LIBOR + 5.38%), 4/23/21 | 278 | 207,131 |
Tibco Software, Inc., Term Loan, 4.74%, (1 mo. USD LIBOR + 3.75%), 6/30/26 | 618 | 587,325 |
TTM Technologies, Inc., Term Loan, 4.081%, (1 mo. USD LIBOR + 2.50%), 9/28/24 | 200 | 188,000 |
Ultimate Software Group, Inc. (The), Term Loan, 4.739%, (1 mo. USD LIBOR + 3.75%), 5/4/26 | 424 | 400,562 |
Ultra Clean Holdings, Inc, Term Loan, 5.489%, (1 mo. USD LIBOR + 4.50%), 8/27/25 | 85 | 72,326 |
Veritas Bermuda, Ltd., Term Loan, 5.95%, (3 mo. USD LIBOR + 4.50%), 1/27/23 | 146 | 124,501 |
Vero Parent, Inc., Term Loan, 7.863%, (3 mo. USD LIBOR + 6.25%), 8/16/24 | 146 | 117,731 |
VS Buyer, LLC, Term Loan, 4.863%, (3 mo. USD LIBOR + 3.25%), 2/28/27 | 375 | 361,875 |
$11,477,127 |
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Security | Principal Amount (000's omitted) | Value |
Equipment Leasing — 2.1% | ||
Avolon TLB Borrower 1 (US), LLC, Term Loan, 1/15/25(5) | $ 700 | $ 631,167 |
Delos Finance S.a.r.l, Term Loan, 10/6/23(5) | 700 | 625,187 |
$ 1,256,354 | ||
Financial Intermediaries — 2.2% | ||
Apollo Commercial Real Estate Finance, Inc., Term Loan, 3.455%, (1 mo. USD LIBOR + 2.75%), 5/15/26 | $ 447 | $ 355,067 |
Aretec Group, Inc., Term Loan, 5.239%, (1 mo. USD LIBOR + 4.25%), 10/1/25 | 396 | 273,537 |
Focus Financial Partners, LLC, Term Loan, 2.989%, (1 mo. USD LIBOR + 2.00%), 7/3/24 | 75 | 68,477 |
Harbourvest Partners, LLC, Term Loan, 3.927%, (2 mo. USD LIBOR + 2.25%), 3/3/25 | 42 | 36,058 |
Victory Capital Holdings, Inc., Term Loan, 4.015%, (1 mo. USD LIBOR + 2.50%), 7/1/26 | 104 | 92,439 |
Virtus Investment Partners, Inc., Term Loan, 3.266%, (1 mo. USD LIBOR + 2.25%), 6/1/24 | 555 | 500,192 |
$1,325,770 | ||
Food Products — 1.8% | ||
Del Monte Foods, Inc., Term Loan, 4.865%, (3 mo. USD LIBOR + 3.25%), 2/18/21 | $ 345 | $281,631 |
Froneri International, Ltd., Term Loan, 3.239%, (1 mo. USD LIBOR + 2.25%), 1/29/27 | 525 | 504,000 |
Nomad Foods Europe Midco Limited, Term Loan, 2.955%, (1 mo. USD LIBOR + 2.25%), 5/15/24 | 300 | 282,750 |
$1,068,381 | ||
Food Service — 1.9% | ||
1011778 B.C. Unlimited Liability Company, Term Loan, 2.739%, (1 mo. USD LIBOR + 1.75%), 11/19/26 | $ 599 | $555,109 |
IRB Holding Corp, Term Loan, 3.751%, (1 mo. USD LIBOR + 2.75%), 2/5/25 | 317 | 247,465 |
Restaurant Technologies, Inc., Term Loan, 4.70%, (3 mo. USD LIBOR + 3.25%), 10/1/25 | 247 | 207,992 |
US Foods, Inc., Term Loan, 3.072%, (1 mo. USD LIBOR + 2.00%), 9/13/26 | 149 | 139,051 |
$1,149,617 | ||
Health Care — 10.6% | ||
Accelerated Health Systems, LLC, Term Loan, 4.297%, (1 mo. USD LIBOR + 3.50%), 10/31/25 | $ 49 | $44,561 |
Alliance Healthcare Services, Inc., Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), 10/24/23 | 187 | 147,188 |
athenahealth, Inc., Term Loan, 5.284%, (3 mo. USD LIBOR + 4.50%), 2/11/26 | 398 | 373,998 |
Security | Principal Amount (000's omitted) | Value |
Health Care (continued) | ||
Avantor Funding, Inc., Term Loan, 3.25%, (1 mo. USD LIBOR + 2.25%, Floor 1.00%), 11/21/24 | $ 292 | $ 279,560 |
BioClinica Holding I, L.P., Term Loan, 5.25%, (1 mo. USD LIBOR + 4.25%, Floor 1.00%), 10/20/23 | 195 | 161,819 |
Change Healthcare Holdings, LLC, Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 3/1/24 | 353 | 325,878 |
CHG Healthcare Services, Inc., Term Loan, 4.073%, (3 mo. USD LIBOR + 3.00%), 6/7/23 | 349 | 315,758 |
Elanco Animal Health Incorporated, Term Loan, 2/4/27(5) | 150 | 143,906 |
Ensemble RCM, LLC, Term Loan, 5.513%, (3 mo. USD LIBOR + 3.75%), 8/3/26 | 50 | 46,350 |
Envision Healthcare Corporation, Term Loan, 4.739%, (1 mo. USD LIBOR + 3.75%), 10/10/25 | 494 | 264,650 |
Greatbatch, Ltd., Term Loan, 3.51%, (1 mo. USD LIBOR + 2.50%), 10/27/22 | 344 | 328,926 |
Hanger, Inc., Term Loan, 4.489%, (1 mo. USD LIBOR + 3.50%), 3/6/25 | 98 | 92,610 |
IQVIA, Inc., Term Loan, 6/11/25(5) | 500 | 475,000 |
Medical Solutions, LLC, Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), 6/14/24 | 249 | 221,387 |
MPH Acquisition Holdings, LLC, Term Loan, 4.20%, (3 mo. USD LIBOR + 2.75%), 6/7/23 | 362 | 329,188 |
National Mentor Holdings, Inc.: | ||
Term Loan, 4.989%, (1 mo. USD LIBOR + 4.00%), 3/9/26 | 261 | 237,214 |
Term Loan, 5.46%, (3 mo. USD LIBOR + 4.00%), 3/9/26 | 12 | 10,773 |
Navicure, Inc., Term Loan, 10/22/26(5) | 300 | 283,500 |
One Call Corporation, Term Loan, 6.954%, (3 mo. USD LIBOR + 5.25%), 11/25/22 | 168 | 139,529 |
Ortho-Clinical Diagnostics SA, Term Loan, 4.765%, (1 mo. USD LIBOR + 3.25%), 6/30/25 | 422 | 361,585 |
Radiology Partners, Inc., Term Loan, 5.981%, (USD LIBOR + 4.25%), 7/9/25(4) | 241 | 204,452 |
RadNet, Inc., Term Loan, 5.35%, (3 mo. USD LIBOR + 3.50%), 6/30/23 | 287 | 255,770 |
Select Medical Corporation, Term Loan, 3.43%, (1 mo. USD LIBOR + 2.50%), 3/6/25 | 522 | 498,952 |
Tecomet, Inc., Term Loan, 5.50%, (USD Prime + 2.25%), 5/1/24 | 548 | 468,172 |
Verscend Holding Corp., Term Loan, 5.489%, (1 mo. USD LIBOR + 4.50%), 8/27/25 | 496 | 470,851 |
$6,481,577 | ||
Home Furnishings — 0.5% | ||
Serta Simmons Bedding, LLC, Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), 11/8/23 | $ 686 | $282,453 |
$282,453 |
Table of Contents
Security | Principal Amount (000's omitted) | Value |
Industrial Equipment — 7.3% | ||
Altra Industrial Motion Corp., Term Loan, 2.989%, (1 mo. USD LIBOR + 2.00%), 10/1/25 | $ 66 | $ 60,801 |
Apex Tool Group, LLC, Term Loan, 6.75%, (1 mo. USD LIBOR + 5.50%, Floor 1.25%), 8/1/24 | 161 | 125,029 |
Carlisle Foodservice Products, Inc., Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), 3/20/25 | 146 | 125,183 |
Clark Equipment Company, Term Loan, 3.20%, (3 mo. USD LIBOR + 1.75%), 5/18/24 | 602 | 549,102 |
CPM Holdings, Inc., Term Loan, 5.353%, (1 mo. USD LIBOR + 3.75%), 11/17/25 | 322 | 266,190 |
DexKo Global, Inc., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), 7/24/24 | 244 | 209,382 |
EWT Holdings III Corp., Term Loan, 3.739%, (1 mo. USD LIBOR + 2.75%), 12/20/24 | 522 | 480,155 |
Filtration Group Corporation, Term Loan, 3.989%, (1 mo. USD LIBOR + 3.00%), 3/29/25 | 495 | 437,429 |
Gardner Denver, Inc., Term Loan, 2.739%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 25 | 23,625 |
Gates Global, LLC, Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), 4/1/24 | 829 | 746,315 |
Genesee & Wyoming Inc., Term Loan, 3.45%, (3 mo. USD LIBOR + 2.00%), 12/30/26 | 75 | 72,656 |
Ingersoll-Rand Services Company, Term Loan, 2.739%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 100 | 94,000 |
Robertshaw US Holding Corp., Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), 2/28/25 | 416 | 270,725 |
Terex Corporation, Term Loan, 3.739%, (1 mo. USD LIBOR + 2.75%), 1/31/24 | 817 | 765,703 |
Titan Acquisition Limited, Term Loan, 4.45%, (3 mo. USD LIBOR + 3.00%), 3/28/25 | 294 | 250,635 |
$4,476,930 | ||
Insurance — 4.8% | ||
Alliant Holdings Intermediate, LLC, Term Loan, 3.862%, (1 mo. USD LIBOR + 3.25%), 5/9/25 | $ 248 | $230,136 |
AmWINS Group, Inc., Term Loan, 3.753%, (1 mo. USD LIBOR + 2.75%), 1/25/24 | 612 | 572,636 |
AssuredPartners, Inc., Term Loan, 4.489%, (1 mo. USD LIBOR + 3.50%), 2/12/27 | 274 | 244,824 |
Asurion, LLC: | ||
Term Loan, 3.989%, (1 mo. USD LIBOR + 3.00%), 8/4/22 | 756 | 703,525 |
Term Loan - Second Lien, 7.489%, (1 mo. USD LIBOR + 6.50%), 8/4/25 | 100 | 93,500 |
Hub International Limited, Term Loan, 4.544%, (USD LIBOR + 2.75%), 4/25/25(4) | 516 | 487,443 |
NFP Corp., Term Loan, 4.239%, (1 mo. USD LIBOR + 3.25%), 2/15/27 | 348 | 304,904 |
Security | Principal Amount (000's omitted) | Value |
Insurance (continued) | ||
USI, Inc., Term Loan, 3.989%, (3 mo. USD LIBOR + 3.00%), 5/16/24 | $ 293 | $ 266,906 |
$ 2,903,874 | ||
Leisure Goods/Activities/Movies — 4.0% | ||
AMC Entertainment Holdings, Inc., Term Loan, 4.08%, (1 mo. USD LIBOR + 3.00%), 4/22/26 | $ 643 | $ 484,770 |
Bombardier Recreational Products, Inc., Term Loan, 2.989%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | 637 | 538,282 |
Crown Finance US, Inc., Term Loan, 3.322%, (1 mo. USD LIBOR + 2.25%), 2/28/25 | 388 | 260,699 |
Delta 2 (LUX) S.a.r.l., Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 2/1/24 | 200 | 179,750 |
Emerald Expositions Holding, Inc., Term Loan, 3.739%, (1 mo. USD LIBOR + 2.75%), 5/22/24 | 283 | 224,622 |
Match Group, Inc., Term Loan, 2/15/27(5) | 500 | 467,500 |
Travel Leaders Group, LLC, Term Loan, 4.959%, (1 mo. USD LIBOR + 4.00%), 1/25/24 | 396 | 303,912 |
$2,459,535 | ||
Lodging and Casinos — 1.8% | ||
ESH Hospitality, Inc., Term Loan, 2.989%, (1 mo. USD LIBOR + 2.00%), 9/18/26 | $ 379 | $330,902 |
GBT III B.V.: | ||
Term Loan, 2/26/27(5) | 109 | 95,243 |
Term Loan, 2/26/27(5) | 91 | 79,757 |
Playa Resorts Holding B.V., Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), 4/29/24 | 219 | 156,205 |
RHP Hotel Properties L.P., Term Loan, 2.99%, (1 mo. USD LIBOR + 2.00%), 5/11/24 | 503 | 443,911 |
$1,106,018 | ||
Metals/Mining — 0.3% | ||
GrafTech Finance, Inc., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), 2/12/25 | $ 178 | $155,967 |
$155,967 | ||
Publishing — 1.3% | ||
Getty Images, Inc., Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), 2/19/26 | $ 268 | $218,953 |
Harland Clarke Holdings Corp., Term Loan, 6.463%, (3 mo. USD LIBOR + 4.75%), 11/3/23 | 124 | 78,684 |
LSC Communications, Inc., Term Loan, 0.00%, 9/30/22(6) | 142 | 23,193 |
ProQuest, LLC, Term Loan, 4.489%, (1 mo. USD LIBOR + 3.50%), 10/23/26 | 524 | 494,885 |
$815,715 |
Table of Contents
Security | Principal Amount (000's omitted) | Value |
Radio and Television — 2.2% | ||
Diamond Sports Group, LLC, Term Loan, 4.18%, (1 mo. USD LIBOR + 3.25%), 8/24/26 | $ 249 | $ 195,269 |
Entercom Media Corp., Term Loan, 3.489%, (1 mo. USD LIBOR + 2.50%), 11/18/24 | 344 | 310,002 |
Gray Television, Inc., Term Loan, 4.015%, (1 mo. USD LIBOR + 2.50%), 1/2/26 | 323 | 311,558 |
iHeartCommunications, Inc., Term Loan, 3.989%, (1 mo. USD LIBOR + 3.00%), 5/1/26 | 424 | 363,102 |
Mission Broadcasting, Inc., Term Loan, 3.831%, (1 mo. USD LIBOR + 2.25%), 1/17/24 | 38 | 35,166 |
Nexstar Broadcasting, Inc., Term Loan, 3.191%, (1 mo. USD LIBOR + 2.25%), 1/17/24 | 145 | 136,349 |
$ 1,351,446 | ||
Retailers (except food and drug) — 1.5% | ||
Bass Pro Group, LLC, Term Loan, 6.072%, (1 mo. USD LIBOR + 5.00%), 9/25/24 | $ 244 | $207,707 |
BJ's Wholesale Club, Inc., Term Loan, 3.047%, (1 mo. USD LIBOR + 2.25%), 2/3/24 | 431 | 411,490 |
Coinamatic Canada, Inc., Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), 5/14/22 | 33 | 28,212 |
Hoya Midco, LLC, Term Loan, 4.558%, (6 mo. USD LIBOR + 3.50%), 6/30/24 | 195 | 152,068 |
LSF9 Atlantis Holdings, LLC, Term Loan, 7.00%, (1 mo. USD LIBOR + 6.00%, Floor 1.00%), 5/1/23 | 140 | 113,025 |
$912,502 | ||
Services — 0.6% | ||
AlixPartners, LLP, Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 4/4/24 | $ 323 | $308,036 |
KAR Auction Services, Inc., Term Loan, 3.188%, (1 mo. USD LIBOR + 2.25%), 9/19/26 | 50 | 46,267 |
$354,303 | ||
Steel — 2.0% | ||
Atkore International, Inc., Term Loan, 4.02%, (3 mo. USD LIBOR + 2.75%), 12/22/23 | $ 300 | $264,000 |
Phoenix Services International, LLC, Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 3/1/25 | 245 | 203,350 |
Zekelman Industries, Inc., Term Loan, 3.209%, (1 mo. USD LIBOR + 2.25%), 1/24/27 | 775 | 724,625 |
$1,191,975 | ||
Super Retail — 0.8% | ||
PetSmart, Inc., Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), 3/11/22 | $ 477 | $459,594 |
$459,594 |
Security | Principal Amount (000's omitted) | Value |
Surface Transport — 0.9% | ||
Agro Merchants NAI Holdings, LLC, Term Loan, 5.20%, (3 mo. USD LIBOR + 3.75%), 12/6/24 | $ 122 | $ 102,884 |
Avis Budget Car Rental, LLC, Term Loan, 2.74%, (1 mo. USD LIBOR + 1.75%), 8/6/27 | 524 | 452,990 |
$ 555,874 | ||
Telecommunications — 6.8% | ||
CenturyLink, Inc., Term Loan, 3.239%, (1 mo. USD LIBOR + 2.25%), 3/15/27 | $ 524 | $ 486,702 |
Colorado Buyer, Inc., Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), 5/1/24 | 392 | 266,444 |
Digicel International Finance Limited, Term Loan, 4.87%, (3 mo. USD LIBOR + 3.25%), 5/28/24 | 244 | 190,718 |
Intelsat Jackson Holdings S.A., Term Loan, 5.682%, (6 mo. USD LIBOR + 3.75%), 11/27/23 | 574 | 535,255 |
Level 3 Financing, Inc., Term Loan, 2.739%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 439 | 414,407 |
Plantronics, Inc., Term Loan, 3.459%, (USD LIBOR + 2.50%), 7/2/25(4) | 391 | 305,344 |
SBA Senior Finance II, LLC, Term Loan, 2.74%, (1 mo. USD LIBOR + 1.75%), 4/11/25 | 683 | 650,527 |
Sprint Communications, Inc., Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), 2/2/24 | 889 | 881,714 |
Syniverse Holdings, Inc., Term Loan, 6.873%, (6 mo. USD LIBOR + 5.00%), 3/9/23 | 245 | 163,742 |
Telesat Canada, Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), 12/7/26 | 100 | 93,017 |
Zayo Group Holdings, Inc., Term Loan, 3.989%, (1 mo. USD LIBOR + 3.00%), 12/19/27 | 175 | 164,063 |
$4,151,933 | ||
Utilities — 0.8% | ||
Calpine Corporation, Term Loan, 1/15/24(5) | $ 500 | $482,917 |
$482,917 | ||
Total Senior Floating Rate Loans (identified cost $68,701,064) | $61,646,078 | |
Total Investments — 106.3% (identified cost $71,918,052) | $64,723,568 | |
Other Assets, Less Liabilities — (6.3)% | $(3,828,482) | |
Net Assets — 100.0% | $60,895,086 |
Table of Contents
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $1,529,697, which represents 2.5% of the net assets of the Fund as of March 31, 2020. | |
(2) | Amount is less than 0.05%. | |
(3) | 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, 2020. 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. | |
(4) | The stated interest rate represents the weighted average interest rate at March 31, 2020 of contracts within the senior 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. | |
(5) | This Senior Loan will settle after March 31, 2020 at which time the interest rate will be determined. | |
(6) | Issuer is in default with respect to interest and/or principal payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
Currency Abbreviations: | |
USD | – United States Dollar |
Table of Contents
March 31, 2020 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $71,918,052) | $64,723,568 |
Cash | 11,696,981 |
Receivable for investments sold | 109,471 |
Receivable for capital shares sold | 801,082 |
Interest receivable | 147,898 |
Receivable from affiliate | 6,967 |
Trustees' deferred compensation plan | 939 |
Prepaid upfront fees on note payable | 21,570 |
Prepaid expenses | 5,782 |
Total assets | $77,514,258 |
Liabilities | |
Payable for investments purchased | $7,447,750 |
Payable for capital shares redeemed | 33,841 |
Distributions payable | 14,213 |
Payable to affiliates: | |
Investment advisory fee | 24,384 |
Administrative fee | 5,181 |
Distribution and service fees | 514 |
Sub-transfer agency fee | 101 |
Trustees' deferred compensation plan | 939 |
Accrued expenses | 92,249 |
Note payable | 9,000,000 |
Total liabilities | $16,619,172 |
Net Assets | $60,895,086 |
Sources of Net Assets | |
Paid-in capital | $69,819,915 |
Accumulated loss | (8,924,829) |
Total | $60,895,086 |
Class A Shares | |
Net Assets | $2,220,728 |
Shares Outstanding | 261,958 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $8.48 |
Maximum Offering Price Per Share (100 ÷ 96.25 of net asset value per share) | $8.81 |
Class I Shares | |
Net Assets | $17,544,267 |
Shares Outstanding | 2,071,177 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $8.47 |
Class R6 Shares | |
Net Assets | $41,130,091 |
Shares Outstanding | 4,858,508 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $8.47 |
Table of Contents
Six Months Ended | |
March 31, 2020 | |
Investment Income | |
Dividend income | $20,434 |
Interest and other income | 1,566,534 |
Securities lending income, net | 516 |
Total investment income | $1,587,484 |
Expenses | |
Investment advisory fee | $149,785 |
Administrative fee | 31,040 |
Distribution and service fees: | |
Class A | 3,589 |
Trustees' fees and expenses | 1,761 |
Custodian fees | 2,689 |
Transfer agency fees and expenses | 16,262 |
Accounting fees | 5,739 |
Professional fees | 25,813 |
Registration fees | 25,285 |
Reports to shareholders | 6,380 |
Interest expense and fees | 182,450 |
Miscellaneous | 4,821 |
Total expenses | $455,614 |
Waiver and/or reimbursement of expenses by affiliate | $(72,438) |
Reimbursement of expenses - other | (803) |
Net expenses | $382,373 |
Net investment income | $1,205,111 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $(82,341) |
Net realized loss | $(82,341) |
Change in unrealized appreciation (depreciation): | |
Investment securities | $(6,050,272) |
Net change in unrealized appreciation (depreciation) | $(6,050,272) |
Net realized and unrealized loss | $(6,132,613) |
Net decrease in net assets from operations | $(4,927,502) |
Table of Contents
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $1,205,111 | $3,271,083 |
Net realized loss | (82,341) | (1,550,361) |
Net change in unrealized appreciation (depreciation) | (6,050,272) | (1,054,707) |
Net increase (decrease) in net assets from operations | $(4,927,502) | $666,015 |
Distributions to shareholders: | ||
Class A | $(63,678) | $(162,102) |
Class I | (346,730) | (1,282,602) |
Class R6 | (802,727) | (1,822,024) |
Total distributions to shareholders | $(1,213,135) | $(3,266,728) |
Capital share transactions: | ||
Class A | $(707,282) | $281,569 |
Class I | 4,661,804 | (10,310,001) |
Class R6 | 13,034,734 | (19,458,423) |
Net increase (decrease) in net assets from capital share transactions | $16,989,256 | $(29,486,855) |
Net increase (decrease) in net assets | $10,848,619 | $(32,087,568) |
Net Assets | ||
At beginning of period | $50,046,467 | $82,134,035 |
At end of period | $60,895,086 | $50,046,467 |
Table of Contents
Six Months Ended | |
March 31, 2020 (Unaudited) | |
Cash Flows From Operating Activities | |
Net decrease in net assets from operations | $(4,927,502) |
Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities: | |
Investments purchased | (15,585,500) |
Investments sold and principal repayments | 16,104,520 |
Decrease of short-term investments, net | 804,759 |
Net amortization/accretion of premium (discount) | (14,026) |
Amortization of prepaid upfront fees on note payable | 15,011 |
Decrease in interest receivable | 49,348 |
Decrease in securities lending income receivable | 414 |
Decrease in receivable from affiliate | 5,845 |
Increase in prepaid expenses | (4,252) |
Increase in Trustee's deferred compensation plan | (342) |
Decrease in other assets | 3,091 |
Decrease in deposits for securities loaned | (804,759) |
Decrease in payable to affiliate for investment advisory fee | (4,666) |
Decrease in payable to affiliate for administrative fee | (244) |
Decrease in payable to affiliate for distribution and services fees | (161) |
Decrease in payable to affiliate for sub-transfer agency fee | (189) |
Increase in payable to affiliate for Trustee's deferred compensation plan | 342 |
Decrease in accrued expenses | (28,434) |
Decrease in unfunded loan committments | (73,784) |
Net change in unrealized (appreciation) depreciation on investments | 6,050,272 |
Net realized loss from investments | 82,341 |
Net cash provided by operating activities | $1,672,084 |
Cash Flows From Financing Activities | |
Cash distributions paid to shareholders | $(48,601) |
Proceeds from capital shares sold | 22,442,676 |
Capital shares redeemed | (7,500,988) |
Prepaid upfront fees on note payable | (22,500) |
Proceeds from note payable | 6,500,000 |
Repayments of note payable | (14,500,000) |
Net cash provided by financing activities | $6,870,587 |
Net increase in cash | $8,542,671 |
Cash at beginning of period | $3,154,310 |
Cash at end of period | $11,696,981 |
Supplemental disclosure of cash flow information: | |
Noncash financing activities not included herein consist of: | |
Reinvestment of dividends and distributions | $1,157,873 |
Cash paid for interest and fees on borrowings | $224,342 |
Table of Contents
Class A | |||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Period Ended September 30, 2018(1) | |
Net asset value — Beginning of period | $9.73 | $9.97 | $10.00 |
Income (Loss) From Operations | |||
Net investment income(2) | $0.21 | $0.47 | $0.38 |
Net realized and unrealized loss | (1.24) | (0.24) | (0.06) |
Total income (loss) from operations | $(1.03) | $0.23 | $0.32 |
Less Distributions | |||
From net investment income | $(0.22) | $(0.47) | $(0.35) |
Total distributions | $(0.22) | $(0.47) | $(0.35) |
Net asset value — End of period | $8.48 | $9.73 | $9.97 |
Total Return(3) | (10.85)%(4) | 2.42% | 3.25%(4) |
Ratios/Supplemental Data | |||
Net assets, end of period (000’s omitted) | $2,221 | $3,286 | $3,090 |
Ratios (as a percentage of average daily net assets):(5) | |||
Total expenses(6) | 2.12%(7) | 2.29% | 2.48%(7) |
Net expenses(6) | 1.73%(7) | 1.98% | 2.13%(7) |
Net investment income | 4.41%(7) | 4.86% | 3.93%(7) |
Portfolio Turnover | 23%(4) | 44% | 35%(4) |
(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) | Includes interest expense and fees and other borrowing costs of 0.72%, 0.96% and 1.07% for the six months ended March 31,2020, the year ended September 30, 2019 and the period ended September 30, 2018, respectively. |
(7) | Annualized. |
Table of Contents
Class I | |||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Period Ended September 30, 2018(1) | |
Net asset value — Beginning of period | $9.73 | $9.97 | $10.00 |
Income (Loss) From Operations | |||
Net investment income(2) | $0.22 | $0.49 | $0.40 |
Net realized and unrealized loss | (1.25) | (0.23) | (0.06) |
Total income (loss) from operations | $(1.03) | $0.26 | $0.34 |
Less Distributions | |||
From net investment income | $(0.23) | $(0.50) | $(0.37) |
Total distributions | $(0.23) | $(0.50) | $(0.37) |
Net asset value — End of period | $8.47 | $9.73 | $9.97 |
Total Return(3) | (10.77)%(4) | 2.57% | 3.48%(4) |
Ratios/Supplemental Data | |||
Net assets, end of period (000’s omitted) | $17,544 | $14,749 | $26,452 |
Ratios (as a percentage of average daily net assets):(5) | |||
Total expenses(6) | 1.85%(7) | 2.02% | 2.06%(7) |
Net expenses(6) | 1.46%(7) | 1.70% | 1.67%(7) |
Net investment income | 4.64%(7) | 5.05% | 4.10%(7) |
Portfolio Turnover | 23%(4) | 44% | 35%(4) |
(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) | Includes interest expense and fees and other borrowing costs of 0.70%, 0.93% and 0.91% for the six months ended March 31, 2020, the year ended September 30, 2019 and the period ended September 30, 2018, respectively. |
(7) | Annualized. |
Table of Contents
Class R6 | |||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Period Ended September 30, 2018(1) | |
Net asset value — Beginning of period | $9.72 | $9.96 | $10.00 |
Income (Loss) From Operations | |||
Net investment income(2) | $0.22 | $0.50 | $0.37 |
Net realized and unrealized loss | (1.24) | (0.24) | (0.04) |
Total income (loss) from operations | $(1.02) | $0.26 | $0.33 |
Less Distributions | |||
From net investment income | $(0.23) | $(0.50) | $(0.37) |
Total distributions | $(0.23) | $(0.50) | $(0.37) |
Net asset value — End of period | $8.47 | $9.72 | $9.96 |
Total Return(3) | (10.77)%(4) | 2.67% | 3.35%(4) |
Ratios/Supplemental Data | |||
Net assets, end of period (000’s omitted) | $41,130 | $32,011 | $52,592 |
Ratios (as a percentage of average daily net assets):(5) | |||
Total expenses(6) | 1.68%(7) | 1.99% | 1.74%(7) |
Net expenses(6) | 1.46%(7) | 1.72% | 1.44%(7) |
Net investment income | 4.68%(7) | 5.08% | 3.81%(7) |
Portfolio Turnover | 23%(4) | 44% | 35%(4) |
(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) | Includes interest expense and fees and other borrowing costs of 0.70%, 0.95% and 0.69% for the six months ended March 31, 2020, the year ended September 30, 2019 and the period ended September 30, 2018, respectively. |
(7) | Annualized. |
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Asset Description | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds | $— | $2,317,977 | $— | $2,317,977 |
Exchange-Traded Funds | 759,513 | — | — | 759,513 |
Senior Floating Rate Loans | — | 61,646,078 | — | 61,646,078 |
Total Investments | $759,513 | $63,964,055 | $ — | $64,723,568 |
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Aggregate cost | $71,944,561 |
Gross unrealized appreciation | $472,982 |
Gross unrealized depreciation | (7,693,975) |
Net unrealized depreciation | $(7,220,993) |
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Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 76,289 | $719,750 | 195,738 | $1,914,479 | |
Reinvestment of distributions | 5,818 | 55,377 | 15,456 | 150,430 | |
Shares redeemed | (157,919) | (1,482,409) | (183,374) | (1,783,340) | |
Net increase (decrease) | (75,812) | $(707,282) | 27,820 | $281,569 | |
Class I | |||||
Shares sold | 1,091,850 | $9,753,927 | 2,630,684 | $25,817,573 | |
Reinvestment of distributions | 33,057 | 313,371 | 125,395 | 1,219,564 | |
Shares redeemed | (570,202) | (5,405,494) | (3,893,622) | (37,347,138) | |
Net increase (decrease) | 554,705 | $4,661,804 | (1,137,543) | $(10,310,001) | |
Class R6 | |||||
Shares sold | 1,535,713 | $12,745,018 | 459,476 | $4,476,567 | |
Reinvestment of distributions | 83,240 | 789,125 | 155,916 | 1,517,346 | |
Shares redeemed | (53,339) | (499,409) | (2,601,279) | (25,452,336) | |
Net increase (decrease) | 1,565,614 | $13,034,734 | (1,985,887) | $(19,458,423) |
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Officers |
Hope L. Brown Chief Compliance Officer |
Maureen A. Gemma Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Trustees |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Trustee and President |
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• | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
• | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
• | We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
• | We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
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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 FormN-CSR.
Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities byClosed-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 Rule30a-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 Rule30a-3(b) under the 1940 Act and Rules13a-15(b) or15d-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.
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(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities forClosed-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. |
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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 26, 2020 |
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 26, 2020 | |
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | May 26, 2020 |