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)
2050 M Street NW, Washington, DC 20036
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(202) 238-2200
(Registrant’s Telephone Number)
December 31
Date of Fiscal Year End
December 31, 2023
Date of Reporting Period
Item 1. Reports to Stockholders
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception |
Class A at NAV | 09/30/2014 | 09/30/2014 | 8.42% | 3.67% | 3.17% |
Class A with 3.25% Maximum Sales Charge | — | — | 4.91 | 2.99 | 2.80 |
Class C at NAV | 09/30/2014 | 09/30/2014 | 7.61 | 2.90 | 2.50 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 6.61 | 2.90 | 2.50 |
Class I at NAV | 09/30/2014 | 09/30/2014 | 8.70 | 3.93 | 3.49 |
Class R6 at NAV | 05/01/2019 | 09/30/2014 | 8.80 | 4.03 | 3.55 |
ICE BofA 3-Month U.S. Treasury Bill Index | — | — | 5.01% | 1.88% | 1.35% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
Gross | 0.93% | 1.68% | 0.68% | 0.58% |
Net | 0.92 | 1.67 | 0.67 | 0.57 |
% SEC Yield4 | Class A | Class C | Class I | Class R6 |
SEC 30-day Yield - Subsidized | 5.11% | 4.57% | 5.54% | 5.62% |
SEC 30-day Yield - Unsubsidized | 5.11 | 4.57 | 5.54 | 5.62 |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2014 | $12,570 | N.A. |
Class I, at minimum investment | $1,000,000 | 09/30/2014 | $1,374,257 | N.A. |
Class R6, at minimum investment | $5,000,000 | 09/30/2014 | $6,903,812 | N.A. |
Credit Quality (% of net assets)1 |
1 | For purposes of the Fund's rating restrictions, ratings are based on Moody's Investors Service, Inc. (“Moody's”), S&P Global Ratings (“S&P”) or Fitch Ratings (“Fitch”), or Kroll Bond Rating Agency, LLC (“Kroll”) for securitized debt instruments only (such as asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”)), as applicable. If securities are rated differently by the ratings agencies, the highest rating is applied. 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 an issuance 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, Fitch or Kroll (Baa or higher by Moody's) 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 the national ratings agencies stated above. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
1 | ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’s inception, as applicable. Performance presented in the Financial Highlights included in the financial statements is not linked.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/24. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
4 | SEC Yield is a standardized measure based on the estimated yield to maturity of a fund’s investments over a 30-day period and is based on the maximum offer price at the date specified. The SEC Yield is not based on the distributions made by the Fund, which may differ. Subsidized yield reflects the effect of fee waivers and expense reimbursements. |
Fund profile subject to change due to active management. | |
Additional Information | |
Bloomberg U.S. Treasury Index measures the performance of U.S. Treasuries with a maturity of one year or more. Bloomberg U.S. Corporate Bond Index measures the performance of investment-grade U.S. corporate securities with a maturity of one year or more. Bloomberg U.S. Corporate High Yield Index measures USD-denominated, non-investment grade corporate securities. Bloomberg U.S. Asset-Backed Securities Index tracks the performance of U.S. dollar denominated investment grade, fixed rate asset-backed securities publicly issued in the U.S. domestic market. Bloomberg U.S. Mortgage-Backed Securities Index measures agency mortgage-backed pass-through securities issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). | |
Duration is a measure of the expected change in price of a bond — in percentage terms — given a one percent change in interest rates, all else being constant. Securities with lower durations tend to be less sensitive to interest rate changes. |
Beginning Account Value (7/1/23) | Ending Account Value (12/31/23) | Expenses Paid During Period* (7/1/23 – 12/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,049.60 | $4.65 ** | 0.90% |
Class C | $1,000.00 | $1,045.70 | $8.46 ** | 1.64% |
Class I | $1,000.00 | $1,051.00 | $3.36 ** | 0.65% |
Class R6 | $1,000.00 | $1,051.40 | $2.90 ** | 0.56% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.67 | $4.58 ** | 0.90% |
Class C | $1,000.00 | $1,016.94 | $8.34 ** | 1.64% |
Class I | $1,000.00 | $1,021.93 | $3.31 ** | 0.65% |
Class R6 | $1,000.00 | $1,022.38 | $2.85 ** | 0.56% |
* | Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on June 30, 2023. |
** | Absent a waiver and/or reimbursement of expenses by affiliate(s), expenses would be higher. |
Asset-Backed Securities — 14.7% |
Security | Principal Amount (000's omitted)* | Value | |
Avant Loans Funding Trust, Series 2021-REV1, Class D, 4.30%, 7/15/30(1) | 1,512 | $ 1,395,715 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 1,119 | 979,476 | |
Cologix Canadian Issuer, L.P., Series 2022-1CAN, Class C, 7.74%, 1/25/52(1) | CAD | 1,500 | 1,047,176 |
Cologix Data Centers US Issuer, LLC, Series 2021-1A, Class B, 3.79%, 12/26/51(1) | 1,315 | 1,168,948 | |
Conn's Receivables Funding, LLC: | |||
Series 2021-A, Class C, 4.59%, 5/15/26(1) | 748 | 744,747 | |
Series 2022-A, Class B, 9.52%, 12/15/26(1) | 1,060 | 1,063,696 | |
Series 2022-A, Class C, 0.00%, 12/15/26(1) | 1,700 | 1,504,522 | |
Series 2023-A, Class B, 10.00%, 1/17/28(1) | 607 | 615,306 | |
Diamond Infrastructure Funding, LLC, Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 292 | 253,298 | |
Driven Brands Funding, LLC: | |||
Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 704 | 690,480 | |
Series 2019-1A, Class A2, 4.641%, 4/20/49(1) | 1,839 | 1,782,422 | |
ExteNet, LLC, Series 2019-1A, Class B, 4.14%, 7/25/49(1) | 725 | 707,648 | |
FMC GMSR Issuer Trust: | |||
Series 2021-GT1, Class A, 3.62%, 7/25/26(1)(2) | 655 | 566,315 | |
Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(2) | 1,029 | 892,751 | |
Series 2022-GT1, Class A, 6.19%, 4/25/27(1) | 903 | 868,188 | |
Series 2022-GT2, Class A, 7.90%, 7/25/27(1) | 800 | 810,699 | |
FOCUS Brands Funding, LLC, Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 75 | 71,721 | |
Hardee's Funding, LLC, Series 2020-1A, Class A2, 3.981%, 12/20/50(1) | 533 | 470,121 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 402 | 381,857 | |
Loanpal Solar Loan, Ltd., Series 2020-1GS, Class C, 2.00%, 6/20/47(1) | 1,007 | 589,133 | |
Lunar Aircraft, Ltd., Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 93 | 68,171 | |
Mill City Solar Loan, Ltd., Series 2020-1A, Class C, 2.00%, 6/20/47(1) | 2,296 | 1,512,028 | |
Mosaic Solar Loan Trust: | |||
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 307 | 273,613 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 44 | 38,904 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | 153 | 124,279 | |
Series 2021-3A, Class C, 1.77%, 6/20/52(1) | 1,572 | 1,288,652 | |
Series 2021-3A, Class D, 3.28%, 6/20/52(1) | 625 | 499,131 | |
Series 2022-2A, Class D, 8.29%, 1/21/53(1) | 1,510 | 773,166 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 775 | 675,611 | |
NRZ Excess Spread-Collateralized Notes: | |||
Series 2021-FHT1, Class A, 3.104%, 7/25/26(1) | 70 | 65,169 | |
Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 655 | 608,655 | |
Oportun Issuance Trust: | |||
Series 2021-B, Class C, 3.65%, 5/8/31(1) | 976 | 910,139 |
Security | Principal Amount (000's omitted)* | Value | |
Oportun Issuance Trust: (continued) | |||
Series 2021-C, Class B, 2.67%, 10/8/31(1) | 2,995 | $ 2,738,318 | |
Series 2021-C, Class C, 3.61%, 10/8/31(1) | 470 | 420,377 | |
Series 2022-2, Class C, 9.36%, 10/9/29(1) | 1,991 | 1,994,646 | |
Pagaya AI Debt Selection Trust: | |||
Series 2021-2, 3.00%, 1/25/29(1) | 354 | 344,517 | |
Series 2021-3, Class C, 3.27%, 5/15/29(1) | 3,950 | 3,326,653 | |
Series 2021-5, Class C, 3.93%, 8/15/29(1) | 1,262 | 1,121,832 | |
Planet Fitness Master Issuer, LLC: | |||
Series 2018-1A, Class A2II, 4.666%, 9/5/48(1) | 336 | 329,157 | |
Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 518 | 458,001 | |
Prodigy Finance, Series 2021-1A, Class C, 9.22%, (1 mo. SOFR + 3.864%), 7/25/51(1)(3) | 340 | 340,251 | |
Retained Vantage Data Centers Issuer, LLC: | |||
Series 2023-1A, Class A2B, 5.25%, 9/15/48(1) | CAD | 1,452 | 1,025,605 |
Series 2023-1A, Class B, 5.75%, 9/15/48(1) | 1,466 | 1,361,119 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 187 | 163,746 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 405 | 331,824 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 1,633 | 1,540,363 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 1,319 | 1,247,525 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 200 | 194,223 | |
Series 2021-1A, Class A2, 1.877%, 3/26/46(1) | 465 | 424,230 | |
Sunnova Helios V Issuer, LLC, Series 2021-A, Class B, 3.15%, 2/20/48(1) | 1,313 | 1,061,976 | |
Sunnova Helios X Issuer, LLC, Series 2022-C, Class B, 5.60%, 11/22/49(1) | 1,124 | 1,080,065 | |
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class B, 5.47%, 11/1/55(1) | 598 | 493,156 | |
Sunnova Sol Issuer, LLC, Series 2020-1A, Class B, 5.54%, 2/1/55(1) | 2,431 | 2,090,125 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 148 | 138,635 | |
Theorem Funding Trust, Series 2021-1A, Class B, 1.84%, 12/15/27(1) | 460 | 456,745 | |
Thunderbolt Aircraft Lease, Ltd., Series 2017-A, Class C, 4.50%, 5/17/32(1) | 353 | 94,310 | |
Upstart Pass-Through Trust, Series 2020-ST1, Class A, 3.75%, 2/20/28(1) | 357 | 354,653 | |
Upstart Securitization Trust, Series 2020-3, Class C, 6.25%, 11/20/30(1) | 1,248 | 1,247,523 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 1,206 | 1,184,278 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 820 | 714,127 | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | 215 | 184,961 | |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 127 | 100,735 |
Security | Principal Amount (000's omitted)* | Value | |
Willis Engine Structured Trust VII, Series 2023-A, Class A, 8.00%, 10/15/48(1) | 664 | $ 662,157 | |
Total Asset-Backed Securities (identified cost $55,814,725) | $ 50,667,570 |
Collateralized Mortgage Obligations — 8.4% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd., Series 2021-3A, Class M1B, 6.737%, (30-day average SOFR + 1.40%), 9/25/31(1)(3) | $ | 2,220 | $ 2,196,571 |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(4) | 874 | 794,050 | |
Eagle Re, Ltd., Series 2021-2, Class M1C, 8.787%, (30-day average SOFR + 3.45%), 4/25/34(1)(3) | 861 | 878,001 | |
Federal Home Loan Mortgage Corp., Series 5324, Class MZ, 6.00%, 7/25/53 | 77 | 82,231 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2019-DNA3, Class B2, 13.602%, (30-day average SOFR + 8.264%), 7/25/49(1)(3) | 1,270 | 1,445,318 | |
Series 2019-HQA3, Class B1, 8.452%, (30-day average SOFR + 3.114%), 9/25/49(1)(3) | 410 | 429,689 | |
Series 2019-HQA4, Class B1, 8.402%, (30-day average SOFR + 3.064%), 11/25/49(1)(3) | 268 | 276,858 | |
Series 2020-DNA6, Class B1, 8.337%, (30-day average SOFR + 3.00%), 12/25/50(1)(3) | 275 | 285,953 | |
Series 2020-HQA2, Class B1, 9.552%, (30-day average SOFR + 4.214%), 3/25/50(1)(3) | 569 | 621,667 | |
Series 2021-DNA2, Class B1, 8.737%, (30-day average SOFR + 3.40%), 8/25/33(1)(3) | 815 | 854,125 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2019-R01, Class 2B1, 9.802%, (30-day average SOFR + 4.464%), 7/25/31(1)(3) | 795 | 853,690 | |
Series 2019-R02, Class 1B1, 9.602%, (30-day average SOFR + 4.264%), 8/25/31(1)(3) | 741 | 786,646 | |
Series 2019-R03, Class 1B1, 9.552%, (30-day average SOFR + 4.214%), 9/25/31(1)(3) | 767 | 814,483 | |
Series 2019-R05, Class 1B1, 9.552%, (30-day average SOFR + 4.214%), 7/25/39(1)(3) | 1,023 | 1,068,957 | |
Series 2019-R06, Class 2B1, 9.202%, (30-day average SOFR + 3.864%), 9/25/39(1)(3) | 1,637 | 1,691,352 | |
Series 2019-R07, Class 1B1, 8.852%, (30-day average SOFR + 3.514%), 10/25/39(1)(3) | 1,518 | 1,562,017 | |
Series 2020-R02, Class 2B1, 8.452%, (30-day average SOFR + 3.114%), 1/25/40(1)(3) | 494 | 500,825 | |
Series 2021-R01, Class 1B2, 11.337%, (30-day average SOFR + 6.00%), 10/25/41(1)(3) | 2,287 | 2,359,821 | |
Series 2021-R02, Class 2B1, 8.637%, (30-day average SOFR + 3.30%), 11/25/41(1)(3) | 180 | 182,121 | |
Government National Mortgage Association: | |||
Series 2023-84, Class DL, 6.00%, 6/20/53 | 331 | 347,771 | |
Series 2023-84, Class MW, 6.00%, 6/20/53 | 349 | 366,999 |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: (continued) | |||
Series 2023-98, Class BW, 6.00%, 7/20/53 | $ | 385 | $ 404,799 |
Series 2023-99, Class AL, 6.00%, 7/20/53 | 385 | 404,850 | |
Series 2023-102, Class SG, 2.654%, (22.55% - 30-day average SOFR x 3.727), 7/20/53(5) | 563 | 563,753 | |
Series 2023-133, Class S, 5.587%, (21.60% - 30-day average SOFR x 3.00), 9/20/53(5) | 1,148 | 1,205,816 | |
Series 2023-164, Class EL, 6.00%, 11/20/53 | 450 | 475,827 | |
Series 2023-173, Class AX, 6.00%, 11/20/53 | 395 | 416,975 | |
Home Re, Ltd.: | |||
Series 2018-1, Class M2, 8.47%, (1 mo. SOFR + 3.114%), 10/25/28(1)(3) | 1,535 | 1,553,071 | |
Series 2021-1, Class M2, 8.302%, (30-day average SOFR + 2.964%), 7/25/33(1)(3) | 1,295 | 1,296,963 | |
LHOME Mortgage Trust: | |||
Series 2023-RTL2, Class A1, 8.00% to 1/25/26, 6/25/28(1)(4) | 475 | 479,820 | |
Series 2023-RTL3, Class A1, 8.00% to 3/25/26, 8/25/28(1)(4) | 485 | 490,174 | |
Series 2023-RTL4, Class A1, 7.628% to 8/25/25, 11/25/28(1)(4) | 440 | 441,646 | |
PNMAC GMSR Issuer Trust: | |||
2024 Participation, 11.13%, (30-day average SOFR + 5.75%), 12/24/24(3) | 129 | 129,310 | |
Series 2018-GT2, Class A, 8.871%, (1 mo. SOFR + 3.515%), 8/25/25(1)(3) | 327 | 327,055 | |
Series 2021-FT1, Class A, 8.471%, (1 mo. SOFR + 3.115%), 3/25/26(1)(3) | 500 | 494,534 | |
Series 2022-FT1, Class A, 9.527%, (30-day average SOFR + 4.19%), 6/25/27(1)(3) | 501 | 503,210 | |
Radnor Re, Ltd., Series 2021-2, Class M1A, 7.187%, (30-day average SOFR + 1.85%), 11/25/31(1)(3) | 130 | 130,676 | |
Triangle Re, Ltd., Series 2021-3, Class B1, 10.287%, (30-day average SOFR + 4.95%), 2/25/34(1)(3) | 977 | 986,951 | |
Total Collateralized Mortgage Obligations (identified cost $27,892,987) | $ 28,704,575 |
Commercial Mortgage-Backed Securities — 7.0% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class ENM, 3.719%, 11/5/32(1)(2) | $ | 3,865 | $ 1,372,883 |
Series 2019-BPR, Class FNM, 3.719%, 11/5/32(1)(2) | 1,555 | 384,270 | |
BX Commercial Mortgage Trust, Series 2021-VOLT, Class D, 7.126%, (1 mo. SOFR + 1.764%), 9/15/36(1)(3) | 2,362 | 2,274,449 | |
CSMC: | |||
Series 2021-BPNY, Class A, 9.191%, (1 mo. SOFR + 3.829%), 8/15/26(1)(3) | 1,202 | 1,067,166 | |
Series 2022-CNTR, Class A, 9.306%, (1 mo. SOFR + 3.944%), 1/15/24(1)(3) | 508 | 449,238 | |
Extended Stay America Trust, Series 2021-ESH, Class D, 7.727%, (1 mo. SOFR + 2.364%), 7/15/38(1)(3) | 2,100 | 2,066,918 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 8.702%, (30-day average SOFR + 3.364%), 10/25/49(1)(3) | $ | 1,532 | $ 1,495,453 |
Series 2020-01, Class M10, 9.202%, (30-day average SOFR + 3.864%), 3/25/50(1)(3) | 2,246 | 2,176,906 | |
FS Commercial Mortgage Trust, Series 2023-4SZN, Class A, 7.066%, 11/10/39(1) | 663 | 691,553 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 605 | 85,177 | |
KSL Commercial Mortgage Trust, Series 2023-HT, Class C, 8.789%, (1 mo. SOFR + 3.439%), 12/15/36(1)(3) | 1,259 | 1,258,745 | |
Med Trust: | |||
Series 2021-MDLN, Class E, 8.626%, (1 mo. SOFR + 3.264%), 11/15/38(1)(3) | 980 | 952,730 | |
Series 2021-MDLN, Class F, 9.477%, (1 mo. SOFR + 4.114%), 11/15/38(1)(3) | 1,000 | 961,994 | |
Series 2021-MDLN, Class G, 10.727%, (1 mo. SOFR + 5.364%), 11/15/38(1)(3) | 1,125 | 1,080,348 | |
Morgan Stanley Capital I Trust: | |||
Series 2019-BPR, Class B, 8.035%, (1 mo. SOFR + 2.692%), 5/15/36(1)(3)(6) | 2,621 | 2,543,948 | |
Series 2019-BPR, Class C, 8.985%, (1 mo. SOFR + 3.642%), 5/15/36(1)(3)(6) | 960 | 922,057 | |
ORL Trust, Series 2023-GLKS, Class A, 7.712%, (1 mo. SOFR + 2.35%), 10/19/36(1)(3) | 615 | 617,114 | |
VMC Finance, LLC, Series 2021-HT1, Class B, 9.973%, (1 mo. SOFR + 4.614%), 1/18/37(1)(3) | 3,728 | 3,613,671 | |
Total Commercial Mortgage-Backed Securities (identified cost $28,187,689) | $ 24,014,620 |
Corporate Bonds — 39.0% |
Security | Principal Amount* (000’s omitted) | Value | |
Basic Materials — 1.1% | |||
Celanese U.S. Holdings, LLC, 6.35%, 11/15/28 | 1,563 | $ 1,640,659 | |
Compass Minerals International, Inc., 6.75%, 12/1/27(1) | 880 | 872,348 | |
Olympus Water U.S. Holding Corp., 9.75%, 11/15/28(1) | 670 | 711,971 | |
South32 Treasury, Ltd., 4.35%, 4/14/32(1) | 744 | 671,170 | |
$ 3,896,148 | |||
Communications — 3.0% | |||
AT&T, Inc.: | |||
3.55%, 9/15/55 | 1,142 | $ 821,857 | |
3.65%, 6/1/51 | 585 | 441,029 | |
CCO Holdings, LLC/CCO Holdings Capital Corp., 5.00%, 2/1/28(1) | 2,493 | 2,387,204 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital: | |||
4.80%, 3/1/50 | 1,478 | 1,145,975 | |
5.125%, 7/1/49 | 690 | 561,284 |
Security | Principal Amount* (000’s omitted) | Value | |
Communications (continued) | |||
Clear Channel Outdoor Holdings, Inc., 5.125%, 8/15/27(1)(7) | 740 | $ 706,890 | |
Connect Finco S.a.r.l./Connect US Finco, LLC, 6.75%, 10/1/26(1) | 700 | 696,419 | |
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(1) | 725 | 710,837 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 410 | 320,781 | |
SES S.A., 5.30%, 4/4/43(1) | 245 | 185,336 | |
Sprint, LLC, 7.125%, 6/15/24 | 2,184 | 2,194,946 | |
$ 10,172,558 | |||
Consumer, Cyclical — 5.2% | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.50%, 4/20/26(1) | 667 | $ 662,348 | |
Brunswick Corp., 5.10%, 4/1/52 | 2,189 | 1,713,569 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) | 1,457 | 1,433,767 | |
Dick's Sporting Goods, Inc., 4.10%, 1/15/52 | 1,858 | 1,327,085 | |
Ford Motor Co., 4.75%, 1/15/43 | 728 | 601,808 | |
Ford Motor Credit Co., LLC: | |||
5.125%, 6/16/25 | 675 | 666,808 | |
7.122%, 11/7/33 | 605 | 652,179 | |
7.35%, 3/6/30 | 2,592 | 2,786,655 | |
Hyundai Capital America: | |||
5.70%, 6/26/30(1)(7) | 658 | 674,191 | |
6.20%, 9/21/30(1) | 325 | 342,481 | |
6.50%, 1/16/29(1) | 829 | 875,859 | |
Lithia Motors, Inc., 4.375%, 1/15/31(1) | 1,022 | 930,071 | |
PetSmart, Inc./PetSmart Finance Corp., 4.75%, 2/15/28(1) | 725 | 684,055 | |
Sonic Automotive, Inc., 4.625%, 11/15/29(1)(7) | 800 | 729,005 | |
Tapestry, Inc.: | |||
7.00%, 11/27/26 | 481 | 498,850 | |
7.35%, 11/27/28 | 1,341 | 1,407,551 | |
WarnerMedia Holdings, Inc.: | |||
5.05%, 3/15/42 | 1,762 | 1,554,225 | |
5.141%, 3/15/52 | 579 | 497,330 | |
$ 18,037,837 | |||
Consumer, Non-cyclical — 2.1% | |||
Ashtead Capital, Inc.: | |||
4.25%, 11/1/29(1) | 514 | $ 480,533 | |
5.95%, 10/15/33(1) | 1,455 | 1,483,560 | |
Centene Corp.: | |||
3.375%, 2/15/30 | 669 | 601,087 | |
4.25%, 12/15/27 | 897 | 864,989 | |
4.625%, 12/15/29 | 543 | 521,270 | |
Legacy LifePoint Health, LLC, 4.375%, 2/15/27(1)(7) | 799 | 738,531 | |
Smithfield Foods, Inc.: | |||
2.625%, 9/13/31(1) | 687 | 531,953 | |
5.20%, 4/1/29(1) | 595 | 570,327 | |
US Acute Care Solutions, LLC, 6.375%, 3/1/26(1)(7) | 760 | 635,892 |
Security | Principal Amount* (000’s omitted) | Value | |
Consumer, Non-cyclical (continued) | |||
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(1)(7) | 710 | $ 684,019 | |
$ 7,112,161 | |||
Diversified — 0.3% | |||
Inversiones La Construccion S.A., 4.75%, 2/7/32(8) | 1,373 | $ 1,161,052 | |
$ 1,161,052 | |||
Energy — 0.7% | |||
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(1) | 1,134 | $ 559,755 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(1) | 676 | 670,450 | |
TerraForm Power Operating, LLC, 4.75%, 1/15/30(1) | 1,095 | 1,019,560 | |
$ 2,249,765 | |||
Financial — 22.5% | |||
ABN AMRO Bank NV, 6.339% to 9/18/26, 9/18/27(1)(9) | 700 | $ 715,751 | |
AerCap Holdings N.V., 5.875% to 10/10/24, 10/10/79(7)(9) | 173 | 171,014 | |
AIB Group PLC, 6.608% to 9/13/28, 9/13/29(1)(9) | 845 | 891,139 | |
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) | 925 | 922,688 | |
Ally Financial, Inc.: | |||
2.20%, 11/2/28 | 2,968 | 2,526,331 | |
6.992% to 6/13/28, 6/13/29(9) | 636 | 657,371 | |
American Assets Trust, L.P., 3.375%, 2/1/31 | 1,010 | 824,419 | |
American National Group, LLC, 6.144%, 6/13/32(1) | 1,140 | 1,096,403 | |
ASR Nederland N.V., 7.00% to 9/7/33, 12/7/43(8)(9) | EUR | 930 | 1,161,392 |
Aviation Capital Group, LLC: | |||
6.25%, 4/15/28(1) | 2,136 | 2,180,458 | |
6.375%, 7/15/30(1) | 655 | 675,152 | |
Banco Santander S.A.: | |||
6.921%, 8/8/33 | 1,800 | 1,920,037 | |
9.625% to 11/21/28(7)(9)(10) | 1,000 | 1,073,942 | |
Bank Leumi Le-Israel BM, 7.129% to 4/18/28, 7/18/33(1)(8)(9) | 942 | 927,512 | |
Bank of America Corp.: | |||
4.571% to 4/27/32, 4/27/33(9) | 1,410 | 1,344,671 | |
5.872% to 9/15/33, 9/15/34(9) | 2,543 | 2,663,502 | |
Bank of Montreal, 5.266%, 12/11/26 | 1,730 | 1,754,582 | |
Bank of Nova Scotia (The), 4.90% to 6/4/25(9)(10) | 1,218 | 1,166,420 | |
BBVA Bancomer S.A./Texas: | |||
5.125% to 1/18/28, 1/18/33(1)(9) | 1,538 | 1,394,728 | |
8.45% to 6/29/33, 6/29/38(1)(9) | 722 | 770,457 | |
BNP Paribas S.A.: | |||
7.75% to 8/16/29(1)(9)(10) | 733 | 750,057 | |
8.50% to 8/14/28(1)(9)(10) | 975 | 1,023,481 | |
9.25% to 11/17/27(1)(9)(10) | 592 | 634,544 | |
Broadstone Net Lease, LLC, 2.60%, 9/15/31 | 305 | 236,769 | |
CaixaBank S.A.: | |||
6.208% to 1/18/28, 1/18/29(1)(9) | 1,160 | 1,184,251 | |
6.84% to 9/13/33, 9/13/34(1)(9) | 260 | 274,814 |
Security | Principal Amount* (000’s omitted) | Value | |
Financial (continued) | |||
CBRE Services, Inc., 5.95%, 8/15/34 | 1,220 | $ 1,282,834 | |
Charles Schwab Corp. (The), 5.875%, 8/24/26 | 801 | 821,825 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 1,140 | 901,434 | |
4.10%, 6/15/51 | 2,137 | 1,256,731 | |
Citigroup, Inc., 4.00% to 12/10/25(9)(10) | 659 | 608,199 | |
Corporate Office Properties, L.P., 2.90%, 12/1/33 | 1,055 | 824,764 | |
Danske Bank A/S, 5.375%, 1/12/24(1) | 1,579 | 1,578,670 | |
Discover Bank, 5.974%, 8/9/28 | 971 | 936,195 | |
EPR Properties: | |||
3.75%, 8/15/29 | 1,848 | 1,627,587 | |
4.95%, 4/15/28 | 1,801 | 1,710,126 | |
Global Atlantic Fin Co., 3.125%, 6/15/31(1) | 3,184 | 2,611,372 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 2,804 | 2,637,145 | |
6.00%, 4/15/25(1) | 774 | 772,622 | |
HSBC Holdings PLC: | |||
6.161% to 3/9/28, 3/9/29(9) | 759 | 784,251 | |
7.39% to 11/3/27, 11/3/28(9) | 1,830 | 1,962,092 | |
Intesa Sanpaolo SpA: | |||
7.778% to 6/20/53, 6/20/54(1)(9) | 800 | 825,852 | |
8.248% to 11/21/32, 11/21/33(1)(9) | 1,524 | 1,655,016 | |
KeyBank N.A.: | |||
4.15%, 8/8/25 | 1,055 | 1,023,323 | |
5.85%, 11/15/27 | 1,428 | 1,427,992 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(9) | 1,457 | 1,223,669 | |
LPL Holdings, Inc., 6.75%, 11/17/28 | 780 | 831,983 | |
Oaktree Strategic Credit Fund, 8.40%, 11/14/28(1) | 1,685 | 1,776,724 | |
PNC Financial Services Group, Inc. (The), Series W, 6.25% to 3/15/30(9)(10) | 2,194 | 2,050,661 | |
Rocket Mortgage, LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/1/31(1) | 1,627 | 1,433,015 | |
Sun Communities Operating, L.P., 2.70%, 7/15/31 | 1,211 | 1,009,937 | |
Synchrony Bank, 5.40%, 8/22/25 | 650 | 640,606 | |
Synchrony Financial, 4.875%, 6/13/25 | 292 | 287,257 | |
Synovus Bank/Columbus, GA: | |||
4.00% to 10/29/25, 10/29/30(9) | 729 | 596,006 | |
5.625%, 2/15/28 | 1,199 | 1,152,927 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(9) | 981 | 851,862 | |
Toronto-Dominion Bank (The), 8.125% to 10/31/27, 10/31/82(9) | 2,420 | 2,524,759 | |
Truist Financial Corp.: | |||
5.10% to 3/1/30(9)(10) | 868 | 790,926 | |
6.123% to 10/28/32, 10/28/33(9) | 1,596 | 1,658,074 | |
U.S. Bancorp: | |||
5.836% to 6/10/33, 6/12/34(9) | 887 | 915,356 | |
5.85% to 10/21/32, 10/21/33(9) | 525 | 541,190 | |
UBS Group AG: | |||
4.375% to 2/10/31(1)(9)(10) | 534 | 423,077 | |
6.442% to 8/11/27, 8/11/28(1)(9) | 875 | 909,252 |
Security | Principal Amount* (000’s omitted) | Value | |
Financial (continued) | |||
UBS Group AG: (continued) | |||
9.25% to 11/13/28(1)(9)(10) | 1,470 | $ 1,589,477 | |
UniCredit SpA: | |||
5.459% to 6/30/30, 6/30/35(1)(9) | 732 | 689,318 | |
5.861% to 6/19/27, 6/19/32(1)(9) | 1,386 | 1,357,503 | |
$ 77,443,494 | |||
Government - Multinational — 0.4% | |||
International Bank for Reconstruction & Development, 8.50%, 4/6/26 | MXN | 26,700 | $ 1,541,323 |
$ 1,541,323 | |||
Industrial — 0.6% | |||
Cemex SAB de CV, 9.125% to 3/14/28(1)(9)(10) | 1,002 | $ 1,068,382 | |
Seaspan Corp., 5.50%, 8/1/29(1) | 240 | 200,988 | |
Trivium Packaging Finance B.V., 5.50%, 8/15/26(1) | 876 | 860,367 | |
$ 2,129,737 | |||
Technology — 2.7% | |||
Concentrix Corp.: | |||
6.60%, 8/2/28 | 2,584 | $ 2,660,315 | |
6.85%, 8/2/33 | 763 | 785,317 | |
Foundry JV Holdco, LLC, 5.875%, 1/25/34(1) | 1,305 | 1,341,904 | |
Kyndryl Holdings, Inc.: | |||
2.70%, 10/15/28 | 1,930 | 1,702,807 | |
3.15%, 10/15/31 | 1,982 | 1,657,675 | |
4.10%, 10/15/41 | 125 | 93,980 | |
Seagate HDD Cayman, 5.75%, 12/1/34 | 979 | 941,929 | |
$ 9,183,927 | |||
Utilities — 0.4% | |||
Clearway Energy Operating, LLC, 3.75%, 1/15/32(1) | 401 | $ 349,815 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 910 | 861,446 | |
$ 1,211,261 | |||
Total Corporate Bonds (identified cost $133,559,092) | $134,139,263 |
High Social Impact Investments — 0.1% |
Security | Principal Amount (000's omitted) | Value | |
Calvert Impact Capital, Inc., Community Investment Notes, 5.00%, 12/15/28(11)(12) | $ | 500 | $ 498,860 |
Total High Social Impact Investments (identified cost $500,000) | $ 498,860 |
Mutual Funds — 0.2% |
Security | Shares | Value | |
Fixed-Income Mutual Funds — 0.2% | |||
Calvert Floating-Rate Advantage Fund, Class R6(13) | 77,929 | $ 699,799 | |
Total Mutual Funds (identified cost $715,385) | $ 699,799 |
Preferred Stocks — 0.4% |
Security | Shares | Value | |
Real Estate Management & Development — 0.2% | |||
Brookfield Property Partners, L.P., Series A, 5.75% | 77,941 | $ 895,542 | |
$ 895,542 | |||
Wireless Telecommunication Services — 0.2% | |||
United States Cellular Corp.: | |||
5.50% | 12,947 | $ 231,104 | |
6.25% (7) | 17,000 | 330,650 | |
$ 561,754 | |||
Total Preferred Stocks (identified cost $2,721,000) | $ 1,457,296 |
Senior Floating-Rate Loans — 0.1%(14) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Diversified Telecommunication Services — 0.1% | |||
CenturyLink, Inc., Term Loan, 7.72%, (SOFR + 2.25%), 3/15/27 | $ | 497 | $ 340,283 |
Total Senior Floating-Rate Loans (identified cost $496,490) | $ 340,283 |
U.S. Government Agency Mortgage-Backed Securities — 10.7% |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: | |||
4.00%, 30-Year, TBA(15) | $ | 3,200 | $ 3,029,499 |
4.50%, 30-Year, TBA(15) | 7,786 | 7,556,066 | |
5.00%, 30-Year, TBA(15) | 26,491 | 26,234,355 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $36,294,959) | $ 36,819,920 |
U.S. Treasury Obligations — 18.6% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds, 3.375%, 8/15/42 | $ | 1,143 | $ 1,019,659 |
U.S. Treasury Notes: | |||
0.375%, 12/31/25 | 8,420 | 7,804,287 | |
2.125%, 3/31/24 | 11,000 | 10,912,475 | |
2.25%, 3/31/24 | 25,350 | 25,161,169 | |
2.75%, 4/30/27 | 1,000 | 962,051 | |
3.625%, 5/15/26 | 360 | 355,894 | |
3.625%, 5/31/28 | 2,740 | 2,711,369 | |
3.875%, 3/31/25 | 2,400 | 2,379,375 | |
4.375%, 11/30/28 | 2,500 | 2,558,594 | |
4.375%, 11/30/30 | 2,325 | 2,391,299 | |
4.50%, 11/15/25 | 1,384 | 1,388,839 | |
4.625%, 9/15/26 | 657 | 666,226 | |
4.875%, 11/30/25 | 3,025 | 3,056,550 | |
4.875%, 10/31/28 | 2,500 | 2,610,156 | |
Total U.S. Treasury Obligations (identified cost $64,023,610) | $ 63,977,943 |
Short-Term Investments — 14.1% | |||
Affiliated Fund — 1.5% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(16) | 5,180,055 | $ 5,180,055 | |
Total Affiliated Fund (identified cost $5,180,055) | $ 5,180,055 |
Securities Lending Collateral — 5.6% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 5.36%(17) | 19,142,506 | $ 19,142,506 | |
Total Securities Lending Collateral (identified cost $19,142,506) | $ 19,142,506 |
U.S. Treasury Obligations — 7.0% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 5/16/24 | $ | 7,229 | $ 7,090,529 |
U.S. Treasury Obligations (continued) | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: (continued) | |||
0.00%, 6/13/24(7) | $ | 17,365 | $ 16,968,249 |
Total U.S. Treasury Obligations (identified cost $24,047,034) | $ 24,058,778 | ||
Total Short-Term Investments (identified cost $48,369,595) | $ 48,381,339 | ||
Total Investments — 113.3% (identified cost $398,575,532) | $389,701,468 |
Other Assets, Less Liabilities — (13.3)% | $ (45,758,357) | ||
Net Assets — 100.0% | $ 343,943,111 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
* | In U.S. dollars unless otherwise indicated. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At December 31, 2023, the aggregate value of these securities is $157,564,796 or 45.8% of the Fund's net assets. |
(2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at December 31, 2023. |
(3) | Variable rate security. The stated interest rate represents the rate in effect at December 31, 2023. |
(4) | Step coupon security. Interest rate represents the rate in effect at December 31, 2023. |
(5) | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at December 31, 2023. |
(6) | Represents an investment in an issuer that may be deemed to be an affiliate (see Note 8). |
(7) | All or a portion of this security was on loan at December 31, 2023. The aggregate market value of securities on loan at December 31, 2023 was $18,783,351. |
(8) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At December 31, 2023, the aggregate value of these securities is $3,249,956 or 0.9% of the Fund's net assets. |
(9) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(10) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(11) | May be deemed to be an affiliated company (see Note 8). |
(12) | Restricted security. Total market value of restricted securities amounts to $498,860, which represents 0.1% of the net assets of the Fund as of December 31, 2023. |
(13) | Affiliated fund (see Note 8). |
(14) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(15) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(16) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of December 31, 2023. |
(17) | Represents investment of cash collateral received in connection with securities lending. |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
BRL | 8,051,441 | USD | 1,628,725 | State Street Bank and Trust Company | 2/8/24 | $ 25,125 | $ — |
USD | 2,044,690 | CAD | 2,791,745 | Citibank, N.A. | 2/8/24 | — | (63,295) |
USD | 1,060,661 | EUR | 983,953 | UBS AG | 2/8/24 | — | (27,107) |
$25,125 | $(90,402) |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 130 | Long | 3/28/24 | $ 26,768,828 | $ 294,315 |
U.S. 5-Year Treasury Note | 35 | Long | 3/28/24 | 3,807,070 | 7,333 |
U.S. Long Treasury Bond | 29 | Long | 3/19/24 | 3,623,188 | 267,969 |
U.S. Ultra 10-Year Treasury Note | (182) | Short | 3/19/24 | (21,478,844) | (873,937) |
U.S. Ultra-Long Treasury Bond | (45) | Short | 3/19/24 | (6,011,719) | (551,688) |
$(856,008) |
Description | Acquisition Date | Cost |
Calvert Impact Capital, Inc., Community Investment Notes, 5.00%, 12/15/28 | 12/15/23 | $500,000 |
Abbreviations: | |
OTC | – Over-the-counter |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
EUR | – Euro |
MXN | – Mexican Peso |
USD | – United States Dollar |
December 31, 2023 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $388,640,930) - including $18,783,351 of securities on loan | $ 379,856,749 |
Investments in securities of affiliated issuers, at value (identified cost $9,934,602) | 9,844,719 |
Receivable for variation margin on open futures contracts | 54,829 |
Receivable for open forward foreign currency exchange contracts | 25,125 |
Cash | 34,412 |
Cash denominated in foreign currency, at value (cost $1,218) | 1,213 |
Deposits at broker for futures contracts | 839,000 |
Deposits for forward commitment securities | 250,000 |
Receivable for investments sold | 8,104,800 |
Receivable for capital shares sold | 434,908 |
Due from broker | 6,989,701 |
Dividends and interest receivable | 2,640,672 |
Dividends receivable - affiliated | 75,149 |
Securities lending income receivable | 893 |
Tax reclaims receivable | 4,126 |
Receivable from affiliates | 23,719 |
Trustees' deferred compensation plan | 113,815 |
Total assets | $409,293,830 |
Liabilities | |
Cash collateral due to broker | $ 250,000 |
Payable for open forward foreign currency exchange contracts | 90,402 |
Payable for forward commitment securities | 44,385,521 |
Payable for capital shares redeemed | 1,002,405 |
Distributions payable | 46,815 |
Deposits for securities loaned | 19,142,506 |
Payable to affiliates: | |
Investment advisory fee | 99,594 |
Administrative fee | 34,757 |
Distribution and service fees | 9,020 |
Sub-transfer agency fee | 2,518 |
Trustees' deferred compensation plan | 113,815 |
Accrued expenses | 173,366 |
Total liabilities | $ 65,350,719 |
Net Assets | $343,943,111 |
Sources of Net Assets | |
Paid-in capital | $ 360,095,480 |
Accumulated loss | (16,152,369) |
Net Assets | $343,943,111 |
Class A Shares | |
Net Assets | $ 36,833,968 |
Shares Outstanding | 2,546,528 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 14.46 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 14.95 |
December 31, 2023 | |
Class C Shares | |
Net Assets | $ 1,617,620 |
Shares Outstanding | 111,761 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 14.47 |
Class I Shares | |
Net Assets | $ 273,494,737 |
Shares Outstanding | 18,961,106 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 14.42 |
Class R6 Shares | |
Net Assets | $ 31,996,786 |
Shares Outstanding | 2,217,525 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 14.43 |
On sales of $100,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Year Ended | |
December 31, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $11,363) | $ 220,748 |
Dividend income - affiliated issuers | 519,671 |
Interest and other income (net of foreign taxes withheld of $648) | 18,121,606 |
Interest income - affiliated issuers | 292,195 |
Securities lending income, net | 22,693 |
Total investment income | $19,176,913 |
Expenses | |
Investment advisory fee | $ 1,115,721 |
Administrative fee | 382,533 |
Distribution and service fees: | |
Class A | 81,825 |
Class C | 14,485 |
Trustees' fees and expenses | 22,020 |
Custodian fees | 18,229 |
Transfer agency fees and expenses | 313,600 |
Accounting fees | 74,452 |
Professional fees | 54,970 |
Registration fees | 74,857 |
Reports to shareholders | 23,600 |
Miscellaneous | 34,442 |
Total expenses | $ 2,210,734 |
Waiver and/or reimbursement of expenses by affiliates | $ (41,594) |
Net expenses | $ 2,169,140 |
Net investment income | $17,007,773 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ (5,358,450) |
Futures contracts | 3,610,459 |
Swap contracts | (138,651) |
Foreign currency transactions | (12,859) |
Forward foreign currency exchange contracts | (158,318) |
Net realized loss | $ (2,057,819) |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 13,038,832 |
Investment securities - affiliated issuers | 166,915 |
Futures contracts | (1,048,613) |
Swap contracts | 79,417 |
Foreign currency | 2,546 |
Forward foreign currency exchange contracts | (80,239) |
Net change in unrealized appreciation (depreciation) | $12,158,858 |
Net realized and unrealized gain | $10,101,039 |
Net increase in net assets from operations | $27,108,812 |
Year Ended December 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 17,007,773 | $ 10,162,124 |
Net realized gain (loss) | (2,057,819) | 1,643,810 |
Net change in unrealized appreciation (depreciation) | 12,158,858 | (22,842,278) |
Net increase (decrease) in net assets from operations | $ 27,108,812 | $ (11,036,344) |
Distributions to shareholders: | ||
Class A | $ (1,689,743) | $ (1,489,680) |
Class C | (64,015) | (55,118) |
Class I | (13,466,350) | (11,841,571) |
Class R6 | (1,951,486) | (2,085,100) |
Total distributions to shareholders | $ (17,171,594) | $ (15,471,469) |
Capital share transactions: | ||
Class A | $ 5,221,113 | $ 2,440,479 |
Class C | 241,288 | 195,911 |
Class I | 35,789,147 | 49,617,804 |
Class R6 | (7,126,709) | (5,718,427) |
Net increase in net assets from capital share transactions | $ 34,124,839 | $ 46,535,767 |
Net increase in net assets | $ 44,062,057 | $ 20,027,954 |
Net Assets | ||
At beginning of year | $ 299,881,054 | $ 279,853,100 |
At end of year | $343,943,111 | $299,881,054 |
Class A | |||||
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 14.04 | $ 15.35 | $ 15.31 | $ 15.15 | $ 14.64 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.72 | $ 0.46 | $ 0.34 | $ 0.40 | $ 0.46 |
Net realized and unrealized gain (loss) | 0.43 | (1.05) | 0.21 | 0.16 | 0.52 |
Total income (loss) from operations | $ 1.15 | $ (0.59) | $ 0.55 | $ 0.56 | $ 0.98 |
Less Distributions | |||||
From net investment income | $ (0.73) | $ (0.47) | $ (0.34) | $ (0.39) | $ (0.47) |
From net realized gain | — | (0.25) | (0.17) | — | — |
Tax return of capital | — | — | — | (0.01) | — |
Total distributions | $ (0.73) | $ (0.72) | $ (0.51) | $ (0.40) | $ (0.47) |
Net asset value — End of year | $ 14.46 | $ 14.04 | $ 15.35 | $ 15.31 | $ 15.15 |
Total Return(2) | 8.42% | (3.88)% | 3.62% | 3.86% | 6.76% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $36,834 | $30,574 | $30,844 | $23,704 | $26,711 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.92% | 0.92% | 0.92% | 0.93% | 0.96% |
Net expenses | 0.91% (4) | 0.91% (4) | 0.90% | 0.92% | 0.94% |
Net investment income | 5.11% | 3.17% | 2.18% | 2.70% | 3.05% |
Portfolio Turnover | 181% (5) | 93% (5) | 96% (5) | 104% (5) | 87% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended December 31, 2023 and 2022). |
(5) | Includes the effect of To Be Announced (TBA) transactions. |
Class C | |||||
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 14.05 | $ 15.35 | $ 15.32 | $ 15.16 | $ 14.65 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.62 | $ 0.36 | $ 0.22 | $ 0.29 | $ 0.35 |
Net realized and unrealized gain (loss) | 0.42 | (1.05) | 0.21 | 0.16 | 0.52 |
Total income (loss) from operations | $ 1.04 | $ (0.69) | $ 0.43 | $ 0.45 | $ 0.87 |
Less Distributions | |||||
From net investment income | $ (0.62) | $ (0.36) | $ (0.23) | $ (0.28) | $ (0.36) |
From net realized gain | — | (0.25) | (0.17) | — | — |
Tax return of capital | — | — | — | (0.01) | — |
Total distributions | $ (0.62) | $ (0.61) | $ (0.40) | $ (0.29) | $ (0.36) |
Net asset value — End of year | $14.47 | $14.05 | $15.35 | $15.32 | $15.16 |
Total Return(2) | 7.61% | (4.53)% | 2.77% | 3.08% | 6.03% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 1,618 | $ 1,333 | $ 1,249 | $ 1,223 | $ 1,031 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 1.67% | 1.67% | 1.67% | 1.68% | 1.71% |
Net expenses | 1.66% (4) | 1.66% (4) | 1.65% | 1.67% | 1.70% |
Net investment income | 4.37% | 2.46% | 1.42% | 1.95% | 2.30% |
Portfolio Turnover | 181% (5) | 93% (5) | 96% (5) | 104% (5) | 87% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended December 31, 2023 and 2022). |
(5) | Includes the effect of To Be Announced (TBA) transactions. |
Class I | |||||
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 14.00 | $ 15.30 | $ 15.27 | $ 15.11 | $ 14.60 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.76 | $ 0.50 | $ 0.38 | $ 0.43 | $ 0.50 |
Net realized and unrealized gain (loss) | 0.42 | (1.05) | 0.20 | 0.17 | 0.52 |
Total income (loss) from operations | $ 1.18 | $ (0.55) | $ 0.58 | $ 0.60 | $ 1.02 |
Less Distributions | |||||
From net investment income | $ (0.76) | $ (0.50) | $ (0.38) | $ (0.43) | $ (0.51) |
From net realized gain | — | (0.25) | (0.17) | — | — |
Tax return of capital | — | — | — | (0.01) | — |
Total distributions | $ (0.76) | $ (0.75) | $ (0.55) | $ (0.44) | $ (0.51) |
Net asset value — End of year | $ 14.42 | $ 14.00 | $ 15.30 | $ 15.27 | $ 15.11 |
Total Return(2) | 8.70% | (3.60)% | 3.81% | 4.12% | 7.06% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $273,495 | $229,808 | $200,170 | $149,364 | $132,062 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.67% | 0.67% | 0.67% | 0.68% | 0.71% |
Net expenses | 0.66% (4) | 0.66% (4) | 0.65% | 0.67% | 0.67% |
Net investment income | 5.35% | 3.43% | 2.42% | 2.95% | 3.32% |
Portfolio Turnover | 181% (5) | 93% (5) | 96% (5) | 104% (5) | 87% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended December 31, 2023 and 2022). |
(5) | Includes the effect of To Be Announced (TBA) transactions. |
Class R6 | |||||
Year Ended December 31, | Period Ended December 31, 2019(1) | ||||
2023 | 2022 | 2021 | 2020 | ||
Net asset value — Beginning of period | $ 14.01 | $ 15.31 | $ 15.27 | $ 15.11 | $ 15.00 |
Income (Loss) From Operations | |||||
Net investment income | $ 0.77(2) | $ 0.51(2) | $ 0.39(2) | $ 0.44(2) | $ 0.33 |
Net realized and unrealized gain (loss) | 0.43 | (1.04) | 0.21 | 0.17 | 0.11 |
Total income (loss) from operations | $ 1.20 | $ (0.53) | $ 0.60 | $ 0.61 | $ 0.44 |
Less Distributions | |||||
From net investment income | $ (0.78) | $ (0.52) | $ (0.39) | $ (0.44) | $ (0.33) |
From net realized gain | — | (0.25) | (0.17) | — | — |
From return of capital | — | — | — | (0.01) | — |
Total distributions | $ (0.78) | $ (0.77) | $ (0.56) | $ (0.45) | $ (0.33) |
Net asset value — End of period | $ 14.43 | $ 14.01 | $ 15.31 | $ 15.27 | $ 15.11 |
Total Return(3) | 8.80% | (3.49)% | 3.96% | 4.20% | 2.97% (4) |
Ratios/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $31,997 | $38,166 | $47,590 | $30,102 | $41,304 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Total expenses | 0.57% | 0.57% | 0.59% | 0.60% | 0.61% (6) |
Net expenses | 0.57% (7) | 0.56% (7) | 0.57% | 0.59% | 0.61% (6) |
Net investment income | 5.43% | 3.48% | 2.49% | 3.05% | 3.27% (6) |
Portfolio Turnover | 181% (8) | 93% (8) | 96% (8) | 104% (8) | 87% (9) |
(1) | For the period from the commencement of operations, May 1, 2019, to December 31, 2019. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended December 31, 2023 and 2022). |
(8) | Includes the effect of To Be Announced (TBA) transactions. |
(9) | For the year ended December 31, 2019. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 50,667,570 | $ — | $ 50,667,570 |
Collateralized Mortgage Obligations | — | 28,704,575 | — | 28,704,575 |
Commercial Mortgage-Backed Securities | — | 24,014,620 | — | 24,014,620 |
Corporate Bonds | — | 134,139,263 | — | 134,139,263 |
High Social Impact Investments | — | 498,860 | — | 498,860 |
Mutual Funds | 699,799 | — | — | 699,799 |
Preferred Stocks | 1,457,296 | — | — | 1,457,296 |
Senior Floating-Rate Loans | — | 340,283 | — | 340,283 |
U.S. Government Agency Mortgage-Backed Securities | — | 36,819,920 | — | 36,819,920 |
U.S. Treasury Obligations | — | 63,977,943 | — | 63,977,943 |
Short-Term Investments: | ||||
Affiliated Fund | 5,180,055 | — | — | 5,180,055 |
Securities Lending Collateral | 19,142,506 | — | — | 19,142,506 |
U.S. Treasury Obligations | — | 24,058,778 | — | 24,058,778 |
Total Investments | $26,479,656 | $363,221,812 | $ — | $389,701,468 |
Forward Foreign Currency Exchange Contracts | $ — | $ 25,125 | $ — | $ 25,125 |
Futures Contracts | 569,617 | — | — | 569,617 |
Total | $27,049,273 | $363,246,937 | $ — | $390,296,210 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (90,402) | $ — | $ (90,402) |
Futures Contracts | (1,425,625) | — | — | (1,425,625) |
Total | $ (1,425,625) | $ (90,402) | $ — | $ (1,516,027) |
Year Ended December 31, | ||
2023 | 2022 | |
Ordinary income | $17,171,594 | $11,790,379 |
Long-term capital gains | $ — | $ 3,681,090 |
Deferred capital losses | $ (7,014,833) |
Late year ordinary losses | (62,411) |
Net unrealized depreciation | (9,028,310) |
Distributions payable | (46,815) |
Accumulated loss | $(16,152,369) |
Aggregate cost | $398,732,327 |
Gross unrealized appreciation | $ 6,388,463 |
Gross unrealized depreciation | (15,419,322) |
Net unrealized depreciation | $ (9,030,859) |
counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow the counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreement(s), which would cause the counterparty to accelerate payment by the Fund of any net liability owed to it.
Risk | Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities |
Foreign exchange | Forward foreign currency exchange contracts | Receivable/Payable for open forward foreign currency exchange contracts | $ 25,125 | $ (90,402) |
Interest rate | Futures contracts | Accumulated loss | 569,617 (1) | (1,425,625) (1) |
Total | $594,742 | $(1,516,027) | ||
Derivatives not subject to master netting agreements | $569,617 | $(1,425,625) | ||
Total Derivatives subject to master netting agreements | $ 25,125 | $ (90,402) |
(1) | Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
State Street Bank and Trust Company | $25,125 | $ — | $ — | $ — | $25,125 |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) |
Citibank, N.A. | $ (63,295) | $ — | $ — | $ — | $ (63,295) |
UBS AG | (27,107) | — | — | — | (27,107) |
$(90,402) | $ — | $ — | $ — | $(90,402) |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Statement of Operations Caption | Credit | Foreign exchange | Interest rate | Total |
Net realized gain (loss): | ||||
Investment securities(1) | $ — | $ — | $ (51,311) | $ (51,311) |
Forward foreign currency exchange contracts | — | (158,318) | — | (158,318) |
Futures contracts | — | — | 3,610,459 | 3,610,459 |
Swap contracts | (138,651) | — | — | (138,651) |
Total | $(138,651) | $(158,318) | $ 3,559,148 | $ 3,262,179 |
Change in unrealized appreciation (depreciation): | ||||
Forward foreign currency exchange contracts | $ — | $ (80,239) | $ — | $ (80,239) |
Futures contracts | — | — | (1,048,613) | (1,048,613) |
Swap contracts | 79,417 | — | — | 79,417 |
Total | $ 79,417 | $ (80,239) | $(1,048,613) | $(1,049,435) |
(1) | Relates to purchased options. |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Swap Contracts |
$14,531,000 | $38,622,000 | $3,706,000 | $894,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Corporate Bonds | $ 2,189,320 | $ — | $ — | $ — | $ 2,189,320 |
U.S. Treasury Obligations | 16,953,186 | — | — | — | 16,953,186 |
Total | $19,142,506 | $ — | $ — | $ — | $19,142,506 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2019-BPR, Class B, 8.035%, (1 mo. SOFR+2.692%), 5/15/36 | $2,460,435 | $ — | $ — | $ — | $ 82,239 | $ 2,543,948 | $ 201,378 | $ 2,621,000 |
Series 2019-BPR, Class C, 8.985%, (1 mo. SOFR+3.642%), 5/15/36 | 889,867 | — | — | — | 32,190 | 922,057 | 82,539 | 960,000 |
High Social Impact Investments | ||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(1) | 472,870 | — | (500,000) | — | 27,130 | — | 7,167 | — |
Calvert Impact Capital, Inc., Community Investment Notes, 5.00%, 12/15/28(1) | — | 500,000 | — | — | (1,140) | 498,860 | 1,111 | 500,000 |
Mutual Funds | ||||||||
Calvert Floating-Rate Advantage Fund, Class R6 | 673,303 | — | — | — | 26,496 | 699,799 | 62,475 | 77,929 |
Short-Term Investments | ||||||||
Liquidity Fund | 8,638,859 | 165,090,211 | (168,549,015) | — | — | 5,180,055 | 457,196 | 5,180,055 |
Total | $ — | $166,915 | $9,844,719 | $811,866 |
(1) | Restricted security. |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 815,675 | $ 11,539,613 | 875,234 | $ 12,770,911 | |
Reinvestment of distributions | 113,493 | 1,607,709 | 99,176 | 1,418,438 | |
Shares redeemed | (560,062) | (7,926,209) | (806,982) | (11,748,870) | |
Net increase | 369,106 | $ 5,221,113 | 167,428 | $ 2,440,479 | |
Class C | |||||
Shares sold | 33,234 | $ 472,048 | 26,108 | $ 376,719 | |
Reinvestment of distributions | 4,160 | 58,946 | 3,556 | 50,735 | |
Shares redeemed | (20,507) | (289,706) | (16,108) | (231,543) | |
Net increase | 16,887 | $ 241,288 | 13,556 | $ 195,911 | |
Class I | |||||
Shares sold | 9,293,903 | $ 131,118,322 | 10,697,315 | $ 156,180,870 | |
Reinvestment of distributions | 923,357 | 13,041,608 | 808,594 | 11,534,830 | |
Shares redeemed | (7,668,707) | (108,370,783) | (8,173,320) | (118,097,896) | |
Net increase | 2,548,553 | $ 35,789,147 | 3,332,589 | $ 49,617,804 |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class R6 | |||||
Shares sold | 179,703 | $ 2,534,591 | 137,036 | $ 1,994,843 | |
Reinvestment of distributions | 137,984 | 1,950,799 | 145,846 | 2,084,849 | |
Shares redeemed | (824,846) | (11,612,099) | (667,151) | (9,798,119) | |
Net decrease | (507,159) | $ (7,126,709) | (384,269) | $ (5,718,427) |
Boston, Massachusetts
February 23, 2024
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Von M. Hughes(1) 1969 | Trustee and President | Since 2023 | President and Chief Executive Officer and Managing Director of Calvert Research and Management. Managing Director of Morgan Stanley Investment Management (MSIM) (since 2022). Formerly, Managing Director of PAAMCO Prisma (investment management firm) (2003-2022). Mr. Hughes is an interested person because of his positions with CRM and certain affiliates. Other Directorships. Tradeweb Markets Inc. (financial services) (2021-2022); National Association of Investment Companies (2018-2021). |
Noninterested Trustees | |||
Alice Gresham Bullock 1950 | Chair and Trustee | Since 2016 | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships. None. |
Cari M. Dominguez 1949 | Trustee | Since 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships. ManpowerGroup Inc. (workforce solutions company); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
Karen Fang(2) 1958 | Trustee | Since 2023 | Formerly, Managing Director, Wealth Management at GAMCO Asset Management (asset management firm) (2020-2023). Formerly, Managing Director, Senior Portfolio Manager of Fiduciary Trust Company International (wealth management firm) (1993-2019). Other Directorships. None. |
Miles D. Harper, III 1962 | Trustee | Since 2016 | Private investor (2022-present). Formerly, Partner, Carr Riggs & Ingram (public accounting firm) (2014-2022). Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram) (1999-2014). Other Directorships. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Trustee | Since 2016 | Attorney. Other Directorships. Palm Management Corporation. |
Eddie Ramos(2) 1967 | Trustee | Since 2023 | Private investor (2022-present). Formerly, Head of External Advisors/Diversity Portfolio Management at the New Jersey Division of Investment (2020-2022). Formerly, Chief Investment Officer and Lead Portfolio Manager – Global Fundamental Equities at Cornerstone Capital Management (asset management firm) (2011-2017). Other Directorships. Macquarie Optimum Funds (6) (asset management) (2022-2023). |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Anthony A. Williams 1951 | Trustee | Since 2010 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization); The Howard Hughes Corporation (real estate development); Old Dominion National Bank. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Hope L. Brown 1973 | Chief Compliance Officer | Since 2014 | Chief Compliance Officer of 46 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). |
Deidre E. Walsh 1971 | Secretary, Vice President and Chief Legal Officer | Since 2021 | Vice President of CRM and officer of 46 registered investment companies advised by CRM (since 2021). Also Vice President of Eaton Vance and certain of its affiliates and officer of 127 registered investment companies advised or administered by Eaton Vance. |
James F. Kirchner 1967 | Treasurer | Since 2016 | Vice President of CRM and officer of 46 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 127 registered investment companies advised or administered by Eaton Vance. |
(1) Mr. Hughes is an interested person of the Fund because of his positions with the Fund’s adviser and certain affiliates. | |||
(2) Ms. Fang and Mr. Ramos began serving as Trustees effective October 30, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years | Since Inception |
Class A at NAV | 08/23/1983 | 08/23/1983 | 5.50% | 1.64% | 2.35% | 4.94% |
Class A with 3.25% Maximum Sales Charge | — | — | 2.04 | 0.97 | 2.01 | 4.86 |
Class C at NAV | 07/15/2015 | 07/15/2015 | 4.71 | 0.88 | — | 1.24 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 3.71 | 0.88 | — | 1.24 |
Class I at NAV | 07/15/2015 | 08/23/1983 | 5.75 | 1.90 | 2.60 | 5.01 |
Bloomberg Municipal Bond Index | — | — | 6.40% | 2.25% | 3.03% | 6.06% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
Gross | 0.88% | 1.63% | 0.63% |
Net | 0.75 | 1.50 | 0.50 |
% SEC Yield4 | Class A | Class C | Class I |
SEC 30-day Yield - Subsidized | 2.71% | 2.06% | 3.06% |
SEC 30-day Yield - Unsubsidized | 2.58 | 1.93 | 2.92 |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 07/15/2015 | $11,100 | N.A. |
Class I, at minimum investment | $1,000,000 | 12/31/2013 | $1,292,896 | N.A. |
Credit Quality (% of bonds and municipal obligations)1 |
1 | For purposes of the Fund’s rating restrictions, ratings are based on Moody’s Investors Service, Inc. (“Moody’s”), S&P Global Ratings (“S&P”) or Fitch Ratings (“Fitch”), as applicable. If securities are rated differently by the ratings agencies, the highest rating is applied. 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 or Fitch (Baa or higher by Moody’s) 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 the national ratings agencies stated above. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
1 | Bloomberg Municipal Bond Index is an unmanaged index of municipal bonds traded in the U.S. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class I is linked to Class A. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. Performance presented in the Financial Highlights included in the financial statements is not linked.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/24. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
4 | SEC Yield is a standardized measure based on the estimated yield to maturity of a fund’s investments over a 30-day period and is based on the maximum offer price at the date specified. The SEC Yield is not based on the distributions made by the Fund, which may differ. Subsidized yield reflects the effect of fee waivers and expense reimbursements. |
Fund profile subject to change due to active management. | |
Additional Information | |
Yield curve is a graphical representation of the yields offered by bonds of various maturities. The yield curve flattens when long-term interest rates fall and/or short-term interest rates increase, and the yield curve steepens when long-term interest rates increase and/or short-term interest rates fall. |
Beginning Account Value (7/1/23) | Ending Account Value (12/31/23) | Expenses Paid During Period* (7/1/23 – 12/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,035.10 | $3.85 ** | 0.75% |
Class C | $1,000.00 | $1,031.20 | $7.68 ** | 1.50% |
Class I | $1,000.00 | $1,036.30 | $2.57 ** | 0.50% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,021.42 | $3.82 ** | 0.75% |
Class C | $1,000.00 | $1,017.64 | $7.63 ** | 1.50% |
Class I | $1,000.00 | $1,022.68 | $2.55 ** | 0.50% |
* | Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on June 30, 2023. |
** | Absent a waiver and/or reimbursement of expenses by affiliate(s), expenses would be higher. |
Corporate Bonds — 2.2% |
Security | Principal Amount (000’s omitted) | Value | |
Consumer, Non-cyclical — 0.7% | |||
Conservation Fund (The), 3.474%, 12/15/29 | $ | 3,493 | $ 3,083,478 |
$ 3,083,478 | |||
Other Revenue — 1.5% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | $ | 5,000 | $ 4,154,660 |
Nature Conservancy (The): | |||
Series A, 0.794%, 7/1/25 | 1,450 | 1,357,185 | |
Series A, 0.944%, 7/1/26 | 1,285 | 1,160,423 | |
$ 6,672,268 | |||
Total Corporate Bonds (identified cost $11,161,680) | $ 9,755,746 |
Tax-Exempt Mortgage-Backed Securities — 2.2% |
Security | Principal Amount (000's omitted) | Value | |
Housing — 2.2% | |||
California Housing Finance Agency, Municipal Certificates, Series 2021-1, Class A, 3.50%, 11/20/35 | $ | 4,042 | $ 3,937,794 |
National Finance Authority, NH, Municipal Certificates: | |||
Series 2022-1, Class A, 4.375%, 9/20/36 | 2,943 | 2,974,758 | |
Series 2022-2, Class A, 4.00%, 10/20/36 | 2,953 | 2,901,990 | |
Total Tax-Exempt Mortgage-Backed Securities (identified cost $9,712,599) | $ 9,814,542 |
Tax-Exempt Municipal Obligations — 90.1% |
Security | Principal Amount (000's omitted) | Value | |
Bond Bank — 2.6% | |||
California Infrastructure and Economic Development Bank, (Infrastructure State Revolving Fund), Prerefunded to 10/1/25, 5.00%, 10/1/34 | $ | 2,000 | $ 2,085,040 |
Connecticut, (Revolving Fund), Green Bonds, 5.00%, 5/1/34 | 1,140 | 1,226,458 | |
Indiana Finance Authority, (Revolving Fund), Green Bonds, 5.00%, 2/1/40 | 1,000 | 1,149,900 | |
Indianapolis Local Public Improvement Bond Bank, IN, Green Bonds, 5.00%, 1/1/52 | 2,000 | 2,177,680 | |
Michigan Finance Authority, (Clean Water Revolving Fund), 3.00%, 10/1/37 | 1,390 | 1,348,717 | |
New York State Environmental Facilities Corp., (State Revolving Fund), Green Bonds, 5.25%, 9/15/52 | 3,000 | 3,365,430 | |
$ 11,353,225 |
Security | Principal Amount (000's omitted) | Value | |
Education — 5.9% | |||
Arizona State University: | |||
Green Bonds, 5.00%, 7/1/42 | $ | 2,000 | $ 2,068,380 |
Green Bonds, 5.00%, 7/1/43 | 2,100 | 2,276,169 | |
Green Bonds, 5.50%, 7/1/48 | 3,200 | 3,720,160 | |
Build NYC Resource Corp., NY, (Academic Leadership Charter School): | |||
4.00%, 6/15/24 | 120 | 119,846 | |
4.00%, 6/15/25 | 110 | 109,725 | |
4.00%, 6/15/26 | 110 | 108,754 | |
4.00%, 6/15/27 | 80 | 78,979 | |
4.00%, 6/15/30 | 100 | 97,614 | |
4.00%, 6/15/31 | 100 | 97,158 | |
Grand Valley State University, MI, 5.00%, 12/1/33 | 1,000 | 1,033,260 | |
Indiana Finance Authority, (Butler University), 5.00%, 2/1/31 | 1,130 | 1,131,537 | |
Maricopa County Industrial Development Authority, AZ, (Arizona Autism Charter Schools), Social Bonds, 4.00%, 7/1/31(1) | 250 | 239,355 | |
Maricopa County Industrial Development Authority, AZ, (Legacy Traditional Schools), 3.00%, 7/1/31(1) | 500 | 454,220 | |
Massachusetts Health and Educational Facilities Authority, (University of Massachusetts), 2.45% to 4/1/26 (Put Date), 11/1/30 | 2,250 | 2,224,282 | |
Minnesota Higher Education Facilities Authority, (University of St. Thomas): | |||
Green Bonds, 5.00%, 10/1/28 | 600 | 658,764 | |
Green Bonds, 5.00%, 10/1/29 | 635 | 708,895 | |
Green Bonds, 5.00%, 10/1/30 | 445 | 503,242 | |
Ohio Higher Educational Facility Commission, (Oberlin College), Green Bonds, 5.00%, 10/1/48 | 4,000 | 4,451,320 | |
Pennsylvania Higher Educational Facilities Authority: | |||
4.00%, 6/15/36 | 1,530 | 1,550,380 | |
Prerefunded to 6/15/26, 4.00%, 6/15/36 | 20 | 20,603 | |
Public Finance Authority, WI, (Coral Academy of Science Las Vegas), 4.00%, 7/1/41 | 1,000 | 845,080 | |
Public Finance Authority, WI, (Roseman University of Health Sciences), 4.00%, 4/1/32(1) | 845 | 801,018 | |
University of South Carolina, 5.00%, 5/1/46 | 2,485 | 2,720,503 | |
$ 26,019,244 | |||
Electric Utilities — 3.7% | |||
California Community Choice Financing Authority, Green Bonds, 5.25% to 4/1/30 (Put Date), 11/1/54 | $ | 1,660 | $ 1,798,328 |
Douglas County Public Utility District No. 1, WA: | |||
4.00%, 9/1/39 | 2,000 | 2,076,720 | |
4.00%, 9/1/40 | 2,000 | 2,062,480 | |
Grant County Public Utility District No. 2, WA, (Priest Rapids Hydroelectric Project): | |||
5.00%, 1/1/39 | 1,000 | 1,145,510 | |
5.00%, 1/1/40 | 1,525 | 1,737,036 | |
Long Island Power Authority, NY, Green Bonds, 5.00%, 9/1/38 | 1,040 | 1,227,917 | |
Mesa, AZ, Utility Systems Revenue, 4.00%, 7/1/37 | 2,375 | 2,380,510 |
Security | Principal Amount (000's omitted) | Value | |
Electric Utilities (continued) | |||
Missouri Joint Municipal Electric Utility Commission, Green Bonds, 5.25%, 12/1/43 | $ | 2,000 | $ 2,191,120 |
Trinity Public Utilities District Authority, CA, Green Bonds, 4.00%, 4/1/29 | 1,120 | 1,102,248 | |
Utah Associated Municipal Power Systems, 5.00%, 9/1/30 | 655 | 714,127 | |
$ 16,435,996 | |||
Escrowed/Prerefunded — 0.9% | |||
Build NYC Resource Corp., NY, (YMCA of Greater New York), Prerefunded to 8/1/25, 4.00%, 8/1/36 | $ | 1,915 | $ 1,954,239 |
Central Puget Sound Regional Transit Authority, WA, Sales Tax Revenue: | |||
Green Bonds, Prerefunded to 11/1/25, 4.00%, 11/1/33 | 1,100 | 1,125,795 | |
Green Bonds, Prerefunded to 11/1/25, 5.00%, 11/1/35 | 1,000 | 1,041,160 | |
Public Finance Authority, WI, (Roseman University of Health Sciences), (Escrowed to Maturity), 4.00%, 4/1/32(1) | 15 | 15,951 | |
$ 4,137,145 | |||
General Obligations — 18.3% | |||
Antelope Valley Community College District, CA, (Election of 2016), 5.25%, 8/1/42 | $ | 3,000 | $ 3,495,090 |
Atlanta, GA, Social Bonds, 5.00%, 12/1/37 | 3,500 | 4,107,180 | |
Bexar County, TX, Prerefunded to 6/15/25, 4.00%, 6/15/32 | 2,000 | 2,029,380 | |
California, 4.00%, 9/1/32 | 1,000 | 1,025,190 | |
Chicago Board of Education, IL: | |||
5.00%, 12/1/32 | 2,000 | 2,055,480 | |
5.00%, 12/1/34 | 2,160 | 2,202,682 | |
5.00%, 12/1/36 | 1,000 | 1,012,420 | |
5.25%, 12/1/36 | 4,000 | 4,308,040 | |
Connecticut: | |||
Green Bonds, 5.00%, 11/15/31 | 1,000 | 1,014,200 | |
Social Bonds, 4.00%, 1/15/44(2) | 3,000 | 3,049,110 | |
Social Bonds, 5.00%, 11/15/36 | 5,000 | 5,911,400 | |
Desert Sands Unified School District, CA, (Election of 2014), 5.00%, 8/1/39 | 2,000 | 2,145,100 | |
Detroit, MI: | |||
Social Bonds, 5.25%, 5/1/31 | 600 | 664,860 | |
Social Bonds, 5.25%, 5/1/32 | 600 | 671,868 | |
Groton, CT, Green Bonds, 4.125%, 4/1/42 | 1,000 | 1,024,040 | |
Hawaii, 4.00%, 10/1/34 | 2,000 | 2,050,020 | |
Houston Independent School District, TX, (PSF Guaranteed), 3.50% to 6/1/25 (Put Date), 6/1/39 | 2,300 | 2,314,260 | |
Jackson County Consolidated School District No. 4, MO, 5.00%, 3/1/36 | 3,425 | 3,619,711 | |
Kern Community College District, CA, (Election of 2016): | |||
5.25%, 8/1/38 | 2,000 | 2,409,760 | |
5.25%, 8/1/40 | 1,200 | 1,428,336 | |
Lake Stevens School District No. 4, WA, 4.00%, 12/1/35 | 2,460 | 2,509,028 | |
Los Angeles Unified School District, CA: | |||
Sustainability Bonds, 5.00%, 7/1/36 | 2,035 | 2,508,280 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Los Angeles Unified School District, CA: (continued) | |||
Sustainability Bonds, 5.25%, 7/1/47 | $ | 5,000 | $ 5,761,200 |
Los Rios Community College District, CA, 4.00%, 8/1/33 | 2,000 | 2,082,820 | |
Matanuska-Susitna Borough, AK, 4.50%, 7/1/29 | 1,670 | 1,739,338 | |
Metropolitan Water Reclamation District of Greater Chicago, IL, Green Bonds, 5.00%, 12/1/45 | 3,000 | 3,076,500 | |
Passaic County Improvement Authority, NJ, (Paterson Board of Education), Green Bonds, 3.00%, 2/1/42 | 1,175 | 1,039,546 | |
Renton School District No. 403, WA, 4.00%, 12/1/39 | 1,250 | 1,301,488 | |
Salem-Keizer School District No. 24J, OR, 4.00%, 6/15/37 | 5,000 | 5,236,200 | |
San Diego Unified School District, CA, (Election of 2008), Green Bonds, 5.00%, 7/1/48 | 5,990 | 6,842,976 | |
Sarpy County School District 0037, NE, 5.00%, 12/15/27 | 1,500 | 1,561,305 | |
Ypsilanti Community Schools, MI, 5.00%, 5/1/30 | 1,000 | 1,050,330 | |
$ 81,247,138 | |||
Hospital — 9.7% | |||
Brookhaven Development Authority, GA, (Children's Healthcare of Atlanta, Inc.), 4.00%, 7/1/49 | $ | 2,235 | $ 2,178,700 |
California Health Facilities Financing Authority, (Cedars-Sinai Medical Center), 4.00%, 8/15/36 | 4,460 | 4,548,487 | |
Colorado Health Facilities Authority, (Craig Hospital): | |||
5.00%, 12/1/26 | 1,010 | 1,060,338 | |
5.00%, 12/1/27 | 1,075 | 1,149,422 | |
5.00%, 12/1/28 | 1,125 | 1,224,180 | |
Geisinger Authority, PA, (Geisinger Health System), 5.00% to 2/15/27 (Put Date), 4/1/43 | 5,000 | 5,220,950 | |
Huntsville Health Care Authority, AL, (HH Health System), 5.00% to 6/1/30 (Put Date), 6/1/53 | 5,000 | 5,562,800 | |
Indiana Finance Authority, (Good Samaritan Hospital): | |||
4.00%, 4/1/35 | 1,205 | 1,189,974 | |
4.00%, 4/1/36 | 2,520 | 2,461,813 | |
Indiana Finance Authority, (Indiana University Health), 5.00%, 10/1/41 | 1,250 | 1,411,613 | |
Massachusetts Development Finance Agency, (Boston Medical Center), Green Bonds, 5.00%, 7/1/44 | 3,000 | 3,015,750 | |
Massachusetts Development Finance Agency, (Dana-Farber Cancer Institute), 5.00%, 12/1/34 | 500 | 530,355 | |
Michigan Finance Authority, (Beaumont Health Credit Group), 4.00%, 11/1/46 | 2,000 | 1,931,780 | |
Michigan Finance Authority, (Trinity Health Credit Group), 5.00%, 12/1/45 | 2,000 | 2,044,760 | |
Pennsylvania Higher Educational Facilities Authority, (Thomas Jefferson University), 5.00%, 9/1/45 | 3,000 | 3,018,270 | |
Tarrant County Cultural Education Facilities Finance Corp., TX, (Baylor Scott & White Health), 5.00% to 11/15/30 (Put Date), 11/15/52 | 2,000 | 2,245,960 | |
Wisconsin Health and Educational Facilities Authority, (Ascension Health Credit Group), 4.00%, 11/15/39 | 4,000 | 4,015,560 | |
$ 42,810,712 |
Security | Principal Amount (000's omitted) | Value | |
Housing — 17.7% | |||
Alaska Housing Finance Corp.: | |||
Social Bonds, 5.00%, 6/1/28 | $ | 350 | $ 384,507 |
Social Bonds, 5.00%, 12/1/28 | 400 | 444,124 | |
Social Bonds, 5.00%, 6/1/29 | 440 | 492,008 | |
Social Bonds, 5.00%, 12/1/29 | 360 | 406,138 | |
California Municipal Finance Authority, (Caritas Corp.), Mobile Home Park Revenue, 5.00%, 8/15/28 | 1,240 | 1,322,262 | |
Cuyahoga Metropolitan Housing Authority, OH, Social Bonds, 2.00%, 12/1/31 | 1,250 | 1,076,113 | |
Denver City and County Housing Authority, CO, Sustainability Bonds, 4.50%, 7/1/41 | 2,000 | 2,078,660 | |
District of Columbia Housing Finance Agency, 3.00% to 9/1/26 (Put Date), 9/1/28 | 3,000 | 2,952,660 | |
District of Columbia Housing Finance Agency, (Faircliff Plaza East Apartments), 5.00% to 12/1/25 (Put Date), 12/1/26 | 2,775 | 2,847,649 | |
District of Columbia Housing Finance Agency, (Paxton), 4.00% to 9/1/25 (Put Date), 9/1/40 | 3,750 | 3,774,337 | |
EP Tuscany Zaragosa PFC, TX, (Tuscany at Mesa Hills and Villas at Zaragosa), 4.00%, 12/1/33 | 5,000 | 4,970,650 | |
Independent Cities Finance Authority, CA, (Union City Tropics): | |||
4.00%, 5/15/31 | 1,020 | 1,059,872 | |
4.00%, 5/15/34 | 1,145 | 1,182,029 | |
Indiana Finance Authority, (CHF-Tippecanoe, LLC - Student Housing), 5.00%, 6/1/38 | 800 | 834,088 | |
Indiana Housing and Community Development Authority, SFMR: | |||
(FHLMC), (FNMA), (GNMA), Social Bonds, 4.35%, 7/1/37 | 1,000 | 1,057,010 | |
(FHLMC), (FNMA), (GNMA), Social Bonds, 4.60%, 7/1/42 | 1,000 | 1,032,320 | |
Maine Housing Authority, Social Bonds, 4.15%, 11/15/42 | 1,615 | 1,622,041 | |
Maryland Community Development Administration, Department of Housing and Community Development: | |||
4.05%, 7/1/40 | 1,575 | 1,575,693 | |
4.35%, 7/1/50 | 1,000 | 981,970 | |
Maryland Economic Development Corp., (Morgan State University), Student Housing Revenue, 5.625%, 7/1/43 | 1,000 | 1,086,080 | |
Massachusetts Housing Finance Agency: | |||
(AMT), 3.30%, 12/1/28 | 750 | 736,785 | |
(FHLMC), (FNMA), (GNMA), Social Bonds, 4.40%, 12/1/38 | 1,475 | 1,546,714 | |
(FHLMC), (FNMA), (GNMA), Social Bonds, 4.70%, 12/1/43 | 2,000 | 2,065,140 | |
Sustainability Bonds, 2.30%, 12/1/24 | 1,500 | 1,483,935 | |
Sustainability Bonds, 2.80%, 12/1/26 | 1,000 | 996,310 | |
Sustainability Bonds, 4.00%, 12/1/25 | 2,500 | 2,532,675 | |
New Jersey Housing and Mortgage Finance Agency, SFMR, Social Bonds, 3.85%, 4/1/32 | 3,620 | 3,679,839 | |
New Mexico Mortgage Finance Authority, 5.00% to 6/1/25 (Put Date), 2/1/42 | 525 | 530,255 | |
New York City Housing Development Corp., NY: | |||
0.90% to 1/1/26 (Put Date), 11/1/60 | 3,430 | 3,196,383 | |
Green Bonds, (Liq: TD Bank, N.A.), 3.75%, 5/1/50(3) | 3,900 | 3,900,000 | |
Sustainable Development Bonds, 1.70%, 5/1/32 | 2,100 | 1,728,552 | |
Sustainable Development Bonds, 1.75%, 11/1/32 | 1,060 | 869,020 |
Security | Principal Amount (000's omitted) | Value | |
Housing (continued) | |||
New York City Housing Development Corp., NY: (continued) | |||
Sustainable Development Bonds, 3.40% to 12/22/26 (Put Date), 11/1/62 | $ | 3,000 | $ 3,007,620 |
Sustainable Development Bonds, (SPA: TD Bank, N.A.), 3.75%, 5/1/63(3) | 1,800 | 1,800,000 | |
Sustainable Neighborhood Bonds, 3.80%, 11/1/30 | 965 | 965,791 | |
New York Housing Finance Agency: | |||
Sustainability Bonds, (FHLMC), (FNMA), (GNMA), (SONYMA), 2.85%, 11/1/39 | 1,980 | 1,704,760 | |
Sustainability Bonds, (SONYMA), 2.50% to 5/1/27 (Put Date), 11/1/60 | 2,000 | 1,924,240 | |
Pennsylvania Housing Finance Agency, SFMR: | |||
3.90%, 10/1/35 | 930 | 930,307 | |
Social Bonds, 0.95%, 10/1/28 | 1,125 | 969,941 | |
Social Bonds, 4.30%, 10/1/42 | 3,000 | 3,045,000 | |
Social Bonds, 4.40%, 10/1/38 | 1,500 | 1,572,240 | |
Public Finance Authority, WI, (NC A&T Real Estate Foundation, LLC), 5.00%, 6/1/28 | 665 | 685,429 | |
Seattle Housing Authority, WA, (Juniper Apartments): | |||
4.375%, 12/1/30 | 1,000 | 1,035,410 | |
5.00%, 6/1/27 | 500 | 522,320 | |
Utah Housing Corp., 4.00%, 1/1/36 | 755 | 759,402 | |
Virginia Housing Development Authority, 4.10%, 10/1/27 | 4,000 | 4,031,040 | |
Wisconsin Housing and Economic Development Authority, 3.875% to 5/1/27 (Put Date), 11/1/54 | 1,250 | 1,256,212 | |
$ 78,655,531 | |||
Industrial Development Revenue — 1.9% | |||
California Municipal Finance Authority, (Republic Services, Inc.), (AMT), 4.375% to 9/1/33 (Put Date), 9/1/53 | $ | 1,000 | $ 1,029,930 |
California Municipal Finance Authority, (Waste Management, Inc.), (AMT), 4.125% to 10/1/25 (Put Date), 10/1/41 | 2,000 | 2,004,440 | |
California Pollution Control Financing Authority, (Waste Management, Inc.), (AMT), 3.00%, 11/1/25 | 850 | 844,297 | |
Henderson, KY, (Pratt Paper, LLC), (AMT), 3.70%, 1/1/32(1) | 1,815 | 1,743,162 | |
Nez Perce County, ID, (Potlatch Corp.), 2.75%, 10/1/24 | 1,000 | 985,780 | |
Niagara Area Development Corp., NY, (Covanta), (AMT), 4.75%, 11/1/42(1) | 2,000 | 1,705,980 | |
$ 8,313,589 | |||
Insured - Electric Utilities — 0.7% | |||
New York Power Authority: | |||
(AGM), Green Bonds, 5.25%, 11/15/41 | $ | 1,500 | $ 1,762,470 |
(AGM), Green Bonds, 5.25%, 11/15/42 | 1,000 | 1,168,880 | |
$ 2,931,350 | |||
Insured - General Obligations — 0.2% | |||
Long Beach Unified School District, CA, (AGC), 0.00%, 8/1/25 | $ | 1,000 | $ 955,380 |
$ 955,380 |
Security | Principal Amount (000's omitted) | Value | |
Insured - Solid Waste — 0.4% | |||
South Bayside Waste Management Authority, CA, (Shoreway Environmental Center): | |||
Green Bonds, (AGM), (AMT), 5.00%, 9/1/25 | $ | 1,465 | $ 1,505,639 |
Green Bonds, (AGM), (AMT), Escrowed to Maturity, 5.00%, 9/1/28 | 15 | 16,566 | |
Green Bonds, (AGM), (AMT), Escrowed to Maturity, 5.00%, 9/1/30 | 15 | 16,748 | |
$ 1,538,953 | |||
Insured - Transportation — 0.2% | |||
Ohio, (Portsmouth Gateway Group, LLC), (AGM), (AMT), 5.00%, 12/31/30 | $ | 1,000 | $ 1,009,930 |
$ 1,009,930 | |||
Insured - Water and Sewer — 2.0% | |||
Chicago, IL, Wastewater Transmission Revenue, (AGM), 5.00%, 1/1/39 | $ | 1,000 | $ 1,141,650 |
Chicago, IL, Water Revenue, (AGM), 5.00%, 11/1/38 | 1,000 | 1,145,130 | |
Eagle River Water and Sanitation District, CO, (AGM), 4.00%, 12/1/52 | 2,000 | 1,978,300 | |
Fort Wayne, IN, Sewage Works Revenue: | |||
Green Bonds, (BAM), 5.00%, 8/1/28 | 1,020 | 1,123,152 | |
Green Bonds, (BAM), 5.00%, 8/1/29 | 975 | 1,094,038 | |
Passaic Valley Water Commission, NJ, (AGM), 4.00%, 12/1/48 | 2,250 | 2,254,545 | |
$ 8,736,815 | |||
Lease Revenue/Certificates of Participation — 4.8% | |||
Avon Community School Building Corp., IN, 5.50%, 7/15/41 | $ | 1,000 | $ 1,175,330 |
Battery Park City Authority, NY, Sustainability Bonds, 5.00%, 11/1/53 | 4,000 | 4,468,880 | |
California Housing Finance Agency, Social Bonds, 4.00%, 4/1/45 | 4,380 | 4,377,416 | |
Connecticut Health and Educational Facilities Authority, (State Supported Child Care), 4.00%, 7/1/38 | 1,170 | 1,174,200 | |
Kansas City, MO, Special Obligation Bonds: | |||
4.00%, 10/1/34 | 500 | 505,425 | |
4.00%, 10/1/35 | 600 | 606,378 | |
Los Angeles Unified School District, CA: | |||
Sustainability Bonds, 5.00%, 10/1/24 | 1,100 | 1,116,984 | |
Sustainability Bonds, 5.00%, 10/1/25 | 1,100 | 1,143,329 | |
New Jersey Economic Development Authority, (Portal North Bridge), 5.00%, 11/1/35 | 1,200 | 1,389,840 | |
University of North Dakota, Certificates of Participation, Green Certificates, 5.00%, 4/1/48 | 1,500 | 1,561,560 | |
Wasatch County School District Local Building Authority, UT, 5.50%, 6/1/47 | 3,500 | 3,938,620 | |
$ 21,457,962 | |||
Other Revenue — 5.1% | |||
California Community Choice Financing Authority: | |||
Green Bonds, 4.00% to 12/1/27 (Put Date), 10/1/52 | $ | 2,000 | $ 2,014,680 |
Security | Principal Amount (000's omitted) | Value | |
Other Revenue (continued) | |||
California Community Choice Financing Authority: (continued) | |||
Green Bonds, 5.00% to 8/1/29 (Put Date), 12/1/53 | $ | 1,500 | $ 1,594,680 |
Green Bonds, 5.50% to 11/1/30 (Put Date), 10/1/54 | 4,970 | 5,516,352 | |
California Infrastructure and Economic Development Bank, (California Academy of Sciences), Sustainability Bonds, 4.22%, (SIFMA + 0.35%), 8/1/47(4) | 2,630 | 2,612,853 | |
Fairfax County Economic Development Authority, VA, (National Wildlife Federation): | |||
Green Bonds, 5.00%, 9/1/34 | 1,310 | 1,438,288 | |
Green Bonds, 5.00%, 9/1/36 | 1,445 | 1,574,674 | |
Hudson Yards Infrastructure Corp., NY: | |||
Green Bonds, 4.00%, 2/15/38 | 2,360 | 2,458,837 | |
Green Bonds, 4.00%, 2/15/41 | 3,000 | 3,073,410 | |
Illinois Educational Facilities Authority, (Field Museum of Natural History): | |||
4.00%, 11/1/36 | 1,000 | 1,026,020 | |
4.45%, 11/1/36 | 1,000 | 1,036,980 | |
$ 22,346,774 | |||
Senior Living/Life Care — 0.4% | |||
Vermont Economic Development Authority, (Wake Robin Corp.), 5.00%, 5/1/24 | $ | 1,875 | $ 1,879,556 |
$ 1,879,556 | |||
Special Tax Revenue — 4.4% | |||
Massachusetts, (Rail Enhancement Program), Sustainability Bonds, 5.00%, 6/1/50 | $ | 1,000 | $ 1,089,210 |
Metropolitan Transportation Authority, NY, Dedicated Tax Revenue: | |||
Series A, Green Bonds, 5.00%, 11/15/35 | 1,000 | 1,065,210 | |
Series B1, Green Bonds, 5.00%, 11/15/35 | 2,275 | 2,444,237 | |
Regional Transportation District, CO, Sales Tax Revenue, Green Bonds, 4.00%, 11/1/39 | 1,000 | 1,032,110 | |
Sales Tax Securitization Corp., IL, Social Bonds, 4.00%, 1/1/42 | 3,000 | 3,040,260 | |
Southeastern Pennsylvania Transportation Authority, 5.25%, 6/1/39 | 3,000 | 3,490,770 | |
Triborough Bridge and Tunnel Authority, NY: | |||
Green Bonds, 5.00%, 11/15/32 | 1,500 | 1,808,040 | |
Green Bonds, 5.25%, 11/15/40 | 3,000 | 3,564,810 | |
Washington Metropolitan Area Transit Authority, D.C., Green Bonds, 4.125%, 7/15/47 | 2,000 | 2,019,140 | |
$ 19,553,787 | |||
Student Loan — 1.0% | |||
Iowa Student Loan Liquidity Corp., (AMT), 5.00%, 12/1/30 | $ | 3,000 | $ 3,263,640 |
Massachusetts Educational Financing Authority, (AMT), 5.00%, 7/1/30 | 1,000 | 1,088,920 | |
$ 4,352,560 |
Security | Principal Amount (000's omitted) | Value | |
Transportation — 4.1% | |||
Atlanta, GA, (Airport Passenger Facility Charge): | |||
Green Bonds, 5.00%, 7/1/44 | $ | 1,460 | $ 1,655,567 |
Green Bonds, (AMT), 5.25%, 7/1/41 | 1,500 | 1,681,215 | |
Los Angeles Department of Airports, CA, (Los Angeles International Airport): | |||
Green Bonds, (AMT), 5.00%, 5/15/37 | 1,760 | 1,992,830 | |
Green Bonds, (AMT), 5.50%, 5/15/39 | 3,200 | 3,660,832 | |
Massachusetts Port Authority, Green Bonds, (AMT), 5.00%, 7/1/35 | 4,000 | 4,557,120 | |
Massachusetts, (Rail Enhancement Program), Sustainability Bonds, 5.00%, 6/1/53 | 1,000 | 1,104,630 | |
Metropolitan Transportation Authority, NY, Green Bonds, 4.00%, 11/15/45 | 2,000 | 1,954,840 | |
Port of Portland, OR, (Portland International Airport), Green Bonds, (AMT), 5.25%, 7/1/39 | 1,500 | 1,691,415 | |
$ 18,298,449 | |||
Water and Sewer — 6.1% | |||
Discovery Clean Water Alliance, WA, Sewer Revenue, 5.00%, 12/1/34 | $ | 2,290 | $ 2,713,283 |
Great Lakes Water Authority, MI, Water Supply System Revenue, 5.25%, 7/1/48 | 1,000 | 1,140,610 | |
Indiana Finance Authority, (CWA Authority), Green Bonds, 5.00%, 10/1/44 | 3,000 | 3,213,750 | |
Los Angeles, CA, Wastewater System Revenue, Green Bonds, 5.00%, 6/1/34 | 1,000 | 1,116,730 | |
Massachusetts Clean Water Trust: | |||
Green Bonds, 5.00%, 2/1/43 | 3,000 | 3,402,300 | |
Sustainability Bonds, 5.00%, 2/1/40 | 1,215 | 1,413,337 | |
Sustainability Bonds, 5.00%, 2/1/42 | 700 | 806,652 | |
New York City Municipal Water Finance Authority, NY, (Water and Sewer System), 5.00%, 6/15/47 | 1,000 | 1,113,600 | |
Santa Clara Valley Water District, CA: | |||
5.00%, 8/1/42 | 1,000 | 1,155,270 | |
5.00%, 8/1/47 | 2,100 | 2,382,450 | |
Tacoma, WA, Sewer Revenue, 4.00%, 12/1/48 | 2,500 | 2,487,250 | |
Tampa Bay Water, FL, Sustainability Bonds, 5.25%, 10/1/47 | 3,500 | 3,943,520 | |
Tampa, FL, Water and Wastewater Systems Revenue, Green Bonds, 5.00%, 10/1/41 | 2,000 | 2,301,760 | |
$ 27,190,512 | |||
Total Tax-Exempt Municipal Obligations (identified cost $390,303,483) | $399,224,608 |
Taxable Municipal Obligations — 4.7% |
Security | Principal Amount (000's omitted) | Value | |
Education — 0.8% | |||
San Antonio Education Facilities Corp., TX, (University of the Incarnate Word): | |||
1.74%, 4/1/25 | $ | 600 | $ 570,096 |
1.99%, 4/1/26 | 550 | 508,249 | |
2.19%, 4/1/27 | 600 | 541,020 | |
2.38%, 4/1/28 | 1,190 | 1,049,116 | |
2.50%, 4/1/29 | 1,000 | 857,630 | |
$ 3,526,111 | |||
Electric Utilities — 0.4% | |||
Confederated Tribes of Warm Springs Reservation, OR, (Pelton-Round Butte Hydroelectric Project): | |||
Green Bonds, 2.015%, 11/1/25(1) | $ | 745 | $ 703,697 |
Green Bonds, 2.52%, 11/1/28(1) | 1,205 | 1,081,789 | |
$ 1,785,486 | |||
General Obligations — 1.7% | |||
Alameda County, CA, Social Bonds, 3.36%, 8/1/24 | $ | 2,000 | $ 1,982,980 |
Detroit, MI: | |||
Social Bonds, 2.189%, 4/1/24 | 500 | 494,170 | |
Social Bonds, 2.96%, 4/1/27 | 750 | 673,590 | |
Larkspur-Corte Madera School District, CA, (Election of 2011 and 2014): | |||
1.702%, 8/1/30 | 415 | 347,965 | |
1.802%, 8/1/31 | 400 | 327,900 | |
Los Angeles, CA, Social Bonds, 5.00%, 9/1/26 | 3,000 | 3,037,860 | |
Tustin Unified School District, CA, 1.554%, 8/1/29 | 535 | 460,389 | |
$ 7,324,854 | |||
Hospital — 0.1% | |||
University of Wisconsin Hospitals and Clinics Authority, 2.09%, 4/1/28 | $ | 590 | $ 534,629 |
$ 534,629 | |||
Housing — 0.1% | |||
Independent Cities Finance Authority, CA, (Sahara Mobile Home Park), 2.51%, 6/15/31 | $ | 500 | $ 422,115 |
$ 422,115 | |||
Insured - Housing — 0.2% | |||
Oregon Facilities Authority, (CHF-Ashland, LLC - Southern Oregon University): | |||
(AGM), 1.509%, 7/1/25 | $ | 150 | $ 141,402 |
(AGM), 2.005%, 7/1/27 | 185 | 165,510 | |
(AGM), 2.429%, 7/1/29 | 275 | 237,017 | |
(AGM), 2.679%, 7/1/31 | 350 | 289,744 | |
$ 833,673 |
Security | Principal Amount (000's omitted) | Value | |
Lease Revenue/Certificates of Participation — 0.3% | |||
New Jersey Economic Development Authority, (Offshore Wind Port): | |||
Green Bonds, 5.198%, 3/1/31 | $ | 500 | $ 510,785 |
Green Bonds, 5.298%, 3/1/32 | 500 | 512,750 | |
Green Bonds, 5.398%, 3/1/33 | 500 | 515,840 | |
$ 1,539,375 | |||
Special Tax Revenue — 1.0% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
Social Bonds, 2.02%, 6/1/24 | $ | 1,000 | $ 987,040 |
Social Bonds, 2.211%, 6/1/25 | 1,500 | 1,446,195 | |
Social Bonds, 2.361%, 6/1/26 | 2,000 | 1,899,680 | |
$ 4,332,915 | |||
Water and Sewer — 0.1% | |||
Narragansett Bay Commission, RI, Wastewater System Revenue, Green Bonds, 1.497%, 9/1/24 | $ | 660 | $ 645,170 |
$ 645,170 | |||
Total Taxable Municipal Obligations (identified cost $22,190,749) | $ 20,944,328 |
Short-Term Investments — 0.4% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(5) | 1,830,860 | $ 1,830,860 | |
Total Short-Term Investments (identified cost $1,830,860) | $ 1,830,860 | ||
Total Investments — 99.6% (identified cost $435,199,371) | $441,570,084 | ||
Other Assets, Less Liabilities — 0.4% | $ 1,853,594 | ||
Net Assets — 100.0% | $443,423,678 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At December 31, 2023, the aggregate value of these securities is $6,745,172 or 1.5% of the Fund's net assets. |
(2) | When-issued security. |
(3) | Variable rate demand obligation that may be tendered at par on any day for payment the lesser of 5 business days or 7 calendar days. The stated interest rate, which generally resets weekly, is determined by the remarketing agent and represents the rate in effect at December 31, 2023. |
(4) | Floating rate security. The stated interest rate represents the rate in effect at December 31, 2023. |
(5) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of December 31, 2023. |
At December 31, 2023, the concentration of the Fund's investments in the various states, determined as a percentage of net assets, is as follows: | |
California 20.5% | |
New York11.9% | |
Others, representing less than 10% individually64.6% | |
The Fund invests primarily in debt securities issued by municipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. At December 31, 2023, 0.9% of total investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution or financial guaranty assurance agency ranged from 0.3% to 0.5% of total investments. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 10-Year Treasury Note | (94) | Short | 3/19/24 | $(10,611,719) | $ (386,452) |
$(386,452) |
Abbreviations: | |
AGC | – Assured Guaranty Corp. |
AGM | – Assured Guaranty Municipal Corp. |
AMT | – Interest earned from these securities may be considered a tax preference item for purposes of the Federal Alternative Minimum Tax. |
BAM | – Build America Mutual Assurance Co. |
FHLMC | – Federal Home Loan Mortgage Corp. |
FNMA | – Federal National Mortgage Association |
GNMA | – Government National Mortgage Association |
Liq | – Liquidity Provider |
PSF | – Permanent School Fund |
SFMR | – Single Family Mortgage Revenue |
SIFMA | – Securities Industry and Financial Markets Association Municipal Swap Index |
SONYMA | – State of New York Mortgage Agency |
SPA | – Standby Bond Purchase Agreement |
December 31, 2023 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $433,368,511) | $ 439,739,224 |
Investments in securities of affiliated issuers, at value (identified cost $1,830,860) | 1,830,860 |
Deposits at broker for futures contracts | 221,242 |
Receivable for investments sold | 185,000 |
Receivable for capital shares sold | 1,527,453 |
Interest receivable | 4,420,191 |
Dividends receivable - affiliated | 6,286 |
Receivable from affiliates | 62,797 |
Trustees' deferred compensation plan | 111,197 |
Total assets | $448,104,250 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 10 |
Payable for when-issued securities | 3,059,580 |
Payable for capital shares redeemed | 826,790 |
Distributions payable | 252,748 |
Payable to affiliates: | |
Investment advisory fee | 129,845 |
Administrative fee | 44,578 |
Distribution and service fees | 23,187 |
Sub-transfer agency fee | 6,541 |
Trustees' deferred compensation plan | 111,197 |
Accrued expenses | 226,096 |
Total liabilities | $ 4,680,572 |
Net Assets | $443,423,678 |
Sources of Net Assets | |
Paid-in capital | $ 494,743,026 |
Accumulated loss | (51,319,348) |
Net Assets | $443,423,678 |
Class A Shares | |
Net Assets | $ 105,113,908 |
Shares Outstanding | 6,799,968 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 15.46 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 15.98 |
Class C Shares | |
Net Assets | $ 1,178,557 |
Shares Outstanding | 76,238 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 15.46 |
December 31, 2023 | |
Class I Shares | |
Net Assets | $ 337,131,213 |
Shares Outstanding | 21,753,893 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 15.50 |
On sales of $100,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Year Ended | |
December 31, 2023 | |
Investment Income | |
Dividend income - affiliated issuers | $ 177,611 |
Interest and other income | 15,236,846 |
Total investment income | $15,414,457 |
Expenses | |
Investment advisory fee | $ 1,553,142 |
Administrative fee | 532,506 |
Distribution and service fees: | |
Class A | 268,155 |
Class C | 12,677 |
Trustees' fees and expenses | 30,948 |
Custodian fees | 9,720 |
Transfer agency fees and expenses | 353,636 |
Accounting fees | 102,407 |
Professional fees | 61,408 |
Registration fees | 85,949 |
Reports to shareholders | 21,705 |
Miscellaneous | 87,778 |
Total expenses | $ 3,120,031 |
Waiver and/or reimbursement of expenses by affiliates | $ (621,380) |
Net expenses | $ 2,498,651 |
Net investment income | $12,915,806 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ (5,605,296) |
Futures contracts | 626,341 |
Net realized loss | $ (4,978,955) |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 15,562,130 |
Futures contracts | (481,190) |
Net change in unrealized appreciation (depreciation) | $15,080,940 |
Net realized and unrealized gain | $10,101,985 |
Net increase in net assets from operations | $23,017,791 |
Year Ended December 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 12,915,806 | $ 8,065,380 |
Net realized loss | (4,978,955) | (21,620,202) |
Net change in unrealized appreciation (depreciation) | 15,080,940 | (23,147,507) |
Net increase (decrease) in net assets from operations | $ 23,017,791 | $ (36,702,329) |
Distributions to shareholders: | ||
Class A | $ (2,923,960) | $ (1,956,561) |
Class C | (24,917) | (15,197) |
Class I | (9,966,890) | (6,117,659) |
Total distributions to shareholders | $ (12,915,767) | $ (8,089,417) |
Capital share transactions: | ||
Class A | $ (7,481,910) | $ (5,990,651) |
Class C | (312,408) | (590,609) |
Class I | 14,919,922 | 42,805,057 |
Net increase in net assets from capital share transactions | $ 7,125,604 | $ 36,223,797 |
Net increase (decrease) in net assets | $ 17,227,628 | $ (8,567,949) |
Net Assets | ||
At beginning of year | $ 426,196,050 | $ 434,763,999 |
At end of year | $443,423,678 | $426,196,050 |
Class A | |||||
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 15.06 | $ 16.69 | $ 16.83 | $ 16.36 | $ 15.61 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.41 | $ 0.26 | $ 0.17 | $ 0.24 | $ 0.35 |
Net realized and unrealized gain (loss) | 0.40 | (1.63) | (0.14) | 0.47 | 0.75 |
Total income (loss) from operations | $ 0.81 | $ (1.37) | $ 0.03 | $ 0.71 | $ 1.10 |
Less Distributions | |||||
From net investment income | $ (0.41) | $ (0.26) | $ (0.17) | $ (0.24) | $ (0.35) |
Total distributions | $ (0.41) | $ (0.26) | $ (0.17) | $ (0.24) | $ (0.35) |
Net asset value — End of year | $ 15.46 | $ 15.06 | $ 16.69 | $ 16.83 | $ 16.36 |
Total Return(2) | 5.50% | (8.20)% | 0.19% | 4.38% | 7.10% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $105,114 | $109,974 | $128,437 | $128,384 | $117,964 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.89% | 0.88% | 0.87% | 0.88% | 0.96% |
Net expenses | 0.75% (4) | 0.75% (4) | 0.75% | 0.75% | 0.77% |
Net investment income | 2.73% | 1.69% | 1.02% | 1.45% | 2.15% |
Portfolio Turnover | 54% | 88% | 18% | 14% | 18% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended December 31, 2023 and 2022). |
Class C | |||||
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 15.06 | $ 16.69 | $ 16.83 | $ 16.36 | $ 15.61 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.30 | $ 0.14 | $ 0.04 | $ 0.11 | $ 0.22 |
Net realized and unrealized gain (loss) | 0.40 | (1.62) | (0.13) | 0.48 | 0.76 |
Total income (loss) from operations | $ 0.70 | $ (1.48) | $ (0.09) | $ 0.59 | $ 0.98 |
Less Distributions | |||||
From net investment income | $ (0.30) | $ (0.15) | $ (0.05) | $ (0.12) | $ (0.23) |
Total distributions | $ (0.30) | $ (0.15) | $ (0.05) | $ (0.12) | $ (0.23) |
Net asset value — End of year | $15.46 | $15.06 | $16.69 | $16.83 | $16.36 |
Total Return(2) | 4.71% | (8.89)% | (0.56)% | 3.60% | 6.29% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 1,179 | $ 1,462 | $ 2,258 | $ 2,249 | $ 1,510 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 1.64% | 1.63% | 1.62% | 1.62% | 1.71% |
Net expenses | 1.50% (4) | 1.50% (4) | 1.50% | 1.50% | 1.51% |
Net investment income | 1.97% | 0.89% | 0.27% | 0.67% | 1.37% |
Portfolio Turnover | 54% | 88% | 18% | 14% | 18% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended December 31, 2023 and 2022). |
Class I | |||||
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value �� Beginning of year | $ 15.10 | $ 16.73 | $ 16.88 | $ 16.40 | $ 15.65 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.45 | $ 0.30 | $ 0.21 | $ 0.26 | $ 0.39 |
Net realized and unrealized gain (loss) | 0.40 | (1.63) | (0.15) | 0.50 | 0.76 |
Total income (loss) from operations | $ 0.85 | $ (1.33) | $ 0.06 | $ 0.76 | $ 1.15 |
Less Distributions | |||||
From net investment income | $ (0.45) | $ (0.30) | $ (0.21) | $ (0.28) | $ (0.40) |
Total distributions | $ (0.45) | $ (0.30) | $ (0.21) | $ (0.28) | $ (0.40) |
Net asset value — End of year | $ 15.50 | $ 15.10 | $ 16.73 | $ 16.88 | $ 16.40 |
Total Return(2) | 5.75% | (7.94)% | 0.38% | 4.69% | 7.38% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $337,131 | $314,760 | $304,069 | $242,113 | $66,218 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.64% | 0.63% | 0.62% | 0.63% | 0.71% |
Net expenses | 0.50% (4) | 0.50% (4) | 0.50% | 0.50% | 0.49% |
Net investment income | 2.97% | 1.97% | 1.27% | 1.59% | 2.39% |
Portfolio Turnover | 54% | 88% | 18% | 14% | 18% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended December 31, 2023 and 2022). |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds | $ — | $ 9,755,746 | $ — | $ 9,755,746 |
Tax-Exempt Mortgage-Backed Securities | — | 9,814,542 | — | 9,814,542 |
Tax-Exempt Municipal Obligations | — | 399,224,608 | — | 399,224,608 |
Taxable Municipal Obligations | — | 20,944,328 | — | 20,944,328 |
Short-Term Investments | 1,830,860 | — | — | 1,830,860 |
Total Investments | $1,830,860 | $439,739,224 | $ — | $441,570,084 |
Liability Description | ||||
Futures Contracts | $ (386,452) | $ — | $ — | $ (386,452) |
Total | $ (386,452) | $ — | $ — | $ (386,452) |
Year Ended December 31, | ||
2023 | 2022 | |
Tax-exempt income | $11,830,022 | $7,718,860 |
Ordinary income | $ 1,085,745 | $ 370,557 |
Undistributed tax-exempt income | $ 542,513 |
Deferred capital losses | (57,961,994) |
Net unrealized appreciation | 6,352,881 |
Distributions payable | (252,748) |
Accumulated loss | $(51,319,348) |
Aggregate cost | $435,217,203 |
Gross unrealized appreciation | $ 13,123,823 |
Gross unrealized depreciation | (6,770,942) |
Net unrealized appreciation | $ 6,352,881 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Accumulated loss | $ — | $(386,452) (1) |
(1) | Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Statement of Operations Caption | |||
Derivative | Net realized gain (loss): Futures contracts | Change in unrealized appreciation (depreciation): Futures contracts | |
Futures contracts | $ 626,341 | $ (481,190) |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $6,785,252 | $169,172,702 | $(174,127,094) | $ — | $ — | $1,830,860 | $177,611 | 1,830,860 |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 546,377 | $ 8,234,692 | 1,178,615 | $ 17,991,040 | |
Reinvestment of distributions | 177,635 | 2,674,860 | 116,969 | 1,775,012 | |
Shares redeemed | (1,224,324) | (18,391,462) | (1,690,357) | (25,756,703) | |
Net decrease | (500,312) | $ (7,481,910) | (394,773) | $ (5,990,651) | |
Class C | |||||
Shares sold | 9,898 | $ 149,538 | 6,258 | $ 96,463 | |
Reinvestment of distributions | 1,630 | 24,555 | 992 | 15,004 | |
Shares redeemed | (32,319) | (486,501) | (45,503) | (702,076) | |
Net decrease | (20,791) | $ (312,408) | (38,253) | $ (590,609) | |
Class I | |||||
Shares sold | 10,066,669 | $ 151,786,106 | 22,473,907 | $ 344,013,581 | |
Reinvestment of distributions | 476,559 | 7,192,443 | 306,128 | 4,659,779 | |
Shares redeemed | (9,630,129) | (144,058,627) | (20,109,559) | (305,868,303) | |
Net increase | 913,099 | $ 14,919,922 | 2,670,476 | $ 42,805,057 |
Boston, Massachusetts
February 23, 2024
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Von M. Hughes(1) 1969 | Trustee and President | Since 2023 | President and Chief Executive Officer and Managing Director of Calvert Research and Management. Managing Director of Morgan Stanley Investment Management (MSIM) (since 2022). Formerly, Managing Director of PAAMCO Prisma (investment management firm) (2003-2022). Mr. Hughes is an interested person because of his positions with CRM and certain affiliates. Other Directorships. Tradeweb Markets Inc. (financial services) (2021-2022); National Association of Investment Companies (2018-2021). |
Noninterested Trustees | |||
Alice Gresham Bullock 1950 | Chair and Trustee | Since 2016 | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships. None. |
Cari M. Dominguez 1949 | Trustee | Since 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships. ManpowerGroup Inc. (workforce solutions company); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
Karen Fang(2) 1958 | Trustee | Since 2023 | Formerly, Managing Director, Wealth Management at GAMCO Asset Management (asset management firm) (2020-2023). Formerly, Managing Director, Senior Portfolio Manager of Fiduciary Trust Company International (wealth management firm) (1993-2019). Other Directorships. None. |
Miles D. Harper, III 1962 | Trustee | Since 2016 | Private investor (2022-present). Formerly, Partner, Carr Riggs & Ingram (public accounting firm) (2014-2022). Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram) (1999-2014). Other Directorships. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Trustee | Since 2016 | Attorney. Other Directorships. Palm Management Corporation. |
Eddie Ramos(2) 1967 | Trustee | Since 2023 | Private investor (2022-present). Formerly, Head of External Advisors/Diversity Portfolio Management at the New Jersey Division of Investment (2020-2022). Formerly, Chief Investment Officer and Lead Portfolio Manager – Global Fundamental Equities at Cornerstone Capital Management (asset management firm) (2011-2017). Other Directorships. Macquarie Optimum Funds (6) (asset management) (2022-2023). |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Anthony A. Williams 1951 | Trustee | Since 2010 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization); The Howard Hughes Corporation (real estate development); Old Dominion National Bank. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Hope L. Brown 1973 | Chief Compliance Officer | Since 2014 | Chief Compliance Officer of 46 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). |
Deidre E. Walsh 1971 | Secretary, Vice President and Chief Legal Officer | Since 2021 | Vice President of CRM and officer of 46 registered investment companies advised by CRM (since 2021). Also Vice President of Eaton Vance and certain of its affiliates and officer of 127 registered investment companies advised or administered by Eaton Vance. |
James F. Kirchner 1967 | Treasurer | Since 2016 | Vice President of CRM and officer of 46 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 127 registered investment companies advised or administered by Eaton Vance. |
(1) Mr. Hughes is an interested person of the Fund because of his positions with the Fund’s adviser and certain affiliates. | |||
(2) Ms. Fang and Mr. Ramos began serving as Trustees effective October 30, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception |
Class A at NAV | 04/29/2022 | 04/29/2022 | 10.70% | —% | (6.95)% |
Class A with 5.25% Maximum Sales Charge | — | — | 4.95 | — | (9.88) |
Class C at NAV | 04/29/2022 | 04/29/2022 | 9.88 | — | (7.66) |
Class C with 1% Maximum Deferred Sales Charge | — | — | 8.88 | — | (7.66) |
Class I at NAV | 04/29/2022 | 04/29/2022 | 11.11 | — | (6.65) |
Class R6 at NAV | 04/29/2022 | 04/29/2022 | 10.97 | — | (6.72) |
FTSE EPRA Nareit Developed Extended Net Total Return Index | — | — | 8.72% | 3.87% | (6.30)% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
Gross | 5.03% | 5.78% | 4.78% | 4.78% |
Net | 1.10 | 1.85 | 0.85 | 0.85 |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 04/29/2022 | $8,751 | N.A. |
Class I, at minimum investment | $1,000,000 | 04/29/2022 | $891,147 | N.A. |
Class R6, at minimum investment | $5,000,000 | 04/29/2022 | $4,450,489 | N.A. |
Top 10 Holdings (% of net assets)1 | |
American Tower Corp. | 8.3% |
Prologis, Inc. | 5.4 |
Welltower, Inc. | 5.2 |
Equinix, Inc. | 4.8 |
Realty Income Corp. | 3.8 |
Public Storage | 3.4 |
Mitsui Fudosan Co., Ltd. | 3.2 |
AvalonBay Communities, Inc. | 3.0 |
Extra Space Storage, Inc. | 2.9 |
Digital Realty Trust, Inc. | 2.8 |
Total | 42.8% |
1 | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
1 | The FTSE EPRA Nareit Developed Extended Net Total Return Index is a market capitalization weighted index designed to represent general trends in eligible real estate stocks worldwide. Relevant real estate activities are defined as the ownership, trading and development of income-producing real estate. The FTSE EPRA Nareit Developed Extended Index represents the extension of real estate property sectors (e.g. Infrastructure and Timber) and additional securities beyond what is currently eligible for the FTSE EPRA Nareit Developed Index. The performance of the Index is listed in U.S. dollars and assumes reinvestment of net dividends. 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’s inception, as applicable. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/25. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Additional Information | |
MSCI ACWI Index is an unmanaged free-float-adjusted, market-capitalization-weighted index designed to measure the equity market performance of developed and emerging markets. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI Golden Dragon Index is an unmanaged index of common stocks traded in China, Hong Kong and Taiwan. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. S&P 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. |
Beginning Account Value (7/1/23) | Ending Account Value (12/31/23) | Expenses Paid During Period* (7/1/23 – 12/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,092.00 | $ 6.27** | 1.19% |
Class C | $1,000.00 | $1,088.10 | $10.21 ** | 1.94% |
Class I | $1,000.00 | $1,094.60 | $ 4.96** | 0.94% |
Class R6 | $1,000.00 | $1,093.30 | $ 4.91** | 0.93% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.21 | $ 6.06** | 1.19% |
Class C | $1,000.00 | $1,015.43 | $ 9.86** | 1.94% |
Class I | $1,000.00 | $1,020.47 | $ 4.79** | 0.94% |
Class R6 | $1,000.00 | $1,020.52 | $ 4.74** | 0.93% |
* | Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on June 30, 2023. |
** | Absent a waiver and/or reimbursement of expenses by affiliate(s), expenses would be higher. |
Common Stocks — 100.1% |
Security | Shares | Value | |
Australia — 4.0% | |||
Goodman Group | 4,515 | $ 77,734 | |
National Storage REIT | 35,119 | 54,929 | |
Region Group | 20,453 | 31,467 | |
Stockland | 12,958 | 39,297 | |
$ 203,427 | |||
Belgium — 2.3% | |||
Aedifica S.A. | 517 | $ 36,337 | |
Montea NV | 446 | 42,397 | |
Shurgard Self Storage, Ltd. | 720 | 35,665 | |
$ 114,399 | |||
Canada — 2.1% | |||
Boardwalk Real Estate Investment Trust | 902 | $ 48,563 | |
Chartwell Retirement Residences | 3,622 | 32,036 | |
InterRent Real Estate Investment Trust | 2,409 | 24,053 | |
$ 104,652 | |||
France — 2.2% | |||
Gecina S.A. | 212 | $ 25,809 | |
Klepierre S.A. | 1,858 | 50,725 | |
Unibail-Rodamco-Westfield (1) | 504 | 37,277 | |
$ 113,811 | |||
Germany — 2.3% | |||
LEG Immobilien SE(1) | 598 | $ 52,331 | |
Vonovia SE | 2,025 | 63,629 | |
$ 115,960 | |||
Hong Kong — 2.5% | |||
Link REIT | 11,320 | $ 63,562 | |
Sun Hung Kai Properties, Ltd. | 3,500 | 37,875 | |
Wharf Real Estate Investment Co., Ltd. | 7,000 | 23,663 | |
$ 125,100 | |||
Japan — 9.6% | |||
Comforia Residential REIT, Inc. | 10 | $ 22,461 | |
Invincible Investment Corp. | 196 | 84,715 | |
Japan Metropolitan Fund Investment Corp. | 34 | 24,541 | |
Mitsubishi Estate Co., Ltd. | 5,500 | 75,394 | |
Mitsui Fudosan Co., Ltd. | 6,600 | 161,368 | |
Mitsui Fudosan Logistics Park, Inc. | 10 | 32,415 | |
Nippon Building Fund, Inc. | 8 | 34,631 | |
Nomura Real Estate Master Fund, Inc. | 39 | 45,612 | |
$ 481,137 | |||
Netherlands — 0.4% | |||
CTP NV | 1,240 | $ 20,949 | |
$ 20,949 |
Security | Shares | Value | |
Singapore — 1.1% | |||
Frasers Logistics & Commercial Trust | 62,200 | $ 54,149 | |
$ 54,149 | |||
Spain — 0.8% | |||
Merlin Properties Socimi S.A. | 3,857 | $ 42,825 | |
$ 42,825 | |||
Sweden — 1.1% | |||
Castellum AB(1) | 2,259 | $ 32,075 | |
Pandox AB | 1,599 | 23,904 | |
$ 55,979 | |||
Switzerland — 0.6% | |||
PSP Swiss Property AG | 205 | $ 28,661 | |
$ 28,661 | |||
United Kingdom — 2.6% | |||
Segro PLC | 6,130 | $ 69,130 | |
UNITE Group PLC (The) | 4,555 | 60,506 | |
$ 129,636 | |||
United States — 68.5% | |||
Alexandria Real Estate Equities, Inc. | 566 | $ 71,752 | |
American Tower Corp. | 1,932 | 417,080 | |
Americold Realty Trust, Inc. | 2,040 | 61,751 | |
AvalonBay Communities, Inc. | 819 | 153,333 | |
CareTrust REIT, Inc. | 2,243 | 50,198 | |
Crown Castle, Inc. | 615 | 70,842 | |
Digital Realty Trust, Inc. | 1,054 | 141,847 | |
EastGroup Properties, Inc. | 271 | 49,739 | |
Equinix, Inc. | 300 | 241,617 | |
Equity LifeStyle Properties, Inc. | 870 | 61,370 | |
Essex Property Trust, Inc. | 368 | 91,242 | |
Extra Space Storage, Inc. | 904 | 144,938 | |
Federal Realty Investment Trust | 716 | 73,784 | |
Hilton Worldwide Holdings, Inc. | 154 | 28,042 | |
Host Hotels & Resorts, Inc. | 2,730 | 53,153 | |
Iron Mountain, Inc. | 1,112 | 77,818 | |
Kilroy Realty Corp. | 1,774 | 70,676 | |
Kimco Realty Corp. | 4,195 | 89,395 | |
Kite Realty Group Trust | 2,062 | 47,137 | |
Mid-America Apartment Communities, Inc. | 550 | 73,953 | |
Prologis, Inc. | 2,033 | 270,999 | |
Public Storage | 553 | 168,665 | |
Rayonier, Inc. | 1,118 | 37,352 | |
Realty Income Corp. | 3,306 | 189,831 | |
Rexford Industrial Realty, Inc. | 930 | 52,173 | |
SBA Communications Corp. | 330 | 83,718 | |
Simon Property Group, Inc. | 954 | 136,079 | |
Sun Communities, Inc. | 750 | 100,238 | |
Urban Edge Properties | 1,424 | 26,059 | |
Welltower, Inc. | 2,897 | 261,222 |
Security | Shares | Value | |
United States (continued) | |||
Weyerhaeuser Co. | 1,384 | $ 48,122 | |
$3,444,125 | |||
Total Common Stocks (identified cost $4,879,903) | $5,034,810 |
Short-Term Investments — 0.7% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(2) | 33,729 | $ 33,729 | |
Total Short-Term Investments (identified cost $33,729) | $ 33,729 |
Total Investments — 100.8% (identified cost $4,913,632) | $ 5,068,539 | |
Other Assets, Less Liabilities — (0.8)% | $ (41,187) | |
Net Assets — 100.0% | $ 5,027,352 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of December 31, 2023. |
Economic Sectors | % of Net Assets |
Residential | 14.9% |
Retail | 13.6 |
Industrial | 13.5 |
Telecommunications REITs | 11.4 |
Diversified | 10.8 |
Self Storage | 8.0 |
Data Centers | 7.6 |
Health Care | 7.6 |
Office | 4.0 |
Lodging/Resorts | 3.8 |
Industrial/Office Mixed | 1.7 |
Timberland REITs | 1.7 |
Specialty | 1.5 |
Total | 100.1% |
Abbreviations: | |
REITs | – Real Estate Investment Trusts |
December 31, 2023 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $4,879,903) | $ 5,034,810 |
Investments in securities of affiliated issuers, at value (identified cost $33,729) | 33,729 |
Cash denominated in foreign currency, at value (cost $12,273) | 12,374 |
Receivable for capital shares sold | 32 |
Dividends receivable | 20,741 |
Dividends receivable - affiliated | 193 |
Tax reclaims receivable | 564 |
Receivable from affiliates | 13,111 |
Trustees' deferred compensation plan | 36 |
Total assets | $5,115,590 |
Liabilities | |
Payable to affiliates: | |
Investment advisory fee | $ 2,956 |
Administrative fee | 497 |
Distribution and service fees | 51 |
Sub-transfer agency fee | 67 |
Trustees' deferred compensation plan | 36 |
Accrued expenses | 84,631 |
Total liabilities | $ 88,238 |
Net Assets | $5,027,352 |
Sources of Net Assets | |
Paid-in capital | $ 5,710,532 |
Accumulated loss | (683,180) |
Net Assets | $5,027,352 |
Class A Shares | |
Net Assets | $ 72,071 |
Shares Outstanding | 8,484 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.49 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 8.96 |
Class C Shares | |
Net Assets | $ 43,800 |
Shares Outstanding | 5,154 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 8.50 |
Class I Shares | |
Net Assets | $ 4,864,141 |
Shares Outstanding | 572,472 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.50 |
December 31, 2023 | |
Class R6 Shares | |
Net Assets | $ 47,340 |
Shares Outstanding | 5,572 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.50 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Year Ended | |
December 31, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $5,542) | $ 150,178 |
Dividend income - affiliated issuers | 1,775 |
Total investment income | $ 151,953 |
Expenses | |
Investment advisory fee | $ 32,684 |
Administrative fee | 5,252 |
Distribution and service fees: | |
Class A | 162 |
Class C | 401 |
Trustees' fees and expenses | 299 |
Custodian fees | 11,314 |
Transfer agency fees and expenses | 1,425 |
Accounting fees | 839 |
Professional fees | 33,061 |
Offering costs | 28,432 |
Registration fees | 101,088 |
Reports to shareholders | 902 |
Miscellaneous | 10,971 |
Total expenses | $ 226,830 |
Waiver and/or reimbursement of expenses by affiliates | $ (184,949) |
Net expenses | $ 41,881 |
Net investment income | $ 110,072 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ (428,129) |
Capital gain distributions received | 7,606 |
Foreign currency transactions | (23) |
Net realized loss | $(420,546) |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 801,965 |
Foreign currency | 1 |
Net change in unrealized appreciation (depreciation) | $ 801,966 |
Net realized and unrealized gain | $ 381,420 |
Net increase in net assets from operations | $ 491,492 |
Year Ended December 31, | Period Ended December 31, | |
2023 | 2022 (1) | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 110,072 | $ 70,499 |
Net realized loss | (420,546) | (416,483) |
Net change in unrealized appreciation (depreciation) | 801,966 | (646,956) |
Net increase (decrease) in net assets from operations | $ 491,492 | $ (992,940) |
Distributions to shareholders: | ||
Class A | $ (1,471) | $ (1,164) |
Class C | (616) | (577) |
Class I | (109,105) | (83,453) |
Class R6 | (1,032) | (862) |
Total distributions to shareholders | $ (112,224) | $ (86,056) |
Capital share transactions: | ||
Class A | $ 7,461 | $ 74,008 |
Class C | 616 | 50,577 |
Class I | 606,541 | 4,933,553 |
Class R6 | 3,462 | 50,862 |
Net increase in net assets from capital share transactions | $ 618,080 | $5,109,000 |
Net increase in net assets | $ 997,348 | $4,030,004 |
Net Assets | ||
At beginning of period | $ 4,030,004 | $ — |
At end of period | $5,027,352 | $4,030,004 |
(1) | For the period from the commencement of operations on April 29, 2022 to December 31, 2022. |
Class A | ||
Year Ended December 31, 2023 | Period Ended December 31, 2022(1) | |
Net asset value — Beginning of period | $ 7.85 | $ 10.00 |
Income (Loss) From Operations | ||
Net investment income(2) | $ 0.18 | $ 0.13 |
Net realized and unrealized gain (loss) | 0.64 | (2.12) |
Total income (loss) from operations | $ 0.82 | $ (1.99) |
Less Distributions | ||
From net investment income | $ (0.18) | $ (0.16) |
Total distributions | $ (0.18) | $ (0.16) |
Net asset value — End of period | $ 8.49 | $ 7.85 |
Total Return(3) | 10.70% | (19.92)% (4) |
Ratios/Supplemental Data | ||
Net assets, end of period (000’s omitted) | $ 72 | $ 59 |
Ratios (as a percentage of average daily net assets):(5) | ||
Total expenses | 5.43% | 5.08% (6) |
Net expenses | 1.19% (7) | 1.20% (6)(7) |
Net investment income | 2.28% | 2.25% (6) |
Portfolio Turnover | 65% | 41% (4) |
(1) | For the period from the commencement of operations on April 29, 2022 to December 31, 2022. |
(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 a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended December 31, 2023 and the period ended December 31, 2022). |
Class C | ||
Year Ended December 31, 2023 | Period Ended December 31, 2022(1) | |
Net asset value — Beginning of period | $ 7.85 | $ 10.00 |
Income (Loss) From Operations | ||
Net investment income(2) | $ 0.12 | $ 0.08 |
Net realized and unrealized gain (loss) | 0.65 | (2.12) |
Total income (loss) from operations | $ 0.77 | $ (2.04) |
Less Distributions | ||
From net investment income | $ (0.12) | $ (0.11) |
Total distributions | $(0.12) | $ (0.11) |
Net asset value — End of period | $ 8.50 | $ 7.85 |
Total Return(3) | 9.88% | (20.36)% (4) |
Ratios/Supplemental Data | ||
Net assets, end of period (000’s omitted) | $ 44 | $ 40 |
Ratios (as a percentage of average daily net assets):(5) | ||
Total expenses | 6.18% | 5.83% (6) |
Net expenses | 1.94% (7) | 1.95% (6)(7) |
Net investment income | 1.51% | 1.46% (6) |
Portfolio Turnover | 65% | 41% (4) |
(1) | For the period from the commencement of operations on April 29, 2022 to December 31, 2022. |
(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 a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended December 31, 2023 and the period ended December 31, 2022). |
Class I | ||
Year Ended December 31, 2023 | Period Ended December 31, 2022(1) | |
Net asset value — Beginning of period | $ 7.85 | $ 10.00 |
Income (Loss) From Operations | ||
Net investment income(2) | $ 0.20 | $ 0.14 |
Net realized and unrealized gain (loss) | 0.65 | (2.12) |
Total income (loss) from operations | $ 0.85 | $ (1.98) |
Less Distributions | ||
From net investment income | $ (0.20) | $ (0.17) |
Total distributions | $ (0.20) | $ (0.17) |
Net asset value — End of period | $ 8.50 | $ 7.85 |
Total Return(3) | 11.11% | (19.79)% (4) |
Ratios/Supplemental Data | ||
Net assets, end of period (000’s omitted) | $ 4,864 | $ 3,891 |
Ratios (as a percentage of average daily net assets):(5) | ||
Total expenses | 5.17% | 4.83% (6) |
Net expenses | 0.94% (7) | 0.95% (6)(7) |
Net investment income | 2.53% | 2.46% (6) |
Portfolio Turnover | 65% | 41% (4) |
(1) | For the period from the commencement of operations on April 29, 2022 to December 31, 2022. |
(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 a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended December 31, 2023 and the period ended December 31, 2022). |
Class R6 | ||
Year Ended December 31, 2023 | Period Ended December 31, 2022(1) | |
Net asset value — Beginning of period | $ 7.85 | $ 10.00 |
Income (Loss) From Operations | ||
Net investment income(2) | $ 0.20 | $ 0.14 |
Net realized and unrealized gain (loss) | 0.65 | (2.12) |
Total income (loss) from operations | $ 0.85 | $ (1.98) |
Less Distributions | ||
From net investment income | $ (0.20) | $ (0.17) |
Total distributions | $ (0.20) | $ (0.17) |
Net asset value — End of period | $ 8.50 | $ 7.85 |
Total Return(3) | 10.97% | (19.79)% (4) |
Ratios/Supplemental Data | ||
Net assets, end of period (000’s omitted) | $ 47 | $ 40 |
Ratios (as a percentage of average daily net assets):(5) | ||
Total expenses | 5.18% | 4.83% (6) |
Net expenses | 0.94% (7) | 0.95% (6)(7) |
Net investment income | 2.51% | 2.46% (6) |
Portfolio Turnover | 65% | 41% (4) |
(1) | For the period from the commencement of operations on April 29, 2022 to December 31, 2022. |
(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 a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended December 31, 2023 and the period ended December 31, 2022). |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks: | ||||
Australia | $ — | $ 203,427 | $ — | $ 203,427 |
Belgium | — | 114,399 | — | 114,399 |
Canada | 104,652 | — | — | 104,652 |
France | — | 113,811 | — | 113,811 |
Germany | — | 115,960 | — | 115,960 |
Hong Kong | — | 125,100 | — | 125,100 |
Japan | — | 481,137 | — | 481,137 |
Netherlands | — | 20,949 | — | 20,949 |
Singapore | — | 54,149 | — | 54,149 |
Spain | — | 42,825 | — | 42,825 |
Sweden | — | 55,979 | — | 55,979 |
Switzerland | — | 28,661 | — | 28,661 |
United Kingdom | — | 129,636 | — | 129,636 |
United States | 3,444,125 | — | — | 3,444,125 |
Total Common Stocks | $3,548,777 | $1,486,033 (1) | $ — | $5,034,810 |
Short-Term Investments | $ 33,729 | $ — | $ — | $ 33,729 |
Total Investments | $3,582,506 | $1,486,033 | $ — | $5,068,539 |
(1) | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
Year Ended December 31, 2023 | Period Ended December 31, 2022 | |
Ordinary income | $112,224 | $86,056 |
Undistributed ordinary income | $ 17,127 |
Deferred capital losses | (798,414) |
Net unrealized appreciation | 98,107 |
Accumulated loss | $(683,180) |
Aggregate cost | $4,970,537 |
Gross unrealized appreciation | $ 329,127 |
Gross unrealized depreciation | (231,125) |
Net unrealized appreciation | $ 98,002 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $54,780 | $1,143,836 | $(1,164,887) | $ — | $ — | $33,729 | $1,775 | 33,729 |
Year Ended December 31, 2023 | Period Ended December 31, 2022(1) | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 941 | $ 7,710 | 7,435 | $ 72,910 | |
Reinvestment of distributions | 192 | 1,471 | 147 | 1,164 | |
Shares redeemed | (223) | (1,720) | (8) | (66) | |
Net increase | 910 | $ 7,461 | 7,574 | $ 74,008 | |
Class C | |||||
Shares sold | — | $ — | 5,000 | $ 50,000 | |
Reinvestment of distributions | 81 | 616 | 73 | 577 | |
Net increase | 81 | $ 616 | 5,073 | $ 50,577 | |
Class I | |||||
Shares sold | 63,630 | $ 504,867 | 485,013 | $ 4,850,100 | |
Reinvestment of distributions | 13,302 | 101,780 | 10,540 | 83,453 | |
Shares redeemed | (13) | (106) | — | — | |
Net increase | 76,919 | $606,541 | 495,553 | $4,933,553 |
Year Ended December 31, 2023 | Period Ended December 31, 2022(1) | ||||
Shares | Amount | Shares | Amount | ||
Class R6 | |||||
Shares sold | 328 | $ 2,430 | 5,000 | $ 50,000 | |
Reinvestment of distributions | 135 | 1,032 | 109 | 862 | |
Net increase | 463 | $ 3,462 | 5,109 | $ 50,862 |
(1) | For the period from the commencement of operations on April 29, 2022 to December 31, 2022. |
Boston, Massachusetts
February 23, 2024
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Von M. Hughes(1) 1969 | Trustee and President | Since 2023 | President and Chief Executive Officer and Managing Director of Calvert Research and Management. Managing Director of Morgan Stanley Investment Management (MSIM) (since 2022). Formerly, Managing Director of PAAMCO Prisma (investment management firm) (2003-2022). Mr. Hughes is an interested person because of his positions with CRM and certain affiliates. Other Directorships. Tradeweb Markets Inc. (financial services) (2021-2022); National Association of Investment Companies (2018-2021). |
Noninterested Trustees | |||
Alice Gresham Bullock 1950 | Chair and Trustee | Since 2016 | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships. None. |
Cari M. Dominguez 1949 | Trustee | Since 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships. ManpowerGroup Inc. (workforce solutions company); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
Karen Fang(2) 1958 | Trustee | Since 2023 | Formerly, Managing Director, Wealth Management at GAMCO Asset Management (asset management firm) (2020-2023). Formerly, Managing Director, Senior Portfolio Manager of Fiduciary Trust Company International (wealth management firm) (1993-2019). Other Directorships. None. |
Miles D. Harper, III 1962 | Trustee | Since 2016 | Private investor (2022-present). Formerly, Partner, Carr Riggs & Ingram (public accounting firm) (2014-2022). Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram) (1999-2014). Other Directorships. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Trustee | Since 2016 | Attorney. Other Directorships. Palm Management Corporation. |
Eddie Ramos(2) 1967 | Trustee | Since 2023 | Private investor (2022-present). Formerly, Head of External Advisors/Diversity Portfolio Management at the New Jersey Division of Investment (2020-2022). Formerly, Chief Investment Officer and Lead Portfolio Manager – Global Fundamental Equities at Cornerstone Capital Management (asset management firm) (2011-2017). Other Directorships. Macquarie Optimum Funds (6) (asset management) (2022-2023). |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Anthony A. Williams 1951 | Trustee | Since 2010 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization); The Howard Hughes Corporation (real estate development); Old Dominion National Bank. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Hope L. Brown 1973 | Chief Compliance Officer | Since 2014 | Chief Compliance Officer of 46 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). |
Deidre E. Walsh 1971 | Secretary, Vice President and Chief Legal Officer | Since 2021 | Vice President of CRM and officer of 46 registered investment companies advised by CRM (since 2021). Also Vice President of Eaton Vance and certain of its affiliates and officer of 127 registered investment companies advised or administered by Eaton Vance. |
James F. Kirchner 1967 | Treasurer | Since 2016 | Vice President of CRM and officer of 46 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 127 registered investment companies advised or administered by Eaton Vance. |
(1) Mr. Hughes is an interested person of the Fund because of his positions with the Fund’s adviser and certain affiliates. | |||
(2) Ms. Fang and Mr. Ramos began serving as Trustees effective October 30, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Cumulative Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception |
Class A at NAV | 05/31/2023 | 05/31/2023 | —% | —% | 12.40% |
Class A with 5.25% Maximum Sales Charge | — | — | — | — | 6.54 |
Class C at NAV | 05/31/2023 | 05/31/2023 | — | — | 11.90 |
Class C with 1% Maximum Deferred Sales Charge | — | — | — | — | 10.90 |
Class I at NAV | 05/31/2023 | 05/31/2023 | — | — | 12.53 |
Class R6 at NAV | 05/31/2023 | 05/31/2023 | — | — | 12.54 |
MSCI Emerging Markets Index | — | — | 9.83% | 3.68% | 8.69% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
Gross | 1.41% | 2.16% | 1.16% | 1.16% |
Net | 1.24 | 1.99 | 0.99 | 0.99 |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 05/31/2023 | $11,190 | N.A. |
Class I, at minimum investment | $1,000,000 | 05/31/2023 | $1,125,349 | N.A. |
Class R6, at minimum investment | $5,000,000 | 05/31/2023 | $5,626,797 | N.A. |
Sector Allocation (% of net assets)1 |
Top 10 Holdings (% of net assets)1 | |
MercadoLibre, Inc. | 7.7% |
Taiwan Semiconductor Manufacturing Co., Ltd. | 6.8 |
Trent, Ltd. | 5.3 |
NU Holdings, Ltd., Class A | 5.3 |
Globant S.A. | 4.9 |
Localiza Rent a Car S.A. | 4.6 |
SK Hynix, Inc. | 4.2 |
Bajaj Finance, Ltd. | 3.9 |
Aarti Industries, Ltd. | 3.9 |
Avenue Supermarts, Ltd. | 3.9 |
Total | 50.5% |
1 | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
1 | MSCI Emerging Markets Index is an unmanaged index of emerging markets common stocks. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 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 | Cumulative Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Cumulative 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’s inception, as applicable. Performance for periods of more than one year represents the average annual total return for such period. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/24. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (7/1/23) | Ending Account Value (12/31/23) | Expenses Paid During Period* (7/1/23 – 12/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,083.90 | $ 6.51** | 1.24% |
Class C | $1,000.00 | $1,079.10 | $10.43 ** | 1.99% |
Class I | $1,000.00 | $1,085.20 | $ 5.20** | 0.99% |
Class R6 | $1,000.00 | $1,085.20 | $ 5.20** | 0.99% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,018.95 | $ 6.31** | 1.24% |
Class C | $1,000.00 | $1,015.17 | $10.11 ** | 1.99% |
Class I | $1,000.00 | $1,020.21 | $ 5.04** | 0.99% |
Class R6 | $1,000.00 | $1,020.21 | $ 5.04** | 0.99% |
* | Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on June 30, 2023. |
** | Absent a waiver and/or reimbursement of expenses by affiliate(s), expenses would be higher. |
Common Stocks — 97.7% |
Security | Shares | Value | |
Argentina — 7.7% | |||
MercadoLibre, Inc.(1) | 277 | $ 435,316 | |
$ 435,316 | |||
Brazil — 16.9% | |||
Banco BTG Pactual S.A. | 14,545 | $ 112,499 | |
Itau Unibanco Holding S.A., PFC Shares | 13,280 | 92,395 | |
Localiza Rent a Car S.A. | 19,589 | 256,475 | |
NU Holdings, Ltd., Class A(1) | 35,845 | 298,589 | |
Raia Drogasil S.A. | 31,273 | 189,314 | |
WEG S.A. | 376 | 2,856 | |
$ 952,128 | |||
China — 4.4% | |||
BYD Co., Ltd., Class H | 7,000 | $ 193,093 | |
China MeiDong Auto Holdings, Ltd. | 44,000 | 26,798 | |
Yum China Holdings, Inc. | 700 | 29,804 | |
$ 249,695 | |||
India — 36.8% | |||
Aarti Industries, Ltd. | 28,312 | $ 220,917 | |
Astral, Ltd. | 5,096 | 116,964 | |
AU Small Finance Bank, Ltd.(2) | 18,946 | 178,569 | |
Avenue Supermarts, Ltd.(1)(2) | 4,484 | 218,697 | |
Bajaj Finance, Ltd. | 2,524 | 221,704 | |
GMR Airports Infrastructure, Ltd.(1) | 109,083 | 105,571 | |
ICICI Bank, Ltd. | 14,720 | 176,219 | |
Laurus Labs, Ltd.(2) | 1,801 | 9,314 | |
LTIMindtree, Ltd.(2) | 1,567 | 118,128 | |
Titan Co., Ltd. | 4,818 | 213,256 | |
Trent, Ltd. | 8,193 | 300,207 | |
TVS Motor Co., Ltd. | 7,748 | 188,736 | |
$2,068,282 | |||
Indonesia — 2.1% | |||
Bank Central Asia Tbk PT | 95,600 | $ 58,383 | |
Bank Mandiri Persero Tbk PT | 145,500 | 57,158 | |
$ 115,541 | |||
Mexico — 3.9% | |||
Grupo Aeroportuario del Sureste SAB de CV | 1,970 | $ 57,889 | |
Grupo Financiero Banorte SAB de CV, Class O | 11,896 | 119,864 | |
Wal-Mart de Mexico SAB de CV | 9,985 | 41,978 | |
$ 219,731 | |||
Poland — 1.0% | |||
Dino Polska S.A.(1)(2) | 501 | $ 58,660 | |
$ 58,660 | |||
South Korea — 7.7% | |||
Samsung Electronics Co., Ltd. | 3,307 | $ 200,724 |
Security | Shares | Value | |
South Korea (continued) | |||
SK Hynix, Inc. | 2,143 | $ 233,883 | |
$ 434,607 | |||
Taiwan — 12.2% | |||
Delta Electronics, Inc. | 10,000 | $ 101,984 | |
Taiwan Semiconductor Manufacturing Co., Ltd. | 20,000 | 383,431 | |
Unimicron Technology Corp. | 16,000 | 91,416 | |
Voltronic Power Technology Corp. | 2,000 | 111,226 | |
$ 688,057 | |||
United States — 0.1% | |||
EPAM Systems, Inc.(1) | 10 | $ 2,973 | |
$ 2,973 | |||
Uruguay — 4.9% | |||
Globant S.A.(1) | 1,151 | $ 273,915 | |
$ 273,915 | |||
Total Common Stocks (identified cost $4,723,329) | $5,498,905 |
Rights — 0.0%(3) |
Security | Shares | Value | |
Brazil — 0.0%(3) | |||
Localiza Rent a Car S.A., Exp. 2/5/24(1) | 70 | $ 288 | |
Total Rights (identified cost $0) | $ 288 |
Short-Term Investments — 2.1% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(4) | 116,094 | $ 116,094 | |
Total Short-Term Investments (identified cost $116,094) | $ 116,094 |
Total Investments — 99.8% (identified cost $4,839,423) | $5,615,287 | |
Other Assets, Less Liabilities — 0.2% | $ 12,829 | |
Net Assets — 100.0% | $5,628,116 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At December 31, 2023, the aggregate value of these securities is $583,368 or 10.4% of the Fund's net assets. |
(3) | Amount is less than 0.05%. |
(4) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of December 31, 2023. |
Economic Sectors | % of Net Assets |
Information Technology | 25.0% |
Consumer Discretionary | 24.6 |
Financials | 23.4 |
Industrials | 11.6 |
Consumer Staples | 9.0 |
Materials | 3.9 |
Health Care | 0.2 |
Total | 97.7% |
Abbreviations: | |
PFC Shares | – Preference Shares |
December 31, 2023 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $4,723,329) | $ 5,499,193 |
Investments in securities of affiliated issuers, at value (identified cost $116,094) | 116,094 |
Cash | 71 |
Cash denominated in foreign currency, at value (cost $1,878) | 1,884 |
Dividends receivable | 5,240 |
Dividends receivable - affiliated | 259 |
Receivable from affiliates | 38,930 |
Trustees' deferred compensation plan | 15 |
Other assets | 39,194 |
Deferred offering costs | 47,705 |
Total assets | $5,748,585 |
Liabilities | |
Payable for foreign capital gains taxes | $ 60,390 |
Payable to affiliates: | |
Investment advisory fee | 3,490 |
Administrative fee | 560 |
Distribution and service fees | 58 |
Sub-transfer agency fee | 50 |
Trustees' deferred compensation plan | 15 |
Accrued expenses | 55,906 |
Total liabilities | $ 120,469 |
Net Assets | $5,628,116 |
Sources of Net Assets | |
Paid-in capital | $ 4,994,512 |
Distributable earnings | 633,604 |
Net Assets | $5,628,116 |
Class A Shares | |
Net Assets | $ 56,203 |
Shares Outstanding | 5,000 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 11.24 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 11.86 |
Class C Shares | |
Net Assets | $ 55,956 |
Shares Outstanding | 5,000 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 11.19 |
Class I Shares | |
Net Assets | $ 5,459,672 |
Shares Outstanding | 485,582 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 11.24 |
December 31, 2023 | |
Class R6 Shares | |
Net Assets | $ 56,285 |
Shares Outstanding | 5,006 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 11.24 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Period Ended | |
December 31, 2023(1) | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $6,945) | $ 43,280 |
Dividend income - affiliated issuers | 3,128 |
Total investment income | $ 46,408 |
Expenses | |
Investment advisory fee | $ 22,651 |
Administrative fee | 3,624 |
Distribution and service fees: | |
Class A | 76 |
Class C | 301 |
Trustees' fees and expenses | 174 |
Custodian fees | 1,946 |
Transfer agency fees and expenses | 300 |
Accounting fees | 4,170 |
Professional fees | 41,828 |
Offering costs | 67,476 |
Registration fees | 3,754 |
Reports to shareholders | 2,706 |
Miscellaneous | 14,538 |
Total expenses | $ 163,544 |
Waiver and/or reimbursement of expenses by affiliates | $ (133,303) |
Net expenses | $ 30,241 |
Net investment income | $ 16,167 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities (net of foreign capital gains taxes of $1,266) | $ (83,416) |
Foreign currency transactions | (20,168) |
Net realized loss | $(103,584) |
Change in unrealized appreciation (depreciation): | |
Investment securities (including net increase in payable for foreign capital gains taxes of $60,390) | $ 715,474 |
Foreign currency | 59 |
Net change in unrealized appreciation (depreciation) | $ 715,533 |
Net realized and unrealized gain | $ 611,949 |
Net increase in net assets from operations | $ 628,116 |
(1) | For the period from the commencement of operations, May 31, 2023, to December 31, 2023. |
Period Ended December 31, 2023(1) | |
Increase (Decrease) in Net Assets | |
From operations: | |
Net investment income | $ 16,167 |
Net realized loss | (103,584) |
Net change in unrealized appreciation (depreciation) | 715,533 |
Net increase in net assets from operations | $ 628,116 |
Distributions to shareholders: | |
Class I | $ (6,451) |
Class R6 | (67) |
Total distributions to shareholders | $ (6,518) |
Capital share transactions: | |
Class A | $ 50,000 |
Class C | 50,000 |
Class I | 4,856,451 |
Class R6 | 50,067 |
Net increase in net assets from capital share transactions | $5,006,518 |
Net increase in net assets | $5,628,116 |
Net Assets | |
At beginning of period | $ — |
At end of period | $5,628,116 |
(1) | For the period from the commencement of operations, May 31, 2023, to December 31, 2023. |
Class A | |
Period Ended December 31, 2023(1) | |
Net asset value — Beginning of period | $ 10.00 |
Income (Loss) From Operations | |
Net investment income(2) | $ 0.02 |
Net realized and unrealized gain | 1.22 |
Total income from operations | $ 1.24 |
Net asset value — End of period | $11.24 |
Total Return(3) | 12.40% (4) |
Ratios/Supplemental Data | |
Net assets, end of period (000’s omitted) | $ 56 |
Ratios (as a percentage of average daily net assets):(5) | |
Total expenses | 5.64% (6) |
Net expenses | 1.24% (6)(7) |
Net investment income | 0.30% (6) |
Portfolio Turnover | 29% (4) |
(1) | For the period from the commencement of operations, May 31, 2023, to December 31, 2023. |
(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 a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the period ended December 31, 2023). |
Class C | |
Period Ended December 31, 2023(1) | |
Net asset value — Beginning of period | $ 10.00 |
Income (Loss) From Operations | |
Net investment loss(2) | $ (0.03) |
Net realized and unrealized gain | 1.22 |
Total income from operations | $ 1.19 |
Net asset value — End of period | $11.19 |
Total Return(3) | 11.90% (4) |
Ratios/Supplemental Data | |
Net assets, end of period (000’s omitted) | $ 56 |
Ratios (as a percentage of average daily net assets):(5) | |
Total expenses | 6.39% (6) |
Net expenses | 1.99% (6)(7) |
Net investment loss | (0.45)% (6) |
Portfolio Turnover | 29% (4) |
(1) | For the period from the commencement of operations, May 31, 2023, to December 31, 2023. |
(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 a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the period ended December 31, 2023). |
Class I | |
Period Ended December 31, 2023(1) | |
Net asset value — Beginning of period | $ 10.00 |
Income (Loss) From Operations | |
Net investment income(2) | $ 0.03 |
Net realized and unrealized gain | 1.22 |
Total income from operations | $ 1.25 |
Less Distributions | |
From net investment income | $ (0.01) |
Total distributions | $ (0.01) |
Net asset value — End of period | $11.24 |
Total Return(3) | 12.53% (4) |
Ratios/Supplemental Data | |
Net assets, end of period (000’s omitted) | $ 5,460 |
Ratios (as a percentage of average daily net assets):(5) | |
Total expenses | 5.40% (6) |
Net expenses | 0.99% (6)(7) |
Net investment income | 0.55% (6) |
Portfolio Turnover | 29% (4) |
(1) | For the period from the commencement of operations, May 31, 2023, to December 31, 2023. |
(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 a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the period ended December 31, 2023). |
Class R6 | |
Period Ended December 31, 2023(1) | |
Net asset value — Beginning of period | $ 10.00 |
Income (Loss) From Operations | |
Net investment income(2) | $ 0.03 |
Net realized and unrealized gain | 1.22 |
Total income from operations | $ 1.25 |
Less Distributions | |
From net investment income | $ (0.01) |
Total distributions | $ (0.01) |
Net asset value — End of period | $11.24 |
Total Return(3) | 12.54% (4) |
Ratios/Supplemental Data | |
Net assets, end of period (000’s omitted) | $ 56 |
Ratios (as a percentage of average daily net assets):(5) | |
Total expenses | 5.39% (6) |
Net expenses | 0.99% (6)(7) |
Net investment income | 0.55% (6) |
Portfolio Turnover | 29% (4) |
(1) | For the period from the commencement of operations, May 31, 2023, to December 31, 2023. |
(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 a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the period ended December 31, 2023). |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks: | ||||
Argentina | $ 435,316 | $ — | $ — | $ 435,316 |
Brazil | 298,589 | 653,539 | — | 952,128 |
China | — | 249,695 | — | 249,695 |
India | — | 2,068,282 | — | 2,068,282 |
Indonesia | — | 115,541 | — | 115,541 |
Mexico | 219,731 | — | — | 219,731 |
Poland | — | 58,660 | — | 58,660 |
South Korea | — | 434,607 | — | 434,607 |
Taiwan | — | 688,057 | — | 688,057 |
United States | 2,973 | — | — | 2,973 |
Uruguay | 273,915 | — | — | 273,915 |
Total Common Stocks | $1,230,524 | $4,268,381 (1) | $ — | $5,498,905 |
Rights | $ 288 | $ — | $ — | $ 288 |
Short-Term Investments | 116,094 | — | — | 116,094 |
Total Investments | $1,346,906 | $4,268,381 | $ — | $5,615,287 |
(1) | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
Period Ended December 31, 2023 | |
Ordinary income | $6,518 |
Undistributed ordinary income | $ 221 |
Deferred capital losses | (78,901) |
Net unrealized appreciation | 712,284 |
Distributable earnings | $633,604 |
Aggregate cost | $4,842,673 |
Gross unrealized appreciation | $ 837,867 |
Gross unrealized depreciation | (65,253) |
Net unrealized appreciation | $ 772,614 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $ — | $3,341,643 | $(3,225,549) | $ — | $ — | $116,094 | $3,128 | 116,094 |
Period Ended December 31, 2023(1) | ||
Shares | Amount | |
Class A | ||
Shares sold | 5,000 | $ 50,000 |
Net increase | 5,000 | $ 50,000 |
Class C | ||
Shares sold | 5,000 | $ 50,000 |
Net increase | 5,000 | $ 50,000 |
Class I | ||
Shares sold | 485,000 | $ 4,850,000 |
Reinvestment of distributions | 582 | 6,451 |
Net increase | 485,582 | $4,856,451 |
Period Ended December 31, 2023(1) | ||
Shares | Amount | |
Class R6 | ||
Shares sold | 5,000 | $ 50,000 |
Reinvestment of distributions | 6 | 67 |
Net increase | 5,006 | $ 50,067 |
(1) | For the period from the commencement of operations, May 31, 2023, to December 31, 2023. |
Boston, Massachusetts
February 23, 2024
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Von M. Hughes(1) 1969 | Trustee and President | Since 2023 | President and Chief Executive Officer and Managing Director of Calvert Research and Management. Managing Director of Morgan Stanley Investment Management (MSIM) (since 2022). Formerly, Managing Director of PAAMCO Prisma (investment management firm) (2003-2022). Mr. Hughes is an interested person because of his positions with CRM and certain affiliates. Other Directorships. Tradeweb Markets Inc. (financial services) (2021-2022); National Association of Investment Companies (2018-2021). |
Noninterested Trustees | |||
Alice Gresham Bullock 1950 | Chair and Trustee | Since 2016 | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships. None. |
Cari M. Dominguez 1949 | Trustee | Since 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships. ManpowerGroup Inc. (workforce solutions company); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
Karen Fang(2) 1958 | Trustee | Since 2023 | Formerly, Managing Director, Wealth Management at GAMCO Asset Management (asset management firm) (2020-2023). Formerly, Managing Director, Senior Portfolio Manager of Fiduciary Trust Company International (wealth management firm) (1993-2019). Other Directorships. None. |
Miles D. Harper, III 1962 | Trustee | Since 2016 | Private investor (2022-present). Formerly, Partner, Carr Riggs & Ingram (public accounting firm) (2014-2022). Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram) (1999-2014). Other Directorships. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Trustee | Since 2016 | Attorney. Other Directorships. Palm Management Corporation. |
Eddie Ramos(2) 1967 | Trustee | Since 2023 | Private investor (2022-present). Formerly, Head of External Advisors/Diversity Portfolio Management at the New Jersey Division of Investment (2020-2022). Formerly, Chief Investment Officer and Lead Portfolio Manager – Global Fundamental Equities at Cornerstone Capital Management (asset management firm) (2011-2017). Other Directorships. Macquarie Optimum Funds (6) (asset management) (2022-2023). |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Anthony A. Williams 1951 | Trustee | Since 2010 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization); The Howard Hughes Corporation (real estate development); Old Dominion National Bank. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Hope L. Brown 1973 | Chief Compliance Officer | Since 2014 | Chief Compliance Officer of 46 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). |
Deidre E. Walsh 1971 | Secretary, Vice President and Chief Legal Officer | Since 2021 | Vice President of CRM and officer of 46 registered investment companies advised by CRM (since 2021). Also Vice President of Eaton Vance and certain of its affiliates and officer of 127 registered investment companies advised or administered by Eaton Vance. |
James F. Kirchner 1967 | Treasurer | Since 2016 | Vice President of CRM and officer of 46 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 127 registered investment companies advised or administered by Eaton Vance. |
(1) Mr. Hughes is an interested person of the Fund because of his positions with the Fund’s adviser and certain affiliates. | |||
(2) Ms. Fang and Mr. Ramos began serving as Trustees effective October 30, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 04/22/1968 | 04/22/1968 | 13.44% | 10.07% | 7.28% |
Class A with 5.25% Maximum Sales Charge | — | — | 7.49 | 8.89 | 6.70 |
Class C at NAV | 11/17/1994 | 04/22/1968 | 12.58 | 9.25 | 6.47 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 11.58 | 9.25 | 6.47 |
Class I at NAV | 07/29/2011 | 04/22/1968 | 13.77 | 10.34 | 7.55 |
Russell 2500™ Index | — | — | 17.42% | 11.67% | 8.36% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
Gross | 1.25% | 2.00% | 1.00% |
Net | 1.14 | 1.89 | 0.89 |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 12/31/2013 | $18,733 | N.A. |
Class I, at minimum investment | $1,000,000 | 12/31/2013 | $2,071,480 | N.A. |
Top 10 Holdings (% of net assets)1 | |
Core & Main, Inc., Class A | 3.1% |
CBIZ, Inc. | 2.9 |
Cooper Cos., Inc. (The) | 2.7 |
Chemed Corp. | 2.6 |
Dorman Products, Inc. | 2.5 |
AptarGroup, Inc. | 2.5 |
Equity LifeStyle Properties, Inc. | 2.3 |
Rexford Industrial Realty, Inc. | 2.3 |
EastGroup Properties, Inc. | 2.2 |
Domino's Pizza, Inc. | 2.2 |
Total | 25.3% |
1 | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
1 | Russell 2500™ Index is an unmanaged index of approximately 2,500 small-and mid-cap U.S. stocks. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase.Performance prior to September 16, 2023 is that of Eaton Vance Special Equities Fund (the Predecessor Fund). The Fund acquired the performance history of the Predecessor Fund as part of a reorganization that took place at the close of business on September 15, 2023. The Predecessor Fund did not follow the Calvert Principles for Responsible Investment and, accordingly, the performance of the Predecessor Fund may not be indicative of how the Fund may have performed. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 9/15/28. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Additional Information | |
S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. 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. Nasdaq Composite Index is a market capitalization-weighted index of all domestic and international securities listed on Nasdaq. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. | |
Important Notice to Shareholders | |
At the close of business on September 15, 2023, the Fund acquired the net assets of Eaton Vance Special Equities Fund (the Predecessor Fund) pursuant to an Agreement and Plan of Reorganization approved by shareholders of the Predecessor Fund. The Fund was created to carry out the reorganization and has a substantially similar investment objective as the Predecessor Fund. |
Beginning Account Value (7/1/23) | Ending Account Value (12/31/23) | Expenses Paid During Period* (7/1/23 – 12/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,040.90 | $6.02 ** | 1.17% |
Class C | $1,000.00 | $1,036.80 | $9.86 ** | 1.92% |
Class I | $1,000.00 | $1,042.40 | $4.74 ** | 0.92% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.31 | $5.96 ** | 1.17% |
Class C | $1,000.00 | $1,015.53 | $9.75 ** | 1.92% |
Class I | $1,000.00 | $1,020.57 | $4.69 ** | 0.92% |
* | Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on June 30, 2023. |
** | Absent a waiver and/or reimbursement of expenses by affiliate(s), expenses would be higher. |
Common Stocks — 97.8% |
Security | Shares | Value | |
Aerospace & Defense — 2.2% | |||
Hexcel Corp. | 5,673 | $ 418,384 | |
Woodward, Inc. | 6,891 | 938,072 | |
$ 1,356,456 | |||
Automobile Components — 3.6% | |||
Atmus Filtration Technologies, Inc.(1) | 14,342 | $ 336,894 | |
Dorman Products, Inc.(1) | 18,566 | 1,548,590 | |
Visteon Corp.(1) | 2,555 | 319,119 | |
$ 2,204,603 | |||
Automobiles — 0.5% | |||
Harley-Davidson, Inc. | 8,340 | $ 307,246 | |
$ 307,246 | |||
Banks — 3.7% | |||
Commerce Bancshares, Inc. | 23,473 | $ 1,253,674 | |
SouthState Corp. | 12,150 | 1,026,068 | |
$ 2,279,742 | |||
Biotechnology — 1.0% | |||
Neurocrine Biosciences, Inc.(1) | 4,719 | $ 621,775 | |
$ 621,775 | |||
Building Products — 3.6% | |||
AAON, Inc. | 11,271 | $ 832,588 | |
AZEK Co., Inc. (The)(1) | 27,118 | 1,037,263 | |
Janus International Group, Inc.(1) | 28,011 | 365,544 | |
$ 2,235,395 | |||
Capital Markets — 5.1% | |||
LPL Financial Holdings, Inc. | 3,921 | $ 892,498 | |
MarketAxess Holdings, Inc. | 3,281 | 960,841 | |
Tradeweb Markets, Inc., Class A | 14,284 | 1,298,130 | |
$ 3,151,469 | |||
Chemicals — 1.9% | |||
Quaker Chemical Corp. | 5,431 | $ 1,159,084 | |
$ 1,159,084 | |||
Commercial Services & Supplies — 2.1% | |||
Rentokil Initial PLC ADR | 44,537 | $ 1,274,204 | |
$ 1,274,204 | |||
Consumer Staples Distribution & Retail — 2.8% | |||
Casey's General Stores, Inc. | 2,231 | $ 612,945 | |
Performance Food Group Co.(1) | 15,701 | 1,085,724 | |
$ 1,698,669 |
Security | Shares | Value | |
Containers & Packaging — 2.5% | |||
AptarGroup, Inc. | 12,324 | $ 1,523,493 | |
$ 1,523,493 | |||
Electric Utilities — 1.9% | |||
Alliant Energy Corp. | 22,145 | $ 1,136,038 | |
$ 1,136,038 | |||
Electrical Equipment — 0.6% | |||
Generac Holdings, Inc.(1) | 2,673 | $ 345,458 | |
$ 345,458 | |||
Financial Services — 0.6% | |||
Euronet Worldwide, Inc.(1) | 3,662 | $ 371,656 | |
$ 371,656 | |||
Food Products — 1.2% | |||
Lancaster Colony Corp. | 1,580 | $ 262,896 | |
Simply Good Foods Co. (The)(1) | 11,276 | 446,530 | |
$ 709,426 | |||
Ground Transportation — 1.0% | |||
Landstar System, Inc. | 3,095 | $ 599,347 | |
$ 599,347 | |||
Health Care Equipment & Supplies — 6.2% | |||
Cooper Cos., Inc. (The) | 4,349 | $ 1,645,835 | |
Envista Holdings Corp.(1) | 21,027 | 505,910 | |
Neogen Corp.(1) | 22,669 | 455,874 | |
Teleflex, Inc. | 4,741 | 1,182,121 | |
$ 3,789,740 | |||
Health Care Providers & Services — 4.0% | |||
Addus HomeCare Corp.(1) | 4,142 | $ 384,584 | |
Chemed Corp. | 2,701 | 1,579,410 | |
R1 RCM, Inc.(1) | 48,391 | 511,493 | |
$ 2,475,487 | |||
Hotels, Restaurants & Leisure — 6.1% | |||
Aramark | 18,347 | $ 515,551 | |
Domino's Pizza, Inc. | 3,207 | 1,322,021 | |
Papa John's International, Inc. | 3,196 | 243,631 | |
Texas Roadhouse, Inc. | 3,725 | 455,307 | |
Wyndham Hotels & Resorts, Inc. | 14,992 | 1,205,507 | |
$ 3,742,017 | |||
Industrial REITs — 4.5% | |||
EastGroup Properties, Inc. | 7,393 | $ 1,356,911 | |
Rexford Industrial Realty, Inc. | 24,412 | 1,369,513 | |
$ 2,726,424 |
Security | Shares | Value | |
Insurance — 9.1% | |||
First American Financial Corp. | 4,747 | $ 305,897 | |
RLI Corp. | 9,576 | 1,274,757 | |
Ryan Specialty Holdings, Inc.(1) | 10,456 | 449,817 | |
Selective Insurance Group, Inc. | 11,092 | 1,103,432 | |
W.R. Berkley Corp. | 18,662 | 1,319,777 | |
White Mountains Insurance Group, Ltd. | 744 | 1,119,727 | |
$ 5,573,407 | |||
Leisure Products — 0.5% | |||
Brunswick Corp. | 2,908 | $ 281,349 | |
$ 281,349 | |||
Machinery — 7.2% | |||
Albany International Corp., Class A | 11,201 | $ 1,100,162 | |
Graco, Inc. | 13,006 | 1,128,400 | |
Middleby Corp. (The)(1) | 8,722 | 1,283,617 | |
Nordson Corp. | 3,435 | 907,390 | |
$ 4,419,569 | |||
Multi-Utilities — 1.8% | |||
CMS Energy Corp. | 19,295 | $ 1,120,461 | |
$ 1,120,461 | |||
Pharmaceuticals — 1.2% | |||
Jazz Pharmaceuticals PLC(1) | 5,916 | $ 727,668 | |
$ 727,668 | |||
Professional Services — 4.9% | |||
CBIZ, Inc.(1) | 28,060 | $ 1,756,275 | |
Ceridian HCM Holding, Inc.(1) | 7,546 | 506,488 | |
NV5 Global, Inc.(1) | 6,408 | 712,057 | |
$ 2,974,820 | |||
Residential REITs — 2.3% | |||
Equity LifeStyle Properties, Inc. | 20,274 | $ 1,430,128 | |
$ 1,430,128 | |||
Semiconductors & Semiconductor Equipment — 0.9% | |||
Diodes, Inc.(1) | 6,712 | $ 540,450 | |
$ 540,450 | |||
Software — 8.3% | |||
Altair Engineering, Inc., Class A(1) | 6,500 | $ 546,975 | |
Clearwater Analytics Holdings, Inc., Class A(1) | 29,000 | 580,870 | |
Envestnet, Inc.(1) | 14,571 | 721,556 | |
Fair Isaac Corp.(1) | 523 | 608,777 | |
PowerSchool Holdings, Inc., Class A(1) | 24,053 | 566,688 | |
Progress Software Corp. | 11,287 | 612,884 | |
SPS Commerce, Inc.(1) | 2,683 | 520,073 |
Security | Shares | Value | |
Software (continued) | |||
Tyler Technologies, Inc.(1) | 2,181 | $ 911,920 | |
�� | $ 5,069,743 | ||
Specialized REITs — 1.8% | |||
CubeSmart | 24,188 | $ 1,121,114 | |
$ 1,121,114 | |||
Specialty Retail — 1.1% | |||
Burlington Stores, Inc.(1) | 2,440 | $ 474,531 | |
RH (1) | 787 | 229,395 | |
$ 703,926 | |||
Trading Companies & Distributors — 3.6% | |||
Core & Main, Inc., Class A(1) | 46,717 | $ 1,887,834 | |
Herc Holdings, Inc. | 2,121 | 315,796 | |
$ 2,203,630 | |||
Total Common Stocks (identified cost $48,839,003) | $59,873,994 |
Short-Term Investments — 2.1% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(2) | 1,292,607 | $ 1,292,607 | |
Total Short-Term Investments (identified cost $1,292,607) | $ 1,292,607 | ||
Total Investments — 99.9% (identified cost $50,131,610) | $61,166,601 | ||
Other Assets, Less Liabilities — 0.1% | $ 58,502 | ||
Net Assets — 100.0% | $61,225,103 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of December 31, 2023. |
Abbreviations: | |
ADR | – American Depositary Receipt |
REITs | – Real Estate Investment Trusts |
December 31, 2023 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $48,839,003) | $ 59,873,994 |
Investments in securities of affiliated issuers, at value (identified cost $1,292,607) | 1,292,607 |
Receivable for capital shares sold | 111,834 |
Dividends receivable | 44,094 |
Dividends receivable - affiliated | 5,892 |
Receivable from affiliates | 9,471 |
Prepaid expenses | 41,585 |
Total assets | $61,379,477 |
Liabilities | |
Payable for capital shares redeemed | $ 46,372 |
Payable to affiliates: | |
Investment advisory fee | 21,970 |
Administrative fee | 5,468 |
Distribution and service fees | 5,720 |
Sub-transfer agency fee | 7,446 |
Accrued expenses | 67,398 |
Total liabilities | $ 154,374 |
Net Assets | $61,225,103 |
Sources of Net Assets | |
Paid-in capital | $ 49,806,835 |
Distributable earnings | 11,418,268 |
Net Assets | $61,225,103 |
Class A Shares | |
Net Assets | $ 27,174,933 |
Shares Outstanding | 1,093,872 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 24.84 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 26.22 |
Class C Shares | |
Net Assets | $ 66,551 |
Shares Outstanding | 3,343 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 19.91 |
Class I Shares | |
Net Assets | $ 33,983,619 |
Shares Outstanding | 1,308,749 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 25.97 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Year Ended | |
December 31, 2023 | |
Investment Income | |
Dividend income | $ 501,357 |
Dividend income - affiliated issuers | 31,161 |
Total investment income | $ 532,518 |
Expenses | |
Investment advisory fee | $ 298,329 |
Administrative fee | 16,614 |
Distribution and service fees: | |
Class A | 67,128 |
Class C | 1,191 |
Trustees' fees and expenses | 2,725 |
Custodian fees | 22,148 |
Transfer agency fees and expenses | 60,169 |
Professional fees | 32,277 |
Registration fees | 60,014 |
Reports to shareholders | 9,531 |
Miscellaneous | 12,953 |
Total expenses | $ 583,079 |
Waiver and/or reimbursement of expenses by affiliates | $ (44,426) |
Net expenses | $ 538,653 |
Net investment loss | $ (6,135) |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 1,259,307 |
Net realized gain | $1,259,307 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 5,279,875 |
Net change in unrealized appreciation (depreciation) | $5,279,875 |
Net realized and unrealized gain | $6,539,182 |
Net increase in net assets from operations | $6,533,047 |
Financial information from January 1, 2023 through the close of business on September 15, 2023 is for the Eaton Vance Special Equities Fund, which was reorganized into the Calvert Small/Mid-Cap Fund as of the close of business on September 15, 2023. See Notes 1 and 8 to Financial Statements. |
Year Ended December 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment loss | $ (6,135) | $ (14,626) |
Net realized gain (loss) | 1,259,307 | (212,308) |
Net change in unrealized appreciation (depreciation) | 5,279,875 | (11,135,085) |
Net increase (decrease) in net assets from operations | $ 6,533,047 | $(11,362,019) |
Distributions to shareholders: | ||
Class A | $ (171,518) | $ (1,257,539) |
Class C | (528) | (13,635) |
Class I | (138,983) | (1,129,625) |
Total distributions to shareholders | $ (311,029) | $ (2,400,799) |
Capital share transactions: | ||
Class A | $ (2,133,476) | $ (2,128,884) |
Class C | (156,411) | (273,594) |
Class I | 5,206,467 | (321,990) |
Net increase (decrease) in net assets from capital share transactions | $ 2,916,580 | $ (2,724,468) |
Net increase (decrease) in net assets | $ 9,138,598 | $(16,487,286) |
Net Assets | ||
At beginning of year | $ 52,086,505 | $ 68,573,791 |
At end of year | $61,225,103 | $ 52,086,505 |
Financial information from January 1, 2022 through the close of business on September 15, 2023 is for the Eaton Vance Special Equities Fund, which was reorganized into the Calvert Small/Mid-Cap Fund as of the close of business on September 15, 2023. See Notes 1 and 8 to Financial Statements. |
Class A | |||||
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 22.04 | $ 27.86 | $ 26.63 | $ 24.30 | $ 19.82 |
Income (Loss) From Operations | |||||
Net investment loss(1) | $ (0.03) | $ (0.03) | $ (0.09) | $ (0.03) | $ (0.03) |
Net realized and unrealized gain (loss) | 2.99 | (4.70) | 5.02 | 3.09 | 5.58 |
Total income (loss) from operations | $ 2.96 | $ (4.73) | $ 4.93 | $ 3.06 | $ 5.55 |
Less Distributions | |||||
From net realized gain | $ (0.16) | $ (1.09) | $ (3.70) | $ (0.73) | $ (1.07) |
Total distributions | $ (0.16) | $ (1.09) | $ (3.70) | $ (0.73) | $ (1.07) |
Net asset value — End of year | $ 24.84 | $ 22.04 | $ 27.86 | $ 26.63 | $ 24.30 |
Total Return(2) | 13.44% | (17.09)% | 18.87% | 12.81% | 28.12% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $27,175 | $26,123 | $35,483 | $33,253 | $32,825 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 1.27% | 1.25% | 1.18% | 1.33% | 1.31% |
Net expenses | 1.18% (4) | 1.20% (4) | 1.18% | 1.20% | 1.29% |
Net investment loss | (0.13)% | (0.14)% | (0.29)% | (0.12)% | (0.14)% |
Portfolio Turnover | 43% | 40% | 58% | 41% | 39% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended December 31, 2023 and 2022). |
Financial information from January 1, 2019 through the close of business on September 15, 2023 is for the Eaton Vance Special Equities Fund, which was reorganized into the Calvert Small/Mid-Cap Fund as of the close of business on September 15, 2023. See Notes 1 and 8 to Financial Statements. |
Class C | |||||
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 17.83 | $ 22.96 | $ 22.67 | $ 20.94 | $ 17.33 |
Income (Loss) From Operations | |||||
Net investment loss(1) | $ (0.18) | $ (0.19) | $ (0.26) | $ (0.17) | $ (0.19) |
Net realized and unrealized gain (loss) | 2.42 | (3.85) | 4.25 | 2.63 | 4.87 |
Total income (loss) from operations | $ 2.24 | $ (4.04) | $ 3.99 | $ 2.46 | $ 4.68 |
Less Distributions | |||||
From net realized gain | $ (0.16) | $ (1.09) | $ (3.70) | $ (0.73) | $ (1.07) |
Total distributions | $ (0.16) | $ (1.09) | $ (3.70) | $ (0.73) | $ (1.07) |
Net asset value — End of year | $19.91 | $ 17.83 | $22.96 | $22.67 | $20.94 |
Total Return(2) | 12.58% | (17.73)% | 18.02% | 12.00% | 27.14% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 67 | $ 206 | $ 594 | $ 643 | $ 957 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 2.00% | 2.00% | 1.93% | 2.08% | 2.06% |
Net expenses | 1.94% (4) | 1.95% (4) | 1.93% | 1.95% | 2.04% |
Net investment loss | (0.95)% | (0.95)% | (1.05)% | (0.88)% | (0.94)% |
Portfolio Turnover | 43% | 40% | 58% | 41% | 39% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended December 31, 2023 and 2022). |
Financial information from January 1, 2019 through the close of business on September 15, 2023 is for the Eaton Vance Special Equities Fund, which was reorganized into the Calvert Small/Mid-Cap Fund as of the close of business on September 15, 2023. See Notes 1 and 8 to Financial Statements. |
Class I | |||||
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 22.97 | $ 28.92 | $ 27.45 | $ 25.01 | $ 20.33 |
Income (Loss) From Operations | |||||
Net investment income (loss)(1) | $ 0.03 | $ 0.03 | $ (0.01) | $ 0.03 | $ 0.03 |
Net realized and unrealized gain (loss) | 3.13 | (4.89) | 5.18 | 3.19 | 5.72 |
Total income (loss) from operations | $ 3.16 | $ (4.86) | $ 5.17 | $ 3.22 | $ 5.75 |
Less Distributions | |||||
From net investment income | $ — | $ — | $ — | $ (0.05) | $ — |
From net realized gain | (0.16) | (1.09) | (3.70) | (0.73) | (1.07) |
Total distributions | $ (0.16) | $ (1.09) | $ (3.70) | $ (0.78) | $ (1.07) |
Net asset value — End of year | $ 25.97 | $ 22.97 | $ 28.92 | $ 27.45 | $ 25.01 |
Total Return(2) | 13.77% | (16.91)% | 19.19% | 13.10% | 28.40% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $33,984 | $25,757 | $32,497 | $17,063 | $17,357 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 1.02% | 1.00% | 0.93% | 1.08% | 1.05% |
Net expenses | 0.93% (4) | 0.95% (4) | 0.93% | 0.95% | 1.03% |
Net investment income (loss) | 0.13% | 0.11% | (0.01)% | 0.13% | 0.13% |
Portfolio Turnover | 43% | 40% | 58% | 41% | 39% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended December 31, 2023 and 2022). |
Financial information from January 1, 2019 through the close of business on September 15, 2023 is for the Eaton Vance Special Equities Fund, which was reorganized into the Calvert Small/Mid-Cap Fund as of the close of business on September 15, 2023. See Notes 1 and 8 to Financial Statements. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 59,873,994(1) | $ — | $ — | $ 59,873,994 |
Short-Term Investments | 1,292,607 | — | — | 1,292,607 |
Total Investments | $61,166,601 | $ — | $ — | $61,166,601 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.505% |
$500 million but less than $1 billion | 0.480% |
$1 billion but less than $2.5 billion | 0.455% |
$2.5 billion but less than $5 billion | 0.435% |
$5 billion and over | 0.420% |
Year Ended December 31, | ||
2023 | 2022 | |
Ordinary income | $ — | $ 348,801 |
Long-term capital gains | $311,029 | $2,051,998 |
Undistributed long-term capital gains | $ 439,178 |
Net unrealized appreciation | 10,979,090 |
Distributable earnings | $11,418,268 |
Aggregate cost | $50,187,511 |
Gross unrealized appreciation | $ 12,414,182 |
Gross unrealized depreciation | (1,435,092) |
Net unrealized appreciation | $10,979,090 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $997,723 | $21,369,711 | $(21,074,827) | $ — | $ — | $1,292,607 | $31,161 | 1,292,607 |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 14,825 | $ 347,530 | 16,616 | $ 393,364 | |
Reinvestment of distributions | 6,102 | 145,172 | 47,151 | 1,067,968 | |
Shares redeemed | (112,452) | (2,626,178) | (151,768) | (3,590,216) | |
Net decrease | (91,525) | $ (2,133,476) | (88,001) | $(2,128,884) | |
Class C | |||||
Reinvestment of distributions | 28 | $ 528 | 737 | $ 13,505 | |
Shares redeemed | (8,261) | (156,939) | (15,014) | (287,099) | |
Net decrease | (8,233) | $ (156,411) | (14,277) | $ (273,594) | |
Class I | |||||
Shares sold | 468,045 | $11,856,954 | 271,453 | $ 6,896,016 | |
Reinvestment of distributions | 5,576 | 138,608 | 47,760 | 1,127,127 | |
Shares redeemed | (286,068) | (6,789,095) | (321,733) | (8,345,133) | |
Net increase (decrease) | 187,553 | $ 5,206,467 | (2,520) | $ (321,990) |
Shares Issued | Net Assets | |
Class A | 1,127,448 | $26,264,605 |
Class C | 3,396 | $63,655 |
Class I | 892,740 | $21,717,386 |
Boston, Massachusetts
February 23, 2024
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Von M. Hughes(1) 1969 | Trustee and President | Since 2023 | President and Chief Executive Officer and Managing Director of Calvert Research and Management. Managing Director of Morgan Stanley Investment Management (MSIM) (since 2022). Formerly, Managing Director of PAAMCO Prisma (investment management firm) (2003-2022). Mr. Hughes is an interested person because of his positions with CRM and certain affiliates. Other Directorships. Tradeweb Markets Inc. (financial services) (2021-2022); National Association of Investment Companies (2018-2021). |
Noninterested Trustees | |||
Alice Gresham Bullock 1950 | Chair and Trustee | Since 2016 | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships. None. |
Cari M. Dominguez 1949 | Trustee | Since 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships. ManpowerGroup Inc. (workforce solutions company); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
Karen Fang(2) 1958 | Trustee | Since 2023 | Formerly, Managing Director, Wealth Management at GAMCO Asset Management (asset management firm) (2020-2023). Formerly, Managing Director, Senior Portfolio Manager of Fiduciary Trust Company International (wealth management firm) (1993-2019). Other Directorships. None. |
Miles D. Harper, III 1962 | Trustee | Since 2016 | Private investor (2022-present). Formerly, Partner, Carr Riggs & Ingram (public accounting firm) (2014-2022). Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram) (1999-2014). Other Directorships. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Trustee | Since 2016 | Attorney. Other Directorships. Palm Management Corporation. |
Eddie Ramos(2) 1967 | Trustee | Since 2023 | Private investor (2022-present). Formerly, Head of External Advisors/Diversity Portfolio Management at the New Jersey Division of Investment (2020-2022). Formerly, Chief Investment Officer and Lead Portfolio Manager – Global Fundamental Equities at Cornerstone Capital Management (asset management firm) (2011-2017). Other Directorships. Macquarie Optimum Funds (6) (asset management) (2022-2023). |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Anthony A. Williams 1951 | Trustee | Since 2010 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization); The Howard Hughes Corporation (real estate development); Old Dominion National Bank. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Hope L. Brown 1973 | Chief Compliance Officer | Since 2014 | Chief Compliance Officer of 46 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). |
Deidre E. Walsh 1971 | Secretary, Vice President and Chief Legal Officer | Since 2021 | Vice President of CRM and officer of 46 registered investment companies advised by CRM (since 2021). Also Vice President of Eaton Vance and certain of its affiliates and officer of 127 registered investment companies advised or administered by Eaton Vance. |
James F. Kirchner 1967 | Treasurer | Since 2016 | Vice President of CRM and officer of 46 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 127 registered investment companies advised or administered by Eaton Vance. |
(1) Mr. Hughes is an interested person of the Fund because of his positions with the Fund’s adviser and certain affiliates. | |||
(2) Ms. Fang and Mr. Ramos began serving as Trustees effective October 30, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Item 2. Code of Ethics
The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-368-2745. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
Item 3. Audit Committee Financial Expert
The registrant’s Board of Trustees has determined that Miles D. Harper III, an “independent” Trustee serving on the registrant’s audit committee, is an “audit committee financial expert,” as defined in Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The
designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services
(a) –(d)
The various Series comprising the Trust have differing fiscal year ends (September 30 and December 31). The following table presents the aggregate audit, audit-related, tax, and other fees billed to all of the Series in the Trust by its principal accountant for the last two fiscal years of each Series.
Fiscal Years Ended | 9/30/22 | %* | 12/31/22 | %* | 9/30/23 | %* | 12/31/23 | %* | ||||||||||||||||||||||||
Audit Fees | $ | 33,000 | 0 | % | $ | 75,000 | 0 | % | $ | 96,800 | 0 | % | $ | 145,400 | 0 | % | ||||||||||||||||
Audit-Related Fees(1) | $ | 0 | 0 | % | $ | 0 | 0 | % | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||||||||||
Tax Fees(2) | $ | 0 | 0 | % | $ | 0 | 0 | % | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||||||||||
All Other Fees(3) | $ | 0 | 0 | % | $ | 0 | 0 | % | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||||||||||
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Total | $ | 33,000 | 0 | % | $ | 75,000 | 0 | % | $ | 96,800 | 0 | % | $ | 145,400 | 0 | % | ||||||||||||||||
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* | Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimus waiver of Committee’s requirement to pre-approve). |
(1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. |
(2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters. |
(3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
(e) The Audit Committee is required to pre-approve all audit and non-audit services provided to the registrant by the auditors, and to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. In determining whether to pre-approve non-audit services, the Audit Committee considers whether the services are consistent with maintaining the independence of the auditors. The Committee may delegate its authority to pre-approve certain matters to one or more of its members. In this regard, the Committee has delegated authority jointly to the Audit Committee Chair together with another Committee member with respect to non-audit services not exceeding $25,000 in each instance. In addition, the Committee has pre-approved the retention of the auditors to provide tax-related services related to the tax treatment and tax accounting of newly acquired securities, upon request by the investment adviser in each instance.
(f) Not applicable.
(g) Aggregate non-audit fees billed by the registrant’s principal accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of each Series.
Fiscal Year ended 9/30/22 | Fiscal Year ended 12/31/22 | Fiscal Year ended 9/30/23 | Fiscal Year ended 12/31/23 | |||||||||||
$ | %* | $ | %* | $ | %* | $ | %* | |||||||
$0 | 0% | $0 | 0% | $0 | 0% | $52,836 | 0% |
* | Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimus waiver of Committee’s requirement to pre-approve). |
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) The registrant’s principal executive and principal financial officers have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 Act, as amended (the “1940 Act”) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (“Exchange Act”), as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CALVERT MANAGEMENT SERIES | ||
By: | /s/ Von Hughes | |
Von Hughes | ||
President |
Date: February 23, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer |
Date: February 23, 2024
By: | /s/ Von Hughes | |
Von Hughes | ||
President |
Date: February 23, 2024