UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File number: 811-03101
Calvert Management Series
(Exact Name of Registrant as Specified in Charter)
1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Service)
(202) 238-2200
(Registrant’s telephone number)
September 30
Date of Fiscal Year End
March 31, 2023
Date of Reporting Period
Item 1. Report to Stockholders.
Calvert
Floating-Rate Advantage Fund
Semiannual Report
March 31, 2023
Commodity Futures Trading Commission Registration. The Commodity Futures Trading Commission (“CFTC”) has adopted regulations that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a
prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The adviser has claimed an exclusion from the
definition of “commodity pool operator” under the Commodity Exchange Act with respect to its management of the Fund and the other funds it manages. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation.
Fund shares are not insured by the FDIC and are not deposits or
other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.
This report must be preceded or accompanied by a current
summary prospectus or prospectus. Before investing, investors should consider carefully the investment objective, risks, and charges and expenses of a mutual fund. This and other important information is contained in the summary prospectus and
prospectus, which can be obtained from a financial intermediary. Prospective investors should read the prospectus carefully before investing. For further information, please call 1-800-368-2745.
Choose Planet-friendly E-delivery!
Sign up now for on-line statements, prospectuses, and fund
reports. In less than five minutes you can help reduce paper mail and lower fund costs.
Just go to
www.calvert.com. If you already have an online account with the Calvert funds, click on Login to access your Account and select the documents you would like to receive via e-mail.
If you’re new to online account access, click on Login,
then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps.
Note: If your shares are not
held directly with the Calvert funds but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Performance
Portfolio Manager(s) Catherine
C. McDermott and Andrew N. Sveen, CFA each of Calvert Research and Management
| % Average Annual Total Returns1,2 | Class
Inception Date |
Performance
Inception Date |
Six Months | One Year | Five Years | Since
Inception |
| Class A at NAV | 10/10/2017 | 10/10/2017 | 6.55% | 0.95% | 2.18% | 2.24% |
| Class A with With 3.25% Maximum Sales Charge | — | — | 3.07 | (2.30) | 1.50 | 1.62 |
| Class I at NAV | 10/10/2017 | 10/10/2017 | 6.68 | 1.19 | 2.41 | 2.46 |
| Class R6 at NAV | 10/10/2017 | 10/10/2017 | 6.68 | 1.18 | 2.40 | 2.46 |
| Morningstar ® LSTA® US Leveraged Loan IndexSM | — | — | 5.94 | 2.54 | 3.63 | 3.75 |
| % Total Annual Operating Expense Ratios3 | Class A | Class I | Class R6 |
| Gross | 2.54% | 2.29% | 2.18% |
| Net | 2.32 | 2.07 | 2.07 |
| % Total Leverage4 | |
| Borrowings | 23.42% |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and
are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Furthermore, returns do not reflect the deduction of taxes that shareholders may have to pay on Fund
distributions or upon the redemption of Fund shares. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance for periods less than or equal to one year is
cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month-end, please refer to www.calvert.com.
2
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Fund Profile
Footnotes:
| 1 | Credit ratings are categorized using S&P Global Ratings (“S&P”). Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. Holdings designated as “Not Rated” (if any) are not rated by S&P. |
| 2 | Excludes cash and cash equivalents. |
3
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Endnotes and
Additional Disclosures
| 1 | Morningstar® LSTA® US Leveraged Loan IndexSM is an unmanaged index of the institutional leveraged loan market. Morningstar® LSTA® Leveraged Loan indices are a product of Morningstar, Inc. (“Morningstar”) and have been licensed for use. Morningstar® is a registered trademark of Morningstar licensed for certain use. Loan Syndications and Trading Association® and LSTA® are trademarks of the LSTA licensed for certain use by Morningstar, and further sublicensed by Morningstar for certain use. Neither Morningstar nor LSTA guarantees the accuracy and/or completeness of the Morningstar® LSTA® US Leveraged Loan IndexSM or any data included therein, and shall have no liability for any errors, omissions, or interruptions therein. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
| 2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’s inception, as applicable. Due to rounding, total returns of less than 0.005% may show as 0.00%. |
| 3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/24. 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 | Total leverage is shown as a percentage of the Fund’s aggregate net assets plus borrowings outstanding. The Fund employs leverage through borrowings. Use of leverage creates an opportunity for income, but creates risks including greater volatility of NAV. The cost of borrowings rises and falls with changes in short-term interest rates. The Fund may be required to maintain prescribed asset coverage for its borrowings and may be required to reduce its borrowings at an inopportune time.Fund profile subject to change due to active management. |
4
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Fund Expenses
Example
As a Fund shareholder, you incur two types of costs: (1)
transaction costs, including sales charges (loads) on purchases; and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in
dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2022
to March 31, 2023).
Actual Expenses
The first section of the table below provides information about
actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information
about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may
not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with
the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to
highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total
costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
| Beginning
Account Value (10/1/22) |
Ending
Account Value (3/31/23) |
Expenses
Paid During Period* (10/1/22 – 3/31/23) |
Annualized
Expense Ratio | |
| Actual | ||||
| Class A | $1,000.00 | $1,065.50 | $13.96 ** | 2.71% |
| Class I | $1,000.00 | $1,066.80 | $12.68 ** | 2.46% |
| Class R6 | $1,000.00 | $1,066.80 | $12.68 ** | 2.46% |
| Hypothetical | ||||
| (5% return per year before expenses) | ||||
| Class A | $1,000.00 | $1,011.42 | $13.59 ** | 2.71% |
| Class I | $1,000.00 | $1,012.67 | $12.34 ** | 2.46% |
| Class R6 | $1,000.00 | $1,012.67 | $12.34 ** | 2.46% |
| * | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2022. |
| ** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
5
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Schedule of
Investments (Unaudited)
6
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Schedule of
Investments (Unaudited) — continued
7
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Schedule of
Investments (Unaudited) — continued
8
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Schedule of
Investments (Unaudited) — continued
9
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Schedule of
Investments (Unaudited) — continued
10
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Schedule of
Investments (Unaudited) — continued
11
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Schedule of
Investments (Unaudited) — continued
12
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Schedule of
Investments (Unaudited) — continued
13
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Schedule of
Investments (Unaudited) — continued
14
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Schedule of
Investments (Unaudited) — continued
| (9) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of March 31, 2023. |
| Abbreviations: | |
| DIP | – Debtor In Possession |
| LIBOR | – London Interbank Offered Rate |
| PIK | – Payment In Kind |
| SOFR | – Secured Overnight Financing Rate |
| Currency Abbreviations: | |
| USD | – United States Dollar |
15
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Statement of Assets
and Liabilities (Unaudited)
| March 31, 2023 | |
| Assets | |
| Investments in securities of unaffiliated issuers, at value (identified cost $110,875,764) | $ 104,530,590 |
| Investments in securities of affiliated issuers, at value (identified cost $2,436,143) | 2,436,143 |
| Cash | 1,510,506 |
| Receivable for investments sold | 1,121,572 |
| Receivable for capital shares sold | 1,559,083 |
| Interest receivable | 676,007 |
| Dividends receivable - affiliated | 9,988 |
| Receivable from affiliate | 19,255 |
| Trustees' deferred compensation plan | 1,462 |
| Prepaid upfront fees on note payable | 28,606 |
| Prepaid expenses | 5,880 |
| Total assets | $111,899,092 |
| Liabilities | |
| Payable for investments purchased | $ 460,750 |
| Payable for capital shares redeemed | 121,537 |
| Distributions payable | 14,720 |
| Payable to affiliates: | |
| Investment advisory fee | 44,712 |
| Administrative fee | 8,621 |
| Distribution and service fees | 1,681 |
| Sub-transfer agency fee | 104 |
| Trustees' deferred compensation plan | 1,462 |
| Accrued expenses | 223,687 |
| Note payable | 26,000,000 |
| Total liabilities | $ 26,877,274 |
| Net Assets | $ 85,021,818 |
| Sources of Net Assets | |
| Paid-in capital | $ 95,760,585 |
| Accumulated loss | (10,738,767) |
| Net Assets | $ 85,021,818 |
| Class A Shares | |
| Net Assets | $ 7,890,804 |
| Shares Outstanding | 896,586 |
| Net
Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) |
$ 8.80 |
| Maximum
Offering Price Per Share (100 ÷ 96.75 of net asset value per share) |
$ 9.10 |
| Class I Shares | |
| Net Assets | $ 47,437,399 |
| Shares Outstanding | 5,396,871 |
| Net
Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) |
$ 8.79 |
| Class R6 Shares | |
| Net Assets | $ 29,693,615 |
| Shares Outstanding | 3,378,429 |
| Net
Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) |
$ 8.79 |
| On sales of $50,000 or more, the offering price of Class A shares is reduced. |
16
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Statement of
Operations (Unaudited)
| Six Months Ended | |
| March 31, 2023 | |
| Investment Income | |
| Dividend income | $ 32,760 |
| Dividend income - affiliated issuers | 58,765 |
| Interest and other income | 4,741,660 |
| Total investment income | $4,833,185 |
| Expenses | |
| Investment advisory fee | $ 277,540 |
| Administrative fee | 53,670 |
| Distribution and service fees: | |
| Class A | 9,997 |
| Trustees' fees and expenses | 3,853 |
| Custodian fees | 6,512 |
| Transfer agency fees and expenses | 26,855 |
| Accounting fees | 11,574 |
| Professional fees | 39,743 |
| Registration fees | 26,557 |
| Reports to shareholders | 3,611 |
| Interest expense and fees | 743,632 |
| Miscellaneous | 8,420 |
| Total expenses | $1,211,964 |
| Waiver and/or reimbursement of expenses by affiliate | $ (103,818) |
| Net expenses | $1,108,146 |
| Net investment income | $3,725,039 |
| Realized and Unrealized Gain (Loss) | |
| Net realized gain (loss): | |
| Investment securities | $ (747,214) |
| Net realized loss | $ (747,214) |
| Change in unrealized appreciation (depreciation): | |
| Investment securities | $ 2,916,656 |
| Net change in unrealized appreciation (depreciation) | $2,916,656 |
| Net realized and unrealized gain | $2,169,442 |
| Net increase in net assets from operations | $5,894,481 |
17
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Statements of
Changes in Net Assets
| Six
Months Ended March 31, 2023 (Unaudited) |
Year
Ended September 30, 2022 | |
| Increase (Decrease) in Net Assets | ||
| From operations: | ||
| Net investment income | $ 3,725,039 | $ 5,814,676 |
| Net realized loss | (747,214) | (1,639,510) |
| Net change in unrealized appreciation (depreciation) | 2,916,656 | (10,320,975) |
| Net increase (decrease) in net assets from operations | $ 5,894,481 | $ (6,145,809) |
| Distributions to shareholders: | ||
| Class A | $ (325,611) | $ (285,377) |
| Class I | (2,114,083) | (3,337,803) |
| Class R6 | (1,292,187) | (2,200,776) |
| Total distributions to shareholders | $ (3,731,881) | $ (5,823,956) |
| Capital share transactions: | ||
| Class A | $ (105,806) | $ 5,087,298 |
| Class I | (8,944,320) | (2,512,223) |
| Class R6 | (3,297,225) | (20,870,037) |
| Net decrease in net assets from capital share transactions | $(12,347,351) | $ (18,294,962) |
| Net decrease in net assets | $(10,184,751) | $ (30,264,727) |
| Net Assets | ||
| At beginning of period | $ 95,206,569 | $125,471,296 |
| At end of period | $ 85,021,818 | $ 95,206,569 |
18
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Statement of Cash
Flows
| Six Months Ended | |
| March
31, 2023 (Unaudited) | |
| Cash Flows From Operating Activities | |
| Net increase in net assets from operations | $ 5,894,481 |
| Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: | |
| Investments purchased | (3,088,777) |
| Investments sold and principal repayments | 18,965,530 |
| Decrease in short-term investments, net | 1,186,120 |
| Net amortization/accretion of premium (discount) | (144,047) |
| Amortization of prepaid upfront fees on note payable | 14,932 |
| Increase in interest receivable | (154,650) |
| Increase in dividends receivable - affiliated | (2,164) |
| Decrease in receivable from affiliate | 16,976 |
| Decrease in prepaid expenses | 1,858 |
| Decrease in Trustees' deferred compensation plan | 803 |
| Decrease in payable to affiliate for investment advisory fee | (7,202) |
| Decrease in payable to affiliate for administrative fee | (1,412) |
| Increase in payable to affiliate for distribution and services fees | 43 |
| Decrease in payable to affiliate for sub-transfer agency fee | (262) |
| Decrease in payable to affiliate for Trustee's deferred compensation plan | (803) |
| Increase in accrued expenses | 39,650 |
| Decrease in unfunded loan commitments | (118,224) |
| Net change in unrealized (appreciation) depreciation on investments | (2,916,656) |
| Net realized loss from investments | 747,214 |
| Net cash provided by operating activities | $ 20,433,410 |
| Cash Flows From Financing Activities | |
| Cash distributions paid to shareholders | $ (79,124) |
| Proceeds from capital shares sold | 5,731,012 |
| Capital shares redeemed | (23,151,219) |
| Prepaid upfront fees on note payable | (30,000) |
| Proceeds from note payable | 5,000,000 |
| Repayments of note payable | (9,000,000) |
| Net cash used in financing activities | $(21,529,331) |
| Net decrease in cash | $ (1,095,921) |
| Cash at beginning of period | $ 2,606,427 |
| Cash at end of period | $ 1,510,506 |
| Supplemental disclosure of cash flow information: | |
| Noncash financing activities not included herein consist of: | |
| Reinvestment of dividends and distributions | $ 3,648,247 |
| Cash paid for interest and fees on borrowings | $ 710,120 |
19
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Financial
Highlights
| Class A | ||||||
| Six
Months Ended March 31, 2023 (Unaudited) |
Year Ended September 30, | Period
Ended September 30, 2018(1) | ||||
| 2022 | 2021 | 2020 | 2019 | |||
| Net asset value — Beginning of period | $ 8.60 | $ 9.51 | $ 9.23 | $ 9.73 | $ 9.97 | $10.00 |
| Income (Loss) From Operations | ||||||
| Net investment income(2) | $ 0.35 | $ 0.43 | $ 0.35 | $ 0.39 | $ 0.47 | $ 0.38 |
| Net realized and unrealized gain (loss) | 0.21 | (0.93) | 0.29 | (0.50) | (0.24) | (0.06) |
| Total income (loss) from operations | $ 0.56 | $ (0.50) | $ 0.64 | $ (0.11) | $ 0.23 | $ 0.32 |
| Less Distributions | ||||||
| From net investment income | $ (0.36) | $ (0.41) | $ (0.36) | $ (0.39) | $ (0.47) | $ (0.35) |
| Total distributions | $ (0.36) | $ (0.41) | $ (0.36) | $ (0.39) | $ (0.47) | $ (0.35) |
| Net asset value — End of period | $ 8.80 | $ 8.60 | $ 9.51 | $ 9.23 | $ 9.73 | $ 9.97 |
| Total Return(3) | 6.55% (4) | (5.37)% | 6.99% | (1.05)% | 2.42% | 3.25% (4) |
| Ratios/Supplemental Data | ||||||
| Net assets, end of period (000’s omitted) | $7,891 | $7,809 | $3,453 | $2,329 | $3,286 | $3,090 |
| Ratios (as a percentage of average daily net assets):(5) | ||||||
| Total expenses(6) | 2.98% (7) | 1.95% | 1.51% | 1.83% | 2.29% | 2.48% (7) |
| Net expenses(6) | 2.71% (7)(8) | 1.73% (8) | 1.32% | 1.53% | 1.98% | 2.13% (7) |
| Net investment income | 8.12% (7) | 4.72% | 3.73% | 4.20% | 4.86% | 3.93% (7) |
| Portfolio Turnover | 3% (4) | 30% | 37% | 32% | 44% | 35% (4) |
| (1) | For the period from the start of business, October 10, 2017, to September 30, 2018. |
| (2) | Computed using average shares outstanding. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Includes interest expense and fees and other borrowing costs of 1.66%, 0.70%, 0.31%, 0.54%, 0.96% and 1.07% for the six months ended March 31, 2023, the years ended September 30, 2022, 2021, 2020, 2019 and the period ended September 30, 2018, respectively. |
| (7) | Annualized. |
| (8) | 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 0.01% and less than 0.005% of average daily net assets for the six months ended March 31, 2023 and the year ended September 30, 2022, respectively). |
20
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Financial
Highlights — continued
| Class I | ||||||
| Six
Months Ended March 31, 2023 (Unaudited) |
Year Ended September 30, | Period
Ended September 30, 2018(1) | ||||
| 2022 | 2021 | 2020 | 2019 | |||
| Net asset value — Beginning of period | $ 8.59 | $ 9.50 | $ 9.22 | $ 9.73 | $ 9.97 | $ 10.00 |
| Income (Loss) From Operations | ||||||
| Net investment income(2) | $ 0.36 | $ 0.43 | $ 0.37 | $ 0.40 | $ 0.49 | $ 0.40 |
| Net realized and unrealized gain (loss) | 0.21 | (0.90) | 0.29 | (0.50) | (0.23) | (0.06) |
| Total income (loss) from operations | $ 0.57 | $ (0.47) | $ 0.66 | $ (0.10) | $ 0.26 | $ 0.34 |
| Less Distributions | ||||||
| From net investment income | $ (0.37) | $ (0.44) | $ (0.38) | $ (0.41) | $ (0.50) | $ (0.37) |
| Total distributions | $ (0.37) | $ (0.44) | $ (0.38) | $ (0.41) | $ (0.50) | $ (0.37) |
| Net asset value — End of period | $ 8.79 | $ 8.59 | $ 9.50 | $ 9.22 | $ 9.73 | $ 9.97 |
| Total Return(3) | 6.68% (4) | (5.14)% | 7.25% | (0.83)% | 2.57% | 3.48% (4) |
| Ratios/Supplemental Data | ||||||
| Net assets, end of period (000’s omitted) | $47,437 | $55,164 | $64,676 | $26,958 | $14,749 | $26,452 |
| Ratios (as a percentage of average daily net assets):(5) | ||||||
| Total expenses(6) | 2.71% (7) | 1.58% | 1.26% | 1.50% | 2.02% | 2.06% (7) |
| Net expenses(6) | 2.46% (7)(8) | 1.36% (8) | 1.07% | 1.21% | 1.70% | 1.67% (7) |
| Net investment income | 8.35% (7) | 4.69% | 3.94% | 4.34% | 5.05% | 4.10% (7) |
| Portfolio Turnover | 3% (4) | 30% | 37% | 32% | 44% | 35% (4) |
| (1) | For the period from the start of business, October 10, 2017, to September 30, 2018. |
| (2) | Computed using average shares outstanding. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Includes interest expense and fees and other borrowing costs of 1.66%, 0.58%, 0.31%, 0.47%, 0.93% and 0.91% for the six months ended March 31, 2023, the years ended September 30, 2022, 2021, 2020, 2019 and the period ended September 30, 2018, respectively. |
| (7) | Annualized. |
| (8) | 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 0.01% and less than 0.005% of average daily net assets for the six months ended March 31, 2023 and the year ended September 30, 2022, respectively). |
21
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Financial
Highlights — continued
| Class R6 | ||||||
| Six
Months Ended March 31, 2023 (Unaudited) |
Year Ended September 30, | Period
Ended September 30, 2018(1) | ||||
| 2022 | 2021 | 2020 | 2019 | |||
| Net asset value — Beginning of period | $ 8.59 | $ 9.50 | $ 9.22 | $ 9.72 | $ 9.96 | $ 10.00 |
| Income (Loss) From Operations | ||||||
| Net investment income(2) | $ 0.36 | $ 0.42 | $ 0.38 | $ 0.41 | $ 0.50 | $ 0.37 |
| Net realized and unrealized gain (loss) | 0.21 | (0.89) | 0.28 | (0.50) | (0.24) | (0.04) |
| Total income (loss) from operations | $ 0.57 | $ (0.47) | $ 0.66 | $ (0.09) | $ 0.26 | $ 0.33 |
| Less Distributions | ||||||
| From net investment income | $ (0.37) | $ (0.44) | $ (0.38) | $ (0.41) | $ (0.50) | $ (0.37) |
| Total distributions | $ (0.37) | $ (0.44) | $ (0.38) | $ (0.41) | $ (0.50) | $ (0.37) |
| Net asset value — End of period | $ 8.79 | $ 8.59 | $ 9.50 | $ 9.22 | $ 9.72 | $ 9.96 |
| Total Return(3) | 6.68% (4) | (5.15)% | 7.26% | (0.83)% | 2.67% | 3.35% (4) |
| Ratios/Supplemental Data | ||||||
| Net assets, end of period (000’s omitted) | $29,694 | $32,233 | $57,343 | $43,899 | $32,011 | $52,592 |
| Ratios (as a percentage of average daily net assets):(5) | ||||||
| Total expenses(6) | 2.64% (7) | 1.43% | 1.19% | 1.44% | 1.99% | 1.74% (7) |
| Net expenses(6) | 2.46% (7)(8) | 1.32% (8) | 1.08% | 1.23% | 1.72% | 1.44% (7) |
| Net investment income | 8.36% (7) | 4.59% | 3.99% | 4.40% | 5.08% | 3.81% (7) |
| Portfolio Turnover | 3% (4) | 30% | 37% | 32% | 44% | 35% (4) |
| (1) | For the period from the start of business, October 10, 2017, to September 30, 2018. |
| (2) | Computed using average shares outstanding. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Includes interest expense and fees and other borrowing costs of 1.66%, 0.54%, 0.32%, 0.49%, 0.95% and 0.69% for the six months ended March 31, 2023, the years ended September 30, 2022, 2021, 2020, 2019 and the period ended September 30, 2018, respectively. |
| (7) | Annualized. |
| (8) | 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 0.01% and less than 0.005% of average daily net assets for the six months ended March 31, 2023 and the year ended September 30, 2022, respectively). |
22
See Notes to Financial Statements.
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Notes to Financial
Statements (Unaudited)
1 Significant Accounting Policies
Calvert Floating-Rate Advantage Fund (the Fund) is a
diversified series of Calvert Management Series (the Trust). The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment
objective of the Fund is to provide a high level of current income. The Fund invests primarily in senior floating-rate loans of domestic and foreign borrowers.
The Fund offers three classes of shares. Class A shares are
generally sold subject to a sales charge imposed at time of purchase. A contingent deferred sales charge of 0.75% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within 12 months of
purchase. Class I and Class R6 shares are sold at net asset value, are not subject to a sales charge and are sold only to certain eligible investors. Each class represents a pro rata interest in the Fund, but votes separately on class-specific
matters and is subject to different expenses.
The Fund
applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946).
Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A Investment
Valuation— Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern
time). The Fund uses independent pricing services approved by the Board of Trustees (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good
faith by the Board’s valuation designee.
U.S. generally accepted accounting principles (U.S. GAAP)
establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical
securities
Level 2 - other significant observable inputs
(including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the
Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not
necessarily an indication of the risk associated with investing in those securities.
Valuation techniques used to value the Fund’s investments
by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or
exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ National Market System are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy.
Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices and are categorized as Level 2 in the hierarchy.
Debt Securities. Debt
securities are generally valued based on valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask
prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. Accordingly,
debt securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities with a remaining maturity at time of purchase of more than sixty days are valued based on valuations provided by a third party pricing service. Such
securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities of sufficient credit quality purchased with remaining maturities of sixty days or less for which a valuation from a third party pricing service is not
readily available may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Senior Floating-Rate Loans.
Interests in senior floating-rate loans for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service, and are categorized as Level 2 in the
hierarchy.
Other Securities. Exchange-traded funds are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Investments in management investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value as of the close of each business day and are categorized as Level 1 in the hierarchy.
Fair Valuation. In connection
with Rule 2a-5 of the 1940 Act, the Board has designated the Fund’s investment adviser as its valuation designee. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued by the
investment adviser, as valuation designee, at fair value using methods that most fairly reflect the security’s “fair value”, which is the amount that the Fund might reasonably expect to receive for the security upon its current
sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the
existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities,
23
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Notes to Financial
Statements (Unaudited) — continued
quotations or
relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or
entity’s financial statements, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on
available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have
been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund's
holdings as of March 31, 2023, based on the inputs used to value them:
| Asset Description | Level 1 | Level 2 | Level 3 | Total |
| Common Stocks | $ 11,962 | $ 80,949 | $ — | $ 92,911 |
| Corporate Bonds | — | 7,175,044 | — | 7,175,044 |
| Exchange-Traded Funds | 943,215 | — | — | 943,215 |
| Senior Floating-Rate Loans | — | 96,319,420 | — | 96,319,420 |
| Warrants | — | 0 | — | 0 |
| Short-Term Investments | 2,436,143 | — | — | 2,436,143 |
| Total Investments | $3,391,320 | $103,575,413 | $ — | $106,966,733 |
B Investment Transactions
and Income— Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may
include proceeds from litigation. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or
securities. Non-cash dividends are recorded at the fair value of the securities received. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a
realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as
earned. The Fund may earn certain fees in connection with its investments in senior floating-rate loans. These fees are in addition to
interest payments earned and may include amendment fees, consent fees and prepayment fees, which are recorded to income as earned.
C Share Class Accounting— Realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Net
investment income, other than class-specific expenses, is allocated daily to each class of shares based upon the ratio of the value of each class’s paid shares to the total value of all paid shares. Expenses arising in connection with a
specific class are charged directly to that class. Sub-accounting, recordkeeping and similar administrative fees payable to financial intermediaries, which are a component of transfer agency fees and expenses on the Statement of Operations, are not
allocated to Class R6 shares.
D Senior
Floating Rate Loans— The Fund may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other
borrowers. The Fund’s investment in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the lender) that
acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. When the
Fund purchases assignments from lenders, it acquires direct rights against the borrower of the loan. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only
from the lender selling the loan agreement and only upon receipt of such payments by the lender from the borrower. The Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement. As a result, the Fund may
be subject to the credit risk of both the borrower and the lender that is issuing the participation interest.
E Unfunded Loan Commitments— The Fund may enter into certain loan agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower's discretion. The
commitments, if any, are disclosed in the accompanying Schedule of Investments.
F Restricted Securities— The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under
the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities (excluding Rule 144A securities) is included at the end of the Schedule of Investments.
G Distributions to Shareholders— Distributions to shareholders are recorded by the Fund on ex-dividend date. The Fund declares income distributions daily to shareholders of record at the time of declaration and
generally pays them monthly. The Fund makes distributions of net realized capital gains, if any, at least annually. Distributions are declared separately for each class of shares. Distributions are determined in accordance with income tax
regulations, which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
24
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Notes to Financial
Statements (Unaudited) — continued
H Estimates— The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
I
Indemnifications— Under the Trust’s organizational document, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the
performance of their duties to the Fund. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Trust) could be deemed to have personal liability for the obligations of the Trust. However,
the Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and provides that the Trust shall assume, upon request by the shareholder, the defense on behalf of any Fund shareholders or former
shareholders. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Fund that have not yet occurred.
J Federal Income
Taxes— No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code
and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund's tax positions taken for all
open federal income tax years and has concluded that no provision for federal income tax is required in the Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three
years from the date of filing.
K When-Issued
Securities and Delayed Delivery Transactions— The Fund may purchase securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the
customary settlement period for that security. At the time the transaction is negotiated, the price of the security that will be delivered is fixed. The Fund maintains cash and/or security positions for these commitments such that sufficient liquid
assets will be available to make payments upon settlement. Securities purchased on a delayed delivery or when-issued basis are marked-to-market daily and begin earning interest on settlement date. Such security purchases are subject to the risk that
when delivered they will be worth less than the agreed upon payment price. Losses may also arise if the counterparty does not perform under the contract.
L Interim Financial Statements— The interim financial statements relating to March 31, 2023 and for the six months then ended have not been audited by an independent registered public accounting firm, but
in the opinion of the Fund's management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
2 Related Party Transactions
The investment advisory fee is earned by Calvert Research and
Management (CRM), an indirect, wholly-owned subsidiary of Morgan Stanley, as compensation for investment advisory services rendered to the Fund. The investment advisory fee is computed at an annual rate as a percentage of the Fund’s average
daily gross assets as follows and is payable monthly:
| Average Daily Gross Assets | Annual
Fee Rate |
| Up to and including $1 billion | 0.480% |
| In excess of $1 billion | 0.430% |
Gross assets of the Fund are
calculated by deducting all liabilities of the Fund except the principal amount of any indebtedness for money borrowed by the Fund. For the six months ended March 31, 2023, the investment advisory fee amounted to $277,540 or 0.62%
(annualized) of the Fund’s average daily net assets.
The Fund may invest in a money market fund, the Institutional
Class of the Morgan Stanley Institutional Liquidity Funds - Government Portfolio (the “Liquidity Fund”), an open-end management investment company managed by Morgan Stanley Investment Management Inc., a wholly-owned subsidiary of Morgan
Stanley. The investment advisory fee paid by the Fund is reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Fund due to its investment in the Liquidity Fund. For the six months ended March 31, 2023,
the investment advisory fee paid was reduced by $2,518 relating to the Fund’s investment in the Liquidity Fund.
CRM has agreed to reimburse certain of the Fund’s
operating expenses (excluding investment advisory, administrative and distribution and service fees) in excess of 0.06% annually for each of Class A, Class I and Class R6 of such class's average daily net assets. The expense reimbursement relates to
ordinary operating expenses only and does not include expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, borrowing costs, taxes or litigation expenses. The expense reimbursement agreement with CRM may be
changed or terminated after January 31, 2024. For the six months ended March 31, 2023, CRM waived or reimbursed expenses of $101,300.
25
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Notes to Financial
Statements (Unaudited) — continued
The
administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class A, Class I and Class R6 and is
payable monthly. For the six months ended March 31, 2023, CRM was paid administrative fees of $53,670.
The Fund has in effect a distribution plan for Class A shares
(Class A Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class A Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per
annum of its average daily net assets attributable to Class A shares for distribution services and facilities provided to the Fund by EVD, as well as for personal services and/or the maintenance of shareholder accounts. Distribution and service fees
paid or accrued for the six months ended March 31, 2023 amounted to $9,997 for Class A shares.
The Fund was informed that EVD received $1,104 as its portion
of the sales charge on sales of Class A shares for the six months ended March 31, 2023. The Fund was also informed that EVD received no contingent deferred sales charges paid by Class A shareholders for the same period.
Eaton Vance Management (EVM), an affiliate of CRM, provides
sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended March 31, 2023, sub-transfer agency fees and expenses incurred to EVM amounted to $1,321 and are included in
transfer agency fees and expenses on the Statement of Operations.
Each Trustee of the Fund who is not an employee of CRM or its
affiliates receives an annual fee of $214,000, an annual Committee fee ranging from $8,500 to $16,500 depending on the Committee, and may receive a fee of $10,000 for special meetings. The Board chair receives an additional $40,000 ($30,000 prior to
January 1, 2023) annual fee, Committee chairs receive an additional $15,000 ($6,000 prior to January 1, 2023) annual fee and the special equities liaison receives an additional $2,500 annual fee. Eligible Trustees may participate in a Deferred
Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Trustees. The Fund purchases shares of the funds selected equal
to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund's assets. Trustees’ fees are allocated to each of the Calvert funds
served. Salaries and fees of officers and Trustees of the Fund who are employees of CRM or its affiliates are paid by CRM.
3 Investment Activity
During the six months ended March 31, 2023, the cost of
purchases and proceeds from sales of investments, other than short-term securities and including paydowns and principal repayments on senior floating rate loans, were $3,456,273 and $18,856,320, respectively.
4 Distributions to Shareholders and Income Tax
Information
At September 30, 2022, the Fund, for federal
income tax purposes, had deferred capital losses of $3,627,554 which would reduce the Fund's taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus
would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund's
next taxable year, can be carried forward for an unlimited period, and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at September 30, 2022, $1,185,032 are short-term and $2,442,522
are long-term.
The cost and unrealized appreciation
(depreciation) of investments of the Fund at March 31, 2023, as determined on a federal income tax basis, were as follows:
| Aggregate cost | $113,316,534 |
| Gross unrealized appreciation | $ 412,360 |
| Gross unrealized depreciation | (6,762,161) |
| Net unrealized depreciation | $ (6,349,801) |
5 Credit Agreement
The Fund has entered into a committed, senior secured 364-day
revolving line of credit, as amended (the Agreement) with a bank to borrow up to a limit of $60 million. Borrowings under the Agreement are secured by the assets of the Fund. The Fund is required to maintain a certain borrowing base while borrowings
are outstanding. Borrowings may be made for general business purposes, including the purchase of investment securities and temporary or emergency purposes.
26
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Notes to Financial
Statements (Unaudited) — continued
Interest on advances under the Agreement is calculated at a
rate per annum equal to the Fund's option of (a) Term SOFR (subject to a 0% floor) plus a Term SOFR adjustment of 0.10% plus a 0.85% margin (the “SOFR Rate”) and (b) Federal Funds Effective Rate plus 0.85% (which cannot be lower than the
SOFR Rate). Term SOFR is defined as the secured overnight financing rate as administered by the Federal Reserve Bank of New York for a 1-month tenor. Under the terms of the Agreement, the Fund pays a facility fee of 0.15% per annum on the commitment
amount.
In connection with the renewal of the Agreement
on March 14, 2023, the Fund paid upfront fees of $30,000, which are being amortized to interest expense through March 12, 2024. The unamortized balance at March 31, 2023 is approximately $29,000 and is included in “prepaid upfront fees on note
payable” on the Statement of Assets and Liabilities. At March 31, 2023, the Fund had borrowings outstanding under the Agreement of $26,000,000 at an annual interest rate of 5.74%. Based on the short-term nature of the borrowings under the
Agreement and the variable interest rate, the carrying amount of the borrowings at March 31, 2023 approximated its fair value. If measured at fair value, borrowings under the Agreement would have been considered as Level 2 in the fair value
hierarchy (see Note 1A) at March 31, 2023. For the six months ended March 31, 2023, the average borrowings under the Agreement and the average annual interest rate (excluding fees) were $26,269,231 and 5.03%, respectively.
6 Affiliated Investments
At March 31, 2023, the value of the Fund’s investment in
funds that may be deemed to be affiliated was $2,436,143, which represents 2.9% of the Fund’s net assets. Transactions in such funds by the Fund for the six months ended March 31, 2023 were as follows:
| 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 | $3,622,263 | $27,426,491 | $(28,612,611) | $ — | $ — | $2,436,143 | $58,765 | 2,436,143 |
7 Capital Shares
The Fund’s Declaration of Trust permits the Trustees to
issue an unlimited number of full and fractional shares of beneficial interest (without par value). Such shares may be issued in a number of different series (such as the Fund) and classes.
Transactions in capital shares for the six months ended March
31, 2023 and the year ended September 30, 2022 were as follows:
| Six
Months Ended March 31, 2023 (Unaudited) |
Year
Ended September 30, 2022 | ||||
| Shares | Amount | Shares | Amount | ||
| Class A | |||||
| Shares sold | 75,387 | $ 655,611 | 608,355 | $ 5,661,318 | |
| Reinvestment of distributions | 35,079 | 307,061 | 30,301 | 272,944 | |
| Shares redeemed | (122,114) | (1,068,478) | (93,351) | (846,964) | |
| Net increase (decrease) | (11,648) | $ (105,806) | 545,305 | $ 5,087,298 | |
| Class I | |||||
| Shares sold | 742,293 | $ 6,482,071 | 4,863,975 | $ 45,267,890 | |
| Reinvestment of distributions | 237,702 | 2,077,701 | 360,202 | 3,279,314 | |
| Shares redeemed | (2,006,922) | (17,504,092) | (5,605,783) | (51,059,427) | |
| Net decrease | (1,026,927) | $ (8,944,320) | (381,606) | $ (2,512,223) | |
| Class R6 | |||||
| Shares sold | 104 | $ 905 | 994,285 | $ 9,309,545 | |
| Reinvestment of distributions | 144,549 | 1,263,485 | 223,961 | 2,045,111 | |
| Shares redeemed | (520,214) | (4,561,615) | (3,499,373) | (32,224,693) | |
| Net decrease | (375,561) | $ (3,297,225) | (2,281,127) | $(20,870,037) | |
27
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Notes to Financial
Statements (Unaudited) — continued
8 Risks and Uncertainties
Credit Risk
The Fund invests primarily in below investment grade senior
floating rate loans, which have speculative characteristics because of the credit risk associated with their issuers. Changes in economic conditions or other circumstances are more likely to reduce the capacity of issuers of these securities to make
principal and interest payments. Such companies are more likely to default on their payments of interest and principal owed than issuers of investment grade bonds. An economic downturn generally leads to a higher non-payment rate, and a loan or
other debt obligation may lose significant value before a default occurs. Lower rated investments also may be subject to greater price volatility than higher rated investments. Moreover, the specific collateral used to secure a loan may decline in
value or become illiquid, which would adversely affect the loan's value.
LIBOR Transition Risk
Certain instruments held by the Fund may pay an interest rate
based on the London Interbank Offered Rate (“LIBOR”), which is the average offered rate for various maturities of short-term loans between certain major international banks. LIBOR is used throughout global banking and financial
industries to determine interest rates for a variety of financial instruments (such as debt instruments and derivatives) and borrowing arrangements. The ICE Benchmark Administration Limited, the administrator of LIBOR, ceased publishing certain
LIBOR settings on December 31, 2021, and is expected to cease publishing the remaining LIBOR settings on June 30, 2023. Although the transition process away from LIBOR has become increasingly well-defined, the impact on certain debt securities,
derivatives and other financial instruments that utilize LIBOR remains uncertain. The phase-out of LIBOR may result in, among other things, increased volatility or illiquidity in markets for instruments based on LIBOR and changes in the value of
such instruments.
Pandemic Risk
An outbreak of respiratory disease caused by a novel
coronavirus was first detected in China in late 2019 and subsequently spread internationally. This coronavirus has resulted in closing borders, enhanced health screenings, changes to healthcare service preparation and delivery, quarantines,
cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. Health crises caused by outbreaks of disease, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and
economic risks and disrupt normal market conditions and operations. The impact of this outbreak has negatively affected the worldwide economy, as well as the economies of individual countries and industries, and could continue to affect the market
in significant and unforeseen ways. Other epidemics and pandemics that may arise in the future may have similar effects. Any such impact could adversely affect the Fund's performance, or the performance of the securities in which the Fund
invests.
28
Calvert
Floating-Rate Advantage Fund
March 31, 2023
Officers and
Trustees
| Officers |
| Hope L.
Brown Chief Compliance Officer |
| Deidre E.
Walsh Secretary, Vice President and Chief Legal Officer |
| James F.
Kirchner Treasurer |
| Trustees |
| Alice
Gresham Bullock Chairperson |
| Richard L. Baird, Jr. |
| Cari M. Dominguez |
| Theodore H. Eliopoulos*(1) |
| John G. Guffey, Jr. |
| Miles D. Harper, III |
| Joy V. Jones |
| Anthony A.
Williams |
| *Interested Trustee and President |
| (1)Mr. Eliopoulos began serving as Trustee effective December 30, 2022. |
29
Calvert Funds
| 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 |
30
Calvert Funds
| Privacy Notice — continued | April 2021 |
Page 2
| 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. | |
31
Calvert Funds
IMPORTANT NOTICES
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and
shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial intermediary, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial intermediary, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial intermediary. Your instructions that householding not
apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial intermediary.
Portfolio Holdings. Each Calvert fund files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC. Certain information filed on Form N-PORT may be viewed on the Calvert website at www.calvert.com, by calling
Calvert at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov.
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information.
The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information
regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting
the SEC’s website at www.sec.gov.
32
* FINRA
BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of
current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Item 2. Code of Ethics.
Not required in this filing.
Item 3. Audit Committee Financial Expert.
Not required in this filing.
Item 4. Principal Accountant Fees and Services.
Not required in this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Please see schedule of investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
No material changes.
Item 11. Controls and Procedures.
(a) The registrant’s principal executive and principal financial officers have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 Act, as amended (the “1940 Act”) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (“Exchange Act”), as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
| (a)(1) | Registrant’s Code of Ethics- Not applicable (please see Item 2) | |
| (a)(2)(i) | President’s Section 302 certification. | |
| (a)(2)(ii) | Treasurer’s Section 302 certification. | |
| (b) | Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Calvert Management Series | ||
| By: | /s/ Ted Eliopoulos | |
| Ted Eliopoulos | ||
| President | ||
Date: May 22, 2023
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/ Ted Eliopoulos | |
| Ted Eliopoulos | ||
| President | ||
| Date: May 22, 2023 | ||
| By: | /s/ James F. Kirchner | |
| James F. Kirchner | ||
| Treasurer | ||
| Date: May 22, 2023 | ||