N-Q 1 cmsbmnqcd3doc.htm N-Q CMSBMNQCD3 Combined Document
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

811-03101
Investment Company Act File Number

Calvert Management Series
(Exact Name of Registrant as Specified in Charter)

4550 Montgomery Avenue, Suite 1000N, Bethesda, Maryland 20814
(Address of Principal Executive Offices)

Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Service)
 
(301) 951-4800
(Registrant's telephone number, including area code)

December 31
Date of Fiscal Year End

March 31, 2017
Date of Reporting Period
 
 
 





 
Item 1. Schedule of Investments





CALVERT TAX-FREE RESPONSIBLE IMPACT BOND FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 2017 (Unaudited)
 
PRINCIPAL AMOUNT ($)
VALUE ($)
MUNICIPAL OBLIGATIONS - 98.5%
 
 
 
Alaska - 1.9%
 
 
Alaska Housing Finance Corp. Revenue Bonds, 3.00%, 12/1/33 (a)
1,000,000
906,480
Matanuska-Susitna Borough GO Bonds, 4.50%, 7/1/29
1,670,000
1,882,491
 
 
2,788,971
 
California - 8.2%
 
 
California Educational Facilities Authority Revenue Bonds, (Stanford University), 5.00%, 6/1/46
1,000,000
1,292,310
California GO Bonds:
 
 
4.00%, 9/1/32
1,000,000
1,051,270
4.00%, 3/1/45
1,350,000
1,379,403
California GO Green Bonds, 3.75%, 10/1/37
1,000,000
1,003,040
California GO Veterans Bonds:
 
 
4.00%, 12/1/32 (a)
1,000,000
1,025,880
3.75%, 12/1/34
1,500,000
1,516,710
California Infrastructure & Economic Development Bank Revenue Bonds, 5.00%, 10/1/34
2,000,000
2,325,840
California Pollution Control Financing Authority Revenue Bonds:
 
 
(Waste Management, Inc.), 3.00%, 11/1/25 (a)
350,000
350,760
(Waste Management, Inc.), 1.65%, 7/1/31 (Mandatory put, 5/1/17 @ 100) (a)(b)
1,000,000
1,000,620
Long Beach California Unified School District GO Bonds, Zero Coupon, (AGC), 8/1/25
1,000,000
793,290
 
 
11,739,123
 
Colorado - 0.8%
 
 
Regional Transportation District Colorado Sales Tax Revenue Bonds, 5.00%, 11/1/32
1,000,000
1,208,520
 
Connecticut - 3.3%
 
 
Connecticut GO Green Bonds, 5.00%, 11/15/31
1,000,000
1,123,740
Connecticut Health & Educational Facility Authority Revenue Bonds:
 
 
(Yale University), 4.85%, 7/1/37
1,360,000
1,372,675
(State Supported Child Care), 4.00%, 7/1/38
1,170,000
1,190,943
(Yale University), 5.05%, 7/1/42
1,000,000
1,010,180
 
 
4,697,538
 
District of Columbia - 2.0%
 
 
Metropolitan Washington DC Airport Authority System Revenue Bonds:
 
 
(AMBAC), 5.00%, 10/1/25 (a)
1,750,000
1,783,758

See notes to Schedule of Investments

5.00%, 10/1/27 (a)
1,000,000
1,136,280
 
 
2,920,038
 
Florida - 6.4%
 
 
Highlands County Florida Health Facilities Authority Revenue Bonds, (Adventist Health System), 5.625%, 11/15/37
1,080,000
1,183,291
Miami-Dade County Florida Aviation Revenue Bonds:
 
 
5.00%, 10/1/30 (a)
1,500,000
1,645,290
(AGM), 5.00%, 10/1/41 (Prerefunded to 10/1/18 @ 100)
1,000,000
1,059,170
Miami-Dade County Florida EFA Revenue Bonds, (University of Miami), 4.00%, 4/1/45
1,375,000
1,387,196
Miami-Dade County Florida GO Bonds, (AMBAC), 7.75%, 10/1/18
2,000,000
2,193,680
Miami-Dade County Florida IDA Revenue Bonds, (Miami Cerebral Palsy Residential Services, Inc.), 8.00%, 6/1/22
450,000
449,978
Miami-Dade County Florida Professional Sports Franchise Facilities Tax Revenue Bonds, (NPFG), 5.25%, 10/1/30 (Escrowed to maturity)
1,000,000
1,242,280
 
 
9,160,885
 
Georgia - 1.5%
 
 
Cobb County Georgia Development Authority Revenue Bonds, (Waste Management, Inc.), 1.875%, 4/1/33 (Mandatory put, 10/1/19 @ 100) (b)
1,000,000
1,007,440
Georgia GO Bonds, 4.50%, 7/1/28
1,000,000
1,111,700
 
 
2,119,140
 
Hawaii - 2.8%
 
 
Hawaii State Airports System Revenue Bonds, 5.00%, 7/1/41 (a)
750,000
818,738
Hawaii State GO Bonds, 4.00%, 10/1/34
2,000,000
2,098,380
Honolulu City and County Hawaii GO Bonds, 5.00%, 12/1/34
1,000,000
1,104,960
 
 
4,022,078
 
Idaho - 1.4%
 
 
County of Nez Perce Revenue Bonds, (Potlatch Corp.), 2.75%, 10/1/24
1,000,000
950,330
Idaho Housing & Finance Association Revenue Bonds, 3.10%, 7/1/24
955,000
985,713
 
 
1,936,043
 
Illinois - 1.7%
 
 
Chicago O'Hare International Airport Revenue Bonds, 5.00%, 1/1/34 (a)
400,000
432,776
Illinois Educational Facilities Revenue Bonds:
 
 
(Field Museum of Natural History), 4.00%, 11/1/36
1,000,000
1,003,930
(Field Museum of Natural History), 4.45%, 11/1/36
1,000,000
1,028,050
 
 
2,464,756
 
Indiana - 1.7%
 
 
Indiana Finance Authority Revenue Bonds:
 
 

See notes to Schedule of Investments

(Butler University), 5.00%, 2/1/31
1,130,000
1,235,045
Green Bonds, (CWA Authority), (NPFG), 5.00%, 10/1/36
1,000,000
1,131,570
 
 
2,366,615
 
Iowa - 0.8%
 
 
Iowa SO Revenue Bonds, 5.00%, 6/15/27 (Prerefunded to 6/15/20 @ 100)
1,000,000
1,115,650
 
Kansas - 2.7%
 
 
Kansas Development Finance Authority Hospital Revenue Bonds:
 
 
(Adventist Health System), 5.50%, 11/15/29
1,000,000
1,094,030
(Adventist Health System), 5.75%, 11/15/38
1,000,000
1,096,120
Wyandotte County Kansas Unified School District No. 203 Piper GO Bonds, 4.00%, 9/1/23
1,545,000
1,738,434
 
 
3,928,584
 
Maryland - 2.3%
 
 
Maryland Economic Development Corp. Revenue Bonds, (University of Maryland, College Park), (AGM), 5.00%, 6/1/43
500,000
559,190
Maryland State Community Development Administration Department of Housing and Community Development Revenue Bonds:
 
 
4.05%, 7/1/40
1,575,000
1,635,464
4.35%, 7/1/50
1,000,000
1,027,100
 
 
3,221,754
 
Massachusetts - 3.0%
 
 
Boston Massachusetts Water & Sewer Commission Revenue Bonds, 5.00%, 11/1/30 (Prerefunded to 11/1/19 @ 100)
1,000,000
1,096,080
Massachusetts Development Finance Agency Revenue Bonds, (Dana-Farber Cancer Institute), 5.00%, 12/1/34
500,000
567,625
Massachusetts HFA Revenue Bonds:
 
 
3.85%, 6/1/28 (a)
565,000
581,820
3.30%, 12/1/28 (a)
750,000
740,310
The Massachusetts Clean Water Trust Revenue Bonds, 5.25%, 8/1/29
1,000,000
1,262,250
 
 
4,248,085
 
Michigan - 3.0%
 
 
Grand Valley State University Revenue Bonds, 5.00%, 12/1/33
1,000,000
1,120,880
Michigan Finance Authority Revenue Bonds, (Beaumont Health Credit Group), 4.00%, 11/1/46
2,000,000
2,008,620
Ypsilanti Michigan School District GO Bonds, 5.00%, 5/1/30
1,000,000
1,120,520
 
 
4,250,020
 
Missouri - 1.6%
 
 
Kansas City Missouri GO Bonds, 4.50%, 2/1/24
1,000,000
1,128,540
Kansas City Missouri SO Revenue Bonds:
 
 
4.00%, 10/1/34
500,000
512,690

See notes to Schedule of Investments

4.00%, 10/1/35
600,000
613,026
 
 
2,254,256
 
New Hampshire - 0.8%
 
 
New Hampshire Business Finance Authority Revenue Bonds, (Casella Waste Systems, Inc.), 4.00%, 4/1/29 (Mandatory put, 10/1/19 @ 100) (a)(b)(c)
1,180,000
1,165,592
 
New Mexico - 3.0%
 
 
New Mexico Hospital Equipment Loan Council Revenue Bonds, (Presbyterian Healthcare Services), 5.125%, 8/1/35
4,010,000
4,261,106
 
New York - 9.4%
 
 
Build NYC Resource Corp. Revenue Bonds, (YMCA of Greater New York), 4.00%, 8/1/36
1,665,000
1,690,907
New York City Housing Development Corp. Revenue Bonds:
 
 
3.80%, 11/1/30
1,000,000
1,029,370
3.15%, 11/1/36
1,000,000
937,130
New York City NY GO Bonds, Series G, 5.00%, 8/1/26
2,000,000
2,335,940
New York State Dormitory Authority Personal Income Tax Revenue Bonds, 5.00%, 8/15/29
1,000,000
1,140,350
New York State Environmental Facilities Corp. Revenue Bonds, (Casella Waste Systems, Inc.), 3.125%, 12/1/44 (Mandatory put, 6/1/26 @ 100) (a)(b)(c)
1,000,000
832,530
New York State Environmental Facilities Corp. Solid Waste Disposal Revenue Bonds, (Waste Management, Inc.), 2.75%, 7/1/17
200,000
200,734
New York Transportation Development Corp. Revenue Bonds:
 
 
(American Airlines, Inc.), 5.00%, 8/1/20 (a)
3,000,000
3,231,270
(LaGuardia Airport Terminal B Redevelopment), 4.00%, 7/1/33 (a)
1,985,000
1,963,840
 
 
13,362,071
 
North Carolina - 2.8%
 
 
North Carolina Medical Care Commission Revenue Bonds, (Duke University Health System), 5.00%, 6/1/42 (Prerefunded to 6/1/19 @ 100)
3,700,000
4,007,655
 
North Dakota - 0.4%
 
 
North Dakota HFA Revenue Bonds, 2.55%, 1/1/22
500,000
512,165
 
Ohio - 4.3%
 
 
Montgomery County Ohio Revenue Bonds:
 
 
(Catholic Health Initiatives), 5.00%, 5/1/39 (Prerefunded to 5/1/19 @ 100)
875,000
943,460
(Catholic Health Initiatives), 5.00%, 5/1/39 (Unrefunded portion)
1,625,000
1,676,155
Ohio State Revenue Bonds, (Portsmouth Gateway Group, LLC), (AGM), 5.00%, 12/31/30 (a)
1,000,000
1,115,740
Ohio State University Revenue Bonds:
 
 
5.00%, 12/1/29 (Escrowed to maturity)
85,000
107,470

See notes to Schedule of Investments

5.00%, 12/1/29 (Unrefunded portion)
1,915,000
2,330,919
 
 
6,173,744
 
Pennsylvania - 5.1%
 
 
Mount Lebanon Pennsylvania School District GO Bonds, 5.00%, 2/15/27
2,000,000
2,128,920
Pennsylvania Economic Development Financing Authority Revenue Bonds, (Waste Management, Inc.), 2.625%, 11/1/21 (a)
500,000
511,175
Pennsylvania HFA Revenue Bonds, 3.90%, 10/1/35
1,000,000
1,004,010
Pennsylvania Higher Educational Facilities Authority Revenue Bonds, (State System of Higher Education), 4.00%, 6/15/36
1,550,000
1,570,212
Redevelopment Authority of the City of Philadelphia Revenue Bonds, 5.00%, 4/15/21
1,855,000
2,057,677
 
 
7,271,994
 
Rhode Island - 2.4%
 
 
Rhode Island Clean Water Finance Agency Revenue Bonds:
 
 
5.00%, 10/1/30
1,000,000
1,172,360
5.00%, 10/1/31
1,000,000
1,168,060
Rhode Island GO Bonds, 4.00%, 8/1/24
1,000,000
1,095,590
 
 
3,436,010
 
Texas - 18.1%
 
 
Arlington Texas Higher Education Finance Corp. Revenue Bonds, (LifeSchool of Dallas), (PSF guaranteed), 5.00%, 8/15/34
1,300,000
1,466,192
Bexar County Texas GO Bonds:
 
 
4.00%, 6/15/32
2,000,000
2,132,440
5.00%, 6/15/35 (Prerefunded to 6/15/19 @ 100)
3,000,000
3,248,460
Dallas/Fort Worth Texas International Airport Revenue Bonds:
 
 
5.00%, 11/1/36
500,000
554,300
5.00%, 11/1/38 (a)
1,000,000
1,063,940
El Paso County Texas GO Bonds:
 
 
5.00%, 2/15/32 (Prerefunded to 2/15/21 @ 100)
15,000
17,013
5.00%, 2/15/32 (Unrefunded portion)
985,000
1,084,456
Harris County Texas Flood Control District Revenue Bonds, 5.00%, 10/1/27
3,450,000
3,867,726
Hidalgo County Texas Drain District No. 1 GO Bonds, (AGC), 5.00%, 9/1/25 (Prerefunded to 9/1/18 @ 100)
3,010,000
3,177,717
Longview Texas Independent School District GO Bonds, Zero Coupon, (PSF guaranteed), 2/15/18
500,000
495,830
Love Field Airport Modernization Corporation Revenue Bonds, 5.00%, 11/1/28 (a)
1,000,000
1,143,810
North East Texas Independent School District GO Bonds:
 
 
(PSF guaranteed), 5.25%, 2/1/26
1,000,000
1,231,260
(PSF guaranteed), 5.25%, 2/1/35
3,345,000
4,250,157
Port of Houston Texas Tax Authority GO Bonds, 5.00%, 10/1/35
1,830,000
2,036,003
 
 
25,769,304
 

See notes to Schedule of Investments

Utah - 1.4%
 
 
Utah Housing Corp. Revenue Bonds, 4.00%, 1/1/36
2,000,000
2,020,520
 
Vermont - 0.8%
 
 
Vermont GO Bonds, 5.00%, 8/15/20
1,000,000
1,089,340
 
Washington - 4.9%
 
 
Central Puget Sound Regional Transit Authority Revenue Bonds:
 
 
Green Bonds, 4.00%, 11/1/33
1,100,000
1,152,932
Green Bonds, 5.00%, 11/1/35
1,000,000
1,148,700
Snohomish County Washington School District No. 4 Lake Stevens GO Bonds, 4.00%, 12/1/35
2,460,000
2,569,396
Washington Economic Development Finance Authority Revenue Bonds, (Waste Management, Inc.), 2.125%, 6/1/20 (c)
1,000,000
1,005,560
Washington GO Bonds, 5.00%, 2/1/23 (Prerefunded to 2/1/19 @ 100)
1,000,000
1,071,110
 
 
6,947,698
 
Total Municipal Obligations (Cost $136,674,356)
 
140,459,255
 
 
TOTAL INVESTMENTS (Cost $136,674,356) - 98.5%
 
140,459,255
Other assets and liabilities, net - 1.5%
 
2,163,181
NET ASSETS - 100.0%
 
142,622,436
 
FUTURES
NUMBER OF
CONTRACTS
EXPIRATION
DATE
UNDERLYING FACE AMOUNT AT VALUE
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short:
 
 
5 Year U.S. Treasury Notes
(38)
6/17

($4,473,609
)

$1,715

 
10 Year U.S. Treasury Notes
(34)
6/17
(4,235,125)

(1,921)

 
U.S. Long Treasury Bond
(35)
6/17
(5,279,531)

(10,182)

 
Total Short
 
 
 

($10,388
)

See notes to Schedule of Investments

NOTES TO SCHEDULE OF INVESTMENTS
(a) Interest earned from these securities may be considered a tax preference item for purposes of the Federal Alternative Minimum Tax (AMT).
(b) Adjustable rate security. Interest rate represents the rate in effect on March 31, 2017 and is fixed to the next mandatory put date.
(c) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $3,003,682, which represents 2.1% of the net assets of the Fund as of March 31, 2017.
 
Abbreviations:
AGC:
Assured Guaranty Corp.
 
AGM:
Assured Guaranty Municipal Corp.
 
AMBAC:
AMBAC Financial Group, Inc.
 
EFA:
Educational Facilities Authority
 
GO:
General Obligation
 
HFA:
Housing Finance Agency/Authority
 
IDA:
Industrial Development Authority
 
NPFG:
National Public Finance Guaranty Corp.
 
PSF:
Permanent School Fund
 
SO:
Special Obligation
 
At March 31, 2017, the concentration of the Fund’s investments in the various sectors, determined as a percentage of total investments, was as follows:
 
 
Education
 
24.1
%
 
Government Public Services
 
18.7
%
 
Transportation
 
15.3
%
 
Utility
 
13.8
%
 
Health Care
 
11.9
%
 
Other, less than 10% individually
 
16.2
%
 
Total
 
100.0
%

See notes to Schedule of Investments


CALVERT UNCONSTRAINED BOND FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 2017 (Unaudited)
 
PRINCIPAL AMOUNT ($)
VALUE ($)
ASSET-BACKED SECURITIES - 33.9%
 
 
 
Automobile - 1.0%
 
 
Avis Budget Rental Car Funding LLC, Series 2013-1A, Class B, 2.62%, 9/20/19 (a)
290,000
290,974
Capital Automotive REIT, Series 2014-1A, Class A, 3.66%, 10/15/44 (a)
100,000
97,445
Skopos Auto Receivables Trust:
 
 
Series 2015-2A, Class A, 3.55%, 2/15/20 (a)
133,573
133,746
Series 2015-1A, Class A, 3.10%, 12/15/23 (a)
87,747
87,472
Series 2015-1A, Class B, 5.43%, 12/15/23 (a)
400,000
402,299
 
 
1,011,936
 
Other - 27.4%
 
 
Apidos CLO XX, Series 2015-20A, Class C, 4.723%, 1/16/27 (a)(b)
400,000
403,375
Apidos CLO XXI, Series 2015-21A, Class D, 6.574%, 7/18/27 (a)(b)
300,000
296,841
AVANT Loans Funding Trust:
 
 
Series 2016-A, Class A, 4.11%, 5/15/19 (a)
85,948
86,009
Series 2016-B, Class A, 3.92%, 8/15/19 (a)
253,759
254,353
Series 2016-C, Class A, 2.96%, 9/16/19 (a)
1,136,367
1,138,172
Blue Elephant Loan Trust, Series 2015-1, Class A, 3.12%, 12/15/22 (a)
6,922
6,923
Citi Held For Asset Issuance:
 
 
Series 2015-PM2, Class B, 4.00%, 3/15/22 (a)
1,300,000
1,308,963
Series 2015-PM3, Class B, 4.31%, 5/16/22 (a)
1,000,000
1,010,364
Series 2016-MF1, Class A, 4.48%, 8/15/22 (a)
760,368
769,753
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2, 4.474%, 3/20/43 (a)
1,922,946
1,907,297
Conn Funding II LP:
 
 
Series 2016-A, Class A, 4.68%, 4/16/18 (a)
85,049
85,141
Series 2016-A, Class B, 8.96%, 8/15/18 (a)
350,000
354,506
Series 2016-B, Class A, 3.73%, 10/15/18 (a)
974,430
977,137
Series 2016-B, Class B, 7.34%, 3/15/19 (a)
1,100,000
1,122,735
Series 2015-A, Class B, 8.50%, 9/15/20 (a)
1,531,280
1,535,041
Consumer Credit Origination Loan Trust:
 
 
Series 2015-1, Class A, 2.82%, 3/15/21 (a)
8,102
8,102
Series 2015-1, Class B, 5.21%, 3/15/21 (a)
300,000
300,157
Diamond Resorts Owner Trust, Series 2013-1, Class A, 1.95%, 1/20/25 (a)
21,935
21,761
Driven Brands Funding LLC:
 
 
Series 2015-1A, Class A2, 5.216%, 7/20/45 (a)
296,250
289,293
Series 2016-1A, Class A2, 6.125%, 7/20/46 (a)
895,500
911,104
Dryden 40 Senior Loan Fund, Series 2015-40A, Class D, 4.739%, 8/15/28 (a)(b)
250,000
248,389

See notes to Schedule of Investments


FOCUS Brands Funding LLC:
 
 
Series 2017-1A, Class A2I, 3.857%, 4/30/47 (a)(c)
175,000
175,875
Series 2017-1A, Class A2II, 5.093%, 4/30/47 (a)(c)
80,000
79,996
GCAT LLC:
 
 
Series 2015-1, Class A1, 3.625%, 5/26/20 (a)(b)
1,251,697
1,251,823
Series 2015-1, Class A2, 4.75%, 5/26/20 (a)(b)
149,683
143,876
GLC Trust, Series 2014-A, Class A, 3.00%, 7/15/21 (a)
80,250
80,033
GMAT Trust, Series 2015-1A, Class A1, 4.25%, 9/25/20 (a)(b)
256,808
256,830
InSite Issuer LLC, Series 2016-1A, Class C, 6.414%, 11/15/46 (a)
200,000
203,085
Madison Park Funding XVII Ltd., Series 2015-17A, Class D, 4.491%, 7/21/27 (a)(b)
150,000
148,449
OneMain Financial Issuance Trust:
 
 
Series 2014-1A, Class A, 2.43%, 6/18/24 (a)
597,883
597,999
Series 2014-1A, Class B, 3.24%, 6/18/24 (a)
1,000,000
1,001,821
Series 2014-2A, Class A, 2.47%, 9/18/24 (a)
629,439
630,454
Series 2015-2A, Class A, 2.57%, 7/18/25 (a)
1,200,000
1,202,429
OWS Structured Asset Trust, Series 2016-NPL1, Class A1, 3.75%, 7/25/56 (a)(b)
1,094,219
1,097,862
PennyMac LLC, Series 2015-NPL1, Class A1, 4.00%, 3/25/55 (a)(b)
483,506
485,956
RenewFund Receivables Trust, Series 2015-1, Class A, 3.51%, 4/15/25 (a)
56,167
55,998
RMAT LLC, Series 2015-1, Class A1, 4.09%, 7/27/20 (a)(b)
184,069
185,105
Sierra Timeshare Receivables Funding LLC:
 
 
Series 2013-1A, Class B, 2.39%, 11/20/29 (a)
10,660
10,661
Series 2014-1A, Class B, 2.42%, 3/20/30 (a)
62,834
62,802
Series 2014-2A, Class B, 2.40%, 6/20/31 (a)
476,154
475,645
Series 2014-3A, Class B, 2.80%, 10/20/31 (a)
116,929
117,243
Series 2015-3A, Class B, 3.08%, 9/20/32 (a)
394,115
395,272
SolarCity LMC:
 
 
Series 2014-1, Class A, 4.59%, 4/20/44 (a)
340,875
337,164
Series 2014-2, Class B, 5.44%, 7/20/44 (a)
286,040
265,486
Vericrest Opportunity Loan Trust, Series 2015-NPL3, Class A1, 3.375%, 10/25/58 (a)(b)
201,263
200,474
VML LLC, Series 2014-NPL1, Class A1, 3.875%, 4/27/54 (a)(b)
78,454
78,034
VOLT XIX LLC, Series 2014-NP11, Class A1, 3.875%, 4/25/55 (a)(b)
18,482
18,511
VOLT XXV LLC, Series 2015-NPL8, Class A1, 3.50%, 6/26/45 (a)(b)
976,923
980,506
VOLT XXVII LLC:
 
 
Series 2014-NPL7, Class A1, 3.375%, 8/27/57 (a)(b)
315,243
314,883
Series 2014-NPL7, Class A2, 4.75%, 8/27/57 (a)(b)
198,337
198,117
VOLT XXXVIII LLC, Series 2015-NP12, Class A1, 3.875%, 9/25/45 (a)(b)
123,463
124,333
Wendys Funding LLC:
 
 
Series 2015-1A, Class A2I, 3.371%, 6/15/45 (a)
1,733,600
1,741,651
Series 2015-1A, Class A2II, 4.08%, 6/15/45 (a)
344,750
347,053
 
 
26,300,842
 
Single Family Home Rental - 5.3%
 
 
American Homes 4 Rent:
 
 
Series 2014-SFR1, Class D, 3.043%, 6/17/31 (a)(b)
850,000
850,915

See notes to Schedule of Investments


Series 2014-SFR1, Class F, 4.193%, 6/17/31 (a)(b)
250,000
249,999
Colony Starwood Homes Trust:
 
 
Series 2016-1A, Class C, 3.593%, 7/17/33 (a)(b)
1,000,000
1,019,454
Series 2016-1A, Class D, 4.043%, 7/17/33 (a)(b)
960,000
975,688
Invitation Homes Trust:
 
 
Series 2014-SFR3, Class D, 3.943%, 12/17/31 (a)(b)
1,000,000
999,997
Series 2015-SFR1, Class D, 3.943%, 3/17/32 (a)(b)
480,000
481,756
Series 2015-SFR2, Class E, 4.093%, 6/17/32 (a)(b)
100,000
100,790
Series 2015-SFR2, Class F, 4.643%, 6/17/32 (a)(b)
350,000
353,490
 
 
5,032,089
 
 
 
Student Loan - 0.2%
 
 
Commonbond Student Loan Trust, Series 2015-A, Class A, 3.20%, 6/25/32 (a)
45,160
45,293
Navient Student Loan Trust, Series 2015-1, Class B, 2.482%, 7/25/52 (b)
100,000
97,071
SLM Private Credit Student Loan Trust, Series 2005-B, Class B, 1.531%, 6/15/39 (b)
80,664
76,465
 
 
218,829
 
Total Asset-Backed Securities (Cost $32,325,932)
 
32,563,696
 
 
COLLATERALIZED MORTGAGE-BACKED OBLIGATIONS (PRIVATELY ORIGINATED) - 9.7%
 
 
Bellemeade Re Ltd.:
 
 
Series 2015-1A, Class M2, 5.282%, 7/25/25 (a)(b)
986,291
993,268
Series 2015-1A, Class B1, 7.282%, 7/25/25 (a)(b)
300,000
305,405
Fannie Mae Connecticut Avenue Securities:
 
 
Series 2016-C05, Class 2M1, 2.332%, 1/25/29 (b)
315,071
316,835
Series 2016-C04, Class 1M1, 2.432%, 1/25/29 (b)
2,043,204
2,065,536
Series 2017-C01, Class 1B1, 6.732%, 7/25/29 (b)
230,000
240,272
Series 2017-C02, Class 2B1, 6.477%, 9/25/29 (b)
594,400
598,119
Freddie Mac Structured Agency Credit Risk Debt Notes:
 
 
Series 2015-HQ2, Class M3, 4.232%, 5/25/25 (b)
1,000,000
1,057,984
Series 2015-HQ2, Class B, 8.932%, 5/25/25 (b)
593,097
678,342
Series 2015-DNA2, Class B, 8.532%, 12/25/27 (b)
99,886
112,588
Series 2015-HQA2, Class M2, 3.782%, 5/25/28 (b)
1,663,798
1,715,346
Series 2015-HQA2, Class B, 11.482%, 5/25/28 (b)
648,834
788,305
Wedgewood Real Estate Trust, Series 2016-1, Class A2, 5.00%, 7/15/46 (a)(b)
405,202
404,391
 
Total Collateralized Mortgage-Backed Obligations (Privately Originated) (Cost $8,817,743)
 
9,276,391
 
 
COMMERCIAL MORTGAGE-BACKED SECURITIES - 6.2%
 
 
Bear Stearns Commercial Mortgage Securities Trust, Series 2015-RRI, Class D, 3.812%, 5/15/32 (a)(b)
400,000
399,407

See notes to Schedule of Investments


BLCP Hotel Trust:
 
 
Series 2014-CLRN, Class D, 3.412%, 8/15/29 (a)(b)
579,000
580,636
Series 2014-CLRN, Class E, 4.582%, 8/15/29 (a)(b)
150,000
150,942
Citigroup Commercial Mortgage Trust, Series 2015-SSHP, Class E, 4.312%, 9/15/27 (a)(b)
200,000
199,243
Colony Multifamily Mortgage Trust, Series 2014-1, Class A, 2.543%, 4/20/50 (a)
354,223
352,519
Equity Mortgage Trust:
 
 
Series 2014-INNS, Class E, 4.297%, 5/8/31 (a)(b)
600,000
596,456
Series 2014-INNS, Class F, 4.747%, 5/8/31 (a)(b)
350,000
345,150
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-INN, Class E, 4.512%, 6/15/29 (a)(b)
985,000
985,001
Motel 6 Trust, Series 2015-MTL6, Class E, 5.279%, 2/5/30 (a)
1,200,000
1,206,134
MSCG Trust, Series 2016-SNR, Class D, 6.55%, 11/15/34 (a)
300,000
291,845
ORES NPL LLC, Series 2014-LV3, Class B, 6.00%, 3/27/24 (a)
146,608
146,166
TRU Trust, Series 2016-TOYS, Class B, 4.062%, 11/15/30 (a)(b)
700,000
703,594
 
Total Commercial Mortgage-Backed Securities (Cost $5,854,964)
 
5,957,093
 
 
CORPORATE BONDS - 24.8%
 
 
 
Communications - 5.1%
 
 
Qwest Corp., 6.50%, 6/1/17
500,000
502,504
Sprint Communications, Inc., 8.375%, 8/15/17
3,565,000
3,643,430
Time Warner Cable LLC, 5.85%, 5/1/17
350,000
351,075
Verizon Communications, Inc., 5.50%, 3/16/47
350,000
366,850
 
 
4,863,859
 
Consumer, Cyclical - 9.8%
 
 
American Airlines Pass-Through Trust:
 
 
5.60%, 1/15/22 (a)
1,662,753
1,718,871
Series B, 5.25%, 7/15/25
160,356
165,568
Carrols Restaurant Group, Inc., 8.00%, 5/1/22
600,000
640,500
Ferrellgas Partners LP / Ferrellgas Partners Finance Corp., 8.625%, 6/15/20
500,000
478,750
Ford Motor Credit Co. LLC:
 
 
6.625%, 8/15/17
1,120,000
1,140,427
2.875%, 10/1/18
2,493,000
2,522,502
JC Penney Corp., Inc., 7.95%, 4/1/17
545,000
545,000
New Albertsons, Inc., 7.75%, 6/15/26
500,000
488,750
Nordstrom, Inc.:
 
 
4.00%, 3/15/27 (d)
185,000
184,366
5.00%, 1/15/44
250,000
236,573
Virgin Australia Pass-Through Trust:
 
 
7.125%, 10/23/18 (a)
38,082
39,115

See notes to Schedule of Investments


6.00%, 4/23/22 (a)
958,491
977,661
Wyndham Worldwide Corp.:
 
 
4.15%, 4/1/24
125,000
126,065
4.50%, 4/1/27
97,000
97,720
 
 
9,361,868
 
Consumer, Non-cyclical - 0.6%
 
 
Land O'Lakes, Inc., 6.00%, 11/15/22 (a)
500,000
551,250
 
Financial - 8.1%
 
 
Air Lease Corp., 5.625%, 4/1/17
800,000
800,000
Ally Financial, Inc.:
 
 
6.25%, 12/1/17
785,000
805,614
3.60%, 5/21/18
1,350,000
1,366,875
CIT Group, Inc., 4.25%, 8/15/17
1,000,000
1,008,750
Citigroup, Inc., 6.25% to 8/15/26, floating rate thereafter (b)(e)
150,000
161,812
Credit Acceptance Corp.:
 
 
6.125%, 2/15/21
500,000
498,750
7.375%, 3/15/23
100,000
100,500
Doric Nimrod Air Alpha Ltd. Pass-Through Trust, 6.125%, 11/30/21 (a)
377,788
388,177
iStar, Inc.:
 
 
4.00%, 11/1/17
925,000
927,312
6.00%, 4/1/22
567,000
575,505
Navient Corp., 6.50%, 6/15/22
189,000
190,654
OneMain Financial Holdings LLC, 6.75%, 12/15/19 (a)
525,000
548,625
Synchrony Financial, 2.438%, 11/9/17 (b)
420,000
422,345
 
 
7,794,919
 
Industrial - 0.4%
 
 
Keysight Technologies, Inc., 4.60%, 4/6/27 (c)
221,000
222,603
Tutor Perini Corp., 7.625%, 11/1/18
200,000
200,250
 
 
422,853
 
Technology - 0.8%
 
 
DXC Technology Co., 4.25%, 4/15/24 (a)
94,000
95,582
NXP BV / NXP Funding LLC, 4.125%, 6/1/21 (a)
200,000
207,500
Seagate HDD Cayman, 4.875%, 6/1/27
490,000
458,733
 
 
761,815
 
Total Corporate Bonds (Cost $23,589,689)
 
23,756,564
 
 
FLOATING RATE LOANS (f) - 0.7%
 
 
 

See notes to Schedule of Investments


Consumer, Cyclical - 0.7%
 
 
Varsity Brands, Inc., 5.00%, 12/11/21 (b)
639,683
647,479
 
Total Floating Rate Loans (Cost $639,137)
 
647,479
 
 
U.S. TREASURY OBLIGATIONS - 7.6%
 
 
U.S. Treasury Notes:
 
 
2.00%, 11/15/26
6,940,000
6,704,151
2.25%, 2/15/27
600,000
592,336
 
Total U.S. Treasury Obligations (Cost $7,283,698)
 
7,296,487
 
 
TIME DEPOSIT - 13.2%
 
 
State Street Bank and Trust Eurodollar Time Deposit, 0.09%, 4/3/17
12,680,920
12,680,920
 
Total Time Deposit (Cost $12,680,920)
 
12,680,920
 
 
 
SHARES
VALUE ($)
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 0.1%
 
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.62%
123,830
123,830
 
Total Short Term Investment of Cash Collateral For Securities Loaned (Cost $123,830)
 
123,830
 
 
TOTAL INVESTMENTS (Cost $91,315,913) - 96.2%
 
92,302,460
Other assets and liabilities, net - 3.8%
 
3,618,425
NET ASSETS - 100.0%
 
95,920,885
 
FUTURES
NUMBER OF
CONTRACTS
EXPIRATION
DATE
UNDERLYING FACE AMOUNT AT VALUE
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short:
 
 
5 Year U.S. Treasury Notes
(61)
6/17

($7,181,320
)

$2,753


See notes to Schedule of Investments


NOTES TO SCHEDULE OF INVESTMENTS
(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $44,577,098, which represents 46.5% of the net assets of the Fund as of March 31, 2017.
(b) The coupon rate shown on floating or adjustable rate securities represents the rate in effect on March 31, 2017.
(c) When-issued security.
(d) Security, or portion of security, is on loan. Total value of securities on loan is $121,865 as of March 31, 2017.
(e) Perpetual security with no stated maturity date but may be subject to calls by the issuer.
(f) Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. Floating rate loans generally pay interest at rates which are periodically re-determined at a margin above the London InterBank Offered Rate (“LIBOR”) or other short-term rates. The rate shown is the rate in effect at March 31, 2017. Floating rate loans are generally considered restrictive in that the Fund is ordinarily contractually obligated to receive consent from the Agent Bank and/or Borrower prior to disposition of a floating rate loan.


See notes to Schedule of Investments


Calvert Management Series (the “Trust”) was organized as a Massachusetts business trust on October 20, 1980, and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The Trust operates two (2) separate series, or mutual funds, each with its own investment objective(s) and strategies. This report contains the portfolio holdings for Calvert Tax-Free Responsible Impact Bond Fund (“Tax-Free Responsible Impact Bond”) and Calvert Unconstrained Bond Fund (“Unconstrained Bond”) (each, a “Fund” and collectively, the “Funds”).
NOTE A - Valuation
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 a 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.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period.

The following tables summarize the market value of each Fund’s holdings as of March 31, 2017, based on the inputs used to value them:
TAX-FREE RESPONSIBLE IMPACT BOND
 
VALUATION INPUTS
INVESTMENTS IN SECURITIES
LEVEL 1
LEVEL 2
LEVEL 3
TOTAL
Municipal Obligations
$—


$140,459,255

 
$—

$140,459,255

TOTAL
$—


$140,459,255

$—

$140,459,255

Asset Derivatives - Futures Contracts*

$1,715

$—

$—

$1,715

Liability Derivatives - Futures Contracts*

($12,103
)
$—

$—

($12,103
)
 
* The value listed reflects unrealized appreciation (depreciation) as shown on the Schedule of Investments.

There were no transfers between Level 1 and Level 2 during the period ended March 31, 2017.




UNCONSTRAINED BOND
 
VALUATION INPUTS
INVESTMENTS IN SECURITIES
LEVEL 1
LEVEL 2
LEVEL 3
TOTAL
Asset-Backed Securities
$—


$32,563,696

 
$—


$32,563,696

Collateralized Mortgage-Backed Obligations (Privately Originated)
—

9,276,391

 
—

9,276,391

Commercial Mortgage-Backed Securities
—

5,957,093

 
—

5,957,093

Corporate Bonds
—

23,756,564

 
—

23,756,564

Floating Rate Loans
—

647,479

 
—

647,479

U.S. Treasury Obligations
—

7,296,487

 
—

7,296,487

Time Deposit
—

12,680,920

 
—

12,680,920

Short Term Investment of Cash Collateral For Securities Loaned
123,830

—

 
—

123,830

TOTAL

$123,830


$92,178,630

$—
 

$92,302,460

Futures Contracts*

$2,753

$—

$—
 

$2,753

 
* The value listed reflects unrealized appreciation (depreciation) as shown on the Schedule of Investments.

There were no transfers between Level 1 and Level 2 during the period ended March 31, 2017.
NOTE B – Futures Contracts
During the period ended March 31, 2017, the Funds used U.S. Treasury futures contracts as a substitute for direct investment in particular asset classes, to hedge against interest rate changes and to manage overall duration of the Funds and to implement tactical asset allocation decisions. The Funds' futures contracts at period end are presented in the Schedules of Investments.
The volume of outstanding contracts has varied throughout the period ended March 31, 2017 with an average notional cost of contracts as in the following table:

 
Average Notional Cost of Contracts
 
Long
Short
Tax-Free Responsible Impact Bond

-
$(13,999,824)
Unconstrained Bond

-
(7,192,493)




NOTE C – Tax Information
The cost and unrealized appreciation (depreciation) of investments of the Funds at March 31, 2017, as determined on a federal income tax basis, were as follows:

 
TAX-FREE RESPONSIBLE IMPACT BOND
UNCONSTRAINED BOND
 
Unrealized appreciation

$5,596,974

 
$1,056,129
 
Unrealized (depreciation)
(1,761,551)

 
(69,594)
 
Net unrealized appreciation (depreciation)

$3,835,423

 
$986,535
 
 
 
 
 
 
 
Federal income tax cost of investments

$136,623,832

 
$91,315,925
 

For information on each Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to each Fund’s most recent financial statements included in its semiannual or annual report to shareholders.

 



 
Item 2. Controls and Procedures

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (“1940 Act”)) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, 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.

(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 registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 3. Exhibits

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act is attached hereto.
    




SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
Calvert Management Series

By:    /s/ John H. Streur
    John H. Streur
    President

Date:    May 22, 2017
 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 
By:    /s/ John H. Streur
    John H. Streur
    President

Date:    May 22, 2017
 


By:    /s/ James F. Kirchner
    James F. Kirchner
    Treasurer

Date:    May 22, 2017