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Form N-CSR CALVERT IMPACT FUND INC For: Sep 30

November 27, 2023 2:00 PM EST

 

 

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: 811-10045

 

 

CALVERT IMPACT FUND, INC.

(Exact Name of Registrant as Specified in Charter)

 

 

2050 M Street NW, Washington, DC 20036

(Address of Principal Executive Offices)

 

 

Deidre E. Walsh

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

 

 

(202) 238-2200

(Registrant’s Telephone Number)

 

 

September 30

Date of Fiscal Year End

September 30, 2023

Date of Reporting Period

 

 

 


Item 1. Reports to Stockholders

 



Calvert
Green Bond Fund
Annual Report
September 30, 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.
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Calvert
Green Bond Fund 
September 30, 2023
Management's Discussion of Fund Performance

Economic and Market Conditions
For fixed-income investors, the dominant event during the 12-month period ended September 30, 2023, was the series of U.S. Federal Reserve (Fed) interest rate hikes -- six during the period, and 11 in total -- that brought the federal funds rate to its highest level in 22 years.
But while the Fed’s campaign to tamp down inflation led to negative performance for government bonds, corporate bond returns were strongly positive during the period -- buoyed in part by the very factors that were fueling inflation: record low unemployment, strong job creation, and robust consumer spending.
By the summer of 2023, a majority of economists and market observers seemed to be coming around to the view that Jerome Powell’s Fed might be able to accomplish what had seldom, if ever, been done before: raise rates significantly to lower inflation and still bring the economy in for a soft landing without a recession.
One cloud that hung over fixed-income markets during the period, however, was fear that even after it finished raising rates, the Fed would leave rates higher for longer than investors had previously anticipated. During the final two months of the period -- and especially after the Fed’s September 2023 meeting -- longer-term interest rates rose dramatically, as investor expectations of how high rates would go -- and how long they would stay there -- seemed to get higher and longer.
Against the backdrop of the Fed’s aggressive monetary tightening campaign, U.S. Treasurys were the worst-performing major fixed-income asset class during the 12-month period, with the Bloomberg U.S. Treasury Index returning -0.81%.
In contrast, the strong U.S. economy and increasing confidence in a soft-landing scenario served as tailwinds for investment-grade corporate bonds. Even in a rising-rate environment, the Bloomberg U.S. Corporate Bond Index returned 3.65% during the period.
High yield bonds were the standout performer among major fixed-income asset classes, with the Bloomberg U.S. Corporate High Yield Index returning 10.28% during the period. With a strong U.S. economy helping keep bond defaults low, and a recession looking increasingly remote, investors gravitated toward riskier investments with greater yields.
Asset-backed securities -- including bonds backed by automobile and consumer loans -- benefited from strong consumer balance sheets and spending during the period, with the Bloomberg U.S. Asset-Backed Securities Index returning 2.81%.
Mortgage-backed securities (MBS), however, were dogged by two technical factors that depressed prices, causing the Bloomberg U.S. Mortgage-Backed Securities Index to return -0.17% during the period. As the Fed lowered its balance sheet, it sold off much of its MBS holdings. And several regional banks that had been significant buyers of MBS were forced by the banking crisis of March 2023 to liquidate their assets. The resulting release of a significant amount of MBS into the market led prices to fall and the asset class to deliver negative returns.
 
Fund Performance
For the 12-month period ended September 30, 2023, Calvert Green Bond Fund (the Fund) returned 1.49% for Class A shares at net asset value (NAV), underperforming its benchmark, the ICE BofA USD Green Bond Index (the Index), which returned 2.85%.
Security selections were the leading detractor from returns relative to the Index during the period. Selections in investment-grade corporate securities and government-related securities particularly weighed on relative returns. The Fund’s sector allocations, especially out-of-Index allocations to asset-backed securities and commercial mortgage-backed securities, also detracted from relative performance during the period.
On the positive side, the Fund’s duration and yield-curve positioning led contributors to relative performance during the period. While sector allocations detracted overall, underweight allocations to government-related securities and non-U.S. government bonds, and an out-of-Index allocation to high yield corporate bonds contributed to relative returns during the period.
The use of U.S. Treasury futures and options on U.S. Treasury futures to manage interest rate duration had a negative impact on total returns during the period.
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
Green Bond Fund 
September 30, 2023
Performance

Portfolio Manager(s) Vishal Khanduja, CFA and Brian S. Ellis, CFA, each of Calvert Research and Management
% Average Annual Total Returns1,2 Class
Inception Date
Performance
Inception Date
One Year Five Years Since
Inception
Class A at NAV 10/31/2013 10/31/2013 1.49% —% 3 0.93%
Class A with 3.25% Maximum Sales Charge (1.78) (0.66) 0.60
Class I at NAV 10/31/2013 10/31/2013 1.67 0.25 1.24
Class R6 at NAV 02/01/2019 10/31/2013 1.72 0.31 1.28

ICE BofA USD Green Bond Index 2.85% 0.84% 1.52%
ICE BofA Green Bond Index - Hedged USD 2.89 (0.24) 1.35
    
% Total Annual Operating Expense Ratios4 Class A Class I Class R6
Gross 0.77% 0.52% 0.47%
Net 0.73 0.48 0.43
Growth of $10,000

This graph shows the change in value of a hypothetical investment of $10,000 in Class A of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index.
Growth of Investment2 Amount Invested Period Beginning At NAV With Maximum Sales Charge
Class I, at minimum investment $1,000,000 10/31/2013 $1,130,371 N.A.
Class R6, at minimum investment $5,000,000 10/31/2013 $5,669,822 N.A.
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.
3

 


Calvert
Green Bond Fund 
September 30, 2023
Fund Profile

Asset Allocation (% of total investments)
Credit Quality (% of bond holdings)1
 
Country Allocation (% of total investments)  
United States 69.1%
Netherlands 5.4
Luxembourg 4.9
Canada 2.6
Germany 2.4
Italy 2.1
Norway 1.9
France 1.5
United Kingdom 1.3
Israel 1.2
Spain 1.1
Sweden 1.0
South Korea 1.0
Other (less than 1.0% each) 4.5
Total 100.0%
Footnotes:
1 For purposes of the Fund's rating restrictions, ratings are based on Moody's Investors Service, Inc. (“Moody's”), S&P Global Ratings (“S&P”) or Fitch Ratings (“Fitch”), or Kroll Bond Rating Agency, LLC (“Kroll”) for securitized debt instruments only (such as asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”)), as applicable. If securities are rated differently by the ratings agencies, the highest rating is applied. Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of an issuance based on the issuer's creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P's measures. Ratings of BBB or higher by S&P, Fitch or Kroll (Baa or higher by Moody's) are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency's analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer's current financial condition and does not necessarily reflect its assessment of the volatility of a security's market value or of the liquidity of an investment in the security. Holdings designated as “Not Rated” (if any) are not rated by the national ratings agencies stated above.
4

 


Calvert
Green Bond Fund
September 30, 2023
Endnotes and Additional Disclosures

The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission.
   
1 Both the ICE BofA USD Green Bond Index and ICE BofA Green Bond Index - Hedged USD track the performance of securities issued for qualified “green” purposes. Qualifying bonds must have a clearly designated use of proceeds that is solely applied toward projects or activities that promote climate change mitigation or adaptation or other environmental sustainability purposes. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index.
2 Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.
Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’s inception, as applicable. Performance presented in the Financial Highlights included in the financial statements is not linked.
  The ICE BofA USD Green Bond Index commenced operations on December 31, 2014. The Since Inception return prior to that date reflects the Fund's previous primary benchmark, ICE BofA Green Bond Index  - Hedged USD.
Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser.
3 Amount is less than 0.005%.
4 Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 2/1/25. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower.

Fund profile subject to change due to active management.
  Important Notice to Shareholders
  Effective June 30, 2023, the Fund changed its primary benchmark to the ICE BofA USD Green Bond Index because the Adviser believes such benchmark better reflects the Fund’s investment portfolio.
  Additional Information
  Bloomberg U.S. Treasury Index measures the performance of U.S. Treasuries with a maturity of one year or more. Bloomberg U.S. Corporate Bond Index measures the performance of investment-grade U.S. corporate securities with a maturity of one year or more. Bloomberg U.S. Corporate High Yield Index measures USD-denominated, non- investment grade corporate securities. Bloomberg U.S. Asset-Backed Securities Index tracks the performance of U.S. dollar denominated investment grade, fixed rate asset-backed securities publicly issued in the U.S. domestic market. Bloomberg U.S. Mortgage-Backed Securities Index measures agency mortgage-backed pass-through securities issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC).
  Duration is a measure of the expected change in price of a bond — in percentage terms — given a one percent change in interest rates, all else being constant. Securities with lower durations tend to be less sensitive to interest rate changes.
  Yield curve is a graphical representation of the yields offered by bonds of various maturities. The yield curve flattens when long-term interest rates fall and/or short-term interest rates increase, and the yield curve steepens when long-term interest rates increase and/or short-term interest rates fall.
 
5

 


Calvert
Green Bond Fund
September 30, 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 (April 1, 2023 to September 30, 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
(4/1/23)
Ending
Account Value
(9/30/23)
Expenses Paid
During Period*
(4/1/23 – 9/30/23)
Annualized
Expense
Ratio
Actual        
Class A $1,000.00 $ 976.20 $3.62 ** 0.73%
Class I $1,000.00 $ 976.70 $2.38 ** 0.48%
Class R6 $1,000.00 $ 977.00 $2.13 ** 0.43%
Hypothetical        
(5% return per year before expenses)        
Class A $1,000.00 $1,021.41 $3.70 ** 0.73%
Class I $1,000.00 $1,022.66 $2.43 ** 0.48%
Class R6 $1,000.00 $1,022.91 $2.18 ** 0.43%
    
* Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/365 (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 March 31, 2023.
** Absent a waiver and/or reimbursement of expenses by affiliate(s), expenses would be higher.
6

 


Calvert
Green Bond Fund
September 30, 2023
Schedule of Investments

Asset-Backed Securities — 11.5%
    
Security Principal
Amount
(000's omitted)
Value
GoodLeap Sustainable Home Solutions Trust:      
Series 2021-4GS, Class A, 1.93%, 7/20/48(1) $     1,543 $  1,135,466
Series 2021-5CS, Class A, 2.31%, 10/20/48(1)   1,348    1,017,073
Series 2022-2CS, Class A, 4.00%, 4/20/49(1)   3,143    2,703,438
Loanpal Solar Loan, Ltd.:      
Series 2020-1GS, Class C, 2.00%, 6/20/47(1)       4,037    2,430,515
Series 2020-3GS, Class A, 2.47%, 12/20/47(1)   1,395    1,053,933
Luminace ABS Issuer, LLC, Series 2022-1, Class A, 4.88%, 7/31/62(1)       2,807    2,542,297
Mill City Solar Loan, Ltd., Series 2020-1A, Class C, 2.00%, 6/20/47(1)         473      310,915
Mosaic Solar Loan Trust:      
Series 2018-1A, Class A, 4.01%, 6/22/43(1)   479 431,312
Series 2018-1A, Class B, 2.00%, 6/22/43(1)   1,477 1,227,507
Series 2019-1A, Class A, 4.37%, 12/21/43(1)   695 629,458
Series 2019-2A, Class A, 2.88%, 9/20/40(1)   2,470 2,110,065
Series 2019-2A, Class B, 3.28%, 9/20/40(1)   2,247 1,941,849
Series 2019-2A, Class C, 4.35%, 9/20/40(1)(2)   0 87
Series 2020-1A, Class A, 2.10%, 4/20/46(1)   1,039 878,184
Series 2020-1A, Class B, 3.10%, 4/20/46(1)   1,195 1,021,169
Series 2020-2A, Class B, 2.21%, 8/20/46(1)   1,475 1,148,069
Series 2021-1A, Class B, 2.05%, 12/20/46(1)   851 645,166
Series 2021-1A, Class C, 2.25%, 12/20/46(1)   678 596,213
Series 2021-2A, Class A, 1.64%, 4/22/47(1)   1,933 1,522,219
Series 2022-2A, Class B, 5.13%, 1/21/53(1)   1,876 1,630,297
Mosaic Solar Loans, LLC:      
Series 2017-1A, Class A, 4.45%, 6/20/42(1)   335 313,741
Series 2017-2A, Class A, 3.82%, 6/22/43(1)   39 35,148
Series 2017-2A, Class C, 2.00%, 6/22/43(1)   157 153,069
SolarCity LMC Series I, LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1)   86 85,888
Sunnova Helios II Issuer, LLC:      
Series 2019-AA, Class C, 5.32%, 6/20/46(1)   1,062 806,576
Series 2021-B, Class B, 2.01%, 7/20/48(1)   3,194 2,573,393
Sunnova Helios IV Issuer, LLC, Series 2020-AA, Class A, 2.98%, 6/20/47(1)   5,976 5,324,982
Sunnova Helios V Issuer, LLC:      
Series 2021-A, Class A, 1.80%, 2/20/48(1)   2,461 2,073,776
Series 2021-A, Class B, 3.15%, 2/20/48(1)   4,375 3,414,820
Sunnova Sol II Issuer, LLC:      
Series 2020-2A, Class A, 2.73%, 11/1/55(1)   1,850 1,456,549
Series 2020-2A, Class B, 5.47%, 11/1/55(1)   6,724 5,338,636
Sunnova Sol Issuer, LLC:      
Series 2020-1A, Class A, 3.35%, 2/1/55(1)   2,674 2,248,751
Series 2020-1A, Class B, 5.54%, 2/1/55(1)   1,572 1,309,463
Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1)   2,258 1,965,882
Sunrun Callisto Issuer, LLC, Series 2015-1A, Class B, 5.38%, 7/20/45(1)   656 626,481
Security Principal
Amount
(000's omitted)
Value
Sunrun Demeter Issuer, LLC, Series 2021-2A, Class A, 2.27%, 1/30/57(1) $     7,554 $   5,985,719
Sunrun Jupiter Issuer, LLC, Series 2022-1A, Class A, 4.75%, 7/30/57(1)       4,073    3,551,570
Sunrun Vulcan Issuer, LLC, Series 2021-1A, Class A, 2.46%, 1/30/52(1)       4,893    4,039,647
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1)       1,860    1,630,064
Tesla Auto Lease Trust:      
Series 2021-A, Class B, 1.02%, 3/20/25(1)       1,700    1,687,625
Series 2021-A, Class D, 1.34%, 3/20/25(1)   3,500    3,445,059
Series 2023-B, Class A3, 6.13%, 9/21/26(1)   4,986    4,986,843
Vivint Solar Financing V, LLC, Series 2018-1A, Class A, 4.73%, 4/30/48(1)       1,345    1,208,774
Vivint Solar Financing VII, LLC, Series 2020-1A, Class A, 2.21%, 7/31/51(1)   4,688 3,681,547
Total Asset-Backed Securities
(identified cost $98,561,248)
    $ 82,919,235
    
Commercial Mortgage-Backed Securities — 8.1%
    
Security Principal
Amount
(000's omitted)
Value
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates:      
Series KG02, Class A2, 2.412%, 8/25/29 $     4,050 $   3,494,873
Series KG03, Class A2, 1.297%, 6/25/30(3)   3,760    2,939,942
Series KG04, Class A1, 0.845%, 6/25/30   3,707    3,126,749
Series KG08, Class A2, 4.134%, 5/25/33(3)   10,000    9,150,643
Federal National Mortgage Association:      
Series 2017-M13, Class A2, 3.029%, 9/25/27(3)       5,273    4,863,849
Series 2018-M4, Class A2, 3.166%, 3/25/28(3)   9,965    9,192,763
Series 2018-M13, Class A2, 3.866%, 9/25/30(3)   5,488    5,070,061
Series 2019-M1, Class A2, 3.665%, 9/25/28(3)   5,050 4,723,854
Series 2019-M22, Class A2, 2.522%, 8/25/29   6,410 5,584,489
Series 2020-M1, Class A2, 2.444%, 10/25/29   7,842 6,742,821
Series 2020-M20, Class A2, 1.435%, 10/25/29   4,250 3,417,898
Total Commercial Mortgage-Backed Securities
(identified cost $64,978,974)
    $ 58,307,942
    
Corporate Bonds — 59.9%
    
Security Principal
Amount*
(000’s omitted)
Value
Communications — 2.5%  
Comcast Corp., 4.65%, 2/15/33(4)       6,000 $  5,620,403
Verizon Communications, Inc.:      
1.50%, 9/18/30      11,734    8,907,295
 
7
See Notes to Financial Statements.

 


Calvert
Green Bond Fund
September 30, 2023
Schedule of Investments — continued

Security Principal
Amount*
(000’s omitted)
Value
Communications (continued)  
Verizon Communications, Inc.: (continued)      
2.85%, 9/3/41   2,600 $   1,682,640
3.875%, 3/1/52   2,300   1,620,614
      $ 17,830,952
Consumer, Cyclical — 3.8%  
Ford Motor Co., 3.25%, 2/12/32       7,121 $   5,494,873
General Motors Co.:      
5.40%, 10/15/29(4)       2,300    2,193,652
5.60%, 10/15/32(4)   13,327 12,453,924
Hyundai Capital America, 5.80%, 6/26/25(1)   5,280 5,259,862
Walmart, Inc., 1.80%, 9/22/31   2,482 1,954,701
      $ 27,357,012
Consumer, Non-cyclical — 1.0%  
Coca-Cola Femsa SAB de CV, 1.85%, 9/1/32   3,470 $ 2,584,334
Conservation Fund (The), 3.474%, 12/15/29   2,345 1,981,638
Kaiser Foundation Hospitals, 3.15%, 5/1/27   1,208 1,131,026
PepsiCo, Inc.:      
2.875%, 10/15/49   1,065 697,577
3.90%, 7/18/32   775 706,692
      $ 7,101,267
Energy — 0.3%  
TerraForm Power Operating, LLC, 4.75%, 1/15/30(1)   2,165 $ 1,852,493
      $ 1,852,493
Financial — 23.4%  
Alexandria Real Estate Equities, Inc.:      
2.00%, 5/18/32   6,900 $ 5,021,816
4.75%, 4/15/35   3,332 2,932,936
AXA S.A., 1.375% to 4/7/31, 10/7/41(5)(6) EUR 3,000 2,412,464
Banco Santander S.A., 0.625% to 6/24/28, 6/24/29(5)(6) EUR 4,500 3,989,821
Bank Hapoalim BM, 3.255% to 1/21/27, 1/21/32(1)(5)(6)   7,600 6,507,454
Bank Leumi Le-Israel BM, 7.129% to 4/18/28, 7/18/33(1)(5)(6)   2,361 2,322,662
Bank of America Corp., 2.456% to 10/22/24, 10/22/25(5)   27,325 26,250,476
BNP Paribas S.A.:      
0.375% to 10/14/26, 10/14/27(5)(6) EUR 7,500 7,024,634
1.675% to 6/30/26, 6/30/27(1)(5)   1,155 1,023,599
Boston Properties, L.P., 2.45%, 10/1/33   5,896 4,029,461
CaixaBank S.A., 1.25% to 3/18/26, 6/18/31(5)(6) EUR 4,000 3,783,736
Canadian Imperial Bank of Commerce, 0.95%, 10/23/25   1,970 1,787,024
Cooperatieve Rabobank UA, 1.106% to 2/24/26, 2/24/27(1)(5)   7,021 6,238,306
Digital Dutch Finco BV, 1.50%, 3/15/30(6) EUR 6,300 5,385,456
Digital Euro Finco, LLC, 2.50%, 1/16/26(6) EUR 8,700 8,735,155
Equinix, Inc., 1.00%, 9/15/25   3,000 2,727,234
HAT Holdings I, LLC/HAT Holdings II, LLC:      
3.375%, 6/15/26(1)   12,396 11,031,303
3.75%, 9/15/30(1)(4)   6,592 5,052,798
Security Principal
Amount*
(000’s omitted)
Value
Financial (continued)  
HAT Holdings I, LLC/HAT Holdings II, LLC: (continued)      
6.00%, 4/15/25(1)   76 $      74,034
ING Groep NV:      
0.875% to 3/9/27, 6/9/32(5)(6) EUR     3,000    2,698,639
1.40% to 7/1/25, 7/1/26(1)(5)   6,632    6,098,544
4.625%, 1/6/26(1)   3,025    2,931,719
Intesa Sanpaolo SpA, 6.50% to 3/14/28, 3/14/29(5)(6) GBP     3,000    3,562,621
Kimco Realty OP, LLC, 2.70%, 10/1/30       3,000    2,415,313
Metropolitan Life Global Funding I, 0.95%, 7/2/25(1)   5,720 5,263,928
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, 1.25% to 11/26/30, 5/26/41(5)(6) EUR 3,200 2,570,168
PNC Financial Services Group, Inc. (The):      
2.20%, 11/1/24   7,377 7,082,143
4.758% to 1/26/26, 1/26/27(5)   920 894,567
Prologis Euro Finance, LLC, 0.375%, 2/6/28 EUR 6,700 6,002,870
Prologis, L.P., 1.25%, 10/15/30(4)   1,477 1,103,659
Prudential Financial, Inc., 1.50%, 3/10/26   3,431 3,114,063
REC, Ltd., 5.625%, 4/11/28(1)   3,841 3,748,578
Regency Centers, L.P., 3.75%, 6/15/24   2,500 2,441,066
Royal Bank of Canada, 0.25%, 5/2/24(6) EUR 8,600 8,894,192
Sumitomo Mitsui Financial Group, Inc., 0.508%, 1/12/24   3,000 2,955,770
Welltower OP, LLC, 2.70%, 2/15/27   1,280 1,164,798
      $169,273,007
Government - Multinational — 7.4%  
Asian Development Bank:      
2.125%, 3/19/25   750 $ 715,918
2.375%, 8/10/27   4,000 3,674,429
3.125%, 9/26/28(4)   800 743,403
European Bank for Reconstruction & Development:      
1.50%, 2/13/25   7,515 7,128,555
1.625%, 9/27/24   2,635 2,533,453
European Investment Bank:      
0.75%, 9/23/30   4,000 3,077,404
1.625%, 5/13/31   3,960 3,201,255
2.375%, 5/24/27   8,671 7,988,033
2.50%, 10/15/24(4)   6,200 6,012,426
2.875%, 6/13/25(1)   8,202 7,889,158
International Bank for Reconstruction & Development:      
2.125%, 3/3/25   2,000 1,911,878
3.125%, 11/20/25   4,150 3,983,179
6.875%, 2/9/29 MXN 70,000 3,468,771
International Finance Corp., 2.125%, 4/7/26   1,547 1,443,498
      $ 53,771,360
Government - Regional — 1.0%  
Kommuninvest I Sverige AB, 0.375%, 6/19/24(1)   7,785 $ 7,494,883
      $ 7,494,883
 
8
See Notes to Financial Statements.

 


Calvert
Green Bond Fund
September 30, 2023
Schedule of Investments — continued

Security Principal
Amount*
(000’s omitted)
Value
Industrial — 2.7%  
AP Moller - Maersk A/S, 5.875%, 9/14/33(1)       2,875 $   2,795,281
Cemex SAB de CV, 9.125% to 3/14/28(1)(5)(7)       2,461    2,564,990
Jabil, Inc., 4.25%, 5/15/27       5,000    4,735,518
Johnson Controls International plc/Tyco Fire & Security Finance SCA, 1.75%, 9/15/30       4,650    3,622,051
Owens Corning, 3.95%, 8/15/29       1,382    1,256,780
Xylem, Inc.:      
1.95%, 1/30/28       3,400    2,931,327
2.25%, 1/30/31   1,821   1,450,974
      $ 19,356,921
Technology — 6.8%  
Apple, Inc.:      
0.50%, 11/15/31 EUR 11,000 $ 9,173,513
3.00%, 6/20/27   20,500 19,108,029
Micron Technology, Inc., 2.703%, 4/15/32   10,185 7,782,914
NXP BV/NXP Funding, LLC/NXP USA, Inc.:      
2.50%, 5/11/31   6,100 4,766,523
3.40%, 5/1/30   2,861 2,447,949
SK Hynix, Inc., 2.375%, 1/19/31(1)   8,000 6,012,028
      $ 49,290,956
Utilities — 11.0%  
AES Corp. (The), 2.45%, 1/15/31   16,002 $ 12,320,077
Avangrid, Inc., 3.15%, 12/1/24   3,029 2,921,540
Brookfield Renewable Partners ULC, 3.33%, 8/13/50 CAD 4,000 1,901,947
Clearway Energy Operating, LLC, 3.75%, 1/15/32(1)   2,313 1,800,682
Consolidated Edison Co. of New York, Inc., 3.60%, 6/15/61   3,000 1,947,458
Enel Finance International N.V.:      
1.375%, 7/12/26(1)   3,197 2,824,927
4.625%, 6/15/27(1)   6,500 6,202,487
5.00%, 6/15/32(1)   2,692 2,437,821
Liberty Utilities Finance GP 1, 2.05%, 9/15/30(1)   11,594 8,951,252
MidAmerican Energy Co.:      
3.15%, 4/15/50   1,600 1,016,257
3.65%, 8/1/48   4,490 3,208,442
4.25%, 7/15/49   3,190 2,497,983
NextEra Energy Capital Holdings, Inc., 1.90%, 6/15/28   16,515 13,986,795
NextEra Energy Operating Partners, L.P., 4.50%, 9/15/27(1)   2,004 1,818,834
Niagara Mohawk Power Corp., 1.96%, 6/27/30(1)   982 766,051
Northern States Power Co., 2.60%, 6/1/51   6,100 3,462,321
NSTAR Electric Co., 3.25%, 5/15/29   4,000 3,597,745
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1)   2,075 1,804,461
Public Service Co. of Colorado:      
3.20%, 3/1/50   5,000 3,146,331
4.10%, 6/15/48   1,000 732,105
Security Principal
Amount*
(000’s omitted)
Value
Utilities (continued)  
Tucson Electric Power Co., 1.50%, 8/1/30       3,300 $   2,511,664
      $ 79,857,180
Total Corporate Bonds
(identified cost $500,146,384)
    $433,186,031
    
High Social Impact Investments — 0.2%
    
Security Principal
Amount
(000's omitted)
Value
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(8)(9) $     1,700 $   1,676,693
Total High Social Impact Investments
(identified cost $1,700,000)
    $  1,676,693
    
Preferred Stocks — 1.2%
    
Security Shares Value
Electric Utilities — 0.7%  
Brookfield BRP Holdings Canada, Inc.,4.625%     353,000 $   5,174,980
      $  5,174,980
Real Estate Management & Development — 0.5%  
Brookfield Property Partners, L.P.:      
Series A, 5.75%      92,000 $   1,172,080
Series A2, 6.375%   169,100   2,282,850
      $  3,454,930
Total Preferred Stocks
(identified cost $15,400,394)
    $  8,629,910
    
Sovereign Government Bonds — 6.7%
    
Security Principal
Amount*
(000’s omitted)
Value
Chile Government International Bond, 2.55%, 1/27/32(4)       1,500 $  1,214,974
Export-Import Bank of Korea, 5.125%, 1/11/33       1,429    1,401,629
Kommunalbanken AS:      
0.50%, 10/21/24(6)       4,068    3,854,793
2.125%, 2/11/25(1)   3,000    2,866,350
2.125%, 2/11/25(6)   7,238    6,915,547
Kreditanstalt fuer Wiederaufbau:      
0.75%, 9/30/30       3,034    2,328,717
1.00%, 10/1/26   5,023    4,488,537
1.75%, 9/14/29   9,697 8,246,866
Kuntarahoitus Oyj, 0.05%, 9/6/29(6) EUR 1,250 1,092,028
 
9
See Notes to Financial Statements.

 


Calvert
Green Bond Fund
September 30, 2023
Schedule of Investments — continued

Security Principal
Amount*
(000’s omitted)
Value
Nederlandse Waterschapsbank NV:      
1.00%, 5/28/30(1)       7,100 $   5,549,037
2.375%, 3/24/26(1)   10,866   10,182,280
Province of Ontario Canada, 2.65%, 2/5/25 CAD     1,000     712,770
Total Sovereign Government Bonds
(identified cost $52,590,154)
    $ 48,853,528
    
Taxable Municipal Obligations — 1.5%
    
Security Principal
Amount
(000's omitted)
Value
General Obligations — 0.9%  
Massachusetts, Green Bonds, 3.277%, 6/1/46 $     8,240 $   6,100,484
      $  6,100,484
Water and Sewer — 0.6%  
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 $     1,665 $   1,423,026
Massachusetts Water Pollution Abatement Trust, 5.192%, 8/1/40(10)         120      117,121
Narragansett Bay Commission, RI, Wastewater System Revenue:      
Green Bonds, 2.094%, 9/1/30         620      505,529
Green Bonds, 2.184%, 9/1/31   500      397,970
Green Bonds, 2.264%, 9/1/32   445 346,370
Green Bonds, 2.344%, 9/1/33   1,445 1,102,275
New York City Municipal Water Finance Authority, NY, (Water and Sewer System), 5.882%, 6/15/44(10)   605 611,431
      $ 4,503,722
Total Taxable Municipal Obligations
(identified cost $14,153,180)
    $ 10,604,206
    
U.S. Government Agencies and Instrumentalities — 1.0%
    
Security Principal
Amount
(000's omitted)
Value
U.S. International Development Finance Corp.:      
1.79%, 10/15/29 $     3,320 $   2,961,289
2.36%, 10/15/29       2,151    1,953,285
3.16%, 6/1/33         151      135,129
3.52%, 9/20/32       2,442   2,258,217
Total U.S. Government Agencies and Instrumentalities
(identified cost $8,064,007)
    $  7,307,920
    
U.S. Government Agency Mortgage-Backed Securities — 8.9%
    
Security Principal
Amount
(000's omitted)
Value
Federal Home Loan Mortgage Corp.:      
5.50%, 7/1/53 $    15,195 $  14,714,410
6.00%, with various maturities to 2053   29,158   28,838,666
6.50%, 9/1/53   4,820    4,852,500
Federal National Mortgage Association:      
2.68%, 7/1/26       1,920    1,797,857
5.00%, 7/1/53   7,231    6,831,153
5.50%, 7/1/53   7,564   7,321,554
Total U.S. Government Agency Mortgage-Backed Securities
(identified cost $65,443,808)
  $ 64,356,140
    
Short-Term Investments — 0.6%      
Affiliated Fund — 0.0%(11)
Security Shares Value
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(12)      78,920 $      78,920
Total Affiliated Fund
(identified cost $78,920)
    $     78,920
Securities Lending Collateral — 0.6%
Security Shares Value
State Street Navigator Securities Lending Government Money Market Portfolio, 5.36%(13)   4,407,338 $   4,407,338
Total Securities Lending Collateral
(identified cost $4,407,338)
    $  4,407,338
Total Short-Term Investments
(identified cost $4,486,258)
    $  4,486,258
Total Purchased Call Options — 0.0%(11)
(identified cost $77,283)
    $     79,406
Total Investments — 99.6%
(identified cost $825,601,690)
    $720,407,269
Other Assets, Less Liabilities — 0.4%     $  2,957,804
Net Assets — 100.0%     $723,365,073
    
 
10
See Notes to Financial Statements.

 


Calvert
Green Bond Fund
September 30, 2023
Schedule of Investments — continued

The percentage shown for each investment category in the Schedule of Investments is based on net assets.
* In U.S. dollars unless otherwise indicated.
(1) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At September 30, 2023, the aggregate value of these securities is $212,285,037 or 29.3% of the Fund's net assets.
(2) Principal amount is less than $500.
(3) Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at September 30, 2023.
(4) All or a portion of this security was on loan at September 30, 2023. The aggregate market value of securities on loan at September 30, 2023 was $19,490,601.
(5) Security converts to variable rate after the indicated fixed-rate coupon period.
(6) Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At September 30, 2023, the aggregate value of these securities is $69,749,370 or 9.7% of the Fund's net assets.
(7) Perpetual security with no stated maturity date but may be subject to calls by the issuer.
(8) May be deemed to be an affiliated company (see Note 8).
(9) Restricted security. Total market value of restricted securities amounts to $1,676,693, which represents 0.2% of the net assets of the Fund as of September 30, 2023.
(10) Build America Bond. Represents taxable municipal obligation issued pursuant to the American Recovery and Reinvestment Act of 2009 or other legislation providing for the issuance of taxable municipal debt on which the issuer receives federal support.
(11) Amount is less than 0.05%.
(12) May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of September 30, 2023.
(13) Represents investment of cash collateral received in connection with securities lending.
    
Country Allocation (% of Total Investments)  
United States 69.1%
Netherlands 5.4
Luxembourg 4.9
Other (less than 3.0% each) 20.6
Total 100.0%
 
11
See Notes to Financial Statements.

 


Calvert
Green Bond Fund
September 30, 2023
Schedule of Investments — continued

Purchased Call Options (Exchange-Traded) — 0.0%(1)
Description Number of
Contracts
Notional
Amount
Exercise
Price
Expiration
Date
Value
U.S. 10-Year Treasury Note Futures 12/2023 154 $16,641,625 $110.00 11/24/23 $ 79,406
Total         $79,406
    
(1) Amount is less than 0.05%.
Forward Foreign Currency Exchange Contracts (OTC)
Currency Purchased Currency Sold Counterparty Settlement
Date
Unrealized
Appreciation
Unrealized
(Depreciation)
AUD 1,239,823 USD 801,296 JPMorgan Chase Bank, N.A. 11/10/23 $  — $ (3,147)
CAD 7,492,873 USD 5,553,567 Bank of America, N.A. 11/10/23  — (34,104)
EUR 9,714,200 USD 10,630,093 Bank of America, N.A. 11/10/23  — (343,542)
EUR 8,308,600 USD 8,796,755 UBS AG 11/10/23 1,381  —
EUR 10,916,955 USD 11,583,741 UBS AG 11/10/23  — (23,569)
USD 826,397 AUD 1,247,865 JPMorgan Chase Bank, N.A. 11/10/23 23,070  —
USD 8,680,827 CAD 11,557,224 Citibank, N.A. 11/10/23 167,449  —
USD 97,246,049 EUR 87,739,833 JPMorgan Chase Bank, N.A. 11/10/23 4,336,666  —
USD 3,697,583 GBP 2,891,089 Barclays Bank PLC 11/10/23 169,374  —
USD 191,056 SEK 2,007,289 Citibank, N.A. 11/10/23 7,047  —
            $4,704,987 $(404,362)
Futures Contracts
Description Number of
Contracts
Position Expiration
Date
Notional
Amount
Value/
Unrealized
Appreciation
(Depreciation)
Interest Rate Futures          
U.S. 2-Year Treasury Note 432 Long 12/29/23 $ 87,571,125 $ (277,471)
U.S. 5-Year Treasury Note 314 Long 12/29/23 33,082,844 (275,104)
U.S. 10-Year Treasury Note 285 Long 12/19/23 30,797,812 (305,757)
U.S. Long Treasury Bond 282 Long 12/19/23 32,086,312 (1,316,345)
U.S. Ultra-Long Treasury Bond 221 Long 12/19/23 26,229,938 (1,319,472)
U.S. Ultra 10-Year Treasury Note (402) Short 12/19/23 (44,848,125) 1,246,456
          $(2,247,693)
Restricted Securities
Description Acquisition Date Cost
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23 12/14/20 $1,700,000
   
Currency Abbreviations: 
AUD – Australian Dollar
CAD – Canadian Dollar
12
See Notes to Financial Statements.

 


Calvert
Green Bond Fund
September 30, 2023
Schedule of Investments — continued

 
EUR – Euro
GBP – British Pound Sterling
MXN – Mexican Peso
SEK – Swedish Krona
USD – United States Dollar
13
See Notes to Financial Statements.

 


Calvert
Green Bond Fund
September 30, 2023
Statement of Assets and Liabilities

  September 30, 2023
Assets  
Investments in securities of unaffiliated issuers, at value (identified cost $823,822,770) - including
$19,490,601 of securities on loan
$ 718,651,656
Investments in securities of affiliated issuers, at value (identified cost $1,778,920) 1,755,613
Receivable for variation margin on open futures contracts 221,645
Receivable for open forward foreign currency exchange contracts 4,704,987
Cash denominated in foreign currency, at value (cost $18,991,535) 18,983,756
Deposits at broker for futures contracts 3,194,313
Receivable for investments sold 3,472,787
Receivable for capital shares sold 1,004,778
Dividends and interest receivable 5,228,702
Dividends and interest receivable - affiliated 96,615
Securities lending income receivable 13,222
Receivable from affiliate 30,038
Directors' deferred compensation plan 102,364
Total assets $ 757,460,476
Liabilities  
Payable for open forward foreign currency exchange contracts $ 404,362
Due to custodian 96,559
Payable for investments purchased 19,144,689
Payable for capital shares redeemed 1,244,759
Distributions payable 29,031
Deposits for securities loaned 4,407,338
Payable to affiliates:  
Investment advisory fee 147,867
Administrative fee 72,045
Distribution and service fees 13,399
Sub-transfer agency fee 3,712
Directors' deferred compensation plan 102,364
Accrued expenses 239,278
Demand note payable 8,190,000
Total liabilities $ 34,095,403
Net Assets $ 723,365,073
Sources of Net Assets  
Paid-in capital $ 874,947,422
Accumulated loss (151,582,349)
Net Assets $ 723,365,073
Class A Shares  
Net Assets $ 64,700,082
Shares Outstanding 4,837,285
Net Asset Value and Redemption Price Per Share
(net assets ÷ shares of beneficial interest outstanding)
$ 13.38
Maximum Offering Price Per Share
(100 ÷ 96.75 of net asset value per share)
$ 13.83
14
See Notes to Financial Statements.

 


Calvert
Green Bond Fund
September 30, 2023
Statement of Assets and Liabilities — continued

  September 30, 2023
Class I Shares  
Net Assets $ 617,734,166
Shares Outstanding 46,126,063
Net Asset Value, Offering Price and Redemption Price Per Share
(net assets ÷ shares of beneficial interest outstanding)
$ 13.39
Class R6 Shares  
Net Assets $ 40,930,825
Shares Outstanding 3,054,227
Net Asset Value, Offering Price and Redemption Price Per Share
(net assets ÷ shares of beneficial interest outstanding)
$ 13.40
On sales of $100,000 or more, the offering price of Class A shares is reduced.
15
See Notes to Financial Statements.

 


Calvert
Green Bond Fund
September 30, 2023
Statement of Operations

  Year Ended
  September 30, 2023
Investment Income  
Dividend income (net of foreign taxes withheld of $38,576) $ 771,334
Dividend income - affiliated issuers 1,048,576
Interest and other income 21,086,494
Interest income - affiliated issuers 56,237
Securities lending income, net 93,912
Total investment income $ 23,056,553
Expenses  
Investment advisory fee $ 1,877,848
Administrative fee 901,367
Distribution and service fees:  
Class A 173,670
Directors' fees and expenses 50,935
Custodian fees 25,734
Transfer agency fees and expenses 669,761
Accounting fees 171,645
Professional fees 71,040
Registration fees 82,019
Reports to shareholders 61,718
Miscellaneous 69,206
Total expenses $ 4,154,943
Waiver and/or reimbursement of expenses by affiliates $ (400,980)
Net expenses $ 3,753,963
Net investment income $ 19,302,590
Realized and Unrealized Gain (Loss)  
Net realized gain (loss):  
Investment securities $ (51,526,496)
Futures contracts (4,296,624)
Foreign currency transactions (345,216)
Forward foreign currency exchange contracts (7,818,925)
Net realized loss $(63,987,261)
Change in unrealized appreciation (depreciation):  
Investment securities $ 61,553,036
Investment securities - affiliated issuers 120,152
Futures contracts (5,932,353)
Foreign currency 42,085
Forward foreign currency exchange contracts 1,147,932
Net change in unrealized appreciation (depreciation) $ 56,930,852
Net realized and unrealized loss $ (7,056,409)
Net increase in net assets from operations $ 12,246,181
16
See Notes to Financial Statements.

 


Calvert
Green Bond Fund
September 30, 2023
Statements of Changes in Net Assets

  Year Ended September 30,
  2023 2022
Increase (Decrease) in Net Assets    
From operations:    
Net investment income $ 19,302,590 $ 15,456,702
Net realized gain (loss) (63,987,261) 23,438,286
Net change in unrealized appreciation (depreciation) 56,930,852 (177,706,391)
Net increase (decrease) in net assets from operations $ 12,246,181 $(138,811,403)
Distributions to shareholders:    
Class A $ (1,696,277) $ (1,625,234)
Class I (17,290,487) (17,878,597)
Class R6 (1,101,630) (513,870)
Total distributions to shareholders $ (20,088,394) $ (20,017,701)
Capital share transactions:    
Class A $ (5,830,686) $ (3,742,766)
Class I (37,057,031) (61,687,103)
Class R6 3,270,565 32,972,662
Net decrease in net assets from capital share transactions $ (39,617,152) $ (32,457,207)
Net decrease in net assets $ (47,459,365) $(191,286,311)
Net Assets    
At beginning of year $ 770,824,438 $ 962,110,749
At end of year $723,365,073 $ 770,824,438
17
See Notes to Financial Statements.

 


Calvert
Green Bond Fund
September 30, 2023
Financial Highlights

  Class A
  Year Ended September 30,
  2023 2022 2021 2020 2019
Net asset value — Beginning of year $ 13.51 $ 16.15 $ 16.36 $ 15.87 $ 14.82
Income (Loss) From Operations          
Net investment income(1) $ 0.32 $ 0.22 $ 0.21 $ 0.28 $ 0.34
Net realized and unrealized gain (loss) (0.11) (2.57) (0.18) 0.55 1.05
Total income (loss) from operations $ 0.21 $ (2.35) $ 0.03 $ 0.83 $ 1.39
Less Distributions          
From net investment income $ (0.33) $ (0.24) $ (0.24) $ (0.32) $ (0.34)
From net realized gain (0.01) (0.05)  — (0.02)  —
Total distributions $ (0.34) $ (0.29) $ (0.24) $ (0.34) $ (0.34)
Net asset value — End of year $ 13.38 $ 13.51 $ 16.15 $ 16.36 $ 15.87
Total Return(2) 1.49% (14.67)% 0.17% 5.27% 9.53%
Ratios/Supplemental Data          
Net assets, end of year (000’s omitted) $64,700 $71,019 $89,164 $77,991 $58,422
Ratios (as a percentage of average daily net assets):(3)          
Total expenses 0.78% 0.77% 0.76% 0.79% 0.86%
Net expenses 0.73% (4) 0.73% (4) 0.73% 0.73% 0.77%
Net investment income 2.34% 1.49% 1.28% 1.77% 2.21%
Portfolio Turnover 32% 19% 23% 26% 21%
    
(1) Computed using average shares outstanding.
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any.
(3) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund.
(4) Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022).
18
See Notes to Financial Statements.

 


Calvert
Green Bond Fund
September 30, 2023
Financial Highlights — continued

  Class I
  Year Ended September 30,
  2023 2022 2021 2020 2019
Net asset value — Beginning of year $ 13.53 $ 16.17 $ 16.38 $ 15.89 $ 14.83
Income (Loss) From Operations          
Net investment income(1) $ 0.36 $ 0.26 $ 0.25 $ 0.32 $ 0.38
Net realized and unrealized gain (loss) (0.12) (2.57) (0.18) 0.55 1.06
Total income (loss) from operations $ 0.24 $ (2.31) $ 0.07 $ 0.87 $ 1.44
Less Distributions          
From net investment income $ (0.37) $ (0.28) $ (0.28) $ (0.36) $ (0.38)
From net realized gain (0.01) (0.05)  — (0.02)  —
Total distributions $ (0.38) $ (0.33) $ (0.28) $ (0.38) $ (0.38)
Net asset value — End of year $ 13.39 $ 13.53 $ 16.17 $ 16.38 $ 15.89
Total Return(2) 1.67% (14.44)% 0.42% 5.53% 9.84%
Ratios/Supplemental Data          
Net assets, end of year (000’s omitted) $617,734 $661,646 $863,670 $532,149 $285,796
Ratios (as a percentage of average daily net assets):(3)          
Total expenses 0.53% 0.52% 0.51% 0.54% 0.61%
Net expenses 0.48% (4) 0.48% (4) 0.48% 0.48% 0.48%
Net investment income 2.59% 1.73% 1.52% 2.00% 2.47%
Portfolio Turnover 32% 19% 23% 26% 21%
    
(1) Computed using average shares outstanding.
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any.
(3) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund.
(4) Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022).
19
See Notes to Financial Statements.

 


Calvert
Green Bond Fund
September 30, 2023
Financial Highlights — continued

  Class R6
  Year Ended September 30, Period Ended
September 30,
2019(1)
  2023 2022 2021 2020
Net asset value — Beginning of period $ 13.54 $ 16.18 $ 16.39 $ 15.90 $ 15.01
Income (Loss) From Operations          
Net investment income(2) $ 0.36 $ 0.29 $ 0.26 $ 0.32 $ 0.26
Net realized and unrealized gain (loss) (0.12) (2.59) (0.18) 0.55 0.89
Total income (loss) from operations $ 0.24 $ (2.30) $ 0.08 $ 0.87 $ 1.15
Less Distributions          
From net investment income $ (0.37) $ (0.29) $ (0.29) $ (0.36) $ (0.26)
From net realized gain (0.01) (0.05)  — (0.02)  —
Total distributions $ (0.38) $ (0.34) $ (0.29) $ (0.38) $ (0.26)
Net asset value — End of period $ 13.40 $ 13.54 $16.18 $16.39 $15.90
Total Return(3) 1.72% (14.39)% 0.47% 5.58% 7.68% (4)
Ratios/Supplemental Data          
Net assets, end of period (000’s omitted) $40,931 $38,160 $ 9,277 $ 3,208 $ 581
Ratios (as a percentage of average daily net assets):(5)          
Total expenses 0.48% 0.47% 0.46% 0.49% 0.54% (6)
Net expenses 0.43% (7) 0.43% (7) 0.43% 0.43% 0.43% (6)
Net investment income 2.65% 1.96% 1.56% 1.99% 2.49% (6)
Portfolio Turnover 32% 19% 23% 26% 21% (8)
    
(1) For the period from the commencement of operations, February 1, 2019, to September 30, 2019.
(2) Computed using average shares outstanding.
(3) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any.
(4) Not annualized.
(5) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund.
(6) Annualized.
(7) Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022).
(8) For the year ended September 30, 2019.
20
See Notes to Financial Statements.

 


Calvert
Green Bond Fund
September 30, 2023
Notes to Financial Statements

1  Significant Accounting Policies
Calvert Green Bond Fund (the Fund) is a diversified series of Calvert Impact Fund, Inc. (the Corporation). The Corporation is a Maryland corporation 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 seek to maximize income, to the extent consistent with preservation of capital, primarily through investment in bonds. The Fund invests primarily in “green” investments which include those issued by companies that develop or provide products or services that seek to provide environmental solutions and/or that support environmental projects, among others.
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 Directors (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. 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.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average ask prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Fund's forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service and are categorized as Level 2 in the hierarchy. U.S. exchange-traded options are valued at the mean between the bid and ask prices at valuation time as reported by the Options Price Reporting Authority and are categorized as Level 1 in the hierarchy.
21

 


Calvert
Green Bond Fund
September 30, 2023
Notes to Financial Statements — continued

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, 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 September 30, 2023, based on the inputs used to value them:
Asset Description Level 1 Level 2 Level 3 Total
Asset-Backed Securities $  — $ 82,919,235 $  — $ 82,919,235
Commercial Mortgage-Backed Securities  — 58,307,942  — 58,307,942
Corporate Bonds  — 433,186,031  — 433,186,031
High Social Impact Investments  — 1,676,693  — 1,676,693
Preferred Stocks 8,629,910  —  — 8,629,910
Sovereign Government Bonds  — 48,853,528  — 48,853,528
Taxable Municipal Obligations  — 10,604,206  — 10,604,206
U.S. Government Agencies and Instrumentalities  — 7,307,920  — 7,307,920
U.S. Government Agency Mortgage-Backed Securities  — 64,356,140  — 64,356,140
Short-Term Investments:        
Affiliated Fund 78,920  —  — 78,920
Securities Lending Collateral 4,407,338  —  — 4,407,338
Purchased Call Options 79,406  —  — 79,406
Total Investments $13,195,574 $707,211,695 $ — $720,407,269
Forward Foreign Currency Exchange Contracts $  — $ 4,704,987 $  — $ 4,704,987
Futures Contracts 1,246,456  —  — 1,246,456
Total $14,442,030 $711,916,682 $ — $726,358,712
Liability Description        
Forward Foreign Currency Exchange Contracts $  — $ (404,362) $  — $ (404,362)
Futures Contracts (3,494,149)  —  — (3,494,149)
Total $ (3,494,149) $ (404,362) $ — $ (3,898,511)
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 or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Non-cash dividends are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. 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
22

 


Calvert
Green Bond Fund
September 30, 2023
Notes to Financial Statements — continued

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  Foreign Currency Transactions— The Fund’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
E  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.
F  Futures Contracts— The Fund may enter into futures contracts to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade, which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Fund.
G  Forward Foreign Currency Exchange Contracts— The Fund may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar.
H  Options Contracts— Upon the purchase of a call or put option, the premium paid by the Fund is included in the Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Fund’s policies on investment valuations discussed above. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss. An option on a futures contract gives the holder the right to enter into a specified futures contract. As the purchaser of an index option, the Fund has the right to receive a cash payment equal to any depreciation in the value of the index below the exercise price of the option (in the case of a put) or equal to any appreciation in the value of the index over the exercise price of the option (in the case of a call) as of the valuation date of the option. The risk associated with purchasing options is limited to the premium originally paid. Purchased options traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.
I  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.
J  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.
K  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.
23

 


Calvert
Green Bond Fund
September 30, 2023
Notes to Financial Statements — continued

L   Indemnifications— The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. 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.
M  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.
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 the annual rate of 0.25% of the Fund’s average daily net assets and is payable monthly. For the year ended September 30, 2023, the investment advisory fee amounted to $1,877,848.
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 year ended September 30, 2023, the investment advisory fee paid was reduced by $33,269 relating to the Fund’s investment in the Liquidity Fund.
CRM has agreed to reimburse the Fund's operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, borrowing costs, taxes or litigation expenses) exceed 0.73%, 0.48% and 0.43% for Class A, Class I and Class R6, respectively, of such class’s average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after February 1, 2025. For the year ended September 30, 2023, CRM waived or reimbursed expenses of $367,711.
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 year ended September 30, 2023, CRM was paid administrative fees of $901,367.
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 year ended September 30, 2023 amounted to $173,670 for Class A shares.
The Fund was informed that EVD received $9,914 as its portion of the sales charge on sales of Class A shares and $1,956 of contingent deferred sales charges paid by Fund shareholders for the year ended September 30, 2023.
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 year ended September 30, 2023, sub-transfer agency fees and expenses incurred to EVM amounted to $18,298 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director 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 Directors 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 Directors. 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. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM.
24

 


Calvert
Green Bond Fund
September 30, 2023
Notes to Financial Statements — continued

3  Investment Activity
During the year ended September 30, 2023, the cost of purchases and proceeds from sales of investments, other than U.S. government and agency securities and short-term securities and including maturities, paydowns and principal repayments on senior floating-rate loans, were $144,965,194 and $264,400,930, respectively. Purchases and sales of U.S. government and agency securities, including paydowns, were $85,416,571 and $4,582,651, respectively.
4  Distributions to Shareholders and Income Tax Information
The tax character of distributions declared for the years ended September 30, 2023 and September 30, 2022 was as follows:
  Year Ended September 30,
  2023 2022
Ordinary income $20,088,394 $16,734,788
Long-term capital gains $  — $ 3,282,913
During the year ended September 30, 2023, accumulated loss was increased by $366,201 and paid-in capital was increased by $366,201 due to the Fund's use of equalization accounting. Tax equalization accounting allows the Fund to treat as a distribution that portion of redemption proceeds representing a redeeming shareholder’s portion of undistributed taxable income and net capital gains. These reclassifications had no effect on the net assets or net asset value per share of the Fund.
As of September 30, 2023, the components of distributable earnings (accumulated loss) on a tax basis were as follows:
Undistributed ordinary income $ 2,469,175
Deferred capital losses (54,320,012)
Net unrealized depreciation (99,702,481)
Distributions payable (29,031)
Accumulated loss $(151,582,349)
At September 30, 2023, the Fund, for federal income tax purposes, had deferred capital losses of $54,320,012 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, 2023, $5,493,964 are short-term and $48,826,048 are long-term.
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at September 30, 2023, as determined on a federal income tax basis, were as follows:
Aggregate cost $ 820,100,686
Gross unrealized appreciation $ 4,429,542
Gross unrealized depreciation (104,125,082)
Net unrealized depreciation $ (99,695,540)
25

 


Calvert
Green Bond Fund
September 30, 2023
Notes to Financial Statements — continued

5  Financial Instruments
The Fund may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward foreign currency exchange contracts and futures contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Fund has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of obligations under these financial instruments at September 30, 2023 is included in the Schedule of Investments. At September 30, 2023, the Fund had sufficient cash and/or securities to cover commitments under these contracts.
In the normal course of pursuing its investment objective, the Fund is subject to the following risks:
Foreign Exchange Risk:  During the year ended September 30, 2023, the Fund entered into forward foreign currency exchange contracts to seek to hedge against the decline in the value of currencies in which its portfolio holdings are denominated against the U.S. dollar.
Interest Rate Risk: During the year ended September 30, 2023, the Fund used futures contracts and options on futures contracts to hedge interest rate risk and to manage duration.
The Fund enters into forward foreign currency exchange contracts that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Fund’s net assets below a certain level over a certain period of time, which would trigger a payment by the Fund for those derivatives in a liability position. At September 30, 2023, the fair value of derivatives with credit-related contingent features in a net liability position was $404,362. At September 30, 2023 there were no assets pledged by the Fund for such liability.
The over-the-counter (OTC) derivatives in which the Fund invests are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Fund has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) with its derivative counterparties. The ISDA Master Agreement is a bilateral agreement between the Fund and the counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in the event of a default and/or termination event as defined under the ISDA Master Agreement. Under the ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow the counterparty to OTC derivatives to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Fund of any net liability owed to it.
The collateral requirements for derivatives traded under the ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under the ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required. Collateral pledged for the benefit of the Fund and/or counterparty is held in segregated accounts by the Fund’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the benefit of the Fund, a corresponding liability on the Statement of Assets and Liabilities. Securities pledged by the Fund as collateral, if any, are identified as such in the Schedule of Investments.
At September 30, 2023, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure was as follows:
26

 


Calvert
Green Bond Fund
September 30, 2023
Notes to Financial Statements — continued

Risk Derivative Statement of Assets and Liabilities Caption Assets Liabilities
Foreign exchange Forward foreign currency exchange contracts Receivable/Payable for open forward foreign currency
exchange contracts
$ 4,704,987 $ (404,362)
Interest rate Futures contracts Accumulated loss 1,246,456 (1) (3,494,149) (1)
Interest rate Purchased options Investments in securities of unaffiliated issuers, at value 79,406  —
Total     $6,030,849 $(3,898,511)
Derivatives not subject to master netting agreement $1,325,862 $(3,494,149)
Total Derivatives subject to master netting agreement $4,704,987 $ (404,362)
    
(1) Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable.
The Fund’s derivative assets and liabilities at fair value by risk, which are reported gross in the Statement of Assets and Liabilities, are presented in the table above. The following tables present the Fund’s derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Fund for such assets and pledged by the Fund for such liabilities as of September 30, 2023.
Counterparty Derivative
Assets Subject to
Master Netting
Agreement
Derivatives
Available
for Offset
Non-cash
Collateral
Received(a)
Cash
Collateral
Received(a)
Net Amount
of Derivative
Assets(b)
Barclays Bank PLC $ 169,374 $  — $  — $  — $ 169,374
Citibank, N.A. 174,496  —  —  — 174,496
JPMorgan Chase Bank, N.A. 4,359,736 (3,147)  —  — 4,356,589
UBS AG 1,381 (1,381)  —  —  —
  $4,704,987 $(4,528) $ — $ — $4,700,459
    
Counterparty Derivative
Liabilities Subject to
Master Netting
Agreement
Derivatives
Available
for Offset
Non-cash
Collateral
Pledged(a)
Cash
Collateral
Pledged(a)
Net Amount
of Derivative
Liabilities(c)
Bank of America, N.A. $ (377,646) $  — $  — $  — $ (377,646)
JPMorgan Chase Bank, N.A. (3,147) 3,147  —  —  —
UBS AG (23,569) 1,381  —  — (22,188)
  $(404,362) $4,528 $ — $ — $(399,834)
    
(a) In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization.
(b) Net amount represents the net amount due from the counterparty in the event of default.
(c) Net amount represents the net amount payable to the counterparty in the event of default.
27

 


Calvert
Green Bond Fund
September 30, 2023
Notes to Financial Statements — continued

The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations by risk exposure for the year ended September 30, 2023 was as follows:
Statement of Operations Caption Foreign exchange Interest rate Total
Net realized gain (loss):      
Forward foreign currency exchange contracts $ (7,818,925) $  — $ (7,818,925)
Futures contracts  — (4,296,624) (4,296,624)
Total $(7,818,925) $(4,296,624) $(12,115,549)
Change in unrealized appreciation (depreciation):      
Investment securities(1) $  — $ 2,123 $ 2,123
Forward foreign currency exchange contracts 1,147,932  — 1,147,932
Futures contracts  — (5,932,353) (5,932,353)
Total $ 1,147,932 $(5,930,230) $ (4,782,298)
    
(1) Relates to purchased options.
The average notional cost of futures contracts and average notional amounts of other derivative contracts outstanding during the year ended September 30, 2023, which are indicative of the volume of these derivative types, were approximately as follows:
Futures Contracts — Long Futures Contracts — Short Forward Foreign Currency Exchange Contracts*
$158,232,000 $60,027,000 $137,641,000
    
* The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold.
The average number of purchased options contracts outstanding during the year ended September 30, 2023, which is indicative of the volume of this derivative type, was 12 contracts.
6  Securities Lending
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSBT), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities in an amount at least equal to the market value of the securities on loan. The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSBT. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent based on agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At September 30, 2023, the total value of securities on loan, including accrued interest, was $19,909,936 and the total value of collateral received was $20,319,098, comprised cash of $4,407,338 and U.S. government and/or agencies securities of $15,911,760.
28

 


Calvert
Green Bond Fund
September 30, 2023
Notes to Financial Statements — continued

The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of September 30, 2023.
  Remaining Contractual Maturity of the Transactions
  Overnight and
Continuous
<30 days 30 to 90 days >90 days Total