Calvert Floating-Rate Advantage Fund |
Annual Report September 30, 2019 E-Delivery Sign-Up — Details Inside |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes 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 Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. 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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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. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com. |
Performance2,3 | ||||||||||||||
Portfolio Managers Craig P. Russ and Catherine C. McDermott, each of Calvert Research and Management | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception | |||||||||
Class A at NAV | 10/10/2017 | 10/10/2017 | 2.42 | % | — | % | 2.88 | % | ||||||
Class A with 3.75% Maximum Sales Charge | — | — | -1.44 | — | 0.90 | |||||||||
Class I at NAV | 10/10/2017 | 10/10/2017 | 2.57 | — | 3.07 | |||||||||
Class R6 at NAV | 10/10/2017 | 10/10/2017 | 2.67 | — | 3.06 | |||||||||
S&P/LSTA Leveraged Loan Index | — | — | 3.10 | % | 3.98 | % | 4.08 | % | ||||||
% Total Annual Operating Expense Ratios4 | Class A | Class I | Class R6 | |||||||||||
Gross | 2.20 | % | 1.95 | % | 1.89 | % | ||||||||
Net | 1.83 | 1.58 | 1.52 | |||||||||||
% Total Leverage5 | ||||||||||||||
Borrowings | 25.36 | % |
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 Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class I | $250,000 | 10/10/2017 | $265,371 | N.A. | ||||
Class R6 | $1,000,000 | 10/10/2017 | $1,061,162 | N.A. |
TEN LARGEST SECTORS (% of total investments)6 | TEN LARGEST ISSUERS (% of total investments)6,7 | ||||||
Electronics/Electrical | 16.3 | % | Hyland Software, Inc. | 1.7 | % | ||
Business Equipment and Services | 12.5 | % | Kronos Incorporated | 1.6 | % | ||
Health Care | 10.6 | % | Infor (US), Inc. | 1.6 | % | ||
Industrial Equipment | 8.1 | % | SolarWinds Holdings, Inc. | 1.6 | % | ||
Telecommunications | 7.8 | % | Ziggo Secured Finance Partnership | 1.5 | % | ||
Leisure Goods/Activities/Movies | 4.9 | % | Sprint Communications, Inc. | 1.4 | % | ||
Insurance | 4.5 | % | American Builders & Contractors Supply Co., Inc. | 1.4 | % | ||
Building and Development | 3.4 | % | Zekelman Industries, Inc, | 1.4 | % | ||
Containers and Glass Products | 2.9 | % | Asurion, LLC | 1.4 | % | ||
Chemicals and Plastics | 2.9 | % | HCA, Inc. | 1.4 | % | ||
Total | 73.9 | % | Total | 15.0 | % | ||
CREDIT QUALITY (% of bond and loan holdings)8 | |||||||
BBB | 6.3 | % | |||||
BB | 24.9 | % | |||||
B | 61.1 | % | |||||
CCC or Lower | 3.5 | % | |||||
Not Rated | 4.2 | % | |||||
Total | 100.0 | % |
Endnotes and Additional Disclosures |
1 | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated on the cover. 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. |
2 | S&P/LSTA Leveraged Loan Index is an unmanaged index of the institutional leveraged loan market. S&P/LSTA Leveraged Loan indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® is a registered trademark of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); LSTA is a trademark of Loan Syndications and Trading Association, Inc. S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. 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. |
3 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. |
5 | Total leverage is shown as a percentage of the Fund’s aggregate net assets plus borrowings outstanding. The Fund employs leverage through borrowings. Use of leverage creates an opportunity for income, but creates risks including greater volatility of NAV. The cost of borrowings rises and falls with changes in short-term interest rates. The Fund may be required to maintain prescribed asset coverage for its borrowings and may be required to reduce its borrowings at an inopportune time. |
6 | Does not include Short Term Investment of Cash Collateral for Securities Loaned. |
7 | Excludes cash and cash equivalents. |
8 | Credit ratings are categorized using S&P Global Ratings (“S&P”). Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. Holdings designated as Not Rated (if any) are not rated by S&P. |
BEGINNING ACCOUNT VALUE (4/1/19) | ENDING ACCOUNT VALUE (9/30/19) | EXPENSES PAID DURING PERIOD* (4/1/19 - 9/30/19) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class A | $1,000.00 | $1,026.20 | $9.45** | 1.86% |
Class I | $1,000.00 | $1,026.40 | $8.18** | 1.61% |
Class R6 | $1,000.00 | $1,026.50 | $8.18** | 1.61% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,015.74 | $9.40** | 1.86% |
Class I | $1,000.00 | $1,017.00 | $8.14** | 1.61% |
Class R6 | $1,000.00 | $1,017.00 | $8.14** | 1.61% |
* 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 $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2019. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
SENIOR FLOATING RATE LOANS (1)- 117.4% | ||
Aerospace and Defense - 0.6% | ||
WP CPP Holdings, LLC, Term Loan, 6.01%, (3 mo. USD LIBOR + 3.75%), 4/30/25 | 297,374 | 298,210 |
Automotive - 2.8% | ||
Adient US, LLC, Term Loan, 6.781%, (3 mo. USD LIBOR + 4.25%), 5/6/24 | 249,375 | 246,154 |
Bright Bidco B.V., Term Loan, 5.58%, (USD LIBOR + 3.50%), 6/30/24 (2) | 293,991 | 141,116 |
Panther BF Aggregator 2 LP, Term Loan, 5.544%, (1 mo. USD LIBOR + 3.50%), 4/30/26 | 500,000 | 497,292 |
Thor Industries, Inc., Term Loan, 5.875%, (1 mo. USD LIBOR + 3.75%), 2/1/26 | 116,494 | 113,872 |
TI Group Automotive Systems, LLC, Term Loan, 4.544%, (1 mo. USD LIBOR + 2.50%), 6/30/22 | 381,229 | 379,499 |
1,377,933 | ||
Building and Development - 4.1% | ||
American Builders & Contractors Supply Co., Inc., Term Loan, 4.044%, (1 mo. USD LIBOR + 2.00%), 10/31/23 | 884,131 | 884,738 |
Brookfield Property REIT, Inc., Term Loan, 4.544%, (1 mo. USD LIBOR + 2.50%), 8/27/25 | 247,500 | 244,230 |
DTZ U.S. Borrower, LLC, Term Loan, 5.294%, (1 mo. USD LIBOR + 3.25%), 8/21/25 | 321,130 | 322,533 |
Henry Company, LLC, Term Loan, 6.044%, (1 mo. USD LIBOR + 4.00%), 10/5/23 | 270,139 | 270,702 |
Realogy Group, LLC, Term Loan, 4.296%, (1 mo. USD LIBOR + 2.25%), 2/8/25 | 163,222 | 155,621 |
Werner FinCo L.P., Term Loan, 6.044%, (1 mo. USD LIBOR + 4.00%), 7/24/24 | 196,491 | 192,070 |
2,069,894 | ||
Business Equipment and Services - 15.2% | ||
Allied Universal Holdco, LLC: | ||
Term Loan, 2.125%, 7/10/26 (3) | 33,784 | 33,875 |
Term Loan, 6.507%, (6 mo. USD LIBOR + 4.25%), 7/10/26 | 341,216 | 342,140 |
AppLovin Corporation, Term Loan, 5.794%, (1 mo. USD LIBOR + 3.75%), 8/15/25 | 397,124 | 397,455 |
Brand Energy & Infrastructure Services, Inc., Term Loan, 6.514%, (USD LIBOR + 4.25%), 6/21/24 (2) | 195,990 | 191,825 |
Camelot UK Holdco Limited, Term Loan, 5.294%, (1 mo. USD LIBOR + 3.25%), 10/3/23 | 407,095 | 410,085 |
Ceridian HCM Holding, Inc., Term Loan, 5.046%, (1 mo. USD LIBOR + 3.00%), 4/30/25 | 495,000 | 496,933 |
Change Healthcare Holdings, LLC, Term Loan, 4.544%, (1 mo. USD LIBOR + 2.50%), 3/1/24 | 670,081 | 667,725 |
Cypress Intermediate Holdings III, Inc., Term Loan, 4.80%, (1 mo. USD LIBOR + 2.75%), 4/26/24 | 368,780 | 367,858 |
EIG Investors Corp., Term Loan, 5.882%, (3 mo. USD LIBOR + 3.75%), 2/9/23 | 280,651 | 275,476 |
IG Investment Holdings, LLC, Term Loan, 6.044%, (1 mo. USD LIBOR + 4.00%), 5/23/25 | 299,242 | 298,370 |
IRI Holdings, Inc., Term Loan, 6.624%, (3 mo. USD LIBOR + 4.50%), 12/1/25 | 422,684 | 407,186 |
J.D. Power and Associates, Term Loan, 5.794%, (1 mo. USD LIBOR + 3.75%), 9/7/23 | 293,943 | 294,677 |
KAR Auction Services, Inc., Term Loan, 4.313%, (1 mo. USD LIBOR + 2.25%), 9/19/26 | 50,000 | 50,391 |
Kronos Incorporated, Term Loan, 5.253%, (3 mo. USD LIBOR + 3.00%), 11/1/23 | 981,207 | 984,197 |
KUEHG Corp., Term Loan, 5.854%, (3 mo. USD LIBOR + 3.75%), 2/21/25 | 267,572 | 267,639 |
Prime Security Services Borrower, LLC, Term Loan, 5.21%, (1 week USD LIBOR + 3.25%), 9/23/26 | 397,314 | 393,270 |
ServiceMaster Company, Term Loan, 4.544%, (1 mo. USD LIBOR + 2.50%), 11/8/23 | 67,972 | 68,482 |
SMG US Midco 2, Inc., Term Loan, 5.044%, (1 mo. USD LIBOR + 3.00%), 1/23/25 | 246,250 | 245,480 |
Solera, LLC, Term Loan, 4.794%, (1 mo. USD LIBOR + 2.75%), 3/3/23 | 498,708 | 496,993 |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
SENIOR FLOATING RATE LOANS (1) - CONT’D | ||
Spin Holdco, Inc., Term Loan, 5.572%, (3 mo. USD LIBOR + 3.25%), 11/14/22 | 497,455 | 489,139 |
WASH Multifamily Laundry Systems, LLC, Term Loan, 5.294%, (1 mo. USD LIBOR + 3.25%), 5/14/22 | 215,336 | 212,779 |
West Corporation, Term Loan, 6.044%, (1 mo. USD LIBOR + 4.00%), 10/10/24 | 246,241 | 219,975 |
7,611,950 | ||
Cable and Satellite Television - 2.4% | ||
Telenet Financing USD, LLC, Term Loan, 4.278%, (1 mo. USD LIBOR + 2.25%), 8/15/26 | 275,000 | 275,573 |
Ziggo Secured Finance Partnership, Term Loan, 4.528%, (1 mo. USD LIBOR + 2.50%), 4/15/25 | 905,000 | 904,434 |
1,180,007 | ||
Chemicals and Plastics - 3.5% | ||
Alpha 3 B.V., Term Loan, 5.104%, (3 mo. USD LIBOR + 3.00%), 1/31/24 | 307,759 | 304,373 |
Minerals Technologies, Inc., Term Loan, 4.31%, (USD LIBOR + 2.25%), 2/14/24 (2) | 604,096 | 606,613 |
Momentive Performance Materials, Inc., Term Loan, 5.30%, (1 mo. USD LIBOR + 3.25%), 5/15/24 | 349,125 | 347,271 |
PMHC II, Inc., Term Loan, 5.604%, (3 mo. USD LIBOR + 3.50%), 3/31/25 | 246,867 | 199,962 |
Polar US Borrower, LLC, Term Loan, 7.058%, (3 mo. USD LIBOR + 4.75%), 10/15/25 | 247,876 | 241,363 |
Pregis TopCo Corporation, Term Loan, 6.253%, (3 mo. USD LIBOR + 4.00%), 7/31/26 | 50,000 | 49,938 |
1,749,520 | ||
Containers and Glass Products - 2.1% | ||
Berlin Packaging, LLC, Term Loan, 5.101%, (USD LIBOR + 3.00%), 11/7/25 (2) | 246,875 | 242,973 |
Berry Global, Inc., Term Loan, 4.549%, (1 mo. USD LIBOR + 2.50%), 7/1/26 | 74,813 | 75,259 |
Flex Acquisition Company, Inc., Term Loan, 5.319%, (3 mo. USD LIBOR + 3.00%), 12/29/23 | 480,207 | 462,713 |
Libbey Glass, Inc., Term Loan, 5.042%, (1 mo. USD LIBOR + 3.00%), 4/9/21 | 244,995 | 190,483 |
Pelican Products, Inc., Term Loan, 5.539%, (1 mo. USD LIBOR + 3.50%), 5/1/25 | 74,063 | 71,193 |
1,042,621 | ||
Cosmetics/Toiletries - 1.0% | ||
KIK Custom Products, Inc., Term Loan, 6.256%, (3 mo. USD LIBOR + 4.00%), 5/15/23 | 550,000 | 522,672 |
Drugs - 1.2% | ||
Albany Molecular Research, Inc., Term Loan, 5.294%, (1 mo. USD LIBOR + 3.25%), 8/30/24 | 196,000 | 193,060 |
Amneal Pharmaceuticals, LLC, Term Loan, 5.563%, (1 mo. USD LIBOR + 3.50%), 5/4/25 | 269,675 | 231,696 |
Arbor Pharmaceuticals, Inc., Term Loan, 7.104%, (3 mo. USD LIBOR + 5.00%), 7/5/23 | 180,923 | 166,901 |
591,657 | ||
Ecological Services and Equipment - 1.0% | ||
GFL Environmental, Inc., Term Loan, 5.044%, (1 mo. USD LIBOR + 3.00%), 5/30/25 | 520,378 | 516,475 |
Electronics/Electrical - 20.2% | ||
Almonde, Inc., Term Loan, 5.696%, (6 mo. USD LIBOR + 3.50%), 6/13/24 | 271,824 | 264,979 |
Applied Systems, Inc., Term Loan, 5.104%, (3 mo. USD LIBOR + 3.00%), 9/19/24 | 818,734 | 818,661 |
Avast Software B.V., Term Loan, 4.354%, (3 mo. USD LIBOR + 2.25%), 9/30/23 | 190,793 | 192,120 |
Banff Merger Sub, Inc., Term Loan, 6.294%, (1 mo. USD LIBOR + 4.25%), 10/2/25 | 347,002 | 334,721 |
Carbonite, Inc., Term Loan, 6.006%, (3 mo. USD LIBOR + 3.75%), 3/26/26 | 220,455 | 220,960 |
CommScope, Inc., Term Loan, 5.294%, (1 mo. USD LIBOR + 3.25%), 4/6/26 | 450,000 | 449,246 |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
SENIOR FLOATING RATE LOANS (1) - CONT’D | ||
CPI International, Inc., Term Loan, 5.554%, (1 mo. USD LIBOR + 3.50%), 7/26/24 | 296,970 | 292,268 |
Epicor Software Corporation, Term Loan, 5.30%, (1 mo. USD LIBOR + 3.25%), 6/1/22 | 589,133 | 589,930 |
Exact Merger Sub, LLC, Term Loan, 6.354%, (3 mo. USD LIBOR + 4.25%), 9/27/24 | 198,481 | 198,171 |
EXC Holdings III Corp., Term Loan, 5.604%, (3 mo. USD LIBOR + 3.50%), 12/2/24 | 196,500 | 197,232 |
Financial & Risk US Holdings, Inc., Term Loan, 5.794%, (1 mo. USD LIBOR + 3.75%), 10/1/25 | 124,063 | 124,886 |
Hyland Software, Inc., Term Loan, 5.294%, (1 mo. USD LIBOR + 3.25%), 7/1/24 | 1,061,455 | 1,062,687 |
Infoblox, Inc., Term Loan, 6.544%, (1 mo. USD LIBOR + 4.50%), 11/7/23 | 245,625 | 247,007 |
Infor (US), Inc., Term Loan, 4.854%, (3 mo. USD LIBOR + 2.75%), 2/1/22 | 979,591 | 981,918 |
Informatica, LLC, Term Loan, 5.294%, (1 mo. USD LIBOR + 3.25%), 8/5/22 | 742,347 | 746,290 |
NCR Corporation: | ||
Term Loan, 0.50%, 8/8/26 (3) | 40,000 | 40,100 |
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.50%), 8/8/26 | 35,000 | 35,087 |
SGS Cayman L.P., Term Loan, 7.479%, (3 mo. USD LIBOR + 5.38%), 4/23/21 | 65,061 | 64,546 |
SkillSoft Corporation, Term Loan, 6.946%, (6 mo. USD LIBOR + 4.75%), 4/28/21 | 342,876 | 277,444 |
SolarWinds Holdings, Inc., Term Loan, 4.794%, (1 mo. USD LIBOR + 2.75%), 2/5/24 | 962,015 | 964,287 |
Sutherland Global Services, Inc., Term Loan, 7.479%, (3 mo. USD LIBOR + 5.38%), 4/23/21 | 279,499 | 277,286 |
Tibco Software, Inc., Term Loan, 6.07%, (1 mo. USD LIBOR + 4.00%), 6/30/26 | 294,710 | 295,537 |
Uber Technologies, Term Loan, 6.028%, (1 mo. USD LIBOR + 4.00%), 4/4/25 | 497,481 | 495,771 |
Ultimate Software Group, Inc. (The), Term Loan, 5.794%, (1 mo. USD LIBOR + 3.75%), 5/4/26 | 125,000 | 125,797 |
Ultra Clean Holdings, Inc, Term Loan, 6.544%, (1 mo. USD LIBOR + 4.50%), 8/27/25 | 90,357 | 88,550 |
Veritas Bermuda, Ltd., Term Loan, 6.554%, (USD LIBOR + 4.50%), 1/27/23 (2) | 146,365 | 138,620 |
Vero Parent, Inc., Term Loan, 6.544%, (1 mo. USD LIBOR + 4.50%), 8/16/24 | 247,500 | 246,572 |
Wall Street Systems Delaware, Inc., Term Loan, 5.044%, (1 mo. USD LIBOR + 3.00%), 11/21/24 | 317,593 | 316,799 |
10,087,472 | ||
Financial Intermediaries - 3.2% | ||
Apollo Commercial Real Estate Finance, Inc, Term Loan, 4.778%, (1 mo. USD LIBOR + 2.75%), 5/15/26 | 448,875 | 448,303 |
Aretec Group, Inc., Term Loan, 6.294%, (1 mo. USD LIBOR + 4.25%), 10/1/25 | 298,185 | 288,494 |
Focus Financial Partners, LLC, Term Loan, 4.544%, (1 mo. USD LIBOR + 2.50%), 7/3/24 | 74,811 | 75,239 |
Harbourvest Partners, LLC, Term Loan, 4.278%, (1 mo. USD LIBOR + 2.25%), 3/1/25 | 44,451 | 44,645 |
Victory Capital Holdings, Inc., Term Loan, 5.569%, (3 mo. USD LIBOR + 3.25%), 7/1/26 | 117,841 | 118,522 |
Virtus Investment Partners, Inc., Term Loan, 4.339%, (1 mo. USD LIBOR + 2.25%), 6/1/24 | 622,384 | 624,977 |
1,600,180 | ||
Food Products - 1.7% | ||
Del Monte Foods, Inc., Term Loan, 5.399%, (3 mo. USD LIBOR + 3.25%), 2/18/21 | 346,335 | 261,483 |
Post Holdings, Inc., Term Loan, 4.04%, (1 mo. USD LIBOR + 2.00%), 5/24/24 | 597,244 | 599,623 |
861,106 | ||
Food Service - 2.3% | ||
1011778 B.C. Unlimited Liability Company, Term Loan, 4.294%, (1 mo. USD LIBOR + 2.25%), 2/16/24 | 432,123 | 434,057 |
IRB Holding Corp., Term Loan, 5.55%, (3 mo. USD LIBOR + 3.25%), 2/5/25 | 318,881 | 317,818 |
Restaurant Technologies, Inc., Term Loan, 5.294%, (1 mo. USD LIBOR + 3.25%), 10/1/25 | 248,125 | 248,591 |
US Foods, Inc., Term Loan, 4.05%, (1 mo. USD LIBOR + 2.00%), 9/13/26 | 150,000 | 150,785 |
1,151,251 |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
SENIOR FLOATING RATE LOANS (1) - CONT’D | ||
Food/Drug Retailers - 0.3% | ||
Albertsons, LLC, Term Loan, 4.794%, (1 mo. USD LIBOR + 2.75%), 8/17/26 | 173,320 | 174,587 |
Health Care - 10.7% | ||
Accelerated Health Systems, LLC, Term Loan, 5.542%, (1 mo. USD LIBOR + 3.50%), 10/31/25 | 49,625 | 49,749 |
Alliance Healthcare Services, Inc., Term Loan, 6.544%, (1 mo. USD LIBOR + 4.50%), 10/24/23 | 191,250 | 181,688 |
athenahealth, Inc., Term Loan, 6.681%, (3 mo. USD LIBOR + 4.50%), 2/11/26 | 149,250 | 148,659 |
Avantor, Inc., Term Loan, 5.044%, (1 mo. USD LIBOR + 3.00%), 11/21/24 | 320,992 | 323,600 |
BioClinica, Inc., Term Loan, 6.438%, (2 mo. USD LIBOR + 4.25%), 10/20/23 | 195,970 | 188,866 |
CHG Healthcare Services, Inc., Term Loan, 5.044%, (1 mo. USD LIBOR + 3.00%), 6/7/23 | 350,000 | 349,956 |
CPI Holdco, LLC, Term Loan, 5.535%, (6 mo. USD LIBOR + 3.50%), 3/21/24 | 298,469 | 298,469 |
DaVita, Inc., Term Loan, 4.294%, (1 mo. USD LIBOR + 2.25%), 8/12/26 | 75,000 | 75,505 |
Ensemble RCM, LLC, Term Loan, 6.003%, (3 mo. USD LIBOR + 3.75%), 8/3/26 | 50,000 | 50,125 |
Envision Healthcare Corporation, Term Loan, 5.794%, (1 mo. USD LIBOR + 3.75%), 10/10/25 | 496,250 | 406,098 |
Greatbatch Ltd., Term Loan, 5.05%, (1 mo. USD LIBOR + 3.00%), 10/27/22 | 322,509 | 324,458 |
Hanger, Inc., Term Loan, 5.544%, (1 mo. USD LIBOR + 3.50%), 3/6/25 | 98,500 | 98,900 |
Kinetic Concepts, Inc., Term Loan, 7.25%, (USD Prime + 2.25%), 2/2/24 | 496,193 | 497,976 |
MPH Acquisition Holdings, LLC, Term Loan, 4.854%, (3 mo. USD LIBOR + 2.75%), 6/7/23 | 361,745 | 345,316 |
National Mentor Holdings, Inc., Term Loan, 6.30%, (1 mo. USD LIBOR + 4.25%), 3/9/26 | 248,823 | 249,652 |
One Call Corporation, Term Loan, 7.408%, (3 mo. USD LIBOR + 5.25%), 11/25/22 | 169,687 | 137,447 |
Ortho-Clinical Diagnostics S.A., Term Loan, 5.563%, (3 mo. USD LIBOR + 3.25%), 6/30/25 | 427,369 | 414,548 |
RadNet, Inc., Term Loan, 5.83%, (3 mo. USD LIBOR + 3.50%), 6/30/23 | 446,090 | 441,629 |
Select Medical Corporation, Term Loan, 4.58%, (USD LIBOR + 2.50%), 3/6/25 (2) | 322,883 | 323,387 |
Sotera Health Holdings, LLC, Term Loan, 5.044%, (1 mo. USD LIBOR + 3.00%), 5/15/22 | 223,093 | 220,792 |
Verscend Holding Corp., Term Loan, 6.544%, (1 mo. USD LIBOR + 4.50%), 8/27/25 | 246,880 | 248,063 |
5,374,883 | ||
Home Furnishings - 0.8% | ||
Serta Simmons Bedding, LLC, Term Loan, 5.543%, (1 mo. USD LIBOR + 3.50%), 11/8/23 | 689,657 | 427,013 |
Industrial Equipment - 10.0% | ||
Altra Industrial Motion Corp., Term Loan, 4.044%, (1 mo. USD LIBOR + 2.00%), 10/1/25 | 68,843 | 68,886 |
Apex Tool Group, LLC, Term Loan, 7.544%, (1 mo. USD LIBOR + 5.50%), 8/1/24 | 161,945 | 157,694 |
Carlisle Foodservice Products, Inc., Term Loan, 5.044%, (1 mo. USD LIBOR + 3.00%), 3/20/25 | 146,300 | 139,900 |
Clark Equipment Company, Term Loan, 4.104%, (3 mo. USD LIBOR + 2.00%), 5/18/24 | 655,496 | 657,750 |
CPM Holdings, Inc., Term Loan, 5.794%, (1 mo. USD LIBOR + 3.75%), 11/15/25 | 323,309 | 318,661 |
DexKo Global, Inc., Term Loan, 5.544%, (1 mo. USD LIBOR + 3.50%), 7/24/24 | 245,423 | 242,969 |
EWT Holdings III Corp., Term Loan, 5.044%, (1 mo. USD LIBOR + 3.00%), 12/20/24 | 588,246 | 591,187 |
Filtration Group Corporation, Term Loan, 5.044%, (1 mo. USD LIBOR + 3.00%), 3/29/25 | 497,594 | 499,408 |
Gates Global, LLC, Term Loan, 4.794%, (1 mo. USD LIBOR + 2.75%), 4/1/24 | 833,491 | 823,072 |
Robertshaw US Holding Corp., Term Loan, 5.313%, (1 mo. USD LIBOR + 3.25%), 2/28/25 | 418,625 | 384,088 |
Terex Corporation, Term Loan, 4.794%, (1 mo. USD LIBOR + 2.75%), 1/31/24 | 820,875 | 824,209 |
Titan Acquisition Limited, Term Loan, 5.044%, (1 mo. USD LIBOR + 3.00%), 3/28/25 | 295,500 | 283,680 |
4,991,504 | ||
PRINCIPAL AMOUNT ($) | VALUE ($) | |
SENIOR FLOATING RATE LOANS (1) - CONT’D | ||
Insurance - 5.5% | ||
Alliant Holdings Intermediate, LLC, Term Loan, 5.289%, (1 mo. USD LIBOR + 3.25%), 5/9/25 | 249,375 | 247,894 |
AmWINS Group, Inc., Term Loan, 4.796%, (1 mo. USD LIBOR + 2.75%), 1/25/24 | 539,794 | 540,694 |
Asurion, LLC: | ||
Term Loan, 5.044%, (1 mo. USD LIBOR + 3.00%), 8/4/22 | 761,302 | 764,347 |
Term Loan - Second Lien, 8.544%, (1 mo. USD LIBOR + 6.50%), 8/4/25 | 100,000 | 101,708 |
Hub International Limited, Term Loan, 5.267%, (3 mo. USD LIBOR + 3.00%), 4/25/25 | 518,438 | 513,415 |
NFP Corp., Term Loan, 5.044%, (1 mo. USD LIBOR + 3.00%), 1/8/24 | 299,231 | 294,481 |
USI, Inc., Term Loan, 5.104%, (3 mo. USD LIBOR + 3.00%), 5/16/24 | 294,000 | 289,345 |
2,751,884 | ||
Leisure Goods/Activities/Movies - 6.0% | ||
AMC Entertainment Holdings, Inc., Term Loan, 5.23%, (6 mo. USD LIBOR + 3.00%), 4/22/26 | 646,750 | 650,388 |
Bombardier Recreational Products, Inc., Term Loan, 4.044%, (1 mo. USD LIBOR + 2.00%), 5/23/25 | 640,254 | 640,121 |
Crown Finance US, Inc., Term Loan, 4.294%, (1 mo. USD LIBOR + 2.25%), 2/28/25 | 390,326 | 388,325 |
Emerald Expositions Holding, Inc., Term Loan, 4.794%, (1 mo. USD LIBOR + 2.75%), 5/22/24 | 284,051 | 276,950 |
Match Group, Inc., Term Loan, 4.659%, (2 mo. USD LIBOR + 2.50%), 11/16/22 | 650,000 | 653,250 |
Travel Leaders Group, LLC, Term Loan, 6.046%, (1 mo. USD LIBOR + 4.00%), 1/25/24 | 397,992 | 398,490 |
3,007,524 | ||
Lodging and Casinos - 2.5% | ||
ESH Hospitality, Inc., Term Loan, 4.044%, (1 mo. USD LIBOR + 2.00%), 9/18/26 | 380,618 | 382,838 |
Playa Resorts Holding B.V., Term Loan, 4.79%, (1 mo. USD LIBOR + 2.75%), 4/29/24 | 220,618 | 215,103 |
RHP Hotel Properties L.P., Term Loan, 4.33%, (3 mo. USD LIBOR + 2.00%), 5/11/24 | 636,935 | 638,826 |
1,236,767 | ||
Publishing - 2.3% | ||
Getty Images, Inc., Term Loan, 6.563%, (1 mo. USD LIBOR + 4.50%), 2/19/26 | 272,938 | 272,084 |
Harland Clarke Holdings Corp., Term Loan, 6.854%, (3 mo. USD LIBOR + 4.75%), 11/3/23 | 178,536 | 140,916 |
LSC Communications, Inc., Term Loan, 7.445%, (1 week USD LIBOR + 5.50%), 9/30/22 | 148,800 | 125,364 |
ProQuest, LLC, Term Loan, 5.294%, (1 mo. USD LIBOR + 3.25%), 10/24/21 | 588,968 | 590,073 |
1,128,437 | ||
Radio and Television - 2.0% | ||
Diamond Sports Group, LLC, Term Loan, 5.30%, (1 mo. USD LIBOR + 3.25%), 8/24/26 | 250,000 | 251,680 |
iHeartCommunications, Inc., Term Loan, 6.10%, (1 mo. USD LIBOR + 4.00%), 5/1/26 | 532,203 | 536,360 |
Mission Broadcasting, Inc., Term Loan, 4.35%, (1 mo. USD LIBOR + 2.25%), 1/17/24 | 37,640 | 37,715 |
Nexstar Broadcasting, Inc., Term Loan, 4.294%, (1 mo. USD LIBOR + 2.25%), 1/17/24 | 188,949 | 189,323 |
1,015,078 | ||
Retailers (Except Food and Drug) - 2.8% | ||
Bass Pro Group, LLC, Term Loan, 7.044%, (1 mo. USD LIBOR + 5.00%), 9/25/24 | 245,614 | 237,056 |
BJ’s Wholesale Club, Inc., Term Loan, 4.786%, (1 mo. USD LIBOR + 2.75%), 2/3/24 | 498,741 | 500,753 |
Coinamatic Canada, Inc., Term Loan, 5.294%, (1 mo. USD LIBOR + 3.25%), 5/14/22 | 33,365 | 32,969 |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
SENIOR FLOATING RATE LOANS (1) - CONT’D | ||
Hoya Midco, LLC, Term Loan, 5.544%, (1 mo. USD LIBOR + 3.50%), 6/30/24 | 195,286 | 192,967 |
LSF9 Atlantis Holdings, LLC, Term Loan, 8.042%, (1 mo. USD LIBOR + 6.00%), 5/1/23 | 141,848 | 132,628 |
PetSmart, Inc., Term Loan, 6.04%, (1 mo. USD LIBOR + 4.00%), 3/11/22 | 300,000 | 293,000 |
1,389,373 | ||
Steel - 2.2% | ||
Phoenix Services International, LLC, Term Loan, 5.778%, (1 mo. USD LIBOR + 3.75%), 3/1/25 | 246,250 | 239,478 |
Zekelman Industries, Inc., Term Loan, 4.304%, (1 mo. USD LIBOR + 2.25%), 6/14/21 | 876,316 | 877,412 |
1,116,890 | ||
Surface Transport - 0.6% | ||
Agro Merchants NAI Holdings, LLC, Term Loan, 5.854%, (3 mo. USD LIBOR + 3.75%), 12/6/24 | 298,524 | 300,016 |
Telecommunications - 9.7% | ||
CenturyLink, Inc., Term Loan, 4.794%, (1 mo. USD LIBOR + 2.75%), 1/31/25 | 836,853 | 832,233 |
Colorado Buyer, Inc., Term Loan, 5.04%, (1 mo. USD LIBOR + 3.00%), 5/1/24 | 394,328 | 357,113 |
Digicel International Finance Limited, Term Loan, 5.34%, (6 mo. USD LIBOR + 3.25%), 5/28/24 | 245,371 | 213,473 |
Intelsat Jackson Holdings S.A., Term Loan, 5.804%, (1 mo. USD LIBOR + 3.75%), 11/27/23 | 574,000 | 575,722 |
Level 3 Financing, Inc., Term Loan, 4.294%, (1 mo. USD LIBOR + 2.25%), 2/22/24 | 650,000 | 651,896 |
Plantronics, Inc., Term Loan, 4.544%, (1 mo. USD LIBOR + 2.50%), 7/2/25 | 391,466 | 391,344 |
SBA Senior Finance II, LLC, Term Loan, 4.05%, (1 mo. USD LIBOR + 2.00%), 4/11/25 | 686,444 | 687,678 |
Sprint Communications, Inc., Term Loan, 5.063%, (1 mo. USD LIBOR + 3.00%), 2/2/24 | 893,250 | 892,685 |
Syniverse Holdings, Inc., Term Loan, 7.028%, (1 mo. USD LIBOR + 5.00%), 3/9/23 | 246,250 | 232,167 |
4,834,311 | ||
Utilities - 0.7% | ||
Granite Acquisition, Inc., Term Loan, 5.604%, (3 mo. USD LIBOR + 3.50%), 12/19/21 | 293,538 | 294,718 |
Pike Corporation, Term Loan, 5.30%, (1 mo. USD LIBOR + 3.25%), 7/19/26 | 48,873 | 49,117 |
343,835 | ||
Total Senior Floating Rate Loans (Cost $59,975,840) | 58,753,050 | |
SHARES | VALUE ($) | |
EXCHANGE-TRADED FUNDS - 1.7% | ||
Invesco Senior Loan ETF (4) | 16,100 | 363,699 |
SPDR Blackstone / GSO Senior Loan ETF (4) | 10,750 | 497,940 |
Total Exchange-Traded Funds (Cost $866,581) | 861,639 | |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - 4.3% | ||
Automotive - 0.1% | ||
Panther BF Aggregator 2 LP / Panther Finance Co., Inc., 6.25%, 5/15/26 (5) | 25,000 | 26,375 |
Business Equipment and Services - 0.2% | ||
Allied Universal Holdco LLC, 6.625%, 7/15/26 (5) | 25,000 | 26,469 |
Prime Security Services Borrower, LLC / Prime Finance, Inc., 5.75%, 4/15/26 (5) | 75,000 | 78,285 |
104,754 | ||
Containers and Glass Products - 1.5% | ||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.125%, 7/15/23 (5) | 750,000 | 769,687 |
Health Care - 2.3% | ||
Avantor, Inc., 6.00%, 10/1/24 (5) | 300,000 | 322,209 |
HCA, Inc., 5.25%, 4/15/25 | 750,000 | 835,287 |
1,157,496 | ||
Radio and Television - 0.2% | ||
Diamond Sports Group LLC / Diamond Sports Finance Co., 5.375%, 8/15/26 (5) | 50,000 | 52,000 |
iHeartCommunications, Inc., 5.25%, 8/15/27 (5) | 25,000 | 26,063 |
78,063 | ||
Total Corporate Bonds (Cost $2,052,855) | 2,136,375 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 1.6% | ||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% | 804,759 | 804,759 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $804,759) | 804,759 | |
TOTAL INVESTMENTS (Cost $63,700,035) - 125.0% | 62,555,823 | |
Less Unfunded Loan Commitments - (0.1%) | (73,784) | |
NET INVESTMENTS (Cost $63,626,251) - 124.9% | 62,482,039 | |
Note Payable - (34.0%) | (17,000,000) | |
Other assets and liabilities, net - 9.1% | 4,564,428 | |
NET ASSETS - 100.0% | 50,046,467 |
NOTES TO SCHEDULE OF INVESTMENTS | |
(1) Remaining maturities of senior floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. Senior floating rate loans generally pay interest at rates which are periodically re-determined at a spread above the London Interbank Offered Rate (“LIBOR”) or other short-term rates. The rate shown is the rate in effect at September 30, 2019. Senior floating rate loans are generally considered restrictive in that the Fund is ordinarily contractually obligated to receive consent from the Agent Bank and/or borrower prior to disposition of a senior floating rate loan. | |
(2) The stated interest rate represents the weighted average interest rate at September 30, 2019 of contracts within the loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. | |
(3) Unfunded or partially unfunded loan commitments. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. See Note 1E for description. At September 30, 2019, the total value of unfunded loan commitments is $73,975. | |
(4) All or a portion of this security was on loan at September 30, 2019. The aggregate market value of securities on loan at September 30, 2019 was $852,999. | |
(5) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $1,301,088, which represents 2.6% of the net assets of the Fund as of September 30, 2019. | |
Abbreviations: | |
LIBOR: | London Interbank Offered Rate |
USD: | United States Dollar |
See notes to financial statements. |
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $63,626,251) - including $852,999 of securities on loan | $62,482,039 | ||
Cash | 3,154,310 | ||
Receivable for investments sold | 2,321,707 | ||
Receivable for capital shares sold | 25,063 | ||
Interest receivable | 197,246 | ||
Securities lending income receivable | 414 | ||
Receivable from affiliate | 12,812 | ||
Trustees’ deferred compensation plan | 597 | ||
Prepaid upfront fees on note payable | 14,081 | ||
Prepaid expenses | 1,530 | ||
Other assets | 3,091 | ||
Total assets | 68,212,890 | ||
LIABILITIES | |||
Payable for investments purchased | 49,875 | ||
Payable for capital shares redeemed | 147,517 | ||
Distributions payable | 7,552 | ||
Deposits for securities loaned | 804,759 | ||
Payable to affiliates: | |||
Investment advisory fee | 29,050 | ||
Administrative fee | 5,425 | ||
Distribution and service fees | 675 | ||
Sub-transfer agency fee | 290 | ||
Trustees’ deferred compensation plan | 597 | ||
Accrued expenses | 120,683 | ||
Note payable | 17,000,000 | ||
Total liabilities | 18,166,423 | ||
NET ASSETS | $50,046,467 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to shares of beneficial interest | |||
(unlimited number of no par value shares authorized) | $52,830,659 | ||
Accumulated loss | (2,784,192) | ||
Total | $50,046,467 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $3,286,437 and 337,770 shares outstanding) | $9.73 | ||
Class I (based on net assets of $14,748,991 and 1,516,472 shares outstanding) | $9.73 | ||
Class R6 (based on net assets of $32,011,039 and 3,292,894 shares outstanding) | $9.72 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/96.25 of net asset value per share) | $10.11 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. |
INVESTMENT INCOME | |||
Dividend income | $22,786 | ||
Interest income | 4,362,121 | ||
Securities lending income, net | 2,848 | ||
Total investment income | 4,387,755 | ||
EXPENSES | |||
Investment advisory fee | 385,849 | ||
Administrative fee | 77,780 | ||
Distribution and service fees: | |||
Class A | 8,387 | ||
Trustees’ fees and expenses | 4,670 | ||
Custodian fees | 25,789 | ||
Transfer agency fees and expenses | 29,584 | ||
Accounting fees | 15,080 | ||
Professional fees | 55,356 | ||
Registration fees | 60,470 | ||
Reports to shareholders | 11,414 | ||
Interest expense and fees and other borrowing costs | 612,260 | ||
Miscellaneous | 15,439 | ||
Total expenses | 1,302,078 | ||
Waiver and/or reimbursement of expenses by affiliate | (183,596) | ||
Reimbursement of expenses-other | (1,810) | ||
Net expenses | 1,116,672 | ||
Net investment income | 3,271,083 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized loss on investment securities | (1,550,361) | ||
Net change in unrealized appreciation (depreciation) on investment securities | (1,054,707) | ||
Net realized and unrealized loss | (2,605,068) | ||
Net increase in net assets resulting from operations | $666,015 | ||
See notes to financial statements. |
INCREASE (DECREASE) IN NET ASSETS | Year Ended September 30, 2019 | Period Ended September 30, 2018(1) | |||||
Operations: | |||||||
Net investment income | $3,271,083 | $2,552,868 | |||||
Net realized loss | (1,550,361 | ) | (146,700 | ) | |||
Net change in unrealized appreciation (depreciation) | (1,054,707 | ) | (89,505 | ) | |||
Net increase in net assets resulting from operations | 666,015 | 2,316,663 | |||||
Distributions to shareholders: | |||||||
Class A shares | (162,102 | ) | (41,317 | ) | |||
Class I shares | (1,282,602 | ) | (553,234 | ) | |||
Class R6 shares | (1,822,024 | ) | (1,961,208 | ) | |||
Total distributions to shareholders | (3,266,728 | ) | (2,555,759 | ) | |||
Capital share transactions: | |||||||
Class A shares | 281,569 | 3,090,163 | |||||
Class I shares | (10,310,001 | ) | 26,491,733 | ||||
Class R6 shares | (19,458,423 | ) | 52,791,235 | ||||
Net increase (decrease) in net assets from capital share transactions | (29,486,855 | ) | 82,373,131 | ||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (32,087,568 | ) | 82,134,035 | ||||
NET ASSETS | |||||||
Beginning of period | 82,134,035 | — | |||||
End of period | $50,046,467 | $82,134,035 | |||||
(1) For the period from the start of business, October 10, 2017, to September 30, 2018. | |||||||
See notes to financial statements. |
CASH FLOWS FROM OPERATING ACTIVITIES | Year Ended September 30, 2019 | ||
Net increase in net assets from operations | $666,015 | ||
Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: | |||
Investments purchased | (41,613,840 | ) | |
Investments sold and principal repayments | 66,122,158 | ||
Increase in short-term investments, net | (804,759 | ) | |
Net amortization/accretion of premium (discount) | 6,325 | ||
Amortization of prepaid upfront fees on note payable | 17,544 | ||
Increase in interest receivable | (30,819 | ) | |
Increase in securities lending income receivable | (414 | ) | |
Decrease in receivable from affiliate | 9,464 | ||
Decrease in prepaid expenses | 12,853 | ||
Increase in trustees’ deferred compensation plan | (517 | ) | |
Increase in other assets | (1,810 | ) | |
Increase in deposits for securities loaned | 804,759 | ||
Decrease in payable to affiliate for investment advisory fee | (9,370 | ) | |
Decrease in payable to affiliate for administrative fee | (2,148 | ) | |
Increase in payable to affiliate for sub-transfer agency fee | 195 | ||
Increase in payable to affiliate for distribution and service fees | 109 | ||
Increase in payable to affiliate for trustees’ deferred compensation plan | 517 | ||
Decrease in accrued expenses | (364 | ) | |
Decrease in unfunded loan commitments | (11,817 | ) | |
Net change in unrealized (appreciation) depreciation from investments | 1,054,707 | ||
Net realized loss from investments | 1,550,361 | ||
Net cash provided by operating activities | $27,769,149 | ||
CASH FLOWS FROM FINANCING ACTIVITIES | |||
Cash distributions paid to shareholders | ($371,836 | ) | |
Proceeds from capital shares sold | 32,723,046 | ||
Capital shares redeemed | (64,454,168 | ) | |
Prepaid upfront fees on note payable | (31,625 | ) | |
Proceeds from note payable | 37,500,000 | ||
Repayments of note payable | (39,500,000 | ) | |
Net cash used in financing activities | ($34,134,583 | ) | |
Net decrease in cash | ($6,365,434 | ) | |
Cash at beginning of year | $9,519,744 | ||
Cash at end of year | $3,154,310 | ||
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION: | |||
Non cash financing activities included herein consist of: Reinvestment of dividends and distributions | $2,887,340 | ||
Cash paid for interest and fees on borrowings | $631,354 | ||
See notes to financial statements. |
Year Ended September 30, 2019 | Period Ended September 30, 2018 (1) | |||||
CLASS A SHARES | ||||||
Net asset value, beginning | $9.97 | $10.00 | ||||
Income from investment operations: | ||||||
Net investment income (2) | 0.47 | 0.38 | ||||
Net realized and unrealized loss | (0.24) | (0.06) | ||||
Total from investment operations | 0.23 | 0.32 | ||||
Distributions from: | ||||||
Net investment income | (0.47) | (0.35) | ||||
Total distributions | (0.47) | (0.35) | ||||
Total decrease in net asset value | (0.24) | (0.03) | ||||
Net asset value, ending | $9.73 | $9.97 | ||||
Total return (3) | 2.42 | % | 3.25 | % | (4) | |
Ratios to average net assets: (5) | ||||||
Total expenses (7) | 2.29 | % | 2.48 | % | (6) | |
Net expenses (7) | 1.98 | % | 2.13 | % | (6) | |
Net investment income | 4.86 | % | 3.93 | % | (6) | |
Portfolio turnover | 44 | % | 35 | % | (4) | |
Net assets, ending (in thousands) | $3,286 | $3,090 | ||||
(1) For the period from the start of business, October 10, 2017, to September 30, 2018. | ||||||
(2) Computed using average shares outstanding. | ||||||
(3) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. | ||||||
(4) Not annualized. | ||||||
(5) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||
(6) Annualized. | ||||||
(7) Includes interest expense and fees and other borrowing costs of 0.96% and 1.07% for the year ended September 30, 2019 and the period ended September 30, 2018, respectively. | ||||||
See notes to financial statements. |
Year Ended September 30, 2019 | Period Ended September 30, 2018 (1) | |||||
CLASS I SHARES | ||||||
Net asset value, beginning | $9.97 | $10.00 | ||||
Income from investment operations: | ||||||
Net investment income (2) | 0.49 | 0.40 | ||||
Net realized and unrealized loss | (0.23) | (0.06) | ||||
Total from investment operations | 0.26 | 0.34 | ||||
Distributions from: | ||||||
Net investment income | (0.50) | (0.37) | ||||
Total distributions | (0.50) | (0.37) | ||||
Total decrease in net asset value | (0.24) | (0.03) | ||||
Net asset value, ending | $9.73 | $9.97 | ||||
Total return (3) | 2.57 | % | 3.48 | % | (4) | |
Ratios to average net assets: (5) | ||||||
Total expenses (7) | 2.02 | % | 2.06 | % | (6) | |
Net expenses (7) | 1.70 | % | 1.67 | % | (6) | |
Net investment income | 5.05 | % | 4.10 | % | (6) | |
Portfolio turnover | 44 | % | 35 | % | (4) | |
Net assets, ending (in thousands) | $14,749 | $26,452 | ||||
(1) For the period from the start of business, October 10, 2017, to September 30, 2018. | ||||||
(2) Computed using average shares outstanding. | ||||||
(3) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. | ||||||
(4) Not annualized. | ||||||
(5) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||
(6) Annualized. | ||||||
(7) Includes interest expense and fees and other borrowing costs of 0.93% and 0.91% for the year ended September 30, 2019 and the period ended September 30, 2018, respectively. | ||||||
See notes to financial statements. |
Year Ended September 30, 2019 | Period Ended September 30, 2018 (1) | |||||
CLASS R6 SHARES | ||||||
Net asset value, beginning | $9.96 | $10.00 | ||||
Income from investment operations: | ||||||
Net investment income (2) | 0.50 | 0.37 | ||||
Net realized and unrealized loss | (0.24) | (0.04) | ||||
Total from investment operations | 0.26 | 0.33 | ||||
Distributions from: | ||||||
Net investment income | (0.50) | (0.37) | ||||
Total distributions | (0.50) | (0.37) | ||||
Total decrease in net asset value | (0.24) | (0.04) | ||||
Net asset value, ending | $9.72 | $9.96 | ||||
Total return (3) | 2.67 | % | 3.35 | % | (4) | |
Ratios to average net assets: (5) | ||||||
Total expenses(7) | 1.99 | % | 1.74 | % | (6) | |
Net expenses(7) | 1.72 | % | 1.44 | % | (6) | |
Net investment income | 5.08 | % | 3.81 | % | (6) | |
Portfolio turnover | 44 | % | 35 | % | (4) | |
Net assets, ending (in thousands) | $32,011 | $52,592 | ||||
(1) For the period from the start of business, October 10, 2017, to September 30, 2018. | ||||||
(2) Computed using average shares outstanding. | ||||||
(3) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. | ||||||
(4) Not annualized. | ||||||
(5) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||
(6) Annualized. | ||||||
(7) Includes interest expense and fees and other borrowing costs of 0.95% and 0.69% for the year ended September 30, 2019 and the period ended September 30, 2018, respectively. | ||||||
See notes to financial statements. |
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||
Senior Floating Rate Loans (Less Unfunded Loan Commitments) | $ | — | $ | 58,679,266 | $ | — | $ | 58,679,266 | ||||
Exchange-Traded Funds | 861,639 | — | — | 861,639 | ||||||||
Corporate Bonds | — | 2,136,375 | — | 2,136,375 | ||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 804,759 | — | — | 804,759 | ||||||||
Total Investments | $ | 1,666,398 | $ | 60,815,641 | $ | — | $ | 62,482,039 |
Year Ended September 30, | Period Ended September | ||||||
2019 | 2018 | ||||||
Ordinary income | $3,266,728 | $2,555,759 |
Undistributed ordinary income | $64,633 | ||
Deferred capital losses | ($1,670,552 | ) | |
Net unrealized appreciation (depreciation) | ($1,170,721 | ) | |
Distributions payable | ($7,552 | ) |
Aggregate cost | $63,652,760 | ||
Gross unrealized appreciation | $204,903 | ||
Gross unrealized depreciation | (1,375,624) | ||
Net unrealized appreciation (depreciation) | ($1,170,721 | ) |
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Exchange Traded Funds | $873,416 | $— | $— | $— | $873,416 |
Year Ended September 30, 2019 | Period Ended September 30, 2018 (1) | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Class A | |||||||||||
Shares sold | 195,738 | $1,914,479 | 322,089 | $3,210,796 | |||||||
Reinvestment of distributions | 15,456 | 150,430 | 4,105 | 40,844 | |||||||
Shares redeemed | (183,374 | ) | (1,783,340 | ) | (16,244 | ) | (161,477 | ) | |||
Net increase | 27,820 | $281,569 | 309,950 | $3,090,163 | |||||||
Class I | |||||||||||
Shares sold | 2,630,684 | $25,817,573 | 4,708,181 | $47,007,516 | |||||||
Reinvestment of distributions | 125,395 | 1,219,564 | 31,113 | 309,507 | |||||||
Shares redeemed | (3,893,622 | ) | (37,347,138 | ) | (2,085,279 | ) | (20,825,290 | ) | |||
Net increase (decrease) | (1,137,543 | ) | ($10,310,001 | ) | 2,654,015 | $26,491,733 | |||||
Class R6 | |||||||||||
Shares sold | 459,476 | $4,476,567 | 5,432,328 | $54,310,393 | |||||||
Reinvestment of distributions | 155,916 | 1,517,346 | 197,468 | 1,967,481 | |||||||
Shares redeemed | (2,601,279 | ) | (25,452,336 | ) | (351,015 | ) | (3,486,639 | ) | |||
Net increase (decrease) | (1,985,887 | ) | ($19,458,423 | ) | 5,278,781 | $52,791,235 | |||||
(1) For the period from the start of business, October 10, 2017, to September 30, 2018. |
Name and Year of Birth | Trust Position(s) | Position Start Date | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
John H. Streur(1) 1960 | Trustee & President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Other Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. |
Independent Trustees | |||
Richard L. Baird, Jr. 1948 | Trustee | 1980 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA. Other Directorships in the Last Five Years. None. |
Alice Gresham Bullock 1950 | Chair & Trustee | 2016 | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships in the Last Five Years. None. |
Cari M. Dominguez 1949 | Trustee | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr.(2) 1948 | Trustee | 1982 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Other Directorships in the Last Five Years. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Trustee | 2016 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), November 1999 - September 2014). Other Directorships in the Last Five Years. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Trustee | 2016 | Attorney. Other Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Anthony A. Williams 1951 | Trustee | 2010 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships in the Last Five Years. Freddie Mac; Evoq Properties/ Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization). |
Principal Officers who are not Trustees | |||
Name and Year of Birth | Trust Position(s) | Position Start Date | Principal Occupation(s) During Past Five Years |
Hope L. Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). |
Maureen A. Gemma(3) 1960 | Secretary, Vice President and Chief Legal Officer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 162 registered investment companies advised or administered by Eaton Vance. |
James F. Kirchner(3) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 162 registered investment companies advised or administered by Eaton Vance. |
(1) | Mr. Streur is an interested person of the Fund because of his positions with the Fund’s adviser and certain affiliates. |
(2) | Mr. Guffey is currently married to Rebecca L. Adamson, who serves as a member of the Advisory Council. |
(3) | The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. |
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
CALVERT FLOATING-RATE ADVANTAGE FUND | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | Independent Registered Public Accounting Firm KPMG LLP 1601 Market Street Philadelphia, PA 19103-2499 |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Printed on recycled paper. | |
29940 9.30.19 |
Fiscal Years Ended | 12/31/17 | %* | 9/30/18* | %* | 12/31/18 | %* | 9/30/19 | %* |
Audit Fees | $44,959 | 0% | $53,500 | 0% | $48,616 | 0% | $56,591 | 0% |
Audit-Related Fees(1) | $0 | 0% | $0 | 0% | $0 | 0% | $0 | 0% |
Tax Fees(2) | $11,000 | 0% | $11,700 | 0% | $11,700 | 0% | $12,600 | 0% |
All Other Fees(3) | $0 | 0% | $0 | 0% | $0 | 0% | $0 | 0% |
Total | $55,959 | 0% | $65,200 | 0% | $60,316 | 0% | $69,191 | 0% |
(1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. |
(2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters. |
(3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
(e) | The Audit Committee is required to pre-approve all audit and non-audit services provided to the registrant by the auditors, and to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. In determining whether to pre-approve non-audit services, the Audit Committee considers whether the services are consistent with maintaining the independence of the auditors. The Committee may delegate its authority to pre-approve certain matters to one or more of its members. In this regard, the Committee has delegated authority jointly to the Audit Committee Chair together with another Committee member with respect to non-audit services not exceeding $25,000 in each instance. In addition, the Committee has pre-approved the retention of the auditors to provide tax-related services |
(f) | Not applicable. |
(g) | Aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of each Series. |
Fiscal Year ended 12/31/17 | Fiscal Year ended 9/30/18 | Fiscal Year ended 12/31/18 | Fiscal Year ended 9/30/19 | ||||
$ | %* | $ | %* | $ | %* | $ | %* |
$0 | 0% | $11,700 | 0% | $0 | 0% | $12,600 | 0% |
(h) | The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
(a) | the Annual Report of the Trust on Form N-CSR for the period ended September 30, 2019 (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
(b) | the information contained in the Report fairly presents, in all material respects, the financial condition and the results of operations of the Trust for such period. |
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