Calvert's credit team rely upon the primary research conducted by its in-house team of ESG Research analysts for ESG reviews and upon their own research. Both teams also leverage a wide variety of external sources, including ESG ratings provided by third party providers, Bloomberg ESG analytics, NGO reports, and the annual U.S. Department of State Country Reports regarding human rights abuses. Other resources include regulatory filings, bond offering documents, websites for companies or other entities issuing securities, and news reports. Credit and ESG research analysts review the material and evaluate the company's ESG profile in the context of our sustainability reviews. During the reporting period, portfolio managers, credit and sustainability analysts had discussions on ESG issues pertinent to specific securities or across sectors through ongoing dialogues as well as more formal meetings. ESG-related research (third party ratings and ESG Research team opinions) was communicated to credit analysts and portfolio managers and stored on an information sharing platform, which acted as a new issue evaluation process.

Calvert's credit team collaborates with in-house ESG Research analysts to review what ESG themes/metrics may be relevant to a company given its sector, potentially affecting its credit profile and ultimately its valuation. Depending on the sector, the analysts examine ESG factors in the areas of governance and ethics, the environment, supply chain, product safety, human rights, Indigenous People's rights, and community relations-- assessing their potential impact on a company's credit profile and, ultimately, spread performance implications. In the final relative value analysis, the team combine the fundamental and ESG assessments to ascertain whether the security's yield and return profile is commensurate with the risks identified. Calvert assesses the fairness of the valuation for the issuer/security versus its peers, relative to different instruments (including loans, credit default swaps, and credit-equity volatility relationship), and its position along the maturity curve.

Calvert's credit team collaborates with in-house ESG Research analysts to review what ESG themes/metrics may be relevant to a company given its sector, potentially affecting its credit profile and ultimately its valuation. Depending on the sector, the analysts examine ESG factors in the areas of governance and ethics, the environment, supply chain, product safety, human rights, Indigenous People's rights, and community relations -- assessing their potential impact on a company's credit profile and, ultimately, spread performance implications. In the final relative value analysis, the team combine the fundamental and ESG assessments to ascertain whether the security's yield and return profile is commensurate with the risks identified. Calvert assesses the fairness of the valuation for the issuer/security versus its peers, relative to different instruments (including loans, credit default swaps, and credit-equity volatility relationship), and its position along the maturity curve.

Calvert employs a proprietary matrix to assess ESG risks and opportunities for securitized assets, which include consumer and commercial asset-backed securities (ABS), agency and non-Agency mortgage-backed securities (MBS), and commercial mortgage-backed securities (CMBS). Calvert's matrix is comprised of four broad assessment groups which define materiality and outline categories of research. Assessment groups are based on characteristics of the sponsoring entity (or entities) and collateral type. This guides ESG research analysts, credit analysts, and portfolio managers in determining where the material underlying ESG risks and opportunities lie in a specific securitization. Further research is performed on one or many entities and if necessary, the collateral pool. Calvert's process ensures that all securitized asset holdings meet the Calvert Principles for Responsible Investment.

The information in this section reflects Calvert as well as the collaboration of EVM's Investment Grade Fixed Income team.

Once Calvert has defined the investable universe for their actively managed portfolios, they perform an integrated relative value assessment of both fundamental and ESG risks at the sector and security selection level. Calvert's relative value framework is predicated upon their belief that ESG factors are most influential on spread performance for companies that exhibit combined outlier fundamental and ESG characteristics, i.e. an overweight stance on companies with both an improving fundamental and ESG profile, and an underweight stance on companies with both a deteriorating fundamental and ESG profile. Therefore, Calvert's believe that ESG factors may not affect spread performance when a company's strong (weak) ESG profile is juxtaposed against a weak (strong) fundamental profile.

Credit analysts rely upon the primary research conducted by its in-house team of ESG Research analysts for ESG reviews and upon their own research. Both teams also leverage a wide variety of external sources, including ESG ratings provided by third party providers, Bloomberg ESG analytics, NGO reports, and the annual U.S. Department of State Country Reports regarding human rights abuses. Other resources include regulatory filings, bond offering documents, websites for companies or other entities issuing securities, and news reports. Credit and ESG research analysts review the material and evaluate the company's ESG profile in the context of their sustainability reviews. During the reporting period, portfolio managers, fundamental credit and ESG analysts had discussions on ESG issues pertinent to specific securities or across sectors through ongoing dialogues as well as more formal meetings. ESG-related research (third party ratings and ESG Research team opinions) was communicated to credit analysts and portfolio managers and stored on an information sharing platform, which acted as a new issue evaluation process.

The Investment Grade Fixed Income credit team collaborates with in-house ESG Research analysts to review what ESG themes/metrics may be relevant to a company given its sector, potentially affecting its credit profile and ultimately its valuation. Depending on the sector, the analysts examine ESG factors in the areas of governance and ethics, the environment, supply chain, product safety, human rights, Indigenous People's rights, and community relations-- assessing their potential impact on a company's credit profile and, ultimately, spread performance implications. In the final relative value analysis, Calvert combines the fundamental and ESG assessments to ascertain whether the security's yield and return profile is commensurate with the risks identified. Calvert assess the fairness of the valuation for the issuer/security versus its peers, relative to different instruments (including loans, credit default swaps, and credit-equity volatility relationship), and its position along the maturity curve.

Once Calvert has defined the investable universe for their actively managed portfolios, they perform an integrated relative value assessment of both fundamental and ESG risks at the sector and security selection level. Calvert's relative value framework is predicated upon their belief that ESG factors are most influential on spread performance for companies that exhibit combined outlier fundamental and ESG characteristics, i.e. an overweight stance on companies with both an improving fundamental and ESG profile, and an underweight stance on companies with both a deteriorating fundamental and ESG profile. Therefore, Calvert's believe that ESG factors may not affect spread performance when a company's strong (weak) ESG profile is juxtaposed against a strong (weak) fundamental profile.

Credit analysts rely upon the primary research conducted by its in-house team of ESG Research analysts for ESG reviews and upon their own research. Both teams also leverage a wide variety of external sources, including ESG ratings provided by third party providers, Bloomberg ESG analytics, NGO reports, and the annual U.S. Department of State Country Reports regarding human rights abuses. Other resources include regulatory filings, bond offering documents, websites for companies or other entities issuing securities, and news reports. Credit and ESG research analysts review the material and evaluate the company's ESG profile in the context of their sustainability reviews. During the reporting period, portfolio managers, fundamental credit and ESG analysts had discussions on ESG issues pertinent to specific securities or across sectors through ongoing dialogues as well as more formal meetings. ESG-related research (third party ratings and ESG Research team opinions) was communicated to credit analysts and portfolio managers and stored on an information sharing platform, which acted as a new issue evaluation process.

The Investment Grade Fixed Income credit team collaborates with in-house ESG Research analysts to review what ESG themes/metrics may be relevant to a company given its sector, potentially affecting its credit profile and ultimately its valuation. Depending on the sector, the analysts examine ESG factors in the areas of governance and ethics, the environment, supply chain, product safety, human rights, Indigenous People's rights, and community relations-- assessing their potential impact on a company's credit profile and, ultimately, spread performance implications. In the final relative value analysis, Calvert combines the fundamental and ESG assessments to ascertain whether the security's yield and return profile is commensurate with the risks identified. Calvert assess the fairness of the valuation for the issuer/security versus its peers, relative to different instruments (including loans, credit default swaps, and credit-equity volatility relationship), and its position along the maturity curve.

Once Calvert has defined the investable universe for their actively managed portfolios, they perform an integrated relative value assessment of both fundamental and ESG risks at the sector and security selection level. Calvert's relative value framework is predicated upon their belief that ESG factors are most influential on spread performance for companies that exhibit combined outlier fundamental and ESG characteristics, i.e. an overweight stance on companies with both an improving fundamental and ESG profile, and an underweight stance on companies with both a deteriorating fundamental and ESG profile. Therefore, Calvert's believe that ESG factors may not affect spread performance when a company's strong (weak) ESG profile is juxtaposed against a strong (weak) fundamental profile.

Credit analysts rely upon the primary research conducted by its in-house team of ESG Research analysts for ESG reviews and upon their own research. Both teams also leverage a wide variety of external sources, including ESG ratings provided by third party providers, Bloomberg ESG analytics, NGO reports, and the annual U.S. Department of State Country Reports regarding human rights abuses. Other resources include regulatory filings, bond offering documents, websites for companies or other entities issuing securities, and news reports. Credit and ESG research analysts review the material and evaluate the company's ESG profile in the context of their sustainability reviews. During the reporting period, portfolio managers, fundamental credit and ESG analysts had discussions on ESG issues pertinent to specific securities or across sectors through ongoing dialogues as well as more formal meetings. ESG-related research (third party ratings and ESG Research team opinions) was communicated to credit analysts and portfolio managers and stored on an information sharing platform, which acted as a new issue evaluation process.

The Investment Grade Fixed Income credit team collaborates with in-house ESG Research analysts to review what ESG themes/metrics may be relevant to a company given its sector, potentially affecting its credit profile and ultimately its valuation. Depending on the sector, the analysts examine ESG factors in the areas of governance and ethics, the environment, supply chain, product safety, human rights, Indigenous People's rights, and community relations-- assessing their potential impact on a company's credit profile and, ultimately, spread performance implications. In the final relative value analysis, Calvert combines the fundamental and ESG assessments to ascertain whether the security's yield and return profile is commensurate with the risks identified. Calvert assess the fairness of the valuation for the issuer/security versus its peers, relative to different instruments (including loans, credit default swaps, and credit-equity volatility relationship), and its position along the maturity curve.

Once Calvert has defined the investable universe for their actively managed portfolios, they perform an integrated relative value assessment of both fundamental and ESG risks at the sector and security selection level. Calvert's relative value framework is predicated upon their belief that ESG factors are most influential on spread performance for companies that exhibit combined outlier fundamental and ESG characteristics, i.e. an overweight stance on companies with both an improving fundamental and ESG profile, and an underweight stance on companies with both a deteriorating fundamental and ESG profile. Therefore, Calvert's believe that ESG factors may not affect spread performance when a company's strong (weak) ESG profile is juxtaposed against a weak (strong) fundamental profile.

Credit analysts rely upon the primary research conducted by its in-house team of ESG Research analysts for ESG reviews and upon their own research. Both teams also leverage a wide variety of external sources, including ESG ratings provided by third party providers, Bloomberg ESG analytics, NGO reports, and the annual U.S. Department of State Country Reports regarding human rights abuses. Other resources include regulatory filings, bond offering documents, websites for companies or other entities issuing securities, and news reports. Credit and ESG research analysts review the material and evaluate the company's ESG profile in the context of their sustainability reviews. During the reporting period, portfolio managers, fundamental credit and ESG analysts had discussions on ESG issues pertinent to specific securities or across sectors through ongoing dialogues as well as more formal meetings. ESG-related research (third party ratings and ESG Research team opinions) was communicated to credit analysts and portfolio managers and stored on an information sharing platform, which acted as a new issue evaluation process.

The Investment Grade Fixed Income credit team collaborates with in-house ESG Research analysts to review what ESG themes/metrics may be relevant to a company given its sector, potentially affecting its credit profile and ultimately its valuation. Depending on the sector, the analysts examine ESG factors in the areas of governance and ethics, the environment, supply chain, product safety, human rights, Indigenous People's rights, and community relations-- assessing their potential impact on a company's credit profile and, ultimately, spread performance implications. In the final relative value analysis, Calvert combines the fundamental and ESG assessments to ascertain whether the security's yield and return profile is commensurate with the risks identified. Calvert assess the fairness of the valuation for the issuer/security versus its peers, relative to different instruments (including loans, credit default swaps, and credit-equity volatility relationship), and its position along the maturity curve.