UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-03334
CALVERT SOCIAL INVESTMENT FUND
(Exact Name of Registrant as Specified in Charter)
1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009
(Address of Principal Executive Offices)
Maureen A. Gemma
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, 2017
Date of Reporting Period
Item 1. Reports to Stockholders
Calvert Balanced Fund (formerly, Calvert Balanced Portfolio)
Calvert Bond Fund (formerly, Calvert Bond Portfolio)
Calvert Equity Fund (formerly, Calvert Equity Portfolio)
Calvert Conservative Allocation Fund
Calvert Moderate Allocation Fund
Calvert Aggressive Allocation Fund
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Calvert Social Investment Fund • Calvert Balanced Fund• Calvert Bond Fund• Calvert Equity Fund |  | |
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Annual Report September 30, 2017 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. Each 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 Funds nor the adviser is subject to CFTC regulation. |
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 | TABLE OF CONTENTS | |||
Management’s Discussion of Fund Performance | ||||
Performance and Fund Profile | ||||
Calvert Balanced Fund | ||||
Calvert Bond Fund | ||||
Calvert Equity Fund | ||||
Endnotes and Additional Disclosures | ||||
Understanding Your Fund’s Expenses | ||||
Financial Statements | ||||
Report of Independent Registered Public Accounting Firm | ||||
Federal Tax Information | ||||
Management and Organization | ||||
Important Notices | ||||
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE1
Economic and Market Conditions U.S. stocks delivered strong returns in the 12-month period ended September 30, 2017 behind an extended rally that began with Donald Trump's victory in the U.S. presidential election. After lagging early in the period, U.S. stocks moved sharply higher following President Trump's election on November 8, 2016. While its effect was broad-based, the rally particularly favored financial stocks, which received another boost in mid-December when the U.S. Federal Reserve (the Fed) raised its benchmark interest rate amid continued economic growth. U.S. stocks slipped in March 2017, as the failure of President Trump's health care bill in Congress raised concerns about prospects for the rest of his policy agenda including tax reform and infrastructure spending. However, stocks quickly regained their upward momentum, advancing steadily despite additional Fed rate hikes in March and June. Encouraged by a range of favorable economic indicators, particularly U.S. job market gains, many investors viewed the rate hikes as a sign of a strengthening economy. Global stocks also delivered strong returns during the period. Global stocks initially lagged the U.S. rally but rose sharply in the second half of the 12-month period, aided by positive economic indicators across a broad geographic range. Key equity indexes in the Asia-Pacific region also rose during the period despite the North Korea tensions. In the final three months of the period, China's stock market recorded its best quarterly performance in two years. Major stock indexes recorded double-digit gains for the period. The blue-chip Dow Jones Industrial Average2 advanced 25.45%, while the broader U.S. equity market, as represented by the S&P 500 Index, rose 18.61%. Growth stocks, as a group, outpaced value stocks in both the large- and small-cap categories, as measured by the Russell growth and value indexes. The MSCI World Index, a proxy for global equities, returned 18.17% during the period while reaching multiple all-time highs. On the fixed income side, U.S. investment-grade, fixed income securities overall advanced slightly, with the Bloomberg Barclays U.S. Aggregate Bond Index inching up 0.07%. U.S. investment-grade, fixed income securities managed to generate a modest positive return, as coupon income more than offset the negative price effects of rising interest rates. However, this relatively temperate return belied the market’s underlying volatility for bond investors. The 10-year Treasury yield ended the 1-year period at 2.33%, modestly up from 1.60% at the beginning. During the period, corporate bonds benefited from tighter credit spreads - the yield difference between corporate bonds and Treasurys of similar maturities. Spread tightening helped corporate bonds outperform Treasurys over the period, with longer maturity bonds producing the most excess returns. On average, lower quality BBB-rated5 issues notably outperformed higher quality A- and AA-rated bonds during the 12-month period. Investment grade corporate spreads also tightened as their yields declined from 1.43% to 1.07%. Spreads of high-yield issues also tightened as their yields fell from 6.24% at the beginning of the period to 5.53% at the end. | Fund Performance - Calvert Balanced Fund For the fiscal year ended September 30, 2017, Calvert Balanced Fund (the Fund) Class A shares at net asset value (NAV) returned 8.51%, compared with the Russell 1000® Index (the Index), which returned 18.54%, and the Balanced Composite Benchmark, which returned 10.86%. The Balanced Composite Benchmark is comprised of a blend of 60% Russell 1000® Index and 40% Bloomberg Barclays U.S. Aggregate Bond Index. The Fund typically invests about 60% of its assets in equity securities and 40% in fixed income investments. The equity portion is primarily large-cap U.S. stocks. The fixed income portion is primarily a variety of investment-grade debt securities. The fixed income sleeve of the Fund was a positive contributor to performance during the period as it outperformed the Bloomberg Barclays U.S. Aggregate Bond Index. In addition, an overweight allocation to financials was beneficial as many stocks within the sector reacted positively to the U.S. presidential election and the resulting prospects for decreased regulation. Stock selection in the utilities sector further contributed. Yield-curve positioning within the fixed income sleeve also enhanced performance. Underperformance of the equity sleeve of the Fund relative to the Index was a major detractor. In particular, stock selection in health care, information technology and consumer discretionary were detrimental. Within the equity sleeve, Prudential Financial, Inc., which provides life insurance, annuities and other retirement-related services, was a leading contributor. Its revenue streams tend to be highly correlated with gross domestic product growth and its shares rose on expectations that the Trump administration’s agenda to cut taxes and regulation would accelerate growth. Prudential Financial was sold during the period. Facebook, Inc. was also one of the top contributors as the social-media company made progress on several key initiatives and investors rewarded the increasing engagement of users and strong revenue growth. American Financial Group, Inc., a property-and-casualty insurance company, was another leading contributor on the equity side. Like Prudential Financial, the company advanced on expectations that economic growth would accelerate as a result of the Trump agenda. Within the fixed income sleeve, maintaining a shorter-than-Index duration7 was beneficial. An out-of-Index allocation to commercial mortgage-backed securities (CMBS) also helped Fund performance, specifically within non-agency CMBS. Advance Auto Parts, Inc., an automotive aftermarket parts retailer, was the largest individual detractor in the equity sleeve. The company fell short of earnings expectations and several analysts questioned whether the company would succeed in its turnaround efforts. TechnipFMC plc, an energy-services provider for petroleum and natural-gas extraction, was also among the equity sleeve’s largest detractors. Since energy equipment and services revenues are highly correlated with oil prices, the company’s shares sank as oil prices dropped during the period. Advance Auto Parts was sold 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. 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.
2 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (Unaudited)
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE - continued
Avnet, Inc., a manufacturer of semiconductors and other electronic components, was another significant detractor in the equity sleeve. Its earnings proved weaker than expected and it suffered a meaningful reduction in supplier contracts. In the fixed income sleeve, security selection in communications and financial institutions detracted. Fund Performance - Calvert Bond Fund For the fiscal year ended September 30, 2017, Calvert Bond Fund (the Fund) Class A shares at NAV returned 1.21%, outperforming the benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index (the Index), which gained 0.07%. The Fund’s asset allocation and shorter-than-Index duration positioning were significant sources of outperformance relative to the Index throughout most of the period. Security selection overall was a slight detractor from Index-relative performance during the period. An overweight to investment-grade corporate bonds and allocations to out-of-Index securitized assets were among the largest contributors to Fund performance versus the Index, as credit-related sectors had particularly strong returns. The Fund’s allocations to high-yield corporate bonds that were not in the Index further added to Index-relative returns. The Fund’s overweight allocation to securities in the banking sector was a strong contributor to Index-relative performance. However, security selection in the sector was a slight offset. Within securitized assets, allocations to out-of-Index, asset-backed securities and commercial mortgage-backed securities were beneficial overall to Index-relative performance. An underweight to U.S. Treasurys also enhanced Index-relative performance. As we look ahead, we believe that there is considerable uncertainty about fiscal policy, the composition of the Federal Open Market Committee, and geopolitical issues. In our opinion, there is more room for negative surprises than positive ones. Combined with what we believe are full valuations and peak global liquidity in the fixed income markets, we think that risk markets8 could be vulnerable to an interruption in their exceptional run. Against this backdrop, at the end of the period, we sought to position the Fund more defensively. We believe that the yield curve appears to be underpricing Federal Reserve interest-rate hikes, and the differences in yields between lower- and higher-quality credit securities are very narrow. We therefore shortened the Fund’s duration, although not dramatically so given our view that growth and inflation will remain low over the long run. We also moved up the quality spectrum to include more short-term, higher-quality bonds in the Fund, favoring highly liquid issues. We believe that this more defensive posture will benefit Fund returns if, as we expect, global monetary tightening challenges expensive valuations. | Fund Performance - Calvert Equity Fund For the 12-month period ending September 30, 2017, Calvert Equity Fund (the Fund) Class A shares at NAV returned 16.39%, underperforming both the Russell 1000® Growth Index (the Index), which returned 21.94%, and the S&P 500 Index, which returned 18.61%. A euphoric growth market, like the one that prevailed over the last 12 months, is generally not driven by companies with consistent earnings growth, the primary focus of the Fund’s investment philosophy. Lack of ownership of high-growth stocks with high valuations, such as Amazon.com, Inc. and Nvidia Corp., was the primary cause of underperformance. No single holding or holdings in a particular sector significantly detracted from performance. Fifteen of the 20 largest detractors from Fund performance relative to the Index were from not owning stocks that posted high gains for the period. In our assessment, Amazon’s stock is expensive and its price is based on the market’s belief in what margins could potentially be. Nvidia, a maker of chips for the artificial intelligence market, including self-driving cars, is highly valued for sales that may or may not materialize for a few years, and is generally not the kind of stock the Fund tends to own. Not owning The Boeing Company, a cyclical business with an inflated valuation, in our view, also significantly detracted. Although the Fund did hold Apple, Inc., the stock was the largest individual detractor from performance during the period because the Fund held less than the Index. The Fund gradually reduced its position in the stock in anticipation of Apple’s increasing dependency on new iterations of its iPhone for growth. Thermo-Fisher Scientific, Inc., which the Fund held throughout the period, was the largest individual contributor to positive returns. A leader in life sciences, the company is particularly attractive because of its steady growth, underpinned by broad use of its products in pharmaceuticals and biotech, as well as in environmental and industrial applications. In our view, Thermo-Fisher Scientific’s performance is not reliant on which particular research yields marketable results, or the outcome of health legislation debates. Mastercard, Inc. and Visa, Inc. were also strong contributors as transitions from cash to credit in both developed and emerging countries continue, and promise to continue, for some time. Both are high-margin businesses with low balance-sheet risk. The Fund also benefited from its ownership of Whole Foods Market, Inc., a position that was exited after Amazon announced its acquisition of the organic-foods chain. Amazon’s decision to buy Whole Foods was validation of our belief in the value of the stock. | |
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.
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (Unaudited) 3
CALVERT BALANCED FUND
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Managers Vishal Khanduja, CFA, Brian S. Ellis, CFA, Christopher Madden, CFA, Jade Huang and Charles B. Gaffney, each of Calvert Research and Management | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years | |||||||||
Class A at NAV | 10/21/1982 | 10/21/1982 | 8.51 | % | 7.60 | % | 4.78 | % | ||||||
Class A with 4.75% Maximum Sales Charge | — | — | 3.34 | 6.55 | 4.28 | |||||||||
Class C at NAV | 03/01/1994 | 10/21/1982 | 7.66 | 6.75 | 3.91 | |||||||||
Class C with 1% Maximum Sales Charge | — | — | 6.66 | 6.75 | 3.91 | |||||||||
Class I at NAV | 12/27/2004 | 10/21/1982 | 8.94 | 8.07 | 5.29 | |||||||||
Class Y at NAV | 04/30/2013 | 10/21/1982 | 8.84 | 7.80 | 4.88 | |||||||||
Russell 1000® Index | — | — | 18.54 | % | 14.26 | % | 7.54 | % | ||||||
Balanced Composite Benchmark | — | — | 10.86 | 9.37 | 6.55 | |||||||||
% Total Annual Operating Expense Ratios4 | Class A | Class C | Class I | Class Y | ||||||||||
Gross | 0.94 | % | 1.76 | % | 0.72 | % | 0.80 | % | ||||||
Net | 0.94 | 1.69 | 0.63 | 0.74 | ||||||||||
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 Investment3 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class C | $10,000 | 9/30/2007 | $14,682 | N.A. | ||||
Class I | $250,000 | 9/30/2007 | $418,757 | N.A. | ||||
Class Y | $10,000 | 9/30/2007 | $16,112 | 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. 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.
4 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (Unaudited)
CALVERT BALANCED FUND
FUND PROFILE
ASSET ALLOCATION (% of total investments)6 | TEN LARGEST STOCK HOLDINGS (% of net assets) | ||||||
Equity | 60.4 | % | Facebook, Inc., Class A | 2.0 | % | ||
Fixed-Income | 38.7 | % | Apple, Inc. | 2.0 | % | ||
Time Deposit | 0.8 | % | Alphabet, Inc., Class C | 1.7 | % | ||
Other | 0.1 | % | Walt Disney Co. (The) | 1.5 | % | ||
Total | 100.0 | % | Verizon Communications, Inc. | 1.4 | % | ||
Bank of America Corp. | 1.3 | % | |||||
Chubb Ltd. | 1.3 | % | |||||
US Bancorp | 1.3 | % | |||||
CAE, Inc. | 1.3 | % | |||||
Johnson & Johnson | 1.3 | % | |||||
Total | 15.1 | % | |||||
See Endnotes and Additional Disclosures in this report.
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (Unaudited) 5
CALVERT BOND FUND
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Managers Vishal Khanduja, CFA and Brian S. Ellis, CFA, each of Calvert Research and Management | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years | |||||||||
Class A at NAV | 08/24/1987 | 08/24/1987 | 1.21 | % | 2.24 | % | 3.75 | % | ||||||
Class A with 3.75% Maximum Sales Charge | — | — | -2.60 | 1.46 | 3.36 | |||||||||
Class C at NAV | 06/01/1998 | 08/24/1987 | 0.27 | 1.37 | 2.91 | |||||||||
Class C with 1% Maximum Sales Charge | — | — | -0.72 | 1.37 | 2.91 | |||||||||
Class I at NAV | 03/31/2000 | 08/24/1987 | 1.54 | 2.74 | 4.32 | |||||||||
Class Y at NAV | 10/31/2008 | 08/24/1987 | 1.44 | 2.51 | 4.00 | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | — | — | 0.07 | % | 2.06 | % | 4.27 | % | ||||||
% Total Annual Operating Expense Ratios4 | Class A | Class C | Class I | Class Y | ||||||||||
Gross | 0.88 | % | 1.75 | % | 0.55 | % | 0.62 | % | ||||||
Net | 0.88 | 1.63 | 0.53 | 0.62 | ||||||||||
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 Investment3 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class C | $10,000 | 9/30/2007 | $13,324 | N.A. | ||||
Class I | $250,000 | 9/30/2007 | $381,847 | N.A. | ||||
Class Y | $10,000 | 9/30/2007 | $14,810 | 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. 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.
6 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (Unaudited)
CALVERT BOND FUND
FUND PROFILE
PORTFOLIO COMPOSITION (% of total investments)6 | |||||
Corporate Bonds | 46.6 | % | |||
U.S. Treasury Obligations | 20.7 | % | |||
Asset-Backed Securities | 18.7 | % | |||
Collateralized Mortgage-Backed Obligations | 4.0 | % | |||
Commercial Mortgage-Backed Securities | 3.1 | % | |||
Taxable Municipal Obligations | 2.9 | % | |||
Time Deposit | 1.6 | % | |||
U.S. Government Agency Mortgage-Backed Securities | 1.0 | % | |||
High Social Impact Investments | 0.6 | % | |||
Sovereign Government Bonds | 0.4 | % | |||
U.S. Government Agencies and Instrumentalities | 0.3 | % | |||
Convertible Bonds | 0.1 | % | |||
Floating Rate Loans | 0.0% | * | |||
Total | 100.0 | % | |||
* Amount is less than 0.05%.
See Endnotes and Additional Disclosures in this report.
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (Unaudited) 7
CALVERT EQUITY FUND
PERFORMANCE
Performance2,3 | |||||||||||||||
Portfolio Managers Joseph B. Hudepohl, CFA, Lance V. Garrison, CFA, Jeffrey A. Miller, CFA and Robert R. Walton, Jr., CFA, each of Atlanta Capital Management Company, LLC | |||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years | ||||||||||
Class A at NAV | 08/24/1987 | 08/24/1987 | 16.39 | % | 12.56 | % | 7.46 | % | |||||||
Class A with 4.75% Maximum Sales Charge | — | — | 10.87 | 11.47 | 6.94 | ||||||||||
Class C at NAV | 03/01/1994 | 08/24/1987 | 15.48 | 11.73 | 6.65 | ||||||||||
Class C with 1% Maximum Sales Charge | — | — | 14.50 | 11.73 | 6.65 | ||||||||||
Class I at NAV | 11/01/1999 | 08/24/1987 | 16.85 | 13.09 | 8.01 | ||||||||||
Class Y at NAV | 10/31/2008 | 08/24/1987 | 16.75 | 12.93 | 7.78 | ||||||||||
Russell 1000® Growth Index | — | — | 21.94 | % | 15.25 | % | 9.08 | % | |||||||
S&P 500 Index | — | — | 18.61 | 14.22 | 7.43 | ||||||||||
% Total Annual Operating Expense Ratios4 | Class A | Class C | Class I | Class Y | |||||||||||
Gross | 1.11 | % | 1.88 | % | 0.74 | % | 0.78 | % | |||||||
Net | 1.09 | 1.84 | 0.72 | 0.78 | |||||||||||
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 Investment3 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class C | $10,000 | 9/30/2007 | $19,055 | N.A. | ||||
Class I | $250,000 | 9/30/2007 | $540,466 | N.A. | ||||
Class Y | $10,000 | 9/30/2007 | $21,171 | 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. 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.
8 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (Unaudited)
CALVERT EQUITY FUND
FUND PROFILE
SECTOR ALLOCATION (% of total investments) | TEN LARGEST STOCK HOLDINGS (% of net assets) | ||||||
Information Technology | 29.5 | % | Thermo Fisher Scientific, Inc. | 4.9 | % | ||
Health Care | 20.8 | % | Danaher Corp. | 4.8 | % | ||
Consumer Discretionary | 14.5 | % | Visa, Inc., Class A | 4.7 | % | ||
Industrials | 10.8 | % | Alphabet, Inc., Class C | 4.7 | % | ||
Consumer Staples | 7.7 | % | Microsoft Corp. | 4.0 | % | ||
Materials | 6.1 | % | MasterCard, Inc., Class A | 4.0 | % | ||
Financials | 5.1 | % | Dollar General Corp. | 3.3 | % | ||
Time Deposit | 3.9 | % | Ecolab, Inc. | 3.2 | % | ||
Venture Capital Limited Partnership Interest | 0.7 | % | Zoetis, Inc. | 3.1 | % | ||
High Social Impact Investments | 0.6 | % | Accenture plc, Class A | 2.9 | % | ||
Venture Capital | 0.3 | % | Total | 39.6 | % | ||
Total | 100.0 | % | |||||
See Endnotes and Additional Disclosures in this report.
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (Unaudited) 9
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 at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance 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 Dow Jones Industrial Average is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. MSCI World Index is an unmanaged index of equity securities in the developed markets. Russell 1000® Index is an unmanaged index of 1,000 U.S. large-cap stocks. The Balanced Composite Benchmark is an internally constructed benchmark which is comprised of a blend of 60% Russell 1000® Index and 40% Bloomberg Barclays U.S. Aggregate Bond Index, and is rebalanced monthly. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. Russell 1000® Growth Index is an unmanaged index of U.S. large-cap growth stocks. S&P 500 Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 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 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 Y is linked to Class A. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. Performance presented in the Financial Highlights included in the financial statements is not linked. | Effective November 6, 2017, Class I shares have an initial investment minimum of $250,000. 4 Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. 5 Ratings are based on Moody’s, S&P or Fitch, as applicable. If securities are rated differently by the ratings agencies, the higher 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 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 or Fitch (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. 6 Does not include Short Term Investment of Cash Collateral for Securities Loaned. 7 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. 8 Risk asset is a term broadly used to describe any asset that is not a high-quality government bond. A risk market refers to markets in these assets. Fund profile subject to change due to active management. Important Notice Effective November 6, 2017, the name of Calvert Balanced Fund was changed from Calvert Balanced Portfolio, Calvert Bond Fund was changed from Calvert Bond Portfolio, and Calvert Equity Fund was changed from Calvert Equity Portfolio. | |
10 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (Unaudited)
UNDERSTANDING YOUR FUND'S EXPENSES
Example
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); 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, 2017 to September 30, 2017).
Actual Expenses
The first section of the tables 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 tables 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 tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the tables 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.
CALVERT BALANCED FUND | BEGINNING ACCOUNT VALUE (4/1/17) | ENDING ACCOUNT VALUE (9/30/17) | EXPENSES PAID DURING PERIOD* (4/1/17 - 9/30/17) | ANNUALIZED EXPENSE RATIO |
Actual | ||||
Class A | $1,000.00 | $1,039.10 | $5.01** | 0.98% |
Class C | $1,000.00 | $1,035.20 | $9.18** | 1.80% |
Class I | $1,000.00 | $1,041.30 | $3.17** | 0.62% |
Class Y | $1,000.00 | $1,040.80 | $3.73** | 0.73% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.16 | $4.96** | 0.98% |
Class C | $1,000.00 | $1,016.04 | $9.10** | 1.80% |
Class I | $1,000.00 | $1,021.96 | $3.14** | 0.62% |
Class Y | $1,000.00 | $1,021.41 | $3.70** | 0.73% |
* 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, 2017. | ||||
** Absent a waiver and/or reimbursement of expenses by affiliates, expenses would be higher. | ||||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (Unaudited) 11
CALVERT BOND FUND | BEGINNING ACCOUNT VALUE (4/1/17) | ENDING ACCOUNT VALUE (9/30/17) | EXPENSES PAID DURING PERIOD* (4/1/17 - 9/30/17) | ANNUALIZED EXPENSE RATIO |
Actual | ||||
Class A | $1,000.00 | $1,025.40 | $4.62** | 0.91% |
Class C | $1,000.00 | $1,020.50 | $9.02** | 1.78% |
Class I | $1,000.00 | $1,026.80 | $2.64** | 0.52% |
Class Y | $1,000.00 | $1,026.90 | $3.05** | 0.60% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.51 | $4.61** | 0.91% |
Class C | $1,000.00 | $1,016.14 | $9.00** | 1.78% |
Class I | $1,000.00 | $1,022.46 | $2.64** | 0.52% |
Class Y | $1,000.00 | $1,022.06 | $3.04** | 0.60% |
* 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, 2017. | ||||
** Absent a waiver and/or reimbursement of expenses by affiliates, expenses would be higher. | ||||
CALVERT EQUITY FUND | BEGINNING ACCOUNT VALUE (4/1/17) | ENDING ACCOUNT VALUE (9/30/17) | EXPENSES PAID DURING PERIOD* (4/1/17 - 9/30/17) | ANNUALIZED EXPENSE RATIO |
Actual | ||||
Class A | $1,000.00 | $1,100.10 | $5.53** | 1.05% |
Class C | $1,000.00 | $1,095.50 | $9.51** | 1.81% |
Class I | $1,000.00 | $1,102.10 | $3.48** | 0.66% |
Class Y | $1,000.00 | $1,101.60 | $3.85** | 0.73% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.80 | $5.32** | 1.05% |
Class C | $1,000.00 | $1,015.99 | $9.15** | 1.81% |
Class I | $1,000.00 | $1,021.76 | $3.35** | 0.66% |
Class Y | $1,000.00 | $1,021.41 | $3.70** | 0.73% |
* 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 $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2017. | ||||
** Absent a waiver and/or reimbursement of expenses by affiliates, expenses would be higher. | ||||
12 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (Unaudited)
CALVERT BALANCED FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
SHARES | VALUE ($) | |
COMMON STOCKS - 60.1% | ||
Aerospace & Defense - 1.3% | ||
CAE, Inc. | 500,200 | 8,751,245 |
Air Freight & Logistics - 0.6% | ||
C.H. Robinson Worldwide, Inc. | 57,850 | 4,402,385 |
Auto Components - 0.7% | ||
Delphi Automotive plc | 51,467 | 5,064,353 |
Banks - 3.8% | ||
Bank of America Corp. | 358,700 | 9,089,458 |
Citigroup, Inc. | 48,125 | 3,500,612 |
KeyCorp | 248,600 | 4,678,652 |
US Bancorp | 165,601 | 8,874,558 |
26,143,280 | ||
Beverages - 1.1% | ||
PepsiCo, Inc. | 68,696 | 7,654,795 |
Biotechnology - 2.8% | ||
Biogen, Inc. * | 12,852 | 4,024,218 |
Celgene Corp. * | 29,025 | 4,232,426 |
Gilead Sciences, Inc. | 105,289 | 8,530,515 |
Incyte Corp. * | 9,756 | 1,138,915 |
Vertex Pharmaceuticals, Inc. * | 10,700 | 1,626,828 |
19,552,902 | ||
Capital Markets - 0.7% | ||
CBOE Holdings, Inc. | 44,800 | 4,821,824 |
Commercial Services & Supplies - 0.6% | ||
Deluxe Corp. | 59,532 | 4,343,455 |
Communications Equipment - 0.5% | ||
Cisco Systems, Inc. | 95,400 | 3,208,302 |
Consumer Finance - 1.1% | ||
Ally Financial, Inc. | 188,900 | 4,582,714 |
OneMain Holdings, Inc. * | 111,200 | 3,134,728 |
7,717,442 | ||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 13
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Containers & Packaging - 1.2% | |||
Crown Holdings, Inc. * | 73,600 | 4,395,392 | |
Sealed Air Corp. | 95,000 | 4,058,400 | |
8,453,792 | |||
Diversified Consumer Services - 1.2% | |||
Bright Horizons Family Solutions, Inc. * | 46,927 | 4,045,577 | |
ServiceMaster Global Holdings, Inc. * | 94,942 | 4,436,639 | |
8,482,216 | |||
Diversified Telecommunication Services - 1.4% | |||
Verizon Communications, Inc. | 194,107 | 9,606,355 | |
Electrical Equipment - 0.7% | |||
AMETEK, Inc. | 77,600 | 5,124,704 | |
Electronic Equipment, Instruments & Components - 0.6% | |||
Avnet, Inc. | 107,372 | 4,219,720 | |
Energy Equipment & Services - 2.9% | |||
Core Laboratories NV | 32,000 | 3,158,400 | |
National Oilwell Varco, Inc. | 149,802 | 5,352,425 | |
Oceaneering International, Inc. | 121,576 | 3,193,802 | |
TechnipFMC plc * | 183,110 | 5,112,431 | |
US Silica Holdings, Inc. | 100,638 | 3,126,823 | |
19,943,881 | |||
Equity Real Estate Investment Trusts (REITs) - 2.2% | |||
CubeSmart | 160,132 | 4,157,027 | |
Equity Residential | 98,889 | 6,519,752 | |
Extra Space Storage, Inc. | 54,100 | 4,323,672 | |
15,000,451 | |||
Food & Staples Retailing - 1.4% | |||
Performance Food Group Co. * | 232,952 | 6,580,894 | |
US Foods Holding Corp. * | 113,900 | 3,041,130 | |
9,622,024 | |||
Food Products - 1.8% | |||
Mondelez International, Inc., Class A | 157,470 | 6,402,730 | |
Pinnacle Foods, Inc. | 100,343 | 5,736,610 | |
12,139,340 | |||
Health Care Equipment & Supplies - 1.2% | |||
Boston Scientific Corp. * | 134,100 | 3,911,697 | |
Danaher Corp. | 47,600 | 4,083,128 | |
7,994,825 | |||
14 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Health Care Providers & Services - 0.9% | |||
Humana, Inc. | 25,900 | 6,310,017 | |
Household Durables - 0.7% | |||
Newell Brands, Inc. | 105,531 | 4,503,008 | |
Household Products - 0.7% | |||
Colgate-Palmolive Co. | 65,000 | 4,735,250 | |
Independent Power and Renewable Electricity Producers - 0.6% | |||
NextEra Energy Partners LP | 100,900 | 4,065,261 | |
Industrial Conglomerates - 1.2% | |||
3M Co. | 21,600 | 4,533,840 | |
General Electric Co. | 151,728 | 3,668,783 | |
8,202,623 | |||
Insurance - 3.1% | |||
American Financial Group, Inc. | 41,196 | 4,261,726 | |
Chubb Ltd. | 62,580 | 8,920,779 | |
First American Financial Corp. | 159,843 | 7,987,355 | |
21,169,860 | |||
Internet & Direct Marketing Retail - 0.8% | |||
Amazon.com, Inc. * | 6,029 | 5,795,979 | |
Internet Software & Services - 4.1% | |||
Alphabet, Inc., Class C * | 12,412 | 11,904,473 | |
Facebook, Inc., Class A * | 82,062 | 14,021,934 | |
GoDaddy, Inc., Class A * | 53,100 | 2,310,381 | |
28,236,788 | |||
IT Services - 2.4% | |||
Amdocs Ltd. | 112,267 | 7,221,013 | |
Cognizant Technology Solutions Corp., Class A | 68,900 | 4,998,006 | |
Genpact Ltd. | 147,000 | 4,226,250 | |
16,445,269 | |||
Life Sciences Tools & Services - 0.3% | |||
Thermo Fisher Scientific, Inc. | 10,797 | 2,042,792 | |
Media - 2.0% | |||
Interpublic Group of Cos., Inc. (The) | 192,200 | 3,995,838 | |
Walt Disney Co. (The) | 100,504 | 9,906,679 | |
13,902,517 | |||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 15
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Metals & Mining - 0.6% | |||
Reliance Steel & Aluminum Co. | 57,750 | 4,398,818 | |
Multi-Utilities - 1.3% | |||
CMS Energy Corp. | 103,373 | 4,788,237 | |
Sempra Energy | 35,915 | 4,098,979 | |
8,887,216 | |||
Pharmaceuticals - 3.6% | |||
Allergan plc | 17,300 | 3,545,635 | |
Jazz Pharmaceuticals plc * | 28,300 | 4,138,875 | |
Johnson & Johnson | 67,226 | 8,740,052 | |
Pfizer, Inc. | 229,084 | 8,178,299 | |
24,602,861 | |||
Professional Services - 0.7% | |||
Dun & Bradstreet Corp. (The) | 39,500 | 4,598,195 | |
Road & Rail - 0.7% | |||
Kansas City Southern | 46,100 | 5,010,148 | |
Semiconductors & Semiconductor Equipment - 2.2% | |||
Broadcom Ltd. | 11,517 | 2,793,333 | |
Intel Corp. | 114,918 | 4,376,078 | |
QUALCOMM, Inc. | 64,600 | 3,348,864 | |
Taiwan Semiconductor Manufacturing Co. Ltd. (ADR) | 54,800 | 2,057,740 | |
Texas Instruments, Inc. | 29,196 | 2,617,129 | |
15,193,144 | |||
Software - 1.6% | |||
Adobe Systems, Inc. * | 26,724 | 3,986,686 | |
Intuit, Inc. | 20,267 | 2,880,752 | |
Microsoft Corp. | 58,651 | 4,368,913 | |
11,236,351 | |||
Specialty Retail - 0.9% | |||
Home Depot, Inc. (The) | 39,100 | 6,395,196 | |
Technology Hardware, Storage & Peripherals - 2.7% | |||
Apple, Inc. | 90,352 | 13,925,050 | |
HP, Inc. | 227,500 | 4,540,900 | |
18,465,950 | |||
Textiles, Apparel & Luxury Goods - 1.0% | |||
lululemon athletica, Inc. * | 68,100 | 4,239,225 | |
NIKE, Inc., Class B | 44,300 | 2,296,955 | |
6,536,180 | |||
16 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Venture Capital - 0.2% | |||
CFBanc Corp. *(a)(b) | 27,000 | 318,611 | |
Consensus Orthopedics, Inc. *(a)(b) | 180,877 | 153 | |
Kickboard *(a)(b) | 169,932 | 3,467 | |
Learn Capital Venture Partners III LP *(a)(b) | 657,000 | 761,360 | |
MACH Energy *(a)(b) | 20,536 | 1,891 | |
Neighborhood Bancorp, Class A *(a)(b) | 10,000 | — | |
1,085,482 | |||
Total Common Stocks (Cost $385,565,958) | 414,066,196 | ||
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
CORPORATE BONDS - 18.7% | |||
Basic Materials - 0.2% | |||
Reliance Steel & Aluminum Co., 4.50%, 4/15/23 | 500,000 | 530,990 | |
Sherwin-Williams Co. (The), 2.25%, 5/15/20 | 1,200,000 | 1,205,303 | |
1,736,293 | |||
Communications - 1.7% | |||
AT&T, Inc.: | |||
2.202%, (3 mo. USD LIBOR + 0.89%), 2/14/23 (c) | 300,000 | 299,558 | |
3.40%, 8/14/24 | 333,000 | 333,880 | |
3.80%, 3/15/22 | 760,000 | 792,259 | |
3.80%, 3/1/24 | 525,000 | 540,599 | |
3.90%, 8/14/27 | 1,408,000 | 1,412,457 | |
4.125%, 2/17/26 | 1,300,000 | 1,337,928 | |
4.25%, 3/1/27 | 70,000 | 72,051 | |
4.75%, 5/15/46 | 645,000 | 623,398 | |
CBS Corp., 2.90%, 1/15/27 | 585,000 | 554,014 | |
Comcast Corp., 3.20%, 7/15/36 | 990,000 | 930,691 | |
Crown Castle Towers LLC, 3.663%, 5/15/25 (d) | 450,000 | 462,375 | |
NBCUniversal Media LLC, 4.45%, 1/15/43 | 405,000 | 435,602 | |
Telefonica Emisiones SAU, 3.192%, 4/27/18 | 600,000 | 604,941 | |
Time Warner, Inc., 4.90%, 6/15/42 | 500,000 | 510,039 | |
Verizon Communications, Inc.: | |||
1.75%, 8/15/21 | 540,000 | 528,935 | |
2.45%, 11/1/22 | 585,000 | 581,041 | |
3.50%, 11/1/24 | 1,000,000 | 1,019,406 | |
4.862%, 8/21/46 | 555,000 | 567,000 | |
11,606,174 | |||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 17
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
Consumer, Cyclical - 2.7% | ||
American Airlines Pass-Through Trust: | ||
4.40%, 3/22/25 | 753,464 | 781,870 |
Series B, 5.25%, 7/15/25 | 595,533 | 635,856 |
Series B, 5.60%, 1/15/22 (d) | 622,551 | 653,679 |
Series B, 7.00%, 7/31/19 (d) | 700,855 | 712,244 |
Carrols Restaurant Group, Inc., 8.00%, 5/1/22 | 200,000 | 213,500 |
Coach, Inc., 3.00%, 7/15/22 | 1,023,000 | 1,022,624 |
CVS Health Corp., 5.125%, 7/20/45 | 550,000 | 634,627 |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 867,450 | 981,497 |
Delta Air Lines Pass-Through Trust, Series 1A, 6.20%, 1/2/20 | 195,981 | 202,351 |
Ferrellgas Partners LP / Ferrellgas Partners Finance Corp., 8.625%, 6/15/20 | 50,000 | 47,750 |
Ford Motor Credit Co. LLC: | ||
2.10%, (3 mo. USD LIBOR + 0.79%), 6/12/20 (c) | 220,000 | 220,343 |
2.243%, (3 mo. USD LIBOR + 0.93%), 11/4/19 (c) | 600,000 | 604,343 |
2.262%, 3/28/19 | 519,000 | 520,951 |
2.875%, 10/1/18 | 2,083,000 | 2,104,414 |
2.979%, 8/3/22 | 2,350,000 | 2,350,813 |
Home Depot, Inc. (The), 4.20%, 4/1/43 | 600,000 | 642,207 |
Latam Airlines Pass-Through Trust, 4.20%, 8/15/29 | 478,984 | 489,761 |
New Albertsons, Inc., 7.75%, 6/15/26 | 50,000 | 41,250 |
Newell Brands, Inc., 3.85%, 4/1/23 | 500,000 | 526,190 |
Nordstrom, Inc.: | ||
4.00%, 3/15/27 (e) | 503,000 | 499,903 |
5.00%, 1/15/44 | 495,000 | 487,905 |
Norwegian Air Shuttle ASA Pass-Through Trust, 4.875%, 11/10/29 (d) | 561,359 | 570,697 |
Staples, Inc., 3.75%, 1/12/18 | 560,000 | 560,915 |
Starbucks Corp., 2.45%, 6/15/26 | 550,000 | 529,155 |
Virgin Australia Pass-Through Trust: | ||
5.00%, 4/23/25 (d) | 240,767 | 252,492 |
6.00%, 4/23/22 (d) | 420,805 | 432,377 |
7.125%, 10/23/18 (d) | 9,616 | 9,840 |
Walgreens Boots Alliance, Inc., 3.45%, 6/1/26 | 870,000 | 868,355 |
Whirlpool Corp.: | ||
3.70%, 3/1/23 | 500,000 | 519,389 |
3.70%, 5/1/25 | 500,000 | 518,981 |
Wyndham Worldwide Corp.: | ||
4.15%, 4/1/24 | 255,000 | 258,813 |
4.50%, 4/1/27 | 108,000 | 108,541 |
19,003,633 | ||
Consumer, Non-cyclical - 1.2% | ||
Amgen, Inc., 4.663%, 6/15/51 | 895,000 | 985,334 |
Becton Dickinson and Co.: | ||
2.404%, 6/5/20 | 474,000 | 475,886 |
2.894%, 6/6/22 | 474,000 | 475,529 |
18 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
3.363%, 6/6/24 | 740,000 | 747,695 |
3.70%, 6/6/27 | 600,000 | 605,902 |
Ecolab, Inc., 2.375%, 8/10/22 | 1,200,000 | 1,199,675 |
Grupo Bimbo SAB de CV: | ||
3.875%, 6/27/24 (d) | 500,000 | 517,741 |
4.875%, 6/27/44 (d) | 500,000 | 506,492 |
Hertz Corp. (The), 6.75%, 4/15/19 | 100,000 | 99,812 |
Kaiser Foundation Hospitals, 3.15%, 5/1/27 | 874,000 | 880,407 |
Kraft Heinz Foods Co., 5.20%, 7/15/45 | 575,000 | 631,893 |
Life Technologies Corp., 6.00%, 3/1/20 | 500,000 | 543,458 |
Massachusetts Institute of Technology, 3.959%, 7/1/38 | 300,000 | 324,973 |
MEDNAX, Inc., 5.25%, 12/1/23 (d) | 155,000 | 162,750 |
8,157,547 | ||
Financial - 9.2% | ||
Ally Financial, Inc.: | ||
3.25%, 2/13/18 | 1,600,000 | 1,612,680 |
3.25%, 11/5/18 | 1,500,000 | 1,515,000 |
3.60%, 5/21/18 | 1,200,000 | 1,210,740 |
6.25%, 12/1/17 | 1,120,000 | 1,127,840 |
American Tower Corp.: | ||
3.375%, 10/15/26 | 600,000 | 593,982 |
3.45%, 9/15/21 | 600,000 | 621,326 |
ANZ New Zealand International Ltd., 2.20%, 7/17/20 (d) | 542,000 | 542,564 |
Bank of America Corp.: | ||
1.95%, 5/12/18 | 1,375,000 | 1,377,156 |
1.967%, (3 mo. USD LIBOR + 0.66%), 7/21/21 (c) | 300,000 | 300,829 |
2.487%, (3 mo. USD LIBOR + 1.18%), 10/21/22 (c) | 801,000 | 814,687 |
3.593% to 7/21/27, 7/21/28 (f) | 2,870,000 | 2,896,364 |
3.824% to 1/20/27, 1/20/28 (f) | 2,390,000 | 2,456,253 |
3.875%, 8/1/25 | 1,700,000 | 1,781,936 |
Bank of New York Mellon Corp. (The), 3.30%, 8/23/29 | 560,000 | 557,113 |
Capital One Bank, 2.25%, 2/13/19 | 400,000 | 401,246 |
Capital One Financial Corp.: | ||
2.50%, 5/12/20 | 601,000 | 604,065 |
3.75%, 7/28/26 | 790,000 | 783,504 |
4.20%, 10/29/25 | 575,000 | 591,657 |
Capital One NA: | ||
2.35%, 8/17/18 | 650,000 | 652,822 |
2.65%, 8/8/22 | 610,000 | 606,704 |
Citigroup, Inc.: | ||
1.70%, 4/27/18 | 1,700,000 | 1,700,066 |
2.263%, (3 mo. USD LIBOR + 0.95%), 7/24/23 (c) | 300,000 | 300,772 |
2.387%, (3 mo. USD LIBOR + 1.07%), 12/8/21 (c) | 300,000 | 304,358 |
2.65%, 10/26/20 | 885,000 | 894,572 |
2.75%, 4/25/22 | 730,000 | 732,499 |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 19
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
3.668% to 7/24/27, 7/24/28 (f) | 1,200,000 | 1,210,397 |
3.887% to 1/10/27, 1/10/28 (f) | 3,320,000 | 3,410,831 |
Citizens Bank NA: | ||
2.25%, 3/2/20 | 500,000 | 500,873 |
2.55%, 5/13/21 | 400,000 | 401,920 |
Citizens Financial Group, Inc.: | ||
2.375%, 7/28/21 | 355,000 | 352,986 |
5.158% to 6/29/18, 6/29/23 (f) | 1,190,000 | 1,213,932 |
Commonwealth Bank of Australia, 2.50%, 9/18/22 (d) | 550,000 | 549,467 |
Credit Acceptance Corp.: | ||
6.125%, 2/15/21 | 400,000 | 408,000 |
7.375%, 3/15/23 | 480,000 | 510,000 |
Crown Castle International Corp.: | ||
3.20%, 9/1/24 | 240,000 | 239,129 |
3.65%, 9/1/27 | 422,000 | 422,452 |
DDR Corp., 3.625%, 2/1/25 | 600,000 | 584,032 |
Digital Realty Trust LP, 4.75%, 10/1/25 | 525,000 | 569,657 |
Discover Financial Services: | ||
3.85%, 11/21/22 | 750,000 | 771,048 |
3.95%, 11/6/24 | 300,000 | 307,460 |
Goldman Sachs Group, Inc. (The): | ||
2.06%, (3 mo. USD LIBOR + 0.73%), 12/27/20 (c) | 650,000 | 652,815 |
2.313%, (3 mo. USD LIBOR + 1.00%), 7/24/23 (c) | 220,000 | 220,903 |
2.905% to 7/24/22, 7/24/23 (f) | 975,000 | 976,495 |
2.908% to 6/5/22, 6/5/23 (f) | 2,020,000 | 2,019,988 |
3.691% to 6/5/27, 6/5/28 (f) | 70,000 | 70,670 |
ING Bank NV, 2.00%, 11/26/18 (d) | 900,000 | 900,582 |
International Finance Corp., 1.75%, 3/30/20 | 680,000 | 680,840 |
iStar, Inc.: | ||
4.00%, 11/1/17 | 760,000 | 760,684 |
4.875%, 7/1/18 | 1,750,000 | 1,772,487 |
MetLife, Inc., 1.756%, 12/15/17 | 1,500,000 | 1,501,032 |
Morgan Stanley: | ||
2.109%, (3 mo. USD LIBOR + 0.80%), 2/14/20 (c) | 300,000 | 301,475 |
2.243%, (3 mo. USD LIBOR + 0.93%), 7/22/22 (c) | 220,000 | 220,954 |
2.713%, (3 mo. USD LIBOR + 1.40%), 10/24/23 (c) | 550,000 | 562,773 |
2.80%, 6/16/20 | 2,200,000 | 2,237,751 |
3.591% to 7/22/27, 7/22/28 (f) | 2,400,000 | 2,406,181 |
4.00%, 7/23/25 | 725,000 | 764,836 |
4.875%, 11/1/22 | 690,000 | 748,418 |
OneMain Financial Holdings LLC, 6.75%, 12/15/19 (d) | 150,000 | 156,000 |
PNC Bank NA, 2.70%, 11/1/22 | 1,000,000 | 1,007,760 |
Prudential Financial, Inc., 8.875% to 6/15/18, 6/15/38 (f) | 650,000 | 682,500 |
Regions Financial Corp., 2.75%, 8/14/22 | 318,000 | 317,715 |
SBA Communications Corp., 4.00%, 10/1/22 (d)(g) | 102,000 | 102,510 |
Synchrony Bank, 3.00%, 6/15/22 | 340,000 | 339,429 |
20 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
Synchrony Financial: | ||
2.541%, (3 mo. USD LIBOR + 1.23%), 2/3/20 (c) | 190,000 | 191,962 |
2.711%, (3 mo. USD LIBOR + 1.40%), 11/9/17 (c) | 2,415,000 | 2,417,547 |
3.00%, 8/15/19 | 1,133,000 | 1,151,894 |
Toronto-Dominion Bank (The): | ||
1.75%, 7/23/18 | 900,000 | 900,750 |
1.85%, 9/11/20 | 2,000,000 | 1,992,186 |
VFH Parent LLC / Orchestra Co-Issuer, Inc., 6.75%, 6/15/22 (d) | 65,000 | 67,844 |
Vornado Realty LP, 2.50%, 6/30/19 | 700,000 | 704,390 |
63,264,290 | ||
Government - 0.1% | ||
International Bank for Reconstruction & Development, 1.005%, 10/1/18 | 600,000 | 597,499 |
Industrial - 0.9% | ||
Carlisle Cos., Inc., 3.75%, 11/15/22 | 895,000 | 914,945 |
Johnson Controls International plc, 4.625%, 7/2/44 | 450,000 | 483,940 |
Masco Corp.: | ||
3.50%, 11/15/27 | 425,000 | 421,403 |
4.45%, 4/1/25 | 200,000 | 214,480 |
6.50%, 8/15/32 | 93,000 | 111,119 |
Penske Truck Leasing Co. LP / PTL Finance Corp., 3.375%, 2/1/22 (d) | 765,000 | 786,034 |
SBA Tower Trust: | ||
2.24%, 4/9/43 (d) | 500,000 | 499,901 |
2.877%, 7/10/46 (d) | 600,000 | 608,670 |
3.722%, 4/9/48 (d) | 1,100,000 | 1,126,972 |
SMBC Aviation Capital Finance DAC: | ||
2.65%, 7/15/21 (d) | 540,000 | 535,363 |
3.00%, 7/15/22 (d) | 467,000 | 466,632 |
6,169,459 | ||
Technology - 2.4% | ||
Apple, Inc.: | ||
3.00%, 6/20/27 | 835,000 | 836,642 |
3.25%, 2/23/26 | 375,000 | 385,463 |
Broadridge Financial Solutions, Inc., 3.95%, 9/1/20 | 425,000 | 445,154 |
CA, Inc., 3.60%, 8/15/22 | 1,000,000 | 1,024,142 |
Dell International LLC / EMC Corp.: | ||
3.48%, 6/1/19 (d) | 2,640,000 | 2,691,587 |
4.42%, 6/15/21 (d) | 550,000 | 577,875 |
6.02%, 6/15/26 (d) | 1,195,000 | 1,328,854 |
Dun & Bradstreet Corp. (The), 3.50%, 12/1/17 | 600,000 | 601,211 |
DXC Technology Co.: | ||
2.266%, (3 mo. USD LIBOR + 0.95%), 3/1/21 (c) | 600,000 | 602,353 |
2.875%, 3/27/20 | 278,000 | 281,829 |
EMC Corp., 1.875%, 6/1/18 | 1,356,000 | 1,350,782 |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 21
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
Hewlett Packard Enterprise Co.: | ||
2.45%, 10/5/17 | 872,000 | 872,042 |
2.85%, 10/5/18 | 1,727,000 | 1,744,642 |
Microsoft Corp.: | ||
2.40%, 8/8/26 | 575,000 | 557,826 |
4.45%, 11/3/45 | 505,000 | 569,805 |
NXP BV / NXP Funding LLC: | ||
4.125%, 6/1/21 (d) | 300,000 | 314,625 |
4.625%, 6/15/22 (d) | 290,000 | 311,025 |
QUALCOMM, Inc., 2.90%, 5/20/24 | 1,200,000 | 1,205,328 |
Seagate HDD Cayman: | ||
4.875%, 3/1/24 (d) | 480,000 | 473,539 |
4.875%, 6/1/27 | 440,000 | 415,499 |
16,590,223 | ||
Utilities - 0.3% | ||
American Water Capital Corp., 2.95%, 9/1/27 | 750,000 | 747,852 |
Consolidated Edison Co. of New York, Inc., 4.45%, 6/15/20 | 300,000 | 318,660 |
NextEra Energy Operating Partners LP, 4.25%, 9/15/24 (d) | 750,000 | 767,812 |
1,834,324 | ||
Total Corporate Bonds (Cost $127,418,484) | 128,959,442 | |
ASSET-BACKED SECURITIES - 8.2% | ||
American Homes 4 Rent, Series 2014-SFR2, Class A, 3.786%, 10/17/36 (d) | 1,235,594 | 1,293,727 |
Avis Budget Rental Car Funding AESOP LLC: | ||
Series 2012-3A, Class A, 2.10%, 3/20/19 (d) | 670,000 | 670,704 |
Series 2013-2A, Class A, 2.97%, 2/20/20 (d) | 2,084,000 | 2,103,900 |
Citi Held For Asset Issuance: | ||
Series 2015-PM1, Class C, 5.01%, 12/15/21 (d) | 580,000 | 584,384 |
Series 2015-PM2, Class B, 4.00%, 3/15/22 (d) | 1,144,995 | 1,152,073 |
Series 2015-PM3, Class B, 4.31%, 5/16/22 (d) | 545,610 | 549,602 |
Series 2016-MF1, Class A, 4.48%, 8/15/22 (d) | 114,660 | 115,768 |
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2, 4.474%, 3/20/43 (d) | 2,035,020 | 2,051,725 |
Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47 (d) | 134,663 | 140,141 |
Colony American Homes, Series 2014-1A, Class B, 2.584%, (1 mo. USD LIBOR + 1.35%), 5/17/31 (c)(d) | 350,000 | 350,684 |
Colony Starwood Homes Trust: | ||
Series 2016-1A, Class C, 3.888%, (1 mo. USD LIBOR + 2.65%), 7/17/33 (c)(d) | 350,000 | 361,489 |
Series 2016-1A, Class D, 4.338%, (1 mo. USD LIBOR + 3.10%), 7/17/33 (c)(d) | 320,000 | 328,823 |
Conn Funding II LP: | ||
Series 2016-B, Class A, 3.73%, 10/15/18 (d) | 142,193 | 142,303 |
Series 2016-B, Class B, 7.34%, 3/15/19 (d) | 450,000 | 458,576 |
Series 2017-A, Class A, 2.73%, 7/15/19 (d) | 332,879 | 333,089 |
Consumer Credit Origination Loan Trust, Series 2015-1, Class B, 5.21%, 3/15/21 (d) | 292,418 | 292,910 |
22 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
ASSET-BACKED SECURITIES - CONT’D | |||
Consumer Loan Underlying Bond Credit Trust: | |||
Series 2017-NP1, Class A, 2.39%, 4/17/23 (d) | 237,838 | 238,001 | |
Series 2017-P1, Class A, 2.42%, 9/15/23 (d) | 700,000 | 699,508 | |
Credit Acceptance Auto Loan Trust, Series 2017-2A, Class A, 2.55%, 2/17/26 (d) | 625,000 | 624,690 | |
DB Master Finance LLC: | |||
Series 2015-1A, Class A2I, 3.262%, 2/20/45 (d) | 3,412,500 | 3,425,346 | |
Series 2015-1A, Class A2II, 3.98%, 2/20/45 (d) | 419,250 | 429,557 | |
Series 2017-1A, Class A2I, 3.629%, 11/20/47 (d)(g) | 327,000 | 328,846 | |
Series 2017-1A, Class A2II, 4.03%, 11/20/47 (d)(g) | 170,000 | 171,423 | |
Dell Equipment Finance Trust, Series 2017-1, Class A3, 2.14%, 4/22/22 (d) | 500,000 | 501,441 | |
DRB Prime Student Loan Trust, Series 2016-B, Class A2, 2.89%, 6/25/40 (d) | 529,203 | 532,272 | |
Driven Brands Funding LLC: | |||
Series 2015-1A, Class A2, 5.216%, 7/20/45 (d) | 982,500 | 993,404 | |
Series 2016-1A, Class A2, 6.125%, 7/20/46 (d) | 297,000 | 304,825 | |
Element Rail Leasing I LLC: | |||
Series 2014-1A, Class A1, 2.299%, 4/19/44 (d) | 150,152 | 148,884 | |
Series 2014-1A, Class A2, 3.668%, 4/19/44 (d) | 600,000 | 602,434 | |
Series 2014-1A, Class B1, 4.406%, 4/19/44 (d) | 700,000 | 679,747 | |
Element Rail Leasing II LLC, Series 2015-1A, Class A2, 3.585%, 2/19/45 (d) | 1,100,000 | 1,103,628 | |
FOCUS Brands Funding LLC: | |||
Series 2017-1A, Class A2I, 3.857%, 4/30/47 (d) | 294,263 | 298,275 | |
Series 2017-1A, Class A2II, 5.093%, 4/30/47 (d) | 359,100 | 376,087 | |
Ford Credit Auto Lease Trust, Series 2015-B, Class A3, 1.38%, 12/15/18 | 648,914 | 648,918 | |
Ford Credit Auto Owner Trust/Ford Credit, Series 2014-1, Class B, 2.41%, 11/15/25 (d) | 400,000 | 400,679 | |
FRS I LLC, Series 2013-1A, Class A2, 3.08%, 4/15/43 (d) | 764,823 | 763,255 | |
GLC Trust, Series 2014-A, Class A, 3.00%, 7/15/21 (d) | 17,808 | 17,837 | |
GMAT Trust, Series 2015-1A, Class A1, 4.25%, 9/25/20 (d)(h) | 284,449 | 284,449 | |
InSite Issuer LLC, Series 2016-1A, Class C, 6.414%, 11/15/46 (d) | 50,000 | 51,577 | |
Invitation Homes Trust: | |||
Series 2015-SFR2, Class C, 3.234%, (1 mo. USD LIBOR + 2.00%), 6/17/32 (c)(d) | 200,000 | 200,908 | |
Series 2015-SFR2, Class E, 4.384%, (1 mo. USD LIBOR + 3.15%), 6/17/32 (c)(d) | 1,800,000 | 1,822,328 | |
Series 2015-SFR3, Class D, 3.984%, (1 mo. USD LIBOR + 2.75%), 8/17/32 (c)(d) | 400,000 | 405,745 | |
Marlette Funding Trust, Series 2017-1A, Class B, 4.114%, 3/15/24 (d) | 200,000 | 203,045 | |
Murray Hill Marketplace Trust, Series 2016-LC1, Class B, 6.15%, 11/25/22 (d) | 600,000 | 611,468 | |
OneMain Financial Issuance Trust: | |||
Series 2014-1A, Class A, 2.43%, 6/18/24 (d) | 836 | 836 | |
Series 2014-1A, Class B, 3.24%, 6/18/24 (d) | 300,000 | 300,207 | |
Series 2014-2A, Class A, 2.47%, 9/18/24 (d) | 66,870 | 67,030 | |
Series 2014-2A, Class B, 3.02%, 9/18/24 (d) | 200,000 | 200,740 | |
Series 2015-2A, Class A, 2.57%, 7/18/25 (d) | 1,607,821 | 1,612,811 | |
Series 2017-1A, Class A1, 2.37%, 9/14/32 (d) | 965,000 | 961,365 | |
Oportun Funding VI LLC, Series 2017-A, Class A, 3.23%, 6/8/23 (d) | 355,000 | 358,219 | |
Progress Residential Trust: | |||
Series 2016-SFR1, Class B, 3.234%, (1 mo. USD LIBOR + 2.00%), 9/17/33 (c)(d) | 524,000 | 530,936 | |
Series 2016-SFR1, Class C, 3.734%, (1 mo. USD LIBOR + 2.50%), 9/17/33 (c)(d) | 325,000 | 331,423 | |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 23
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
ASSET-BACKED SECURITIES - CONT’D | |||
Prosper Marketplace Issuance Trust: | |||
Series 2017-1A, Class A, 2.56%, 6/15/23 (d) | 3,350,602 | 3,364,897 | |
Series 2017-1A, Class B, 3.65%, 6/15/23 (d) | 300,000 | 303,047 | |
Series 2017-2A, Class A, 2.41%, 9/15/23 (d) | 1,020,000 | 1,021,744 | |
RenewFund Receivables Trust, Series 2015-1, Class A, 3.51%, 4/15/25 (d) | 368,753 | 368,952 | |
SBA Tower Trust, Series 2014-2A, Class C, 3.869%, 10/15/49 (d)(h) | 1,000,000 | 1,015,658 | |
Sierra Timeshare Receivables Funding LLC: | |||
Series 2013-3A, Class B, 2.70%, 10/20/30 (d) | 79,078 | 79,153 | |
Series 2014-2A, Class B, 2.40%, 6/20/31 (d) | 913,768 | 912,165 | |
Series 2014-3A, Class B, 2.80%, 10/20/31 (d) | 111,086 | 111,245 | |
Skopos Auto Receivables Trust: | |||
Series 2015-1A, Class A, 3.10%, 12/15/23 (d) | 3,653 | 3,654 | |
Series 2015-1A, Class B, 5.43%, 12/15/23 (d) | 600,000 | 604,647 | |
Series 2015-2A, Class A, 3.55%, 2/15/20 (d) | 76,769 | 76,786 | |
Social Professional Loan Program LLC: | |||
Series 2014-B, Class A1, 2.482%, (1 mo. USD LIBOR + 1.25%), 8/25/32 (c)(d) | 146,899 | 148,734 | |
Series 2014-B, Class A2, 2.55%, 8/27/29 (d) | 368,845 | 370,438 | |
SolarCity LMC: | |||
Series 2013-1, Class A, 4.80%, 11/20/38 (d) | 713,188 | 707,876 | |
Series 2014-1, Class A, 4.59%, 4/20/44 (d) | 576,385 | 572,449 | |
Series 2014-2, Class A, 4.02%, 7/20/44 (d) | 915,434 | 892,267 | |
Series 2014-2, Class B, 5.44%, 7/20/44 (d) | 1,791,755 | 1,698,398 | |
SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, 4/25/29 (d) | 2,210,935 | 2,228,427 | |
Springleaf Funding Trust, Series 2015-AA, Class B, 3.62%, 11/15/24 (d) | 600,000 | 604,503 | |
Spruce ABS Trust, Series 2016-E1, Class A, 4.32%, 6/15/28 (d) | 354,387 | 353,693 | |
Sunrun Callisto Issuer LLC, Series 2015-1A, Class B, 5.38%, 7/20/45 (d) | 556,222 | 537,060 | |
Taco Bell Funding LLC, Series 2016-1A, Class A2I, 3.832%, 5/25/46 (d) | 1,752,300 | 1,790,231 | |
Thunderbolt Aircraft Lease Ltd., Series 2017-A, Class C, 4.50%, 5/17/32 (d) | 261,905 | 242,272 | |
Toyota Auto Receivables Owner Trust, Series 2016-B, Class A4, 1.52%, 8/16/21 | 1,100,000 | 1,094,096 | |
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 1,758,000 | 1,777,975 | |
VB-S1 Issuer LLC, Series 2016-1A, Class C, 3.065%, 6/15/46 (d) | 600,000 | 600,031 | |
VML LLC, Series 2014-NPL1, Class A1, 3.875%, 4/27/54 (d)(h) | 48,329 | 48,396 | |
Wendys Funding LLC: | |||
Series 2015-1A, Class A2I, 3.371%, 6/15/45 (d) | 2,258,900 | 2,285,374 | |
Series 2015-1A, Class A2II, 4.08%, 6/15/45 (d) | 588,000 | 603,553 | |
Total Asset-Backed Securities (Cost $56,411,440) | 56,579,763 | ||
U.S. TREASURY OBLIGATIONS - 6.9% | |||
U.S. Treasury Bonds: | |||
2.25%, 8/15/46 | 18,224,000 | 16,013,636 | |
2.875%, 11/15/46 | 3,600,000 | 3,610,336 | |
3.00%, 2/15/47 | 315,000 | 323,866 | |
24 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
U.S. TREASURY OBLIGATIONS - CONT’D | |||
U.S. Treasury Notes: | |||
0.75%, 1/31/18 | 440,000 | 439,407 | |
0.75%, 9/30/18 | 875,000 | 869,788 | |
1.375%, 9/15/20 | 11,400,000 | 11,320,066 | |
1.75%, 5/31/22 | 4,265,000 | 4,236,178 | |
2.375%, 5/15/27 | 10,475,000 | 10,515,713 | |
Total U.S. Treasury Obligations (Cost $47,038,689) | 47,328,990 | ||
COLLATERALIZED MORTGAGE-BACKED OBLIGATIONS - 1.4% | |||
Bellemeade Re Ltd., Series 2015-1A, Class M2, 5.537%, (1 mo. USD LIBOR + 4.30%), 7/25/25 (c)(d) | 507,625 | 519,992 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2015-HQ2, Class M3, 4.487%, (1 mo. USD LIBOR + 3.25%), 5/25/25 (c) | 720,000 | 788,603 | |
Series 2015-HQA2, Class M2, 4.037%, (1 mo. USD LIBOR + 2.80%), 5/25/28 (c) | 577,434 | 596,567 | |
Series 2016-DNA2, Class M2, 3.437%, (1 mo. USD LIBOR + 2.20%), 10/25/28 (c) | 600,000 | 609,890 | |
Series 2017-DNA3, Class M2, 3.734%, (1 mo. USD LIBOR + 2.50%), 3/25/30 (c)(g) | 360,000 | 363,268 | |
Series 2017-HQA2, Class M2, 3.887%, (1 mo. USD LIBOR + 2.65%), 12/25/29 (c) | 435,000 | 437,154 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2014-C02, Class 1M2, 3.837%, (1 mo. USD LIBOR + 2.60%), 5/25/24 (c) | 600,000 | 625,689 | |
Series 2014-C03, Class 2M2, 4.137%, (1 mo. USD LIBOR + 2.90%), 7/25/24 (c) | 700,000 | 731,533 | |
Series 2016-C04, Class 1M1, 2.687%, (1 mo. USD LIBOR + 1.45%), 1/25/29 (c) | 1,229,110 | 1,240,763 | |
Series 2016-C05, Class 2M1, 2.587%, (1 mo. USD LIBOR + 1.35%), 1/25/29 (c) | 262,800 | 264,246 | |
Series 2016-C06, Class 1M2, 5.487%, (1 mo. USD LIBOR + 4.25%), 4/25/29 (c) | 400,000 | 441,153 | |
Series 2017-C05, Class 1B1, 4.837%, (1 mo. USD LIBOR + 3.60%), 1/25/30 (c) | 60,000 | 55,978 | |
Series 2017-C05, Class 1M1, 1.787%, (1 mo. USD LIBOR + 0.55%), 1/25/30 (c) | 1,131,676 | 1,131,388 | |
Series 2017-C05, Class 1M2, 3.437%, (1 mo. USD LIBOR + 2.20%), 1/25/30 (c) | 640,000 | 632,360 | |
Series 2017-C06, Class 1B1, 5.387%, (1 mo. USD LIBOR + 4.15%), 2/25/30 (c) | 80,000 | 77,716 | |
Series 2017-C06, Class 1M2, 3.887%, (1 mo. USD LIBOR + 2.65%), 2/25/30 (c) | 645,000 | 651,016 | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 549,882 | 548,953 | |
Total Collateralized Mortgage-Backed Obligations (Cost $9,439,714) | 9,716,269 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 1.2% | |||
Barclays Commercial Mortgage Securities Trust, Series 2015-RRI, Class D, 4.234%, (1 mo. USD LIBOR + 3.00%), 5/15/32 (c)(d) | 200,000 | 200,499 | |
Citigroup Commercial Mortgage Trust, Series 2015-SSHP, Class E, 4.634%, (1 mo. USD LIBOR + 3.40%), 9/15/27 (c)(d) | 600,000 | 599,081 | |
CLNS Trust, Series 2017-IKPR, Class B, 2.237%, (1 mo. USD LIBOR + 1.00%), 6/11/32 (c)(d) | 1,230,000 | 1,231,070 | |
Colony Multifamily Mortgage Trust, Series 2014-1, Class A, 2.543%, 4/20/50 (d) | 73,244 | 72,954 | |
COMM Mortgage Trust, Series 2013-THL, Class C, 3.233%, (1 mo. USD LIBOR + 2.00%), 6/8/30 (c)(d) | 950,000 | 951,711 | |
GS Mortgage Securities Trust, Series 2014-NEW, Class D, 3.79%, 1/10/31 (d) | 400,000 | 399,678 | |
JP Morgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27 (d) | 550,000 | 550,897 | |
Series 2014-DSTY, Class C, 3.805%, 6/10/27 (d) | 400,000 | 396,393 | |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 25
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES - CONT’D | |||
Motel 6 Trust: | |||
Series 2017-MTL6, Class C, 2.634%, (1 mo. USD LIBOR + 1.40%), 8/15/34 (c)(d) | 765,000 | 766,841 | |
Series 2017-MTL6, Class D, 3.384%, (1 mo. USD LIBOR + 2.15%), 8/15/34 (c)(d) | 750,000 | 750,983 | |
Series 2017-MTL6, Class E, 4.484%, (1 mo. USD LIBOR + 3.25%), 8/15/34 (c)(d) | 150,000 | 150,530 | |
ORES NPL LLC, Series 2014-LV3, Class B, 6.00%, 3/27/24 (d) | 258,234 | 258,234 | |
TRU Trust, Series 2016-TOYS, Class A, 3.489%, (1 mo. USD LIBOR + 2.25%), 11/15/30 (c)(d) | 1,068,328 | 1,052,089 | |
WFLD Mortgage Trust, Series 2014-MONT, Class C, 3.88%, 8/10/31 (d) | 850,000 | 817,044 | |
Total Commercial Mortgage-Backed Securities (Cost $8,214,128) | 8,198,004 | ||
TAXABLE MUNICIPAL OBLIGATIONS - 0.9% | |||
General Obligations - 0.5% | |||
Los Angeles California Unified School District, 5.75%, 7/1/34 (i) | 800,000 | 1,025,784 | |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 650,000 | 625,781 | |
New York City, 5.206%, 10/1/31 (i) | 1,275,000 | 1,526,723 | |
3,178,288 | |||
Special Tax Revenue - 0.3% | |||
Connecticut, Special Tax Revenue, 5.459%, 11/1/30 (i) | 400,000 | 460,072 | |
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, 5.767%, 8/1/36 (i) | 1,000,000 | 1,239,850 | |
New York State Dormitory Authority, Personal Income Tax Revenue Bonds, 5.289%, 3/15/33 (i) | 500,000 | 588,515 | |
2,288,437 | |||
Water and Sewer - 0.1% | |||
New York Environmental Facilities Corp., (New York City Municipal Water Finance Authority), 1.271%, 6/15/18 | 865,000 | 864,031 | |
Total Taxable Municipal Obligations (Cost $6,156,376) | 6,330,756 | ||
HIGH SOCIAL IMPACT INVESTMENTS - 0.7% | |||
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/15/19 (a)(j) | 4,266,666 | 4,066,474 | |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/20 (a)(b)(k) | 393,000 | 371,385 | |
ImpactAssets Inc., Microfinance Plus Notes, 0.00%, 11/3/20 (a)(b)(k) | 506,000 | 482,218 | |
Total High Social Impact Investments (Cost $5,165,666) | 4,920,077 | ||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 0.3% | |||
Federal National Mortgage Association: | |||
2.65%, 6/1/26 | 636,849 | 633,269 | |
2.68%, 7/1/26 | 650,000 | 645,236 | |
2.877%, 2/25/27 (l) | 666,276 | 675,386 | |
Total U.S. Government Agency Mortgage-Backed Securities (Cost $1,976,489) | 1,953,891 | ||
26 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
SOVEREIGN GOVERNMENT BONDS - 0.2% | |||
Nacional Financiera SNC, 3.375%, 11/5/20 (d) | 935,000 | 971,231 | |
Total Sovereign Government Bonds (Cost $933,938) | 971,231 | ||
U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES - 0.1% | |||
Overseas Private Investment Corp., 3.22%, 9/15/29 | 893,353 | 900,430 | |
Total U.S. Government Agencies and Instrumentalities (Cost $893,353) | 900,430 | ||
SHARES | VALUE ($) | ||
PREFERRED STOCKS - 0.1% | |||
Venture Capital - 0.1% | |||
Consensus Orthopedics, Inc.: | |||
Series A-1 *(a)(b) | 420,683 | 6,333 | |
Series B *(a)(b) | 348,940 | 5,679 | |
Series C *(a)(b) | 601,710 | 16,435 | |
Kickboard: | |||
Series A *(a)(b) | 1,155,503 | 255,713 | |
Series A2 *(a)(b) | 404,973 | 90,188 | |
LearnZillion, Inc.: | |||
Series A *(a)(b) | 169,492 | 176,797 | |
Series A-1 *(a)(b) | 108,678 | 122,795 | |
Lumni, Inc., Series B *(a)(b) | 17,265 | 123,006 | |
MACH Energy: | |||
Series A *(a)(b) | 27,977 | 9,669 | |
Series B *(a)(b) | 26,575 | 11,661 | |
Wind Harvest Co., Inc. *(a)(b) | 8,696 | — | |
818,276 | |||
Total Preferred Stocks (Cost $1,132,578) | 818,276 | ||
VENTURE CAPITAL LIMITED PARTNERSHIP INTEREST - 0.1% | |||
Coastal Venture Partners *(a)(b) | 19,670 | ||
Commons Capital LP *(a)(b) | 61,463 | ||
First Analysis Private Equity Fund IV LP *(a)(b) | 555,780 | ||
GEEMF Partners LP *(a)(b)(j) | 17,253 | ||
Global Environment Emerging Markets Fund LP *(a)(b) | 47,495 | ||
Infrastructure and Environmental Private Equity Fund III LP *(a)(b) | 6,182 | ||
New Markets Growth Fund LLC *(a)(b) | — | ||
Solstice Capital LP *(a)(b) | 61,949 | ||
Total Venture Capital Limited Partnership Interest (Cost $434,808) | 769,792 | ||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 27
VALUE ($) | |||
OTHER - 0.1% | |||
Seventh Generation, Inc., Contingent Deferred Distribution *(a)(b) | 467,398 | ||
Total Other (Cost $0) | 467,398 | ||
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
VENTURE CAPITAL DEBT OBLIGATIONS - 0.0% (m) | |||
Kickboard Bridge Note, 8.00%, 11/1/17 (a)(b) | 41,000 | 36,737 | |
Total Venture Capital Debt Obligations (Cost $41,000) | 36,737 | ||
CONVERTIBLE BONDS - 0.1% | |||
Communications - 0.1% | |||
Clearwire Communications LLC / Clearwire Finance, Inc., 8.25%, 12/1/40 (d) | 850,000 | 862,750 | |
Total Convertible Bonds (Cost $881,705) | 862,750 | ||
FLOATING RATE LOANS (n) - 0.0% (m) | |||
Consumer, Cyclical - 0.0% (m) | |||
VFH Parent LLC, Term Loan, 5.06%, (3 mo. USD LIBOR + 3.75%), 12/30/21 | 24,783 | 25,092 | |
Financial - 0.0% (m) | |||
Alliance Mortgage Investments, Term Loan, 0.00%, 6/1/10 *(a)(b)(o) | 385,345 | 6,079 | |
Total Floating Rate Loans (Cost $410,098) | 31,171 | ||
TIME DEPOSIT - 0.8% | |||
State Street Bank and Trust Eurodollar Time Deposit, 0.12%, 10/2/17 | 5,682,473 | 5,682,473 | |
Total Time Deposit (Cost $5,682,473) | 5,682,473 | ||
SHARES | VALUE ($) | ||
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 0.1% | |||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.92% | 504,455 | 504,455 | |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $504,455) | 504,455 | ||
TOTAL INVESTMENTS (Cost $658,301,352) - 100.0% | 689,098,101 | ||
Other assets and liabilities, net - (0.0%) (m) | (128,119) | ||
NET ASSETS - 100.0% | 688,969,982 | ||
28 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
NOTES TO SCHEDULE OF INVESTMENTS | ||||
* Non-income producing security. | ||||
(a) Restricted security. Total market value of restricted securities amounts to $8,103,841, which represents 1.2% of the net assets of the Fund as of September 30, 2017. | ||||
(b) For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note A). | ||||
(c) Variable rate security. The stated interest rate represents the rate in effect at September 30, 2017. | ||||
(d) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $80,699,294, which represents 11.7% of the net assets of the Fund as of September 30, 2017. | ||||
(e) Security, or portion of security, is on loan. Total value of securities on loan is $493,191 as of September 30, 2017. | ||||
(f) Security converts to floating rate after the indicated fixed-rate coupon period. | ||||
(g) When-issued security. | ||||
(h) Multi-step coupon security. The interest rate disclosed is that which is in effect on September 30, 2017. | ||||
(i) 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. | ||||
(j) Affiliated company (see Note G). | ||||
(k) Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at September 30, 2017. | ||||
(l) Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at September 30, 2017. | ||||
(m) Amount is less than 0.05% or (0.05)%, as applicable. | ||||
(n) Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. Floating rate loans generally pay interest at rates which are periodically re-determined at a margin above the London InterBank Offered Rate (“LIBOR”) or other short-term rates. The rate shown is the rate in effect at September 30, 2017. Floating rate loans are generally considered restrictive in that the Fund is ordinarily contractually obligated to receive consent from the Agent Bank and/or Borrower prior to disposition of a floating rate loan. | ||||
(o) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest. | ||||
Abbreviations: | ||||
ADR: | American Depositary Receipt | |||
LIBOR: | London Interbank Offered Rate | |||
USD: | United States Dollar | |||
FUTURES | NUMBER OF CONTRACTS | EXPIRATION MONTH/YEAR | NOTIONAL AMOUNT | VALUE/NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long: | |||||||||||||
U.S. 5-Year Treasury Note | 12 | 12/17 | $ | 1,410,000 | $ | 864 | ) | ||||||
Short: | |||||||||||||
U.S. Ultra-Long Treasury Bond | (2) | 12/17 | $ | 330,250 | ) | $ | 121 | ||||||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 29
RESTRICTED SECURITIES | ACQUISITION DATES | COST ($) | |
Alliance Mortgage Investments Term Loan, 0.00%, 6/1/10 | 5/26/05-6/13/07 | 385,345 | |
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/15/19 | 12/15/16 | 4,266,666 | |
CFBanc Corp. | 3/14/03 | 270,000 | |
Coastal Venture Partners | 6/7/96-6/22/00 | 17,031 | |
Commons Capital LP | 2/15/01-12/27/11 | 162,045 | |
Consensus Orthopedics, Inc., Common Stock | 2/10/06 | 504,331 | |
Consensus Orthopedics, Inc., Series A-1, Preferred | 8/19/05 | 4,331 | |
Consensus Orthopedics, Inc., Series B, Preferred | 2/10/06 | 139,576 | |
Consensus Orthopedics, Inc., Series C, Preferred | 2/10/06 | 120,342 | |
First Analysis Private Equity Fund IV LP | 2/25/02-7/6/11 | 30,086 | |
GEEMF Partners LP | 2/28/97 | — | |
Global Environment Emerging Markets Fund LP | 1/14/94-12/1/95 | — | |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/20 | 11/13/15 | 393,000 | |
ImpactAssets Inc., Microfinance Plus Notes, 0.00%, 11/3/20 | 11/13/15 | 506,000 | |
Infrastructure and Environmental Private Equity Fund III LP | 4/16/97-2/12/01 | — | |
Kickboard, Common Stock | 5/23/13 | — | |
Kickboard, Series A, Preferred | 2/12/13 | 285,328 | |
Kickboard, Series A2, Preferred | 6/19/14 | 100,000 | |
Kickboard Bridge Note, 8.00%, 11/1/17 | 9/16/15 | 41,000 | |
Learn Capital Venture Partners III LP | 8/30/16 | 657,000 | |
LearnZillion, Inc., Series A, Preferred | 3/27/12 | 100,000 | |
LearnZillion, Inc., Series A-1, Preferred | 4/23/13 | 134,761 | |
Lumni, Inc., Series B, Preferred | 8/8/13 | 116,367 | |
MACH Energy, Common Stock | 10/31/08 | 889 | |
MACH Energy, Series A, Preferred | 5/31/02 | 11,426 | |
MACH Energy, Series B, Preferred | 12/20/05 | 20,447 | |
Neighborhood Bancorp, Class A | 6/25/97 | 100,000 | |
New Markets Growth Fund LLC | 1/8/03-7/18/07 | 225,646 | |
Seventh Generation, Inc., Contingent Deferred Distribution | 10/26/16 | — | |
Solstice Capital LP | 6/26/01-6/17/08 | — | |
Wind Harvest Co., Inc., Preferred | 5/16/94 | 100,000 | |
See notes to financial statements. | |||
30 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT BOND FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - 46.4% | ||
Basic Materials - 0.8% | ||
Reliance Steel & Aluminum Co., 4.50%, 4/15/23 | 3,000,000 | 3,185,938 |
Sherwin-Williams Co. (The), 2.25%, 5/15/20 | 4,300,000 | 4,319,004 |
7,504,942 | ||
Communications - 4.2% | ||
AT&T, Inc.: | ||
3.40%, 8/14/24 | 1,278,000 | 1,281,377 |
3.80%, 3/15/22 | 2,800,000 | 2,918,848 |
3.80%, 3/1/24 | 2,140,000 | 2,203,587 |
3.90%, 8/14/27 | 5,313,000 | 5,329,817 |
4.125%, 2/17/26 | 5,350,000 | 5,506,088 |
4.75%, 5/15/46 | 2,325,000 | 2,247,132 |
CBS Corp., 2.90%, 1/15/27 | 2,075,000 | 1,965,093 |
Comcast Corp., 3.20%, 7/15/36 | 3,824,000 | 3,594,910 |
Crown Castle Towers LLC, 3.663%, 5/15/45 (a) | 2,100,000 | 2,157,750 |
NBCUniversal Media LLC, 4.45%, 1/15/43 | 1,500,000 | 1,613,342 |
Time Warner, Inc., 5.35%, 12/15/43 | 1,000,000 | 1,080,563 |
Verizon Communications, Inc.: | ||
1.75%, 8/15/21 | 2,030,000 | 1,988,403 |
2.45%, 11/1/22 | 2,060,000 | 2,046,061 |
3.50%, 11/1/24 | 3,705,000 | 3,776,901 |
4.862%, 8/21/46 | 2,140,000 | 2,186,269 |
39,896,141 | ||
Consumer, Cyclical - 6.4% | ||
American Airlines Pass-Through Trust: | ||
4.40%, 3/22/25 | 2,787,818 | 2,892,919 |
Series B, 5.25%, 7/15/25 | 2,133,251 | 2,277,694 |
Series B, 5.60%, 1/15/22 (a) | 424,467 | 445,690 |
Series B, 7.00%, 7/31/19 (a) | 2,561,019 | 2,602,635 |
Coach, Inc., 3.00%, 7/15/22 | 3,680,000 | 3,678,648 |
CVS Health Corp., 5.125%, 7/20/45 | 1,810,000 | 2,088,501 |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 2,001,807 | 2,264,993 |
Ford Motor Credit Co. LLC: | ||
2.262%, 3/28/19 | 1,308,000 | 1,312,916 |
2.875%, 10/1/18 | 4,985,000 | 5,036,246 |
2.979%, 8/3/22 | 10,900,000 | 10,903,771 |
Home Depot, Inc. (The), 4.20%, 4/1/43 | 2,000,000 | 2,140,688 |
Latam Airlines Pass-Through Trust, 4.20%, 8/15/29 | 1,801,893 | 1,842,435 |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 31
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
CORPORATE BONDS - CONT’D | |||
Newell Brands, Inc., 3.85%, 4/1/23 | 2,050,000 | 2,157,379 | |
Nordstrom, Inc.: | |||
4.00%, 3/15/27 (b) | 1,901,000 | 1,889,297 | |
5.00%, 1/15/44 | 1,350,000 | 1,330,649 | |
Norwegian Air Shuttle ASA Pass-Through Trust, 4.875%, 11/10/29 (a) | 2,123,400 | 2,158,725 | |
Staples, Inc., 3.75%, 1/12/18 | 2,195,000 | 2,198,587 | |
Starbucks Corp., 2.45%, 6/15/26 | 2,150,000 | 2,068,515 | |
Virgin Australia Pass-Through Trust: | |||
5.00%, 4/23/25 (a) | 862,748 | 904,763 | |
6.00%, 4/23/22 (a) | 1,894,573 | 1,946,674 | |
Walgreens Boots Alliance, Inc., 3.45%, 6/1/26 | 3,210,000 | 3,203,932 | |
Whirlpool Corp.: | |||
3.70%, 3/1/23 | 2,100,000 | 2,181,433 | |
3.70%, 5/1/25 | 1,700,000 | 1,764,535 | |
Wyndham Worldwide Corp.: | |||
4.15%, 4/1/24 | 1,000,000 | 1,014,955 | |
4.50%, 4/1/27 | 387,000 | 388,938 | |
60,695,518 | |||
Consumer, Non-cyclical - 4.5% | |||
American National Red Cross (The), 5.567%, 11/15/17 | 1,500,000 | 1,506,060 | |
Amgen, Inc.: | |||
4.40%, 5/1/45 | 2,500,000 | 2,620,665 | |
4.663%, 6/15/51 | 1,006,000 | 1,107,538 | |
Becton Dickinson and Co.: | |||
2.404%, 6/5/20 | 1,667,000 | 1,673,632 | |
2.894%, 6/6/22 | 1,667,000 | 1,672,376 | |
3.363%, 6/6/24 | 2,600,000 | 2,627,035 | |
3.70%, 6/6/27 | 2,200,000 | 2,221,640 | |
Ecolab, Inc., 2.375%, 8/10/22 | 4,600,000 | 4,598,754 | |
ERAC USA Finance LLC: | |||
2.70%, 11/1/23 (a) | 1,000,000 | 980,675 | |
6.375%, 10/15/17 (a) | 8,000,000 | 8,011,909 | |
Grupo Bimbo SAB de CV: | |||
3.875%, 6/27/24 (a) | 1,200,000 | 1,242,579 | |
4.50%, 1/25/22 (a) | 3,000,000 | 3,191,456 | |
4.875%, 6/27/44 (a) | 1,200,000 | 1,215,581 | |
Kaiser Foundation Hospitals, 3.15%, 5/1/27 | 3,091,000 | 3,113,658 | |
Kraft Heinz Foods Co., 5.20%, 7/15/45 | 2,125,000 | 2,335,257 | |
Life Technologies Corp., 6.00%, 3/1/20 | 1,900,000 | 2,065,140 | |
Massachusetts Institute of Technology, 3.959%, 7/1/38 | 875,000 | 947,837 | |
MEDNAX, Inc., 5.25%, 12/1/23 (a) | 600,000 | 630,000 | |
President and Fellows of Harvard College, 3.619%, 10/1/37 | 1,000,000 | 1,043,422 | |
42,805,214 | |||
32 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
CORPORATE BONDS - CONT’D | |||
Financial - 21.6% | |||
Ally Financial, Inc.: | |||
3.25%, 2/13/18 | 3,280,000 | 3,305,994 | |
3.25%, 11/5/18 | 4,550,000 | 4,595,500 | |
3.60%, 5/21/18 | 2,520,000 | 2,542,554 | |
6.25%, 12/1/17 | 3,984,000 | 4,011,888 | |
American Tower Corp.: | |||
3.375%, 10/15/26 | 1,950,000 | 1,930,443 | |
3.45%, 9/15/21 | 2,650,000 | 2,744,188 | |
ANZ New Zealand International Ltd., 2.20%, 7/17/20 (a) | 2,032,000 | 2,034,113 | |
Bank of America Corp.: | |||
1.95%, 5/12/18 | 5,050,000 | 5,057,919 | |
2.487%, (3 mo. USD LIBOR + 1.18%), 10/21/22 (c) | 2,155,000 | 2,191,823 | |
3.593% to 7/21/27, 7/21/28 (d) | 9,900,000 | 9,990,941 | |
3.824% to 1/20/27, 1/20/28 (d) | 10,000,000 | 10,277,208 | |
3.875%, 8/1/25 | 5,100,000 | 5,345,807 | |
Bank of New York Mellon Corp. (The), 3.30%, 8/23/29 | 2,147,000 | 2,135,930 | |
Capital One Bank, 2.25%, 2/13/19 | 1,000,000 | 1,003,116 | |
Capital One Financial Corp.: | |||
2.50%, 5/12/20 | 2,097,000 | 2,107,696 | |
3.75%, 7/28/26 | 3,100,000 | 3,074,508 | |
4.20%, 10/29/25 | 2,100,000 | 2,160,833 | |
Capital One NA: | |||
2.35%, 8/17/18 | 2,360,000 | 2,370,245 | |
2.65%, 8/8/22 | 2,305,000 | 2,292,544 | |
Citigroup, Inc.: | |||
1.70%, 4/27/18 | 6,585,000 | 6,585,254 | |
2.65%, 10/26/20 | 3,435,000 | 3,472,152 | |
2.75%, 4/25/22 | 2,600,000 | 2,608,901 | |
3.668% to 7/24/27, 7/24/28 (d) | 4,600,000 | 4,639,856 | |
3.887% to 1/10/27, 1/10/28 (d) | 12,815,000 | 13,165,601 | |
Citizens Bank NA: | |||
2.25%, 3/2/20 | 1,950,000 | 1,953,406 | |
2.55%, 5/13/21 | 1,400,000 | 1,406,720 | |
Citizens Financial Group, Inc.: | |||
2.375%, 7/28/21 | 1,475,000 | 1,466,630 | |
4.15%, 9/28/22 (a) | 702,000 | 731,806 | |
5.158% to 6/29/18, 6/29/23 (d) | 4,675,000 | 4,769,018 | |
Commonwealth Bank of Australia, 2.50%, 9/18/22 (a) | 2,120,000 | 2,117,947 | |
Credit Acceptance Corp.: | |||
6.125%, 2/15/21 | 1,580,000 | 1,611,600 | |
7.375%, 3/15/23 | 2,000,000 | 2,125,000 | |
Crown Castle International Corp.: | |||
3.20%, 9/1/24 | 816,000 | 813,037 | |
3.65%, 9/1/27 | 1,438,000 | 1,439,542 | |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 33
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
CORPORATE BONDS - CONT’D | |||
DDR Corp., 3.625%, 2/1/25 | 3,100,000 | 3,017,497 | |
Digital Realty Trust LP, 4.75%, 10/1/25 | 2,035,000 | 2,208,100 | |
Discover Bank, 8.70%, 11/18/19 | 948,000 | 1,059,694 | |
Discover Financial Services: | |||
3.85%, 11/21/22 | 2,435,000 | 2,503,336 | |
3.95%, 11/6/24 | 1,500,000 | 1,537,303 | |
Goldman Sachs Group, Inc. (The): | |||
2.905% to 7/24/22, 7/24/23 (d) | 3,656,000 | 3,661,607 | |
2.908% to 6/5/22, 6/5/23 (d) | 7,700,000 | 7,699,955 | |
ING Bank NV, 2.00%, 11/26/18 (a) | 3,150,000 | 3,152,039 | |
International Finance Corp., 1.75%, 3/30/20 | 2,500,000 | 2,503,090 | |
iStar, Inc.: | |||
4.00%, 11/1/17 | 1,670,000 | 1,671,503 | |
4.875%, 7/1/18 | 3,455,000 | 3,499,397 | |
Morgan Stanley: | |||
2.713%, (3 mo. USD LIBOR + 1.40%), 10/24/23 (c) | 2,190,000 | 2,240,861 | |
2.80%, 6/16/20 | 3,500,000 | 3,560,058 | |
3.591% to 7/22/27, 7/22/28 (d) | 9,000,000 | 9,023,178 | |
4.00%, 7/23/25 | 1,855,000 | 1,956,925 | |
4.875%, 11/1/22 | 2,075,000 | 2,250,679 | |
PNC Bank NA, 2.70%, 11/1/22 | 4,000,000 | 4,031,039 | |
Prudential Financial, Inc., 8.875% to 6/15/18, 6/15/38 (d) | 2,750,000 | 2,887,500 | |
Regions Financial Corp., 2.75%, 8/14/22 | 1,198,000 | 1,196,926 | |
Synchrony Bank, 3.00%, 6/15/22 | 1,245,000 | 1,242,909 | |
Synchrony Financial: | |||
2.711%, (3 mo. USD LIBOR + 1.40%), 11/9/17 (c) | 8,855,000 | 8,864,340 | |
3.00%, 8/15/19 | 3,742,000 | 3,804,402 | |
Toronto-Dominion Bank (The): | |||
1.75%, 7/23/18 | 3,550,000 | 3,552,957 | |
1.85%, 9/11/20 | 7,800,000 | 7,769,525 | |
Vornado Realty LP, 2.50%, 6/30/19 | 2,400,000 | 2,415,053 | |
205,389,593 | |||
Government - 0.3% | |||
International Bank for Reconstruction & Development, 1.005%, 10/1/18 | 2,850,000 | 2,838,118 | |
Industrial - 2.4% | |||
Carlisle Cos., Inc., 3.75%, 11/15/22 | 3,485,000 | 3,562,662 | |
Johnson Controls International plc, 4.625%, 7/2/44 | 1,800,000 | 1,935,761 | |
Masco Corp., 3.50%, 11/15/27 | 1,540,000 | 1,526,966 | |
Penske Truck Leasing Co. LP / PTL Finance Corp., 4.25%, 1/17/23 (a) | 3,000,000 | 3,199,764 | |
SBA Tower Trust: | |||
2.24%, 4/9/43 (a) | 1,970,000 | 1,969,610 | |
2.877%, 7/10/46 (a) | 2,500,000 | 2,536,125 | |
3.722%, 4/9/48 (a) | 4,150,000 | 4,251,756 | |
34 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
CORPORATE BONDS - CONT’D | |||
SMBC Aviation Capital Finance DAC: | |||
2.65%, 7/15/21 (a) | 2,040,000 | 2,022,482 | |
3.00%, 7/15/22 (a) | 1,750,000 | 1,748,623 | |
22,753,749 | |||
Technology - 5.4% | |||
Apple, Inc.: | |||
3.00%, 6/20/27 | 3,061,000 | 3,067,022 | |
3.25%, 2/23/26 | 1,325,000 | 1,361,970 | |
Broadridge Financial Solutions, Inc., 3.95%, 9/1/20 | 1,645,000 | 1,723,006 | |
CA, Inc., 3.60%, 8/15/22 | 3,900,000 | 3,994,153 | |
Dell International LLC / EMC Corp.: | |||
3.48%, 6/1/19 (a) | 8,950,000 | 9,124,888 | |
4.42%, 6/15/21 (a) | 2,100,000 | 2,206,432 | |
6.02%, 6/15/26 (a) | 4,470,000 | 4,970,694 | |
DXC Technology Co., 2.875%, 3/27/20 | 926,000 | 938,756 | |
EMC Corp., 1.875%, 6/1/18 | 1,771,000 | 1,764,185 | |
Hewlett Packard Enterprise Co.: | |||
2.45%, 10/5/17 | 3,355,000 | 3,355,160 | |
2.85%, 10/5/18 | 5,195,000 | 5,248,070 | |
Microsoft Corp.: | |||
2.40%, 8/8/26 | 2,225,000 | 2,158,544 | |
4.45%, 11/3/45 | 1,800,000 | 2,030,988 | |
NXP BV / NXP Funding LLC: | |||
4.125%, 6/1/21 (a) | 1,200,000 | 1,258,500 | |
4.625%, 6/15/22 (a) | 1,165,000 | 1,249,463 | |
QUALCOMM, Inc., 2.90%, 5/20/24 | 4,400,000 | 4,419,536 | |
Seagate HDD Cayman: | |||
4.875%, 3/1/24 (a) | 2,145,000 | 2,116,126 | |
4.875%, 6/1/27 | 850,000 | 802,668 | |
51,790,161 | |||
Utilities - 0.8% | |||
American Water Capital Corp., 2.95%, 9/1/27 | 2,840,000 | 2,831,865 | |
Consolidated Edison Co. of New York, Inc., 4.45%, 6/15/20 | 1,675,000 | 1,779,182 | |
NextEra Energy Operating Partners LP, 4.25%, 9/15/24 (a) | 2,950,000 | 3,020,063 | |
7,631,110 | |||
Total Corporate Bonds (Cost $436,062,885) | 441,304,546 | ||
U.S. TREASURY OBLIGATIONS - 20.6% | |||
U.S. Treasury Bonds: | |||
2.25%, 8/15/46 | 69,881,000 | 61,405,229 | |
2.875%, 11/15/46 | 1,500,000 | 1,504,307 | |
3.00%, 2/15/47 | 3,975,000 | 4,086,875 | |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 35
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
U.S. TREASURY OBLIGATIONS - CONT’D | |||
U.S. Treasury Notes: | |||
0.75%, 10/31/17 | 10,000,000 | 9,997,750 | |
0.75%, 9/30/18 | 14,400,000 | 14,314,219 | |
1.375%, 9/15/20 | 69,000,000 | 68,516,191 | |
2.25%, 8/15/27 (b) | 3,200,000 | 3,177,187 | |
2.375%, 5/15/27 | 33,030,000 | 33,158,378 | |
Total U.S. Treasury Obligations (Cost $195,035,218) | 196,160,136 | ||
ASSET-BACKED SECURITIES - 18.7% | |||
Automobile - 2.4% | |||
Avis Budget Rental Car Funding AESOP LLC: | |||
Series 2012-3A, Class A, 2.10%, 3/20/19 (a) | 2,660,000 | 2,662,796 | |
Series 2013-2A, Class A, 2.97%, 2/20/20 (a) | 7,553,000 | 7,625,124 | |
Credit Acceptance Auto Loan Trust, Series 2017-2A, Class A, 2.55%, 2/17/26 (a) | 2,250,000 | 2,248,882 | |
Ford Credit Auto Lease Trust, Series 2015-B, Class A3, 1.38%, 12/15/18 | 2,349,070 | 2,349,083 | |
Skopos Auto Receivables Trust: | |||
Series 2015-1A, Class A, 3.10%, 12/15/23 (a) | 32,877 | 32,889 | |
Series 2015-1A, Class B, 5.43%, 12/15/23 (a) | 2,000,000 | 2,015,491 | |
Series 2015-2A, Class A, 3.55%, 2/15/20 (a) | 117,924 | 117,950 | |
Toyota Auto Receivables Owner Trust: | |||
Series 2016-B, Class A3, 1.30%, 4/15/20 | 1,300,000 | 1,297,214 | |
Series 2016-B, Class A4, 1.52%, 8/16/21 | 4,050,000 | 4,028,264 | |
22,377,693 | |||
Consumer Loan - 4.5% | |||
Citi Held For Asset Issuance: | |||
Series 2015-PM2, Class B, 4.00%, 3/15/22 (a) | 2,939,851 | 2,958,025 | |
Series 2015-PM3, Class B, 4.31%, 5/16/22 (a) | 1,818,701 | 1,832,006 | |
Series 2016-MF1, Class A, 4.48%, 8/15/22 (a) | 573,298 | 578,838 | |
Conn Funding II LP: | |||
Series 2016-B, Class A, 3.73%, 10/15/18 (a) | 413,651 | 413,973 | |
Series 2017-A, Class A, 2.73%, 7/15/19 (a) | 1,183,570 | 1,184,317 | |
GLC Trust, Series 2014-A, Class A, 3.00%, 7/15/21 (a) | 36,985 | 37,046 | |
OneMain Financial Issuance Trust: | |||
Series 2014-1A, Class A, 2.43%, 6/18/24 (a) | 2,730 | 2,731 | |
Series 2015-2A, Class A, 2.57%, 7/18/25 (a) | 3,812,360 | 3,824,191 | |
Series 2017-1A, Class A1, 2.37%, 9/14/32 (a) | 3,760,000 | 3,745,835 | |
Oportun Funding VI LLC, Series 2017-A, Class A, 3.23%, 6/8/23 (a) | 1,335,000 | 1,347,107 | |
Prosper Marketplace Issuance Trust: | |||
Series 2017-1A, Class A, 2.56%, 6/15/23 (a) | 11,675,217 | 11,725,029 | |
Series 2017-2A, Class A, 2.41%, 9/15/23 (a) | 2,630,000 | 2,634,497 | |
RenewFund Receivables Trust, Series 2015-1, Class A, 3.51%, 4/15/25 (a) | 1,382,823 | 1,383,570 | |
SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, 4/25/29 (a) | 7,223,119 | 7,280,269 | |
Springleaf Funding Trust, Series 2015-AA, Class B, 3.62%, 11/15/24 (a) | 2,411,000 | 2,429,094 | |
Spruce ABS Trust, Series 2016-E1, Class A, 4.32%, 6/15/28 (a) | 1,336,725 | 1,334,105 | |
42,710,633 | |||
36 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
ASSET-BACKED SECURITIES - CONT’D | |||
Other - 6.7% | |||
American Homes 4 Rent, Series 2014-SFR2, Class A, 3.786%, 10/17/36 (a) | 4,182,011 | 4,378,768 | |
Dell Equipment Finance Trust, Series 2017-1, Class A3, 2.14%, 4/22/22 (a) | 1,755,000 | 1,760,057 | |
Element Rail Leasing I LLC: | |||
Series 2014-1A, Class A1, 2.299%, 4/19/44 (a) | 550,557 | 545,910 | |
Series 2014-1A, Class A2, 3.668%, 4/19/44 (a) | 1,900,000 | 1,907,707 | |
Series 2014-1A, Class B1, 4.406%, 4/19/44 (a) | 2,200,000 | 2,136,349 | |
Element Rail Leasing II LLC, Series 2015-1A, Class A2, 3.585%, 2/19/45 (a) | 3,983,000 | 3,996,138 | |
FRS I LLC: | |||
Series 2013-1A, Class A2, 3.08%, 4/15/43 (a) | 3,513,404 | 3,506,204 | |
Series 2013-1A, Class B, 3.96%, 4/15/43 (a) | 3,987,186 | 3,991,721 | |
GMAT Trust, Series 2015-1A, Class A1, 4.25%, 9/25/20 (a)(f) | 812,711 | 812,711 | |
Invitation Homes Trust: | |||
Series 2015-SFR2, Class E, 4.384%, (1 mo. USD LIBOR + 3.15%), 6/17/32 (a)(c) | 5,450,000 | 5,517,603 | |
Series 2015-SFR2, Class F, 4.938%, (1 mo. USD LIBOR + 3.70%), 6/17/32 (a)(c) | 3,650,000 | 3,705,635 | |
Series 2015-SFR3, Class D, 3.984%, (1 mo. USD LIBOR + 2.75%), 8/17/32 (a)(c) | 1,400,000 | 1,420,107 | |
Progress Residential Trust: | |||
Series 2016-SFR1, Class B, 3.234%, (1 mo. USD LIBOR + 2.00%), 9/17/33 (a)(c) | 2,046,000 | 2,073,081 | |
Series 2016-SFR1, Class C, 3.734%, (1 mo. USD LIBOR + 2.50%), 9/17/33 (a)(c) | 1,000,000 | 1,019,764 | |
SBA Tower Trust, Series 2014-2A, Class C, 3.869%, 10/15/49 (a)(f) | 3,300,000 | 3,351,670 | |
Sierra Timeshare Receivables Funding LLC: | |||
Series 2012-3A, Class B, 2.66%, 8/20/29 (a) | 411,579 | 411,635 | |
Series 2013-3A, Class B, 2.70%, 10/20/30 (a) | 273,179 | 273,438 | |
Series 2014-2A, Class B, 2.40%, 6/20/31 (a) | 920,797 | 919,182 | |
Series 2014-3A, Class B, 2.80%, 10/20/31 (a) | 1,506,327 | 1,508,488 | |
SolarCity LMC: | |||
Series 2013-1, Class A, 4.80%, 11/20/38 (a) | 2,852,752 | 2,831,504 | |
Series 2014-2, Class A, 4.02%, 7/20/44 (a) | 4,097,655 | 3,993,956 | |
Series 2014-2, Class B, 5.44%, 7/20/44 (a) | 5,823,205 | 5,519,792 | |
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 6,270,000 | 6,341,242 | |
VB-S1 Issuer LLC, Series 2016-1A, Class C, 3.065%, 6/15/46 (a) | 2,250,000 | 2,250,115 | |
VML LLC, Series 2014-NPL1, Class A1, 3.875%, 4/27/54 (a)(f) | 97,791 | 97,926 | |
64,270,703 | |||
Student Loan - 0.3% | |||
DRB Prime Student Loan Trust, Series 2016-B, Class A2, 2.89%, 6/25/40 (a) | 1,663,209 | 1,672,854 | |
Social Professional Loan Program LLC, Series 2014-B, Class A2, 2.55%, 8/27/29 (a) | 1,038,231 | 1,042,716 | |
2,715,570 | |||
Whole Business - 4.8% | |||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2, 4.474%, 3/20/43 (a) | 5,783,833 | 5,831,312 | |
DB Master Finance LLC: | |||
Series 2015-1A, Class A2I, 3.262%, 2/20/45 (a) | 13,016,250 | 13,065,247 | |
Series 2017-1A, Class A2I, 3.629%, 11/20/47 (a)(e) | 1,330,000 | 1,337,509 | |
Series 2017-1A, Class A2II, 4.03%, 11/20/47 (a)(e) | 690,000 | 695,774 | |
Driven Brands Funding LLC, Series 2015-1A, Class A2, 5.216%, 7/20/45 (a) | 3,635,250 | 3,675,593 | |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 37
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
ASSET-BACKED SECURITIES - CONT’D | |||
FOCUS Brands Funding LLC: | |||
Series 2017-1A, Class A2I, 3.857%, 4/30/47 (a) | 952,613 | 965,602 | |
Series 2017-1A, Class A2II, 5.093%, 4/30/47 (a) | 1,241,888 | 1,300,635 | |
Taco Bell Funding LLC, Series 2016-1A, Class A2I, 3.832%, 5/25/46 (a) | 4,356,000 | 4,450,291 | |
Wendys Funding LLC: | |||
Series 2015-1A, Class A2I, 3.371%, 6/15/45 (a) | 11,270,000 | 11,402,082 | |
Series 2015-1A, Class A2II, 4.08%, 6/15/45 (a) | 2,401,000 | 2,464,509 | |
45,188,554 | |||
Total Asset-Backed Securities (Cost $176,678,124) | 177,263,153 | ||
COLLATERALIZED MORTGAGE-BACKED OBLIGATIONS - 3.9% | |||
Bellemeade Re Ltd., Series 2015-1A, Class M2, 5.537%, (1 mo. USD LIBOR + 4.30%), 7/25/25 (a)(c) | 1,015,250 | 1,039,984 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2015-DNA2, Class M3, 5.137%, (1 mo. USD LIBOR + 3.90%), 12/25/27 (c) | 3,000,000 | 3,290,866 | |
Series 2015-HQA2, Class M2, 4.037%, (1 mo. USD LIBOR + 2.80%), 5/25/28 (c) | 3,079,647 | 3,181,690 | |
Series 2016-DNA2, Class M2, 3.437%, (1 mo. USD LIBOR + 2.20%), 10/25/28 (c) | 1,600,000 | 1,626,373 | |
Series 2016-HQA1, Class M2, 3.987%, (1 mo. USD LIBOR + 2.75%), 9/25/28 (c) | 4,000,000 | 4,133,293 | |
Series 2017-DNA3, Class M2, 3.734%, (1 mo. USD LIBOR + 2.50%), 3/25/30 (c)(e) | 1,425,000 | 1,437,935 | |
Series 2017-HQA2, Class M2, 3.887%, (1 mo. USD LIBOR + 2.65%), 12/25/29 (c) | 1,565,000 | 1,572,750 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2014-C02, Class 1M2, 3.837%, (1 mo. USD LIBOR + 2.60%), 5/25/24 (c) | 2,200,000 | 2,294,194 | |
Series 2014-C03, Class 2M2, 4.137%, (1 mo. USD LIBOR + 2.90%), 7/25/24 (c) | 2,600,000 | 2,717,124 | |
Series 2016-C04, Class 1M1, 2.687%, (1 mo. USD LIBOR + 1.45%), 1/25/29 (c) | 2,803,232 | 2,829,811 | |
Series 2016-C05, Class 2M1, 2.587%, (1 mo. USD LIBOR + 1.35%), 1/25/29 (c) | 750,856 | 754,988 | |
Series 2016-C06, Class 1M2, 5.487%, (1 mo. USD LIBOR + 4.25%), 4/25/29 (c) | 1,600,000 | 1,764,612 | |
Series 2017-C05, Class 1M1, 1.787%, (1 mo. USD LIBOR + 0.55%), 1/25/30 (c) | 4,227,417 | 4,226,341 | |
Series 2017-C05, Class 1M2, 3.437%, (1 mo. USD LIBOR + 2.20%), 1/25/30 (c) | 1,970,000 | 1,946,482 | |
Series 2017-C06, Class 1M2, 3.887%, (1 mo. USD LIBOR + 2.65%), 2/25/30 (c) | 2,520,000 | 2,543,506 | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 1,959,580 | 1,956,268 | |
Total Collateralized Mortgage-Backed Obligations (Cost $36,195,890) | 37,316,217 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 3.1% | |||
Barclays Commercial Mortgage Securities Trust, Series 2015-RRI, Class D, 4.234%, (1 mo. USD LIBOR + 3.00%), 5/15/32 (a)(c) | 1,100,000 | 1,102,743 | |
Citigroup Commercial Mortgage Trust, Series 2015-SSHP, Class E, 4.634%, (1 mo. USD LIBOR + 3.40%), 9/15/27 (a)(c) | 2,900,000 | 2,895,558 | |
CLNS Trust, Series 2017-IKPR, Class B, 2.237%, (1 mo. USD LIBOR + 1.00%), 6/11/32 (a)(c) | 4,400,000 | 4,403,827 | |
COMM Mortgage Trust, Series 2013-THL, Class C, 3.233%, (1 mo. USD LIBOR + 2.00%), 6/8/30 (a)(c) | 3,500,000 | 3,506,303 | |
GS Mortgage Securities Trust, Series 2014-NEW, Class D, 3.79%, 1/10/31 (a) | 1,400,000 | 1,398,873 | |
JP Morgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27 (a) | 1,750,000 | 1,752,853 | |
Series 2014-DSTY, Class C, 3.805%, 6/10/27 (a) | 1,200,000 | 1,189,179 | |
38 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES - CONT’D | |||
Motel 6 Trust: | |||
Series 2017-MTL6, Class C, 2.634%, (1 mo. USD LIBOR + 1.40%), 8/15/34 (a)(c) | 2,965,000 | 2,972,137 | |
Series 2017-MTL6, Class D, 3.384%, (1 mo. USD LIBOR + 2.15%), 8/15/34 (a)(c) | 2,350,000 | 2,353,081 | |
ORES NPL LLC, Series 2014-LV3, Class B, 6.00%, 3/27/24 (a) | 860,779 | 860,779 | |
TRU Trust, Series 2016-TOYS, Class A, 3.489%, (1 mo. USD LIBOR + 2.25%), 11/15/30 (a)(c) | 4,454,632 | 4,386,921 | |
WFLD Mortgage Trust, Series 2014-MONT, Class C, 3.88%, 8/10/31 (a) | 2,700,000 | 2,595,316 | |
Total Commercial Mortgage-Backed Securities (Cost $29,490,940) | 29,417,570 | ||
TAXABLE MUNICIPAL OBLIGATIONS - 2.9% | |||
Education - 0.2% | |||
Georgetown University, Washington DC Revenue Bonds, Series B, 7.22%, 4/1/19 | 1,530,000 | 1,608,382 | |
General Obligations - 1.0% | |||
Commonwealth of Massachusetts, 5.456%, 12/1/39 (g) | 750,000 | 948,675 | |
Los Angeles California Unified School District, 5.75%, 7/1/34 (g) | 3,750,000 | 4,808,363 | |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 2,500,000 | 2,406,850 | |
New York City, 5.206%, 10/1/31 (g) | 1,030,000 | 1,233,353 | |
9,397,241 | |||
Special Tax Revenue - 0.9% | |||
Connecticut, Special Tax Revenue, 5.459%, 11/1/30 (g) | 3,800,000 | 4,370,684 | |
New York City Transitional Finance Authority, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36 (g) | 3,540,000 | 4,389,069 | |
8,759,753 | |||
Transportation - 0.5% | |||
Maryland State Transportation Authority, Revenue Bonds, 5.604%, 7/1/30 | 3,000,000 | 3,625,620 | |
Santa Clara Valley Transportation Authority, CA, Sales Tax Revenue, 5.876%, 4/1/32 | 880,000 | 1,081,150 | |
4,706,770 | |||
Water and Sewer - 0.3% | |||
New York Environmental Facilities Corp., (New York City Municipal Water Finance Authority), 1.271%, 6/15/18 | 3,075,000 | 3,071,556 | |
Total Taxable Municipal Obligations (Cost $26,043,072) | 27,543,702 | ||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 0.9% | |||
Federal National Mortgage Association: | |||
2.65%, 6/1/26 | 2,939,305 | 2,922,783 | |
2.68%, 7/1/26 | 3,000,000 | 2,978,011 | |
2.877%, 2/25/27 (h) | 2,961,227 | 3,001,715 | |
Total U.S. Government Agency Mortgage-Backed Securities (Cost $9,007,614) | 8,902,509 | ||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 39
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
HIGH SOCIAL IMPACT INVESTMENTS - 0.6% | |||
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/15/19 (i)(j) | 5,087,392 | 4,848,692 | |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/20 (i)(k)(l) | 490,000 | 463,050 | |
ImpactAssets Inc., Microfinance Plus Notes, 0.00%, 11/3/20 (i)(k)(l) | 631,000 | 601,343 | |
Total High Social Impact Investments (Cost $6,208,392) | 5,913,085 | ||
SOVEREIGN GOVERNMENT BONDS - 0.4% | |||
Nacional Financiera SNC, 3.375%, 11/5/20 (a) | 3,450,000 | 3,583,688 | |
Total Sovereign Government Bonds (Cost $3,446,078) | 3,583,688 | ||
U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES - 0.3% | |||
Overseas Private Investment Corp., 3.22%, 9/15/29 | 2,828,952 | 2,851,361 | |
Total U.S. Government Agencies and Instrumentalities (Cost $2,828,953) | 2,851,361 | ||
CONVERTIBLE BONDS - 0.1% | |||
Communications - 0.1% | |||
Clearwire Communications LLC / Clearwire Finance, Inc., 8.25%, 12/1/40 (a) | 900,000 | 913,500 | |
Total Convertible Bonds (Cost $942,202) | 913,500 | ||
FLOATING RATE LOANS (m) - 0.0% (n) | |||
Financial - 0.0% (n) | |||
Alliance Mortgage Investments Term Loan, 0.00%, 6/1/10 *(i)(k)(o) | 481,681 | 7,598 | |
Total Floating Rate Loans (Cost $481,681) | 7,598 | ||
TIME DEPOSIT - 1.6% | |||
State Street Bank and Trust Eurodollar Time Deposit, 0.12%, 10/2/17 | 15,017,822 | 15,017,822 | |
Total Time Deposit (Cost $15,017,822) | 15,017,822 | ||
SHARES | VALUE ($) | ||
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 0.6% | |||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.92% | 5,165,215 | 5,165,215 | |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $5,165,215) | 5,165,215 | ||
TOTAL INVESTMENTS (Cost $942,604,086) - 100.1% | 951,360,102 | ||
Other assets and liabilities, net - (0.1%) | (1,030,375) | ||
NET ASSETS - 100.0% | 950,329,727 | ||
40 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
NOTES TO SCHEDULE OF INVESTMENTS |
* Non-income producing security. |
(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $271,400,960, which represents 28.6% of the net assets of the Fund as of September 30, 2017. |
(b) Security, or portion of security, is on loan. Total value of securities on loan is $5,054,424 as of September 30, 2017. |
(c) Variable rate security. The stated interest rate represents the rate in effect at September 30, 2017. |
(d) Security converts to floating rate after the indicated fixed-rate coupon period. |
(e) When-issued security. |
(f) Multi-step coupon security. The interest rate disclosed is that which is in effect on September 30, 2017. |
(g) 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. |
(h) Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at September 30, 2017. |
(i) Restricted security. Total market value of restricted securities amounts to $5,920,683, which represents 0.6% of the net assets of the Fund as of September 30, 2017. |
(j) Affiliated company (see Note G). |
(k) For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note A). |
(l) Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at September 30, 2017. |
(m) Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. Floating rate loans generally pay interest at rates which are periodically re-determined at a margin above the London InterBank Offered Rate (“LIBOR”) or other short-term rates. The rate shown is the rate in effect at September 30, 2017. Floating rate loans are generally considered restrictive in that the Fund is ordinarily contractually obligated to receive consent from the Agent Bank and/or Borrower prior to disposition of a floating rate loan. |
(n) Amount is less than 0.05%. |
(o) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest. |
Abbreviations: | |
GO: | General Obligation |
LIBOR: | London Interbank Offered Rate |
USD: | United States Dollar |
RESTRICTED SECURITIES | ACQUISITION DATES | COST ($) |
Alliance Mortgage Investments Term Loan, 0.00%, 6/1/10 | 5/26/05-6/13/07 | 481,681 |
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/15/19 | 12/15/16 | 5,087,392 |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/20 | 11/13/15 | 490,000 |
ImpactAssets Inc., Microfinance Plus Notes, 0.00%, 11/3/20 | 11/13/15 | 631,000 |
See notes to financial statements. | ||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 41
CALVERT EQUITY FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
SHARES | VALUE ($) | |
COMMON STOCKS - 94.5% | ||
Beverages - 3.1% | ||
Coca-Cola Co. (The) | 693,672 | 31,222,177 |
PepsiCo, Inc. | 311,972 | 34,763,040 |
65,985,217 | ||
Capital Markets - 3.3% | ||
Charles Schwab Corp. (The) | 479,374 | 20,967,819 |
Intercontinental Exchange, Inc. | 719,538 | 49,432,260 |
70,400,079 | ||
Chemicals - 6.1% | ||
Ecolab, Inc. | 539,263 | 69,354,614 |
Praxair, Inc. | 431,412 | 60,285,513 |
129,640,127 | ||
Food & Staples Retailing - 0.5% | ||
CVS Health Corp. | 125,343 | 10,192,893 |
Food Products - 2.5% | ||
Mondelez International, Inc., Class A | 1,287,070 | 52,332,266 |
Health Care Equipment & Supplies - 4.8% | ||
Danaher Corp. | 1,190,105 | 102,087,207 |
Health Care Providers & Services - 2.9% | ||
Henry Schein, Inc. * | 340,436 | 27,912,347 |
Laboratory Corp. of America Holdings * | 222,940 | 33,657,252 |
61,569,599 | ||
Health Care Technology - 1.5% | ||
Cerner Corp. * | 460,098 | 32,814,189 |
Hotels, Restaurants & Leisure - 1.3% | ||
Starbucks Corp. | 528,783 | 28,400,935 |
Industrial Conglomerates - 2.7% | ||
3M Co. | 275,940 | 57,919,806 |
Insurance - 1.8% | ||
Marsh & McLennan Cos., Inc. | 451,304 | 37,823,788 |
42 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Internet & Direct Marketing Retail - 2.2% | |||
Priceline Group, Inc. (The) | 26,106 | 47,795,387 | |
Internet Software & Services - 7.1% | |||
Alphabet, Inc., Class C * | 104,099 | 99,842,392 | |
Facebook, Inc., Class A * | 306,716 | 52,408,563 | |
152,250,955 | |||
IT Services - 12.8% | |||
Accenture plc, Class A | 453,314 | 61,229,122 | |
Fiserv, Inc. * | 212,661 | 27,424,763 | |
MasterCard, Inc., Class A | 603,066 | 85,152,919 | |
Visa, Inc., Class A | 951,979 | 100,186,270 | |
273,993,074 | |||
Life Sciences Tools & Services - 6.4% | |||
QIAGEN NV * | 1,030,760 | 32,468,940 | |
Thermo Fisher Scientific, Inc. | 549,294 | 103,926,425 | |
136,395,365 | |||
Machinery - 6.8% | |||
Fortive Corp. | 742,933 | 52,592,227 | |
IDEX Corp. | 444,088 | 53,943,369 | |
Xylem, Inc. | 621,512 | 38,925,297 | |
145,460,893 | |||
Media - 3.5% | |||
Comcast Corp., Class A | 996,006 | 38,326,311 | |
Walt Disney Co. (The) | 377,317 | 37,192,136 | |
75,518,447 | |||
Multiline Retail - 3.3% | |||
Dollar General Corp. | 867,551 | 70,315,008 | |
Personal Products - 1.7% | |||
Estee Lauder Cos., Inc. (The), Class A | 336,240 | 36,260,122 | |
Pharmaceuticals - 5.2% | |||
Johnson & Johnson | 336,092 | 43,695,321 | |
Zoetis, Inc. | 1,053,652 | 67,180,851 | |
110,876,172 | |||
Professional Services - 1.3% | |||
Verisk Analytics, Inc. * | 330,178 | 27,467,508 | |
Semiconductors & Semiconductor Equipment - 1.5% | |||
Texas Instruments, Inc. | 360,705 | 32,333,596 | |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 43
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Software - 6.8% | |||
Intuit, Inc. | 415,310 | 59,032,164 | |
Microsoft Corp. | 1,162,813 | 86,617,940 | |
145,650,104 | |||
Specialty Retail - 3.2% | |||
Lowe's Cos., Inc. | 514,555 | 41,133,527 | |
TJX Cos., Inc. (The) | 351,588 | 25,922,583 | |
67,056,110 | |||
Technology Hardware, Storage & Peripherals - 1.2% | |||
Apple, Inc. | 168,007 | 25,893,239 | |
Textiles, Apparel & Luxury Goods - 0.9% | |||
NIKE, Inc., Class B | 384,196 | 19,920,563 | |
Venture Capital - 0.1% | |||
20/20 Gene Systems, Inc. *(a)(b) | 73,397 | 46,974 | |
Digital Directions International, Inc. *(a)(b) | 354,389 | 87,499 | |
Graduation Alliance, Inc. *(a)(b) | 117,833 | 577 | |
Ivy Capital (Proprietary) Ltd. *(a)(b) | 19 | 666,383 | |
Napo Pharmaceuticals, Inc. *(a)(b) | 294,196 | — | |
801,433 | |||
Total Common Stocks (Cost $1,388,814,684) | 2,017,154,082 | ||
PREFERRED STOCKS - 0.1% | |||
Venture Capital - 0.1% | |||
Entouch, Series C *(a)(b) | 2,628,278 | 500,424 | |
Graduation Alliance, Inc.: | |||
Series C *(a)(b) | 3,225,598 | 143,539 | |
Series D, Convertible *(a)(b) | 1,325,968 | 267,713 | |
New Day Farms, Inc., Series B *(a)(b)(c) | 4,547,804 | — | |
PresenceLearning, Inc.: | |||
Series A *(a)(b) | 600,000 | 654,000 | |
Series A-2 *(a)(b) | 195,285 | 216,766 | |
Series B *(a)(b) | 399,719 | 475,666 | |
Shangri La Farms, Series A *(a)(b)(c) | 66,667 | — | |
Sword Diagnostics, Series B *(a)(b) | 1,264,108 | — | |
2,258,108 | |||
Total Preferred Stocks (Cost $2,931,031) | 2,258,108 | ||
44 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
SHARES | VALUE ($) | ||
WARRANTS - 0.0% (d) | |||
Venture Capital - 0.0% (d) | |||
Graduation Alliance, Inc., Preferred Warrants (strike price $0.16/share, expires 8/20/18) *(a)(b) | 625,721 | 3,066 | |
Total Warrants (Cost $0) | 3,066 | ||
VENTURE CAPITAL LIMITED PARTNERSHIP INTEREST - 0.7% | |||
Accion Frontier Inclusion Fund LP *(a)(b) | 422,762 | ||
Adobe Capital Social Mezzanine I LP *(a)(b) | 246,738 | ||
Africa Renewable Energy Fund LP *(a)(b) | 626,484 | ||
Arborview Capital Partners LP *(a)(b) | 537,544 | ||
Blackstone Clean Technology Partners LP *(a)(b) | 73,392 | ||
Bridges Ventures US Sustainable Growth Fund, LP | 234,617 | ||
China Environment Fund 2004 LP *(a)(b) | 3,779 | ||
China Environment Fund III LP *(a)(b) | 531,041 | ||
Coastal Ventures III LP *(a)(b) | 269,950 | ||
Core Innovations Capital I LP *(a)(b) | 1,313,419 | ||
Cross Culture Ventures I LP *(a)(b) | 244,167 | ||
DBL Equity Fund - BAEF Il LP *(a)(b) | 904,257 | ||
DBL Partners III LP *(a)(b) | 432,330 | ||
First Analysis Private Equity Fund V LP *(a)(b) | 1,163,734 | ||
Ignia Fund I LP *(a)(b) | 580,187 | ||
Impact Ventures II LP *(a)(b) | 200,816 | ||
LeapFrog Financial Inclusion Fund *(a)(b) | 733,919 | ||
New Markets Education Partners LP *(a)(b) | 791,471 | ||
New Markets Venture Partners II LP *(a)(b) | 266,520 | ||
Owl Ventures LP *(a)(b) | 543,313 | ||
Renewable Energy Asia Fund LP *(a)(b) | 2,323,966 | ||
SEAF India International Growth Fund LP *(a)(b) | 25,909 | ||
SJF Ventures II LP, Preferred *(a)(b) | 562,016 | ||
SJF Ventures III LP *(a)(b) | 1,154,068 | ||
Westly Capital Partners Fund II LP *(a)(b) | 738,779 | ||
Total Venture Capital Limited Partnership Interest (Cost $13,789,467) | 14,925,178 | ||
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
VENTURE CAPITAL DEBT OBLIGATIONS - 0.2% | |||
New Day Farms, Inc., Participation Interest Note, 9.00%, 9/1/12 (a)(b)(c)(e) | 6,225 | — | |
One Earth Group Ltd., Convertible Note, 5.00%, 10/31/20 (a)(b)(f) | 300,000 | — | |
SEAF Global SME Facility: | |||
9.00%, 12/31/17 (a)(b) | 450,000 | 450,986 | |
9.00%, 12/31/17 (a)(b) | 1,500,000 | 1,517,411 | |
9.00%, 3/31/18 (a)(b)(f) | 322,857 | 435,000 | |
9.00%, 3/31/18 (a)(b) | 650,000 | 649,290 | |
9.00%, 3/31/18 (a)(b)(f) | 1,000,000 | 435,000 | |
Total Venture Capital Debt Obligations (Cost $4,146,371) | 3,487,687 | ||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 45
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
HIGH SOCIAL IMPACT INVESTMENTS - 0.6% | |||
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/15/19 (a)(c) | 10,833,877 | 10,325,551 | |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/20 (a)(b)(g) | 1,445,000 | 1,365,525 | |
ImpactAssets Inc., Microfinance Plus Notes, 0.00%, 11/3/20 (a)(b)(g) | 1,855,000 | 1,767,815 | |
Total High Social Impact Investments (Cost $14,133,877) | 13,458,891 | ||
OTHER - 0.0% (d) | |||
EXCENT Corp., Contingent Deferred Distribution *(a)(b) | 24,841 | ||
GroSolar, Contingent Deferred Distribution *(a)(b) | 673,290 | ||
Total Other (Cost $1,809,266) | 698,131 | ||
TIME DEPOSIT - 3.9% | |||
State Street Bank and Trust Eurodollar Time Deposit, 0.12%, 10/2/17 | 83,930,887 | 83,930,887 | |
Total Time Deposit (Cost $83,930,887) | 83,930,887 | ||
TOTAL INVESTMENTS (Cost $1,509,555,583) - 100.0% | 2,135,916,030 | ||
Other assets and liabilities, net - (0.0%) (d) | (886,250) | ||
NET ASSETS - 100.0% | 2,135,029,780 | ||
NOTES TO SCHEDULE OF INVESTMENTS |
* Non-income producing security. |
(a) Restricted security. Total market value of restricted securities amounts to $35,632,494, which represents 1.7% of the net assets of the Fund as of September 30, 2017. |
(b) For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note A). |
(c) Affiliated company (see Note G). |
(d) Amount is less than 0.05% or (0.05)%, as applicable. |
(e) Security is in default for both principal and interest. |
(f) This security is not accruing interest. |
(g) Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at September 30, 2017. |
RESTRICTED SECURITIES | ACQUISITION DATES | COST ($) | |
20/20 Gene Systems, Inc. | 8/1/08-8/27/13 | 166,890 | |
Accion Frontier Inclusion Fund LP | 11/12/15-9/29/17 | 409,058 | |
Adobe Capital Social Mezzanine I LP | 2/8/13-1/30/17 | 324,779 | |
Africa Renewable Energy Fund LP | 4/17/14-3/6/17 | 635,688 | |
Arborview Capital Partners LP | 11/13/12-6/8/17 | 453,164 | |
Blackstone Clean Technology Partners LP | 7/29/10-6/25/15 | 446,830 | |
Bridges Ventures US Sustainable Growth Fund, LP | 6/8/16-7/19/17 | 352,498 | |
Calvert Social Investment Foundation, Community Investment Notes, 1.50%, 12/15/19 | 12/15/16 | 10,833,877 | |
China Environment Fund 2004 LP | 9/15/05-4/1/09 | — | |
China Environment Fund III LP | 1/24/08-4/19/13 | 688,450 | |
46 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
RESTRICTED SECURITIES - CONT’D | ACQUISITION DATES | COST ($) | |
Coastal Ventures III LP | 7/30/12-8/17/17 | 255,068 | |
Core Innovations Capital I LP | 1/6/11-6/30/17 | 948,234 | |
Cross Culture Ventures I LP | 2/24/16-7/3/17 | 263,697 | |
DBL Equity Fund - BAEF Il LP | 3/30/11-8/2/16 | 866,008 | |
DBL Partners III LP | 1/16/15-9/12/17 | 448,954 | |
Digital Directions International, Inc. | 7/2/08-7/15/09 | 683,778 | |
Entouch, Series C, Preferred | 2/3/16 | 350,000 | |
EXCENT Corp., Contingent Deferred Distribution | 9/1/16 | — | |
First Analysis Private Equity Fund V LP | 6/7/13-9/27/17 | 847,314 | |
Graduation Alliance, Inc. | 5/17/16 | 390 | |
Graduation Alliance, Inc., Series C, Preferred | 3/27/13-8/20/13 | 500,000 | |
Graduation Alliance, Inc., Series D, Convertible Preferred | 4/29/15-5/17/16 | 228,617 | |
Graduation Alliance, Inc., Preferred Warrants (strike price $0.16/share, expires 8/20/18) | 9/13/13 | — | |
GroSolar, Contingent Deferred Distribution | 12/22/16 | 1,809,266 | |
Ignia Fund I LP | 1/28/10-12/9/16 | 1,001,436 | |
Impact Ventures II LP | 9/8/10-6/15/17 | 828,381 | |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/20 | 11/13/15 | 1,445,000 | |
ImpactAssets Inc., Microfinance Plus Notes, 0.00%, 11/3/20 | 11/13/15 | 1,855,000 | |
Ivy Capital (Proprietary) Ltd. | 9/12/12-5/14/14 | 557,010 | |
LeapFrog Financial Inclusion Fund | 1/20/10-6/6/17 | 403,550 | |
Napo Pharmaceuticals, Inc. | 2/21/07-9/23/09 | 419,720 | |
New Day Farms, Inc., Series B, Preferred | 3/12/09 | 500,000 | |
New Day Farms, Inc., Participation Interest Note, 9.00%, 9/1/12 | 12/31/15 | 6,225 | |
New Markets Education Partners LP | 9/27/11-4/13/17 | 770,317 | |
New Markets Venture Partners II LP | 7/21/08-5/3/16 | — | |
One Earth Group Ltd., Convertible Note, 5.00%, 10/31/20 | 10/31/20-2/1/17 | 300,000 | |
Owl Ventures LP | 7/10/14-9/1/17 | 350,000 | |
PresenceLearning, Inc., Series A, Preferred | 9/29/11 | 300,000 | |
PresenceLearning, Inc., Series A-2, Preferred | 5/2/12 | 134,942 | |
PresenceLearning, Inc., Series B, Preferred | 4/4/13 | 285,000 | |
Renewable Energy Asia Fund LP | 9/29/10-1/5/17 | 1,753,943 | |
SEAF Global SME Facility, 9.00%, 12/31/17 | 3/29/11 | 450,000 | |
SEAF Global SME Facility, 9.00%, 12/31/17 | 6/28/13 | 1,500,000 | |
SEAF Global SME Facility, 9.00%, 3/31/18 | 11/6/15 | 1,000,000 | |
SEAF Global SME Facility, 9.00%, 3/31/18 | 9/29/16-8/25/17 | 240,146 | |
SEAF Global SME Facility, 9.00%, 3/31/18 | 7/11/11-1/11/17 | 650,000 | |
SEAF India International Growth Fund LP | 3/22/05-5/24/10 | 210,391 | |
Shangri La Farms, Series A, Preferred | 2/1/13 | 200,000 | |
SJF Ventures II LP, Preferred | 2/14/06-11/20/12 | — | |
SJF Ventures III LP | 2/6/12-7/14/17 | 683,774 | |
Sword Diagnostics, Series B, Preferred | 12/26/06-11/9/10 | 432,472 | |
Westly Capital Partners Fund II LP | 12/27/11-6/15/17 | 847,933 | |
See notes to financial statements. | |||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 47
CALVERT BALANCED FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2017
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $654,034,686) - including $493,191 of securities on loan | $685,014,374 | ||
Investments in securities of affiliated issuers, at value (identified cost $4,266,666) | 4,083,727 | ||
Cash | 1,992,653 | ||
Cash denominated in foreign currency, at value (cost $13,830) | 13,846 | ||
Receivable for investments sold | 5,303,679 | ||
Receivable for capital shares sold | 397,872 | ||
Dividends and interest receivable | 2,024,265 | ||
Interest receivable - affiliated issuers | 51,556 | ||
Securities lending income receivable | 421 | ||
Tax reclaims receivable | 5,797 | ||
Deposits at brokers for futures contracts | 1,950 | ||
Trustees' deferred compensation plan | 422,777 | ||
Total assets | 699,312,917 | ||
LIABILITIES | |||
Payable for variation margin on open futures contracts | 2,781 | ||
Payable for investments purchased | 6,024,056 | ||
Payable for when-issued securities | 959,000 | ||
Payable for capital shares redeemed | 1,646,100 | ||
Deposits for securities loaned | 504,455 | ||
Payable to affiliates: | |||
Investment advisory fee | 227,923 | ||
Administrative fee | 67,839 | ||
Distribution and service fees | 156,509 | ||
Sub-transfer agency fee | 11,356 | ||
Trustees' deferred compensation plan | 422,777 | ||
Other | 819 | ||
Accrued expenses | 319,320 | ||
Total liabilities | 10,342,935 | ||
Commitments and contingent liabilities (Note I) | |||
NET ASSETS | $688,969,982 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to shares of beneficial interest | |||
(unlimited number of no par value shares authorized) | $619,675,011 | ||
Accumulated undistributed net investment income | 242,189 | ||
Accumulated undistributed net realized gain | 38,256,762 | ||
Net unrealized appreciation (depreciation) | 30,796,020 | ||
Total | $688,969,982 | ||
48 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT BALANCED FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2017 - CONT’D
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $549,516,601 and 16,860,286 shares outstanding) | $32.59 | ||
Class C (based on net assets of $61,204,553 and 1,934,722 shares outstanding) | $31.63 | ||
Class I (based on net assets of $48,779,698 and 1,472,040 shares outstanding) | $33.14 | ||
Class Y (based on net assets of $29,469,130 and 896,953 shares outstanding) | $32.85 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $34.22 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. | |||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 49
CALVERT BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2017
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $937,516,694) - including $5,054,424 of securities on loan | $946,511,410 | ||
Investments in securities of affiliated issuers, at value (identified cost $5,087,392) | 4,848,692 | ||
Receivable for investments sold | 1,800,011 | ||
Receivable for capital shares sold | 1,640,832 | ||
Interest receivable | 5,619,965 | ||
Interest receivable - affiliated issuers | 61,473 | ||
Securities lending income receivable | 2,485 | ||
Trustees' deferred compensation plan | 520,598 | ||
Total assets | 961,005,466 | ||
LIABILITIES | |||
Due to custodian | 15,038 | ||
Payable for when-issued investments purchased | 3,445,000 | ||
Payable for capital shares redeemed | 816,555 | ||
Deposits for securities loaned | 5,165,215 | ||
Payable to affiliates: | |||
Investment advisory fee | 272,248 | ||
Administrative fee | 85,169 | ||
Distribution and service fees | 68,443 | ||
Sub-transfer agency fee | 6,174 | ||
Trustees' deferred compensation plan | 520,598 | ||
Accrued expenses | 281,299 | ||
Total liabilities | 10,675,739 | ||
NET ASSETS | $950,329,727 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to shares of beneficial interest | |||
(unlimited number of no par value shares authorized) | $945,125,192 | ||
Accumulated undistributed net investment income | 83,688 | ||
Accumulated net realized loss | (3,635,169) | ||
Net unrealized appreciation (depreciation) | 8,756,016 | ||
Total | $950,329,727 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $281,490,190 and 17,440,937 shares outstanding) | $16.14 | ||
Class C (based on net assets of $26,631,417 and 1,661,105 shares outstanding) | $16.03 | ||
Class I (based on net assets of $500,510,127 and 30,985,715 shares outstanding) | $16.15 | ||
Class Y (based on net assets of $141,697,993 and 8,718,605 shares outstanding) | $16.25 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/96.25 of net asset value per share) | $16.77 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. | |||
50 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2017
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $1,498,015,481) | $2,125,590,479 | ||
Investments in securities of affiliated issuers, at value (identified cost $11,540,102) | 10,325,551 | ||
Cash | 9,855 | ||
Receivable for capital shares sold | 1,565,842 | ||
Dividends and interest receivable | 1,657,868 | ||
Interest receivable - affiliated issuers | 131,329 | ||
Tax reclaims receivable | 238,679 | ||
Trustees' deferred compensation plan | 1,393,791 | ||
Total assets | 2,140,913,394 | ||
LIABILITIES | |||
Payable for investments purchased | 9,855 | ||
Payable for capital shares redeemed | 2,213,674 | ||
Payable to affiliates: | |||
Investment advisory fee | 868,965 | ||
Administrative fee | 201,525 | ||
Distribution and service fees | 376,736 | ||
Sub-transfer agency fee | 20,329 | ||
Trustees' deferred compensation plan | 1,393,791 | ||
Accrued expenses | 798,739 | ||
Total liabilities | 5,883,614 | ||
Commitments and contingent liabilities (Note I) | |||
NET ASSETS | $2,135,029,780 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to shares of beneficial interest | |||
(unlimited number of no par value shares authorized) | $1,367,143,463 | ||
Accumulated undistributed net investment income | 2,779,927 | ||
Accumulated undistributed net realized gain | 138,745,631 | ||
Net unrealized appreciation (depreciation) | 626,360,759 | ||
Total | $2,135,029,780 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $1,220,685,035 and 28,181,605 shares outstanding) | $43.31 | ||
Class C (based on net assets of $152,561,240 and 5,684,245 shares outstanding) | $26.84 | ||
Class I (based on net assets of $550,055,126 and 11,126,268 shares outstanding) | $49.44 | ||
Class Y (based on net assets of $211,728,379 and 4,742,358 shares outstanding) | $44.65 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $45.47 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. | |||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 51
STATEMENTS OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2017
Balanced Fund | Bond Fund | Equity Fund | |||||||
INVESTMENT INCOME | |||||||||
Dividend income (net of foreign taxes withheld of $31,129, $0 and $82,834, respectively) | $8,616,609 | $— | $25,305,144 | ||||||
Interest income (net of foreign taxes withheld of $136, $0 and $0, respectively) | 8,174,883 | 28,106,940 | 275,592 | ||||||
Interest income - affiliated issuers | 53,727 | 66,591 | 142,464 | ||||||
Securities lending income, net | 51,163 | 103,996 | 27,016 | ||||||
Other income | 3,607 | 11,548 | 878 | ||||||
Total investment income | 16,899,989 | 28,289,075 | 25,751,094 | ||||||
EXPENSES | |||||||||
Investment advisory fee | 2,766,631 | 3,125,011 | 10,530,518 | ||||||
Administrative fee | 823,365 | 1,071,432 | 2,544,416 | ||||||
Distribution and service fees: | |||||||||
Class A | 1,335,436 | 650,280 | 3,130,394 | ||||||
Class C | 611,941 | 292,793 | 1,623,233 | ||||||
Trustees' fees and expenses | 49,410 | 64,523 | 151,405 | ||||||
Custodian fees | 122,693 | 76,569 | 107,936 | ||||||
Transfer agency fees and expenses: | |||||||||
Class A | 738,605 | 498,893 | 1,585,359 | ||||||
Class C | 95,883 | 55,905 | 217,030 | ||||||
Class I | 5,011 | 10,469 | 16,566 | ||||||
Class Y | 17,114 | 73,365 | 110,797 | ||||||
Accounting fees | 174,052 | 208,536 | 450,940 | ||||||
Professional fees | 99,174 | 66,651 | 215,744 | ||||||
Registration fees: | |||||||||
Class A | 23,555 | 24,214 | 29,605 | ||||||
Class C | 15,787 | 15,459 | 16,141 | ||||||
Class I | 17,543 | 23,626 | 22,527 | ||||||
Class Y | 15,389 | 20,158 | 16,459 | ||||||
Reports to shareholders | 54,622 | 61,386 | 121,668 | ||||||
Miscellaneous | 131,151 | 78,200 | 343,460 | ||||||
Total expenses | 7,097,362 | 6,417,470 | 21,234,198 | ||||||
Waiver and/or reimbursement of expenses by affiliates | (26,674) | (84,869) | (122,494) | ||||||
Reimbursement of expenses-other | (8,100) | (10,520) | (24,835) | ||||||
Net expenses | 7,062,588 | 6,322,081 | 21,086,869 | ||||||
Net investment income (loss) | 9,837,401 | 21,966,994 | 4,664,225 | ||||||
52 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
STATEMENTS OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2017 - CONT’D
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||
Net realized gain (loss) on: | |||||||||||
Investment securities - unaffiliated issuers | 53,071,463 | (2,881,623) | 211,444,629 | ||||||||
Futures contracts | (50,624) | 1,066,759 | — | ||||||||
Foreign currency transactions | 249 | — | 17 | ||||||||
53,021,088 | (1,814,864) | 211,444,646 | |||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||
Investment securities - unaffiliated issuers | (6,888,019) | (7,426,610) | 103,584,170 | ||||||||
Investment securities - affiliated issuers | (125,902) | (170,953) | (488,503) | ||||||||
Futures contracts | 91,681 | (25,960) | — | ||||||||
Foreign currency | 14 | — | 304 | ||||||||
(6,922,226) | (7,623,523) | 103,095,971 | |||||||||
Net realized and unrealized gain (loss) | 46,098,862 | (9,438,387) | 314,540,617 | ||||||||
Net increase (decrease) in net assets resulting from operations | $55,936,263 | $12,528,607 | $319,204,842 | ||||||||
See notes to financial statements. | |||||||||||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 53
CALVERT BALANCED FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||
Operations: | |||||||
Net investment income (loss) | $9,837,401 | $10,611,271 | |||||
Net realized gain (loss) | 53,021,088 | 5,074,863 | |||||
Net change in unrealized appreciation (depreciation) | (6,922,226) | 40,626,192 | |||||
Net increase (decrease) in net assets resulting from operations | 55,936,263 | 56,312,326 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (8,151,148) | (9,600,026) | |||||
Class C shares | (450,495) | (522,729) | |||||
Class I shares | (793,017) | (287,663) | |||||
Class Y shares | (402,507) | (193,304) | |||||
Net realized gain: | |||||||
Class A shares | (6,545,044) | (57,459,858) | |||||
Class C shares | (686,237) | (5,775,639) | |||||
Class I shares | (229,781) | (1,379,237) | |||||
Class Y shares | (149,280) | (638,834) | |||||
Total distributions to shareholders | (17,407,509) | (75,857,290) | |||||
Capital share transactions: | |||||||
Class A shares | (74,481,952) | 40,811,573 | |||||
Class C shares | (1,424,823) | 5,819,517 | |||||
Class I shares | 30,715,683 | 2,076,176 | |||||
Class Y shares | 15,033,331 | 6,890,938 | |||||
Net increase (decrease) in net assets from capital share transactions | (30,157,761) | 55,598,204 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 8,370,993 | 36,053,240 | |||||
NET ASSETS | |||||||
Beginning of year | 680,598,989 | 644,545,749 | |||||
End of year (including accumulated undistributed net investment income of $242,189 and $467,923, respectively) | $688,969,982 | $680,598,989 | |||||
See notes to financial statements. | |||||||
54 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||
Operations: | |||||||
Net investment income (loss) | $21,966,994 | $22,092,908 | |||||
Net realized gain (loss) | (1,814,864) | 9,109,805 | |||||
Net change in unrealized appreciation (depreciation) | (7,623,523) | 18,692,654 | |||||
Net increase (decrease) in net assets resulting from operations | 12,528,607 | 49,895,367 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (7,273,146) | (9,855,178) | |||||
Class C shares | (412,882) | (530,716) | |||||
Class I shares | (11,297,997) | (9,284,052) | |||||
Class Y shares | (2,926,328) | (2,501,692) | |||||
Net realized gain: | |||||||
Class A shares | (1,066,212) | — | |||||
Class C shares | (88,029) | — | |||||
Class I shares | (1,034,416) | — | |||||
Class Y shares | (257,861) | — | |||||
Total distributions to shareholders | (24,356,871) | (22,171,638) | |||||
Capital share transactions: | |||||||
Class A shares | (107,818,348) | (12,300,550) | |||||
Class C shares | (5,236,985) | (1,358,841) | |||||
Class I shares | 149,145,862 | 15,843,126 | |||||
Class Y shares | 32,696,224 | 29,823,097 | |||||
Net increase (decrease) in net assets from capital share transactions | 68,786,753 | 32,006,832 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 56,958,489 | 59,730,561 | |||||
NET ASSETS | |||||||
Beginning of year | 893,371,238 | 833,640,677 | |||||
End of year (including accumulated undistributed net investment income of $83,688 and $36,615, respectively) | $950,329,727 | $893,371,238 | |||||
See notes to financial statements. | |||||||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 55
CALVERT EQUITY FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||
Operations: | |||||||
Net investment income (loss) | $4,664,225 | $7,068,815 | |||||
Net realized gain (loss) | 211,444,646 | 335,942,117 | |||||
Net change in unrealized appreciation (depreciation) | 103,095,971 | (149,965,972) | |||||
Net increase (decrease) in net assets resulting from operations | 319,204,842 | 193,044,960 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (1,961,371) | (4,421,447) | |||||
Class C shares | — | (164,566) | |||||
Class I shares | (3,250,521) | (3,205,143) | |||||
Class Y shares | (856,956) | (1,100,000) | |||||
Net realized gain: | |||||||
Class A shares | (131,011,225) | (278,855,516) | |||||
Class C shares | (25,782,355) | (48,599,419) | |||||
Class I shares | (44,626,014) | (93,516,345) | |||||
Class Y shares | (15,004,422) | (32,976,417) | |||||
Total distributions to shareholders | (222,492,864) | (462,838,853) | |||||
Capital share transactions: | |||||||
Class A shares | (217,516,856) | 224,027,994 | |||||
Class C shares | (23,409,675) | 44,011,191 | |||||
Class I shares | 43,446,160 | (45,867,461) | |||||
Class Y shares | 3,370,372 | 56,419,655 | |||||
Net increase (decrease) in net assets from capital share transactions | (194,109,999) | 278,591,379 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (97,398,021) | 8,797,486 | |||||
NET ASSETS | |||||||
Beginning of year | 2,232,427,801 | 2,223,630,315 | |||||
End of year (including accumulated undistributed net investment income of $2,779,927 and $5,779,264, respectively) | $2,135,029,780 | $2,232,427,801 | |||||
See notes to financial statements. | |||||||
56 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT BALANCED FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS A SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||
Net asset value, beginning | $30.82 | $31.90 | $33.06 | $34.13 | $30.81 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (a) | 0.47 | 0.51 | (b) | 0.43 | 0.33 | 0.24 | ||||||||
Net realized and unrealized gain (loss) | 2.11 | 2.14 | (c) | (0.81) | 3.02 | 3.32 | ||||||||
Total from investment operations | 2.58 | 2.65 | (0.38) | 3.35 | 3.56 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.46) | (0.50) | (0.41) | (0.32) | (0.24) | |||||||||
Net realized gain | (0.35) | (3.23) | (0.37) | (4.10) | — | |||||||||
Total distributions | (0.81) | (3.73) | (0.78) | (4.42) | (0.24) | |||||||||
Total increase (decrease) in net asset value | 1.77 | (1.08) | (1.16) | (1.07) | 3.32 | |||||||||
Net asset value, ending | $32.59 | $30.82 | $31.90 | $33.06 | $34.13 | |||||||||
Total return (d) | 8.51 | % | 8.93 | % | (c) | (1.27 | %) | 10.77 | % | 11.60 | % | |||
Ratios to average net assets: (e) | ||||||||||||||
Total expenses | 0.99 | % | 1.05 | % | 1.13 | % | 1.17 | % | 1.18 | % | ||||
Net expenses | 0.99 | % | 1.02 | % | 1.13 | % | 1.16 | % | 1.18 | % | ||||
Net investment income | 1.48 | % | 1.67 | % | (b) | 1.25 | % | 1.02 | % | 0.76 | % | |||
Portfolio turnover | 128 | % | 146 | % | 99 | % | 124 | % | 114 | % | ||||
Net assets, ending (in thousands) | $549,517 | $592,625 | $569,368 | $561,809 | $497,160 | |||||||||
(a) Computed using average shares outstanding. | ||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.007 per share and 0.02% of average net assets. | ||||||||||||||
(c) Total return includes voluntary reimbursement by the Adviser for realized investment losses relating to two trading errors which amounted to $0.01 per share. Excluding such payment, the total return would have been 8.90%. | ||||||||||||||
(d) 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. | ||||||||||||||
(e) 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. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 57
CALVERT BALANCED FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS C SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||
Net asset value, beginning | $29.95 | $31.11 | $32.30 | $33.45 | $30.23 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (loss) (a) | 0.20 | 0.25 | (b) | 0.15 | 0.08 | -0.02 | ||||||||
Net realized and unrealized gain (loss) | 2.06 | 2.08 | (c) | (0.78) | 2.94 | 3.25 | ||||||||
Total from investment operations | 2.26 | 2.33 | (0.63) | 3.02 | 3.23 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.23) | (0.26) | (0.19) | (0.07) | (0.01) | |||||||||
Net realized gain | (0.35) | (3.23) | (0.37) | (4.10) | — | |||||||||
Total distributions | (0.58) | (3.49) | (0.56) | (4.17) | (0.01) | |||||||||
Total increase (decrease) in net asset value | 1.68 | (1.16) | (1.19) | (1.15) | 3.22 | |||||||||
Net asset value, ending | $31.63 | $29.95 | $31.11 | $32.30 | $33.45 | |||||||||
Total return (d) | 7.66 | % | 8.05 | % | (c) | (2.08 | %) | 9.89 | % | 10.71 | % | |||
Ratios to average net assets: (e) | ||||||||||||||
Total expenses | 1.80 | % | 1.86 | % | 1.92 | % | 1.95 | % | 1.99 | % | ||||
Net expenses | 1.80 | % | 1.84 | % | 1.92 | % | 1.94 | % | 1.99 | % | ||||
Net investment income (loss) | 0.67 | % | 0.85 | % | (b) | 0.47 | % | 0.24 | % | (0.06 | %) | |||
Portfolio turnover | 128 | % | 146 | % | 99 | % | 124 | % | 114 | % | ||||
Net assets, ending (in thousands) | $61,205 | $59,242 | $55,180 | $48,814 | $37,812 | |||||||||
(a) Computed using average shares outstanding. | ||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.007 per share and 0.02% of average net assets. | ||||||||||||||
(c) Total return includes voluntary reimbursement by the Adviser for realized investment losses relating to two trading errors which amounted to $0.01 per share. Excluding such payment, the total return would have been 8.02%. | ||||||||||||||
(d) 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. | ||||||||||||||
(e) 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. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
58 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT BALANCED FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS I SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||
Net asset value, beginning | $31.32 | $32.36 | $33.53 | $34.55 | $31.19 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (a) | 0.58 | 0.63 | (b) | 0.59 | 0.51 | 0.41 | ||||||||
Net realized and unrealized gain (loss) | 2.18 | 2.17 | (c) | (0.82) | 3.06 | 3.35 | ||||||||
Total from investment operations | 2.76 | 2.80 | (0.23) | 3.57 | 3.76 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.59) | (0.61) | (0.57) | (0.49) | (0.40) | |||||||||
Net realized gain | (0.35) | (3.23) | (0.37) | (4.10) | — | |||||||||
Total distributions | (0.94) | (3.84) | (0.94) | (4.59) | (0.40) | |||||||||
Total increase (decrease) in net asset value | 1.82 | (1.04) | (1.17) | (1.02) | 3.36 | |||||||||
Net asset value, ending | $33.14 | $31.32 | $32.36 | $33.53 | $34.55 | |||||||||
Total return (d) | 8.94 | % | 9.32 | % | (c) | (0.86 | %) | 11.35 | % | 12.13 | % | |||
Ratios to average net assets: (e) | ||||||||||||||
Total expenses | 0.67 | % | 0.76 | % | 0.64 | % | 0.66 | % | 0.68 | % | ||||
Net expenses | 0.62 | % | 0.65 | % | 0.64 | % | 0.66 | % | 0.68 | % | ||||
Net investment income | 1.80 | % | 2.04 | % | (b) | 1.70 | % | 1.53 | % | 1.26 | % | |||
Portfolio turnover | 128 | % | 146 | % | 99 | % | 124 | % | 114 | % | ||||
Net assets, ending (in thousands) | $48,780 | $15,554 | $13,894 | $43,579 | $35,578 | |||||||||
(a) Computed using average shares outstanding. | ||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.007 per share and 0.02% of average net assets. | ||||||||||||||
(c) Total return includes voluntary reimbursement by the Adviser for realized investment losses relating to two trading errors which amounted to $0.01 per share. Excluding such payment, the total return would have been 9.28%. | ||||||||||||||
(d) 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. | ||||||||||||||
(e) 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. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 59
CALVERT BALANCED FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | ||||||||||||||
CLASS Y SHARES | 2017 | 2016 | 2015 | 2014 | 2013 (a) | ||||||||||
Net asset value, beginning | $31.06 | $32.13 | $33.29 | $34.25 | $32.60 | ||||||||||
Income from investment operations: | |||||||||||||||
Net investment income (b) | 0.54 | 0.58 | (c) | 0.50 | 0.38 | 0.18 | |||||||||
Net realized and unrealized gain (loss) | 2.15 | 2.15 | (d) | (0.83) | 3.04 | 1.48 | |||||||||
Total from investment operations | 2.69 | 2.73 | (0.33) | 3.42 | 1.66 | ||||||||||
Distributions from: | |||||||||||||||
Net investment income | (0.55) | (0.57) | (0.46) | (0.28) | (0.01) | ||||||||||
Net realized gain | (0.35) | (3.23) | (0.37) | (4.10) | — | ||||||||||
Total distributions | (0.90) | (3.80) | (0.83) | (4.38) | (0.01) | ||||||||||
Total increase (decrease) in net asset value | 1.79 | (1.07) | (1.16) | (0.96) | 1.65 | ||||||||||
Net asset value, ending | $32.85 | $31.06 | $32.13 | $33.29 | $34.25 | ||||||||||
Total return (e) | 8.84 | % | 9.15 | % | (d) | (1.13 | %) | 10.97 | % | 5.11 | % | ||||
Ratios to average net assets: (f) | |||||||||||||||
Total expenses | 0.76 | % | 0.88 | % | 1.09 | % | 3.32 | % | 61.96 | % | (g) | ||||
Net expenses | 0.73 | % | 0.78 | % | 0.96 | % | 0.96 | % | 0.97 | % | (g) | ||||
Net investment income | 1.70 | % | 1.89 | % | (c) | 1.46 | % | 1.27 | % | 0.71 | % | (g) | |||
Portfolio turnover | 128 | % | 146 | % | 99 | % | 124 | % | 114 | % | |||||
Net assets, ending (in thousands) | $29,469 | $13,178 | $6,103 | $3,250 | $66 | ||||||||||
(a) From April 30, 2013 inception. | |||||||||||||||
(b) Computed using average shares outstanding. | |||||||||||||||
(c) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.008 per share and 0.03% of average net assets. | |||||||||||||||
(d) Total return includes voluntary reimbursement by the Adviser for realized investment losses relating to two trading errors which amounted to $0.01 per share. Excluding such payment, the total return would have been 9.12%. | |||||||||||||||
(e) 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. Total return is not annualized for periods of less than one year. | |||||||||||||||
(f) 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. | |||||||||||||||
(g) Annualized. | |||||||||||||||
See notes to financial statements. | |||||||||||||||
60 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT BOND FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS A SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||
Net asset value, beginning | $16.36 | $15.83 | $15.92 | $15.61 | $16.58 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (a) | 0.37 | 0.40 | (b) | 0.38 | 0.38 | 0.33 | ||||||||
Net realized and unrealized gain (loss) | (0.18) | 0.53 | (0.09) | 0.34 | (0.69) | |||||||||
Total from investment operations | 0.19 | 0.93 | 0.29 | 0.72 | (0.36) | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.36) | (0.40) | (0.38) | (0.38) | (0.35) | |||||||||
Net realized gain | (0.05) | — | — | (0.03) | (0.26) | |||||||||
Total distributions | (0.41) | (0.40) | (0.38) | (0.41) | (0.61) | |||||||||
Total increase (decrease) in net asset value | (0.22) | 0.53 | (0.09) | 0.31 | (0.97) | |||||||||
Net asset value, ending | $16.14 | $16.36 | $15.83 | $15.92 | $15.61 | |||||||||
Total return (c) | 1.21 | % | 5.96 | % | 1.79 | % | 4.66 | % | (2.27 | %) | ||||
Ratios to average net assets: (d) | ||||||||||||||
Total expenses | 0.89 | % | 0.94 | % | 1.07 | % | 1.12 | % | 1.11 | % | ||||
Net expenses | 0.89 | % | 0.91 | % | 1.07 | % | 1.12 | % | 1.11 | % | ||||
Net investment income | 2.29 | % | 2.49 | % | (b) | 2.35 | % | 2.40 | % | 2.05 | % | |||
Portfolio turnover | 99 | % | 154 | % | 241 | % | 187 | % | 214 | % | ||||
Net assets, ending (in thousands) | $281,490 | $395,957 | $395,194 | $378,269 | $408,823 | |||||||||
(a) Computed using average shares outstanding. | ||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to less than $0.005 per share and less than 0.005% of average net assets. | ||||||||||||||
(c) 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. | ||||||||||||||
(d) 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. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 61
CALVERT BOND FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS C SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||
Net asset value, beginning | $16.26 | $15.73 | $15.82 | $15.52 | $16.48 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (a) | 0.22 | 0.25 | (b) | 0.24 | 0.25 | 0.20 | ||||||||
Net realized and unrealized gain (loss) | (0.18) | 0.54 | (0.09) | 0.33 | (0.68) | |||||||||
Total from investment operations | 0.04 | 0.79 | 0.15 | 0.58 | (0.48) | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.22) | (0.26) | (0.24) | (0.25) | (0.22) | |||||||||
Net realized gain | (0.05) | — | — | (0.03) | (0.26) | |||||||||
Total distributions | (0.27) | (0.26) | (0.24) | (0.28) | (0.48) | |||||||||
Total increase (decrease) in net asset value | (0.23) | 0.53 | (0.09) | 0.30 | (0.96) | |||||||||
Net asset value, ending | $16.03 | $16.26 | $15.73 | $15.82 | $15.52 | |||||||||
Total return (c) | 0.27 | % | 5.05 | % | 0.95 | % | 3.78 | % | (3.01 | %) | ||||
Ratios to average net assets: (d) | ||||||||||||||
Total expenses | 1.78 | % | 1.84 | % | 1.91 | % | 1.92 | % | 1.90 | % | ||||
Net expenses | 1.78 | % | 1.81 | % | 1.91 | % | 1.92 | % | 1.90 | % | ||||
Net investment income | 1.40 | % | 1.59 | % | (b) | 1.51 | % | 1.60 | % | 1.26 | % | |||
Portfolio turnover | 99 | % | 154 | % | 241 | % | 187 | % | 214 | % | ||||
Net assets, ending (in thousands) | $26,631 | $32,349 | $32,626 | $33,963 | $37,620 | |||||||||
(a) Computed using average shares outstanding. | ||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to less than $0.005 per share and less than 0.005% of average net assets. | ||||||||||||||
(c) 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. | ||||||||||||||
(d) 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. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
62 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT BOND FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS I SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||
Net asset value, beginning | $16.38 | $15.85 | $15.94 | $15.62 | $16.59 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (a) | 0.42 | 0.46 | (b) | 0.47 | 0.48 | 0.43 | ||||||||
Net realized and unrealized gain (loss) | (0.17) | 0.53 | (0.09) | 0.35 | (0.70) | |||||||||
Total from investment operations | 0.25 | 0.99 | 0.38 | 0.83 | (0.27) | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.43) | (0.46) | (0.47) | (0.48) | (0.44) | |||||||||
Net realized gain | (0.05) | — | — | (0.03) | (0.26) | |||||||||
Total distributions | (0.48) | (0.46) | (0.47) | (0.51) | (0.70) | |||||||||
Total increase (decrease) in net asset value | (0.23) | 0.53 | (0.09) | 0.32 | (0.97) | |||||||||
Net asset value, ending | $16.15 | $16.38 | $15.85 | $15.94 | $15.62 | |||||||||
Total return (c) | 1.54 | % | 6.35 | % | 2.36 | % | 5.35 | % | (1.69 | %) | ||||
Ratios to average net assets: (d) | ||||||||||||||
Total expenses | 0.54 | % | 0.54 | % | 0.51 | % | 0.50 | % | 0.51 | % | ||||
Net expenses | 0.52 | % | 0.53 | % | 0.51 | % | 0.50 | % | 0.51 | % | ||||
Net investment income | 2.64 | % | 2.86 | % | (b) | 2.91 | % | 3.01 | % | 2.66 | % | |||
Portfolio turnover | 99 | % | 154 | % | 241 | % | 187 | % | 214 | % | ||||
Net assets, ending (in thousands) | $500,510 | $355,017 | $328,690 | $300,602 | $220,621 | |||||||||
(a) Computed using average shares outstanding. | ||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to less than $0.005 per share and less than 0.005% of average net assets. | ||||||||||||||
(c) 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. | ||||||||||||||
(d) 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. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 63
CALVERT BOND FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS Y SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||
Net asset value, beginning | $16.48 | $15.94 | $16.03 | $15.70 | $16.67 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (a) | 0.41 | 0.44 | (b) | 0.42 | 0.42 | 0.38 | ||||||||
Net realized and unrealized gain (loss) | (0.18) | 0.54 | (0.09) | 0.35 | (0.70) | |||||||||
Total from investment operations | 0.23 | 0.98 | 0.33 | 0.77 | (0.32) | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.41) | (0.44) | (0.42) | (0.41) | (0.39) | |||||||||
Net realized gain | (0.05) | — | — | (0.03) | (0.26) | |||||||||
Total distributions | (0.46) | (0.44) | (0.42) | (0.44) | (0.65) | |||||||||
Total increase (decrease) in net asset value | (0.23) | 0.54 | (0.09) | 0.33 | (0.97) | |||||||||
Net asset value, ending | $16.25 | $16.48 | $15.94 | $16.03 | $15.70 | |||||||||
Total return (c) | 1.44 | % | 6.26 | % | 2.06 | % | 4.98 | % | (1.97 | %) | ||||
Ratios to average net assets: (d) | ||||||||||||||
Total expenses | 0.61 | % | 0.67 | % | 0.80 | % | 0.85 | % | 0.81 | % | ||||
Net expenses | 0.61 | % | 0.64 | % | 0.80 | % | 0.85 | % | 0.81 | % | ||||
Net investment income | 2.54 | % | 2.75 | % | (b) | 2.63 | % | 2.66 | % | 2.36 | % | |||
Portfolio turnover | 99 | % | 154 | % | 241 | % | 187 | % | 214 | % | ||||
Net assets, ending (in thousands) | $141,698 | $110,049 | $77,131 | $53,613 | $39,300 | |||||||||
(a) Computed using average shares outstanding. | ||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to less than $0.005 per share and less than 0.005% of average net assets. | ||||||||||||||
(c) 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. | ||||||||||||||
(d) 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. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
64 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT EQUITY FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS A SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||
Net asset value, beginning | $41.38 | $47.79 | $50.33 | $44.68 | $38.48 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (a) | 0.06 | 0.11 | (b) | 0.10 | 0.02 | 0.07 | ||||||||
Net realized and unrealized gain (loss) | 6.03 | 3.74 | 2.20 | 7.67 | 6.19 | |||||||||
Total from investment operations | 6.09 | 3.85 | 2.30 | 7.69 | 6.26 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.06) | (0.13) | (0.02) | (0.05) | (0.01) | |||||||||
Net realized gain | (4.10) | (10.13) | (4.82) | (1.99) | (0.05) | |||||||||
Total distributions | (4.16) | (10.26) | (4.84) | (2.04) | (0.06) | |||||||||
Total increase (decrease) in net asset value | 1.93 | (6.41) | (2.54) | 5.65 | 6.20 | |||||||||
Net asset value, ending | $43.31 | $41.38 | $47.79 | $50.33 | $44.68 | |||||||||
Total return (c) | 16.39 | % | 8.57 | % | 4.57 | % | 17.63 | % | 16.30 | % | ||||
Ratios to average net assets: (d) | ||||||||||||||
Total expenses | 1.06 | % | 1.10 | % | 1.13 | % | 1.15 | % | 1.21 | % | ||||
Net expenses | 1.06 | % | 1.08 | % | 1.12 | % | 1.14 | % | 1.20 | % | ||||
Net investment income | 0.16 | % | 0.27 | % | (b) | 0.19 | % | 0.05 | % | 0.18 | % | |||
Portfolio turnover | 29 | % | 44 | % | 37 | % | 24 | % | 32 | % | ||||
Net assets, ending (in thousands) | $1,220,685 | $1,385,988 | $1,328,913 | $1,590,823 | $1,602,401 | |||||||||
(a) Computed using average shares outstanding. | ||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to less than $0.005 per share and less than 0.005% of average net assets. | ||||||||||||||
(c) 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. | ||||||||||||||
(d) 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. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 65
CALVERT EQUITY FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS C SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||
Net asset value, beginning | $27.35 | $34.98 | $38.31 | $34.66 | $30.06 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment loss (a) | (0.15) | (0.14) | (b) | (0.20) | (0.25) | (0.17) | ||||||||
Net realized and unrealized gain (loss) | 3.74 | 2.67 | 1.69 | 5.89 | 4.82 | |||||||||
Total from investment operations | 3.59 | 2.53 | 1.49 | 5.64 | 4.65 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | — | (0.03) | — | — | — | |||||||||
Net realized gain | (4.10) | (10.13) | (4.82) | (1.99) | (0.05) | |||||||||
Total distributions | (4.10) | (10.16) | (4.82) | (1.99) | (0.05) | |||||||||
Total increase (decrease) in net asset value | (0.51) | (7.63) | (3.33) | 3.65 | 4.60 | |||||||||
Net asset value, ending | $26.84 | $27.35 | $34.98 | $38.31 | $34.66 | |||||||||
Total return (c) | 15.48 | % | 7.73 | % | 3.82 | % | 16.76 | % | 15.51 | % | ||||
Ratios to average net assets: (d) | ||||||||||||||
Total expenses | 1.83 | % | 1.87 | % | 1.87 | % | 1.88 | % | 1.91 | % | ||||
Net expenses | 1.83 | % | 1.85 | % | 1.86 | % | 1.87 | % | 1.90 | % | ||||
Net investment loss | (0.60 | %) | (0.50 | %) | (b) | (0.54 | %) | (0.68 | %) | (0.52 | %) | |||
Portfolio turnover | 29 | % | 44 | % | 37 | % | 24 | % | 32 | % | ||||
Net assets, ending (in thousands) | $152,561 | $178,719 | $169,649 | $171,869 | $158,591 | |||||||||
(a) Computed using average shares outstanding. | ||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to less than $0.005 per share and less than 0.005% of average net assets. | ||||||||||||||
(c) 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. | ||||||||||||||
(d) 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. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
66 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT EQUITY FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS I SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||
Net asset value, beginning | $46.68 | $52.65 | $54.90 | $48.48 | $41.55 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (a) | 0.25 | 0.32 | (b) | 0.38 | 0.29 | 0.32 | ||||||||
Net realized and unrealized gain (loss) | 6.88 | 4.14 | 2.38 | 8.34 | 6.70 | |||||||||
Total from investment operations | 7.13 | 4.46 | 2.76 | 8.63 | 7.02 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.27) | (0.30) | (0.19) | (0.22) | (0.04) | |||||||||
Net realized gain | (4.10) | (10.13) | (4.82) | (1.99) | (0.05) | |||||||||
Total distributions | (4.37) | (10.43) | (5.01) | (2.21) | (0.09) | |||||||||
Total increase (decrease) in net asset value | 2.76 | (5.97) | (2.25) | 6.42 | 6.93 | |||||||||
Net asset value, ending | $49.44 | $46.68 | $52.65 | $54.90 | $48.48 | |||||||||
Total return (c) | 16.85 | % | 9.01 | % | 5.06 | % | 18.23 | % | 16.95 | % | ||||
Ratios to average net assets: (d) | ||||||||||||||
Total expenses | 0.69 | % | 0.69 | % | 0.64 | % | 0.64 | % | 0.66 | % | ||||
Net expenses | 0.67 | % | 0.67 | % | 0.63 | % | 0.62 | % | 0.65 | % | ||||
Net investment income | 0.54 | % | 0.68 | % | (b) | 0.69 | % | 0.56 | % | 0.72 | % | |||
Portfolio turnover | 29 | % | 44 | % | 37 | % | 24 | % | 32 | % | ||||
Net assets, ending (in thousands) | $550,055 | $472,583 | $567,954 | $961,680 | $798,677 | |||||||||
(a) Computed using average shares outstanding. | ||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to less than $0.005 per share and less than 0.005% of average net assets. | ||||||||||||||
(c) 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. | ||||||||||||||
(d) 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. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 67
CALVERT EQUITY FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS Y SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||
Net asset value, beginning | $42.56 | $48.90 | $51.35 | $45.51 | $39.06 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (a) | 0.19 | 0.25 | (b) | 0.25 | 0.18 | 0.23 | ||||||||
Net realized and unrealized gain (loss) | 6.22 | 3.83 | 2.25 | 7.81 | 6.30 | |||||||||
Total from investment operations | 6.41 | 4.08 | 2.50 | 7.99 | 6.53 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.22) | (0.29) | (0.13) | (0.16) | (0.03) | |||||||||
Net realized gain | (4.10) | (10.13) | (4.82) | (1.99) | (0.05) | |||||||||
Total distributions | (4.32) | (10.42) | (4.95) | (2.15) | (0.08) | |||||||||
Total increase (decrease) in net asset value | 2.09 | (6.34) | (2.45) | 5.84 | 6.45 | |||||||||
Net asset value, ending | $44.65 | $42.56 | $48.90 | $51.35 | $45.51 | |||||||||
Total return (c) | 16.75 | % | 8.89 | % | 4.89 | % | 17.99 | % | 16.76 | % | ||||
Ratios to average net assets: (d) | ||||||||||||||
Total expenses | 0.75 | % | 0.79 | % | 0.84 | % | 0.83 | % | 0.82 | % | ||||
Net expenses | 0.75 | % | 0.77 | % | 0.82 | % | 0.82 | % | 0.81 | % | ||||
Net investment income | 0.46 | % | 0.58 | % | (b) | 0.49 | % | 0.36 | % | 0.56 | % | |||
Portfolio turnover | 29 | % | 44 | % | 37 | % | 24 | % | 32 | % | ||||
Net assets, ending (in thousands) | $211,728 | $195,138 | $157,114 | $139,319 | $137,137 | |||||||||
(a) Computed using average shares outstanding. | ||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to less than $0.005 per share and less than 0.005% of average net assets. | ||||||||||||||
(c) 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. | ||||||||||||||
(d) 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. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
68 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert Social Investment Fund (the “Trust”) was organized as a Massachusetts business trust on December 14, 1981, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust has authorized an unlimited number of shares of beneficial interest, without par value. Such shares may be issued in a number of different series and classes. The Trust operates six (6) separate series, each with its own investment objective(s) and strategies, which are accounted for separately. This report contains the financial statements and financial highlights of Calvert Balanced Fund (formerly, Calvert Balanced Portfolio) (“Balanced”), Calvert Bond Fund (formerly, Calvert Bond Portfolio) (“Bond”) and Calvert Equity Fund (formerly, Calvert Equity Portfolio) (“Equity”), each a “Fund” and collectively, the “Funds”.
Each Fund is diversified. The investment objective of Balanced is to seek to achieve a competitive total return through an actively managed portfolio of stocks, bonds, and money market instruments which offer income and capital growth opportunity. The investment objective of Bond is to seek to provide as high a level of current income as is consistent with preservation of capital through investment in bonds and other debt securities. The investment objective of Equity is to seek growth of capital through investment in stocks believed to offer opportunities for potential capital appreciation.
As of September 30, 2017, each Fund offered four classes of shares. Effective October 3, 2017, Bond and Equity began offering Class R6 Shares, which are sold at net asset value and are not subject to a sales charge. Class A shares are generally sold subject to a sales charge imposed at time of purchase. A contingent deferred sales charge of 0.80% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within one year of purchase. Class C shares are sold without a front-end sales charge, and with certain exceptions, are charged a contingent deferred sales charge of 1% on shares redeemed within one year of purchase. Class C shares are only available for purchase through a financial intermediary. Class I and Class Y 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 each Fund, but votes separately on class-specific matters and is subject to different expenses.
The Funds apply 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.
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 Funds use independent pricing services approved by the Board of Trustees (the “Board”) to value their investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of securities and financial instruments of the Funds to the Funds’ investment adviser (the “Adviser”) and has provided these Procedures to govern the Adviser in its valuation duties.
The Adviser has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated. The Valuation Committee meets on a regular basis to review investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 69
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Funds’ 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 Global or Global Select Market 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 asked prices and are categorized as Level 2 in the hierarchy.
Debt Securities. Debt securities are generally valued on the basis of 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 asked 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 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.
The Calvert Funds adopted amended Valuation Policies and Procedures effective June 21, 2017. The amended Valuation Policies and Procedures primarily changed from the use of bid price to the mean of the bid and asked price for debt securities and resulted in an increase in each Fund’s NAV per share as follows: Balanced ($0.01) and Bond ($0.02).
Floating Rate Loans. Interests in 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.
Venture Capital Securities. Venture capital securities for which market quotations are not readily available are generally categorized as Level 3 in the hierarchy. Venture capital equity securities are generally valued using the most appropriate and applicable method to measure fair value in light of each company’s situation. Methods may include market, income, options-pricing or cost approaches with discounts as appropriate based on assumptions of liquidation or exit risk. Examples of the market approach are subsequent rounds of financing, comparable transactions, and revenue times an industry multiple. An example of the income approach is the discounted cash flow model. Examples of the cost approach are replacement cost, salvage value, or net asset value. The options-pricing method treats common stock and preferred stock as call options on the enterprise value with strike price based on the preferred stock liquidation preference. Venture capital limited partnership interests are valued at the fair value reported by the general partner of the partnership, adjusted as necessary to reflect subsequent capital calls and distributions and any other available information. In some cases, adjustments may be made to account for daily pricing of material public holdings within the partnership.
Other Securities. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation 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.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Funds 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 condition, 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 Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
70 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
The following tables summarize the market value of each of the Funds’ holdings as of September 30, 2017, based on the inputs used to value them:
BALANCED
INVESTMENTS IN SECURITIES - ASSETS | LEVEL 1 | LEVEL 2 | LEVEL 3* | TOTAL | |||||||||
Common Stocks | $412,980,714 | ** | $— | $— | $412,980,714 | ||||||||
Common Stocks - Venture Capital | — | — | 1,085,482 | 1,085,482 | |||||||||
Corporate Bonds | — | 128,959,442 | — | 128,959,442 | |||||||||
Asset-Backed Securities | — | 56,579,763 | — | 56,579,763 | |||||||||
U.S. Treasury Obligations | — | 47,328,990 | — | 47,328,990 | |||||||||
Collateralized Mortgage-Backed Obligations | — | 9,716,269 | — | 9,716,269 | |||||||||
Commercial Mortgage-Backed Securities | — | 8,198,004 | — | 8,198,004 | |||||||||
Taxable Municipal Obligations | — | 6,330,756 | — | 6,330,756 | |||||||||
High Social Impact Investments | — | 4,066,474 | 853,603 | 4,920,077 | |||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 1,953,891 | — | 1,953,891 | |||||||||
Sovereign Government Bonds | — | 971,231 | — | 971,231 | |||||||||
U.S. Government Agencies and Instrumentalities | — | 900,430 | — | 900,430 | |||||||||
Preferred Stocks - Venture Capital | — | — | 818,276 | 818,276 | |||||||||
Venture Capital Limited Partnership Interest | — | — | 769,792 | 769,792 | |||||||||
Other | — | — | 467,398 | 467,398 | |||||||||
Venture Capital Debt Obligations | — | — | 36,737 | 36,737 | |||||||||
Convertible Bonds | — | 862,750 | — | 862,750 | |||||||||
Floating Rate Loans | — | 25,092 | 6,079 | 31,171 | |||||||||
Time Deposit | — | 5,682,473 | — | 5,682,473 | |||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 504,455 | — | — | 504,455 | |||||||||
TOTAL | $413,485,169 | $271,575,565 | $4,037,367 | $689,098,101 | |||||||||
DERIVATIVE INSTRUMENTS - ASSETS | |||||||||||||
Futures Contracts*** | $121 | $— | $— | $121 | |||||||||
DERIVATIVE INSTRUMENTS - LIABILITIES | |||||||||||||
Futures Contracts*** | ($864 | ) | $— | $— | ($864 | ) | |||||||
* None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. | |||||||||||||
** The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. Venture Capital is not included in this category. | |||||||||||||
*** The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. | |||||||||||||
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BOND
INVESTMENTS IN SECURITIES - ASSETS | LEVEL 1 | LEVEL 2 | LEVEL 3* | TOTAL | ||||||||
Corporate Bonds | $— | $441,304,546 | $— | $441,304,546 | ||||||||
U.S. Treasury Obligations | — | 196,160,136 | — | 196,160,136 | ||||||||
Asset-Backed Securities | — | 177,263,153 | — | 177,263,153 | ||||||||
Collateralized Mortgage-Backed Obligations | — | 37,316,217 | — | 37,316,217 | ||||||||
Commercial Mortgage-Backed Securities | — | 29,417,570 | — | 29,417,570 | ||||||||
Taxable Municipal Obligations | — | 27,543,702 | — | 27,543,702 | ||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 8,902,509 | — | 8,902,509 | ||||||||
High Social Impact Investments | — | 4,848,692 | 1,064,393 | 5,913,085 | ||||||||
Sovereign Government Bonds | — | 3,583,688 | — | 3,583,688 | ||||||||
U.S. Government Agencies and Instrumentalities | — | 2,851,361 | — | 2,851,361 | ||||||||
Convertible Bonds | — | 913,500 | — | 913,500 | ||||||||
Floating Rate Loans | — | — | 7,598 | 7,598 | ||||||||
Time Deposit | — | 15,017,822 | — | 15,017,822 | ||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 5,165,215 | — | — | 5,165,215 | ||||||||
TOTAL | $5,165,215 | $945,122,896 | $1,071,991 | $951,360,102 | ||||||||
* None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. | ||||||||||||
EQUITY
INVESTMENTS IN SECURITIES - ASSETS | LEVEL 1 | LEVEL 2 | LEVEL 3* | TOTAL | |||||||||
Common Stocks | $2,016,352,649 | ** | $— | $— | $2,016,352,649 | ||||||||
Common Stocks - Venture Capital | — | — | 801,433 | 801,433 | |||||||||
Preferred Stocks - Venture Capital | — | — | 2,258,108 | 2,258,108 | |||||||||
Warrants - Venture Capital | — | — | 3,066 | 3,066 | |||||||||
Venture Capital Limited Partnership Interest | — | — | 14,925,178 | 14,925,178 | |||||||||
Venture Capital Debt Obligations | — | — | 3,487,687 | 3,487,687 | |||||||||
High Social Impact Investments | — | 10,325,551 | 3,133,340 | 13,458,891 | |||||||||
Other | — | — | 698,131 | 698,131 | |||||||||
Time Deposit | — | 83,930,887 | — | 83,930,887 | |||||||||
TOTAL | $2,016,352,649 | $94,256,438 | $25,306,943 | $2,135,916,030 | |||||||||
* None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. | |||||||||||||
** The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. Venture Capital is not included in this category. | |||||||||||||
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended September 30, 2017 is not presented. There were no transfers between Level 1 and Level 2 during the year ended September 30, 2017.
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 each 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 Funds’ understanding of the applicable country’s tax rules and rates. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. The Funds earn certain fees in connection with their investments in 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.
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Share Class Accounting: Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Expenses common to the classes are also allocated to each class in proportion to their relative net assets. Expenses arising in connection with a specific class are charged directly to that class.
Foreign Currency Transactions: The Funds 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.
Floating Rate Loans: The Funds may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. The Funds’ investments 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 Funds may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. The Funds generally have no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Funds may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Funds purchase assignments from lenders, they acquire direct rights against the borrower of the loan. When investing in a loan participation, the Funds have the right to receive payments of principal, interest and any fees to which they are entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower.
Futures Contracts: The Funds 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 Funds. 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 Funds’ 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 Funds.
Restricted Securities: The Funds 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 each Schedule of Investments.
Distributions to Shareholders: Distributions to shareholders are recorded by the Funds on ex-dividend date. Dividends from net investment income are declared and paid monthly by Bond, quarterly by Balanced and annually by Equity. Distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Funds’ capital accounts to reflect income and gains available for distribution under income tax regulations.
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.
Indemnifications: Under the Trust’s organizational document, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Funds. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Trust) could be deemed to have personal liability for the obligations of the Trust. However, the Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and provides that upon request, the Trust shall assume the defense on behalf of any Fund shareholders or former shareholders. Additionally, in the normal course of business, each Fund enters into agreements with service providers that may contain indemnification clauses. Each Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against each Fund that have not yet occurred.
Federal Income Taxes: No provision for federal income or excise tax is required since each 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.
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Management has analyzed the Funds’ tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Funds’ financial statements. Each 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.
When-Issued Securities and Delayed Delivery Transactions: The Funds may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. At the time the transaction is negotiated, the price of the security that will be delivered is fixed. The Funds maintain cash and/or security positions for these commitments such that sufficient liquid assets will be available to make payments upon settlement. Securities purchased on a delayed delivery or when-issued basis are marked-to-market daily and begin earning interest on settlement date. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.
NOTE B — RELATED PARTY TRANSACTIONS
Effective December 31, 2016, Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), became the investment adviser to the Funds following a transaction between CRM and certain of its affiliates and Calvert Investment Management, Inc. (CIM) and certain of its affiliates, pursuant to which CRM acquired substantially all of the business assets of CIM after satisfying various closing conditions, including shareholder approval of a new investment advisory agreement between the Funds and CRM (the "Transaction").
For its services pursuant to the new investment advisory agreement, CRM receives an annual fee, payable monthly, at the following rates of each respective Fund’s average daily net assets:
BALANCED
Up to and including $500 Million | 0.41 | % |
Over $500 Million up to and including $1 Billion | 0.385 | % |
Over $1 Billion | 0.35 | % |
BOND
Up to and including $1 Billion | 0.35 | % |
Over $1 Billion | 0.325 | % |
EQUITY
Up to and including $2 Billion | 0.50 | % |
Over $2 Billion up to and including $3 Billion | 0.425 | % |
Over $3 Billion | 0.375 | % |
Prior to December 31, 2016, CIM, a direct subsidiary of Calvert Investments, Inc. and an indirect subsidiary of Ameritas Holding Company, provided investment advisory services to the Funds. For its services, CIM received a fee at the same annual rates as CRM for Balanced and Bond and at the following rates for Equity: 0.50% for the first $2 billion, 0.475% of the next $1 billion and 0.45% over $3 billion of Equity’s average daily net assets. In addition, CIM voluntarily waived investment advisory fees of 0.05% between $2 billion and $3 billion and 0.075% over $3 billion of Equity’s average daily net assets for the period October 1, 2016 through December 30, 2016. For the year ended September 30, 2017, the investment advisory fee for Balanced, Bond and Equity amounted to $2,766,631, $3,125,011 and $10,530,518, respectively, or 0.40%, 0.35% and 0.50% per annum, respectively, of the Funds’ average daily net assets, of which $2,087,843, $2,361,643 and $7,856,102, respectively, was paid to CRM and $678,788, $763,368 and $2,674,416, respectively, was paid to CIM, of which $19,167 was voluntarily waived for Equity.
Atlanta Capital Management Company, LLC, an affiliate of CRM, provides sub-advisory services to Equity pursuant to a sub-advisory agreement with CRM (CIM prior to December 31, 2016). Sub-advisory fees are paid by CRM (CIM prior to December 31, 2016) from its investment advisory fees.
CRM (CIM for the period October 1, 2016 to December 30, 2016) has agreed to reimburse operating expenses for the Funds 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, interest expense, taxes or litigation expenses) exceed 0.62% for Class I of Balanced and 0.73%, 0.64% and 0.96% for Class Y of Balanced, Bond and Equity, respectively, of such class’ average daily net assets. Effective October 1, 2017, CRM has agreed to reimburse operating expenses for the Funds to
74 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
the extent that total operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed the following amounts:
Class A | Class C | Class I | Class Y | |
BALANCED | 0.94% | 1.69% | 0.62% | 0.73% |
BOND | 0.88% | 1.63% | 0.53% | 0.64% |
EQUITY | 1.07% | 1.82% | 0.70% | 0.96% |
The expense reimbursement agreements with CRM may be changed or terminated after January 31, 2019. For the year ended September 30, 2017, CRM waived or reimbursed expenses for Balanced of $19,492 and CIM waived or reimbursed expenses for Balanced of $7,182.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Funds. The fee is computed at an annual rate of 0.12% of each Fund’s average daily net assets and is payable monthly. CRM has agreed to contractually waive 0.02% of the administrative fee for Class I of Bond and Equity (0.02% of Class I of Balanced effective October 1, 2017) through January 31, 2018. Prior to December 31, 2016, Calvert Investment Administrative Services, Inc. (CIAS), an affiliate of CIM, provided administrative services to the Funds at an annual rate of 0.12% of each Fund’s average daily net assets, payable monthly. In addition, CIAS contractually waived administrative fees of 0.02% of average daily net assets attributable to Class I for Bond and Equity for the period October 1, 2016 through December 30, 2016. For the year ended September 30, 2017, CRM was paid administrative fees for Balanced, Bond and Equity of $621,508, $809,706 and $1,900,256, respectively, of which $66,841 and $78,994 were waived for Bond and Equity, respectively, and CIAS was paid administrative fees for Balanced, Bond and Equity of $201,857, $261,726 and $644,160, respectively, of which $18,028 and $24,333 were waived for Bond and Equity, respectively.
The Funds adopted new distribution plans for Class A shares (Class A Plan) and Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act, which were approved by the Board and became effective as of December 31, 2016 or shortly thereafter upon approval by the shareholders of the respective class. Pursuant to the Class A Plan and Class C Plan, the Funds pay a distribution fee and (in the case of Class C shares) a service fee, as a percentage of average daily net assets attributable to such class, for distribution services and facilities provided to the Funds, as well as for personal and/or account maintenance services provided, at the following annual rates:
Balanced | Bond | Equity | |
Class A Plan | 0% up to $30 million, 0.25% over $30 million | 0.20% | 0.25% |
Class C Plan: Distribution fee Service fee | 0.75% 0.25% | 0.75% 0.25% | 0.75% 0.25% |
Pursuant to the Funds’ former distribution plans for Class A shares and Class C shares, the Funds were permitted to pay certain expenses associated with the distribution and servicing of their Class A and Class C shares not to exceed 0.35% for Class A of Balanced and Bond and 0.25% for Class A of Equity and not to exceed 1.00% for Class C of each Fund’s average daily net assets with respect to such class. Effective December 31, 2016, the fees are paid to Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Funds’ principal underwriter. Prior to December 31, 2016, the fees were paid to Calvert Investment Distributors, Inc. (CID), an affiliate of CIM and the Funds’ former distributor and principal underwriter. Distribution and service fees for Balanced, Bond and Equity paid or accrued for the year ended September 30, 2017 amounted to $1,335,436, $650,280 and $3,130,394, respectively, or 0.24%, 0.20% and 0.25% per annum, respectively, of the Funds’ Class A average daily net assets, of which $992,003, $459,533 and $2,305,754, respectively, was paid to EVD and $343,433, $190,747 and $824,640, respectively, was paid to CID. Distribution and service fees for Balanced, Bond and Equity paid or accrued for the year ended September 30, 2017 amounted to $611,941, $292,793 and $1,623,233, respectively, or 1.00% of the Funds’ Class C average daily net assets, of which $465,126, $214,587 and $1,195,222, respectively, was paid to EVD and $146,815, $78,206 and $428,011, respectively, was paid to CID.
The Funds were informed that EVD received $91,902, $30,517 and $86,505 for Balanced, Bond and Equity, respectively, and CID received $26,808, $15,239 and $29,385 for Balanced, Bond and Equity, respectively, as their portion of the sales charge on sales of Class A shares for the year ended September 30, 2017. The Funds were also informed that EVD received $25,713, $8,396 and $27,314 for Balanced, Bond and Equity, respectively, and CID received $16,130, $8,749 and $14,129 for Balanced, Bond and Equity, respectively, of contingent deferred sales charge paid by each Fund’s shareholders for the same period.
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Effective December 31, 2016, EVM provides sub-transfer agency services to the Funds pursuant to a Sub-Transfer Agency Support Services Agreement. For its services, EVM receives an annual fee of $8 per shareholder account. Prior to December 31, 2016, Calvert Investment Services, Inc. (CIS), an affiliate of CIM, acted as the shareholder servicing agent for the Funds and received a fee at the same rate as is paid to EVM. For the year ended September 30, 2017, sub-transfer agency fees paid to EVM were $101,820, $59,271 and $184,572 for Balanced, Bond and Equity, respectively, and shareholder servicing fees paid to CIS were $35,649, $21,477 and $65,389 for Balanced, Bond and Equity, respectively. Such fees are included in transfer agency fees and expenses on the Statements of Operations.
Each Trustee of the Funds who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Prior to December 31, 2016, each Trustee of the Funds who was not an employee of CIM or its affiliates received a fee of $3,000 for each Board meeting attended plus an annual fee of $52,000. Committee members received $500 for each Committee meeting attended plus an annual fee of $2,500. Committee chairs received an additional annual retainer ranging from $6,000 to $10,000. Eligible Trustees may participate in a Deferred Compensation Plan (the “Plan”). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Funds or other Calvert Funds selected by the Trustees. The Funds purchase 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 Funds’ assets. Trustees’ fees are allocated to each of the Calvert Funds served. Salaries and fees of officers and Trustees of the Funds who are employees of CRM and, prior to December 31, 2016, of CIM or their affiliates are/were paid by CRM and CIM, respectively. In addition, in connection with the Transaction, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by CIM, the Calvert Funds’ former investment adviser and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the year ended September 30, 2017, each Fund’s allocated portion of such expense and reimbursement was $8,100, $10,520 and $24,835 for Balanced, Bond and Equity, respectively, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statements of Operations.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the year ended September 30, 2017, the cost of purchases and proceeds from sales of investments, other than short-term securities, were as follows:
BALANCED | BOND | EQUITY | |||||||
Purchases | |||||||||
U.S. Government and Agency Securities | $142,375,793 | $474,040,140 | $— | ||||||
Non-U.S. Government and Agency Securities | 703,690,552 | 445,154,526 | 596,183,712 | ||||||
Total Purchases | $846,066,345 | $919,194,666 | $596,183,712 | ||||||
Sales | |||||||||
U.S. Government and Agency Securities | $122,637,046 | $356,700,120 | $— | ||||||
Non-U.S. Government and Agency Securities | 749,263,736 | 471,014,874 | 989,085,758 | ||||||
Total Sales | $871,900,782 | $827,714,994 | $989,085,758 | ||||||
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The tax character of distributions declared for the years ended September 30, 2017 and September 30, 2016 was as follows:
Year Ended September 30, 2017 | |||||||||
BALANCED | BOND | EQUITY | |||||||
Distributions declared from: | |||||||||
Ordinary income | $9,797,167 | $23,536,080 | $6,068,848 | ||||||
Long-term capital gains | 7,610,342 | 820,791 | 216,424,016 | ||||||
Year Ended September 30, 2016 | |||||||||
BALANCED | BOND | EQUITY | |||||||
Distributions declared from: | |||||||||
Ordinary income | $12,570,088 | $22,171,638 | $8,891,156 | ||||||
Long-term capital gains | 63,287,202 | — | 453,947,697 | ||||||
During the year ended September 30, 2017, the following amounts were reclassified due to the Funds’ use of equalization accounting and differences between book and tax accounting, primarily for foreign currency gain (loss), paydown gain (loss), distributions from real estate investment trusts, return of capital distributions from securities, investments in partnerships, dividend redesignations and wash sales. Tax equalization accounting allows the Funds to treat as a distribution that portion of redemption proceeds representing a redeeming shareholder’s portion of undistributed taxable income and net capital gains.
BALANCED | BOND | EQUITY | |||||||
Change in: | |||||||||
Paid-in capital | $3,534,444 | $— | $25,598,396 | ||||||
Accumulated net realized gain (loss) | (3,268,476) | 9,568 | (24,003,682) | ||||||
Accumulated undistributed net investment income | (265,968) | (9,568) | (1,594,714) | ||||||
These reclassifications had no effect on the net assets or net asset value per share of the Funds.
As of September 30, 2017, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
BALANCED | BOND | EQUITY | |||||||
Undistributed ordinary income | $14,389,915 | $83,688 | $2,779,927 | ||||||
Undistributed long-term capital gains | 29,341,806 | — | 143,403,674 | ||||||
Deferred capital losses | — | — | (5,009,957) | ||||||
Post October capital losses | — | (3,467,224) | — | ||||||
Net unrealized appreciation | 25,563,250 | 8,588,072 | 626,712,673 | ||||||
The differences between components of distributable earnings (accumulated losses) on a tax basis and the amounts reflected in each Fund’s Statement of Assets and Liabilities are primarily due to the tax treatment of short-term capital gains and temporary book-tax differences that will reverse in a subsequent period. These differences are primarily due to wash sales, futures contracts, distributions from real estate investment trusts, investments in partnerships and return of capital distributions from securities.
At September 30, 2017, Equity, for federal income tax purposes, had deferred capital losses of $5,009,957 which would reduce its 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 and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at September 30, 2017, $3,369,699 are short-term and $1,640,258 are long-term. Equity’s use of net capital losses acquired from reorganizations, which amounted to $5,009,957 at September 30, 2017, may be limited under certain tax provisions.
During the year ended September 30, 2017, capital loss carryforwards of $20,959,591 were utilized to offset net realized gains by Equity.
At September 30, 2017, Bond had a net capital loss of $3,467,224 attributable to security transactions incurred after October 31, 2016 that it has elected to defer. This net capital loss is treated as arising on the first day of the Fund’s taxable year ending September 30, 2018.
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The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Funds at September 30, 2017, as determined on a federal income tax basis, were as follows:
BALANCED | BOND | EQUITY | |||||||
Federal tax cost of investments | $663,534,865 | $942,772,030 | $1,509,203,669 | ||||||
Gross unrealized appreciation | $36,365,937 | $12,042,648 | $635,599,436 | ||||||
Gross unrealized depreciation | (10,802,701) | (3,454,576) | (8,887,075) | ||||||
Net unrealized appreciation (depreciation) | $25,563,236 | $8,588,072 | $626,712,361 | ||||||
NOTE D — FINANCIAL INSTRUMENTS
A summary of futures contracts outstanding at September 30, 2017 is included in each Fund’s Schedule of Investments. During the year ended September 30, 2017, Balanced and Bond used futures contracts to hedge against interest rate changes, to manage overall duration of the Funds and to implement tactical asset allocation decisions.
At September 30, 2017, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is interest rate risk was as follows:
BALANCED | |||||
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | ||
Futures contracts | Net unrealized appreciation (depreciation) | $121 | * | ($864) | * |
Total | $121 | * | ($864) | * | |
* 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. | |||||
At September 30, 2017, Bond and Equity did not have any open derivative instruments.
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statements of Operations by risk exposure for the year ended September 30, 2017 was as follows:
BALANCED
Statement of Operations Caption | |||
Risk | Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts |
Equity price | Futures contracts | ($647,378) | $104,425 |
Interest rate | Futures contracts | $596,754 | ($12,744) |
Total | ($50,624) | $91,681 | |
BOND
Statement of Operations Caption | |||
Risk | Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts |
Interest rate | Futures contracts | $1,066,759 | ($25,960) |
Total | $1,066,759 | ($25,960) | |
The average notional cost of futures contracts outstanding during the year ended September 30, 2017 was approximately as follows:
BALANCED | BOND | |||||
Futures Contracts – Long | $109,000 | $— | ||||
Futures Contracts – Short | $5,393,000 | $4,543,000 | ||||
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NOTE E — SECURITIES LENDING
To generate additional income, the Funds may lend their securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Funds at any time and, therefore, are not considered to be illiquid investments. The Funds require that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the respective Fund on the next business day. Cash collateral is generally invested in State Street Institutional U.S. Government Money Market Fund (the “U.S. Government Fund”) that is managed by an affiliate of the custodian. The U.S. Government Fund is a registered money market fund that invests in a variety of high-quality, U.S. dollar denominated instruments. 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 Funds. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the respective Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral is held by the lending agent on behalf of the respective Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statements 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 Funds in the case of default of any securities borrower.
At September 30, 2017, the total value of securities on loan, including accrued interest, and the total value of collateral received were as follows:
Securities on Loan | Collateral Received | |||||
BALANCED | $494,074 | $504,455 | ||||
BOND | $5,066,964 | $5,165,215 | ||||
The following tables provide 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, 2017.
BALANCED | |||||||||
Remaining Contractual Maturity of the Transactions | |||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||
Securities Lending Transactions | |||||||||
Corporate Bonds | $504,455 | $— | $— | $— | $504,455 | ||||
BOND | ||||||||||||
Remaining Contractual Maturity of the Transactions | ||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | ||||||||
Securities Lending Transactions | ||||||||||||
Corporate Bonds | $1,913,196 | $— | $— | $— | $1,913,196 | |||||||
U.S. Treasury Obligations | 3,252,019 | — | — | — | 3,252,019 | |||||||
The carrying amount of the liabilities for deposit for securities loaned at September 30, 2017 approximated their fair value. If measured at fair value, such liabilities would have been considered as Level 2 in the fair value hierarchy (see Note A) at September 30, 2017.
NOTE F — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and SSB. Under the agreement, which expires on August 7, 2018, SSB provides an unsecured line of credit facility in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Calvert Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per
www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 79
annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit not available exclusively to the Funds, a Fund may be unable to borrow some or all of its requested amounts at any particular time. Bond and Equity had no borrowings pursuant to this line of credit during the year ended September 30, 2017. Balanced had no loans outstanding pursuant to this line of credit at September 30, 2017. Average borrowings and the weighted average interest rate (excluding fees) for the year ended September 30, 2017 for Balanced were $32,808 and 2.50%, respectively.
NOTE G — AFFILIATED COMPANIES
The Funds invest a portion of their assets designated for high social impact investments in notes issued by the Calvert Social Investment Foundation (the “Foundation”) pursuant to an exemptive order granted by the U.S. Securities and Exchange Commission (the “SEC”). The Funds rely on exemptive relief to invest in the notes because the Funds’ investments in the notes may be considered prohibited transactions between affiliated persons under the 1940 Act. The Foundation may be considered an affiliated person of the Calvert Funds based on the overlap between the Foundation’s Board of Directors and the Funds’ Directors/Trustees and other potential affiliations. The Foundation has licensed use of the Calvert name from the Adviser, and the Adviser’s President and Chief Executive Officer serves on the Foundation Board. The Foundation is not owned or otherwise controlled by the Adviser or its affiliates.
In addition, an affiliated company is a company in which a fund has a direct or indirect ownership of, control of, or voting power of 5 percent or more of the outstanding voting shares, or a company that is under common ownership or control with a fund. At September 30, 2017, the value of each Fund’s investment in affiliated companies was $4,083,727, $4,848,692 and $10,325,551 for Balanced, Bond and Equity, respectively, which represents 0.59%, 0.51% and 0.48% of net assets for Balanced, Bond and Equity, respectively. Transactions in affiliated companies by the Funds for the year ended September 30, 2017 were as follows:
BALANCED
Name of Affiliated Company | Principal Amount, beginning of period | Gross Additions | Gross Reductions | Principal Amount, end of period | Value, end of period | Interest Income | Net Realized Gain (Loss) | Capital Gain Distributions Received | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||
Calvert Social Investment Foundation, Community Investment Notes: | |||||||||||||||||||||||
0.25%, 7/1/17 | $4,266,666 | $— | ($4,266,666 | ) | $— | $— | $2,171 | $— | $— | $120,107 | |||||||||||||
1.50%, 12/15/19 | — | 4,266,666 | — | 4,266,666 | 4,066,474 | 51,556 | — | — | (200,192) | ||||||||||||||
GEEMF Partners LP | — | — | — | — | 17,253 | — | — | — | (45,817) | ||||||||||||||
TOTALS | $4,083,727 | $53,727 | $— | $— | ($125,902 | ) | |||||||||||||||||
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BOND
Name of Affiliated Company | Principal Amount, beginning of period | Gross Additions | Gross Reductions | Principal Amount, end of period | Value, end of period | Interest Income | Net Realized Gain (Loss) | Capital Gain Distributions Received | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||
Calvert Social Investment Foundation, Community Investment Notes: | |||||||||||||||||||||||
0.50%, 1/1//17 | $3,087,392 | $— | ($3,087,392 | ) | $— | $— | $3,173 | $— | $— | $34,147 | |||||||||||||
0.50%, 3/18/17 | 2,000,000 | — | (2,000,000) | — | — | 1,945 | — | — | 33,600 | ||||||||||||||
1.50%, 12/15/19 | — | 5,087,392 | — | 5,087,392 | 4,848,692 | 61,473 | — | — | (238,700) | ||||||||||||||
TOTALS | $4,848,692 | $66,591 | $— | $— | ($170,953 | ) | |||||||||||||||||
EQUITY
Name of Affiliated Company | Principal Amount/ Shares beginning of period | Gross Additions | Gross Reductions | Principal Amount/ Shares end of period | Value, end of period | Interest Income | Net Realized Gain (Loss) | Capital Gain Distributions Received | Change in Unrealized Appreciation (Depreciation) | |||||||||||||
Calvert Social Investment Foundation, Community Investment Notes: | ||||||||||||||||||||||
0.50%, 1/1/17 | $10,833,877 | $— | ($10,833,877 | ) | $— | $— | $11,135 | $— | $— | $119,823 | ||||||||||||
1.50%, 12/15/19 | — | 10,833,877 | — | 10,833,877 | 10,325,551 | 130,909 | — | — | (508,326) | |||||||||||||
New Day Farms, Inc., Participation Interest Note | 6,225 | — | — | 6,225 | — | 420 | — | — | — | |||||||||||||
New Day Farms, Inc., Inc., Series B, Preferred | 4,547,804 | — | — | 4,547,804 | — | — | — | — | — | |||||||||||||
Shangri La Farms, Series A, Preferred | 66,667 | — | — | 66,667 | — | — | — | — | (100,000) | |||||||||||||
TOTALS | $10,325,551 | $142,464 | $— | $— | ($488,503 | ) | ||||||||||||||||
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NOTE H — CAPITAL SHARES
Transactions in capital shares for the years ended September 30, 2017 and September 30, 2016 were as follows:
BALANCED | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||
Shares | Amount | Shares | Amount | ||||||
Class A | |||||||||
Shares sold | 1,788,008 | $56,550,939 | 1,860,969 | $56,016,018 | |||||
Reinvestment of distributions | 442,518 | 13,869,696 | 2,130,337 | 63,192,696 | |||||
Shares redeemed | (4,601,387) | (144,902,587) | (2,608,505) | (78,397,141) | |||||
Net increase (decrease) | (2,370,861) | ($74,481,952 | ) | 1,382,801 | $40,811,573 | ||||
Class C | |||||||||
Shares sold | 424,327 | $12,910,553 | 413,389 | $12,131,038 | |||||
Reinvestment of distributions | 32,486 | 983,605 | 187,399 | 5,394,735 | |||||
Shares redeemed | (500,415) | (15,318,981) | (396,213) | (11,706,256) | |||||
Net increase (decrease) | (43,602) | ($1,424,823 | ) | 204,575 | $5,819,517 | ||||
Class I | |||||||||
Shares sold | 1,213,710 | $38,480,633 | 135,747 | $4,143,794 | |||||
Reinvestment of distributions | 31,138 | 999,298 | 55,243 | 1,666,776 | |||||
Shares redeemed | (269,403) | (8,764,248) | (123,753) | (3,734,394) | |||||
Net increase | 975,445 | $30,715,683 | 67,237 | $2,076,176 | |||||
Class Y | |||||||||
Shares sold | 636,692 | $20,241,228 | 322,628 | $9,632,077 | |||||
Reinvestment of distributions | 14,672 | 467,952 | 24,528 | 734,346 | |||||
Shares redeemed | (178,625) | (5,675,849) | (112,885) | (3,475,485) | |||||
Net increase | 472,739 | $15,033,331 | 234,271 | $6,890,938 | |||||
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BOND | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||
Shares | Amount | Shares | Amount | ||||||
Class A | |||||||||
Shares sold | 3,991,688 | $63,932,983 | 4,661,342 | $74,493,183 | |||||
Reinvestment of distributions | 474,446 | 7,582,448 | 560,750 | 8,969,317 | |||||
Shares redeemed | (11,227,412) | (179,333,779) | (5,979,446) | (95,763,050) | |||||
Net decrease | (6,761,278) | ($107,818,348 | ) | (757,354) | ($12,300,550 | ) | |||
Class C | |||||||||
Shares sold | 217,542 | $3,467,164 | 304,478 | $4,822,223 | |||||
Reinvestment of distributions | 25,898 | 411,161 | 26,716 | 424,310 | |||||
Shares redeemed | (572,310) | (9,115,310) | (414,724) | (6,605,374) | |||||
Net decrease | (328,870) | ($5,236,985 | ) | (83,530) | ($1,358,841 | ) | |||
Class I | |||||||||
Shares sold | 14,000,859 | $224,499,285 | 8,230,386 | $131,641,273 | |||||
Reinvestment of distributions | 748,856 | 11,998,306 | 563,814 | 9,028,002 | |||||
Shares redeemed | (5,443,245) | (87,351,729) | (7,855,066) | (124,826,149) | |||||
Net increase | 9,306,470 | $149,145,862 | 939,134 | $15,843,126 | |||||
Class Y | |||||||||
Shares sold | 5,046,556 | $81,375,140 | 2,848,277 | $46,036,220 | |||||
Reinvestment of distributions | 174,878 | 2,821,038 | 133,803 | 2,157,817 | |||||
Shares redeemed | (3,182,345) | (51,499,954) | (1,140,817) | (18,370,940) | |||||
Net increase | 2,039,089 | $32,696,224 | 1,841,263 | $29,823,097 | |||||
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EQUITY | Year Ended September 30, 2017 | Year Ended September 30, 2016 | ||||||||
Shares | Amount | Shares | Amount | |||||||
Class A | ||||||||||
Shares sold | 2,098,600 | $83,902,160 | 3,239,624 | $135,481,957 | ||||||
Shares issued from merger (see Note J) | — | — | 3,808,394 | 149,136,732 | ||||||
Reinvestment of distributions | 3,333,785 | 124,285,943 | 6,543,005 | 265,210,280 | ||||||
Shares redeemed | (10,745,032) | (425,704,959) | (7,904,960) | (325,800,975) | ||||||
Net increase (decrease) | (5,312,647) | ($217,516,856 | ) | 5,686,063 | $224,027,994 | |||||
Class C | ||||||||||
Shares sold | 537,279 | $13,276,376 | 764,181 | $20,851,480 | ||||||
Shares issued from merger (see Note J) | — | — | 819,840 | 21,258,449 | ||||||
Reinvestment of distributions | 922,482 | 21,410,804 | 1,475,604 | 39,680,003 | ||||||
Shares redeemed | (2,310,767) | (58,096,855) | (1,374,863) | (37,778,741) | ||||||
Net increase (decrease) | (851,006) | ($23,409,675 | ) | 1,684,762 | $44,011,191 | |||||
Class I | ||||||||||
Shares sold | 3,826,988 | $173,015,098 | 2,867,498 | $133,280,509 | ||||||
Shares issued from merger (see Note J) | — | — | 399,595 | 17,638,088 | ||||||
Reinvestment of distributions | 902,169 | 38,441,748 | 1,666,510 | 76,215,766 | ||||||
Shares redeemed | (3,726,001) | (168,010,686) | (5,597,065) | (273,001,824) | ||||||
Net increase (decrease) | 1,003,156 | $43,446,160 | (663,462) | ($45,867,461 | ) | |||||
Class Y | ||||||||||
Shares sold | 2,234,886 | $90,283,139 | 1,183,716 | $50,268,312 | ||||||
Shares issued from merger (see Note J) | — | — | 866,655 | 34,874,208 | ||||||
Reinvestment of distributions | 329,260 | 12,668,373 | 600,420 | 25,057,028 | ||||||
Shares redeemed | (2,406,734) | (99,581,140) | (1,279,099) | (53,779,893) | ||||||
Net increase | 157,412 | $3,370,372 | 1,371,692 | $56,419,655 | ||||||
The Trustees approved the termination of each Fund’s Class Y shares. Effective December 8, 2017, Class Y shares of each Fund will convert to Class I shares at net asset value. Thereafter, Class Y shares will be terminated.
NOTE I — CAPITAL COMMITMENTS
In connection with certain venture capital and/or limited partnership investments, Balanced and Equity are committed to future capital calls, which will increase each Fund’s investment in these securities. The aggregate amount of the future capital commitments totaled $403,000 and $3,511,268 for Balanced and Equity, respectively, at September 30, 2017. Balanced and Equity had sufficient cash and/or securities to cover these commitments.
Balanced’s unfunded capital commitments by investment at September 30, 2017 were as follows:
Name of Investment | Unfunded Commitment at 9/30/17 | ||
First Analysis Private Equity Fund IV LP | $60,000 | ||
Learn Capital Venture Partners III LP | $343,000 | ||
Total | $403,000 | ||
84 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
Equity’s unfunded capital commitments by investment at September 30, 2017 were as follows:
Name of Investment | Unfunded Commitment at 9/30/17 | ||
Accion Frontier Inclusion Fund LP | $589,716 | ||
Adobe Capital Social Mezzanine Fund I LP | $142,444 | ||
Africa Renewable Energy Fund LP | $364,312 | ||
Arborview Capital Partners LP | $182,782 | ||
Blackstone Clean Technology Partners LP | $3,170 | ||
Bridges Ventures US Sustainable Growth Fund, LP | $663,690 | ||
China Environment Fund 2004 LP | $37,764 | ||
China Environment Fund III LP | $1,205 | ||
Coastal Ventures III LP | $50,000 | ||
Core Innovations Capital I LP | $51,766 | ||
Cross Culture Ventures I LP | $236,303 | ||
DBL Partners III LP | $550,836 | ||
First Analysis Private Equity Fund V LP | $62,302 | ||
Impact Ventures II LP | $19,923 | ||
LeapFrog Financial Inclusion Fund | $96,146 | ||
New Markets Education Partners LP | $130,000 | ||
New Markets Venture Partners II LP | $25,000 | ||
Owl Ventures LP | $150,000 | ||
Westly Capital Partners Fund II LP | $153,909 | ||
Total | $3,511,268 | ||
NOTE J — REORGANIZATION
The Board approved the reorganization of Calvert Global Equity Income Fund ("Global Equity Income") and Calvert Global Value Fund ("Global Value") (both are series of Calvert SAGE Fund) and Calvert Large Cap Core Portfolio ("Large Cap Core") into Equity. Shareholders approved the reorganization at a meeting on June 17, 2016 and the reorganization took place at the close of business on June 24, 2016.
The acquisition was accomplished by a tax-free exchange of the following shares:
MERGED PORTFOLIO | SHARES | ACQUIRING PORTFOLIO | SHARES | VALUE | ||
Global Equity Income, Class A | 1,601,964 | Equity, Class A | 750,153 | $29,375,999 | ||
Global Equity Income, Class C | 250,183 | Equity, Class C | 177,021 | 4,590,149 | ||
Global Equity Income, Class I | 59,796 | Equity, Class I | 24,824 | 1,095,721 | ||
Global Equity Income, Class Y | 123,630 | Equity, Class Y | 56,875 | 2,288,665 | ||
Global Value, Class A | 951,286 | Equity, Class A | 1,323,672 | 51,834,992 | ||
Global Value, Class C | 90,082 | Equity, Class C | 188,276 | 4,881,991 | ||
Global Value, Class I | 20,332 | Equity, Class I | 25,034 | 1,104,990 | ||
Global Value, Class Y | 521,720 | Equity, Class Y | 699,267 | 28,138,511 | ||
Large Cap Core, Class A | 3,784,626 | Equity, Class A | 1,734,569 | 67,925,741 | ||
Large Cap Core, Class C | 754,880 | Equity, Class C | 454,543 | 11,786,309 | ||
Large Cap Core, Class I | 831,888 | Equity, Class I | 349,737 | 15,437,377 | ||
Large Cap Core, Class Y | 243,025 | Equity, Class Y | 110,513 | 4,447,032 | ||
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For financial reporting purposes, assets received and shares issued by Equity were recorded at fair value; however, the cost basis of the investments received from Global Equity Income, Global Value and Large Cap Core were carried forward to align ongoing reporting of Equity’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
The net assets and net unrealized appreciation (depreciation) immediately before the acquisitions were as follows:
MERGED PORTFOLIO | NET ASSETS | UNREALIZED APPRECIATION (DEPRECIATION) | ACQUIRING PORTFOLIO | NET ASSETS | ||
Global Equity Income | $37,350,535 | $742,994 | Equity | $1,987,179,549 | ||
Global Value | 85,960,483 | (1,680,627) | Equity | $1,987,179,549 | ||
Large Cap Core | 99,596,459 | 3,673,458 | Equity | $1,987,179,549 | ||
Assuming the acquisition had been completed on October 1, 2015, Equity’s results of operations for the year ended September 30, 2016 would have been as follows:
Net investment income | $10,035,098 | (a) | ||
Net realized and change in unrealized gain (loss) | $184,906,535 | (b) | ||
Net increase (decrease) in net assets resulting from operations | $194,941,633 | |||
(a) $7,068,815 as reported, plus $485,394, $1,502,633 and $978,256 from pre-merger Global Equity Income, Global Value and Large Cap Core, respectively.
(b) $185,976,145 as reported, plus ($1,133,932), ($6,667,339) and $6,731,661 from pre-merger Global Equity Income, Global Value and Large Cap Core, respectively.
Because Equity, Global Equity Income, Global Value and Large Cap Core sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is also not practicable to separate the amounts of revenue and earnings of Global Equity Income, Global Value and Large Cap Core that have been included in Equity’s Statement of Operations since June 24, 2016.
NOTE K — REGULATORY MATTERS
On October 18, 2016, the SEC issued an administrative order (“Order”) relating to the improper valuation of certain securities held by Balanced by CIM (the Fund’s adviser prior to December 31, 2016) between March 18, 2008 and October 18, 2011. Pursuant to the Order, CIM is required to make distributions to affected shareholders to remediate the improper valuation. The distributions required to be made by CIM to affected shareholders are the obligations of CIM and will not have an impact on Balanced’s net assets.
On May 2, 2017, the SEC issued an administrative order (“Order”) relating to the improper use of Calvert Fund assets by CIM and CID, the Calvert Funds’ former adviser and principal underwriter, respectively, to pay for the distribution and marketing of fund shares outside of a Rule 12b-1 plan, as well as to pay expenses in excess of Fund expense caps. Pursuant to the Order, CIM and CID are required to pay $21,614,534 to affected shareholders of the Calvert Funds, including each Fund’s shareholders. The distributions required to be made by CIM and CID to affected shareholders are the obligations of CIM and CID and will not have an impact on each Fund’s net assets.
NOTE L — NAME CHANGE
Effective November 6, 2017, the name of Calvert Balanced Fund, Calvert Bond Fund and Calvert Equity Fund were changed from Calvert Balanced Portfolio, Calvert Bond Portfolio and Calvert Equity Portfolio, respectively.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Trustees of Calvert Social Investment Fund and Shareholders of Calvert Balanced Fund, Calvert Bond Fund and Calvert Equity Fund:
We have audited the accompanying statements of assets and liabilities of the Calvert Balanced Fund (formerly, Calvert Balanced Portfolio), Calvert Bond Fund (formerly, Calvert Bond Portfolio) and Calvert Equity Fund (formerly, Calvert Equity Portfolio) (collectively, the “Funds”), each a series of Calvert Social Investment Fund, including the schedules of investments, as of September 30, 2017, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2017, by correspondence with the custodian and brokers or by performing other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Calvert Balanced Fund, Calvert Bond Fund and Calvert Equity Fund as of September 30, 2017, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Philadelphia, Pennsylvania
November 22, 2017
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FEDERAL TAX INFORMATION
The Form 1099-DIV you receive in February 2018 will show the tax status of all distributions paid to your account in calendar year 2017. Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Funds. As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of qualified dividend income for individuals, the dividends received deduction for corporations and capital gains dividends.
Qualified Dividend Income. For the fiscal year ended September 30, 2017, the Funds designate approximately the following amounts, or up to the maximum amount of such dividends allowable pursuant to the Internal Revenue Code, as qualified dividend income eligible for the reduced tax rate of 15%:
Balanced Fund | $7,542,976 | ||
Equity Fund | $24,294,627 | ||
Dividends Received Deduction. Corporate shareholders are generally entitled to take the dividends received deduction on the portion of each Fund’s dividend distribution that qualifies under tax law. For each Fund’s fiscal 2017 ordinary income dividends, the following amounts qualify for the corporate dividends received deduction:
Balanced Fund | 29.20 | % |
Equity Fund | 100.00 | % |
Capital Gains Dividends. The Funds hereby designate as a capital gain dividend with respect to the taxable year ended September 30, 2017, the following amounts or, if subsequently determined to be different, the net capital gain of such year:
Balanced Fund | $46,884,939 | ||
Bond Fund | $1,641,582 | ||
Equity Fund | $401,385,509 | ||
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MANAGEMENT AND ORGANIZATION
Fund Management. The Trustees of Calvert Social Investment Fund (the Trust) are responsible for the overall management and supervision of the Trust’s affairs. The Trustees and officers of the Trust are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Trustees and officers of the Trust hold indefinite terms of office. The “Independent Trustees” consist of those Trustees who are not “interested persons” of the Trust, as that term is defined under the 1940 Act. The business address of each Trustee and officer, with the exception of Ms. Gemma and Mr. Kirchner, is 1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009. As used below, “CRM” refers to Calvert Research and Management. Each Trustee oversees 37 funds in the Calvert fund complex. Each officer serves as an officer of certain other Calvert funds.
Name and Year of Birth | Position with Trust | Position Start Date | Principal Occupation(s) and 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 Compliance Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management (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). 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 Social Investment Foundation. |
Independent Trustees | |||
Richard L. Baird, Jr. 1948 | Trustee | 1982 | Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Directorships in the Last Five Years. None. |
Alice Gresham Bullock(2) 1950 | Chair & Trustee | 2016 | Professor at Howard University School of Law (retired June 2016). She is former Dean of Howard University School of Law (1996-2002) and Deputy Director of the Association of American Law Schools (1992-1994). Directorships in the Last Five Years. None. |
Cari M. Dominguez(2) 1949 | Trustee | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. 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. 1948 | Trustee | 1982 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Directorships in the Last Five Years. Ariel Funds (3) (asset management) (through December 31, 2011); Calvert Social Investment Foundation; Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Trustee | 2005 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (now Carr Riggs & Ingram) (public accounting firm), November 1999 - September 2014). Directorships in the Last Five Years. Bridgeway Funds (14) (asset management). |
Joy V. Jones 1950 | Trustee | 1990 | Attorney. Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited (restaurant) (dissolved September 2016); Palm Management Restaurant Corporation. |
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Name and Year of Birth | Position with Trust | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Anthony A. Williams(2) 1951 | Trustee | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present) (economic development non-profit organization); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (now Dentons) (law firm) (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (now Gartner Inc.) (global research and Advisory company) (January 2010 to January 2012); William H. Bloomberg Lecturer in Public Management at the Harvard Kennedy School (since 2009). 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 (non-profit organization); Chesapeake Bay Foundation (independent conservation organization); Catholic University of America; Urban Institute (research organization). |
Principal Officers who are not Trustees | |||
Name and Year of Birth | Position with Trust | Position Start Date | Principal Occupation During Past Five Years |
Hope Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 37 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). |
Maureen A. Gemma(3) 1960 | Secretary and Vice President | 2016 | Vice President of CRM and officer of 37 registered investment companies advised by CRM. Also Vice President of Eaton Vance Management (“EVM”) and certain of its affiliates and officer of 176 registered investment companies advised or administered by EVM. |
James F. Kirchner(3) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 37 registered investment companies advised by CRM. Also Vice President of EVM and certain of its affiliates and officer of 176 registered investment companies advised or administered by EVM. |
(1) Mr. Streur is an interested person of the Funds because of his positions with each Fund’s Adviser and certain affiliates.
(2) Mmes. Bullock and Dominguez and Mr. Williams began serving as Trustees effective December 23, 2016.
(3) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
The SAI for the Funds includes additional information about the Trustees and officers of the Funds and can be obtained without charge on Calvert’s website at www.calvert.com or by calling 1-800-368-2745.
90 www.calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (Unaudited)
IMPORTANT NOTICES
Privacy. The Calvert organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | 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, the Calvert organization 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. |
• | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities within the Calvert organization: the Calvert family of funds and Calvert Research and Management. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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CALVERT SOCIAL INVESTMENT FUND | CALVERT FUNDS | |||
Service for Existing Account Shareholders: 800-368-2745 Brokers: 800-368-2746 Regular Mail Calvert Funds c/o BFDS, P.O. Box 219544 Kansas City, MO 64121-9544 Overnight Mail Calvert Funds c/o BFDS, 330 West 9th Street Kansas City, MO 64105 Web Site www.calvert.com Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 | Municipal Funds Responsible Municipal Income Fund Taxable Bond Funds Bond Fund Income Fund Short Duration Income Fund Long-Term Income Fund Ultra-Short Duration Income Fund High Yield Bond Fund Green Bond Fund Absolute Return Bond Fund Floating-Rate Advantage Fund Balanced and Asset Allocation Funds Balanced Fund Conservative Allocation Fund Moderate Allocation Fund Aggressive Allocation Fund | Equity Funds Equity Fund US Large-Cap Core Responsible Index Fund US Large-Cap Value Responsible Index Fund US Large-Cap Growth Responsible Index Fund US Mid-Cap Core Responsible Index Fund International Responsible Index Fund Mid-Cap Fund International Equity Fund Small-Cap Fund Global Energy Solutions Fund Global Water Fund International Opportunities Fund Emerging Markets Equity Fund | ||
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
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 is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert funds at 800-368-2745. Printed on recycled paper. | |
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Calvert Asset Allocation Funds • Conservative Allocation Fund• Moderate Allocation Fund• Aggressive Allocation Fund | | |
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Annual Report September 30, 2017 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. Each 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 Funds nor the adviser is subject to CFTC regulation. |
Choose Planet-friendly E-delivery! Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs. Just go to www.calvert.com. If you already have an online account with the Calvert funds, click on Login to access your Account and select the documents you would like to receive via e-mail. If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps. Note: If your shares are not held directly with the Calvert funds but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm. |
| TABLE OF CONTENTS | |||
Management’s Discussion of Fund Performance | ||||
Performance and Fund Profile | ||||
Conservative Allocation Fund | ||||
Moderate Allocation Fund | ||||
Aggressive Allocation Fund | ||||
Endnotes and Additional Disclosures | ||||
Understanding Your Fund’s Expenses | ||||
Financial Statements | ||||
Report of Independent Registered Public Accounting Firm | ||||
Federal Tax Information | ||||
Management and Organization | ||||
Important Notices | ||||
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE1
Economic and Market Conditions U.S. stocks delivered strong returns in the 12-month period ended September 30, 2017 behind an extended rally that began with Donald Trump's victory in the U.S. presidential election. After lagging early in the period, U.S stocks moved sharply higher following President Trump's election on November 8, 2016. While its effect was broad-based, the rally particularly favored financial stocks, which received another boost in mid-December when the U.S. Federal Reserve (the Fed) raised its benchmark interest rate amid continued economic growth. U.S. stocks slipped in March 2017, as the failure of President Trump's health care bill in Congress raised concerns about prospects for the rest of his policy agenda including tax reform and infrastructure spending. However, stocks quickly regained their upward momentum, advancing steadily despite additional Fed rate hikes in March and June. Encouraged by a range of favorable economic indicators, particularly U.S. job market gains, many investors viewed the rate hikes as a sign of a strengthening economy. Global stocks also delivered strong returns during the period. Global stocks initially lagged the U.S. rally but rose sharply in the second half of the 12-month period, aided by positive economic indicators across a broad geographic range. Key equity indexes in the Asia-Pacific region also rose during the period despite the North Korea tensions. In the final three months of the period, China's stock market recorded its best quarterly performance in two years. Major stock indexes recorded double-digit gains for the period. The blue-chip Dow Jones Industrial Average2 advanced 25.45%, while the broader U.S. equity market, as represented by the S&P 500 Index, rose 18.61%. Growth stocks, as a group, outpaced value stocks in both the large- and small-cap categories, as measured by the Russell growth and value indexes. The MSCI World Index, a proxy for global equities, returned 18.17% during the period while reaching multiple all-time highs. On the fixed income side, U.S. fixed income securities overall advanced slightly, with the Bloomberg Barclays U.S. Aggregate Bond Index inching up 0.07%. Investment grade fixed income securities managed to generate a modest positive return, as coupon income more than offset the negative price effects of rising interest rates. However, this relatively temperate return belied the market’s underlying volatility for bond investors. The 10-year Treasury yield ended the 1-year period at 2.33%, modestly up from 1.60% at the beginning. During the period, corporate bonds benefited from tighter credit spreads - the yield difference between corporate bonds and Treasurys of similar maturities. Spread tightening helped corporate bonds outperform Treasurys over the period, with longer maturity bonds producing the most excess returns. | On average, lower quality BBB-rated5 issues notably outperformed higher quality A- and AA-rated bonds during the period. Investment grade corporate spreads also tightened during the period as their yields declined from 1.43% to 1.07%. Spreads of high-yield issues also tightened as their yields fell from 6.24% at the beginning of the period to 5.53% at the end. Fund Performance - Calvert Conservative Allocation Fund Calvert Conservative Allocation Fund returned 7.84% for Class A shares at net asset value (NAV) for the 12-month period ended September 30, 2017, outperforming both its primary benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which returned 0.07%, and its blended composite benchmark, the Conservative Allocation Composite Benchmark, which returned 5.56%. The Conservative Allocation Composite Benchmark is an internally constructed benchmark which is comprised of a blend of 22% Russell 3000® Index, 7% MSCI EAFE Investable Market Index, 1% MSCI Emerging Markets Index, 60% Bloomberg Barclays U.S. Aggregate Index, and 10% Bloomberg Barclays U.S. 3-Month Treasury Bellwether Index. Calvert Conservative Allocation Fund is a “fund of funds.” It typically invests within the following ranges in the underlying Calvert funds that primarily invest in the following asset classes of 45% to 75% fixed income, 15% to 45% equity, and 0% to 20% cash and money market instruments. The Fund’s overweight to equities relative to the Index contributed to the Fund’s performance versus the Index as equities are not included in the Index and equity markets worldwide performed well during the period. The Fund’s allocations to the Calvert International Responsible Index Fund, Calvert International Opportunities Fund and Calvert Emerging Markets Equity Fund were notable in this regard during the period. The Fund’s fixed-income allocations, primarily to the Calvert Bond Fund and Calvert Absolute Return Bond Fund, also contributed to the Fund’s performance relative to the Index. These underlying bond funds’ allocations to securitized assets and investment-grade corporates were particularly beneficial as these areas of the fixed-income market outperformed other fixed-income sectors for the period. Fund Performance - Calvert Moderate Allocation Fund Calvert Moderate Allocation Fund (the Fund) returned 12.86% for Class A shares at NAV for the 12-month period ended September 30, 2017, underperforming its primary benchmark, the Russell 3000® Index, which returned 18.71%, and outperforming its blended composite benchmark, the Moderate Allocation Composite Benchmark, which returned 12.20%. | |
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.
2 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (Unaudited)
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE - continued
The Moderate Allocation Composite Benchmark is an internally constructed benchmark which is comprised of a blend of 47% Russell 3000® Index, 15% MSCI EAFE Investable Market Index, 3% MSCI Emerging Markets Index, 30% Bloomberg Barclays U.S. Aggregate Bond Index, and 5% Bloomberg Barclays U.S. 3-Month Treasury Bellwether Index. Calvert Moderate Allocation Fund is a “fund of funds.” It typically invests within the following ranges in the underlying Calvert funds that primarily invest in the following asset classes of 50% to 80% equity, 20% to 50% fixed income, and 0% to 20% cash and money market instruments. The Fund’s allocation to fixed income relative to the Index detracted from the Fund’s performance versus the Index as fixed income is not included in the Index and equity markets worldwide performed well during the period. In addition, the Fund’s cash position also detracted from Fund performance versus the Index. Within the Fund’s equity allocations, overweights to non-U.S. equities relative to the Index, particularly emerging-market equities, contributed to Fund performance versus the Index. The Fund’s allocations to the Calvert International Responsible Index Fund, Calvert International Opportunities Fund and Calvert Emerging Markets Equity Fund were notable in this regard during the period. Within the fixed-income component of the Fund, all the Fund’s underlying allocations delivered positive returns, notably the Fund’s allocations to Calvert Bond Fund and Calvert Absolute Return Bond Fund, but underperformed the Index. Fund Performance - Calvert Aggressive Allocation Fund Calvert Aggressive Allocation Fund (the Fund) returned 17.59% for Class A shares at NAV for the 12-month period ended September 30, 2017, underperforming its primary benchmark, the Russell 3000® Index, which returned 18.71%, and outperforming its blended composite benchmark, the Aggressive Allocation Composite Benchmark, which returned 17.16%. The Aggressive Allocation Composite Benchmark is an internally constructed benchmark which is comprised of a blend of 64% Russell 3000® Index, 21% MSCI EAFE Investable Market Index, 5% MSCI Emerging Markets Index and 10% Bloomberg Barclays U.S. Aggregate Bond Index. | Calvert Aggressive Allocation Fund is a “fund of funds.” It typically invests within the following ranges in the underlying Calvert funds that primarily invest in the following asset classes of 70% to 100% equity, 0% to 30% fixed income, and 0% to 10% cash and money market instruments. The Fund’s allocation to fixed income relative to the Index detracted from the Fund’s performance versus the Index as fixed income is not included in the Index and equity markets worldwide performed well during the period. Within the Fund’s equity allocations, overweights to non-U.S. equities relative to the Index, particularly emerging-market equities, contributed positively to Fund performance versus the Index. The Fund’s allocations to the Calvert International Responsible Index Fund, Calvert International Opportunities Fund and Calvert Emerging Markets Equity Fund were notable in this regard during the period. Within the fixed-income component of the Fund, the Fund’s underlying allocations delivered positive returns, notably the Fund’s allocation to Calvert Bond Fund, but underperformed the Index. | |
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.
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (Unaudited) 3
CALVERT CONSERVATIVE ALLOCATION FUND
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Managers Dan R. Strelow, CFA, Vishal Khanduja, CFA and Justin H. Bourgette, CFA, each of Calvert Research and Management | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years | |||||||||
Class A at NAV | 04/29/2005 | 04/29/2005 | 7.84 | % | 5.80 | % | 4.88 | % | ||||||
Class A with 4.75% Maximum Sales Charge | — | — | 2.73 | 4.78 | 4.37 | |||||||||
Class C at NAV | 04/29/2005 | 04/29/2005 | 7.04 | 4.85 | 3.75 | |||||||||
Class C with 1% Maximum Sales Charge | — | — | 6.04 | 4.85 | 3.75 | |||||||||
Class I at NAV | 05/20/2016 | 04/29/2005 | 8.22 | 5.91 | 4.94 | |||||||||
Class Y at NAV | 05/20/2016 | 04/29/2005 | 8.10 | 5.87 | 4.92 | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | — | — | 0.07 | % | 2.06 | % | 4.27 | % | ||||||
Conservative Allocation Composite Benchmark | — | — | 5.56 | 5.08 | 4.73 | |||||||||
% Total Annual Operating Expense Ratios4 | Class A | Class C | Class I | Class Y | ||||||||||
Gross | 1.05 | % | 1.84 | % | 1.36 | % | 5.37 | % | ||||||
Net | 1.00 | 1.75 | 0.65 | 0.75 | ||||||||||
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 Investment3 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class C | $10,000 | 9/30/2007 | $14,456 | N.A. | ||||
Class I | $250,000 | 9/30/2007 | $405,019 | N.A. | ||||
Class Y | $10,000 | 9/30/2007 | $16,170 | 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. 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.
4 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (Unaudited)
CALVERT CONSERVATIVE ALLOCATION FUND
FUND PROFILE
ASSET ALLOCATION (% of total investments) | ||||||
Fixed-Income Funds | 65.9 | % | ||||
Domestic Equity Funds | 22.4 | % | ||||
International and Global Equity Funds | 11.7 | % | ||||
Options Purchased | 0.0% | * | ||||
Total | 100.0 | % | ||||
* Amount is less than 0.05%.
See Endnotes and Additional Disclosures in this report.
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CALVERT MODERATE ALLOCATION FUND
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Managers Dan R. Strelow, CFA, Vishal Khanduja, CFA and Justin H. Bourgette, CFA, each of Calvert Research and Management | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years | |||||||||
Class A at NAV | 04/29/2005 | 4/29/2005 | 12.86 | % | 8.52 | % | 4.67 | % | ||||||
Class A with 4.75% Maximum Sales Charge | — | — | 7.50 | 7.48 | 4.16 | |||||||||
Class C at NAV | 04/29/2005 | 4/29/2005 | 12.02 | 7.72 | 3.87 | |||||||||
Class C with 1% Maximum Sales Charge | — | — | 11.02 | 7.72 | 3.87 | |||||||||
Class I at NAV | 05/20/2016 | 4/29/2005 | 13.26 | 8.63 | 4.72 | |||||||||
Class Y at NAV | 05/20/2016 | 4/29/2005 | 13.12 | 8.60 | 4.70 | |||||||||
Russell 3000® Index | — | — | 18.71 | % | 14.22 | % | 7.56 | % | ||||||
Moderate Allocation Composite Benchmark | — | — | 12.20 | 8.82 | 5.54 | |||||||||
% Total Annual Operating Expense Ratios4 | Class A | Class C | Class I | Class Y | ||||||||||
Gross | 1.11 | % | 1.89 | % | 0.71 | % | 4.83 | % | ||||||
Net | 1.00 | 1.75 | 0.65 | 0.75 | ||||||||||
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 Investment3 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class C | $10,000 | 9/30/2007 | $14,626 | N.A. | ||||
Class I | $250,000 | 9/30/2007 | $396,575 | N.A. | ||||
Class Y | $10,000 | 9/30/2007 | $15,838 | 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. 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.
6 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (Unaudited)
CALVERT MODERATE ALLOCATION FUND
FUND PROFILE
ASSET ALLOCATION (% of total investments) | ||||||
Domestic Equity Funds | 39.9 | % | ||||
Fixed-Income Funds | 37.3 | % | ||||
International and Global Equity Funds | 22.7 | % | ||||
Options Purchased | 0.1 | % | ||||
Total | 100.0 | % | ||||
See Endnotes and Additional Disclosures in this report.
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (Unaudited) 7
CALVERT AGGRESSIVE ALLOCATION FUND
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Managers Dan R. Strelow, CFA, Vishal Khanduja, CFA and Justin H. Bourgette, CFA, each of Calvert Research and Management | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years | |||||||||
Class A at NAV | 6/30/2005 | 6/30/2005 | 17.59 | % | 11.09 | % | 4.77 | % | ||||||
Class A with 4.75% Maximum Sales Charge | — | — | 12.03 | 10.01 | 4.26 | |||||||||
Class C at NAV | 6/30/2005 | 6/30/2005 | 16.72 | 9.98 | 3.55 | |||||||||
Class C with 1% Maximum Sales Charge | — | — | 15.72 | 9.98 | 3.55 | |||||||||
Class I at NAV | 5/20/2016 | 6/30/2005 | 18.02 | 11.20 | 4.81 | |||||||||
Class Y at NAV | 5/20/2016 | 6/30/2005 | 17.87 | 11.18 | 4.81 | |||||||||
Russell 3000® Index | — | — | 18.71 | % | 14.22 | % | 7.56 | % | ||||||
Aggressive Allocation Composite Benchmark | — | — | 17.16 | 11.44 | 5.91 | |||||||||
% Total Annual Operating Expense Ratios4 | Class A | Class C | Class I | Class Y | ||||||||||
Gross | 1.15 | % | 1.97 | % | 0.95 | % | 7.21 | % | ||||||
Net | 0.98 | 1.73 | 0.63 | 0.73 | ||||||||||
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 Investment3 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class C | $10,000 | 9/30/2007 | $14,173 | N.A. | ||||
Class I | $250,000 | 9/30/2007 | $400,259 | N.A. | ||||
Class Y | $10,000 | 9/30/2007 | $15,999 | 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. 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.
8 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (Unaudited)
CALVERT AGGRESSIVE ALLOCATION FUND
FUND PROFILE
ASSET ALLOCATION (% of total investments) | ||||||
Domestic Equity Funds | 54.3 | % | ||||
International and Global Equity Funds | 33.1 | % | ||||
Fixed-Income Funds | 12.5 | % | ||||
Options Purchased | 0.1 | % | ||||
Total | 100.0 | % | ||||
See Endnotes and Additional Disclosures in this report.
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (Unaudited) 9
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 at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance 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 Dow Jones Industrial Average is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P 500 Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock markets performance. MSCI World Index is an unmanaged index of equity securities in the developed markets. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. The Conservative Allocation Composite Benchmark is an internally constructed benchmark which is comprised of a blend of 22% Russell 3000® Index, 7% MSCI EAFE Investable Market Index, 1% MSCI Emerging Markets Index, 60% Bloomberg Barclays U.S. Aggregate Bond Index, and 10% Bloomberg Barclays U.S. 3-Month Treasury Bellwether Index, and is rebalanced monthly. Bloomberg Barclays U.S. 3-Month Treasury Bellwether Index is an unmanaged index of Treasury bills with a maturity of less than 3 months. Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. stocks. MSCI EAFE Investable Market Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada, with comprehensive coverage of securities in those markets. MSCI Emerging Markets Index is an unmanaged index of emerging markets common stocks. The Moderate Allocation Composite Benchmark is an internally constructed benchmark which is comprised of a blend of 47% Russell 3000® Index, 15% MSCI EAFE Investable Market Index, 3% MSCI Emerging Markets Index, 30% Bloomberg Barclays U.S. Aggregate Bond Index, and 5% Bloomberg Barclays U.S. 3-Month Treasury Bellwether Index, and is rebalanced monthly. The Aggressive Allocation Composite Benchmark is an internally constructed benchmark which is comprised of a blend of 64% Russell 3000® Index, 21% MSCI EAFE Investable Market Index, 5% MSCI Emerging Markets Index and 10% Bloomberg Barclays U.S. Aggregate Bond Index, and is rebalanced monthly. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. | 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 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 I and Class Y is linked to Class A. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. Performance presented in the Financial Highlights included in the financial statements is not linked. 4 Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.5 Ratings are based on Moody’s, S&P or Fitch, as applicable. If securities are rated differently by the ratings agencies, the higher 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 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 or Fitch (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.Fund profile subject to change due to active management. | |
10 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (Unaudited)
UNDERSTANDING YOUR FUND'S EXPENSES
Example
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); 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, 2017 to September 30, 2017).
Actual Expenses
The first section of the tables 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 tables 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 tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the tables 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.
CALVERT CONSERVATIVE ALLOCATION FUND | BEGINNING ACCOUNT VALUE (4/1/17) | ENDING ACCOUNT VALUE (9/30/17) | EXPENSES PAID DURING PERIOD* (4/1/17 - 9/30/17) | ANNUALIZED EXPENSE RATIO |
Actual | ||||
Class A | $1,000.00 | $1,045.30 | $2.26** | 0.44% |
Class C | $1,000.00 | $1,041.20 | $6.09** | 1.19% |
Class I | $1,000.00 | $1,047.70 | $0.46** | 0.09% |
Class Y | $1,000.00 | $1,046.60 | $0.97** | 0.19% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.86 | $2.23** | 0.44% |
Class C | $1,000.00 | $1,019.10 | $6.02** | 1.19% |
Class I | $1,000.00 | $1,024.62 | $0.46** | 0.09% |
Class Y | $1,000.00 | $1,024.12 | $0.96** | 0.19% |
* 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, 2017. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated and/or unaffiliated funds. | ||||
** Absent a waiver and/or reimbursement of expenses by affiliates, expenses would be higher. | ||||
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (Unaudited) 11
CALVERT MODERATE ALLOCATION FUND | BEGINNING ACCOUNT VALUE (4/1/17) | ENDING ACCOUNT VALUE (9/30/17) | EXPENSES PAID DURING PERIOD* (4/1/17 - 9/30/17) | ANNUALIZED EXPENSE RATIO |
Actual | ||||
Class A | $1,000.00 | $1,065.10 | $2.28** | 0.44% |
Class C | $1,000.00 | $1,061.20 | $6.15** | 1.19% |
Class I | $1,000.00 | $1,066.70 | $0.47** | 0.09% |
Class Y | $1,000.00 | $1,066.20 | $0.98** | 0.19% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.86 | $2.23** | 0.44% |
Class C | $1,000.00 | $1,019.10 | $6.02** | 1.19% |
Class I | $1,000.00 | $1,024.62 | $0.46** | 0.09% |
Class Y | $1,000.00 | $1,024.12 | $0.96** | 0.19% |
* 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, 2017. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated and/or unaffiliated funds. | ||||
** Absent a waiver and/or reimbursement of expenses by affiliates, expenses would be higher. | ||||
CALVERT AGGRESSIVE ALLOCATION FUND | BEGINNING ACCOUNT VALUE (4/1/17) | ENDING ACCOUNT VALUE (9/30/17) | EXPENSES PAID DURING PERIOD* (4/1/17 - 9/30/17) | ANNUALIZED EXPENSE RATIO |
Actual | ||||
Class A | $1,000.00 | $1,086.30 | $2.25** | 0.43% |
Class C | $1,000.00 | $1,082.30 | $6.16** | 1.18% |
Class I | $1,000.00 | $1,088.20 | $0.42** | 0.08% |
Class Y | $1,000.00 | $1,087.10 | $0.94** | 0.18% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.91 | $2.18** | 0.43% |
Class C | $1,000.00 | $1,019.15 | $5.97** | 1.18% |
Class I | $1,000.00 | $1,024.67 | $0.41** | 0.08% |
Class Y | $1,000.00 | $1,024.17 | $0.91** | 0.18% |
* 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 $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2017. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated and/or unaffiliated funds. | ||||
** Absent a waiver and/or reimbursement of expenses by affiliates, expenses would be higher. | ||||
12 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (Unaudited)
CALVERT CONSERVATIVE ALLOCATION FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
SHARES | VALUE ($) | |
MUTUAL FUNDS (a) - 100.0% | ||
Equity Mutual Funds - 34.1% | ||
Calvert Impact Fund, Inc.: | ||
Calvert Small-Cap Fund (formerly, Calvert Small Cap Fund), Class I | 70,175 | 1,930,527 |
Calvert Responsible Index Series, Inc.: | ||
Calvert International Responsible Index Fund (formerly, Calvert Developed Markets Ex-U.S. Responsible Index Fund), Class I | 242,560 | 5,654,082 |
Calvert US Large-Cap Core Responsible Index Fund (formerly, Calvert U.S. Large Cap Core Responsible Index Fund), Class I | 687,671 | 15,087,493 |
Calvert US Large-Cap Growth Responsible Index Fund (formerly, Calvert U.S. Large Cap Growth Responsible Index Fund), Class I | 344,496 | 8,422,939 |
Calvert US Large-Cap Value Responsible Index Fund (formerly, Calvert U.S. Large Cap Value Responsible Index Fund), Class I | 474,198 | 10,963,468 |
Calvert US Mid-Cap Core Responsible Index Fund (formerly, Calvert U.S. Mid Cap Core Responsible Index Fund), Class I | 135,676 | 3,332,212 |
Calvert World Values Fund, Inc.: | ||
Calvert Emerging Markets Equity Fund, Class I | 281,216 | 4,634,441 |
Calvert International Equity Fund, Class I | 309,405 | 5,643,538 |
Calvert International Opportunities Fund, Class I | 310,482 | 5,719,088 |
Calvert Mid-Cap Fund (formerly, Calvert Capital Accumulation Fund), Class I | 48,815 | 1,889,145 |
63,276,933 | ||
Fixed-Income Mutual Funds - 65.9% | ||
Calvert Fund: | ||
Calvert Long-Term Income Fund, Class I | 321,477 | 5,500,476 |
Calvert Ultra-Short Duration Income Fund (formerly, Calvert Ultra-Short Income Fund), Class I | 1,357,595 | 21,232,794 |
Calvert Management Series: | ||
Calvert Absolute Return Bond Fund (formerly, Calvert Unconstrained Bond Fund), Class I | 1,580,293 | 23,957,244 |
Calvert Social Investment Fund: | ||
Calvert Bond Fund (formerly, Calvert Bond Portfolio), Class I | 4,425,319 | 71,468,898 |
122,159,412 | ||
Total Mutual Funds (Cost $175,496,267) | 185,436,345 | |
Total Purchased Options (Cost $18,359) - 0.1% | 75,190 | |
TOTAL INVESTMENTS (Cost $175,514,626) - 100.1% | 185,511,535 | |
Total Written Options (Premiums received $22,160) - (0.0)%(b) | (4,838) | |
Other assets and liabilities, net - (0.1%) | (141,067) | |
NET ASSETS - 100.0% | 185,365,630 | |
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 13
CALL OPTIONS PURCHASED - 0.1% | |||||||
EXCHANGE-TRADED OPTIONS - 0.1% | |||||||
DESCRIPTION | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE | ||
E-mini Russell 2000 Index Futures 12/17 | 14 | $1,045,030 | $1,450 | 12/15/17 | $46,060 | ||
E-mini Russell 2000 Index Futures 12/17 | 6 | 447,870 | 1,470 | 12/15/17 | 15,540 | ||
E-mini Russell 2000 Index Futures 12/17 | 6 | 447,870 | 1,480 | 12/15/17 | 13,590 | ||
Total | $75,190 | ||||||
PUT OPTIONS WRITTEN - (0.0)% (b) | |||||||
EXCHANGE-TRADED OPTIONS - (0.0)% (b) | |||||||
DESCRIPTION | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE | ||
E-mini Russell 2000 Index Futures 12/17 | (23) | ($1,716,835) | $1,250 | 12/15/17 | ($3,508 | ) | |
E-mini Russell 2000 Index Futures 12/17 | (7) | (522,515) | 1,275 | 12/15/17 | (1,330) | ||
Total | ($4,838 | ) | |||||
FUTURES | NUMBER OF CONTRACTS | EXPIRATION MONTH/YEAR | NOTIONAL AMOUNT | VALUE/NET UNREALIZED APPRECIATION (DEPRECIATION) | ||
Long: | ||||||
U.S. Ultra-Long Treasury Bond | 20 | 12/17 | $3,302,500 | ($65,252 | ) | |
Short: | ||||||
E-mini Russell 2000 Index | (13) | 12/17 | ($970,385) | ($50,153 | ) | |
NOTES TO SCHEDULE OF INVESTMENTS |
(a) Affiliated company. |
(b) Amount is less than (0.05)%. |
See notes to financial statements. |
14 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT MODERATE ALLOCATION FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
SHARES | VALUE ($) | |
MUTUAL FUNDS (a) - 99.9% | ||
Equity Mutual Funds - 62.6% | ||
Calvert Impact Fund, Inc.: | ||
Calvert Small-Cap Fund (formerly, Calvert Small Cap Fund), Class I | 151,220 | 4,160,058 |
Calvert Responsible Index Series, Inc.: | ||
Calvert International Responsible Index Fund (formerly, Calvert Developed Markets Ex-U.S. Responsible Index Fund), Class I | 580,769 | 13,537,737 |
Calvert US Large-Cap Core Responsible Index Fund (formerly, Calvert U.S. Large Cap Core Responsible Index Fund), Class I | 2,037,548 | 44,703,796 |
Calvert US Large-Cap Growth Responsible Index Fund (formerly, Calvert U.S. Large Cap Growth Responsible Index Fund), Class I | 769,928 | 18,824,740 |
Calvert US Large-Cap Value Responsible Index Fund (formerly, Calvert U.S. Large Cap Value Responsible Index Fund), Class I | 1,125,626 | 26,024,478 |
Calvert US Mid-Cap Core Responsible Index Fund (formerly, Calvert U.S. Mid Cap Core Responsible Index Fund), Class I | 388,681 | 9,546,004 |
Calvert World Values Fund, Inc.: | ||
Calvert Emerging Markets Equity Fund, Class I | 565,098 | 9,312,818 |
Calvert International Equity Fund, Class I | 1,185,299 | 21,619,858 |
Calvert International Opportunities Fund, Class I | 892,071 | 16,431,947 |
Calvert Mid-Cap Fund (formerly, Calvert Capital Accumulation Fund), Class I | 105,191 | 4,070,891 |
168,232,327 | ||
Fixed-Income Mutual Funds - 37.3% | ||
Calvert Fund: | ||
Calvert Ultra-Short Duration Income Fund (formerly, Calvert Ultra-Short Income Fund), Class I | 1,438,790 | 22,502,681 |
Calvert Management Series: | ||
Calvert Absolute Return Bond Fund (formerly, Calvert Unconstrained Bond Fund), Class I | 2,008,287 | 30,445,625 |
Calvert Social Investment Fund: | ||
Calvert Bond Fund (formerly, Calvert Bond Portfolio), Class I | 2,934,178 | 47,386,979 |
100,335,285 | ||
Total Mutual Funds (Cost $244,451,784) | 268,567,612 | |
Total Purchased Options (Cost $38,387) - 0.1% | 153,190 | |
TOTAL INVESTMENTS (Cost $244,490,171) - 100.0% | 268,720,802 | |
Total Written Options (Premiums received $46,037) - (0.0)%(b) | (10,700) | |
Other assets and liabilities, net - (0.0%) (b) | (37,521) | |
NET ASSETS - 100.0% | 268,672,581 | |
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 15
CALL OPTIONS PURCHASED - 0.1% | |||||||
EXCHANGE-TRADED OPTIONS - 0.1% | |||||||
DESCRIPTION | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE | ||
E-mini Russell 2000 Index Futures 12/17 | 20 | $1,492,900 | $1,450 | 12/15/17 | $65,800 | ||
E-mini Russell 2000 Index Futures 12/17 | 18 | 1,343,610 | 1,470 | 12/15/17 | 46,620 | ||
E-mini Russell 2000 Index Futures 12/17 | 18 | 1,343,610 | 1,480 | 12/15/17 | 40,770 | ||
Total | $153,190 | ||||||
PUT OPTIONS WRITTEN - (0.0)% (b) | |||||||
EXCHANGE-TRADED OPTIONS - (0.0)% (b) | |||||||
DESCRIPTION | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE | ||
E-mini Russell 2000 Index Futures 12/17 | (44) | ($3,284,380) | $1,250 | 12/15/17 | ($6,710 | ) | |
E-mini Russell 2000 Index Futures 12/17 | (21) | (1,567,545) | 1,275 | 12/15/17 | (3,990) | ||
Total | ($10,700 | ) | |||||
FUTURES | NUMBER OF CONTRACTS | EXPIRATION MONTH/YEAR | NOTIONAL AMOUNT | VALUE/NET UNREALIZED APPRECIATION (DEPRECIATION) | ||
Long: | ||||||
E-mini S&P 500 Index | 12 | 12/17 | $1,509,660 | $18,115 | ||
U.S. Ultra-Long Treasury Bond | 27 | 12/17 | 4,458,375 | (88,090 | ) | |
Total Long | ($69,975 | ) | ||||
Short: | ||||||
E-mini Russell 2000 Index | (19) | 12/17 | ($1,418,255) | ($73,300 | ) | |
U.S. 5-Year Treasury Note | (105) | 12/17 | (12,337,500) | 96,589 | ||
Total Short | $23,289 | |||||
NOTES TO SCHEDULE OF INVESTMENTS |
(a) Affiliated company. |
(b) Amount is less than (0.05)%. |
See notes to financial statements. |
16 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT AGGRESSIVE ALLOCATION FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
SHARES | VALUE ($) | |
MUTUAL FUNDS (a) - 100.0% | ||
Equity Mutual Funds - 87.5% | ||
Calvert Impact Fund, Inc.: | ||
Calvert Small-Cap Fund (formerly, Calvert Small Cap Fund), Class I | 154,350 | 4,246,173 |
Calvert Responsible Index Series, Inc.: | ||
Calvert International Responsible Index Fund (formerly, Calvert Developed Markets Ex-U.S. Responsible Index Fund), Class I | 340,817 | 7,944,455 |
Calvert US Large-Cap Core Responsible Index Fund (formerly, Calvert U.S. Large Cap Core Responsible Index Fund), Class I | 1,496,712 | 32,837,852 |
Calvert US Large-Cap Growth Responsible Index Fund (formerly, Calvert U.S. Large Cap Growth Responsible Index Fund), Class I | 505,201 | 12,352,168 |
Calvert US Large-Cap Value Responsible Index Fund (formerly, Calvert U.S. Large Cap Value Responsible Index Fund), Class I | 755,929 | 17,477,081 |
Calvert US Mid-Cap Core Responsible Index Fund (formerly, Calvert U.S. Mid Cap Core Responsible Index Fund), Class I | 156,311 | 3,839,003 |
Calvert World Values Fund, Inc.: | ||
Calvert Emerging Markets Equity Fund, Class I | 536,025 | 8,833,697 |
Calvert International Equity Fund, Class I | 926,169 | 16,893,328 |
Calvert International Opportunities Fund, Class I | 644,874 | 11,878,582 |
Calvert Mid-Cap Fund (formerly, Calvert Capital Accumulation Fund), Class I | 107,365 | 4,155,044 |
120,457,383 | ||
Fixed-Income Mutual Funds - 12.5% | ||
Calvert Management Series: | ||
Calvert Absolute Return Bond Fund (formerly, Calvert Unconstrained Bond Fund), Class I | 267,360 | 4,053,181 |
Calvert Social Investment Fund: | ||
Calvert Bond Fund (formerly, Calvert Bond Portfolio), Class I | 814,675 | 13,157,009 |
17,210,190 | ||
Total Mutual Funds (Cost $121,965,445) | 137,667,573 | |
Total Purchased Options (Cost $25,642) - 0.1% | 100,870 | |
TOTAL INVESTMENTS (Cost $121,991,087) - 100.1% | 137,768,443 | |
Total Written Options (Premiums received $29,741) - (0.0)%(b) | (7,158) | |
Other assets and liabilities, net - (0.1%) | (81,172) | |
NET ASSETS - 100.0% | 137,680,113 | |
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 17
CALL OPTIONS PURCHASED - 0.1% | |||||||
EXCHANGE-TRADED OPTIONS - 0.1% | |||||||
DESCRIPTION | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE | ||
E-mini Russell 2000 Index Futures 12/17 | 10 | $746,450 | $1,450 | 12/15/17 | $32,900 | ||
E-mini Russell 2000 Index Futures 12/17 | 14 | 1,045,030 | 1,470 | 12/15/17 | 36,260 | ||
E-mini Russell 2000 Index Futures 12/17 | 14 | 1,045,030 | 1,480 | 12/15/17 | 31,710 | ||
Total | $100,870 | ||||||
PUT OPTIONS WRITTEN - (0.0)% (b) | |||||||
EXCHANGE-TRADED OPTIONS - (0.0)% (b) | |||||||
DESCRIPTION | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE | ||
E-mini Russell 2000 Index Futures 12/17 | (27) | ($2,015,415) | $1,250 | 12/15/17 | ($4,118 | ) | |
E-mini Russell 2000 Index Futures 12/17 | (16) | (1,194,320) | 1,275 | 12/15/17 | (3,040) | ||
Total | ($7,158 | ) | |||||
FUTURES | NUMBER OF CONTRACTS | EXPIRATION MONTH/YEAR | NOTIONAL AMOUNT | VALUE/NET UNREALIZED APPRECIATION (DEPRECIATION) | ||
Long: | ||||||
E-mini S&P 500 Index | 14 | 12/17 | $1,761,270 | $21,134 | ||
Short: | ||||||
E-mini Russell 2000 Index | (23) | 12/17 | ($1,716,835) | ($88,731 | ) | |
NOTES TO SCHEDULE OF INVESTMENTS |
(a) Affiliated company. |
(b) Amount is less than (0.05)%. |
See notes to financial statements. |
18 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT CONSERVATIVE ALLOCATION FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2017
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $18,359) | $75,190 | ||
Investments in securities of affiliated issuers, at value (identified cost $175,496,267) | 185,436,345 | ||
Receivable for variation margin on open futures contracts | 7,930 | ||
Cash | 718 | ||
Receivable for investments sold | 186,571 | ||
Receivable for capital shares sold | 104,512 | ||
Deposits at broker for futures contracts | 18,147 | ||
Trustees' deferred compensation plan | 98,127 | ||
Total assets | 185,927,540 | ||
LIABILITIES | |||
Written options outstanding, at value (premiums received, $22,160) | 4,838 | ||
Payable for capital shares redeemed | 294,161 | ||
Payable to affiliates: | |||
Distribution and service fees | 55,923 | ||
Sub-transfer agency fee | 1,866 | ||
Trustees' deferred compensation plan | 98,127 | ||
Other | 14,899 | ||
Accrued expenses | 92,096 | ||
Total liabilities | 561,910 | ||
NET ASSETS | $185,365,630 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to shares of beneficial interest | |||
(unlimited number of no par value shares authorized) | $173,729,406 | ||
Accumulated undistributed net realized gain | 1,737,398 | ||
Net unrealized appreciation (depreciation) | 9,898,826 | ||
Total | $185,365,630 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $138,512,060 and 8,030,407 shares outstanding) | $17.25 | ||
Class C (based on net assets of $33,661,281 and 1,973,519 shares outstanding) | $17.06 | ||
Class I (based on net assets of $3,051,723 and 177,089 shares outstanding) | $17.23 | ||
Class Y (based on net assets of $10,140,566 and 588,464 shares outstanding) | $17.23 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $18.11 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. | |||
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 19
CALVERT MODERATE ALLOCATION FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2017
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $38,387) | $153,190 | ||
Investments in securities of affiliated issuers, at value (identified cost $244,451,784) | 268,567,612 | ||
Receivable for variation margin on open futures contracts | 32,950 | ||
Receivable for investments sold | 1,574,057 | ||
Receivable for capital shares sold | 324,012 | ||
Trustees' deferred compensation plan | 154,487 | ||
Total assets | 270,806,308 | ||
LIABILITIES | |||
Written options outstanding, at value (premiums received, $46,037) | 10,700 | ||
Due to custodian | 150 | ||
Payable for investments purchased | 1,339,678 | ||
Payable for capital shares redeemed | 394,864 | ||
Payable to affiliates: | |||
Distribution and service fees | 78,186 | ||
Sub-transfer agency fee | 4,007 | ||
Trustees' deferred compensation plan | 154,487 | ||
Other | 11,366 | ||
Accrued expenses | 140,289 | ||
Total liabilities | 2,133,727 | ||
NET ASSETS | $268,672,581 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to shares of beneficial interest | |||
(unlimited number of no par value shares authorized) | $240,080,710 | ||
Accumulated undistributed net realized gain | 4,372,589 | ||
Net unrealized appreciation (depreciation) | 24,219,282 | ||
Total | $268,672,581 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $213,343,471 and 11,044,347 shares outstanding) | $19.32 | ||
Class C (based on net assets of $42,528,901 and 2,315,188 shares outstanding) | $18.37 | ||
Class I (based on net assets of $9,124,343 and 471,325 shares outstanding) | $19.36 | ||
Class Y (based on net assets of $3,675,866 and 190,040 shares outstanding) | $19.34 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $20.28 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. | |||
20 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT AGGRESSIVE ALLOCATION FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2017
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $25,642) | $100,870 | ||
Investments in securities of affiliated issuers, at value (identified cost $121,965,445) | 137,667,573 | ||
Receivable for variation margin on open futures contracts | 5,535 | ||
Receivable for investments sold | 26,942 | ||
Receivable for capital shares sold | 54,003 | ||
Receivable from affiliates | 24,519 | ||
Trustees' deferred compensation plan | 75,155 | ||
Total assets | 137,954,597 | ||
LIABILITIES | |||
Written options outstanding, at value (premiums received, $29,741) | 7,158 | ||
Due to custodian | 150 | ||
Payable for capital shares redeemed | 55,186 | ||
Payable to affiliates: | |||
Distribution and service fees | 38,350 | ||
Sub-transfer agency fee | 2,960 | ||
Trustees' deferred compensation plan | 75,155 | ||
Accrued expenses | 95,525 | ||
Total liabilities | 274,484 | ||
NET ASSETS | $137,680,113 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to shares of beneficial interest | |||
(unlimited number of no par value shares authorized) | $120,009,498 | ||
Accumulated distributions in excess of net investment income | (199,027) | ||
Accumulated undistributed net realized gain | 2,137,300 | ||
Net unrealized appreciation (depreciation) | 15,732,342 | ||
Total | $137,680,113 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $116,679,899 and 5,756,760 shares outstanding) | $20.27 | ||
Class C (based on net assets of $18,044,503 and 1,031,190 shares outstanding) | $17.50 | ||
Class I (based on net assets of $1,789,618 and 87,963 shares outstanding) | $20.35 | ||
Class Y (based on net assets of $1,166,093 and 57,319 shares outstanding) | $20.34 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $21.28 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. | |||
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 21
CALVERT ALLOCATION FUNDS
STATEMENTS OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2017
INVESTMENT INCOME | Conservative Allocation Fund | Moderate Allocation Fund | Aggressive Allocation Fund | ||||||||
Dividend income - affiliated issuers | $3,797,354 | $4,953,361 | $2,133,071 | ||||||||
Total investment income | 3,797,354 | 4,953,361 | 2,133,071 | ||||||||
EXPENSES | |||||||||||
Administrative fee | 49,487 | 73,559 | 36,382 | ||||||||
Distribution and service fees: | |||||||||||
Class A | 326,284 | 509,157 | 267,776 | ||||||||
Class C | 337,694 | 419,708 | 175,736 | ||||||||
Trustees' fees and expenses | 12,660 | 18,562 | 9,533 | ||||||||
Custodian fees | 33,543 | 32,583 | 29,724 | ||||||||
Transfer agency fees and expenses: | |||||||||||
Class A | 138,650 | 252,567 | 186,033 | ||||||||
Class C | 39,694 | 57,567 | 31,663 | ||||||||
Class I | 2,090 | 2,976 | 1,947 | ||||||||
Class Y | 5,041 | 3,329 | 2,178 | ||||||||
Accounting fees | 25,477 | 25,477 | 25,477 | ||||||||
Professional fees | 31,162 | 34,560 | 28,971 | ||||||||
Registration fees: | |||||||||||
Class A | 20,623 | 20,557 | 19,996 | ||||||||
Class C | 15,554 | 15,515 | 15,293 | ||||||||
Class I | 28,875 | 29,004 | 28,258 | ||||||||
Class Y | 28,366 | 28,346 | 28,235 | ||||||||
Reports to shareholders | 17,977 | 25,672 | 18,784 | ||||||||
Miscellaneous | 63,701 | 91,064 | 48,500 | ||||||||
Total expenses | 1,176,878 | 1,640,203 | 954,486 | ||||||||
Waiver and/or reimbursement of expenses by affiliates | (185,177) | (231,503) | (282,250) | ||||||||
Reimbursement of expenses-other | (2,109) | (3,053) | (1,525) | ||||||||
Net expenses | 989,592 | 1,405,647 | 670,711 | ||||||||
Net investment income (loss) | 2,807,762 | 3,547,714 | 1,462,360 | ||||||||
22 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT ALLOCATION FUNDS
STATEMENTS OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2017 - CONT’D
REALIZED AND UNREALIZED GAIN (LOSS) | Conservative Allocation Fund | Moderate Allocation Fund | Aggressive Allocation Fund | ||||||||
Net realized gain (loss) on: | |||||||||||
Investment securities - affiliated issuers | 3,293,831 | 10,277,821 | 6,607,967 | ||||||||
Futures contracts | (939,683) | (1,538,710) | (510,783) | ||||||||
Capital gain distributions from affiliated issuers | 867,807 | 1,756,763 | 944,572 | ||||||||
3,221,955 | 10,495,874 | 7,041,756 | |||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||
Investment securities - unaffiliated issuers | 56,831 | 114,803 | 75,228 | ||||||||
Investment securities - affiliated issuers | 6,498,670 | 15,979,603 | 11,885,956 | ||||||||
Futures contracts | 185,827 | 353,369 | 59,500 | ||||||||
Written options | 17,322 | 35,337 | 22,583 | ||||||||
6,758,650 | 16,483,112 | 12,043,267 | |||||||||
Net realized and unrealized gain (loss) | 9,980,605 | 26,978,986 | 19,085,023 | ||||||||
Net increase (decrease) in net assets resulting from operations | $12,788,367 | $30,526,700 | $20,547,383 | ||||||||
See notes to financial statements. | |||||||||||
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 23
CALVERT CONSERVATIVE ALLOCATION FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||
Operations: | |||||||
Net investment income (loss) | $2,807,762 | $2,707,358 | |||||
Net realized gain (loss) | 3,221,955 | 2,383,955 | |||||
Net change in unrealized appreciation (depreciation) | 6,758,650 | 3,092,469 | |||||
Net increase (decrease) in net assets resulting from operations | 12,788,367 | 8,183,782 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (2,595,975) | (2,343,775) | |||||
Class C shares | (376,473) | (349,630) | |||||
Class I shares | (71,237) | (8,405)(a) | |||||
Class Y shares | (82,688) | (1,983)(a) | |||||
Net realized gain: | |||||||
Class A shares | (1,237,445) | (4,753,391) | |||||
Class C shares | (332,089) | (1,254,611) | |||||
Class I shares | (27,300) | — | |||||
Class Y shares | (4,486) | — | |||||
Total distributions to shareholders | (4,727,693) | (8,711,795) | |||||
Capital share transactions: | |||||||
Class A shares | 1,005,058 | 19,139,718 | |||||
Class C shares | (2,258,930) | 4,514,555 | |||||
Class I shares | 1,908,797 | 1,008,405(a) | |||||
Class Y shares | 9,302,127 | 401,012(a) | |||||
Net increase (decrease) in net assets from capital share transactions | 9,957,052 | 25,063,690 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 18,017,726 | 24,535,677 | |||||
NET ASSETS | |||||||
Beginning of year | 167,347,904 | 142,812,227 | |||||
End of year (including accumulated undistributed net investment income of $0 and $19,815, respectively) | $185,365,630 | $167,347,904 | |||||
(a) From May 20, 2016 inception. | |||||||
See notes to financial statements. | |||||||
24 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT MODERATE ALLOCATION FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||
Operations: | |||||||
Net investment income (loss) | $3,547,714 | $3,103,263 | |||||
Net realized gain (loss) | 10,495,874 | 20,987,389 | |||||
Net change in unrealized appreciation (depreciation) | 16,483,112 | (7,845,912) | |||||
Net increase (decrease) in net assets resulting from operations | 30,526,700 | 16,244,740 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (3,141,842) | (2,749,340) | |||||
Class C shares | (618,696) | (346,300) | |||||
Class I shares | (153,565) | (4,593)(a) | |||||
Class Y shares | (10,236) | (963)(a) | |||||
Net realized gain: | |||||||
Class A shares | (5,330,677) | (20,286,828) | |||||
Class C shares | (1,136,894) | (4,514,786) | |||||
Class I shares | (37,924) | — | |||||
Class Y shares | (13,880) | — | |||||
Total distributions to shareholders | (10,443,714) | (27,902,810) | |||||
Capital share transactions: | |||||||
Class A shares | (6,697,207) | 23,983,085 | |||||
Class C shares | (3,154,544) | 4,393,689 | |||||
Class I shares | 7,345,917 | 1,004,593(a) | |||||
Class Y shares | 3,047,895 | 391,781(a) | |||||
Net increase (decrease) in net assets from capital share transactions | 542,061 | 29,773,148 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 20,625,047 | 18,115,078 | |||||
NET ASSETS | |||||||
Beginning of year | 248,047,534 | 229,932,456 | |||||
End of year (including accumulated undistributed net investment income of $0 and $17,879, respectively) | $268,672,581 | $248,047,534 | |||||
(a) From May 20, 2016 inception. | |||||||
See notes to financial statements. | |||||||
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 25
CALVERT AGGRESSIVE ALLOCATION FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||
Operations: | |||||||
Net investment income (loss) | $1,462,360 | $1,131,553 | |||||
Net realized gain (loss) | 7,041,756 | 12,398,452 | |||||
Net change in unrealized appreciation (depreciation) | 12,043,267 | (4,579,076) | |||||
Net increase (decrease) in net assets resulting from operations | 20,547,383 | 8,950,929 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (1,378,048) | (874,747) | |||||
Class C shares | (237,027) | — | |||||
Class I shares | (49,157) | — | |||||
Class Y shares | (3,184) | — | |||||
Net realized gain: | |||||||
Class A shares | (3,743,184) | (12,520,504) | |||||
Class C shares | (722,048) | (2,394,715) | |||||
Class I shares | (57,908) | — | |||||
Class Y shares | (6,081) | — | |||||
Total distributions to shareholders | (6,196,637) | (15,789,966) | |||||
Capital share transactions: | |||||||
Class A shares | 863,061 | 15,298,589 | |||||
Class C shares | (1,286,071) | 2,391,932 | |||||
Class I shares | 510,957 | 1,000,000(a) | |||||
Class Y shares | 936,730 | 125,251(a) | |||||
Net increase (decrease) in net assets from capital share transactions | 1,024,677 | 18,815,772 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 15,375,423 | 11,976,735 | |||||
NET ASSETS | |||||||
Beginning of year | 122,304,690 | 110,327,955 | |||||
End of year (including accumulated distributions in excess of net investment income of $199,027 and $88,905, respectively) | $137,680,113 | $122,304,690 | |||||
(a) From May 20, 2016 inception. | |||||||
See notes to financial statements. | |||||||
26 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT CONSERVATIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS A SHARES | 2017(a) | 2016(a) | 2015(a) | 2014 | 2013(a) | |||||||||
Net asset value, beginning | $16.48 | $16.59 | $17.22 | $16.88 | $16.45 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income | 0.30 | 0.31 | 0.30 | 0.29 | 0.38 | |||||||||
Net realized and unrealized gain (loss) | 0.96 | 0.55 | 0.05 | 0.83 | 0.74 | |||||||||
Total from investment operations | 1.26 | 0.86 | 0.35 | 1.12 | 1.12 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.33) | (0.30) | (0.29) | (0.29) | (0.39) | |||||||||
Net realized gain | (0.16) | (0.67) | (0.69) | (0.49) | (0.30) | |||||||||
Total distributions | (0.49) | (0.97) | (0.98) | (0.78) | (0.69) | |||||||||
Total increase (decrease) in net asset value | 0.77 | (0.11) | (0.63) | 0.34 | 0.43 | |||||||||
Net asset value, ending | $17.25 | $16.48 | $16.59 | $17.22 | $16.88 | |||||||||
Total return (b) | 7.84 | % | 5.42 | % | 2.01 | % | 6.78 | % | 7.07 | % | ||||
Ratios to average net assets: (c) | ||||||||||||||
Total expenses (d) | 0.51 | % | 0.67 | % | 0.69 | % | 0.68 | % | 0.68 | % | ||||
Net expenses (d) | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||
Net investment income | 1.77 | % | 1.90 | % | 1.76 | % | 1.71 | % | 2.31 | % | ||||
Portfolio turnover | 46 | % | 61 | % | 8 | % | 17 | % | 31 | % | ||||
Net assets, ending (in thousands) | $138,512 | $131,576 | $112,881 | $92,150 | $73,305 | |||||||||
(a) Net investment income is calculated using the Average Shares Method. | ||||||||||||||
(b) 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. | ||||||||||||||
(c) 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. | ||||||||||||||
(d) Amounts do not include the expenses of the Underlying Funds. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 27
CALVERT CONSERVATIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS C SHARES | 2017(a) | 2016(a) | 2015(a) | 2014 | 2013(a) | |||||||||
Net asset value, beginning | $16.28 | $16.40 | $17.06 | $16.74 | $16.32 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income | 0.17 | 0.17 | 0.13 | 0.13 | 0.21 | |||||||||
Net realized and unrealized gain (loss) | 0.96 | 0.55 | 0.06 | 0.81 | 0.74 | |||||||||
Total from investment operations | 1.13 | 0.72 | 0.19 | 0.94 | 0.95 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.19) | (0.17) | (0.16) | (0.13) | (0.23) | |||||||||
Net realized gain | (0.16) | (0.67) | (0.69) | (0.49) | (0.30) | |||||||||
Total distributions | (0.35) | (0.84) | (0.85) | (0.62) | (0.53) | |||||||||
Total increase (decrease) in net asset value | 0.78 | (0.12) | (0.66) | 0.32 | 0.42 | |||||||||
Net asset value, ending | $17.06 | $16.28 | $16.40 | $17.06 | $16.74 | |||||||||
Total return (b) | 7.04 | % | 4.57 | % | 1.03 | % | 5.71 | % | 6.02 | % | ||||
Ratios to average net assets: (c) | ||||||||||||||
Total expenses (d) | 1.30 | % | 1.46 | % | 1.44 | % | 1.40 | % | 1.44 | % | ||||
Net expenses (d) | 1.19 | % | 1.27 | % | 1.44 | % | 1.40 | % | 1.44 | % | ||||
Net investment income | 1.03 | % | 1.07 | % | 0.76 | % | 0.73 | % | 1.30 | % | ||||
Portfolio turnover | 46 | % | 61 | % | 8 | % | 17 | % | 31 | % | ||||
Net assets, ending (in thousands) | $33,661 | $34,334 | $29,932 | $25,263 | $20,675 | |||||||||
(a) Net investment income is calculated using the Average Shares Method. | ||||||||||||||
(b) 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. | ||||||||||||||
(c) 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. | ||||||||||||||
(d) Amounts do not include the expenses of the Underlying Funds. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
28 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT CONSERVATIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | ||||||
CLASS I SHARES | 2017 | 2016(b) | |||||
Net asset value, beginning | $16.48 | $16.07 | |||||
Income from investment operations: | |||||||
Net investment income(a) | 0.40 | 0.11 | |||||
Net realized and unrealized gain (loss) | 0.91 | 0.43 | |||||
Total from investment operations | 1.31 | 0.54 | |||||
Distributions from: | |||||||
Net investment income | (0.40) | (0.13) | |||||
Net realized gain | (0.16) | — | |||||
Total distributions | (0.56) | (0.13) | |||||
Total increase (decrease) in net asset value | 0.75 | 0.41 | |||||
Net asset value, ending | $17.23 | $16.48 | |||||
Total return (c) | 8.22 | % | 3.40 | % | |||
Ratios to average net assets: (d) | |||||||
Total expenses (e) | 1.43 | % | 0.97 | % | (f) | ||
Net expenses (e) | 0.09 | % | 0.09 | % | (f) | ||
Net investment income | 2.37 | % | 1.93 | % | (f) | ||
Portfolio turnover | 46 | % | 61 | % | (g) | ||
Net assets, ending (in thousands) | $3,052 | $1,034 | |||||
(a) Computed using average shares outstanding. | |||||||
(b) From May 20, 2016 inception. | |||||||
(c) 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. Total return is not annualized for periods of less than one year. | |||||||
(d) 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. | |||||||
(e) Amounts do not include the expenses of the Underlying Funds. | |||||||
(f) Annualized. | |||||||
(g) For the year ended September 30, 2016. | |||||||
See notes to financial statements. | |||||||
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 29
CALVERT CONSERVATIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | ||||||
CLASS Y SHARES | 2017 | 2016(b) | |||||
Net asset value, beginning | $16.47 | $16.07 | |||||
Income from investment operations: | |||||||
Net investment income(a) | 0.26 | 0.12 | |||||
Net realized and unrealized gain (loss) | 1.04 | 0.41 | |||||
Total from investment operations | 1.30 | 0.53 | |||||
Distributions from: | |||||||
Net investment income | (0.38) | (0.13) | |||||
Net realized gain | (0.16) | — | |||||
Total distributions | (0.54) | (0.13) | |||||
Total increase (decrease) in net asset value | 0.76 | 0.40 | |||||
Net asset value, ending | $17.23 | $16.47 | |||||
Total return (c) | 8.10 | % | 3.32 | % | |||
Ratios to average net assets: (d) | |||||||
Total expenses (e) | 0.66 | % | 4.98 | % | (f) | ||
Net expenses (e) | 0.19 | % | 0.19 | % | (f) | ||
Net investment income | 1.56 | % | 2.16 | % | (f) | ||
Portfolio turnover | 46 | % | 61 | % | (g) | ||
Net assets, ending (in thousands) | $10,141 | $404 | |||||
(a) Computed using average shares outstanding. | |||||||
(b) From May 20, 2016 inception. | |||||||
(c) 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. Total return is not annualized for periods of less than one year. | |||||||
(d) 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. | |||||||
(e) Amounts do not include the expenses of the Underlying Funds. | |||||||
(f) Annualized. | |||||||
(g) For the year ended September 30, 2016. | |||||||
See notes to financial statements. | |||||||
30 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT MODERATE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS A SHARES | 2017(a) | 2016(a) | 2015(a) | 2014 | 2013 | |||||||||
Net asset value, beginning | $17.86 | $18.84 | $19.80 | $19.04 | $16.89 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income | 0.28 | 0.25 | 0.23 | 0.20 | 0.20 | |||||||||
Net realized and unrealized gain (loss) | 1.93 | 1.00 | (0.04) | 1.34 | 2.14 | |||||||||
Total from investment operations | 2.21 | 1.25 | 0.19 | 1.54 | 2.34 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.28) | (0.24) | (0.21) | (0.19) | (0.19) | |||||||||
Net realized gain | (0.47) | (1.99) | (0.94) | (0.59) | — | |||||||||
Total distributions | (0.75) | (2.23) | (1.15) | (0.78) | (0.19) | |||||||||
Total increase (decrease) in net asset value | 1.46 | (0.98) | (0.96) | 0.76 | 2.15 | |||||||||
Net asset value, ending | $19.32 | $17.86 | $18.84 | $19.80 | $19.04 | |||||||||
Total return (b) | 12.86 | % | 7.16 | % | 0.86 | % | 8.27 | % | 14.02 | % | ||||
Ratios to average net assets: (c) | ||||||||||||||
Total expenses (d) | 0.50 | % | 0.73 | % | 0.67 | % | 0.64 | % | 0.69 | % | ||||
Net expenses (d) | 0.44 | % | 0.56 | % | 0.67 | % | 0.64 | % | 0.69 | % | ||||
Net investment income | 1.52 | % | 1.43 | % | 1.14 | % | 1.01 | % | 1.12 | % | ||||
Portfolio turnover | 45 | % | 61 | % | 8 | % | 10 | % | 27 | % | ||||
Net assets, ending (in thousands) | $213,343 | $203,907 | $189,372 | $172,244 | $143,215 | |||||||||
(a) Net investment income is calculated using the Average Shares Method. | ||||||||||||||
(b) 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. | ||||||||||||||
(c) 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. | ||||||||||||||
(d) Amounts do not include the expenses of the Underlying Funds. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 31
CALVERT MODERATE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS C SHARES | 2017(a) | 2016(a) | 2015(a) | 2014 | 2013 | |||||||||
Net asset value, beginning | $17.11 | $18.16 | $19.19 | $18.55 | $16.52 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income | 0.14 | 0.11 | 0.07 | 0.09 | 0.09 | |||||||||
Net realized and unrealized gain (loss) | 1.84 | 0.97 | (0.02) | 1.26 | 2.08 | |||||||||
Total from investment operations | 1.98 | 1.08 | 0.05 | 1.35 | 2.17 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.25) | (0.14) | (0.14) | (0.12) | (0.14) | |||||||||
Net realized gain | (0.47) | (1.99) | (0.94) | (0.59) | — | |||||||||
Total distributions | (0.72) | (2.13) | (1.08) | (0.71) | (0.14) | |||||||||
Total increase (decrease) in net asset value | 1.26 | (1.05) | (1.03) | 0.64 | 2.03 | |||||||||
Net asset value, ending | $18.37 | $17.11 | $18.16 | $19.19 | $18.55 | |||||||||
Total return (b) | 12.02 | % | 6.37 | % | 0.09 | % | 7.44 | % | 13.21 | % | ||||
Ratios to average net assets: (c) | ||||||||||||||
Total expenses (d) | 1.29 | % | 1.51 | % | 1.42 | % | 1.38 | % | 1.42 | % | ||||
Net expenses (d) | 1.19 | % | 1.32 | % | 1.42 | % | 1.38 | % | 1.42 | % | ||||
Net investment income | 0.77 | % | 0.68 | % | 0.37 | % | 0.28 | % | 0.38 | % | ||||
Portfolio turnover | 45 | % | 61 | % | 8 | % | 10 | % | 27 | % | ||||
Net assets, ending (in thousands) | $42,529 | $42,695 | $40,560 | $37,326 | $31,242 | |||||||||
(a) Net investment income is calculated using the Average Shares Method. | ||||||||||||||
(b) 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. | ||||||||||||||
(c) 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. | ||||||||||||||
(d) Amounts do not include the expenses of the Underlying Funds. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
32 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT MODERATE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | ||||||
CLASS I SHARES | 2017 | 2016(b) | |||||
Net asset value, beginning | $17.85 | $17.10 | |||||
Income from investment operations: | |||||||
Net investment income(a) | 0.26 | 0.07 | |||||
Net realized and unrealized gain (loss) | 2.02 | 0.76 | |||||
Total from investment operations | 2.28 | 0.83 | |||||
Distributions from: | |||||||
Net investment income | (0.30) | (0.08) | |||||
Net realized gain | (0.47) | — | |||||
Total distributions | (0.77) | (0.08) | |||||
Total increase (decrease) in net asset value | 1.51 | 0.75 | |||||
Net asset value, ending | $19.36 | $17.85 | |||||
Total return (c) | 13.26 | % | 4.86 | % | |||
Ratios to average net assets: (d) | |||||||
Total expenses (e) | 0.55 | % | 0.54 | % | (f) | ||
Net expenses (e) | 0.09 | % | 0.09 | % | (f) | ||
Net investment income | 1.43 | % | 1.06 | % | (f) | ||
Portfolio turnover | 45 | % | 61 | % | (g) | ||
Net assets, ending (in thousands) | $9,124 | $1,049 | |||||
(a) Computed using average shares outstanding. | |||||||
(b) From May 20, 2016 inception. | |||||||
(c) 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. Total return is not annualized for periods of less than one year. | |||||||
(d) 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. | |||||||
(e) Amounts do not include the expenses of the Underlying Funds. | |||||||
(f) Annualized. | |||||||
(g) For the year ended September 30, 2016. | |||||||
See notes to financial statements. | |||||||
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 33
CALVERT MODERATE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | ||||||
CLASS Y SHARES | 2017 | 2016(b) | |||||
Net asset value, beginning | $17.85 | $17.10 | |||||
Income from investment operations: | |||||||
Net investment income(a) | 0.20 | 0.06 | |||||
Net realized and unrealized gain (loss) | 2.05 | 0.76 | |||||
Total from investment operations | 2.25 | 0.82 | |||||
Distributions from: | |||||||
Net investment income | (0.29) | (0.07) | |||||
Net realized gain | (0.47) | — | |||||
Total distributions | (0.76) | (0.07) | |||||
Total increase (decrease) in net asset value | 1.49 | 0.75 | |||||
Net asset value, ending | $19.34 | $17.85 | |||||
Total return (c) | 13.12 | % | 4.83 | % | |||
Ratios to average net assets: (d) | |||||||
Total expenses (e) | 1.68 | % | 4.44 | % | (f) | ||
Net expenses (e) | 0.19 | % | 0.19 | % | (f) | ||
Net investment income | 1.05 | % | 0.99 | % | (f) | ||
Portfolio turnover | 45 | % | 61 | % | (g) | ||
Net assets, ending (in thousands) | $3,676 | $397 | |||||
(a) Computed using average shares outstanding. | |||||||
(b) From May 20, 2016 inception. | |||||||
(c) 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. Total return is not annualized for periods of less than one year. | |||||||
(d) 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. | |||||||
(e) Amounts do not include the expenses of the Underlying Funds. | |||||||
(f) Annualized. | |||||||
(g) For the year ended September 30, 2016. | |||||||
See notes to financial statements. | |||||||
34 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT AGGRESSIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS A SHARES | 2017(a) | 2016(a) | 2015(a) | 2014(a) | 2013 | |||||||||
Net asset value, beginning | $18.12 | $19.32 | $20.68 | $19.38 | $16.15 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income | 0.23 | 0.19 | 0.21 | 0.18 | 0.11 | |||||||||
Net realized and unrealized gain (loss) | 2.82 | 1.25 | (0.08) | 1.70 | 3.23 | |||||||||
Total from investment operations | 3.05 | 1.44 | 0.13 | 1.88 | 3.34 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.23) | (0.15) | (0.21) | (0.18) | (0.11) | |||||||||
Net realized gain | (0.67) | (2.49) | (1.28) | (0.40) | — | |||||||||
Total distributions | (0.90) | (2.64) | (1.49) | (0.58) | (0.11) | |||||||||
Total increase (decrease) in net asset value | 2.15 | (1.20) | (1.36) | 1.30 | 3.23 | |||||||||
Net asset value, ending | $20.27 | $18.12 | $19.32 | $20.68 | $19.38 | |||||||||
Total return (b) | 17.59 | % | 8.03 | % | 0.41 | % | 9.85 | % | 20.82 | % | ||||
Ratios to average net assets: (c) | ||||||||||||||
Total expenses (d) | 0.60 | % | 0.78 | % | 0.77 | % | 0.76 | % | 0.81 | % | ||||
Net expenses (d) | 0.43 | % | 0.43 | % | 0.43 | % | 0.43 | % | 0.43 | % | ||||
Net investment income | 1.24 | % | 1.10 | % | 1.04 | % | 0.88 | % | 0.62 | % | ||||
Portfolio turnover | 55 | % | 62 | % | 10 | % | 15 | % | 31 | % | ||||
Net assets, ending (in thousands) | $116,680 | $103,539 | $93,928 | $83,009 | $72,318 | |||||||||
(a) Net investment income is calculated using the Average Shares Method. | ||||||||||||||
(b) 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. | ||||||||||||||
(c) 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. | ||||||||||||||
(d) Amounts do not include the expenses of the Underlying Funds. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 35
CALVERT AGGRESSIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS C SHARES | 2017(a) | 2016(a) | 2015(a) | 2014(a) | 2013 | |||||||||
Net asset value, beginning | $15.85 | $17.21 | $18.71 | $17.71 | $14.89 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (loss) | 0.08 | 0.03 | (0.01) | (0.06) | (0.05) | |||||||||
Net realized and unrealized gain (loss) | 2.45 | 1.10 | (0.07) | 1.58 | 2.93 | |||||||||
Total from investment operations | 2.53 | 1.13 | (0.08) | 1.52 | 2.88 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.21) | — | (0.14) | (0.12) | (0.06) | |||||||||
Net realized gain | (0.67) | (2.49) | (1.28) | (0.40) | — | |||||||||
Total distributions | (0.88) | (2.49) | (1.42) | (0.52) | (0.06) | |||||||||
Total increase (decrease) in net asset value | 1.65 | (1.36) | (1.50) | 1.00 | 2.82 | |||||||||
Net asset value, ending | $17.50 | $15.85 | $17.21 | $18.71 | $17.71 | |||||||||
Total return (b) | 16.72 | % | 7.06 | % | (0.72 | %) | 8.66 | % | 19.39 | % | ||||
Ratios to average net assets: (c) | ||||||||||||||
Total expenses (d) | 1.42 | % | 1.60 | % | 1.55 | % | 1.53 | % | 1.63 | % | ||||
Net expenses (d) | 1.18 | % | 1.31 | % | 1.55 | % | 1.53 | % | 1.63 | % | ||||
Net investment income (loss) | 0.52 | % | 0.20 | % | (0.05 | %) | (0.30 | %) | (0.61 | %) | ||||
Portfolio turnover | 55 | % | 62 | % | 10 | % | 15 | % | 31 | % | ||||
Net assets, ending (in thousands) | $18,045 | $17,578 | $16,400 | $14,557 | $11,234 | |||||||||
(a) Net investment income is calculated using the Average Shares Method. | ||||||||||||||
(b) 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. | ||||||||||||||
(c) 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. | ||||||||||||||
(d) Amounts do not include the expenses of the Underlying Funds. | ||||||||||||||
See notes to financial statements. | ||||||||||||||
36 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT AGGRESSIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | ||||||
CLASS I SHARES | 2017 | 2016(b) | |||||
Net asset value, beginning | $18.14 | $17.17 | |||||
Income from investment operations: | |||||||
Net investment income(a) | 0.36 | 0.01 | |||||
Net realized and unrealized gain (loss) | 2.77 | 0.96 | |||||
Total from investment operations | 3.13 | 0.97 | |||||
Distributions from: | |||||||
Net investment income | (0.25) | — | |||||
Net realized gain | (0.67) | — | |||||
Total distributions | (0.92) | — | |||||
Total increase (decrease) in net asset value | 2.21 | 0.97 | |||||
Net asset value, ending | $20.35 | $18.14 | |||||
Total return (c) | 18.02 | % | 5.65 | % | |||
Ratios to average net assets: (d) | |||||||
Total expenses (e) | 1.76 | % | 0.57 | % | (f) | ||
Net expenses (e) | 0.08 | % | 0.08 | % | (f) | ||
Net investment income | 1.91 | % | 0.19 | % | (f) | ||
Portfolio turnover | 55 | % | 62 | % | (g) | ||
Net assets, ending (in thousands) | $1,790 | $1,056 | |||||
(a) Computed using average shares outstanding. | |||||||
(b) From May 20, 2016 inception. | |||||||
(c) 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. Total return is not annualized for periods of less than one year. | |||||||
(d) 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. | |||||||
(e) Amounts do not include the expenses of the Underlying Funds. | |||||||
(f) Annualized. | |||||||
(g) For the year ended September 30, 2016. | |||||||
See notes to financial statements. | |||||||
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 37
CALVERT AGGRESSIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | ||||||
CLASS Y SHARES | 2017 | 2016(b) | |||||
Net asset value, beginning | $18.15 | $17.17 | |||||
Income from investment operations: | |||||||
Net investment income(a) | 0.12 | 0.01 | |||||
Net realized and unrealized gain (loss) | 2.99 | 0.97 | |||||
Total from investment operations | 3.11 | 0.98 | |||||
Distributions from: | |||||||
Net investment income | (0.25 | ) | — | ||||
Net realized gain | (0.67 | ) | — | ||||
Total distributions | (0.92 | ) | — | ||||
Total increase (decrease) in net asset value | 2.19 | 0.98 | |||||
Net asset value, ending | $20.34 | $18.15 | |||||
Total return (c) | 17.87 | % | 5.71 | % | |||
Ratios to average net assets: (d) | |||||||
Total expenses (e) | 4.91 | % | 6.83 | % | (f) | ||
Net expenses (e) | 0.18 | % | 0.18 | % | (f) | ||
Net investment income | 0.62 | % | 0.09 | % | (f) | ||
Portfolio turnover | 55 | % | 62 | % | (g) | ||
Net assets, ending (in thousands) | $1,166 | $131 | |||||
(a) Computed using average shares outstanding. | |||||||
(b) From May 20, 2016 inception. | |||||||
(c) 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. Total return is not annualized for periods of less than one year. | |||||||
(d) 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. | |||||||
(e) Amounts do not include the expenses of the Underlying Funds. | |||||||
(f) Annualized. | |||||||
(g) For the year ended September 30, 2016. | |||||||
See notes to financial statements. | |||||||
38 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert Social Investment Fund (the “Trust”) was organized as a Massachusetts business trust on December 14, 1981, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust has authorized an unlimited number of shares of beneficial interest, without par value. Such shares may be issued in a number of different series and classes. The Trust operates six (6) separate series, each with its own investment objective(s) and strategies, which are accounted for separately. This report contains the financial statements and financial highlights of Calvert Conservative Allocation Fund (“Conservative”), Calvert Moderate Allocation Fund (“Moderate”) and Calvert Aggressive Allocation Fund (“Aggressive”), each a “Fund” and collectively, the “Funds”.
Each Fund is diversified. The investment objective of Conservative is to seek current income and capital appreciation, consistent with the preservation of capital. The investment objective of Moderate is to seek long-term capital appreciation and growth of income, with current income a secondary objective. The investment objective of Aggressive is to seek long-term capital appreciation. The Funds invest in a combination of other Calvert equity and fixed-income funds (the “Underlying Funds”).
Each Fund offers four 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 0.80% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within one year of purchase. Class C shares are sold without a front-end sales charge, and with certain exceptions, are charged a contingent deferred sales charge of 1% on shares redeemed within one year of purchase. Class C shares are only available for purchase through a financial intermediary. Class I and Class Y 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 each Fund, but votes separately on class-specific matters and is subject to different expenses.
The Funds apply 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.
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 Funds use independent pricing services approved by the Board of Trustees (the “Board”) to value their investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of securities and financial instruments of the Funds to the Funds’ investment adviser (the “Adviser”) and has provided these Procedures to govern the Adviser in its valuation duties.
The Adviser has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated. The Valuation Committee meets on a regular basis to review investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Funds’ investments by major category are as follows:
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Securities. Investments in the Underlying Funds are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Valuation methodologies and polices of the Underlying Funds are included in their financial statements, which are available upon request.
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. U.S. exchange-traded options are valued at the mean between the bid and asked prices at valuation time as reported by the Options Price Reporting Authority and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Funds 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 condition, 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 Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
The following tables summarize the market value of each of the Funds’ holdings as of September 30, 2017, based on the inputs used to value them:
CONSERVATIVE | ||||||||||
INVESTMENTS IN SECURITIES - ASSETS | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||
Mutual Funds | $185,436,345 | $— | $— | $185,436,345 | ||||||
TOTAL | $185,436,345 | $— | $— | $185,436,345 | ||||||
DERIVATIVE INSTRUMENTS - ASSETS | ||||||||||
Options Purchased | $75,190 | $— | $— | $75,190 | ||||||
DERIVATIVE INSTRUMENTS - LIABILITIES | ||||||||||
Futures Contracts* | ($115,405 | ) | $— | $— | ($115,405 | ) | ||||
Options Written | (4,838 | ) | — | — | (4,838 | ) | ||||
TOTAL | ($120,243 | ) | $— | $— | ($120,243 | ) | ||||
* The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. | ||||||||||
There were no transfers between Level 1 and Level 2 during the year ended September 30, 2017.
40 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
MODERATE | ||||||||||
INVESTMENTS IN SECURITIES - ASSETS | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||
Mutual Funds | $268,567,612 | $— | $— | $268,567,612 | ||||||
TOTAL | $268,567,612 | $— | $— | $268,567,612 | ||||||
DERIVATIVE INSTRUMENTS - ASSETS | ||||||||||
Futures Contracts* | $114,704 | $— | $— | $114,704 | ||||||
Options Purchased | 153,190 | — | — | 153,190 | ||||||
TOTAL | $267,894 | $— | $— | $267,894 | ||||||
DERIVATIVE INSTRUMENTS - LIABILITIES | ||||||||||
Futures Contracts* | ($161,390 | ) | $— | $— | ($161,390 | ) | ||||
Options Written | (10,700 | ) | — | — | (10,700 | ) | ||||
TOTAL | ($172,090 | ) | $— | $— | ($172,090 | ) | ||||
* The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. | ||||||||||
There were no transfers between Level 1 and Level 2 during the year ended September 30, 2017.
AGGRESSIVE | ||||||||||
INVESTMENTS IN SECURITIES - ASSETS | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||
Mutual Funds | $137,667,573 | $— | $— | $137,667,573 | ||||||
TOTAL | $137,667,573 | $— | $— | $137,667,573 | ||||||
DERIVATIVE INSTRUMENTS - ASSETS | ||||||||||
Futures Contracts* | $21,134 | $— | $— | $21,134 | ||||||
Options Purchased | 100,870 | — | — | 100,870 | ||||||
TOTAL | $122,004 | $— | $— | $122,004 | ||||||
DERIVATIVE INSTRUMENTS - LIABILITIES | ||||||||||
Futures Contracts* | ($88,731 | ) | $— | $— | ($88,731 | ) | ||||
Options Written | (7,158 | ) | — | — | (7,158 | ) | ||||
TOTAL | ($95,889 | ) | $— | $— | ($95,889 | ) | ||||
* The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. | ||||||||||
There were no transfers between Level 1 and Level 2 during the year ended September 30, 2017.
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. Distributions from the Underlying Funds are recorded on the ex-dividend date. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Expenses included in the accompanying financial statements reflect the expenses of each Fund and do not include any expenses associated with the Underlying Funds.
Share Class Accounting: Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Expenses common to the classes are also allocated to each class in proportion to their relative net assets. Expenses arising in connection with a specific class are charged directly to that class.
Futures Contracts: The Funds 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 Funds. When a futures
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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 Funds’ 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 Funds.
Options Contracts: Upon the purchase of a call or put option, the premium paid by a 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 a Fund’s policies on investment valuations discussed above. 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 strike price of the option (in the case of a put) or equal to any appreciation in the value of the index over the strike price of the option (in the case of a call) as of the valuation date of the option. If an option which a Fund had purchased expires on the stipulated expiration date, the Fund will realize a loss in the amount of the cost of the option. If a Fund enters into a closing sale transaction, the Fund will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost 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.
Upon the writing of a call or a put option, the premium received by a Fund is included in the Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written, in accordance with the Fund’s policies on investment valuations discussed above. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or are closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. When an index option is exercised, a Fund is required to deliver an amount of cash determined by the excess of the strike price of the option over the value of the index (in the case of a put) or the excess of the value of the index over the strike price of the option (in the case of a call) at contract termination. A Fund, as a writer of an option, may have no control over whether the underlying instrument may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the instrument underlying the written option. A Fund may also bear the risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.
Distributions to Shareholders: Distributions to shareholders are recorded by the Funds on ex-dividend date. Dividends from net investment income are declared and paid quarterly for Conservative and Moderate and annually for Aggressive. Distributions from net realized capital gains, if any, are paid annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Funds’ capital accounts to reflect income and gains available for distribution under income tax regulations.
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.
Indemnifications: Under the Trust’s organizational document, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Funds. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Trust) could be deemed to have personal liability for the obligations of the Trust. However, the Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and provides that upon request, the Trust shall assume the defense on behalf of any Fund shareholders or former shareholders. Additionally, in the normal course of business, each Fund enters into agreements with service providers that may contain indemnification clauses. Each Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against each Fund that have not yet occurred.
Federal Income Taxes: No provision for federal income or excise tax is required since each 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 Funds’ tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Funds’ financial statements. Each 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.
42 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
NOTE B — RELATED PARTY TRANSACTIONS
Effective December 31, 2016, Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), became the investment adviser to the Funds following a transaction between CRM and certain of its affiliates and Calvert Investment Management, Inc. (CIM) and certain of its affiliates, pursuant to which CRM acquired substantially all of the business assets of CIM after satisfying various closing conditions, including shareholder approval of a new investment advisory agreement between the Funds and CRM (the "Transaction").
The Funds do not pay advisory fees to CRM for performing investment advisory services. CRM, however, receives advisory fees for managing the Underlying Funds. Prior to December 31, 2016, CIM provided advisory services to the Funds, but received no compensation. CIM, however, received advisory fees for managing the Underlying Funds.
CRM (CIM for the period October 1, 2016 through December 30, 2016) has agreed to reimburse the Funds’ 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, interest expense, taxes or litigation expenses) for Conservative, Moderate and Aggressive exceed 0.44%, 0.44% and 0.43%, respectively, for Class A shares; 1.19%, 1.19% and 1.18%, respectively, for Class C shares; 0.09%, 0.09% and 0.08%, respectively, for Class I shares and 0.19%, 0.19% and 0.18%, respectively, for Class Y shares of such class’ average daily net assets. The expense reimbursement agreements with CRM may be changed or terminated after January 31, 2019. For the year ended September 30, 2017, CRM waived or reimbursed expenses of $88,202, $87,397 and $177,535 of Conservative, Moderate and Aggressive, respectively, and CIM waived or reimbursed expenses of $96,975, $144,106 and $104,715 of Conservative, Moderate and Aggressive, respectively.
CRM serves as the administrator of the Funds, but receives no compensation. Prior to December 31, 2016, Calvert Investment Administrative Services, Inc. (CIAS), an affiliate of CIM, provided administrative services to the Funds at an annual rate of 0.12% of the Funds’ average daily net assets, payable monthly. For the period from October 1, 2016 through December 30, 2016, CIAS was paid administrative fees of $49,487, $73,559 and $36,382 for Conservative, Moderate and Aggressive, respectively.
The Funds adopted new distribution plans for Class A shares (Class A Plan) and Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act, which were approved by the Board and became effective as of December 31, 2016 or shortly thereafter upon approval by the shareholders of the respective class. Pursuant to the Class A Plan and Class C Plan, each Fund pays a distribution fee of 0.25% and 0.75% per annum for Class A and Class C, respectively, and a service fee of 0.25% per annum for Class C of its average daily net assets attributable to such class for distribution services and facilities provided to the Funds, as well as for personal and/or account maintenance services provided. Pursuant to the Funds’ former distribution plans for Class A shares and Class C shares, each Fund was permitted to pay certain expenses associated with the distribution and servicing of its Class A and Class C shares not to exceed 0.35% for Class A and 1.00% for Class C of each Fund’s average daily net assets with respect to such class. Effective December 31, 2016, the fees are paid to Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Funds’ principal underwriter. Prior to December 31, 2016, the fees were paid to Calvert Investment Distributors, Inc. (CID), an affiliate of CIM and the Funds’ former distributor and principal underwriter. Distribution and service fees for Conservative, Moderate and Aggressive paid or accrued for the year ended September 30, 2017 amounted to $326,284, $509,157 and $267,776, respectively, or 0.25% per annum of the Funds’ Class A average daily net assets, of which $245,707, $383,608 and $203,815, respectively, was paid to EVD and $80,577, $125,549 and $63,961, respectively, was paid to CID. Distribution and service fees for Conservative, Moderate and Aggressive paid or accrued for the year ended September 30, 2017 amounted to $337,694, $419,708 and $175,736, respectively, or 1.00% per annum of the Funds’ Class C average daily net assets, of which $253,675, $315,772 and $132,681, respectively, was paid to EVD and $84,019, $103,936 and $43,055, respectively, was paid to CID.
The Funds were informed that EVD received $66,790, $80,974 and $43,191 for Conservative, Moderate and Aggressive, respectively, and CID received $12,178, $15,903 and $11,138 for Conservative, Moderate and Aggressive, respectively, as their portion of the sales charge on sales of Class A shares for the year ended September 30, 2017. The Funds were also informed that EVD received $9,324, $16,231 and $5,738 for Conservative, Moderate and Aggressive, respectively, and CID received $9,160, $11,848 and $3,348 for Conservative, Moderate and Aggressive, respectively, of contingent deferred sales charges paid by Fund shareholders for the same period.
Effective December 31, 2016, EVM provides sub-transfer agency services to the Funds pursuant to a Sub-Transfer Agency Support Services Agreement. For its services, EVM receives an annual fee of $8 per shareholder account. Prior to December 31, 2016, Calvert Investment Services, Inc. (CIS), an affiliate of CIM, acted as the shareholder servicing agent for the Funds and received a fee at the same rate as is paid to EVM. For the year ended September 30, 2017, sub-transfer agency fees paid to EVM were $16,780, $35,746 and $26,360 for Conservative, Moderate and Aggressive, respectively, and shareholder servicing fees paid to CIS were $5,678, $12,769 and $9,210 for Conservative, Moderate and Aggressive, respectively. Such fees are included in transfer agency fees and expenses on the Statements of Operations.
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Each Trustee of the Funds who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Prior to December 31, 2016, each Trustee of the Funds who was not an employee of CIM or its affiliates received a fee of $3,000 for each Board meeting attended plus an annual fee of $52,000. Committee members received $500 for each Committee meeting attended plus an annual fee of $2,500. Committee chairs received an additional annual retainer ranging from $6,000 to $10,000. Eligible Trustees may participate in a Deferred Compensation Plan (the “Plan”). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Funds or other Calvert Funds selected by the Trustees. The Funds purchase 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 Funds’ assets. Trustees’ fees are allocated to each of the Calvert Funds served. Salaries and fees of officers and Trustees of the Funds who are employees of CRM and, prior to December 31, 2016, of CIM or their affiliates are/were paid by CRM and CIM, respectively. In addition, in connection with the Transaction, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by CIM, the Calvert Funds’ former investment adviser and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the year ended September 30, 2017, each Fund’s allocated portion of such expense and reimbursement was $2,109, $3,053 and $1,525 for Conservative, Moderate and Aggressive, respectively, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statements of Operations.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the year ended September 30, 2017, the cost of purchases and proceeds from sales of investments, other than short-term securities, were as follows:
CONSERVATIVE | MODERATE | AGGRESSIVE | |||||||
Purchases | $87,510,256 | $115,300,496 | $70,021,868 | ||||||
Sales | $79,026,316 | $120,917,152 | $73,295,245 | ||||||
The tax character of distributions declared for the years ended September 30, 2017 and September 30, 2016 was as follows:
Year Ended September 30, 2017 | |||||||||
CONSERVATIVE | MODERATE | AGGRESSIVE | |||||||
Distributions declared from: | |||||||||
Ordinary income | $3,126,373 | $3,924,339 | $1,767,434 | ||||||
Long-term capital gains | 1,601,320 | 6,519,375 | 4,429,203 | ||||||
Year Ended September 30, 2016 | |||||||||
CONSERVATIVE | MODERATE | AGGRESSIVE | |||||||
Distributions declared from: | |||||||||
Ordinary income | $2,929,025 | $3,300,944 | $978,980 | ||||||
Long-term capital gains | 5,782,770 | 24,601,866 | 14,810,986 | ||||||
During the year ended September 30, 2017, the following amounts were reclassified due to the Funds’ use of equalization accounting and differences between book and tax accounting, primarily for the tax treatment of short-term capital gain distributions from the Underlying Funds. Tax equalization accounting allows a 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.
44 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CONSERVATIVE | MODERATE | AGGRESSIVE | |||||||
Change in: | |||||||||
Paid-in capital | $181,704 | $559,827 | $331,170 | ||||||
Accumulated net realized gain (loss) | ($480,500 | ) | ($918,573 | ) | ($426,104 | ) | |||
Accumulated undistributed net investment income | $298,796 | $358,746 | $94,934 | ||||||
These reclassifications had no effect on the net assets or net asset value per share of the Funds.
As of September 30, 2017, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
CONSERVATIVE | MODERATE | AGGRESSIVE | |||||||
Undistributed long-term capital gains | $2,100,956 | $6,925,030 | $4,270,633 | ||||||
Late year ordinary losses | $— | $— | ($199,027 | ) | |||||
Net unrealized appreciation | $9,535,268 | $21,666,841 | $13,599,009 | ||||||
The differences between components of distributable earnings (accumulated losses) on a tax basis and the amounts reflected in each Fund’s Statement of Assets and Liabilities are primarily due to temporary book-tax differences that will reverse in a subsequent period. These differences are primarily due to wash sales, futures contracts and options contracts.
At September 30, 2017, Aggressive had a late year ordinary loss of $199,027 which it has elected to defer to the following taxable year pursuant to income tax regulations. Late year ordinary losses represent certain specified losses realized in that portion of a taxable year after October 31 that are treated as ordinary for tax purposes plus ordinary losses attributable to that portion of a taxable year after December 31.
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Funds at September 30, 2017, as determined on a federal income tax basis, were as follows:
CONSERVATIVE | MODERATE | AGGRESSIVE | |||||||
Federal tax cost of investments | $175,901,077 | $246,900,771 | $124,068,564 | ||||||
Gross unrealized appreciation | $9,535,268 | $21,666,841 | $13,599,009 | ||||||
Gross unrealized depreciation | — | — | — | ||||||
Net unrealized appreciation (depreciation) | $9,535,268 | $21,666,841 | $13,599,009 | ||||||
NOTE D — FINANCIAL INSTRUMENTS
A summary of futures contracts and options contracts outstanding at September 30, 2017 is included in each Fund’s Schedule of Investments. During the year ended September 30, 2017, the Funds used futures contracts as a substitute for direct investment in particular asset classes to facilitate rebalancing and implement tactical asset allocation decisions.
During the year ended September 30, 2017, the Funds entered into purchased and written options contracts to make tactical asset allocations (including to gain or limit exposure to certain asset classes and/or sectors).
At September 30, 2017, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk disclosure was as follows:
CONSERVATIVE
Risk | Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |||||
Equity Price | Futures contracts | Net unrealized appreciation (depreciation) | $— | ($50,153 | ) | * | |||
Equity Price | Options purchased | Investments in securities of unaffiliated issuers, at value | 75,190 | — | |||||
Equity Price | Options written | Written options outstanding, at value | — | (4,838 | ) | ||||
Interest Rate | Futures contracts | Net unrealized appreciation (depreciation) | — | (65,252 | ) | * | |||
Total | $75,190 | ($120,243 | ) | ||||||
* 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. | |||||||||
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MODERATE
Risk | Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | ||||||
Equity Price | Futures contracts | Net unrealized appreciation (depreciation) | $18,115 | * | ($73,300 | ) | * | |||
Equity Price | Options purchased | Investments in securities of unaffiliated issuers, at value | 153,190 | — | ||||||
Equity Price | Options written | Written options outstanding, at value | — | (10,700 | ) | |||||
Interest Rate | Futures contracts | Net unrealized appreciation (depreciation) | 96,589 | * | (88,090 | ) | * | |||
Total | $267,894 | ($172,090 | ) | |||||||
* 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. | ||||||||||
AGGRESSIVE
Risk | Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | ||||||
Equity Price | Futures contracts | Net unrealized appreciation (depreciation) | $21,134 | * | ($88,731 | ) | * | |||
Equity Price | Options purchased | Investments in securities of unaffiliated issuers, at value | 100,870 | — | ||||||
Equity Price | Options written | Written options outstanding, at value | — | (7,158 | ) | |||||
Total | $122,004 | ($95,889 | ) | |||||||
* 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 effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statements of Operations by risk exposure for the year ended September 30, 2017 was as follows:
CONSERVATIVE | ||||||
Statement of Operations Caption | Equity price | Interest rate | ||||
Net realized gain (loss) on: | ||||||
Futures contracts | ($1,169,409 | ) | $229,726 | |||
Total | ($1,169,409 | ) | $229,726 | |||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investment securities - unaffiliated issuers | $56,831 | $— | ||||
Futures contracts | 251,079 | (65,252) | ||||
Written options | 17,322 | — | ||||
Total | $325,232 | ($65,252 | ) | |||
MODERATE | ||||||
Statement of Operations Caption | Equity price | Interest rate | ||||
Net realized gain (loss) on: | ||||||
Futures contracts | ($1,627,934 | ) | $89,224 | |||
Total | ($1,627,934 | ) | $89,224 | |||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investment securities - unaffiliated issuers | $114,803 | $— | ||||
Futures contracts | 344,870 | 8,499 | ||||
Written options | 35,337 | — | ||||
Total | $495,010 | $8,499 | ||||
46 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
AGGRESSIVE | |||||
Statement of Operations Caption | Equity price | Interest rate | |||
Net realized gain (loss) on: | |||||
Futures contracts | ($510,783 | ) | $— | ||
Total | ($510,783 | ) | $— | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investment securities - unaffiliated issuers | $75,228 | $— | |||
Futures contracts | 59,500 | — | |||
Written options | 22,583 | — | |||
Total | $157,311 | $— | |||
The average notional cost of futures contracts and average number of purchased and written options contracts outstanding during the year ended September 30, 2017 were approximately as follows:
CONSERVATIVE | MODERATE | AGGRESSIVE | |||||||
Futures Contracts – Long | $2,358,000 | $2,403,000 | $864,000 | ||||||
Futures Contracts – Short | $4,419,000 | $7,554,000 | $2,179,000 | ||||||
Options Purchased | 2 | 4 | 4 | ||||||
Options Written | (2) | (5) | (3) | ||||||
NOTE E — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and State Street Bank and Trust Company (SSB). Under the agreement, which expires on August 7, 2018, SSB provides an unsecured line of credit facility in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Calvert Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Funds, a Fund may be unable to borrow some or all of its requested amounts at any particular time. The Funds had no loans outstanding pursuant to this line of credit at September 30, 2017. Average borrowings and the weighted average interest rate (excluding fees) for the year ended September 30, 2017 were as follows:
CONSERVATIVE | MODERATE | AGGRESSIVE | ||||
Average borrowings | $4,932 | $4,932 | $4,935 | |||
Weighted average interest rate | 2.51 | % | 2.51 | % | 2.51 | % |
NOTE F — AFFILIATED COMPANIES
An affiliated company is a company in which a fund has a direct or indirect ownership of, control of, or voting power of 5 percent or more of the outstanding voting shares, or a company that is under common ownership or control with a fund. At September 30, 2017, the value of each Fund’s investment in affiliated companies was $185,436,345, $268,567,612 and $137,667,573 for Conservative, Moderate and Aggressive, respectively, which represents approximately 100%, 99.9% and 100% of net assets for Conservative, Moderate and Aggressive, respectively. Transactions in affiliated companies by the Funds for the year ended September 30, 2017 were as follows:
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 47
CONSERVATIVE
Name of Calvert Fund, Class I | Shares, beginning of period | Gross Additions | Gross Reductions | Shares, end of period | Value, end of period | Dividend Income | Net Realized Gain (Loss) | Capital Gain Distributions Received | Change in Unrealized Appreciation (Depreciation) | ||||||||||||
Absolute Return Bond Fund | 1,430,852 | 285,899 | (136,458) | 1,580,293 | $23,957,244 | $664,792 | $41,865 | $181,461 | ($15,150 | ) | |||||||||||
Bond Fund | 2,777,467 | 1,914,807 | (266,955) | 4,425,319 | 71,468,898 | 1,606,858 | 42,333 | 128,904 | (280,297) | ||||||||||||
Emerging Markets Equity Fund | 222,001 | 183,388 | (124,173) | 281,216 | 4,634,441 | 22,346 | 167,195 | — | 956,679 | ||||||||||||
Green Bond Fund | 63,290 | 77 | (63,367) | — | — | 1,177 | 27,966 | 12 | (33,404) | ||||||||||||
High Yield Bond Fund | 256,200 | 16,872 | (273,072) | — | — | 97,801 | 425,293 | — | (424,157) | ||||||||||||
International Equity Fund | 471,815 | 109,811 | (272,221) | 309,405 | 5,643,538 | 233,015 | 158,931 | — | 544,450 | ||||||||||||
International Opportunities Fund | 270,093 | 121,720 | (81,331) | 310,482 | 5,719,088 | 55,493 | 50,168 | — | 851,041 | ||||||||||||
International Responsible Index Fund | — | 248,350 | (5,790) | 242,560 | 5,654,082 | — | 11,092 | — | 599,667 | ||||||||||||
Long-Term Income Fund | — | 331,494 | (10,017) | 321,477 | 5,500,476 | 126,180 | 4,763 | — | 264,516 | ||||||||||||
Mid-Cap Fund | 169,843 | 11,512 | (132,540) | 48,815 | 1,889,145 | 50,418 | (115,011) | 1,207 | 637,354 | ||||||||||||
Small-Cap Fund | 357,903 | 52,507 | (340,235) | 70,175 | 1,930,527 | 5,674 | 758,479 | 117,015 | 218,212 | ||||||||||||
Ultra Short-Duration Income Fund | 1,780,202 | 1,218,953 | (1,641,560) | 1,357,595 | 21,232,794 | 349,110 | 212,169 | — | (161,229) | ||||||||||||
US Large-Cap Core Responsible Index Fund | 1,001,238 | 192,120 | (505,687) | 687,671 | 15,087,493 | 305,815 | 562,385 | 411,118 | 1,358,780 | ||||||||||||
US Large-Cap Growth Responsible Index Fund | 282,542 | 175,228 | (113,274) | 344,496 | 8,422,939 | 63,067 | 406,891 | — | 900,914 | ||||||||||||
US Large-Cap Value Responsible Index Fund | 516,708 | 124,213 | (166,723) | 474,198 | 10,963,468 | 215,608 | 528,210 | 28,090 | 909,423 | ||||||||||||
US Mid-Cap Core Responsible Index Fund | — | 176,093 | (40,417) | 135,676 | 3,332,212 | — | 11,102 | — | 171,871 | ||||||||||||
TOTALS | $185,436,345 | $3,797,354 | $3,293,831 | $867,807 | $6,498,670 | ||||||||||||||||
48 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
MODERATE
Name of Calvert Fund, Class I | Shares, beginning of period | Gross Additions | Gross Reductions | Shares, end of period | Value, end of period | Dividend Income | Net Realized Gain (Loss) | Capital Gain Distributions Received | Change in Unrealized Appreciation (Depreciation) | ||||||||||||
Absolute Return Bond Fund | 1,455,944 | 694,333 | (141,990) | 2,008,287 | $30,445,625 | $796,916 | $45,684 | $185,299 | $23,093 | ||||||||||||
Bond Fund | 2,481,520 | 727,468 | (274,810) | 2,934,178 | 47,386,979 | 1,180,558 | (84,670) | 116,362 | (398,918) | ||||||||||||
Emerging Markets Equity Fund | 687,712 | 188,218 | (310,832) | 565,098 | 9,312,818 | 68,961 | 606,642 | — | 1,860,329 | ||||||||||||
Green Bond Fund | 60,568 | 67 | (60,635) | — | — | 1,031 | 24,636 | 11 | (29,688) | ||||||||||||
High Yield Bond Fund | 279,005 | 10,116 | (289,121) | — | — | 107,388 | 463,886 | — | (461,044) | ||||||||||||
International Equity Fund | 1,257,575 | 448,246 | (520,522) | 1,185,299 | 21,619,858 | 622,578 | 1,830,420 | — | 527,276 | ||||||||||||
International Opportunities Fund | 885,843 | 141,415 | (135,187) | 892,071 | 16,431,947 | 183,862 | 217,432 | — | 3,019,515 | ||||||||||||
International Responsible Index Fund | — | 608,179 | (27,410) | 580,769 | 13,537,737 | — | 59,976 | — | 1,321,308 | ||||||||||||
Mid-Cap Fund | 343,906 | 24,115 | (262,830) | 105,191 | 4,070,891 | 101,986 | 380,458 | 2,441 | 759,287 | ||||||||||||
Small-Cap Fund | 943,512 | 33,318 | (825,610) | 151,220 | 4,160,058 | 14,967 | 2,494,470 | 308,585 | 159,395 | ||||||||||||
Ultra-Short Duration Income Fund | 12,751 | 2,540,859 | (1,114,820) | 1,438,790 | 22,502,681 | 218,651 | 29,049 | — | 5,096 | ||||||||||||
US Large-Cap Core Responsible Index Fund | 2,569,639 | 391,053 | (923,144) | 2,037,548 | 44,703,796 | 786,290 | 814,721 | 1,056,507 | 4,784,670 | ||||||||||||
US Large-Cap Growth Responsible Index Fund | 879,752 | 199,076 | (308,900) | 769,928 | 18,824,740 | 197,803 | 1,152,279 | — | 2,151,171 | ||||||||||||
US Large-Cap Value Responsible Index Fund | 1,608,835 | 228,754 | (711,963) | 1,125,626 | 26,024,478 | 672,370 | 2,239,897 | 87,558 | 1,849,991 | ||||||||||||
US Mid-Cap Core Responsible Index Fund | — | 395,921 | (7,240) | 388,681 | 9,546,004 | — | 2,941 | — | 408,122 | ||||||||||||
TOTALS | $268,567,612 | $4,953,361 | $10,277,821 | $1,756,763 | $15,979,603 | ||||||||||||||||
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 49
AGGRESSIVE
Name of Calvert Fund, Class I | Shares, beginning of period | Gross Additions | Gross Reductions | Shares, end of period | Value, end of period | Dividend Income | Net Realized Gain (Loss) | Capital Gain Distributions Received | Change in Unrealized Appreciation (Depreciation) | |||||||||||
Absolute Return Bond Fund | 186,452 | 119,934 | (39,026) | 267,360 | $4,053,181 | $100,041 | $10,902 | $23,073 | ($3,085 | ) | ||||||||||
Bond Fund | 273,098 | 1,452,280 | (910,703) | 814,675 | 13,157,009 | 263,666 | 215,925 | 12,099 | (101,909) | |||||||||||
Emerging Markets Equity Fund | 445,555 | 256,023 | (165,553) | 536,025 | 8,833,697 | 44,433 | 153,154 | — | 1,837,649 | |||||||||||
International Equity Fund | 843,032 | 452,718 | (369,581) | 926,169 | 16,893,328 | 417,365 | 818,356 | — | 878,824 | |||||||||||
International Opportunities Fund | 730,076 | 63,817 | (149,019) | 644,874 | 11,878,582 | 152,631 | 222,073 | — | 2,317,728 | |||||||||||
International Responsible Index Fund | — | 354,520 | (13,703) | 340,817 | 7,944,455 | — | 27,614 | — | 787,138 | |||||||||||
Mid-Cap Fund | 202,450 | 25,688 | (120,773) | 107,365 | 4,155,044 | 60,077 | 273,773 | 1,435 | 466,062 | |||||||||||
Small-Cap Fund | 525,290 | 42,470 | (413,410) | 154,350 | 4,246,173 | 8,312 | 1,519,866 | 171,237 | 187,507 | |||||||||||
US Large-Cap Core Responsible Index Fund | 1,654,004 | 396,123 | (553,415) | 1,496,712 | 32,837,852 | 505,544 | 436,125 | 678,270 | 3,513,103 | |||||||||||
US Large-Cap Growth Responsible Index Fund | 581,436 | 226,477 | (302,712) | 505,201 | 12,352,168 | 131,095 | 962,519 | — | 1,091,818 | |||||||||||
US Large-Cap Value Responsible Index Fund | 1,075,651 | 323,564 | (643,286) | 755,929 | 17,477,081 | 449,907 | 1,965,862 | 58,458 | 730,296 | |||||||||||
US Mid-Cap Core Responsible Index Fund | — | 159,946 | (3,635) | 156,311 | 3,839,003 | — | 1,798 | — | 180,825 | |||||||||||
TOTALS | $137,667,573 | $2,133,071 | $6,607,967 | $944,572 | $11,885,956 | |||||||||||||||
50 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
NOTE G — CAPITAL SHARES
Transactions in capital shares for the years ended September 30, 2017 and September 30, 2016 were as follows:
CONSERVATIVE | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||
Shares | Amount | Shares | Amount | ||||||
Class A | |||||||||
Shares sold | 1,981,979 | $33,126,700 | 2,210,495 | $35,860,887 | |||||
Reinvestment of distributions | 217,729 | 3,582,313 | 407,437 | 6,566,581 | |||||
Shares redeemed | (2,151,958) | (35,703,955) | (1,441,367) | (23,287,750) | |||||
Net increase | 47,750 | $1,005,058 | 1,176,565 | $19,139,718 | |||||
Class C | |||||||||
Shares sold | 350,847 | $5,765,745 | 473,596 | $7,594,658 | |||||
Reinvestment of distributions | 38,422 | 622,901 | 87,676 | 1,393,915 | |||||
Shares redeemed | (524,534) | (8,647,576) | (277,824) | (4,474,018) | |||||
Net increase (decrease) | (135,265) | ($2,258,930 | ) | 283,448 | $4,514,555 | ||||
Class I | |||||||||
Shares sold | 266,172 | $4,450,178 | 62,228(a) | $1,000,000(a) | |||||
Reinvestment of distributions | 5,997 | 98,536 | 517(a) | 8,405(a) | |||||
Shares redeemed | (157,825) | (2,639,917) | — | — | |||||
Net increase | 114,344 | $1,908,797 | 62,745(a) | $1,008,405(a) | |||||
Class Y | |||||||||
Shares sold | 655,287 | $10,843,456 | 24,620(a) | $403,003(a) | |||||
Reinvestment of distributions | 5,143 | 87,174 | 121(a) | 1,983(a) | |||||
Shares redeemed | (96,466) | (1,628,503) | (241)(a) | (3,974)(a) | |||||
Net increase | 563,964 | $9,302,127 | 24,500(a) | $401,012(a) | |||||
(a) From May 20, 2016 inception. | |||||||||
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 51
MODERATE | Year Ended September 30, 2017 | Year Ended September 30, 2016 | ||||||||
Shares | Amount | Shares | Amount | |||||||
Class A | ||||||||||
Shares sold | 1,871,825 | $34,184,103 | 1,925,291 | $33,855,020 | ||||||
Reinvestment of distributions | 457,461 | 8,062,036 | 1,263,831 | 21,894,759 | ||||||
Shares redeemed | (2,701,121) | (48,943,346) | (1,825,443) | (31,766,694) | ||||||
Net increase (decrease) | (371,835) | ($6,697,207 | ) | 1,363,679 | $23,983,085 | |||||
Class C | ||||||||||
Shares sold | 404,329 | $7,013,541 | 417,535 | $7,044,216 | ||||||
Reinvestment of distributions | 93,798 | 1,580,839 | 263,626 | 4,377,995 | ||||||
Shares redeemed | (677,620) | (11,748,924) | (419,450) | (7,028,522) | ||||||
Net increase (decrease) | (179,493) | ($3,154,544 | ) | 261,711 | $4,393,689 | |||||
Class I | ||||||||||
Shares sold | 543,251 | $9,745,165 | 58,480(a) | $1,000,000(a) | ||||||
Reinvestment of distributions | 10,962 | 191,489 | 264(a) | 4,593(a) | ||||||
Shares redeemed | (141,632) | (2,590,737) | — | — | ||||||
Net increase | 412,581 | $7,345,917 | 58,744(a) | $1,004,593(a) | ||||||
Class Y | ||||||||||
Shares sold | 208,511 | $3,800,298 | 22,208(a) | $391,072(a) | ||||||
Reinvestment of distributions | 1,370 | 24,116 | 55(a) | 963(a) | ||||||
Shares redeemed | (42,090) | (776,519) | (14)(a) | (254)(a) | ||||||
Net increase | 167,791 | $3,047,895 | 22,249(a) | $391,781(a) | ||||||
(a) From May 20, 2016 inception. | ||||||||||
52 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
AGGRESSIVE | Year Ended September 30, 2017 | Year Ended September 30, 2016 | ||||||||
Shares | Amount | Shares | Amount | |||||||
Class A | ||||||||||
Shares sold | 902,755 | $17,031,178 | 1,137,360 | $20,492,763 | ||||||
Reinvestment of distributions | 275,795 | 4,947,011 | 739,616 | 12,959,041 | ||||||
Shares redeemed | (1,135,909) | (21,115,128) | (1,023,579) | (18,153,215) | ||||||
Net increase | 42,641 | $863,061 | 853,397 | $15,298,589 | ||||||
Class C | ||||||||||
Shares sold | 122,130 | $1,983,708 | 181,771 | $2,861,760 | ||||||
Reinvestment of distributions | 58,413 | 911,004 | 144,071 | 2,204,296 | ||||||
Shares redeemed | (258,351) | (4,180,783) | (169,665) | (2,674,124) | ||||||
Net increase (decrease) | (77,808) | ($1,286,071 | ) | 156,177 | $2,391,932 | |||||
Class I | ||||||||||
Shares sold | 116,645 | $2,120,665 | 58,241(a) | $1,000,000(a) | ||||||
Reinvestment of distributions | 5,981 | 107,065 | — | — | ||||||
Shares redeemed | (92,904) | (1,716,773) | — | — | ||||||
Net increase | 29,722 | $510,957 | 58,241(a) | $1,000,000(a) | ||||||
Class Y | ||||||||||
Shares sold | 68,147 | $1,275,567 | 7,227(a) | $125,251(a) | ||||||
Reinvestment of distributions | 471 | 8,458 | — | — | ||||||
Shares redeemed | (18,526) | (347,295) | — | — | ||||||
Net increase | 50,092 | $936,730 | 7,227(a) | $125,251(a) | ||||||
(a) From May 20, 2016 inception. | ||||||||||
The Trustees approved the termination of each Fund’s Class Y shares. Effective December 8, 2017, Class Y shares of each Fund will convert to Class I shares at net asset value. Thereafter, Class Y shares will be terminated.
NOTE H — REGULATORY MATTERS
On October 18, 2016, the Securities and Exchange Commission (SEC) issued an administrative order (“Order”) relating to the improper valuation of certain securities held by one or more of the Underlying Funds by CIM (the Adviser to the Funds and the Underlying Funds prior to December 31, 2016) between March 18, 2008 and October 18, 2011. Pursuant to the Order, CIM is required to make distributions to affected shareholders to remediate the improper valuation (including shareholders of each Fund who were indirectly impacted by reason of each Fund’s investment in affected Underlying Funds). The distributions required to be made by CIM to affected shareholders are the obligations of CIM and will not have an impact on the Funds’ net assets.
On May 2, 2017, the SEC issued an administrative order (“Order”) relating to the improper use of Calvert Fund assets by CIM and CID, the Calvert Funds’ former adviser and principal underwriter, respectively, to pay for the distribution and marketing of fund shares outside of a Rule 12b-1 plan, as well as to pay expenses in excess of Fund expense caps. Pursuant to the Order, CIM and CID are required to pay $21,614,534 to affected shareholders of the Calvert Funds, including each Fund’s shareholders. The distributions required to be made by CIM and CID to affected shareholders are the obligations of CIM and CID and will not have an impact on the Funds’ net assets.
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 53
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Trustees of Calvert Social Investment Fund and Shareholders of Calvert Conservative Allocation Fund, Calvert Moderate Allocation Fund and Calvert Aggressive Allocation Fund:
We have audited the accompanying statements of assets and liabilities of the Calvert Conservative Allocation Fund, Calvert Moderate Allocation Fund and Calvert Aggressive Allocation Fund (collectively, the “Funds”), each a series of Calvert Social Investment Fund, including the schedules of investments, as of September 30, 2017, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2017, by correspondence with the custodian, transfer agent, and brokers or by performing other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Calvert Conservative Allocation Fund, Calvert Moderate Allocation Fund and Calvert Aggressive Allocation Fund as of September 30, 2017, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Philadelphia, Pennsylvania
November 22, 2017
54 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
FEDERAL TAX INFORMATION
The Form 1099-DIV you receive in February 2018 will show the tax status of all distributions paid to your account in calendar year 2017. Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Funds. As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of qualified dividend income for individuals, the dividends received deduction for corporations and capital gains dividends.
Qualified Dividend Income. For the fiscal year ended September 30, 2017, the Funds designate approximately the following amounts, or up to the maximum amount of such dividends allowable pursuant to the Internal Revenue Code, as qualified dividend income eligible for the reduced tax rate of 15%:
Conservative Allocation Fund | $979,059 | ||
Moderate Allocation Fund | $2,729,951 | ||
Aggressive Allocation Fund | $1,802,757 | ||
Dividends Received Deduction. Corporate shareholders are generally entitled to take the dividends received deduction on the portion of each Fund’s dividend distribution that qualifies under tax law. For each Fund’s fiscal 2017 ordinary income dividends, the following qualifies for the corporate dividends received deduction:
Conservative Allocation Fund | 21.23 | % |
Moderate Allocation Fund | 46.83 | % |
Aggressive Allocation Fund | 67.27 | % |
Capital Gains Dividends. The Funds hereby designate as a capital gain dividend with respect to the taxable year ended September 30, 2017, the following amounts or, if subsequently determined to be different, the net capital gain of such year:
Conservative Allocation Fund | $4,638,170 | ||
Moderate Allocation Fund | $15,488,791 | ||
Aggressive Allocation Fund | $10,038,612 | ||
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (Unaudited) 55
MANAGEMENT AND ORGANIZATION
Fund Management. The Trustees of Calvert Social Investment Fund (the Trust) are responsible for the overall management and supervision of the Trust’s affairs. The Trustees and officers of the Trust are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Trustees and officers of the Trust hold indefinite terms of office. The “Independent Trustees” consist of those Trustees who are not “interested persons” of the Trust, as that term is defined under the 1940 Act. The business address of each Trustee and officer, with the exception of Ms. Gemma and Mr. Kirchner, is 1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009. As used below, “CRM” refers to Calvert Research and Management. Each Trustee oversees 37 funds in the Calvert fund complex. Each officer serves as an officer of certain other Calvert funds.
Name and Year of Birth | Position with Trust | Position Start Date | Principal Occupation(s) and 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 Compliance Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management (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). 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 Social Investment Foundation. |
Independent Trustees | |||
Richard L. Baird, Jr. 1948 | Trustee | 1982 | Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Directorships in the Last Five Years. None. |
Alice Gresham Bullock(2) 1950 | Chair & Trustee | 2016 | Professor at Howard University School of Law (retired June 2016). She is former Dean of Howard University School of Law (1996-2002) and Deputy Director of the Association of American Law Schools (1992-1994). Directorships in the Last Five Years. None. |
Cari M. Dominguez(2) 1949 | Trustee | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. 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. 1948 | Trustee | 1982 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Directorships in the Last Five Years. Ariel Funds (3) (asset management) (through December 31, 2011); Calvert Social Investment Foundation; Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Trustee | 2005 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (now Carr Riggs & Ingram) (public accounting firm), November 1999 - September 2014). Directorships in the Last Five Years. Bridgeway Funds (14) (asset management). |
Joy V. Jones 1950 | Trustee | 1990 | Attorney. Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited (restaurant) (dissolved September 2016); Palm Management Restaurant Corporation. |
56 www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (Unaudited)
Name and Year of Birth | Position with Trust | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Anthony A. Williams(2) 1951 | Trustee | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present) (economic development non-profit organization); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (now Dentons) (law firm) (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (now Gartner Inc.) (global research and Advisory company) (January 2010 to January 2012); William H. Bloomberg Lecturer in Public Management at the Harvard Kennedy School (since 2009). 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 (non-profit organization); Chesapeake Bay Foundation (independent conservation organization); Catholic University of America; Urban Institute (research organization). |
Principal Officers who are not Trustees | |||
Name and Year of Birth | Position with Trust | Position Start Date | Principal Occupation During Past Five Years |
Hope Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 37 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). |
Maureen A. Gemma(3) 1960 | Secretary and Vice President | 2016 | Vice President of CRM and officer of 37 registered investment companies advised by CRM. Also Vice President of Eaton Vance Management (“EVM”) and certain of its affiliates and officer of 176 registered investment companies advised or administered by EVM. |
James F. Kirchner(3) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 37 registered investment companies advised by CRM. Also Vice President of EVM and certain of its affiliates and officer of 176 registered investment companies advised or administered by EVM. |
(1) Mr. Streur is an interested person of the Funds because of his positions with each Fund’s Adviser and certain affiliates.
(2) Mmes. Bullock and Dominguez and Mr. Williams began serving as Trustees effective December 23, 2016.
(3) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
The SAI for the Funds includes additional information about the Trustees and officers of the Funds and can be obtained without charge on Calvert’s website at www.calvert.com or by calling 1-800-368-2745.
www.calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (Unaudited) 57
IMPORTANT NOTICES
Privacy. The Calvert organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | 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, the Calvert organization 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. |
• | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities within the Calvert organization: the Calvert family of funds and Calvert Research and Management. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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CALVERT ASSET ALLOCATION FUNDS | CALVERT FUNDS | |||
Service for Existing Account Shareholders: 800-368-2745 Brokers: 800-368-2746 Regular Mail Calvert Funds c/o BFDS, P.O. Box 219544 Kansas City, MO 64121-9544 Overnight Mail Calvert Funds c/o BFDS, 330 West 9th Street Kansas City, MO 64105 Web Site www.calvert.com Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 | Municipal Funds Responsible Municipal Income Fund Taxable Bond Funds Bond Fund Income Fund Short Duration Income Fund Long-Term Income Fund Ultra-Short Duration Income Fund High Yield Bond Fund Green Bond Fund Absolute Return Bond Fund Floating-Rate Advantage Fund Balanced and Asset Allocation Funds Balanced Fund Conservative Allocation Fund Moderate Allocation Fund Aggressive Allocation Fund | Equity Funds Equity Fund US Large-Cap Core Responsible Index Fund US Large-Cap Value Responsible Index Fund US Large-Cap Growth Responsible Index Fund US Mid-Cap Core Responsible Index Fund International Responsible Index Fund Mid-Cap Fund International Equity Fund Small-Cap Fund Global Energy Solutions Fund Global Water Fund International Opportunities Fund Emerging Markets Equity Fund | ||
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
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 is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert funds at 800-368-2745. Printed on recycled paper. | |
24205 9.30.17 | |
Item 2. Code of Ethics
The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-368-2745. The registrant has amended the code of ethics as described in Form N-CSR during the period covered by this report to make immaterial changes. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
Item 3. Audit Committee Financial Expert
The registrant's Board of Trustees has determined that Miles D. Harper III, an “independent” Trustee serving on the registrant’s audit committee, is an “audit committee financial expert,” as defined in Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services
(a) –(d)
The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended September 30, 2016 and September 30, 2017 by KPMG for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by KPMG during such periods.
Fiscal Years Ended | 9/30/16 | %* | 9/30/17 | %* | ||||||
Audit Fees | $199,798 | 0 | % | $192,290 | 4.7 | % | ||||
Audit-Related Fees | $0 | 0 | % | $0 | 0 | % | ||||
Tax Fees | $31,100 | 0 | % | $34,200 | 0 | % | ||||
All Other Fees | $0 | 0 | % | $0 | 0 | % | ||||
Total | $230,898 | 0 | % | $226,490 | 4.0 | % | ||||
*Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimis waiver of committee’s requirement to pre-approve)
(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 related to the tax treatment and tax accounting of newly acquired securities, upon request by the investment adviser in each instance.
(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 the registrant:
Fiscal Year ended 9/30/16 | Fiscal Year ended 9/30/17 | ||
$ | %* | $ | %* |
$0 | 0% | $79,200 | 0% |
*Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimis waiver of committee’s requirement to pre-approve)
(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.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) The registrant’s principal executive and principal financial officers have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 Act, as amended (the “1940 Act”) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (“Exchange Act”), as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Exhibits
(a)(1) Registrant’s Code of Ethics – Not applicable (please see Item 2).
(a)(2)(i) Treasurer’s Section 302 certification.
(a)(2)(ii) President’s Section 302 certification.
(b) Combined Section 906 certification.
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CALVERT SOCIAL INVESTMENT FUND
By: /s/ John H. Streur
John H. Streur
President
Date: November 22, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ James F. Kirchner
James F. Kirchner
Treasurer
Date: November 22, 2017
By: /s/ John H. Streur
John H. Streur
President
Date: November 22, 2017