0001752724-22-198116.txt : 20220826 0001752724-22-198116.hdr.sgml : 20220826 20220826170053 ACCESSION NUMBER: 0001752724-22-198116 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20220630 FILED AS OF DATE: 20220826 DATE AS OF CHANGE: 20220826 PERIOD START: 20220930 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CALVERT SOCIAL INVESTMENT FUND CENTRAL INDEX KEY: 0000356682 IRS NUMBER: 000000000 FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-03334 FILM NUMBER: 221205982 BUSINESS ADDRESS: STREET 1: 1825 CONNECTICUT AVENUE NW STREET 2: SUITE 400 CITY: WASHINGTON STATE: DC ZIP: 20009 BUSINESS PHONE: 8002256265 MAIL ADDRESS: STREET 1: 1825 CONNECTICUT AVENUE NW STREET 2: SUITE 400 CITY: WASHINGTON STATE: DC ZIP: 20009 0000356682 S000008723 Calvert Growth Allocation Fund C000023774 Class A CAAAX C000023775 Class C CAACX C000099328 Class I CAGIX C000235280 Calvert Growth Allcoation Fund Class R6 CGARX NPORT-P 1 primary_doc.xml NPORT-P false 0000356682 XXXXXXXX S000008723 C000023775 C000099328 C000023774 C000235280 CALVERT SOCIAL INVESTMENT FUND 811-03334 0000356682 549300V0NY9G3Y5OI796 1825 Connecticut Avenue NW Suite 400 Washington 20009 202-238-2200 Calvert Growth Allocation Fund S000008723 549300UGXJ3LMFVD6U44 2022-09-30 2022-06-30 N 272523159.37 712649.98 271810509.39 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 371350.77000000 N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Inflation Indexed Bonds 912810SM1 3485361.00000000 PA USD 2757585.80000000 1.014525084474 Long DBT UST US N 2 2050-02-15 Fixed 0.25000000 N N N N N N Calvert US Large Cap Value Responsible Index Fund 5493005WGBW1GHF4CG37 Calvert US Large Cap Value Responsible Index Fund 13162A708 1697572.41900000 NS USD 44934741.93000000 16.53164258837 Long EC RF US N 1 N N N Calvert International Opportunities Fund 549300125QOYCBC7IB51 Calvert International Opportunities Fund 131649758 1280180.63500000 NS USD 18562619.21000000 6.829249999074 Long EC RF US N 1 N N N Calvert US Large Cap Core Responsible Index Fund 549300PO0F0AV64IR605 Calvert US Large Cap Core Responsible Index Fund 131582298 1198164.88100000 NS USD 39299808.10000000 14.45853149247 Long EC RF US N 1 N N N Calvert US Large Cap Growth Responsible Index Fund 5493000179G37BJVLO31 Calvert US Large Cap Growth Responsible Index Fund 13162A807 385709.21100000 NS USD 15482367.73000000 5.696015126400 Long EC RF US N 1 N N N Calvert High Yield Bond Fund 549300CCIV46L1T22Z08 Calvert High Yield Bond Fund 131582272 429531.56000000 NS USD 9814796.15000000 3.610896492569 Long EC RF US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US LONG BOND(CBT) SEP22 000000000 19.00000000 NC USD -35534.50000000 -0.01307326198 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT US Long Bond Future USM2 COMDTY 2022-09-21 2669409.50000000 USD -35534.50000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR ULTRA FUT SEP22 000000000 24.00000000 NC USD -54042.48000000 -0.01988241003 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Ultra 10-Year US Treasury Note Futures UXYU2 Comdty 2022-09-21 3111042.48000000 USD -54042.48000000 N N N Calvert Emerging Markets Advancement Fund 549300OOWWGW13TF0P06 Calvert Emerging Markets Advancement Fund 131649717 1709494.82000000 NS USD 18462544.06000000 6.792432015021 Long EC RF US N 1 N N N Calvert Emerging Markets Equity Fund 549300L4S5NY62FOKA38 Calvert Emerging Markets Equity Fund 131649766 839109.40300000 NS USD 13224364.19000000 4.865288034549 Long EC RF US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 5YR NOTE (CBT) SEP22 000000000 19.00000000 NC USD -24664.09000000 -0.00907400161 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year US Treasury Note FVM2 COMDTY 2022-09-30 2157414.09000000 USD -24664.09000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US ULTRA BOND CBT SEP22 000000000 -5.00000000 NC USD 20146.90000000 0.007412112226 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CME Ultra Long Term US Treasury Bond Future WNU2 Comdty 2022-09-21 -791865.65000000 USD 20146.90000000 N N N Calvert Floating-Rate Advantage Fund 549300GG1YFY0YH1UJ86 Calvert Floating-Rate Advantage Fund 13161X865 516435.16600000 NS USD 4456835.48000000 1.639684753176 Long EC RF US N 1 N N N Calvert Mid-Cap Fund 549300Y1UC9HCBUDKZ85 Calvert Mid-Cap Fund 131649709 140752.68200000 NS USD 5269780.41000000 1.938769925352 Long EC RF US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR NOTE (CBT)SEP22 000000000 77.00000000 NC USD -133682.63000000 -0.04918228890 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year US Treasury Note TYM2 COMDTY 2022-09-21 9260588.88000000 USD -133682.63000000 N N N Morgan Stanley & Co. LLC 549300BI6Y5SI6BYPB26 Morgan Stanley Institutional Liquidity Funds - Government Portfolio 61747C707 16017355.69000000 NS USD 16017355.69000000 5.892838995058 Long STIV RF US N 1 N N N Calvert Small Cap Fund 549300MIJR64EECJ6M85 Calvert Small Cap Fund 13161P672 385754.27900000 NS USD 11341175.80000000 4.172456696193 Long EC RF US N 1 N N N Calvert Equity Fund 5493008KHIQHXPKPLB89 Calvert Equity Fund 131582280 198150.35700000 NS USD 15186243.36000000 5.587069975359 Long EC RF US N 1 N N N Calvert International Responsible Index Fund 5493002R7L7YSTUULM88 Calvert International Responsible Index Fund 13161Y848 822657.31600000 NS USD 19826041.32000000 7.294067239892 Long EC RF US N 1 N N N Calvert US Mid Cap Core Responsible Index Fund 549300I74Z158YTBPO44 Calvert US Mid Cap Core Responsible Index Fund 13161Y301 376030.75200000 NS USD 11750961.00000000 4.323218048622 Long EC RF US N 1 N N N Calvert International Equity Fund 549300DYXGATLWKZ1990 Calvert International Equity Fund 131649741 1237486.90000000 NS USD 25244732.76000000 9.287622033693 Long EC RF US N 1 N N N 2022-07-26 CALVERT SOCIAL INVESTMENT FUND James Kirchner James Kirchner Treasurer XXXX NPORT-EX 2 NPORT_D8A4_50627430_0622.htm
Calvert
Growth Allocation Fund
June 30, 2022
Schedule of Investments (Unaudited)
Mutual Funds — 93.1%(1)
    
Security Shares Value
Equity Funds — 87.8%  
Calvert Impact Fund, Inc.:      
Calvert Small-Cap Fund, Class R6      385,754 $ 11,341,176
Calvert Responsible Index Series, Inc.:      
Calvert International Responsible Index Fund, Class R6      822,657  19,826,041
Calvert US Large-Cap Core Responsible Index Fund, Class R6   1,198,165  39,299,808
Calvert US Large-Cap Growth Responsible Index Fund, Class I   385,709  15,482,368
Calvert US Large-Cap Value Responsible Index Fund, Class I   1,697,573  44,934,742
Calvert US Mid-Cap Core Responsible Index Fund, Class I   376,031  11,750,961
Calvert Social Investment Fund:      
Calvert Equity Fund, Class R6   198,150 15,186,243
Calvert World Values Fund, Inc.:      
Calvert Emerging Markets Advancement Fund, Class I   1,709,495 18,462,544
Calvert Emerging Markets Equity Fund, Class R6   839,109 13,224,364
Calvert International Equity Fund, Class R6   1,237,487 25,244,733
Calvert International Opportunities Fund, Class R6   1,280,181 18,562,619
Calvert Mid-Cap Fund, Class I   140,753 5,269,781
      $238,585,380
Income Funds — 5.3%  
Calvert Management Series:      
Calvert Floating-Rate Advantage Fund, Class R6   518,642 $4,475,881
The Calvert Fund:      
Calvert High Yield Bond Fund, Class R6   431,395 9,857,375
      $14,333,256
Total Mutual Funds
(identified cost $239,443,878) 		    $252,918,636
    
U.S. Treasury Obligations — 1.0%
    
Security Principal
Amount
(000's omitted) 		Value
U.S. Treasury Inflation-Protected Bond, 0.25%, 2/15/50(2)(3) $      3,485 $  2,757,586
Total U.S. Treasury Obligations
(identified cost $3,483,975) 		    $  2,757,586
    
Short-Term Investments — 5.9%
    
Security Shares Value
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 1.38%(4)   16,017,356 $ 16,017,356
Total Short-Term Investments
(identified cost $16,017,356) 		    $ 16,017,356
Total Investments — 100.0%
(identified cost $258,945,209) 		    $271,693,578
    
Other Assets, Less Liabilities — 0.0%(5)     $     61,655
Net Assets — 100.0%     $271,755,233
    
The percentage shown for each investment category in the Schedule of Investments is based on net assets.
(1) Affiliated fund.
(2) Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal.
(3) Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts.
(4) May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2022.
(5) Amount is less than 0.05%.
 
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Calvert
Growth Allocation Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Futures Contracts
Description Number of
Contracts 		Position Expiration
Date 		Notional
Amount 		Value/
Unrealized
Appreciation
(Depreciation)
Interest Rate Futures          
U.S. 5-Year Treasury Note 19 Long 9/30/22 $2,132,750 $(24,664)
U.S. 10-Year Treasury Note 77 Long 9/21/22 9,126,907 (133,683)
U.S. Long Treasury Bond 19 Long 9/21/22 2,633,875 (35,535)
U.S. Ultra 10-Year Treasury Note 24 Long 9/21/22 3,057,000 (54,042)
U.S. Ultra-Long Treasury Bond (5) Short 9/21/22 (771,719) 20,147
          $(227,777)
During the fiscal year to date ended June 30, 2022, the Fund used futures contracts and purchased and written options contracts to facilitate the periodic rebalancing of its portfolio to maintain its target asset allocation and to make tactical asset allocations.
At June 30, 2022, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
Affiliated Investments
At June 30, 2022, the value of the Fund's investment in affiliated funds was $268,935,992, which represents 99.0% of the Fund's net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended June 30, 2022 were as follows:
Name of
Calvert Fund 		Value,
beginning
of period 		Purchases Sales
proceeds 		Net
realized
gain
(loss) 		Change in
unrealized
appreciation
(depreciation) 		Value,
end of
period 		Dividend
income 		Capital gains
distributions
received 		Shares/Units,
end of period
Cash Reserves Fund, LLC $21,124,678 $32,085,918 $(53,209,914) $   1,410 $     (2,092) $  — $    6,807 $ — —
Emerging Markets Advancement Fund, Class I 17,386,469  4,062,524    (299,347)  (16,931)  (2,670,171)  18,462,544   100,722   661,635 1,709,495
Emerging Markets Equity Fund, Class R6 15,675,473  2,254,094    (285,626)  (35,380)  (4,384,197)  13,224,364   134,478  — 839,109
Equity Fund, Class R6 13,068,966  5,374,787    (417,835)   19,282  (2,858,957)  15,186,243    30,016   543,496 198,150
Floating-Rate Advantage Fund, Class R6  6,015,719    598,522  (1,655,537)  (36,478)    (446,345)   4,475,881   180,553  — 518,642
High Yield Bond Fund, Class R6  — 11,109,088     (61,241)     (666)  (1,189,806)   9,857,375   166,743  — 431,395
International Equity Fund, Class R6 30,423,182  6,772,159  (3,815,559) (495,397)  (7,639,652)  25,244,733   367,477 1,614,167 1,237,487
International Opportunities Fund, Class R6 25,451,309  4,342,367  (1,879,803)  (36,887)  (9,314,367)  18,562,619   366,758 1,417,656 1,280,181
2

 

Calvert
Growth Allocation Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Name of
Calvert Fund 		Value,
beginning
of period 		Purchases Sales
proceeds 		Net
realized
gain
(loss) 		Change in
unrealized
appreciation
(depreciation) 		Value,
end of
period 		Dividend
income 		Capital gains
distributions
received 		Shares/Units,
end of period
International Responsible Index Fund, Class R6 $ 20,942,871 $4,157,542 $   (244,965) $    (20,976) $ (5,008,431) $ 19,826,041 $  438,531 $ — 822,657
Liquidity Fund, Institutional Class(1)   — 38,794,477 (22,777,124)   —   —  16,017,356    24,081  — 16,017,356
Mid-Cap Fund, Class I   5,774,009 1,434,218    (214,345)     (34,259)  (1,689,842)   5,269,781     9,239   613,368 140,753
Small-Cap Fund, Class R6  10,259,604 4,099,937    (704,275)     (50,944)  (2,263,146)  11,341,176    17,594   703,777 385,754
US Large-Cap Core Responsible Index Fund, Class R6  43,487,601 4,518,689    (803,528)      35,719  (7,938,673)  39,299,808   400,494   115,218 1,198,165
US Large-Cap Growth Responsible Index Fund, Class I  17,346,206 2,632,826    (642,822)      32,062  (3,885,904)  15,482,368    76,517   282,162 385,709
US Large-Cap Value Responsible Index Fund, Class I  52,542,564 5,215,308  (5,482,007)     173,714  (7,514,837)  44,934,742   767,813 1,516,211 1,697,573
US Mid-Cap Core Responsible Index Fund, Class I  14,559,808 1,805,830  (1,402,859)    (167,347)  (3,044,471)  11,750,961    76,471   349,959 376,031
Total       $   (633,078) $(59,850,891) $268,935,992 $3,164,294 $7,817,649  
    
(1) Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio.
Fair Value Measurements
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the market value of the Fund's holdings as of June 30, 2022, based on the inputs used to value them:
Asset Description  Level 1  Level 2  Level 3  Total 
Mutual Funds $252,918,636 $ — $ — $252,918,636
U.S. Treasury Obligations  — 2,757,586  — 2,757,586
3

 

Calvert
Growth Allocation Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Asset Description (continued) Level 1  Level 2  Level 3  Total 
Short-Term Investments $16,017,356 $ — $ — $16,017,356
Total Investments $268,935,992 $2,757,586 $ — $271,693,578
Futures Contracts $20,147 $ — $ — $20,147
Total $268,956,139 $2,757,586 $ — $271,713,725
Liability Description         
Futures Contracts $(247,924) $ — $ — $(247,924)
Total $(247,924) $ — $ — $(247,924)
For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.
4