0001752724-23-049187.txt : 20230301 0001752724-23-049187.hdr.sgml : 20230301 20230301105708 ACCESSION NUMBER: 0001752724-23-049187 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20221231 FILED AS OF DATE: 20230301 DATE AS OF CHANGE: 20230301 PERIOD START: 20230930 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: 23690897 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 2023-09-30 2022-12-31 N 288865006.32 267016.37 288597989.95 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 18101.69000000 N 60% Russell 3000 / 30% MSCI ACWI ex USA IMI / 10% Bloomberg US Agg RSMSLAUSD United States Treasury 254900HROIFWPRGM1V77 United States Treasury Inflation Indexed Bonds 912810SM1 3592900.00000000 PA USD 2426338.15000000 0.840732865263 Long DBT UST US N 2 2050-02-15 Fixed 0.25000000 N N N N N N Calvert US Mid Cap Core Responsible Index Fund 549300I74Z158YTBPO44 Calvert US Mid Cap Core Responsible Index Fund 131618456 389129.13100000 NS USD 12732305.17000000 4.411778880444 Long EC RF US N 1 N N N Calvert International Opportunities Fund 549300125QOYCBC7IB51 Calvert International Opportunities Fund 131649758 1455202.04600000 NS USD 22308247.37000000 7.729869280747 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 1192534.82100000 NS USD 39449051.88000000 13.66920534922 Long EC RF US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR ULTRA FUT MAR23 000000000 -1.00000000 NC USD 820.29000000 0.000284232748 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT Ultra 10-Year U.S. Treasury Notes Futures UXYH3 Comdty 2023-03-22 -119101.54000000 USD 820.29000000 N N N Calvert High Yield Bond Fund 549300CCIV46L1T22Z08 Calvert High Yield Bond Fund 131582272 422475.48500000 NS USD 9700037.14000000 3.361089639494 Long EC RF US N 1 N N N Calvert Focused Value Fund 549300Z5XUUT6OW4YT43 Calvert Focused Value Fund 131582132 991762.58500000 NS USD 9758943.84000000 3.381500973617 Long EC RF US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR NOTE (CBT)MAR23 000000000 36.00000000 NC USD -21976.02000000 -0.00761475158 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year US Treasury Note Future TYH3 Comdty 2023-03-22 4064663.52000000 USD -21976.02000000 N N N Calvert US Large Cap Growth Responsible Index Fund 5493000179G37BJVLO31 Calvert US Large Cap Growth Responsible Index Fund 131618472 425566.35500000 NS USD 16899239.96000000 5.855633285224 Long EC RF US N 1 N N N Calvert Emerging Markets Advancement Fund 549300OOWWGW13TF0P06 Calvert Emerging Markets Advancement Fund 131649717 1865375.05500000 NS USD 18224714.29000000 6.314913798657 Long EC RF US N 1 N N N Calvert Emerging Markets Equity Fund 549300L4S5NY62FOKA38 Calvert Emerging Markets Equity Fund 131649766 952242.97500000 NS USD 14921647.42000000 5.170392012288 Long EC RF US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 5YR NOTE (CBT) MAR23 000000000 17.00000000 NC USD -2275.99000000 -0.00078863681 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year US Treasury Note Future FVH3 Comdty 2023-03-31 1837080.69000000 USD -2275.99000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US LONG BOND(CBT) MAR23 000000000 6.00000000 NC USD -6811.09000000 -0.00236006148 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT U.S. Long Bond Futures USH3 Comdty 2023-03-22 758873.59000000 USD -6811.09000000 N N N Calvert US Large Cap Value Responsible Index Fund 5493005WGBW1GHF4CG37 Calvert US Large Cap Value Responsible Index Fund 131618464 1428395.49700000 NS USD 39338011.99000000 13.63072972088 Long EC RF US N 1 N N N Calvert Floating-Rate Advantage Fund 549300GG1YFY0YH1UJ86 Calvert Floating-Rate Advantage Fund 13161X865 477993.65100000 NS USD 4129865.14000000 1.431009668749 Long EC RF US N 1 N N N Calvert Mid-Cap Fund 549300Y1UC9HCBUDKZ85 Calvert Mid-Cap Fund 131649709 149851.71700000 NS USD 5775285.17000000 2.001152250228 Long EC RF US N 1 N N N Morgan Stanley & Co. LLC 549300BI6Y5SI6BYPB26 Morgan Stanley Institutional Liquidity Funds - Government Portfolio 61747C707 13835613.37000000 NS USD 13835613.37000000 4.794078216690 Long STIV RF US N 1 N N N Calvert Small Cap Fund 549300MIJR64EECJ6M85 Calvert Small Cap Fund 13161P672 393697.67900000 NS USD 11803056.42000000 4.089791623997 Long EC RF US N 1 N N N Calvert Equity Fund 5493008KHIQHXPKPLB89 Calvert Equity Fund 131582280 215369.06000000 NS USD 16887087.99000000 5.851422594081 Long EC RF US N 1 N N N Calvert International Responsible Index Fund 5493002R7L7YSTUULM88 Calvert International Responsible Index Fund 13161Y848 841111.80700000 NS USD 20565183.68000000 7.125892901597 Long EC RF US N 1 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Inflation Indexed Bonds 91282CEZ0 3143310.75000000 PA USD 2881656.69000000 0.998501995976 Long DBT UST US N 2 2032-07-15 Fixed 0.62500000 N N N N N N Calvert International Equity Fund 549300DYXGATLWKZ1990 Calvert International Equity Fund 131649741 1282520.30700000 NS USD 26637946.78000000 9.230122075560 Long EC RF US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US ULTRA BOND CBT MAR23 000000000 -5.00000000 NC USD 7136.34000000 0.002472761505 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT Ultra Long Term U.S. Treasury Bond Futures WNH3 Comdty 2023-03-22 -678698.84000000 USD 7136.34000000 N N N 2023-01-25 CALVERT SOCIAL INVESTMENT FUND James Kirchner James Kirchner Treasurer XXXX NPORT-EX 2 NPORT_D8A4_90841584_1222.htm
Calvert
Growth Allocation Fund
December 31, 2022
Schedule of Investments (Unaudited)
Mutual Funds — 93.3%(1)
    
Security Shares Value
Equity Funds — 88.5%  
Calvert Impact Fund, Inc.:      
Calvert Small-Cap Fund, Class R6      393,698 $ 11,803,056
Calvert Responsible Index Series, Inc.:      
Calvert International Responsible Index Fund, Class R6      841,112  20,565,184
Calvert US Large-Cap Core Responsible Index Fund, Class R6   1,192,535  39,449,052
Calvert US Large-Cap Growth Responsible Index Fund, Class R6   425,566  16,899,240
Calvert US Large-Cap Value Responsible Index Fund, Class R6   1,428,395  39,338,012
Calvert US Mid-Cap Core Responsible Index Fund, Class R6   389,129  12,732,305
Calvert Social Investment Fund:      
Calvert Equity Fund, Class R6   215,369 16,887,088
Calvert Focused Value Fund, Class R6   991,763 9,758,944
Calvert World Values Fund, Inc.:      
Calvert Emerging Markets Advancement Fund, Class I   1,865,375 18,224,714
Calvert Emerging Markets Equity Fund, Class R6   952,243 14,921,648
Calvert International Equity Fund, Class R6   1,282,520 26,637,947
Calvert International Opportunities Fund, Class R6   1,455,202 22,308,247
Calvert Mid-Cap Fund, Class I   149,852 5,775,285
      $255,300,722
Income Funds — 4.8%  
Calvert Management Series:      
Calvert Floating-Rate Advantage Fund, Class R6   481,381 $4,159,132
The Calvert Fund:      
Calvert High Yield Bond Fund, Class R6   424,424 9,744,782
      $13,903,914
Total Mutual Funds
(identified cost $263,812,601) 		    $269,204,636
    
U.S. Treasury Obligations — 1.8%
    
Security Principal
Amount
(000's omitted) 		Value
U.S. Treasury Inflation-Protected Bond:      
0.25%, 2/15/50(2)(3) $      3,593 $  2,426,338
0.625%, 7/15/32(2)   3,143 2,881,657
Total U.S. Treasury Obligations
(identified cost $6,467,783) 		    $  5,307,995
    
Short-Term Investments — 4.8%
    
Security Shares Value
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.11%(4)   13,835,613 $ 13,835,613
Total Short-Term Investments
(identified cost $13,835,613) 		    $ 13,835,613
Total Investments — 99.9%
(identified cost $284,115,997) 		    $288,348,244
    
Other Assets, Less Liabilities — 0.1%     $    344,949
Net Assets — 100.0%     $288,693,193
    
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 December 31, 2022.
 
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Calvert
Growth Allocation Fund
December 31, 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 17 Long 3/31/23 $1,834,805 $(2,276)
U.S. 10-Year Treasury Note 36 Long 3/22/23 4,042,687 (21,976)
U.S. Long Treasury Bond 6 Long 3/22/23 752,063 (6,811)
U.S. Ultra 10-Year Treasury Note (1) Short 3/22/23 (118,281) 820
U.S. Ultra-Long Treasury Bond (5) Short 3/22/23 (671,563) 7,137
          $(23,106)
During the fiscal year to date ended December 31, 2022, the Fund used futures contracts to facilitate the periodic rebalancing of its portfolio to maintain its target asset allocation and to make tactical asset allocations.
At December 31, 2022, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
Affiliated Funds
At December 31, 2022, the value of the Fund's investment in affiliated funds, including funds that may be deemed to be affiliated, was $283,040,249, which represents 98.1% of the Fund's net assets. Transactions in such funds by the Fund for the fiscal year to date ended December 31, 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,
end of period
Emerging Markets Advancement Fund, Class I $16,991,994 $ 1,397,284 $  — $ — $  (164,564) $ 18,224,714 $  951,278 $ — 1,865,375
Emerging Markets Equity Fund, Class R6 12,789,649    940,440   —  —  1,191,559  14,921,648   132,054  — 952,243
Equity Fund, Class R6 14,695,851  1,206,444   —  —    984,793  16,887,088    46,209 463,350 215,369
Floating-Rate Advantage Fund, Class R6  4,244,335     85,138    (195,128)    (23,276)     48,063   4,159,132    85,980  — 481,381
Focused Value Fund, Class R6  —  9,778,552   —  —    (19,608)   9,758,944    22,165  — 991,763
High Yield Bond Fund, Class R6  9,602,819    131,813    (223,003)    (28,341)    261,494   9,744,782   133,018  — 424,424
International Equity Fund, Class R6 22,270,204  1,368,305   —  —  2,999,438  26,637,947   308,645 362,775 1,282,520
International Opportunities Fund, Class R6 18,471,177    897,585   —  —  2,939,485  22,308,247   172,826  — 1,455,202
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Calvert
Growth Allocation Fund
December 31, 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,
end of period
International Responsible Index Fund, Class R6 $ 17,038,891 $1,131,636 $  — $  — $ 2,394,657 $ 20,565,184 $  406,876 $ — 841,112
Liquidity Fund, Institutional Class(1)  20,645,053 4,819,879 (11,629,319)   —  —  13,835,613   135,788  — 13,835,613
Mid-Cap Fund, Class I   5,072,974   236,041   —   —    466,270   5,775,285    13,038  — 149,852
Small-Cap Fund, Class R6  10,878,529   187,413    (139,377)     (25,509)    902,000  11,803,056    35,414 151,999 393,698
US Large-Cap Core Responsible Index Fund, Class R6  35,255,100 2,281,976   —   —  1,911,976  39,449,052   497,951  — 1,192,535
US Large-Cap Growth Responsible Index Fund, Class I  15,020,196 1,310,143 (16,412,984)   5,126,915 (5,044,270)   —  —  — —
US Large-Cap Growth Responsible Index Fund, Class R6   — 16,525,914   —   —    373,326  16,899,240   112,929  — 425,566
US Large-Cap Value Responsible Index Fund, Class I  44,611,521  — (49,152,631)   7,682,378 (3,141,268)   —  —  — —
US Large-Cap Value Responsible Index Fund, Class R6   — 39,325,267   —   —     12,745  39,338,012   848,912  — 1,428,395
US Mid-Cap Core Responsible Index Fund, Class I  11,462,431 195,128 (12,298,594) (1,481) 642,516  —  —  — —
US Mid-Cap Core Responsible Index Fund, Class R6   — 12,445,162  —  — 287,143 12,732,305 146,568  — 389,129
Total       $12,730,686 $7,045,755 $283,040,249 $4,049,651 $978,124  
    
(1) Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio.
3

 

Calvert
Growth Allocation Fund
December 31, 2022
Schedule of Investments (Unaudited) — continued
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 December 31, 2022, based on the inputs used to value them:
Asset Description  Level 1  Level 2  Level 3  Total 
Mutual Funds $269,204,636 $ — $ — $269,204,636
U.S. Treasury Obligations  — 5,307,995  — 5,307,995
Short-Term Investments 13,835,613  —  — 13,835,613
Total Investments $283,040,249 $5,307,995 $ — $288,348,244
Futures Contracts $7,957 $ — $ — $7,957
Total $283,048,206 $5,307,995 $ — $288,356,201
Liability Description         
Futures Contracts $(31,063) $ — $ — $(31,063)
Total $(31,063) $ — $ — $(31,063)
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.
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