0001752724-23-197583.txt : 20230829 0001752724-23-197583.hdr.sgml : 20230829 20230829092403 ACCESSION NUMBER: 0001752724-23-197583 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20230630 FILED AS OF DATE: 20230829 DATE AS OF CHANGE: 20230829 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: 231218656 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 2023-06-30 N 322856808.82 565014.81 322291794.01 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 129496.79000000 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 3657287.00000000 PA USD 2561196.59000000 0.794682532289 Long DBT UST US N 2 2050-02-15 Fixed 0.25000000 N N N N N N Calvert Core Bond Fund 549300HEFY2HHDRM0E11 Calvert Core Bond Fund 131582330 797098.59000000 NS USD 12586186.72000000 3.905214763119 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 131618456 298976.63000000 NS USD 10661506.52000000 3.308029158095 Long EC RF US N 1 N N N Calvert International Opportunities Fund 549300125QOYCBC7IB51 Calvert International Opportunities Fund 131649758 1182698.77000000 NS USD 19348951.94000000 6.003550912437 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 1420053.59000000 NS USD 55197483.04000000 17.12655552076 Long EC RF US N 1 N N N Calvert High Yield Bond Fund 549300CCIV46L1T22Z08 Calvert High Yield Bond Fund 131582272 374569.36000000 NS USD 8738703.24000000 2.711425919745 Long EC RF US N 1 N N N Calvert Focused Value Fund 549300Z5XUUT6OW4YT43 Calvert Focused Value Fund 131582132 1949781.15000000 NS USD 20082745.85000000 6.231230897978 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 131618472 392546.32000000 NS USD 19588061.37000000 6.077741268644 Long EC RF US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US ULTRA BOND CBT SEP23 000000000 -5.00000000 NC USD -7707.41000000 -0.00239143848 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CME Ultra Long Term U.S. Treasury Bond Futures WNU3 Comdty 2023-09-20 -673386.34000000 USD -7707.41000000 N N N Calvert Emerging Markets Advancement Fund 549300OOWWGW13TF0P06 Calvert Emerging Markets Advancement Fund 131649717 1988135.58000000 NS USD 20915186.27000000 6.489518709046 Long EC RF US N 1 N N N Calvert Emerging Markets Equity Fund 549300L4S5NY62FOKA38 Calvert Emerging Markets Equity Fund 131649766 780925.40000000 NS USD 12744702.46000000 3.954398683698 Long EC RF US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 5YR NOTE (CBT) SEP23 000000000 15.00000000 NC USD -36674.69000000 -0.01137934340 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year U.S. Treasury Notes FVU3 Comdty 2023-09-29 1643080.94000000 USD -36674.69000000 N N N Calvert US Large Cap Value Responsible Index Fund 5493005WGBW1GHF4CG37 Calvert US Large Cap Value Responsible Index Fund 131618464 1150852.01000000 NS USD 32419501.15000000 10.05905262018 Long EC RF US N 1 N N N Calvert Floating-Rate Advantage Fund 549300GG1YFY0YH1UJ86 Calvert Floating-Rate Advantage Fund 13161X865 499262.30000000 NS USD 4418471.31000000 1.370953710929 Long EC RF US N 1 N N N Calvert Mid-Cap Fund 549300Y1UC9HCBUDKZ85 Calvert Mid-Cap Fund 131649709 117393.24000000 NS USD 4889428.32000000 1.517081232247 Long EC RF US N 1 N N N Morgan Stanley & Co. LLC 549300BI6Y5SI6BYPB26 Morgan Stanley Institutional Liquidity Funds - Government Portfolio 61747C707 9746120.29000000 NS USD 9746120.29000000 3.024005100700 Long STIV RF US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR ULTRA FUT SEP23 000000000 -1.00000000 NC USD 1247.72000000 0.000387139859 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Ultra 10-Year U.S. Treasury Notes Futures UXYU3 Comdty 2023-09-20 -119685.22000000 USD 1247.72000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US LONG BOND(CBT) SEP23 000000000 6.00000000 NC USD -529.84000000 -0.00016439760 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT U.S. Long Bond Futures USU3 Comdty 2023-09-20 761967.34000000 USD -529.84000000 N N N Calvert Small Cap Fund 549300MIJR64EECJ6M85 Calvert Small Cap Fund 13161P672 400387.58000000 NS USD 13044627.49000000 4.047458772591 Long EC RF US N 1 N N N Calvert Equity Fund 5493008KHIQHXPKPLB89 Calvert Equity Fund 131582280 217611.49000000 NS USD 18673241.87000000 5.793893055006 Long EC RF US N 1 N N N Calvert International Responsible Index Fund 5493002R7L7YSTUULM88 Calvert International Responsible Index Fund 13161Y848 839943.49000000 NS USD 23358828.54000000 7.247726741461 Long EC RF US N 1 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Inflation Indexed Bonds 91282CEZ0 3199645.45000000 PA USD 2942613.71000000 0.913027810416 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 1018735.81000000 NS USD 24154226.06000000 7.494520961725 Long EC RF US N 1 N N N Calvert Ultra-Short Duration Income Fund 549300IXKXR5NQT6M528 Calvert Ultra-Short Duration Income Fund 131582314 647395.91000000 NS USD 6318584.08000000 1.960516586967 Long EC RF US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR NOTE (CBT)SEP23 000000000 34.00000000 NC USD -83228.77000000 -0.02582404254 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year U.S. Treasury Notes TYU3 Comdty 2023-09-20 3900260.02000000 USD -83228.77000000 N N N 2023-07-31 CALVERT SOCIAL INVESTMENT FUND James Kirchner James Kirchner Treasurer XXXX NPORT-EX 2 NPORT_D8A4_61509592_0623.htm
Calvert
Growth Allocation Fund
June 30, 2023
Schedule of Investments (Unaudited)
Mutual Funds — 95.4%(1)
    
Security Shares Value
Equity Funds — 85.4%  
Calvert Impact Fund, Inc.:      
Calvert Small-Cap Fund, Class R6     400,388 $ 13,044,628
Calvert Responsible Index Series, Inc.:      
Calvert International Responsible Index Fund, Class R6     839,943  23,358,829
Calvert US Large-Cap Core Responsible Index Fund, Class R6   1,420,054  55,197,483
Calvert US Large-Cap Growth Responsible Index Fund, Class R6   392,546  19,588,061
Calvert US Large-Cap Value Responsible Index Fund, Class R6   1,150,852  32,419,501
Calvert US Mid-Cap Core Responsible Index Fund, Class R6   298,977  10,661,507
Calvert Social Investment Fund:      
Calvert Equity Fund, Class R6   217,611 18,673,242
Calvert Focused Value Fund, Class R6   1,949,781 20,082,746
Calvert World Values Fund, Inc.:      
Calvert Emerging Markets Advancement Fund, Class I   1,988,136 20,915,186
Calvert Emerging Markets Equity Fund, Class R6   780,925 12,744,702
Calvert International Equity Fund, Class R6   1,018,736 24,154,226
Calvert International Opportunities Fund, Class R6   1,182,699 19,348,952
Calvert Mid-Cap Fund, Class I   117,393 4,889,428
      $275,078,491
Income Funds — 10.0%  
Calvert Management Series:      
Calvert Floating-Rate Advantage Fund, Class R6   503,135 $4,452,746
The Calvert Fund:      
Calvert Core Bond Fund, Class I   797,862 12,598,244
Calvert High Yield Bond Fund, Class R6   376,415 8,781,754
Calvert Ultra-Short Duration Income Fund, Class R6   647,571 6,320,293
      $32,153,037
Total Mutual Funds
(identified cost $272,607,899) 		    $307,231,528
    
U.S. Treasury Obligations — 1.7%
    
Security Principal
Amount
(000's omitted) 		Value
U.S. Treasury Inflation-Protected Bond:      
0.25%, 2/15/50(2)(3) $     3,657 $  2,561,196
0.625%, 7/15/32(2)   3,200 2,942,614
Total U.S. Treasury Obligations
(identified cost $6,601,547) 		    $  5,503,810
    
Short-Term Investments — 3.0%
    
Security Shares Value
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.03%(4)   9,746,120 $  9,746,120
Total Short-Term Investments
(identified cost $9,746,120) 		    $  9,746,120
Total Investments — 100.1%
(identified cost $288,955,566) 		    $322,481,458
    
Other Assets, Less Liabilities — (0.1)%     $   (235,524)
Net Assets — 100.0%     $322,245,934
    
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, 2023.
 
Futures Contracts
Description Number of
Contracts 		Position Expiration
Date 		Notional
Amount 		Value/
Unrealized
Appreciation
(Depreciation)
Interest Rate Futures          
U.S. 5-Year Treasury Note 15 Long 9/29/23 $1,606,406 $(36,675)
U.S. 10-Year Treasury Note 34 Long 9/20/23 3,817,031 (83,229)
U.S. Long Treasury Bond 6 Long 9/20/23 761,438 (530)
U.S. Ultra 10-Year Treasury Note (1) Short 9/20/23 (118,437) 1,248
U.S. Ultra-Long Treasury Bond (5) Short 9/20/23 (681,094) (7,707)
          $(126,893)
1

 

Calvert
Growth Allocation Fund
June 30, 2023
Schedule of Investments (Unaudited) — continued
During the fiscal year to date ended June 30, 2023, 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 June 30, 2023, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
Affiliated Investments
At June 30, 2023, the value of the Fund's investment in affiliated funds, including funds that may be deemed to be affiliated, was $316,977,648, which represents 98.4% of the Fund's net assets. Transactions in such investments by the Fund for the fiscal year to date ended June 30, 2023 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
Core Bond Fund, Class I $ — $12,733,527 $  — $ — $  (135,283) $ 12,598,244 $   54,051 $ — 797,862
Emerging Markets Advancement Fund, Class I 16,991,994  2,669,462   —  —  1,253,730  20,915,186   951,278  — 1,988,136
Emerging Markets Equity Fund, Class R6 12,789,649    940,440  (2,833,319)   (801,896)  2,649,828  12,744,702   132,054  — 780,925
Equity Fund, Class R6 14,695,851  1,585,559    (182,618)    (17,267)  2,591,717  18,673,242    46,210 463,349 217,611
Floating-Rate Advantage Fund, Class R6  4,244,335    276,716    (195,128)    (23,276)    150,099   4,452,746   277,558  — 503,135
Focused Value Fund, Class R6  — 19,528,774   —  —    553,972  20,082,746    22,165  — 1,949,781
High Yield Bond Fund, Class R6  9,602,819    383,329  (1,609,988)   (125,834)    531,428   8,781,754   384,533  — 376,415
International Equity Fund, Class R6 22,270,204  1,368,305  (6,027,614)   (645,119)  7,188,450  24,154,226   308,645 362,775 1,018,736
International Opportunities Fund, Class R6 18,471,177    897,586  (4,423,741) (1,024,514)  5,428,444  19,348,952   172,826  — 1,182,699
International Responsible Index Fund, Class R6 17,038,891 1,163,230 (60,873) (7,366) 5,224,947 23,358,829 406,876  — 839,943
Liquidity Fund, Institutional Class(1) 20,645,053 16,385,299 (27,284,232)  —  — 9,746,120 536,234  — 9,746,120
Mid-Cap Fund, Class I  5,072,974 236,041 (1,326,903) (226,149) 1,133,465 4,889,428 13,038  — 117,393
Small-Cap Fund, Class R6 10,878,529 522,213 (265,748) (35,048) 1,944,682 13,044,628 35,414 151,999 400,388
2

 

Calvert
Growth Allocation Fund
June 30, 2023
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
Ultra-Short Duration Income Fund, Class R6 $  — $6,320,293 $  — $  — $ — $  6,320,293 $    1,709 $ — 647,571
US Large-Cap Core Responsible Index Fund, Class R6  35,255,100 10,826,675   —   —  9,115,708  55,197,483   497,951  — 1,420,054
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   — 17,073,768  (2,274,690)     439,570  4,349,413  19,588,061   112,929  — 392,546
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  (7,698,263)      55,952    736,545  32,419,501   848,912  — 1,150,852
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   — 12,658,216  (3,380,442)     280,509  1,103,224  10,661,507   146,567  — 298,977
Total       $ 10,677,374 $36,277,347 $316,977,648 $4,948,950 $978,123  
    
(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.
3

 

Calvert
Growth Allocation Fund
June 30, 2023
Schedule of Investments (Unaudited) — continued
The following table summarizes the market value of the Fund's holdings as of June 30, 2023, based on the inputs used to value them:
Asset Description  Level 1  Level 2  Level 3  Total 
Mutual Funds $307,231,528 $ — $ — $307,231,528
U.S. Treasury Obligations  — 5,503,810  — 5,503,810
Short-Term Investments 9,746,120  —  — 9,746,120
Total Investments $316,977,648 $5,503,810 $ — $322,481,458
Futures Contracts $1,248 $ — $ — $1,248
Total $316,978,896 $5,503,810 $ — $322,482,706
Liability Description         
Futures Contracts $(128,141) $ — $ — $(128,141)
Total $(128,141) $ — $ — $(128,141)
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