N-Q 1 csifnqfiled0214.htm csifnqfiled0214.htm - Generated by SEC Publisher for SEC Filing

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number: 811-03334

 

CALVERT SOCIAL INVESTMENT FUND

(Exact name of registrant as specified in charter)

 

4550 Montgomery Avenue
Suite 1000N

Bethesda, Maryland 20814
(Address of Principal Executive Offices)

 

William M. Tartikoff, Esq.
4550 Montgomery Avenue
Suite 1000N
Bethesda, Maryland 20814
(Name and Address of Agent for Service)

 

Registrant's telephone number, including area code: (301) 951-4800

 

Date of fiscal year end: September 30

 

Date of reporting period: First quarter ended December 31, 2013

 


 

 

Item 1. Schedule of Investments.

 

CALVERT SOCIAL INVESTMENT FUND BALANCED PORTFOLIO

 

 

SCHEDULE OF INVESTMENTS

 

 

DECEMBER 31, 2013

 

 

 

 

 

 

 

 

EQUITY SECURITIES - 60.0%

SHARES

VALUE

Aerospace & Defense - 0.4%

 

 

B/E Aerospace, Inc.*

30,130

$2,622,214

 

 

 

Air Freight & Logistics - 2.5%

 

 

FedEx Corp.

83,990

12,075,242

United Parcel Service, Inc., Class B

24,725

2,598,103

 

 

14,673,345

 

 

 

Automobiles - 1.0%

 

 

Toyota Motor Corp. (ADR)

46,507

5,670,133

 

 

 

Beverages - 0.4%

 

 

PepsiCo, Inc.

30,486

2,528,509

 

 

 

Biotechnology - 1.7%

 

 

Amgen, Inc.

89,998

10,274,172

 

 

 

Capital Markets - 1.7%

 

 

Credit Suisse Group AG (ADR)*

258,347

8,019,091

Franklin Resources, Inc.

33,385

1,927,316

 

 

9,946,407

 

 

 

Commercial Banks - 2.2%

 

 

Wells Fargo & Co.

291,228

13,221,751

 

 

 

Communications Equipment - 2.0%

 

 

Cisco Systems, Inc.

419,437

9,416,361

QUALCOMM, Inc.

30,455

2,261,284

 

 

11,677,645

 

 

 

Computers & Peripherals - 4.2%

 

 

Apple, Inc.

33,671

18,893,135

EMC Corp.

91,842

2,309,826

Western Digital Corp.

47,843

4,014,028

 

 

25,216,989

 

 

 

Consumer Finance - 1.8%

 

 

American Express Co.

22,196

2,013,843

Capital One Financial Corp.

117,909

9,033,009

 

 

11,046,852

 

 

 

Diversified Financial Services - 1.4%

 

 

JPMorgan Chase & Co.

23,449

1,371,298

Moody's Corp.

88,979

6,982,182

 

 

8,353,480

 

 

 

Diversified Telecommunication Services - 1.1%

 

 

AT&T, Inc.

50,245

1,766,614

BT Group plc (ADR)

76,925

4,856,275

 

 

6,622,889

 

 

 

Electronic Equipment & Instruments - 0.2%

 

 

Jabil Circuit, Inc.

78,402

1,367,331

 

 

 

Energy Equipment & Services - 1.4%

 

 

Dresser-Rand Group, Inc.*

18,389

1,096,536

Exterran Holdings, Inc.*

205,776

7,037,539

Newpark Resources, Inc.*

32,645

401,207

 

 

8,535,282

 

 

 

Food & Staples Retailing - 2.0%

 

 

Costco Wholesale Corp.

14,496

1,725,169

CVS Caremark Corp.

143,205

10,249,182

 

 

11,974,351

 

 

 

Food Products - 1.5%

 

 

General Mills, Inc.

102,693

5,125,407

McCormick & Co., Inc.

26,627

1,835,133

The Hershey Co.

19,165

1,863,413

 

 

8,823,953

 

 

 

Health Care Equipment & Supplies - 3.1%

 

 

Becton Dickinson & Co.

12,114

1,338,476

DENTSPLY International, Inc.

35,612

1,726,470

Medtronic, Inc.

140,258

8,049,406

St. Jude Medical, Inc.

94,778

5,871,497

The Cooper Co.'s, Inc.

10,462

1,295,614

 

 

18,281,463

 

 

 

Health Care Providers & Services - 2.2%

 

 

Express Scripts Holding Co.*

29,399

2,064,986

HCA Holdings, Inc.*

56,455

2,693,468

McKesson Corp.

38,948

6,286,207

Mednax, Inc.*

26,078

1,392,044

Quest Diagnostics, Inc.

17,145

917,943

 

 

13,354,648

 

 

 

Household Products - 1.7%

 

 

Kimberly-Clark Corp.

78,403

8,189,978

Procter & Gamble Co.

26,335

2,143,932

 

 

10,333,910

 

 

 

Industrial Conglomerates - 1.5%

 

 

Danaher Corp.

115,442

8,912,122

 

 

 

Insurance - 3.0%

 

 

Aflac, Inc.

62,320

4,162,976

Allianz SE (ADR)

70,942

1,286,179

American Financial Group, Inc.

126,610

7,307,929

The Travelers Co.'s, Inc.

59,934

5,426,424

 

 

18,183,508

 

 

 

Internet Software & Services - 0.9%

 

 

Akamai Technologies, Inc.*

47,135

2,223,829

Google, Inc.*

2,986

3,346,440

 

 

5,570,269

 

 

 

IT Services - 2.8%

 

 

DST Systems, Inc.

84,050

7,626,697

International Business Machines Corp.

5,375

1,008,189

Teradata Corp.*

31,690

1,441,578

Visa, Inc.

9,054

2,016,145

Western Union Co.

261,093

4,503,854

 

 

16,596,463

 

 

 

Machinery - 2.2%

 

 

Cummins, Inc.

36,760

5,182,057

Dover Corp.

85,570

8,260,928

 

 

13,442,985

 

 

 

Media - 5.7%

 

 

DIRECTV*

130,022

8,983,220

Omnicom Group, Inc.

76,593

5,696,221

Time Warner Cable, Inc.

49,225

6,669,988

Time Warner, Inc.

98,796

6,888,057

Viacom, Inc., Class B

66,360

5,795,882

 

 

34,033,368

 

 

 

Multiline Retail - 1.7%

 

 

Target Corp.

161,837

10,239,427

 

 

 

Oil, Gas & Consumable Fuels - 1.1%

 

 

Denbury Resources, Inc.*

405,964

6,669,989

 

 

 

Pharmaceuticals - 3.0%

 

 

Johnson & Johnson

124,400

11,393,796

Roche Holding AG (ADR)

90,604

6,360,401

 

 

17,754,197

 

 

 

Professional Services - 0.6%

 

 

Manpowergroup, Inc.

40,103

3,443,244

 

 

 

Semiconductors & Semiconductor Equipment - 0.3%

 

 

Intel Corp.

63,410

1,646,124

 

 

 

Software - 2.0%

 

 

CA, Inc.

171,201

5,760,914

Citrix Systems, Inc.*

23,584

1,491,688

Microsoft Corp.

87,443

3,272,991

Symantec Corp.

54,475

1,284,520

 

 

11,810,113

 

 

 

Specialty Retail - 0.6%

 

 

The Home Depot, Inc.

43,802

3,606,657

 

 

 

Textiles, Apparel & Luxury Goods - 0.6%

 

 

Nike, Inc., Class B

45,664

3,591,017

 

 

 

Venture Capital - 1.0%

 

 

Agraquest, Inc., Contingent Deferred Distribution (b)(i)*

1

206,546

BiddingForGood, Inc. (b)(i)*

14,049

CFBanc Corp. (b)(i)*

27,000

249,821

Community Bank of the Bay *

4,000

17,000

Consensus Orthopedics, Inc.:

 

 

Common Stock (b)(i)*

180,877

Series A-1, Preferred (b)(i)*

420,683

Series B, Preferred (b)(i)*

348,940

161,772

Series C, Preferred (b)(i)*

601,710

209,320

Environmental Private Equity Fund II, Liquidating Trust LP (b)(i)*

200,000

421

Kickboard:

 

 

Common (a)(b)(i)*

169,932

33,568

Series A, Preferred (a)(b)(i)*

1,155,503

285,328

LearnZillion, Inc.:

 

 

Series A, Preferred (b)(i)*

169,492

210,170

Series A-1, Preferred (b)(i)*

108,678

134,761

Lumni, Inc., Series B, Preferred (b)(i)*

17,265

116,366

MACH Energy:

 

 

Common (b)(i)*

20,536

344

Series A, Preferred (b)(i)*

27,977

5,630

Series B, Preferred (b)(i)*

26,575

7,308

Mobius Technologies, Inc.:

 

 

Common (b)(i)*

12,560

Series A-1, Preferred (b)(i)*

6,943

Series A-4, Preferred (b)(i)*

2,716

Neighborhood Bancorp (b)(i)*

10,000

Seventh Generation, Inc. (b)(i)*

200,295

4,375,020

Wild Planet Entertainment, Inc.:

 

 

Series B, Preferred (b)(i)*

476,190

29,398

Series E, Preferred (b)(i)*

129,089

7,969

Wind Harvest Co., Inc. (b)(i)*

8,696

 

 

6,050,742

 

 

 

Wireless Telecommunication Services - 0.5%

 

 

Rogers Communications, Inc., Class B

66,664

3,016,546

 

 

 

 

 

 

Total Equity Securities (Cost $301,976,234)

 

359,092,095

 

 

 

VENTURE CAPITAL LIMITED PARTNERSHIP INTEREST - 0.3%

ADJUSTED BASIS

 

Coastal Venture Partners (b)(i)*

$57,944

60,963

Commons Capital (b)(i)*

335,000

151,624

First Analysis Private Equity Fund IV (b)(i)*

225,317

753,606

GEEMF Partners (b)(i)*

-

112,182

Global Environment Emerging Markets Fund (a)(b)(i)*

-

417,803

Infrastructure and Environmental Private Equity Fund III (b)(i)*

55,896

104,516

Labrador Ventures III (b)(i)*

360,875

42,492

Labrador Ventures IV (b)(i)*

900,510

29,147

New Markets Growth Fund LLC (b)(i)*

225,646

Solstice Capital (b)(i)*

47,463

7,034

 

 

 

Total Venture Capital Limited Partnership Interest (Cost $2,208,651)

 

1,679,367

 

 

 

VENTURE CAPITAL DEBT OBLIGATIONS - 0.2%

PRINCIPAL AMOUNT

 

Rose Smart Growth Investment Fund I LP, 6.545%, 4/1/21 (b)(i)

$1,000,000

1,057,384

 

 

 

Total Venture Capital Debt Obligations (Cost $1,000,000)

 

1,057,384

 

 

 

ASSET-BACKED SECURITIES - 1.7%

 

 

American Credit Acceptance Receivables Trust:

 

 

1.64%, 11/15/16 (e)

231,343

231,789

2.84%, 5/15/19 (e)

545,000

546,132

Avis Budget Rental Car Funding AESOP LLC, 1.92%, 9/20/19 (e)

1,260,000

1,235,943

California Republic Auto Receivables Trust, 1.18%, 8/15/17 (e)

409,946

409,424

Carfinance Capital Auto Trust, 3.15%, 8/15/19 (e)

750,000

748,719

CKE Restaurant Holdings, Inc., 4.474%, 3/20/43 (e)

326,288

325,917

CV Mortgage Loan Trust, 4.311%, 12/25/43 (e)(r)

400,000

400,078

Exeter Automobile Receivables Trust, 1.49%, 11/15/17 (e)

883,001

886,188

Flagship Rail Services LLC:

 

 

3.96%, 4/15/43 (e)

1,250,000

1,221,085

Invitation Homes Trust:

 

 

1.314%, 12/17/30 (e)(r)

300,000

300,392

1.514%, 12/17/30 (e)(r)

100,000

100,131

2.014%, 12/17/30 (e)(r)

200,000

200,323

Monty Parent Issuer, 3.47%, 10/20/15

356,709

356,378

MVW Owner Trust, 2.15%, 4/22/30 (e)

426,857

428,217

Santander Consumer Acquired Receivables Trust, 1.66%, 8/15/16 (e)

500,725

501,208

Santander Drive Auto Receivables Trust, 1.94%, 3/15/18

375,000

378,006

Sierra Timeshare Receivables Funding LLC, 2.70%, 10/20/30 (e)

509,558

507,698

SolarCity LMC Series I LLC, 4.80%, 11/20/38 (e)

973,158

955,311

SVO VOI Mortgage Corp., 2.00%, 9/20/29 (e)

678,966

676,997

 

 

 

Total Asset-Backed Securities (Cost $10,452,627)

 

10,409,936

 

 

 

COLLATERALIZED MORTGAGE-BACKED OBLIGATIONS (PRIVATELY ORIGINATED) - 0.3%

 

 

Fannie Mae Connecticut Avenue Securities:

 

 

2.165%, 10/25/23 (r)

487,587

489,813

5.415%, 10/25/23 (r)

570,000

603,419

Springleaf Mortgage Loan Trust, 1.57%, 12/25/59 (e)(r)

358,965

357,552

Structured Agency Credit Risk Debt Notes, 1.618%, 11/25/23 (r)

389,821

388,924

 

 

 

Total Collateralized Mortgage-Backed Obligations (Privately Originated) (Cost $1,845,744)

 

1,839,708

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES - 1.9%

 

 

Aventura Mall Trust:

 

 

Series 2013 - AVM Class A, 3.743%, 12/5/32 (e)(r)

400,000

410,152

Series 2013 - AVM Class C, 3.743%, 12/5/32 (e)(r)

200,000

197,351

BAMLL Commercial Mortgage Securities Trust, 1.317%, 8/15/29 (e)(r)

1,000,000

1,000,640

BWAY Mortgage Trust, 2.809%, 3/10/33 (e)

985,000

940,358

Commercial Mortgage Pass Through Certificates:

 

 

3.25%, 11/27/28 (e)(r)

353,069

352,916

3.424%, 3/10/31 (e)

380,000

361,313

Extended Stay America Trust:

 

 

2.958%, 12/5/31 (e)

485,000

470,642

3.604%, 12/5/31 (e)

820,000

800,553

GS Mortgage Securities Corp. II, 3.007%, 12/10/30 (e)

750,000

674,577

Hilton USA Trust:

 

 

3.714%, 11/5/30 (e)

1,000,000

998,576

4.407%, 11/5/30 (e)

300,000

300,245

JP Morgan Chase Commercial Mortgage Securities Trust:

 

 

0.947%, 4/15/30 (e)(r)

1,330,000

1,323,907

1.317%, 4/15/30 (e)(r)

550,000

548,083

1.567%, 10/15/30 (e)(r)

500,000

500,951

Madison Avenue Trust, 3.843%, 10/12/32 (e)

1,000,000

1,028,991

Motel 6 Trust, 2.743%, 10/5/25 (e)

950,000

942,240

ORES NPL LLC, 3.081%, 9/25/25 (e)

349,460

349,482

 

 

 

Total Commercial Mortgage-Backed Securities (Cost $11,459,828)

 

11,200,977

 

 

 

CORPORATE BONDS - 23.2%

 

 

Agilent Technologies, Inc., 3.20%, 10/1/22

600,000

549,171

Alliance Mortgage Investments, Inc., 12.61%, 6/1/10 (b)(r)(x)*

385,345

Altera Corp.:

 

 

1.75%, 5/15/17

500,000

492,314

2.50%, 11/15/18

500,000

495,768

Amazon.com, Inc.:

 

 

1.20%, 11/29/17

600,000

587,456

2.50%, 11/29/22

1,200,000

1,081,711

America Movil SAB de CV:

 

 

2.375%, 9/8/16

350,000

360,210

1.244%, 9/12/16 (r)

1,000,000

1,010,374

American Express Centurion Bank, 0.689%, 11/13/15 (r)

2,400,000

2,410,843

American Honda Finance Corp., 1.60%, 2/16/18 (e)

500,000

492,396

American Tower Corp., 3.40%, 2/15/19

500,000

509,027

Amgen, Inc.:

 

 

2.50%, 11/15/16

150,000

155,243

5.15%, 11/15/41

800,000

797,029

Apple, Inc.:

 

 

2.40%, 5/3/23

600,000

539,527

3.85%, 5/4/43

600,000

501,255

AT&T, Inc.:

 

 

2.95%, 5/15/16

500,000

521,374

1.60%, 2/15/17

500,000

499,300

1.40%, 12/1/17

300,000

295,754

3.00%, 2/15/22

1,000,000

942,154

Autodesk, Inc., 1.95%, 12/15/17

600,000

593,542

Bank of America Corp.:

 

 

0.571%, 8/15/16 (r)

600,000

589,686

2.00%, 1/11/18

1,200,000

1,197,871

1.281%, 1/15/19 (r)

300,000

302,345

3.30%, 1/11/23

2,300,000

2,176,414

4.10%, 7/24/23

200,000

200,849

Bank of America NA:

 

 

5.30%, 3/15/17

1,200,000

1,322,666

0.543%, 6/15/17 (r)

1,500,000

1,471,683

Bank of New York Mellon Corp.:

 

 

1.70%, 11/24/14

300,000

303,244

2.40%, 1/17/17

400,000

409,373

Bank of Nova Scotia, 1.85%, 1/12/15

450,000

456,817

BB&T Corp., 1.60%, 8/15/17

600,000

594,644

Becton Dickinson and Co., 3.125%, 11/8/21

250,000

242,341

Boston Properties LP:

 

 

3.70%, 11/15/18

250,000

263,719

3.85%, 2/1/23

1,000,000

977,048

Canadian National Railway Co., 1.45%, 12/15/16

150,000

151,064

Capital One Bank, 3.375%, 2/15/23

1,200,000

1,115,616

Capital One Financial Corp., 2.15%, 3/23/15

300,000

304,974

CBS Corp., 3.375%, 3/1/22

1,000,000

954,405

CC Holdings GS V LLC / Crown Castle GS III Corp., 2.381%, 12/15/17

600,000

594,289

CenturyLink, Inc.:

 

 

5.80%, 3/15/22

750,000

740,625

7.65%, 3/15/42

1,000,000

892,500

CIT Group, Inc.:

 

 

5.25%, 3/15/18

375,000

402,188

5.00%, 8/1/23

700,000

673,750

Citigroup, Inc.:

 

 

4.45%, 1/10/17

1,000,000

1,083,799

2.50%, 9/26/18

500,000

502,524

3.50%, 5/15/23

900,000

838,612

3.875%, 10/25/23

600,000

589,835

5.50%, 9/13/25

400,000

421,296

Colgate-Palmolive Co., 1.30%, 1/15/17

250,000

249,510

Consolidated Edison Company of New York, Inc., 4.45%, 6/15/20

300,000

324,314

Corning, Inc., 1.45%, 11/15/17

500,000

492,822

Costco Wholesale Corp., 1.70%, 12/15/19

600,000

577,936

COX Communications, Inc., 4.70%, 12/15/42 (e)

600,000

503,896

Crown Castle Towers LLC, 4.883%, 8/15/40 (e)

1,300,000

1,363,861

Cummins, Inc.:

 

 

3.65%, 10/1/23

500,000

493,283

4.875%, 10/1/43

500,000

500,743

CVS Pass-Through Trust, 6.036%, 12/10/28

1,051,215

1,156,457

DDR Corp., 4.75%, 4/15/18

500,000

539,369

Deere & Co., 2.60%, 6/8/22

500,000

467,533

Discover Financial Services, 3.85%, 11/21/22

750,000

711,128

Discovery Communications LLC:

 

 

3.30%, 5/15/22

1,000,000

946,798

4.875%, 4/1/43

900,000

830,241

Dr Pepper Snapple Group, Inc., 3.20%, 11/15/21

200,000

192,881

Dun & Bradstreet Corp., 3.25%, 12/1/17

600,000

606,457

Eaton Corp.:

 

 

1.50%, 11/2/17

500,000

490,166

2.75%, 11/2/22

600,000

559,715

eBay, Inc., 2.60%, 7/15/22

500,000

459,864

Ecolab, Inc., 4.35%, 12/8/21

750,000

777,699

Enterprise Products Operating LLC:

 

 

4.85%, 8/15/42

200,000

188,353

4.85%, 3/15/44

300,000

282,120

7.034% to 1/15/18, floating rate thereafter to 1/15/68 (r)

1,250,000

1,381,250

EOG Resources, Inc., 2.625%, 3/15/23

600,000

545,861

ERP Operating LP, 4.625%, 12/15/21

300,000

316,277

Excalibur One 77B LLC, 1.492%, 1/1/25

210,793

198,770

Experian Finance plc, 2.375%, 6/15/17 (e)

600,000

590,930

Express Scripts Holding Co., 2.75%, 11/21/14

200,000

203,857

FedEx Corp.:

 

 

2.625%, 8/1/22

600,000

542,387

3.875%, 8/1/42

300,000

246,388

Fidelity National Information Services, Inc., 2.00%, 4/15/18

600,000

583,438

Ford Motor Credit Co. LLC:

 

 

2.75%, 5/15/15

600,000

615,505

4.207%, 4/15/16

750,000

799,153

3.984%, 6/15/16

1,100,000

1,169,739

4.25%, 2/3/17

200,000

215,154

5.875%, 8/2/21

700,000

793,596

General Mills, Inc., 3.15%, 12/15/21

1,500,000

1,468,335

Genworth Holdings, Inc., 4.80%, 2/15/24

1,600,000

1,580,414

Gilead Sciences, Inc., 4.40%, 12/1/21

550,000

587,372

GlaxoSmithKline Capital, Inc., 2.80%, 3/18/23

600,000

555,686

Goldman Sachs Group, Inc.:

 

 

3.625%, 2/7/16

700,000

734,636

6.15%, 4/1/18

875,000

1,003,342

5.75%, 1/24/22

1,500,000

1,688,532

3.625%, 1/22/23

1,100,000

1,065,188

Great River Energy, 5.829%, 7/1/17 (e)

178,552

189,383

Harley-Davidson Financial Services, Inc., 2.70%, 3/15/17 (e)

500,000

512,572

HCP, Inc., 3.15%, 8/1/22

600,000

550,690

Health Care REIT, Inc., 3.75%, 3/15/23

600,000

563,965

Hershey Co., 1.50%, 11/1/16

150,000

151,312

Hewlett-Packard Co., 0.638%, 5/30/14 (r)

500,000

500,108

Home Depot, Inc.:

 

 

2.70%, 4/1/23

600,000

553,110

4.20%, 4/1/43

600,000

546,779

Hospitality Properties Trust, 7.875%, 8/15/14

600,000

604,870

Host Hotels & Resorts LP, 3.75%, 10/15/23

500,000

463,590

Howard Hughes Medical Institute, 3.50%, 9/1/23

750,000

737,520

HSBC Holdings plc, 4.00%, 3/30/22

500,000

513,924

Illinois Tool Works, Inc., 3.90%, 9/1/42

300,000

256,728

Ingredion, Inc.:

 

 

1.80%, 9/25/17

600,000

584,794

4.625%, 11/1/20

600,000

625,615

Intel Corp., 4.80%, 10/1/41

400,000

390,094

International Business Machines Corp., 2.90%, 11/1/21

500,000

481,070

International Finance Corp., 0.625%, 11/15/16

300,000

298,107

John Deere Capital Corp.:

 

 

1.25%, 12/2/14

300,000

302,650

2.00%, 1/13/17

250,000

254,236

JPMorgan Chase & Co.:

 

 

1.138%, 1/25/18 (r)

1,000,000

1,009,992

3.20%, 1/25/23

3,800,000

3,602,499

Kansas City Southern de Mexico SA de CV, 8.00%, 2/1/18

650,000

682,500

Kellogg Co., 3.125%, 5/17/22

2,000,000

1,896,212

Kimberly-Clark Corp., 3.70%, 6/1/43

500,000

419,691

Kinder Morgan Energy Partners LP, 3.50%, 9/1/23

500,000

459,092

Laboratory Corporation of America Holdings:

 

 

2.20%, 8/23/17

600,000

601,956

2.50%, 11/1/18

300,000

295,875

Liberty Mutual Group, Inc.:

 

 

5.75%, 3/15/14 (e)

1,000,000

1,009,978

6.50%, 5/1/42 (e)

750,000

823,089

Life Technologies Corp., 6.00%, 3/1/20

500,000

574,510

LL & P Wind Energy, Inc. Washington Revenue Bonds, 6.192%, 12/1/27 (e)

1,600,000

1,487,344

Lowe's Co.'s, Inc., 3.875%, 9/15/23

500,000

502,719

LULWA Ltd., 1.888%, 2/15/25

1,019,590

972,227

Macquarie Group Ltd., 3.00%, 12/3/18 (e)

350,000

348,591

Masco Corp., 5.85%, 3/15/17

600,000

658,500

Mattel, Inc.:

 

 

1.70%, 3/15/18

400,000

390,814

3.15%, 3/15/23

500,000

460,772

McDonald's Corp., 3.625%, 5/1/43

600,000

499,973

Memorial Sloan-Kettering Cancer Center, 4.125%, 7/1/52

600,000

493,589

Methanex Corp.:

 

 

3.25%, 12/15/19

600,000

595,497

5.25%, 3/1/22

1,000,000

1,058,693

Microsoft Corp.:

 

 

2.125%, 11/15/22

500,000

451,695

3.50%, 11/15/42

500,000

412,942

Morgan Stanley:

 

 

6.25%, 8/28/17

900,000

1,029,806

5.50%, 1/26/20

1,200,000

1,347,086

5.00%, 11/24/25

900,000

902,691

Nationwide Health Properties, Inc., 6.90%, 10/1/37

1,000,000

1,137,235

NetApp, Inc., 3.25%, 12/15/22

550,000

495,425

New York Life Global Funding, 1.65%, 5/15/17 (e)

200,000

200,220

NII Capital Corp.:

 

 

10.00%, 8/15/16

600,000

318,000

7.625%, 4/1/21

700,000

287,000

NII International Telecom SCA, 11.375%, 8/15/19 (e)

600,000

501,000

NIKE, Inc.:

 

 

2.25%, 5/1/23

600,000

536,477

3.625%, 5/1/43

600,000

503,342

Nissan Motor Acceptance Corp.:

 

 

1.95%, 9/12/17 (e)

150,000

148,854

2.65%, 9/26/18 (e)

500,000

500,296

Nordstrom, Inc., 4.00%, 10/15/21

300,000

311,149

North American Development Bank:

 

 

2.30%, 10/10/18

900,000

886,221

2.40%, 10/26/22

600,000

532,482

NYU Hospitals Center, 4.428%, 7/1/42

500,000

417,362

Penske Truck Leasing Co. LP / PTL Finance Corp., 2.875%, 7/17/18 (e)

300,000

301,765

Pentair Finance SA:

 

 

1.35%, 12/1/15

600,000

603,693

1.875%, 9/15/17

600,000

592,760

PepsiCo, Inc.:

 

 

2.75%, 3/5/22

300,000

285,029

2.75%, 3/1/23

400,000

370,225

Perrigo Co. plc, 5.30%, 11/15/43 (e)

300,000

294,464

Pioneer Natural Resources Co., 5.875%, 7/15/16

1,645,000

1,824,777

PNC Bank NA, 2.70%, 11/1/22

1,000,000

906,467

ProLogis LP, 6.875%, 3/15/20

253,000

297,986

QVC, Inc., 7.375%, 10/15/20 (e)

500,000

539,045

Qwest Corp., 7.50%, 10/1/14

395,000

414,607

Reliance Steel & Aluminum Co., 4.50%, 4/15/23

500,000

490,460

Rogers Communications, Inc., 3.00%, 3/15/23

600,000

553,485

Royal Bank of Scotland Group plc:

 

 

6.10%, 6/10/23

200,000

201,619

6.00%, 12/19/23

200,000

201,424

Sanofi SA, 1.25%, 4/10/18

600,000

584,168

SBA Tower Trust, 3.722%, 4/15/48 (e)

1,100,000

1,019,975

Simon Property Group LP, 6.125%, 5/30/18

500,000

578,907

Spencer Spirit Holdings, Inc.:

 

 

11.00%, 5/1/17 (e)

900,000

965,250

9.00%, 5/1/18 (e)

1,000,000

1,017,500

St. Jude Medical, Inc.:

 

 

2.50%, 1/15/16

1,000,000

1,025,739

3.25%, 4/15/23

500,000

466,492

Standard Chartered plc, 3.95%, 1/11/23 (e)

600,000

556,513

Stanley Black & Decker, Inc., 2.90%, 11/1/22

600,000

557,417

State Street Corp., 3.10%, 5/15/23

300,000

278,942

SunTrust Bank:

 

 

0.528%, 8/24/15 (r)

500,000

495,874

7.25%, 3/15/18

500,000

588,293

SunTrust Banks, Inc., 2.35%, 11/1/18

500,000

497,351

Tagua Leasing LLC, 1.581%, 11/16/24

924,220

870,521

Telefonica Emisiones SAU:

 

 

3.992%, 2/16/16

600,000

630,239

3.192%, 4/27/18

600,000

611,050

Texas Instruments, Inc., 1.65%, 8/3/19

600,000

577,952

The Hertz Corp., 7.50%, 10/15/18

600,000

647,250

Thermo Fisher Scientific, Inc., 5.30%, 2/1/44

300,000

303,352

Thomson Reuters Corp.:

 

 

4.30%, 11/23/23

300,000

301,290

5.65%, 11/23/43

300,000

305,440

Time Warner Cable, Inc., 5.50%, 9/1/41

400,000

331,446

Time Warner, Inc.:

 

 

4.00%, 1/15/22

350,000

354,422

3.40%, 6/15/22

1,100,000

1,073,432

5.375%, 10/15/41

500,000

505,752

4.90%, 6/15/42

500,000

474,646

TJX Co.'s, Inc., 2.50%, 5/15/23

600,000

543,172

Toronto-Dominion Bank, 2.375%, 10/19/16

400,000

415,291

Toyota Motor Credit Corp., 2.05%, 1/12/17

400,000

408,797

United Parcel Service, Inc., 2.45%, 10/1/22

500,000

459,457

US Bancorp, 2.95%, 7/15/22

500,000

464,563

US Bank, 3.778% to 4/29/15, floating rate thereafter to 4/29/20 (r)

1,500,000

1,552,290

Ventas Realty LP / Ventas Capital Corp.:

 

 

4.00%, 4/30/19

1,000,000

1,050,786

3.25%, 8/15/22

600,000

555,890

Viacom, Inc., 3.125%, 6/15/22

1,600,000

1,478,066

Volkswagen International Finance NV, 0.858%, 4/1/14 (e)(r)

1,500,000

1,501,440

Wachovia Bank NA, 0.573%, 3/15/16 (r)

500,000

497,594

Wachovia Capital Trust III, 5.57%, 12/31/49 (r)

750,000

686,250

Walgreen Co., 1.80%, 9/15/17

600,000

604,157

Weingarten Realty Investors, 4.45%, 1/15/24

600,000

587,687

Western Union Co., 2.875%, 12/10/17

300,000

304,571

Whirlpool Corp., 3.70%, 3/1/23

400,000

382,384

Willis Group Holdings plc, 4.125%, 3/15/16

1,000,000

1,046,934

Wisconsin Public Service Corp., 3.671%, 12/1/42

600,000

511,782

Yara International ASA, 7.875%, 6/11/19 (e)

500,000

603,722

Zoetis, Inc., 3.25%, 2/1/23

600,000

561,403

 

 

 

Total Corporate Bonds (Cost $141,961,852)

 

138,767,349

 

 

 

FLOATING RATE LOANS(d)- 0.2%

 

 

BJ's Wholesale Club, Inc., 4.50%, 9/26/19 (r)

496,250

498,908

Dunkin' Brands, Inc., 3.75%, 2/14/20 (r)

593,510

595,205

SUPERVALU, Inc., 5.00%, 3/21/19 (r)

296,922

299,582

 

 

 

Total Floating Rate Loans (Cost $1,382,897)

 

1,393,695

 

 

 

MUNICIPAL OBLIGATIONS - 0.6%

 

 

Connecticut Special Tax Obligation Revenue Bonds, 5.459%, 11/1/30

400,000

415,084

New York City GO Bonds, 5.206%, 10/1/31

1,275,000

1,328,512

New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, 5.767%, 8/1/36

1,000,000

1,134,270

New York State Dormitory Authority Revenue Bonds, 5.289%, 3/15/33

500,000

530,430

Utah GO Bonds, 3.539%, 7/1/25

600,000

586,446

 

 

 

Total Municipal Obligations (Cost $4,389,024)

 

3,994,742

 

 

 

HIGH SOCIAL IMPACT INVESTMENTS - 0.7%

 

 

Calvert Social Investment Foundation Notes, 0.50%, 7/1/14 (b)(i)(r)

4,266,666

4,203,861

 

 

 

Total High Social Impact Investments (Cost $4,266,666)

 

4,203,861

 

 

 

U.S. TREASURY OBLIGATIONS - 2.1%

 

 

United States Treasury Bonds, 3.625%, 8/15/43

1,830,000

1,728,206

United States Treasury Notes:

 

 

0.625%, 12/15/16

170,000

169,310

2.375%, 12/31/20

7,275,000

7,246,584

2.75%, 11/15/23

3,450,000

3,375,069

 

 

 

Total U.S. Treasury Obligations (Cost $12,601,818)

 

12,519,169

 

 

 

SOVEREIGN GOVERNMENT BONDS - 0.4%

 

 

Kommunalbanken AS, 0.75%, 11/21/16 (e)

100,000

99,028

Province of Ontario Canada:

 

 

1.65%, 9/27/19

600,000

575,880

2.45%, 6/29/22

1,440,000

1,331,669

Province of Quebec Canada, 2.625%, 2/13/23

380,000

349,047

 

 

 

Total Sovereign Government Bonds (Cost $2,512,110)

 

2,355,624

 

 

 

TIME DEPOSIT - 8.1%

 

 

State Street Bank Time Deposit, 0.083%, 1/2/14

48,451,667

48,451,667

 

 

 

Total Time Deposit (Cost $48,451,667)

 

48,451,667

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (Cost $544,509,118) - 99.7%

 

596,965,574

Other assets and liabilities, net - 0.3%

 

1,837,417

NET ASSETS - 100%

 

$598,802,991

 


 

 

 

FUTURES

NUMBER OF CONTRACTS

EXPIRATION DATE

UNDERLYING FACE AMOUNT AT VALUE

UNREALIZED APPRECIATION (DEPRECIATION)

Purchased:

 

 

 

 

Ultra U.S. Treasury Bonds

25

3/14

$3,406,250

($15,656)

 

 

 

 

 

Sold:

 

 

 

 

2 Year U.S. Treasury Notes

74

3/14

16,266,125

12,142

5 Year U.S. Treasury Notes

30

3/14

3,579,375

43,806

10 Year U.S. Treasury Notes

20

3/14

2,460,938

46,225

Total Sold

 

 

 

$102,173

 

(a) Affiliated company.

 

(b) This security was valued under the direction of the Board of Trustees. See Note A.

 

(d) 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 period end. 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.

 

(e) 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.

 

(i) Restricted securities represent 2.2% of the net assets.

 

(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

 

(x) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest.

 

* Non-income producing security.

 

Abbreviations:

ADR: American Depositary Receipts

GO: General Obligation

LLC: Limited Liability Corporation

LP: Limited Partnership

plc: Public Limited Company

REIT: Real Estate Investment Trust

 

Restricted Securities

ACQUISITION DATES

COST

Agraquest, Inc., Contingent Deferred Distribution

8/14/12

$—

BiddingForGood, Inc., Common

6/30/03

9,141

Calvert Social Investment Foundation Notes, 0.50%, 7/1/14

7/1/10

4,266,666

CFBanc Corp.

3/14/03

270,000

Coastal Venture Partners LP

6/7/96 - 6/22/00

57,944

Commons Capital LP

2/15/01 - 12/27/11

335,000

Consensus Orthopedics, Inc.:

 

 

Common Stock

2/10/06

504,331

Series A-1, Preferred

8/19/05

4,331

Series B, Preferred

2/10/06

139,576

Series C, Preferred

2/10/06

120,342

Environmental Private Equity Fund II, Liquidating Trust LP

4/26/07

First Analysis Private Equity Fund IV LP

2/25/02 - 7/6/11

225,317

GEEMF Partners LP

2/28/97

Global Environment Emerging Markets Fund LP

1/14/94 - 12/1/95

Infrastructure and Environmental Private Equity Fund III LP

4/16/97 - 2/12/01

55,896

Kickboard:

 

 

Common

5/23/13

Series A, Preferred

2/12/13

285,329

Labrador Ventures III LP

8/11/98 - 4/2/01

360,875

Labrador Ventures IV LP

12/14/99 - 8/27/07

900,510

LearnZillion, Inc.:

 

 

Series A, Preferred

3/27/12

100,000

Series A-1, Preferred

4/23/13

134,761

Lumni, Inc., Series B, Preferred

8/8/13

116,367

MACH Energy:

 

 

Common

10/31/08

889

Series A, Preferred

5/31/02

11,426

Series B, Preferred

12/20/05

20,447

Mobius Technologies, Inc.:

 

 

Common

12/11/12

99

Series A-1, Preferred

10/18/02

9,158

Series A-4, Preferred

5/26/06

795

Neighborhood Bancorp

6/25/97

100,000

New Markets Growth Fund LLC, LP

1/8/03 - 7/18/07

225,646

Rose Smart Growth Investment Fund I LP, 6.545%, 4/1/21

4/10/06

1,000,000

Seventh Generation, Inc.

4/12/00 - 5/6/03

230,500

Solstice Capital LP

6/26/01 - 6/17/08

47,463

Wild Planet Entertainment, Inc.:

 

 

Series B, Preferred

7/12/94

178,743

Series E, Preferred

4/9/98

161,517

Wind Harvest Co., Inc.

5/16/94

100,000

 


 

 

 

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 


 

 

 

CALVERT SOCIAL INVESTMENT FUND BOND PORTFOLIO

 

 

SCHEDULE OF INVESTMENTS

 

 

DECEMBER 31, 2013

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES - 4.1%

PRINCIPAL AMOUNT

VALUE

American Credit Acceptance Receivables Trust:

 

 

1.64%, 11/15/16 (e)

$832,836

$834,440

2.84%, 5/15/19 (e)

1,965,000

1,969,081

CKE Restaurant Holdings, Inc., 4.474%, 3/20/43 (e)

1,211,219

1,209,843

CV Mortgage Loan Trust, 4.311%, 12/25/43 (e)(r)

1,100,000

1,100,215

Flagship Rail Services LLC, 3.08%, 4/15/43 (e)

3,674,053

3,588,105

Invitation Homes Trust:

 

 

1.314%, 12/17/30 (e)(r)

1,100,000

1,101,437

1.514%, 12/17/30 (e)(r)

300,000

300,392

2.014%, 12/17/30 (e)(r)

600,000

600,970

Monty Parent Issuer, 3.47%, 10/20/15

980,949

980,039

MVW Owner Trust, 2.15%, 4/22/30 (e) 

1,507,621

1,512,426

Navitas Equipment Receivables LLC, 1.95%, 11/15/16 (e) 

2,141,557

2,140,840

Santander Consumer Acquired Receivables Trust, 2.01%, 8/15/16 (e) 

3,348,656

3,351,636

Santander Drive Auto Receivables Trust, 1.94%, 3/15/18

1,450,000

1,461,625

Sierra Timeshare Receivables Funding LLC, 2.70%, 10/20/30 (e) 

1,760,292

1,753,865

SolarCity LMC Series I LLC, 4.80%, 11/20/38 (e)

3,892,631

3,821,244

SVO VOI Mortgage Corp., 2.00%, 9/20/29 (e) 

2,715,864

2,707,988

 

 

 

Total Asset-Backed Securities (Cost $28,584,754)

 

28,434,146

 

 

 

COLLATERALIZED MORTGAGE-BACKED OBLIGATIONS (PRIVATELY ORIGINATED) - 0.9%

 

 

Fannie Mae Connecticut Avenue Securities, 2.165%, 10/25/23 (r)

1,950,347

1,959,251

Springleaf Mortgage Loan Trust, 1.57%, 12/25/59 (e)(r)

1,364,067

1,358,696

Structured Agency Credit Risk Debt Notes:

 

 

1.618%, 11/25/23 (r)

1,403,357

1,400,128

4.418%, 11/25/23 (r) 

1,500,000

1,487,967

 

 

 

Total Collateralized Mortgage-Backed Obligations (Privately Originated) (Cost $6,232,231)

 

6,206,042

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES - 5.7%

 

 

Aventura Mall Trust:

 

 

Series 2013 - AVM Class A, 3.743%, 12/5/32 (e)(r)

1,400,000

1,435,531

Series 2013 - AVM Class C, 3.743%, 12/5/32 (e)(r)

700,000

690,728

BWAY Mortgage Trust, 2.809%, 3/10/33 (e)

3,635,000

3,470,254

COMM Mortgage Trust, 4.394%, 8/10/30 (e)(r)

2,000,000

1,997,852

Commercial Mortgage Pass Through Certificates:

 

 

3.25%, 11/27/28 (e)(r) 

970,941

970,518

3.424%, 3/10/31 (e) 

1,370,000

1,302,630

Extended Stay America Trust:

 

 

2.958%, 12/5/31 (e)

1,835,000

1,780,675

3.604%, 12/5/31 (e) 

3,270,000

3,192,449

GS Mortgage Securities Corp. II, 3.007%, 12/10/30 (e) 

2,985,000

2,684,816

Hilton USA Trust:

 

 

3.714%, 11/5/30 (e) 

3,500,000

3,495,016

4.407%, 11/5/30 (e)

1,000,000

1,000,816

JP Morgan Chase Commercial Mortgage Securities Trust:

 

 

0.947%, 4/15/30 (e)(r)

5,000,000

4,977,095

1.317%, 4/15/30 (e)(r)

2,000,000

1,993,028

2.317%, 10/15/30 (e)(r) 

2,000,000

2,001,964

Madison Avenue Trust, 3.843%, 10/12/32 (e)

3,250,000

3,344,221

Motel 6 Trust, 2.743%, 10/5/25 (e)

3,350,000

3,322,637

ORES NPL LLC, 3.081%, 9/25/25 (e)

1,397,841

1,397,926

VFC LLC, 3.13%, 3/20/26 (e)

1,068,294

1,074,615

 

 

 

Total Commercial Mortgage-Backed Securities (Cost $41,132,645)

 

40,132,771

 

 

 

CORPORATE BONDS - 75.2%

 

 

Agilent Technologies, Inc., 3.20%, 10/1/22

2,000,000

1,830,570

Allergan, Inc.:

 

 

1.35%, 3/15/18

500,000

487,240

2.80%, 3/15/23

1,000,000

924,724

Alliance Mortgage Investments, Inc.:

 

 

12.61%, 6/1/10 (b)(r)(x)* 

481,681

15.36%, 12/1/10 (b)(r)(x)*

207,840

Altera Corp.:

 

 

1.75%, 5/15/17

2,000,000

1,969,258

2.50%, 11/15/18

2,000,000

1,983,072

Amazon.com, Inc.:

 

 

1.20%, 11/29/17

2,000,000

1,958,186

2.50%, 11/29/22

4,000,000

3,605,704

America Movil SAB de CV:

 

 

2.375%, 9/8/16

2,000,000

2,058,340

1.244%, 9/12/16 (r) 

1,500,000

1,515,561

4.375%, 7/16/42

1,000,000

830,809

American Honda Finance Corp.:

 

 

2.125%, 2/28/17 (e)

3,000,000

3,033,786

1.60%, 2/16/18 (e)

1,200,000

1,181,750

American National Red Cross, 5.567%, 11/15/17

1,500,000

1,553,985

American Tower Corp.:

 

 

3.40%, 2/15/19

1,200,000

1,221,665

5.90%, 11/1/21

2,000,000

2,182,082

4.70%, 3/15/22

1,500,000

1,499,319

Amgen, Inc.:

 

 

2.50%, 11/15/16

1,000,000

1,034,955

5.15%, 11/15/41

900,000

896,657

Apple, Inc.:

 

 

2.40%, 5/3/23

1,900,000

1,708,501

3.85%, 5/4/43

2,000,000

1,670,850

AT&T, Inc.:

 

 

1.60%, 2/15/17

1,500,000

1,497,898

1.40%, 12/1/17

1,000,000

985,845

3.00%, 2/15/22

4,000,000

3,768,616

5.55%, 8/15/41

3,000,000

3,044,580

Bank of America Corp.:

 

 

5.25%, 12/1/15

1,500,000

1,608,986

0.571%, 8/15/16 (r) 

3,000,000

2,948,430

2.00%, 1/11/18

1,800,000

1,796,807

3.30%, 1/11/23

4,200,000

3,974,321

4.10%, 7/24/23

3,600,000

3,615,275

Bank of America NA, 5.30%, 3/15/17

11,400,000

12,565,331

Bank of Montreal, 2.625%, 1/25/16 (e) 

4,930,000

5,128,679

Bank of New York Mellon Corp.:

 

 

1.70%, 11/24/14

2,000,000

2,021,624

2.40%, 1/17/17

2,000,000

2,046,866

Bank of Nova Scotia, 1.85%, 1/12/15

1,800,000

1,827,266

BB&T Corp., 1.60%, 8/15/17

2,000,000

1,982,148

Becton Dickinson and Co., 3.125%, 11/8/21

1,475,000

1,429,812

Boston Properties LP, 3.80%, 2/1/24

2,000,000

1,917,924

Caisse Centrale Desjardins, 2.55%, 3/24/16 (e) 

2,000,000

2,081,000

Canadian National Railway Co.:

 

 

1.45%, 12/15/16

1,725,000

1,737,234

2.85%, 12/15/21

750,000

721,175

Capital One Bank, 3.375%, 2/15/23

4,000,000

3,718,720

Capital One Financial Corp.:

 

 

2.15%, 3/23/15

2,000,000

2,033,162

1.00%, 11/6/15

1,500,000

1,499,346

CBS Corp., 3.375%, 3/1/22

2,000,000

1,908,810

CC Holdings GS V LLC / Crown Castle GS III Corp., 3.849%, 4/15/23

1,000,000

936,103

CenturyLink, Inc.:

 

 

5.80%, 3/15/22

4,250,000

4,196,875

7.65%, 3/15/42

3,000,000

2,677,500

CIT Group, Inc.:

 

 

4.75%, 2/15/15 (e)

1,000,000

1,036,250

5.25%, 3/15/18

1,750,000

1,876,875

5.00%, 8/1/23

3,850,000

3,705,625

Citigroup, Inc.:

 

 

4.45%, 1/10/17

4,400,000

4,768,716

2.50%, 9/26/18

2,200,000

2,211,103

3.50%, 5/15/23

3,600,000

3,354,448

3.875%, 10/25/23

1,000,000

983,058

5.50%, 9/13/25

1,400,000

1,474,535

Colgate-Palmolive Co., 1.30%, 1/15/17

1,000,000

998,041

Consolidated Edison Company of New York, Inc., 4.45%, 6/15/20

1,675,000

1,810,754

Corning, Inc., 1.45%, 11/15/17

1,200,000

1,182,774

Costco Wholesale Corp., 1.70%, 12/15/19

4,000,000

3,852,908

COX Communications, Inc., 3.25%, 12/15/22 (e) 

2,000,000

1,809,768

Crown Castle Towers LLC:

 

 

5.495%, 1/15/37 (e)

3,000,000

3,249,762

4.883%, 8/15/40 (e)

2,000,000

2,098,250

Cummins, Inc.:

 

 

3.65%, 10/1/23

1,000,000

986,566

4.875%, 10/1/43

2,200,000

2,203,269

CVS Pass-Through Trust:

 

 

6.036%, 12/10/28

2,425,881

2,668,746

DDR Corp., 4.75%, 4/15/18

3,000,000

3,236,214

Deere & Co., 2.60%, 6/8/22

600,000

561,040

Delta Air Lines Pass Through Trust, 6.75%, 5/23/17

1,500,000

1,601,250

Deutsche Telekom International Finance BV, 4.875%, 3/6/42 (e)

1,300,000

1,240,580

Discover Bank, 8.70%, 11/18/19

948,000

1,185,582

Discover Financial Services, 3.85%, 11/21/22

2,435,000

2,308,794

Discovery Communications LLC:

 

 

3.30%, 5/15/22

3,300,000

3,124,433

3.25%, 4/1/23

500,000

464,416

4.875%, 4/1/43

2,800,000

2,582,972

Dr Pepper Snapple Group, Inc.:

 

 

2.00%, 1/15/20

1,000,000

942,226

3.20%, 11/15/21

1,000,000

964,406

2.70%, 11/15/22

1,000,000

910,342

Dun & Bradstreet Corp., 3.25%, 12/1/17

1,500,000

1,516,143

Eaton Corp.:

 

 

2.75%, 11/2/22

1,400,000

1,306,001

4.00%, 11/2/32

500,000

459,205

4.15%, 11/2/42

500,000

444,168

eBay, Inc., 2.60%, 7/15/22

1,200,000

1,103,674

Ecolab, Inc.:

 

 

4.35%, 12/8/21

2,000,000

2,073,864

5.50%, 12/8/41

1,000,000

1,070,871

Enterprise Products Operating LLC:

 

 

4.85%, 8/15/42

1,300,000

1,224,297

7.034% to 1/15/18, floating rate thereafter to 1/15/68 (r)

10,005,000

11,055,525

EOG Resources, Inc., 2.625%, 3/15/23

1,000,000

909,769

ERP Operating LP, 4.625%, 12/15/21

1,300,000

1,370,535

Excalibur One 77B LLC, 1.492%, 1/1/25

833,802

786,246

Experian Finance plc, 2.375%, 6/15/17 (e)

1,000,000

984,884

Express Scripts Holding Co.:

 

 

2.75%, 11/21/14

800,000

815,428

2.65%, 2/15/17

1,500,000

1,546,012

3.90%, 2/15/22

1,500,000

1,501,425

FedEx Corp.:

 

 

2.70%, 4/15/23

1,000,000

898,840

4.10%, 4/15/43

1,000,000

850,765

Fidelity National Information Services, Inc.:

 

 

2.00%, 4/15/18

2,000,000

1,944,794

3.50%, 4/15/23

2,000,000

1,823,026

Fifth Third Bancorp, 0.665%, 12/20/16 (r)

4,000,000

3,962,032

First Niagara Financial Group, Inc., 6.75%, 3/19/20

1,000,000

1,149,502

FMC Technologies, Inc.:

 

 

2.00%, 10/1/17

1,000,000

991,550

3.45%, 10/1/22

1,000,000

920,927

Ford Motor Credit Co. LLC:

 

 

2.75%, 5/15/15

500,000

512,921

4.207%, 4/15/16

4,750,000

5,061,306

3.984%, 6/15/16

3,150,000

3,349,707

4.25%, 2/3/17

2,000,000

2,151,536

5.875%, 8/2/21

2,400,000

2,720,902

Genworth Holdings, Inc., 4.80%, 2/15/24

2,000,000

1,975,518

Gilead Sciences, Inc.:

 

 

4.40%, 12/1/21

3,000,000

3,203,847

5.65%, 12/1/41

1,000,000

1,113,237

GlaxoSmithKline Capital, Inc.:

 

 

2.80%, 3/18/23

1,000,000

926,143

4.20%, 3/18/43

1,000,000

914,294

Goldman Sachs Group, Inc.:

 

 

6.15%, 4/1/18

10,225,000

11,724,772

5.75%, 1/24/22

2,500,000

2,814,220

3.625%, 1/22/23

2,200,000

2,130,377

Great River Energy, 5.829%, 7/1/17 (e)

1,428,419

1,515,065

Grupo Bimbo SAB de CV, 4.50%, 1/25/22 (e)

1,000,000

991,590

Harley-Davidson Financial Services, Inc.:

 

 

1.15%, 9/15/15 (e) 

2,000,000

2,006,594

2.70%, 3/15/17 (e)

4,200,000

4,305,605

Hartford Financial Services Group, Inc., 5.125%, 4/15/22

1,000,000

1,089,211

HCP, Inc., 3.75%, 2/1/19

2,000,000

2,077,366

Health Care REIT, Inc., 3.75%, 3/15/23

2,000,000

1,879,884

Hershey Co., 1.50%, 11/1/16

2,640,000

2,663,084

Hewlett-Packard Co., 0.638%, 5/30/14 (r)

2,000,000

2,000,432

Home Depot, Inc.:

 

 

2.70%, 4/1/23

3,000,000

2,765,550

4.20%, 4/1/43

2,000,000

1,822,596

Host Hotels & Resorts LP, 3.75%, 10/15/23

1,200,000

1,112,617

Howard Hughes Medical Institute, 3.50%, 9/1/23

3,700,000

3,638,432

HSBC Holdings plc, 4.00%, 3/30/22

2,000,000

2,055,698

Illinois Tool Works, Inc., 3.90%, 9/1/42

1,000,000

855,759

Ingredion, Inc.:

 

 

1.80%, 9/25/17

2,000,000

1,949,312

4.625%, 11/1/20

1,525,000

1,590,105

Intel Corp., 4.80%, 10/1/41

1,500,000

1,462,852

International Business Machines Corp., 2.90%, 11/1/21

2,000,000

1,924,280

International Finance Corp., 0.625%, 11/15/16

1,100,000

1,093,060

John Deere Capital Corp., 2.00%, 1/13/17

1,500,000

1,525,418

Johnson Controls, Inc., 5.00%, 3/30/20

750,000

819,328

JPMorgan Chase & Co.:

 

 

1.138%, 1/25/18 (r)

3,000,000

3,029,976

1.80%, 1/25/18

2,000,000

1,982,444

3.20%, 1/25/23

13,500,000

12,798,351

Kansas City Southern de Mexico SA de CV, 8.00%, 2/1/18

2,000,000

2,100,000

Kimberly-Clark Corp., 3.70%, 6/1/43

1,200,000

1,007,258

Kinder Morgan Energy Partners LP, 3.50%, 9/1/23

1,500,000

1,377,276

Laboratory Corporation of America Holdings:

 

 

2.50%, 11/1/18

2,000,000

1,972,498

4.00%, 11/1/23

2,000,000

1,921,828

Life Technologies Corp., 6.00%, 3/1/20

1,900,000

2,183,140

LL & P Wind Energy, Inc. Washington Revenue Bonds, 6.192%, 12/1/27 (e) 

5,000,000

4,647,950

Lowe's Co.'s, Inc.:

 

 

3.12%, 4/15/22

1,000,000

969,637

3.875%, 9/15/23

1,500,000

1,508,157

Macquarie Group Ltd., 3.00%, 12/3/18 (e) 

1,190,000

1,185,208

Markel Corp.:

 

 

3.625%, 3/30/23

1,000,000

941,201

5.00%, 3/30/43

1,000,000

935,194

Masco Corp.:

 

 

4.80%, 6/15/15

2,000,000

2,085,000

5.85%, 3/15/17

2,000,000

2,195,000

Mattel, Inc.:

 

 

1.70%, 3/15/18

1,300,000

1,270,147

3.15%, 3/15/23

2,200,000

2,027,397

McDonald's Corp., 3.625%, 5/1/43

1,500,000

1,249,932

Memorial Sloan-Kettering Cancer Center, 4.125%, 7/1/52

3,000,000

2,467,944

Methanex Corp.:

 

 

3.25%, 12/15/19

1,000,000

992,495

5.25%, 3/1/22

3,450,000

3,652,491

Microsoft Corp.:

 

 

2.125%, 11/15/22

1,200,000

1,084,068

3.50%, 11/15/42

1,200,000

991,060

Morgan Stanley:

 

 

6.25%, 8/28/17

3,500,000

4,004,802

5.50%, 1/26/20

3,500,000

3,929,002

5.00%, 11/24/25

3,500,000

3,510,465

Nationwide Health Properties, Inc., 6.90%, 10/1/37

2,300,000

2,615,640

NetApp, Inc., 3.25%, 12/15/22

2,000,000

1,801,544

New York Life Global Funding, 1.65%, 5/15/17 (e)

1,500,000

1,501,648

NII Capital Corp.:

 

 

10.00%, 8/15/16

3,000,000

1,590,000

7.625%, 4/1/21

4,214,000

1,727,740

NII International Telecom SCA, 11.375%, 8/15/19 (e) 

750,000

626,250

NIKE, Inc.:

 

 

2.25%, 5/1/23

2,000,000

1,788,258

3.625%, 5/1/43

2,000,000

1,677,806

Nissan Motor Acceptance Corp.:

 

 

1.95%, 9/12/17 (e)

2,400,000

2,381,662

2.65%, 9/26/18 (e)

2,000,000

2,001,184

Noble Holding International Ltd., 5.25%, 3/15/42

3,000,000

2,878,446

Nordstrom, Inc., 4.00%, 10/15/21

1,000,000

1,037,163

North American Development Bank:

 

 

2.30%, 10/10/18

3,100,000

3,052,539

2.40%, 10/26/22

2,750,000

2,440,542

NYU Hospitals Center, 4.428%, 7/1/42

1,800,000

1,502,503

Penske Truck Leasing Co. LP / PTL Finance Corp., 4.25%, 1/17/23 (e) 

3,000,000

2,921,763

PepsiCo, Inc.:

 

 

2.75%, 3/5/22

2,250,000

2,137,720

2.75%, 3/1/23

1,000,000

925,562

Perrigo Co. plc:

 

 

2.30%, 11/8/18 (e) 

1,000,000

987,028

4.00%, 11/15/23 (e) 

1,000,000

981,095

Pioneer Natural Resources Co., 5.875%, 7/15/16

7,600,000

8,430,581

PNC Bank NA:

 

 

2.70%, 11/1/22

4,000,000

3,625,868

3.80%, 7/25/23

1,000,000

969,838

President and Fellows of Harvard College, 3.619%, 10/1/37

1,000,000

846,924

ProLogis LP, 6.875%, 3/15/20

794,000

935,182

Prudential Financial, Inc., 5.80%, 11/16/41

3,000,000

3,322,389

Reliance Steel & Aluminum Co., 4.50%, 4/15/23

3,000,000

2,942,757

Rogers Communications, Inc., 3.00%, 3/15/23

2,000,000

1,844,950

Royal Bank of Scotland Group plc:

 

 

6.10%, 6/10/23

800,000

806,477

6.00%, 12/19/23

1,000,000

1,007,120

Ryder System, Inc., 3.15%, 3/2/15

3,000,000

3,073,233

Sanofi SA, 1.25%, 4/10/18

2,000,000

1,947,228

SBA Tower Trust, 3.722%, 4/15/48 (e) 

4,150,000

3,848,088

Simon Property Group LP:

 

 

6.125%, 5/30/18

1,200,000

1,389,377

4.125%, 12/1/21

1,000,000

1,034,497

Spencer Spirit Holdings, Inc.:

 

 

11.00%, 5/1/17 (e)

4,000,000

4,290,000

9.00%, 5/1/18 (e)

4,000,000

4,070,000

St. Jude Medical, Inc.:

 

 

2.50%, 1/15/16

3,040,000

3,118,247

3.25%, 4/15/23

1,200,000

1,119,580

Standard Chartered plc, 3.95%, 1/11/23 (e) 

2,000,000

1,855,044

State Street Corp., 3.10%, 5/15/23

1,500,000

1,394,710

SunTrust Bank, 0.528%, 8/24/15 (r)

1,000,000

991,749

SunTrust Banks, Inc.:

 

 

3.50%, 1/20/17

2,000,000

2,103,034

2.35%, 11/1/18

1,200,000

1,193,642

TD Ameritrade Holding Corp., 5.60%, 12/1/19

2,000,000

2,308,636

Telefonica Emisiones SAU:

 

 

3.992%, 2/16/16

2,400,000

2,520,955

3.192%, 4/27/18

2,000,000

2,036,834

Texas Instruments, Inc., 1.65%, 8/3/19

2,000,000

1,926,506

The Hertz Corp., 7.50%, 10/15/18

2,000,000

2,157,500

Thermo Fisher Scientific, Inc.:

 

 

4.15%, 2/1/24

800,000

792,398

5.30%, 2/1/44

500,000

505,588

Thomson Reuters Corp.:

 

 

4.30%, 11/23/23

500,000

502,150

5.65%, 11/23/43

500,000

509,066

Time Warner Cable, Inc., 5.50%, 9/1/41

2,000,000

1,657,228

Time Warner, Inc.:

 

 

4.00%, 1/15/22

1,770,000

1,792,360

5.375%, 10/15/41

2,650,000

2,680,483

5.35%, 12/15/43

1,000,000

1,012,730

TJX Co.'s, Inc., 2.50%, 5/15/23

2,000,000

1,810,574

Toronto-Dominion Bank, 2.375%, 10/19/16

1,900,000

1,972,633

Toyota Motor Credit Corp., 2.05%, 1/12/17

2,000,000

2,043,984

Tyco Electronics Group SA:

 

 

1.60%, 2/3/15

1,000,000

1,009,840

3.50%, 2/3/22

1,000,000

950,055

United Parcel Service, Inc.:

 

 

1.125%, 10/1/17

1,000,000

985,090

2.45%, 10/1/22

1,200,000

1,102,697

US Bancorp, 2.95%, 7/15/22

1,200,000

1,114,951

US Bank, 3.778% to 4/29/15, floating rate thereafter to 4/29/20 (r)

9,000,000

9,313,740

Ventas Realty LP / Ventas Capital Corp.:

 

 

4.00%, 4/30/19

2,000,000

2,101,572

4.25%, 3/1/22

3,000,000

3,018,870

3.25%, 8/15/22

1,000,000

926,483

Viacom, Inc.:

 

 

3.50%, 4/1/17

2,000,000

2,114,036

3.875%, 12/15/21

1,000,000

993,846

4.50%, 2/27/42

1,500,000

1,279,754

Volkswagen International Finance NV, 0.858%, 4/1/14 (e)(r)

5,000,000

5,004,800

Wachovia Bank NA, 0.573%, 3/15/16 (r)

2,000,000

1,990,376

Wachovia Capital Trust III, 5.57%, 12/31/49 (r)

7,750,000

7,091,250

Walgreen Co., 3.10%, 9/15/22

2,000,000

1,874,976

Weingarten Realty Investors:

 

 

3.375%, 10/15/22

1,000,000

918,695

3.50%, 4/15/23

1,000,000

919,324

4.45%, 1/15/24

1,000,000

979,478

Wells Fargo & Co., 3.45%, 2/13/23

1,000,000

945,435

Western Union Co., 2.875%, 12/10/17

750,000

761,428

Whirlpool Corp.:

 

 

3.70%, 3/1/23

2,000,000

1,911,920

5.15%, 3/1/43

1,000,000

964,145

Willis Group Holdings plc, 4.125%, 3/15/16

1,500,000

1,570,401

Wisconsin Public Service Corp., 3.671%, 12/1/42

2,000,000

1,705,940

Yara International ASA, 7.875%, 6/11/19 (e)

1,500,000

1,811,166

Zoetis, Inc., 3.25%, 2/1/23

1,000,000

935,671

 

 

 

Total Corporate Bonds (Cost $531,648,534)

 

527,945,244

 

 

 

MUNICIPAL OBLIGATIONS - 2.8%

 

 

Connecticut Special Tax Obligation Revenue Bonds, 5.459%, 11/1/30

3,800,000

3,943,298

Georgetown University Washington DC Revenue Bonds, 7.22%, 4/1/19

2,990,000

3,455,005

Maryland Transportation Authority Revenue Bonds, 5.604%, 7/1/30

3,000,000

3,269,160

New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, 5.767%, 8/1/36

3,540,000

4,015,316

Oakland California PO Revenue Bonds, Zero Coupon, 12/15/20

1,490,000

988,615

Utah GO Bonds, 3.539%, 7/1/25

4,250,000

4,153,992

 

 

 

Total Municipal Obligations (Cost $19,926,042)

 

19,825,386

 

 

 

FLOATING RATE LOANS(d)- 0.6%

 

 

BJ's Wholesale Club, Inc., 4.50%, 9/26/19 (r)

1,985,000

1,995,634

Dunkin' Brands, Inc., 3.75%, 2/14/20 (r)

1,978,366

1,984,018

SUPERVALU, Inc., 5.00%, 3/21/19 ® 

493,817

498,241

 

 

 

Total Floating Rate Loans (Cost $4,442,936)

 

4,477,893

 

 

 

SOVEREIGN GOVERNMENT BONDS - 1.3%

 

 

Kommunalbanken AS, 0.75%, 11/21/16 (e) 

400,000

396,111

Province of Ontario Canada:

 

 

1.65%, 9/27/19

6,100,000

5,854,780

2.45%, 6/29/22

1,240,000

1,146,715

Province of Quebec Canada, 2.625%, 2/13/23

1,525,000

1,400,781

 

 

 

Total Sovereign Government Bonds (Cost $9,273,685)

 

8,798,387

 

 

 

U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES - 0.6%

 

 

Private Export Funding Corp., 2.125%, 7/15/16

4,000,000

4,149,044

 

 

 

Total U.S. Government Agencies and Instrumentalities (Cost $3,997,428)

 

4,149,044

 

 

 

U.S. TREASURY OBLIGATIONS - 6.2%

 

 

United States Treasury Bonds, 3.625%, 8/15/43

16,420,000

15,506,638

United States Treasury Notes:

 

 

0.25%, 12/31/15

7,355,000

7,335,465

0.625%, 12/15/16

840,000

836,588

1.50%, 12/31/18

2,520,000

2,491,650

2.375%, 12/31/20

12,165,000

12,117,483

2.75%, 11/15/23

4,985,000

4,876,731

 

 

 

Total U.S. Treasury Obligations (Cost $43,570,657)

 

43,164,555

 

 

 

HIGH SOCIAL IMPACT INVESTMENTS - 0.4%

 

 

Calvert Social Investment Foundation Notes, 0.50%, 1/1/14 (b)(i)(r) 

3,087,392

3,079,951

 

 

 

Total High Social Impact Investments (Cost $3,087,392)

 

3,079,951

 

 

 

TIME DEPOSIT - 1.2%

 

 

State Street Bank Time Deposit, 0.083%, 1/2/14

8,554,850

8,554,850

 

 

 

Total Time Deposit (Cost $8,554,850)

 

8,554,850

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (Cost $700,451,154) - 99.0%

 

694,768,269

Other assets and liabilities, net - 1.0%

 

6,894,726

NET ASSETS - 100%

 

$701,662,995

 


 

 

 

FUTURES

NUMBER OF CONTRACTS

EXPIRATION DATE

UNDERLYING FACE AMOUNT AT VALUE

UNREALIZED APPRECIATION (DEPRECIATION)

Purchased:

 

 

 

 

5 Year U.S. Treasury Notes

65

3/14

$7,755,313

($5,159)

30 Year U.S. Treasury Bonds

24

3/14

3,079,500

(2,280)

Ultra U.S. Treasury Bonds

29

3/14

3,951,250

(17,599)

Total Purchased

 

 

 

($25,038)

 

 

 

 

 

Sold:

 

 

 

 

2 Year U.S. Treasury Notes

255

3/14

$56,052,188

$37,650

10 Year U.S. Treasury Notes

256

3/14

31,500,000

591,680

Total Sold

 

 

 

$629,330

 

(b) This security was valued under the direction of the Board of Trustees. See Note A.

 

(d) 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 period end. 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.

 

(e) 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.

 

(i) Restricted securities represent 0.4% of the net assets of the Portfolio.

 

(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

 

(x) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest.

 

* Non-income producing security.

 

Abbreviations:

GO: General Obligation

LLC: Limited Liability Corporation

LP: Limited Partnership

plc: Public Limited Company

PO: Pension Obligation

REIT: Real Estate Investment Trust

 

Restricted Securities

ACQUISITION DATES

COST

Calvert Social Investment Foundation Notes, 0.50%, 1/1/14

7/1/09

$3,087,392

 

 


 

 

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 


 

 

 

CALVERT SOCIAL INVESTMENT FUND EQUITY PORTFOLIO

 

 

SCHEDULE OF INVESTMENTS

 

 

DECEMBER 31, 2013

 

 

 

 

 

 

 

 

EQUITY SECURITIES - 96.9%

SHARES

VALUE

Aerospace & Defense - 1.8%

 

 

B/E Aerospace, Inc.*

617,523

$53,743,027

 

 

 

Beverages - 4.2%

 

 

PepsiCo, Inc.

388,158

32,193,824

The Coca-Cola Co.

2,233,764

92,276,791

 

 

124,470,615

 

 

 

Biotechnology - 3.1%

 

 

Gilead Sciences, Inc.*

1,202,986

90,404,398

 

 

 

Capital Markets - 1.7%

 

 

T. Rowe Price Group, Inc.

588,694

49,314,896

 

 

 

Chemicals - 2.5%

 

 

Ecolab, Inc.

703,714

73,376,259

 

 

 

Commercial Banks - 3.6%

 

 

SunTrust Banks, Inc.

1,118,194

41,160,721

Wells Fargo & Co.

1,443,348

65,527,999

 

 

106,688,720

 

 

 

Communications Equipment - 4.6%

 

 

Juniper Networks, Inc.*

1,653,913

37,328,816

QUALCOMM, Inc.

1,344,843

99,854,593

 

 

137,183,409

 

 

 

Computers & Peripherals - 4.1%

 

 

Apple, Inc. (t)

219,195

122,992,506

 

 

 

Consumer Finance - 2.7%

 

 

American Express Co.

882,778

80,094,448

 

 

 

Diversified Financial Services - 2.7%

 

 

IntercontinentalExchange Group, Inc.

362,297

81,487,841

 

 

 

Electrical Equipment - 2.3%

 

 

Eaton Corp. plc

608,703

46,334,473

Rockwell Automation, Inc.

181,146

21,404,211

 

 

67,738,684

 

 

 

Energy Equipment & Services - 3.0%

 

 

Cameron International Corp.*

657,838

39,161,096

Noble Corp. plc

1,323,778

49,601,962

 

 

88,763,058

 

 

 

Food & Staples Retailing - 7.2%

 

 

Costco Wholesale Corp.

637,725

75,895,652

CVS Caremark Corp.

1,902,581

136,167,722

 

 

212,063,374

 

 

 

Health Care Providers & Services - 6.0%

 

 

CIGNA Corp.

734,787

64,279,167

DaVita HealthCare Partners, Inc.*

520,775

33,001,512

Express Scripts Holding Co.*

1,168,992

82,109,998

 

 

179,390,677

 

 

 

Hotels, Restaurants & Leisure - 5.0%

 

 

McDonald's Corp.

627,448

60,881,279

Panera Bread Co.*

115,972

20,491,093

Starbucks Corp.

855,090

67,030,505

 

 

148,402,877

 

 

 

Industrial Conglomerates - 4.1%

 

 

3M Co.

336,713

47,223,998

Danaher Corp.

975,864

75,336,701

 

 

122,560,699

 

 

 

Insurance - 1.5%

 

 

Aon plc

517,074

43,377,338

 

 

 

Internet & Catalog Retail - 3.2%

 

 

Amazon.com, Inc.*

163,730

65,293,887

priceline.com, Inc.*

25,469

29,605,165

 

 

94,899,052

 

 

 

Internet Software & Services - 6.0%

 

 

eBay, Inc.*

1,125,244

61,764,643

Google, Inc.*

104,508

117,123,161

 

 

178,887,804

 

 

 

IT Services - 3.2%

 

 

Alliance Data Systems Corp.*

84,578

22,238,094

International Business Machines Corp.

123,270

23,121,754

Visa, Inc.

226,698

50,481,111

 

 

95,840,959

 

 

 

Media - 2.3%

 

 

The Walt Disney Co.

896,655

68,504,442

 

 

 

Multiline Retail - 0.9%

 

 

Nordstrom, Inc.

453,917

28,052,071

 

 

 

Pharmaceuticals - 7.1%

 

 

Allergan, Inc.

742,148

82,437,800

Bristol-Myers Squibb Co.

560,082

29,768,358

Novartis AG (ADR)

366,106

29,427,600

Perrigo Co. plc

441,469

67,747,833

 

 

209,381,591

 

 

 

Road & Rail - 0.5%

 

 

Genesee & Wyoming, Inc.*

138,169

13,271,132

 

 

 

Semiconductors & Semiconductor Equipment - 1.3%

 

 

Texas Instruments, Inc.

880,832

38,677,333

 

 

 

Software - 4.1%

 

 

Informatica Corp.*

746,045

30,960,868

Microsoft Corp.

1,541,997

57,716,948

VMware, Inc.*

356,140

31,949,319

 

 

120,627,135

 

 

 

Specialty Retail - 4.6%

 

 

Bed Bath & Beyond, Inc.*

504,737

40,530,381

Lowe's Co.'s, Inc.

1,283,563

63,600,547

Ross Stores, Inc.

441,275

33,064,736

 

 

137,195,664

 

 

 

Textiles, Apparel & Luxury Goods - 1.9%

 

 

Michael Kors Holdings Ltd.*

179,337

14,560,371

Nike, Inc., Class B

530,289

41,701,927

 

 

56,262,298

 

 

 

Trading Companies & Distributors - 1.4%

 

 

Fastenal Co.

895,679

42,553,709

 

 

 

Venture Capital - 0.3%

 

 

20/20 Gene Systems, Inc. (b)(i)*

73,397

138,720

Chesapeake PERL, Inc., Series A-2, Preferred (b)(i)*

240,000

1,264

Digital Directions International, Inc. (a)(b)(i)*

354,389

91,942

Envisionier Medical Technologies, Inc., Warrants (strike price $.50/share, expires 8/6/20) (b)(i)*

50,000

Excent Corp. (b)(i)*

600,745

250,000

Global Resource Options, Inc.:

 

 

Series A, Preferred (a)(b)(i)*

750,000

Series B, Preferred (a)(b)(i)*

244,371

Series C, Preferred (a)(b)(i)*

297,823

Series D, Preferred (a)(b)(i)*

228,138

967,350

Graduation Alliance, Inc.:

 

 

Series C, Preferred (b)(i)*

3,225,598

500,000

Series C, Preferred Warrants (strike price $0.16/share, expires 8/20/18) (b)(i)*

625,721

Immunology Partners, Inc., Series C-1, Preferred (b)(i)*

2,542,915

16,323

Ivy Capital (Proprietary) Ltd. (b)(i)*

17

394,817

Marrone Bio Innovations, Inc., Conversion Shares (b)(i)*

255,843

4,233,196

Napo Pharmaceuticals, Inc.:

 

 

Common Stock (b)(i)*

294,196

117,531

Common Warrants (strike price $0.55/share, expires 9/15/14) (b)(i)*

54,061

New Day Farms, Inc., Series B, Preferred (a)(b)(i)*

4,547,804

Orteq Bioengineering Ltd., Series A, Preferred (b)(i)*

74,910

958,425

PresenceLearning, Inc.:

 

 

Series A, Preferred (b)(i)*

600,000

427,800

Series A-2, Preferred (b)(i)*

195,285

139,238

Series B, Preferred (b)(i)*

399,719

285,000

Shangri La Farms, Series A, Preferred (a)(b)(i)*

66,667

200,001

Sword Diagnostics, Series B, Preferred (b)(i)*

640,697

Village Laundry Services, Inc. (b)(i)*

9,444

 

 

8,721,607

 

 

 

 

 

 

Total Equity Securities (Cost $1,894,034,069)

 

2,874,927,623

 

 

 

VENTURE CAPITAL LIMITED PARTNERSHIP INTEREST - 0.3%

ADJUSTED BASIS

 

Adobe Capital Social Mezzanine (b)(i)*

$81,815

57,151

Arborview Capital Parteners LP (b)(i)*

295,081

194,049

Blackstone Cleantech Venture Partners (b)(i)*

411,168

246,550

China Environment Fund 2004 (b)(i)*

-

132,804

China Environment Fund III (b)(i)*

983,226

1,005,908

Coastal Ventures III (a)(b)(i)*

300,000

258,808

Core Innovations Capital I (b)(i)*

590,246

486,675

DBL Equity Fund - BAEF Il (b)(i)*

693,021

824,221

First Analysis Private Equity Fund V (b)(i)*

338,629

331,765

Ignia Fund I (b)(i)*

897,993

632,444

Impact Ventures II (b)(i)*

783,681

862,443

LeapFrog Financial Inclusion Fund (b)(i)*

679,918

536,784

New Markets Education Partners (b)(i)*

385,000

344,011

New Markets Venture Partners II (b)(i)*

315,082

364,446

Renewable Energy Asia Fund (b)(i)*

1,523,962

1,373,288

SEAF India International Growth Fund (b)(i)*

283,775

145,853

SJF Ventures II (b)(i)*

493,946

1,397,051

SJF Ventures III (b)(i)*

251,429

233,659

Westly Capital Partners Fund II (b)(i)*

451,433

325,616

 

 

 

Total Venture Capital Limited Partnership Interest (Cost $9,759,406)

 

9,753,526

 

 

 

VENTURE CAPITAL DEBT OBLIGATIONS - 0.2%

PRINCIPAL AMOUNT

 

Envisionier Medical Technologies, Inc.:

 

 

Note I, 7.00%, 1/15/13 (b)(i)(xx)*

$200,000

Note II, 7.00%, 1/15/13 (b)(i)(xx)*

100,000

Excent Corp., Note, 7.00%, 9/30/19 (b)(i)

250,000

250,000

New Day Farms, Inc., Participation Interest Note, 9.00%, 9/1/12 (a)(b)(i)(v)

6,225

One Earth Group Ltd.:

 

 

Convertible Note, 5.00%, 12/31/14 (b)(i)

100,000

100,000

Convertible Note II, 5.00%, 5/31/15 (b)(i)

200,000

200,000

Orteq Bioengineering Ltd., Note, 12.00%, 7/31/17 (b)(i)

131,225

217,479

Quantum Intech, Inc., 11.50%, 9/10/15 (b)(i)

107,830

107,830

SEAF Global SME Facility:

 

 

9.00%, 12/16/14 (b)(i)

1,500,000

1,500,000

9.00%, 4/20/15 (b)(i)

1,000,000

1,000,000

9.00%, 11/5/15 (b)(i)

1,000,000

9.00%, 3/29/16 (b)(i)

450,000

450,000

9.00%, 6/14/16 (b)(i)

400,000

300,000

9.00%, 7/13/16 (b)(i)

650,000

650,000

Sword Diagnostics:

 

 

Convertible Bridge Note, Series C, 10.00%, 6/30/13 (b)(i)(zz)*

25,000

Convertible Bridge Note II, Series C, 10.00%, 6/30/13 (b)(i)(zz)*

100,000

 

 

 

Total Venture Capital Debt Obligations (Cost $6,290,676)

 

4,775,309

 

 

 

HIGH SOCIAL IMPACT INVESTMENTS - 0.4%

 

 

Calvert Social Investment Foundation Notes, 0.50%, 1/1/14 (b)(i)(r)

10,833,877

10,807,767

 

 

 

Total High Social Impact Investments (Cost $10,833,877)

 

10,807,767

 

 

 

TIME DEPOSIT - 2.5%

 

 

State Street Bank Time Deposit, 0.083%, 1/2/14

74,395,652

74,395,652

 

 

 

Total Time Deposit (Cost $74,395,652)

 

74,395,652

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (Cost $1,995,313,680) - 100.3%

 

2,974,659,877

Other assets and liabilities, net - (0.3%)

 

(7,522,682)

NET ASSETS - 100%

 

$2,967,137,195

 


 

 

 

(a) Affiliated company.

 

(b) This security was valued under the direction of the Board of Trustees. See Note A.

 

(i) Restricted securities represent 1.1% of net assets for the Equity Portfolio.

 

(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

 

(t) 40,000 shares of Apple, Inc. held by the Equity Portfolio have been soft segregated in order to cover outstanding commitments to certain limited partnership investments within the Portfolio. There are no restrictions on the trading of this security.

 

(v) Security is in default for both principal and interest.

 

(xx) Restructured from an original maturity date of September 15, 2010.

 

(zz) Restructured from an original maturity date of September 30, 2010.

 

* Non-income producing security.

 

Abbreviations:

ADR: American Depositary Receipts

LP: Limited Partnership

plc: Public Limited Company

 

Restricted Securities

ACQUISITION DATES

COST

20/20 Gene Systems, Inc., Common Stock

8/1/08 - 8/27/13

166,890

Adobe Capital Social Mezzanine LP

2/8/13 - 7/25/13

81,815

Arborview Capital Parteners LP LP

11/13/12 - 12/27/13

295,081

Blackstone Cleantech Venture Partners LP

7/29/10 - 10/28/13

411,168

Calvert Social Investment Foundation Notes, 0.50%, 1/1/14

1/2/13

10,833,877

Chesapeake PERL, Inc., Series A-2, Preferred

7/30/04 - 9/8/06

300,000

China Environment Fund 2004 LP

9/15/05 - 4/1/09

China Environment Fund III LP

1/24/08 - 4/19/13

983,226

Coastal Ventures III LP

7/30/12 - 11/22/13

300,000

Core Innovations Capital I LP

1/6/11 - 11/14/13

590,246

DBL Equity Fund - BAEF Il LP

3/30/11 - 12/18/13

693,021

Digital Directions International, Inc.

7/2/08 - 7/15/09

683,778

Envisionier Medical Technologies, Inc.:

 

 

Warrants (strike price $.50/share, expires 8/6/20)

8/6/10

Note I, 7.00%, 1/15/13

12/14/09

200,000

Note II, 7.00%, 1/15/13

8/5/10

100,000

Excent Corp.:

 

 

Common

9/28/12

250,000

Note, 7.00%, 9/30/19

9/28/12

250,000

First Analysis Private Equity Fund V LP

6/7/13 - 12/18/13

338,629

Global Resource Options, Inc.:

 

 

Series A, Preferred

9/18/06

750,000

Series B, Preferred

12/5/07

750,000

Series C, Preferred

2/13/09

1,000,000

Series D, Preferred

12/30/10 - 5/24/11

700,178

Graduation Alliance, Inc.:

 

 

Series C, Preferred

3/27/13 - 8/20/13

500,000

Series C, Preferred Warrants (strike price $0.16/share, expires 8/20/18)

9/13/13

Ignia Fund I LP

1/28/10 - 11/4/13

897,993

Immunology Partners, Inc., Series C-1, Preferred

11/30/06

305,942

Impact Ventures II LP

9/8/10 - 7/24/13

783,681

Ivy Capital (Proprietary) Ltd.

9/12/12

496,026

LeapFrog Financial Inclusion Fund LP

1/20/10 - 11/13/13

679,918

Marrone Bio Innovations, Inc., Conversion Shares

11/12/13

1,209,625

Napo Pharmaceuticals, Inc.:

 

 

Common Stock

2/21/07 - 9/23/09

419,720

Common Warrants (strike price $0.55/share, expires 9/15/14)

9/23/09

16,908

New Day Farms, Inc.:

 

 

Series B, Preferred

3/12/09

500,000

Participation Interest Note, 9.00%, 9/1/12

11/25/09

6,225

New Markets Education Partners LP

9/27/11 - 3/25/13

385,000

New Markets Venture Partners II LP

7/21/08 - 12/27/13

315,082

One Earth Group Ltd.:

 

 

Convertible Note, 5.00%, 12/31/14

12/21/12

100,000

Convertible Note II, 5.00%, 5/31/15

5/15/13

200,000

Orteq Bioengineering Ltd.:

 

 

Series A, Preferred

7/19/07

998,102

Note, 12.00%, 7/31/17

7/22/13

201,621

PresenceLearning, Inc.:

 

 

Series A, Preferred

9/29/11

300,000

Series A-2, Preferred

5/2/12

134,942

Series B, Preferred

4/4/13

285,000

Quantum Intech, Inc., 11.50%, 9/10/15

10/5/10 - 9/30/13

107,830

Renewable Energy Asia Fund LP

9/29/10 - 10/25/13

1,523,962

SEAF Global SME Facility:

 

 

9.00%, 12/16/14

12/16/09

1,500,000

9.00%, 4/20/15

4/20/10

1,000,000

9.00%, 11/5/15

11/4/10

1,000,000

9.00%, 3/29/16

3/29/11

450,000

9.00%, 6/14/16

6/13/11

400,000

9.00%, 7/13/16

7/11/11

650,000

SEAF India International Growth Fund LP

3/22/05 - 5/24/10

283,775

Shangri La Farms, Series A, Preferred

2/1/13

200,000

SJF Ventures II LP

2/14/06 - 11/20/12

493,946

SJF Ventures III LP

2/6/12 - 10/4/13

251,429

Sword Diagnostics:

 

 

Series B, Preferred

12/26/06

250,000

Convertible Bridge Note II, Series C, 10.00%, 6/30/13

11/9/10

100,000

Convertible Bridge Note, Series C, 10.00%, 6/30/13

10/29/09

25,000

Village Laundry Services, Inc.

7/22/09

500,000

Westly Capital Partners Fund II LP

12/27/11 - 12/18/13

451,433

 


 

 

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 


 

 

 

CALVERT SOCIAL INVESTMENT FUND LARGE CAP CORE PORTFOLIO

 

 

SCHEDULE OF INVESTMENTS

 

 

DECEMBER 31, 2013

 

 

 

 

 

 

 

 

EQUITY SECURITIES - 94.7%

SHARES

VALUE

Air Freight & Logistics - 3.2%

 

 

FedEx Corp.

31,810

$4,573,324

 

 

 

Automobiles - 2.6%

 

 

Toyota Motor Corp. (ADR)

30,281

3,691,860

 

 

 

Biotechnology - 3.1%

 

 

Amgen, Inc.

38,952

4,446,760

 

 

 

Capital Markets - 2.5%

 

 

Credit Suisse Group AG (ADR)*

113,590

3,525,834

 

 

 

Commercial Banks - 4.0%

 

 

Wells Fargo & Co.

126,058

5,723,033

 

 

 

Communications Equipment - 3.4%

 

 

Cisco Systems, Inc.

212,322

4,766,629

 

 

 

Computers & Peripherals - 5.7%

 

 

Apple, Inc.

14,334

8,042,951

 

 

 

Consumer Finance - 3.2%

 

 

Capital One Financial Corp.

59,686

4,572,544

 

 

 

Diversified Financial Services - 2.5%

 

 

Moody's Corp.

45,042

3,534,446

 

 

 

Diversified Telecommunication Services - 1.8%

 

 

BT Group plc (ADR)

39,253

2,478,042

 

 

 

Energy Equipment & Services - 3.1%

 

 

Dresser-Rand Group, Inc.*

9,496

566,247

Exterran Holdings, Inc.*

104,166

3,562,477

Newpark Resources, Inc.*

16,525

203,092

 

 

4,331,816

 

 

 

Food & Staples Retailing - 3.7%

 

 

CVS Caremark Corp.

72,492

5,188,252

 

 

 

Food Products - 1.8%

 

 

General Mills, Inc.

51,984

2,594,521

 

 

 

Health Care Equipment & Supplies - 4.6%

 

 

Becton Dickinson & Co.

6,132

677,525

Medtronic, Inc.

48,424

2,779,053

St. Jude Medical, Inc.

47,976

2,972,113

 

 

6,428,691

 

 

 

Health Care Providers & Services - 2.0%

 

 

McKesson Corp.

17,813

2,875,018

 

 

 

Household Products - 2.9%

 

 

Kimberly-Clark Corp.

39,688

4,145,808

 

 

 

Industrial Conglomerates - 3.2%

 

 

Danaher Corp.

58,438

4,511,414

 

 

 

Insurance - 5.8%

 

 

Aflac, Inc.

16,537

1,104,672

Allianz SE (ADR)

36,371

659,406

American Financial Group, Inc.

64,091

3,699,333

The Travelers Co.'s, Inc.

30,649

2,774,960

 

 

8,238,371

 

 

 

IT Services - 4.3%

 

 

DST Systems, Inc.

42,547

3,860,715

Western Union Co.

132,168

2,279,898

 

 

6,140,613

 

 

 

Machinery - 3.9%

 

 

Cummins, Inc.

18,608

2,623,170

Dover Corp.

30,210

2,916,473

 

 

5,539,643

 

 

 

Media - 12.1%

 

 

DIRECTV*

65,817

4,547,297

Omnicom Group, Inc.

38,771

2,883,399

Time Warner Cable, Inc.

24,553

3,326,932

Time Warner, Inc.

50,131

3,495,133

Viacom, Inc., Class B

33,591

2,933,838

 

 

17,186,599

 

 

 

Multiline Retail - 2.9%

 

 

Target Corp.

65,565

4,148,298

 

 

 

Oil, Gas & Consumable Fuels - 2.4%

 

 

Denbury Resources, Inc.*

205,502

3,376,398

 

 

 

Pharmaceuticals - 6.8%

 

 

Johnson & Johnson

62,972

5,767,605

Roche Holding AG (ADR)

55,612

3,903,962

 

 

9,671,567

 

 

 

Software - 2.1%

 

 

CA, Inc.

86,663

2,916,210

 

 

 

Wireless Telecommunication Services - 1.1%

 

 

Rogers Communications, Inc., Class B

35,397

1,601,714

 

 

 

 

 

 

Total Equity Securities (Cost $111,132,980)

 

134,250,356

 

 

 

TIME DEPOSIT - 5.3%

PRINCIPAL AMOUNT

 

State Street Bank Time Deposit, 0.083%, 1/2/14

$7,567,399

7,567,399

 

 

 

Total Time Deposit (Cost $7,567,399)

 

7,567,399

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (Cost $118,700,379) - 100.0%

 

141,817,755

Other assets and liabilities, net - 0.0%

 

41,584

NET ASSETS - 100%

 

$141,859,339

 


 

 

 

* Non-income producing security.

 

Abbreviations:

ADR: American Depositary Receipts

plc: Public Limited Company

 

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

 


 

 

NOTE A — SIGNIFICANT ACCOUNTING POLICIES

 

General: Calvert Social Investment Fund (the "Fund") is registered under the Investment Company Act of 1940 as an open-end management investment company. The Fund operates as a series fund with seven separate portfolios, four of which are reported herein: Balanced, Bond, Equity, and Large Cap Core. Balanced, Equity, and Large Cap Core are registered as diversified portfolios. Bond is registered as a non-diversified portfolio. The operations of each series are accounted for separately.  Balanced, Bond, Equity, and Large Cap Core each offer Class A, Class B, Class C, Class I, and Class Y shares.  Class A shares are sold with a maximum front-end sales charge of 4.75% (3.75% for Bond). Class B shares are sold without a front-end sales charge and, with certain exceptions, will be charged a deferred sales charge at the time of redemption, depending on how long investors have owned the shares.  Class B shares are no longer offered for purchase, except through reinvestment of dividends and/or distributions and through certain exchanges.  Class C shares are sold without a front-end sales charge and, with certain exceptions, will be charged a deferred sales charge on shares sold within one year of purchase. Class B and Class C shares have higher levels of expenses than Class A shares. Class I shares require a minimum account balance of $1,000,000. The $1 million minimum initial investment is waived for retirement plans that trade through omnibus accounts and may be waived for certain other institutional accounts where it is believed to be in the best interest of the Fund and its shareholders. Class I shares have no front-end or deferred sales charge and have lower levels of expenses than Class A shares.  Class Y shares are generally only available to wrap or similar fee-based programs offered by financial intermediaries, foundations, and endowments that have entered into an agreement with the Fund’s Distributor to offer Class Y shares.  Class Y shares have no front-end or deferred sales charge and have lower levels of expenses than Class A shares.  Each class has different: (a) dividend rates, due to differences in Distribution Plan expenses and other class-specific expenses, (b) exchange privileges and (c) class-specific voting rights.

 

Security 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 Fund uses independent pricing services approved by the Board of Trustees ("the Board") to value its 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 other 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 assets of the Fund, except Special Equities investments, to Calvert Investment Management, Inc. (the “Advisor” or “Calvert”) and has provided these Procedures to govern Calvert in its valuation duties. Special Equities investments, as described in the Fund’s prospectus and statement of additional information, are fair valued by the Board’s Special Equities Committee.

 

Calvert 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 illiquid securities and other 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.

 

The Valuation Committee utilizes various methods to measure the fair value of the Fund’s investments. Generally Accepted Accounting Principles (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. 

 

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period.  Valuation techniques used to value the Funds’ investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, sovereign government bonds, floating rate loans, municipal securities, and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and such securities are generally categorized as Level 2 in the hierarchy. For asset-backed securities, collateralized mortgage-backed obligations, commercial mortgage-backed securities, and U.S. government agency mortgage-backed securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy. 

When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Equity securities, including restricted securities and venture capital securities, for which market quotations are readily available, are valued at the last reported sale price or official 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. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and categorized as Level 2 in the hierarchy.  Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the close of business of the Fund, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account.  For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and such securities are categorized as Level 3 in the hierarchy.

 

Venture capital securities for which market quotations are not readily available are fair valued by the Board and are categorized as Level 3 in the hierarchy.  Venture capital direct 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 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. Examples of the cost approach are replacement cost, salvage value, or net asset percentage. Venture capital limited partnership (LP) securities 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 the absence of a reported LP unit value, it may be estimated based on the Fund’s percentage equity in the partnership and/or other balance sheet information and portfolio value for the most recently available period reported by the general partner.  In some cases, adjustments may be made to account for daily pricing of material public holdings within the partnership. Venture capital debt securities are valued based on assumptions of credit and market risk. For venture capital securities denominated in foreign currency, the fair value is marked to the daily exchange rate.

 


 

 

 

If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Advisor, 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 the Valuation Committee or, with respect to Special Equities investments, by the Special Equities Committee using the venture capital methodologies described above. 

 

The Valuation Committee considers a number of factors, including significant unobservable valuation inputs when arriving at fair value. It considers all significant facts that are reasonably available and relevant to the determination of fair value. 

   

The Valuation Committee primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment.  When more appropriate, the fund may employ an income-based or cost approach.  An income-based valuation approach discounts anticipated future cash flows of the investment to calculate a present amount (discounted).  The measurement is based on the value indicated by current market expectations about those future amounts.  Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments.  A cost based approach is based on the amount that currently would be required to replace the service capacity of an asset (current replacement cost).  From the seller’s perspective, the price that would be received for the asset is determined based on the cost to a buyer to acquire or construct a substitute asset of comparable utility, adjusted for obsolescence. 

 

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.

 

At December 31, 2013, the following securities were fair valued in good faith under the direction of the Board:

 

 

Total Investments

% of Net Assets

Balanced

$12,974,354

2.2%

Bond

3,079,951

0.4%

Equity

34,058,209

1.1%

 


 

 

 

 

The following is a summary of the inputs used to value the Fund’s net assets as of December 31, 2013:

 

 

Balanced

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Equity securities*

$353,041,353

$353,041,353 **

Venture capital

17,000

$8,770,493

8,787,493

Asset-backed securities

$10,409,936

10,409,936

Collateralized mortgage-backed obligations

1,839,708

1,839,708

Commercial mortgage-backed securities

11,200,977

11,200,977

Corporate debt

138,767,349

138,767,349

Municipal obligations

3,994,742

3,994,742

U.S. government obligations

12,519,169

12,519,169

Other debt obligations

56,404,847

56,404,847

TOTAL

$353,058,353

$235,136,728

$8,770,493

$ 596,965,574

 

 

 

 

 

Other financial instruments***

$86,517

$86,517

 

 

* For further breakdown of Equity securities by industry type, please refer to the Schedule of Investments.

** Exclusive of $6,050,742 venture capital equity shown in the venture capital heading.  

*** Other financial instruments are derivative instruments not reflected in the Total Investments in the Schedule of Investments, such as futures, which are valued at the unrealized appreciation/ depreciation on the instrument.

 

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:

Balanced

Venture Capital

Equity

Balance as of 9/30/2013

$8,464,264

$1,033,200

Accrued discounts/premiums

Realized gain (loss)

(952,500)

Change in unrealized appreciation (depreciation)

466,853

966,800

Purchases

Sales

(160,624)

(1,047,500)

Transfers in and/ or out of Level 31

Balance as of 12/31/2013

$8,770,493

$ —

 

Balanced

Total

Balance as of 9/30/2013

$9,497,464

Accrued discounts/premiums

Realized gain (loss)

(952,500)

Change in unrealized appreciation (depreciation)

1,433,653

Purchases

Sales

(1,208,124)

Transfers in and/ or out of Level 31

Balance as of 12/31/2013

$8,770,493

 

1 The Fund’s policy is to recognize transfers into and transfers out of Level 3 as of the end of the reporting period.

 

For the period ended December 31, 2013, total change in unrealized gain (loss) on Level 3 securities included in the change in net assets was $1,433,653. 

 


 

 

Bond

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Equity securities

-

-

-

-

Asset-backed securities

-

$28,434,146

-

$28,434,146

Collateralized mortgage-backed obligations

-

6,206,042

-

6,206,042

Commercial mortgage-backed securities

-

40,132,771

-

40,132,771

Corporate debt

-

527,945,244

$**

527,945,244

Municipal obligations

-

19,825,386

-

19,825,386

U.S. government obligations

-

47,313,599

-

47,313,599

Other debt obligations

-

24,911,081

-

24,911,081

TOTAL

-

$694,768,269

$**

$694,768,269

 

 

 

 

 

Other financial instruments***

$604,292

-

-

$604,292

 

* For a complete listing of investments, please refer to the Schedule of Investments.

** Level 3 securities represent 0.0 % of net assets

*** Other financial instruments are derivative instruments not reflected in the Total Investments in the Schedule of Investments, such as futures, which are valued at the unrealized appreciation/ depreciation on the instrument.

 

There were no transfers between levels during the period.

 

 

Equity

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3     

Total    

Equity securities*

$2,866,206,016

-

-     

$2,866,206,016**

Venture capital

-

-

$23,250,442     

23,250,442   

Other debt obligations

-

$85,203,419

-     

85,203,419   

TOTAL

$2,866,206,016

$85,203,419

$23,250,442***

$2,974,659,877   

 

* For further breakdown of Equity securities by industry type, please refer to the Schedule of Investments.

** Exclusive of $8,721,607 venture capital equity shown in the venture capital heading.  

*** Level 3 securities represent 0.8% of net assets.

 

There were no transfers between levels during the period.

 

 

Large Cap Core

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Equity securities*

$134,250,356

-

-

$134,250,356

Other debt obligations

-

$7,567,399

-

7,567,399

TOTAL

$134,250,356

$7,567,399

-

$141,817,755

 

* For further breakdown of Equity securities by industry type, please refer to the Schedule of Investments.

 

There were no transfers between levels during the period.

 


 

 

Loan Participations and Assignments: The Fund may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. A Fund’s investment 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. A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement.  When a Fund purchases assignments from lenders it acquires direct rights against the borrower of the loan. When investing in a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower.

 

 

Futures Contracts: The Fund may purchase and sell futures contracts, but only when, in the judgment of the Advisor, such a position acts as a hedge.  The Fund may not enter into futures contracts for the purpose of speculation or leverage.  Balanced may also use futures contracts as a substitute for direct investment in a particular asset class, to facilitate the periodic rebalancing of its portfolio in order to maintain its target asset allocation, to make tactical asset allocations, and to assist in managing cash. These futures contracts may include, but are not limited to, futures contracts based on U.S. Government obligations and market index futures (in the case of Balanced).  The Fund is subject to interest rate risk in the normal course of pursuing its investment objectives.  The Fund may use futures contracts to hedge against changes in the value of interest rates. The Fund may enter into futures contracts agreeing 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 Fund. 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 Fund's 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 Fund.  During the period, Balanced and Bond used U.S. Treasury Bond futures contracts to hedge against interest rate changes and to manage overall duration of the portfolios.  Balanced also used futures contracts as a substitute for direct investment in a particular asset class to facilitate rebalancing of the Portfolio and to implement tactical asset allocation decisions. The Fund’s futures contracts at period end are presented in the Schedules of Investments.

 


 

 

During the period ended December 31, 2013 Balanced invested in E-Mini S&P 500 Index futures, as well as 2 year, 5 year, and 10 year U.S. Treasury Notes futures. The volume of outstanding contracts has varied throughout the period with a weighted average of 126 contracts and $6,858,706 weighted average notional value.

 

During the period ended December 31, 2013, Bond invested in 2 year, 5 year, and 10 year U.S. Treasury Notes futures. The volume of outstanding contracts has varied throughout the period with a weighted average of 263 contracts and $2,205,376 weighted average notional value.

 

Restricted Securities: The Fund 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 is included at the end of the Schedules of Investments.

86 - CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT

Security Transactions and Net Investment Income: Security transactions 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 or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Withholding taxes on foreign dividends have been provided for in accordance with management’s understanding of the applicable country’s tax rules and rates.  Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain.  Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.  Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures.  (See footnotes to Schedules of Investments.)  A debt obligation may be removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.  The Fund earns certain fees in connection with its floating rate loan purchasing activities. These fees are in addition to interest payments earned and may include amendment fees, consent fees, and prepayment fees.  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 arising in connection with a specific class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets. 

 

Foreign Currency Transactions: The Fund’s 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 translated 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. The effect of changes in foreign exchange rates on securities is included in the net realized and unrealized gain or loss on investments.

 

Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income are paid monthly by Bond, quarterly by Balanced, and annually by Equity and Large Cap Core.  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 generally accepted accounting principles; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.

 

Estimates: The preparation of the financial statements in conformity with accounting principles generally accepted in the United States 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 income and expenses during the reported period. Actual results could differ from those estimates.

 


 

 

Redemption Fees: Balanced, Bond, Equity, and Large Cap Core each charge a 2% redemption fee on redemptions, including exchanges, made within 30 days of purchase in the same Portfolio (within seven days for all Class I shares). The redemption fee is accounted for as an addition to paid-in capital and is intended to discourage market-timers by ensuring that short-term trading costs are borne by the investors making the transactions and not the shareholders already in the Portfolio.

 SOCIAL INVESTMENT FUND ANNUAL REPORT

Federal Income Taxes: No provision for federal income or excise tax is required since the 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 Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years.

 

 

NOTE B — TAX INFORMATION

 

The following tables present the cost of investments for federal income tax purposes and the components of net unrealized appreciation (depreciation) at December 31, 2013 and the capital loss carryforwards as of September 30, 2013, with expiration dates, where applicable:

 

 

Balanced

Bond

Federal income tax cost of investments

$547,715,125

$700,980,197

Unrealized appreciation

$63,839,257

$14,838,622

Unrealized depreciation

(14,588,809)

(21,050,551)

Net unrealized appreciation/ (depreciation)

$49,250,448

($6,211,929)

 

 

Equity

Large Cap Core

Federal income tax cost of investments

$1,995,876,575

$118,700,900

Unrealized appreciation

$992,226,900

$23,743,671

Unrealized depreciation

(13,443,598)

(626,816)

Net unrealized appreciation/ (depreciation)

$978,783,302

$23,116,855

 

Capital Loss Carryforwards

 

Expiration Date

Equity

30-Sep-17

($83,838,364)

 

Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred in taxable years beginning after December 22, 2010 can be carried forward for an unlimited period. These losses are required to be utilized prior to the losses incurred in pre-enactment taxable years and will retain their characters as either long-term or short-term. Losses incurred in pre-enactment taxable years can be utilized until expiration. Equity’s use of net capital losses acquired from Calvert Large Cap Growth Fund may be limited under certain tax provisions.

 

 

NOTE C — AFFILIATED COMPANIES

 

An affiliated company is a company in which the Portfolios have a direct or indirect ownership of, control of, or voting power over 5 percent or more of the outstanding voting shares.

 


 

 

 

Affiliated companies of the Balanced Portfolio as of December 31, 2013 are as follows:

 

AFFILIATES

COST

VALUE

GEEMF Partners LP

$-

$105,487

Kickboard, Inc.

$285,329

417,803

TOTAL

$285,329

$523,290

 

Affiliated companies of the Equity Portfolio as of December 31, 2013 are as follows:

 

AFFILIATES

COST

VALUE

Coastal Ventures III, LP

$200,000

$258,808

Digital Directions International, Inc.

683,778

91,942

Global Resource Options, Inc.

3,200,178

967,350

New Day Farms, Inc.

506,225

-

Shangri La Farms, Ltd.

200,000

200,001

TOTAL

$4,790,181

$1,518,101

 

 

NOTE D – CAPITAL COMMITMENTS

 

In connection with certain venture capital investments, the Balanced and Equity Portfolios are committed to future capital calls, which will increase the Portfolios’ investment in these securities.  The aggregate amount of the future capital commitments totals $60,000 and $5,700,395 for the Balanced and Equity Portfolios, respectively, at December 31, 2013.

 


 

 

 

CALVERT CONSERVATIVE ALLOCATION FUND

 

 

SCHEDULE OF INVESTMENTS

 

 

DECEMBER 31, 2013

 

 

 

 

 

 

 

 

MUTUAL FUNDS - 88.4%

SHARES

VALUE

Calvert Impact Fund, Inc.:

 

 

Calvert Small Cap Fund, Class I*

138,763

$3,408,025

Calvert Social Index Series, Inc.:

 

 

Calvert Social Index Fund, Class I

358,277

6,208,941

Calvert Social Investment Fund:

 

 

Calvert Bond Portfolio, Class I (a) 

3,245,899

50,408,818

Calvert Equity Portfolio, Class I

181,195

9,454,736

Calvert Large Cap Core Portfolio, Class I

403,434

9,028,856

Calvert World Values Fund, Inc.:

 

 

Calvert Capital Accumulation Fund, Class I

99,713

4,021,434

Calvert Emerging Markets Equity Fund, Class I

196,667

2,590,102

Calvert International Equity Fund, Class I

267,851

4,931,144

Calvert International Opportunities Fund, Class I

182,117

2,975,793

 

 

 

Total Mutual Funds (Cost $87,638,027)

 

93,027,849

 

 

 

TIME DEPOSIT - 11.2%

PRINCIPAL AMOUNT

 

State Street Bank Time Deposit, 0.083%, 1/2/14

$11,771,439

11,771,439

 

 

 

Total Time Deposit (Cost $11,771,439)

 

11,771,439

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (Cost $99,409,466) - 99.6%

 

104,799,288

Other assets and liabilities, net - 0.4%

 

390,522

NET ASSETS - 100%

 

$105,189,810

 

(a) The Fund’s investment in the Calvert Social Investment Fund Bond Portfolio, Class I represents 48% of the Fund’s total investments. The Calvert Conservative Allocation Fund seeks current income and capital appreciation, consistent with the preservation of capital. For further financial information, available upon request at no charge, on the Calvert Social Investment Fund Bond Portfolio please go to the U.S. Securities and Exchange Commission’s website at http://www.sec.gov or call 1-800-368-2745.

 

* Non-income producing security.

 

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

 


 

 

 

CALVERT MODERATE ALLOCATION FUND

 

 

SCHEDULE OF INVESTMENTS

 

 

DECEMBER 31, 2013

 

 

 

 

 

 

 

 

MUTUAL FUNDS - 93.7%

SHARES

VALUE

Calvert Impact Fund, Inc.:

 

 

Calvert Small Cap Fund, Class I*

571,698

$14,040,895

Calvert Social Index Series, Inc.:

 

 

Calvert Social Index Fund, Class I

539,949

9,357,322

Calvert Social Investment Fund:

 

 

Calvert Bond Portfolio, Class I

2,836,949

44,057,823

Calvert Equity Portfolio, Class I

619,008

32,299,822

Calvert Large Cap Core Portfolio, Class I

1,376,716

30,810,909

Calvert World Values Fund, Inc.:

 

 

Calvert Capital Accumulation Fund, Class I

225,356

9,088,589

Calvert Emerging Markets Equity Fund, Class I

659,251

8,682,335

Calvert International Equity Fund, Class I

976,485

17,977,084

Calvert International Opportunities Fund, Class I

664,037

10,850,368

 

 

 

Total Mutual Funds (Cost $146,683,141)

 

177,165,147

 

 

 

TIME DEPOSIT - 6.3%

PRINCIPAL AMOUNT

 

State Street Bank Time Deposit, 0.083%, 1/2/14

$11,971,473

11,971,473

 

 

 

Total Time Deposit (Cost $11,971,473)

 

11,971,473

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (Cost $158,654,614) - 100.0%

 

189,136,620

Other assets and liabilities, net - 0.0%

 

25,249

NET ASSETS - 100%

 

$189,161,869

 

* Non-income producing security.

 

 

 

 

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

 


 

 

 

CALVERT AGGRESSIVE ALLOCATION FUND

 

 

SCHEDULE OF INVESTMENTS

 

 

DECEMBER 31, 2013

 

 

 

 

 

 

 

 

MUTUAL FUNDS - 97.9%

SHARES

VALUE

Calvert Impact Fund, Inc.:

 

 

Calvert Small Cap Fund, Class I*

373,608

$9,175,823

Calvert Social Index Series, Inc.:

 

 

Calvert Social Index Fund, Class I

315,421

5,466,245

Calvert Social Investment Fund:

 

 

Calvert Bond Portfolio, Class I

213,605

3,317,292

Calvert Equity Portfolio, Class I

389,990

20,349,663

Calvert Large Cap Core Portfolio, Class I

866,965

19,402,666

Calvert World Values Fund, Inc.:

 

 

Calvert Capital Accumulation Fund, Class I

131,613

5,307,955

Calvert Emerging Markets Equity Fund, Class I

357,955

4,714,267

Calvert International Equity Fund, Class I

719,733

13,250,290

Calvert International Opportunities Fund, Class I

516,552

8,440,462

 

 

 

Total Mutual Funds (Cost $70,062,259)

 

89,424,663

 

 

 

TIME DEPOSIT - 2.0%

PRINCIPAL AMOUNT

 

State Street Bank Time Deposit, 0.083%, 1/2/14

$1,803,348

1,803,348

 

 

 

Total Time Deposit (Cost $1,803,348)

 

1,803,348

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (Cost $71,865,607) - 99.9%

 

91,228,011

Other assets and liabilities, net - 0.1%

 

77,205

NET ASSETS - 100%

 

$91,305,216

 

* Non-income producing security.

 

 

 

 

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

 


 

Note A — Significant Accounting Policies

General: Calvert Social Investment Fund is registered under the Investment Company Act of 1940 as an open-end management investment company.  The Fund operates as a series fund with seven separate portfolios, three of which are reported herein: Calvert Conservative Allocation Fund ("Conservative"), Calvert Moderate Allocation Fund ("Moderate"), and Calvert Aggressive Allocation Fund ("Aggressive") (the “Funds”). The Funds are registered under the Investment Company Act of 1940 as non-diversified, open-end management investment companies.  The operations of each series are accounted for separately. The Funds invest primarily in a combination of other Calvert equity and fixed income funds (the “Underlying Funds”). Each Fund offers Class A and Class C shares. Class A shares are sold with a maximum front-end sales charge of 4.75%. Class C shares are sold without a front-end sales charge and, with certain exceptions, will be charged a deferred sales charge on shares sold within one year of purchase. Class C shares have higher levels of expenses than Class A shares. Each class has different: (a) dividend rates, due to differences in Distribution Plan expenses and other class-specific expenses, (b) exchange privileges and (c) class-specific voting rights.

Security 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 other 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 assets of the Funds to Calvert Investment Management, Inc. (the “Advisor” or “Calvert”) and has provided these Procedures to govern Calvert in its valuation duties. 

Calvert 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 illiquid securities and other 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.

The Valuation Committee utilizes various methods to measure the fair value of the Funds' investments. Generally Accepted Accounting Principles (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 Funds' 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.  Valuation techniques used to value the Funds' investments by major category are as follows:

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 policies of the Underlying Funds are included in their financial statements, which are available upon request.

 


 

 

Short-term securities of sufficient credit quality with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

 

At December 31, 2013, no securities were fair valued in good faith under the direction of the Board.

The following is a summary of the inputs used to value the Funds’ net assets as of December 31, 2013:

Conservative

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Mutual funds

$93,027,849

-

-

$93,027,849

Other debt obligations

-

$11,771,439

-

$11,771,439

TOTAL

$93,027,849

$11,771,439

-

$104,799,288

 

* For a complete listing of investments, please refer to the Schedule of Investments.

There were no transfers between levels during the period.

 

 

Moderate

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Mutual funds

$177,165,147

-

-

$177,165,147

Other debt obligations

-

$11,971,473

-

$11,971,473

TOTAL

$177,165,147

$11,971,473

-

$189,136,620

 

* For a complete listing of investments, please refer to the Schedule of Investments.

There were no transfers between levels during the period.

 

 

Aggressive

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Mutual funds

$89,424,663

-

-

$89,424,663

Other debt obligations

-

$1,803,348

-

$1,803,348

TOTAL

$89,424,663

$1,803,348

-

$91,228,011

 

* For a complete listing of investments, please refer to the Schedule of Investments.

There were no transfers between levels during the period.

 

 

Futures Contracts: The Funds may purchase and sell futures contracts to facilitate the periodic rebalancing of the portfolios in order to maintain their target asset allocation, to make tactical asset allocations, and to assist in managing cash.  These futures contracts may include, but are not limited to, futures contracts based on U.S. Government obligations and market index futures contracts. The Fund may enter into futures contracts agreeing 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 Fund. 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 Fund's 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.  The Funds did not use futures contracts during the period ended December 31, 2013.

 


 

 

 

Security Transactions and Net Investment Income: Security transactions, normally purchases and sales of shares of the Underlying Funds, are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis. Income and capital gain distributions from the Underlying Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned. 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 arising in connection with a specific class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets.

Distributions to Shareholders: Distributions to shareholders are recorded by the Funds on ex-dividend date. Dividends from net investment income are paid quarterly. 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 generally accepted accounting principles; 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 the financial statements in conformity with accounting principles generally accepted in the United States 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 income and expenses during the reported period. Actual results could differ from those estimates.

Redemption Fees: The Funds charge a 2% redemption fee on redemptions, including exchanges, made within 30 days of purchase in the same Fund. The redemption fee is accounted for as an addition to paid-in capital and is intended to discourage market-timers by ensuring that short-term trading costs are borne by the investors making the transactions and not the shareholders already in the Fund.

Federal Income Taxes: No provision for federal income or excise tax is required since the Funds intend to continue to qualify as regulated investment companies under the Internal Revenue Code and to distribute substantially all 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. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years.

 

Note B – Tax Information

The following table presents the cost of investments for federal income tax purposes and the components of net unrealized appreciation (depreciation) at December 31, 2013:

 

Conservative

Moderate

Aggressive

Federal income tax cost of investments

$99,956,399

$167,288,282

$78,258,023

Unrealized appreciation

$6,277,764

$23,152,784

$14,030,603

Unrealized depreciation

(1,434,875)

(1,304,446)

(1,060,615)

Net unrealized appreciation/ (depreciation)

$4,842,889

$21,848,338

$12,969,988

 


 

 

 

The Funds did not have capital loss carryforwards as of September 30, 2013, their most recent fiscal year end.

 


 

 

Item 2. Controls and Procedures.

 

(a)        The principal executive and financial officers concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under 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 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 registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

 

Item 3. Exhibits.

 

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)).

 

            Filed herewith.

 

            Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment 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/ Barbara J. Krumsiek
            Barbara J. Krumsiek
            President – Principal Executive Officer

Date:    February 28, 2014

 

            Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment 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.

 

            /s/ Barbara J. Krumsiek
            Barbara J. Krumsiek
            President – Principal Executive Officer

Date:    February 28, 2014

 

            /s/ Ronald M. Wolfsheimer
            Ronald M. Wolfsheimer
            Treasurer -- Principal Financial Officer

Date:    February 28, 2014