I want to create a new calendar "on my mac" but the item is missing in calendar.app v. 8

I have migrated to yosemity. Sometimes I use an 'on my mac' calendar. I just wanted to create one for one of my projects, but I can only see "Exchange", "google" and "iCloud" but I don't want any of those, just a local one.

The menu item is not there anymore, what setting am I missing?