# Methodology for Calculating the Global Exposure
The Management Company has implemented a risk management process for each Fund in order to comply with its obligations under the UCITS Directive. The Management Company may calculate global exposure for the Fund using the commitment approach, relative VaR or absolute VaR.
The selection of the appropriate methodology for calculating global exposure is made by the Management Company based upon a consideration of the following factors:
- whether the Fund engages in complex investment strategies which represent a significant part of the Fund’s investment policy;
- whether the Fund has a significant exposure to exotic derivatives; and/oriii. whether the commitment approach adequately captures the market risk of the Fund’s portfolio.

The selection of relative VaR or absolute VaR will depend on whether the Fund has a leverage free Reference Portfolio which reflects its investment strategy. The Reference Portfolios adopted by the Funds are standard, widely-used industry indices.
Classification of a Fund will depend on a consideration of each of these factors and the fact that a Fund is authorised to use derivative instruments for investment purposes will not automatically, in isolation, mean that the global exposure of that Fund will be calculated using either relative or absolute VaR approach.
The table below sets out the methodology which the Management Company has adopted for each Fund in order to calculate the global exposure and the expected leverage for the Funds using the VaR approach, as defined by the UCITS Regulations.
Expected Leverage is provided using the ‘sum of the notionals of the derivatives used’ methodology as per the ESMA Guidelines 10-788.
Expected leverage is provided at a Fund level, however the Fund’s actual level of leverage may be higher or lower than the disclosed expected leverage in the table below. Specific hedged share classes may have higher or lower levels of expected leverage than indicated at the Fund level.
Expected leverage is not a regulatory limit on the Fund and there may be no action as a result of the actual leverage being higher or lower than the disclosed expected leverage.
Derivatives usage is consistent with the investment objective and the risk profile of the Fund. The ‘sum of notionals’ calculation does not allow netting or hedging. The expected leverage using the ‘sum of notionals’ calculation may not reflect the investment risk associated with the derivative positions held in the Fund.
Additional information about the realized range of leverage employed by the relevant Funds can be found in the Annual Report.
| Fund Name | Global Exposure Methodology | Reference Portfolio | Expected Gross Leverage |
| --- | --- | --- | --- |
| American Resilience Fund | Commitment | N/A | N/A |
| Asia Opportunity Fund | Commitment | N/A | N/A |
| Asian Property Fund | Commitment | N/A | N/A |
| Calvert Sustainable Climate Aligned Fund | Commitment | N/A | N/A |
| Calvert Sustainable Climate Transition Fund | Commitment | N/A | N/A |
| Calvert Sustainable Developed Europe Equity Select Fund | Commitment | N/A | N/A |
| Calvert Sustainable Developed Markets Equity Select Fund | Commitment | N/A | N/A |
| Calvert Sustainable Diversity, Equity and Inclusion Fund | Commitment | N/A | N/A |
| Calvert Sustainable Emerging Markets Equity Select Fund | Commitment | N/A | N/A |
| Calvert Sustainable Global Equity Engagement Fund | Commitment | N/A | N/A |
| Calvert Sustainable Global Green Bond Fund | Relative VaR | ICE BofA Green Bond Index | 100% |
| Calvert Sustainable US Equity Select Fund | Commitment | N/A | N/A |
| China A-shares Fund | Commitment | N/A | N/A |
| China Equity Fund | Commitment | N/A | N/A |
| Counterpoint Global Fund | Commitment | N/A | N/A |
| Developing Opportunity Fund | Commitment | N/A | N/A |
| Emerging Leaders Equity Fund | Commitment | N/A | N/A |
| Emerging Markets Corporate Debt Fund | Relative VaR | JP Morgan Corporate Emerging Markets Bond Index – Broad Diversified | 100% |
| Emerging Markets Debt Fund | Relative VaR | JP Morgan Emerging Market Bond Index Global Diversified | 100% |
| Emerging Markets Debt Opportunities Fund | Relative VaR | J.P. Morgan Emerging Markets Bond Hard Currency/ Local Currency 50-50 Index | 150% |
| Emerging Markets Domestic Debt Fund | Relative VaR | JP Morgan Government Bond Index- Emerging Markets Global Diversified Index | 150% |
| Emerging Markets Fixed Income Opportunities Fund | Relative VaR | JP Morgan Emerging Markets Blended Index – Equally Weighted | 100% |
| Emerging Markets Local Income Fund | Relative VaR | J.P. Morgan Government Bond Index: Emerging Market (JPM GBI-EM) Global Diversified (unhedged) | 300% |
| Euro Bond Fund | Relative VaR | Bloomberg Euro Aggregate A- or Better Index | 100% |
| Euro Corporate Bond Fund | Relative VaR | Bloomberg Euro-Aggregate Corporates Index | 100% |
| Euro Corporate Bond – Duration Hedged Fund | Absolute VaR | N/A | 150% |
| Euro Strategic Bond Fund | Relative VaR | Bloomberg Euro Aggregate Index | 100% |
| Europe Opportunity Fund | Commitment | N/A | N/A |

| Fund Name | Global Exposure Methodology | Reference Portfolio | Expected Gross Leverage |
| --- | --- | --- | --- |
| European Fixed Income Opportunities Fund | Absolute VaR | N/A | 160% |
| European High Yield Bond Fund | Relative VaR | ICE BofA ML European Currency High Yield 3% Constrained Ex-Sub Financials Index | 100% |
| European Property Fund | Commitment | N/A | N/A |
| Floating Rate ABS Fund | Absolute VaR | N/A | 160% |
| Frontier Markets Local Debt Fund | Absolute VaR | N/A | 150% |
| Global Asset Backed Securities Fund | Absolute VaR | N/A | 160% |
| Global Balanced Defensive Fund | Absolute VaR | N/A | 100% |
| Global Balanced Fund | Absolute VaR | N/A | 100% |
| Global Balanced Income Fund | Absolute VaR | N/A | 100% |
| Global Balanced Risk Control Fund of Funds | Absolute VaR | N/A | 50% |
| Global Balanced Sustainable Fund | Absolute VaR | N/A | 100% |
| Global Bond Fund | Relative VaR | Bloomberg Global Aggregate Index | 100% |
| Global Brands Equity Income Fund | Relative VaR | MSCI World Index | 200% |
| Global Brands Fund | Commitment | N/A | N/A |
| Global Convertible Bond Fund | Relative VaR | Refinitiv Global Convertible Index Global Focus Hedged USD | 100% |
| Global Credit Fund | Relative VaR | Bloomberg Global Aggregate Corporate Index | 160% |
| Global Credit Opportunities Fund | Absolute VaR | N/A | 160% |
| Global Core Equity Fund | Commitment | N/A | N/A |
| Global Endurance Fund | Commitment | N/A | N/A |
| Global Fixed Income Opportunities Fund | Absolute VaR | N/A | 160% |
| Global Focus Property Fund | Commitment | N/A | N/A |
| Global High Yield Bond Fund | Relative VaR | Bloomberg Global High Yield – Corporate Index | 100% |
| Global Infrastructure Fund | Commitment | N/A | N/A |
| Global Insight Fund | Commitment | N/A | N/A |
| Global Macro Fund | Absolute VaR | N/A | 450% |
| Global Multi-Asset Opportunities Fund | Absolute VaR | N/A | 500% |
| Global Opportunity Fund | Commitment | N/A | N/A |
| Global Permanence Fund | Commitment | N/A | N/A |
| Global Property Fund | Commitment | N/A | N/A |
| Global Quality Fund | Commitment | N/A | N/A |
| Global Sustain Fund | Commitment | N/A | N/A |
| Indian Equity Fund | Commitment | N/A | N/A |
| International Equity (ex US) Fund | Commitment | N/A | N/A |
| Japanese Equity Fund | Commitment | N/A | N/A |

| Fund Name | Global Exposure Methodology | Reference Portfolio | Expected Gross Leverage |
| --- | --- | --- | --- |
| Japanese Small Cap Equity Fund | Commitment | N/A | N/A |
| Latin American Equity Fund | Commitment | N/A | N/A |
| NextGen Emerging Markets Fund | Commitment | N/A | N/A |
| Multi-Asset Risk Control Fund | Absolute VaR | N/A | 100% |
| Parametric Emerging Markets Fund | Commitment | N/A | N/A |
| Parametric Global Defensive Equity Fund | Commitment | N/A | 90% |
| Saudi Equity Fund | Commitment | N/A | N/A |
| Short Duration US Government Income Fund | Absolute VaR | N/A | 125% |
| Short Maturity Euro Bond Fund | Commitment | N/A | N/A |
| Short Maturity Euro Corporate Bond Fund | Relative VaR | Bloomberg Euro Aggregate Corporates 1-3 Year Index | 110% |
| Sustainable Asia Equity Fund | Commitment | N/A | N/A |
| Sustainable Emerging Markets Equity Fund | Commitment | N/A | N/A |
| Sustainable Euro Corporate Bond Fund | Relative VaR | Bloomberg Euro-Aggregate Corporates Index | 100% |
| Sustainable Euro Strategic Bond Fund | Relative VaR | Bloomberg Euro Aggregate Index | 130% |
| Sustainable European High Yield Bond Fund | Commitment | N/A | 25% |
| Sustainable Global Fixed Income Opportunities Fund | Absolute VaR | N/A | 160% |
| Sustainable Global High Yield Bond Fund | Commitment | N/A | 25% |
| Sustainable US High Yield Bond Fund | Commitment | N/A | 10% |
| US Advantage Fund | Commitment | N/A | N/A |
| US Core Equity Fund | Commitment | N/A | N/A |
| US Dollar Corporate Bond Fund | Relative VaR | Bloomberg US Corporate Index | 110% |
| US Dollar High Yield Bond Fund | Relative VaR | Bloomberg US Corporate High Yield Index | 100% |
| US Dollar Short Duration Bond Fund | Commitment | N/A | N/A |
| US Dollar Short Duration High Yield Bond Fund | Relative VaR | Bloomberg US High Yield 1-5 Year Cash Pay 2% Issuer Capped Index | 100% |
| US Focus Property Fund | Commitment | N/A | N/A |
| US Growth Fund | Commitment | N/A | N/A |
| US Insight Fund | Commitment | N/A | N/A |
| US Permanence Fund | Commitment | N/A | N/A |
| US Property Fund | Commitment | N/A | N/A |
| US Value Fund | Commitment | N/A | N/A |
| Vitality Fund | Commitment | N/A | N/A |

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Translation (ENIT, 2022-11-01):
# Metodo di Calcolo dell’Esposizione Globale
La Società di Gestione ha adottato un processo di gestione del rischio per ciascun Comparto ai fini dell’adempimento delle proprie obbligazioni ai sensi della Direttiva UCITS. La Società di Gestione potrà calcolare l’esposizione globale per i Comparti che utilizzano l’approccio fondato sugli impegni, il VaR relativo e il VaR assoluto.
La selezione di un adeguato metodo di calcolo dell’esposizione globale è effettuata dalla Società di Gestione sulla base della considerazione dei seguenti fattori:
- se il Comparto è impegnato in strategie d’investimento complesse che rappresentano una parte significativa della politica di investimento dello stesso Comparto;
- se il Comparto ha una esposizione significatia su derivati esotici; e/o
- se l’approccio fondato sugli impegni cattura adeguatamente il rischio di mercato del portafoglio del Comparto.

La selezione del VaR relativo e del VaR assoluto dipenderà dal fatto se il Comparto abbia un Portafoglio di riferimento privo di leva che rifletta la sua strategia d’investimento. I Portafogli di Riferimento adottati dai Comparti sono indici standard largamente usati nell’industria.
La classificazione di un Comparto dipenderà dalla considerazione di ciascuno di questi fattori ed il fatto che un Comparto sia autorizzato all’uso di strumenti derivati a fini d’investimento non significherà automaticamente di per sè che l’esposizione globale di quel Comparto sarà calcolata usando l’approccio di VaR relativo o di VaR assoluto.
La tabella che segue indica il metodo che la Società di Gestione ha adottato per ciascun Comparto al fine di calcolare l’esposizione globale e la leva prevista per i Comparti che utilizzano l’approccio VaR,, come definito in conformità ai Regolamenti OICVM.
La leva prevista è fornita utilizzando il metodo “somma dei nozionali dei derivati utilizzati” secondo le linee guida ESMA 10-788.
La leva prevista è fornita a livello del Comparto; tuttavia l’attuale livello di leva del Comparto può essere più alto o più basso rispetto alla leva prevista indicata nella tabella sottostante. Specifiche classi con copertura possono avere livelli di leva prevista più alti o più bassi rispetto a quelli indicati a livello di Comparto.
La leva prevista non è un limite regolamentare sul Comparto e può non esservi alcuna azione in conseguenza della leva effettiva più alta o più bassa rispetto alla leva prevista indicata.
L’uso dei derivati è coerente con l’obiettivo di investimento ed il profilo di rischio del Comparto. Il calcolo della “somma dei nozionali” non permette il netting o la copertura. La leva prevista che usa il calcolo della “somma dei nozionali” può non indicare il rischio di investimento associato alle posizioni su derivati detenute dal Comparto.
E’ possibile reperire ulteriori informazioni sulla gamma realizzata di leva utilizzata dai relativi Comparti nella Relazione Annuale.
| Nome del Comparto | Metodo di Esposizione Globale | Portafoglio di riferimento | Leva lorda prevista |
| --- | --- | --- | --- |
| American Resilience Fund | Approccio fondato sugli impegni | N/A | N/A |
| Asia Opportunity Fund | Approccio fondato sugli impegni | N/A | N/A |
| Asian Property Fund | Approccio fondato sugli impegni | N/A | N/A |
| Calvert Sustainable Climate Aligned Fund | Approccio fondato sugli impegni | N/A | N/A |
| Calvert Sustainable Climate Transition Fund | Approccio fondato sugli impegni | N/A | N/A |
| Calvert Sustainable Developed Europe Equity Select Fund | Approccio fondato sugli impegni | N/A | N/A |
| Calvert Sustainable Developed Markets Equity Select Fund | Approccio fondato sugli impegni | N/A | N/A |
| Calvert Sustainable Diversity, Equity and Inclusion Fund | Approccio fondato sugli impegni | N/A | N/A |
| Calvert Sustainable Emerging Markets Equity Select Fund | Approccio fondato sugli impegni | N/A | N/A |
| Calvert Sustainable Global Equity Engagement Fund | Approccio fondato sugli impegni | N/A | N/A |
| Calvert Sustainable Global Green Bond Fund | VaR Relativo | ICE BofA Green Bond Index | 100% |
| Calvert Sustainable US Equity Select Fund | Approccio fondato sugli impegni | N/A | N/A |
| China A-shares Fund | Approccio fondato sugli impegni | N/A | N/A |
| China Equity Fund | Approccio fondato sugli impegni | N/A | N/A |
| Counterpoint Global Fund | Approccio fondato sugli impegni | N/A | N/A |
| Developing Opportunity Fund | Approccio fondato sugli impegni | N/A | N/A |
| Emerging Leaders Equity Fund | Approccio fondato sugli impegni | N/A | N/A |
| Emerging Markets Corporate Debt Fund | VaR Relativo | JP Morgan Corporate Emerging Markets Bond Index – Broad Diversified | 100% |
| Emerging Markets Debt Fund | VaR Relativo | JP Morgan Emerging Market Bond Index Global Diversified | 100% |
| Emerging Markets Debt Opportunities Fund | VaR Relativo | J.P. Morgan Emerging Markets Bond Hard Currency/ Local Currency 50-50 Index | 150% |
| Emerging Markets Domestic Debt Fund | VaR Relativo | JP Morgan Government Bond Index – Emerging Markets Global Diversified Index | 100% |
| Emerging Markets Fixed Income Opportunities Fund | VaR Relativo | JP Morgan Emerging Markets Aggregate Index – Equally Weight | 100% |
| Emerging Markets Local Income Fund | VaR Relativo | J.P. Morgan Government Bond Index: Emerging Market (JPM GBI-EM) Global Diversified (unhedged) Index | 300% |
| Euro Bond Fund | VaR Relativo | Bloomberg Euro-Aggregate A – o Better Index | 100% |
| Euro Corporate Bond Fund | VaR Relativo | Bloomberg Euro-Aggregate Corporates Index | 100% |
| Euro Corporate Bond – Duration Hedged Fund | VaR Assoluto | N/A | 150% |
| Euro Strategic Bond Fund | VaR Relativo | Bloomberg Euro Aggregate Index | 100% |
| European Fixed Income Opportunities Fund | VaR Assoluto | N/A | 160% |
| European High Yield Bond Fund | VaR Relativo | ICE BofA ML European Currency High Yield 3% Constrained Ex-Sub Financials Index | 100% |

| Nome del Comparto | Metodo di Esposizione Globale | Portafoglio di riferimento | Leva lorda prevista |
| --- | --- | --- | --- |
| Europe Opportunity Fund | Approccio fondato sugli impegni | N/A | N/A |
| European Property Fund | Approccio fondato sugli impegni | N/A | N/A |
| Floating Rate ABS Fund | VaR Assoluto | N/A | 160% |
| Frontier Markets Local Debt Fund | VaR Assoluto | N/A | 150% |
| Global Asset Backed Securities Fund | VaR Assoluto | N/A | 250% |
| Global Balanced Fund | VaR Assoluto | N/A | 100% |
| Global Balanced Defensive Fund | VaR Assoluto | N/A | 100% |
| Global Balanced Income Fund | VaR Assoluto | N/A | 100% |
| Global Balanced Risk Control Fund of Funds | VaR Assoluto | N/A | 50% |
| Global Balanced Sustainable Fund | VaR Assoluto | N/A | 100% |
| Global Bond Fund | VaR Relativo | Bloomberg Global Aggregate Index | 100% |
| Global Brands Equity Income Fund | VaR Relativo | MSCI World Index | 200% |
| Global Brands Fund | Approccio fondato sugli impegni | N/A | N/A |
| Global Convertible Bond Fund | VaR relativo | Refinitiv Global Convertible Index Global Focus Hedged USD | 100% |
| Global Credit Fund | VaR Relativo | Bloomberg Global Aggregate Corporate Index | 160% |
| Global Credit Opportunities Fund | VaR Assoluto | N/A | 160% |
| Global Core Equity Fund | Approccio fondato sugli impegni | N/A | N/A |
| Global Endurance Fund | Approccio fondato sugli impegni | N/A | N/A |
| Global Fixed Income Opportunities Fund | VaR relativo | N/A | 160% |
| Global Focus Property Fund | Approccio fondato sugli impegni | N/A | N/A |
| Global High Yield Bond Fund | VaR relativo | Bloomberg Global High Yield – Corporate Index | 100% |
| Global Infrastructure Fund | Approccio fondato sugli impegni | N/A | N/A |
| Global Insight Fund | Approccio fondato sugli impegni | N/A | N/A |
| Global Macro Fund | VaR assoluto | N/A | 450% |
| Global Multi-Asset Opportunities Fund | VaR assoluto | N/A | 500% |
| Global Opportunity Fund | Approccio fondato sugli impegni | N/A | N/A |
| Global Permanence Fund | Approccio fondato sugli impegni | N/A | N/A |
| Global Property Fund | Approccio fondato sugli impegni | N/A | N/A |
| Global Quality Fund | Approccio fondato sugli impegni | N/A | N/A |
| Global Sustain Fund | Approccio fondato sugli impegni | N/A | N/A |
| Indian Equity Fund | Approccio fondato sugli impegni | N/A | N/A |
| International Equity (ex US) Fund | Approccio fondato sugli impegni | N/A | N/A |
| Japanese Equity Fund | Approccio fondato sugli impegni | N/A | N/A |

| Nome del Comparto | Metodo di Esposizione Globale | Portafoglio di riferimento | Leva lorda prevista |
| --- | --- | --- | --- |
| Japanese Small Cap Equity Fund | Approccio fondato sugli impegni | N/A | N/A |
| Latin American Equity Fund | Approccio fondato sugli impegni | N/A | N/A |
| NextGen Emerging Markets Fund | Approccio fondato sugli impegni | N/A | N/A |
| Multi-Asset Risk Control Fund | VaR Assoluto | N/A | 100% |
| Parametric Emerging Markets Fund | Approccio fondato sugli impegni | N/A | N/A |
| Parametric Global Defensive Equity Fund | Approccio fondato sugli impegni | N/A | 90% |
| Saudi Equity Fund | Approccio fondato sugli impegni | N/A | N/A |
| Short Duration US Government Income Fund | VaR Assoluto | N/A | 125% |
| Short Maturity Euro Bond Fund | Approccio fondato sugli impegni | N/A | N/A |
| Short Maturity Euro Corporate Bond Fund | VaR Relativo | Bloomberg Euro Aggregate Corporates 1-3 Year Index | 110% |
| Sustainable Asia Equity Fund | Approccio fondato sugli impegni | N/A | N/A |
| Sustainable Emerging Markets Equity Fund | Approccio fondato sugli impegni | N/A | N/A |
| Sustainable Euro Corporate Bond Fund | VaR Relativo | Bloomberg Euro-Aggregate Corporates Index | 100% |
| Sustainable Euro Strategic Bond Fund | VaR Relativo | Bloomberg Euro Aggregate Index | 130% |
| Sustainable European High Yield Bond Fund | Approccio fondato sugli impegni | N/A | 25% |
| Sustainable Global Fixed Income Opportunities Fund | VaR Assoluto | N/A | 160% |
| Sustainable Global High Yield Bond Fund | Approccio fondato sugli impegni | N/A | 25% |
| Sustainable US High Yield Bond Fund | Approccio fondato sugli impegni | N/A | 10% |
| US Advantage Fund | Approccio fondato sugli impegni | N/A | N/A |
| US Core Equity Fund | Approccio fondato sugli impegni | N/A | N/A |
| US Dollar Corporate Bond Fund | VaR Relativo | Bloomberg US Corporate Index | 110% |
| US Dollar High Yield Bond Fund | VaR Relativo | Bloomberg US Corporate High Yield Index | 100% |
| US Dollar Short Duration Bond Fund | Approccio fondato sugli impegni | N/A | N/A |
| US Dollar Short Duration High Yield Bond Fund | VaR Relativo | Bloomberg US High Yield 1-5 Year Cash Pay 2% Issuer Capped Index | 100% |
| US Focus Property Fund | Approccio fondato sugli impegni | N/A | N/A |
| US Growth Fund | Approccio fondato sugli impegni | N/A | N/A |
| US Insight Fund | Approccio fondato sugli impegni | N/A | N/A |
| US Permanence Fund | Approccio fondato sugli impegni | N/A | N/A |
| US Property Fund | Approccio fondato sugli impegni | N/A | N/A |
| US Value Fund | Approccio fondato sugli impegni | N/A | N/A |
| Vitality Fund | Approccio fondato sugli impegni | N/A | N/A |

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