# 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% |
| 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 Core Equity Fund | Commitment | N/A | N/A |
| Global Credit Fund | Relative VaR | Bloomberg Global Aggregate Corporate Index | 160% |
| Global Credit Opportunities Fund | Absolute VaR | N/A | 160% |
| 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 |
| Japanese Small Cap Equity Fund | Commitment | N/A | N/A |

| Fund Name | Global Exposure Methodology | Reference Portfolio | Expected Gross Leverage |
| --- | --- | --- | --- |
| 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 Corporate 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 (ENFR, 2023-01-01):
# Méthodologie de calcul de l’exposition globale
La Société de Gestion a mis en œuvre un processus de gestion des risques pour chaque Compartiment afin de respecter ses obligations au titre de la Directive OPCVM. La Société de Gestion peut calculer l’exposition globale du Compartiment en utilisant la méthode du calcul de l’engagement, de l’approche en VaR relative ou de l’approche en VaR absolue.
C’est la Société de Gestion qui choisit la méthode appropriée pour calculer l’exposition globale après examen des facteurs suivants :
- si le Compartiment met en œuvre des stratégies d’investissement complexes qui représentent une part importante de sa politique d’investissement ;
- si le Compartiment a une exposition importante à des produits dérivés exotiques ; ou
- si la méthode du calcul de l’engagement saisit correctement le risque de marché du portefeuille du Compartiment.

La sélection de l’approche en VaR relative ou de l’approche en VaR absolue dépendra de savoir si le portefeuille de référence du Compartiment ne subit pas d’effet de levier qui reflète sa stratégie d’investissement. Les portefeuilles de référence adoptés par les Compartiments sont des indices du secteur standard, largement utilisés.
La classification d’un Compartiment dépendra de l’analyse de chacun de ces facteurs et le seul fait qu’un Compartiment soit autorisé à recourir à des instruments dérivés à des fins d’investissement ne suffira pas, en soi, à déterminer le mode de calcul de l’exposition globale de ce Compartiment par l’approche en VaR relative ou en VaR absolue.
Le tableau ci-après définit la méthodologie que la Société de Gestion a adoptée pour chaque Compartiment afin de calculer l’exposition globale et l’effet de levier attendus pour les Compartiments en utilisant l’approche en VaR, telle que définie par la réglementation sur les OPCVM.
L’effet de levier attendu est obtenu au moyen de la méthodologie de la « somme des notionnels des produits dérivés utilisés », conformément aux directives de l’ESMA 10-788.
L’effet de levier attendu est fourni au niveau du Compartiment. Toutefois, le niveau réel de l’effet de levier peut être supérieur ou inférieur à l’effet de levier attendu présenté dans le tableau ci-après. Des classes d’actions couvertes spécifiques peuvent avoir des niveaux de levier attendu supérieurs ou inférieurs à ceux indiqués au niveau du Compartiment.
Le levier attendu n’est pas une limite réglementaire applicable aux Compartiments, et il se peut qu’aucune mesure ne soit prise si l’effet de levier réel est supérieur ou inférieur à celui annoncé.
L’utilisation de produits dérivés correspond à l’objectif d’investissement et au profil de risque du Compartiment. Le calcul de la « somme des notionnels » ne permet pas de compensation ni de prise en compte de la couverture. L’effet de levier attendu calculé en utilisant « la somme des notionnels » peut ne pas refléter le risque d’investissement associé aux expositions sur produits dérivés d’un Compartiment.
Le rapport annuel présente des informations supplémentaires sur l’éventail réel des effets de levier utilisés selon le Compartiment considéré.
| Nom du Compartiment | Méthodologie de calcul de l’exposition globale | Portefeuille de référence | Effet de levier brut attendu |
| --- | --- | --- | --- |
| American Resilience Fund | Engagement | N/A | N/A |
| Asia Opportunity Fund | Engagement | N/A | N/A |
| Asian Property Fund | Engagement | N/A | N/A |
| Calvert Sustainable Climate Aligned Fund | Engagement | N/A | N/A |
| Calvert Sustainable Climate Transition Fund | Engagement | N/A | N/A |
| Calvert Sustainable Developed Europe Equity Select Fund | Engagement | N/A | N/A |
| Calvert Sustainable Developed Markets Equity Select Fund | Engagement | N/A | N/A |
| Calvert Sustainable Diversity, Equity and Inclusion Fund | Engagement | N/A | N/A |
| Calvert Sustainable Emerging Markets Equity Select Fund | Engagement | N/A | N/A |
| Calvert Sustainable Global Equity Engagement Fund | Engagement | N/A | N/A |
| Calvert Sustainable Global Green Bond Fund | VaR relative | ICE BofA Green Bond Index | 100 % |
| Calvert Sustainable US Equity Select Fund | Engagement | N/A | N/A |
| China A-shares Fund | Engagement | N/A | N/A |
| China Equity Fund | Engagement | N/A | N/A |
| Counterpoint Global Fund | Engagement | N/A | N/A |
| Developing Opportunity Fund | Engagement | N/A | N/A |
| Emerging Leaders Equity Fund | Engagement | N/A | N/A |
| Emerging Markets Corporate Debt Fund | VaR relative | JP Morgan Corporate Emerging Markets Bond Index – Broad Diversified | 100 % |
| Emerging Markets Debt Fund | VaR relative | JP Morgan Emerging Market Bond Index Global Diversified | 100 % |
| Emerging Markets Debt Opportunities Fund | VaR relative | J.P. Morgan Emerging Markets Bond Hard Currency/ Local Currency 50-50 Index | 150 % |
| Emerging Markets Domestic Debt Fund | VaR relative | JP Morgan Government Bond Index- Emerging Markets Global Diversified Index | 100 % |
| Emerging Markets Fixed Income Opportunities Fund | VaR relative | JP Morgan Emerging Markets Blended Index – Equally Weighted | 100 % |
| Emerging Markets Local Income Fund | VaR relative | J.P. Morgan Government Bond Index : Emerging Market (JPM GBI-EM) Global Diversified (unhedged) Index | 300 % |
| Euro Bond Fund | VaR relative | Indice Bloomberg Euro Aggregate A- ou meilleur | 100 % |
| Euro Corporate Bond Fund | VaR relative | Bloomberg Euro-Aggregate Corporates Index | 100 % |
| Euro Corporate Bond – Duration Hedged Fund | VaR absolue | N/A | 150 % |
| Euro Strategic Bond Fund | VaR relative | Bloomberg Euro Aggregate Index | 100 % |
| Europe Opportunity Fund | Engagement | N/A | N/A |
| European Fixed Income Opportunities Fund | VaR absolue | N/A | 160 % |
| European High Yield Bond Fund | VaR relative | ICE BofA ML European Currency High Yield 3 % Constrained Ex-Sub Financials Index | 100 % |
| European Property Fund | Engagement | N/A | N/A |

| Nom du Compartiment | Méthodologie de calcul de l’exposition globale | Portefeuille de référence | Effet de levier brut attendu |
| --- | --- | --- | --- |
| Floating Rate ABS Fund | VaR absolue | N/A | 160 % |
| Global Asset Backed Securities Fund | VaR absolue | N/A | 160 % |
| Global Balanced Defensive Fund | VaR absolue | N/A | 100 % |
| Global Balanced Fund | VaR absolue | N/A | 100 % |
| Global Balanced Income Fund | VaR absolue | N/A | 100 % |
| Global Balanced Risk Control Fund of Funds | VaR absolue | N/A | 50 % |
| Global Balanced Sustainable Fund | VaR absolue | N/A | 100 % |
| Global Bond Fund | VaR relative | Bloomberg Global Aggregate Index | 100 % |
| Global Brands Equity Income Fund | VaR relative | MSCI World Index | 200 % |
| Global Brands Fund | Engagement | N/A | N/A |
| Global Convertible Bond Fund | VaR relative | Refinitiv Global Convertible Index Global Focus Hedged USD | 100 % |
| Global Core Equity Fund | Engagement | N/A | N/A |
| Global Credit Fund | VaR relative | Bloomberg Global Aggregate Corporate Index | 160 % |
| Global Credit Opportunities Fund | VaR absolue | N/A | 160 % |
| Global Endurance Fund | Engagement | N/A | N/A |
| Global Fixed Income Opportunities Fund | VaR absolue | N/A | 160 % |
| Global Focus Property Fund | Engagement | N/A | N/A |
| Global High Yield Bond Fund | VaR relative | Bloomberg Global High Yield – Corporate Index | 100 % |
| Global Infrastructure Fund | Engagement | N/A | N/A |
| Global Insight Fund | Engagement | N/A | N/A |
| Global Macro Fund | VaR absolue | N/A | 450 % |
| Global Multi-Asset Opportunities Fund | VaR absolue | N/A | 500 % |
| Global Opportunity Fund | Engagement | N/A | N/A |
| Global Permanence Fund | Engagement | N/A | N/A |
| Global Property Fund | Engagement | N/A | N/A |
| Global Quality Fund | Engagement | N/A | N/A |
| Global Sustain Fund | Engagement | N/A | N/A |
| Indian Equity Fund | Engagement | N/A | N/A |
| International Equity (ex US) Fund | Engagement | N/A | N/A |
| Japanese Equity Fund | Engagement | N/A | N/A |
| Japanese Small Cap Equity Fund | Engagement | N/A | N/A |
| Latin American Equity Fund | Engagement | N/A | N/A |
| NextGen Emerging Markets Fund | Engagement | N/A | N/A |
| Multi-Asset Risk Control Fund | VaR absolue | N/A | 100 % |
| Parametric Emerging Markets Fund | Engagement | N/A | N/A |
| Parametric Global Defensive Equity Fund | Engagement | N/A | 90 % |

| Nom du Compartiment | Méthodologie de calcul de l’exposition globale | Portefeuille de référence | Effet de levier brut attendu |
| --- | --- | --- | --- |
| Saudi Equity Fund | Engagement | N/A | N/A |
| Short Duration US Government Income Fund | VaR absolue | N/A | 125 % |
| Short Maturity Euro Bond Fund | Engagement | N/A | N/A |
| Short Maturity Euro Corporate Bond Fund | VaR relative | Bloomberg Euro Aggregate Corporate 1-3 Year Index | 110 % |
| Sustainable Asia Equity Fund | Engagement | N/A | N/A |
| Sustainable Emerging Markets Equity Fund | Engagement | N/A | N/A |
| Sustainable Euro Corporate Bond Fund | VaR relative | Bloomberg Euro-Aggregate Corporates Index | 100 % |
| Sustainable Euro Strategic Bond Fund | VaR relative | Bloomberg Euro Aggregate Index | 130 % |
| Sustainable European High Yield Bond Fund | Engagement | N/A | 25 % |
| Sustainable Global Fixed Income Opportunities Fund | VaR absolue | N/A | 160 % |
| Sustainable Global High Yield Bond Fund | Engagement | N/A | 25 % |
| Sustainable US High Yield Bond Fund | Engagement | N/A | 10 % |
| US Advantage Fund | Engagement | N/A | N/A |
| US Core Equity Fund | Engagement | N/A | N/A |
| US Dollar Corporate Bond Fund | VaR relative | Bloomberg US Corporate Index | 110 % |
| US Dollar High Yield Bond Fund | VaR relative | Bloomberg US Corporate High Yield Index | 100 % |
| US Dollar Short Duration Bond Fund | Engagements | N/A | N/A |
| US Dollar Short Duration High Yield Bond Fund | VaR relative | Bloomberg US High Yield 1-5 Year Cash Pay 2 % Issuer Capped Index | 100 % |
| US Focus Property Fund | Engagement | N/A | N/A |
| US Growth Fund | Engagement | N/A | N/A |
| US Insight Fund | Engagement | N/A | N/A |
| US Permanence Fund | Engagement | N/A | N/A |
| US Property Fund | Engagement | N/A | N/A |
| US Value Fund | Engagement | N/A | N/A |
| Vitality Fund | Engagement | N/A | N/A |

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