# 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/or
- 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 |
| --- | --- | --- | --- |
| 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 |
| European Fixed Income Opportunities Fund | Absolute VaR | N/A | 160% |

| Fund Name | Global Exposure Methodology | Reference Portfolio | Expected Gross Leverage |
| --- | --- | --- | --- |
| 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 |
| 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 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 Infrastructure Unconstrained Fund | Absolute VaR | N/A | 185% |
| 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 |
| Latin American Equity Fund | Commitment | N/A | N/A |
| Liquid Alpha Capture Fund | Absolute VaR | N/A | 300% |

| Fund Name | Global Exposure Methodology | Reference Portfolio | Expected Gross Leverage |
| --- | --- | --- | --- |
| 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% |
| Real Assets Fund | Commitment | N/A | N/A |
| 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 |
| 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 Credit Fund | Relative VaR | Bloomberg Global Aggregate Corporate Index | 160% |
| 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 (ENDE, 2022-07-01):
# Methode zur Berechnung des Gesamtexposure
Die Verwaltungsgesellschaft hat für jeden Fonds ein Risikomanagementverfahren eingeführt, um ihre Verpflichtungen nach der OGAW-Richtlinie erfüllen zu können. Die Verwaltungsgesellschaft kann das Gesamtexposure des Fonds unter Verwendung des Commitment Approach, des relativen VaR oder des absoluten VaR berechnen.
Die Auswahl der geeigneten Methode zur Berechnung des Gesamtexposure wird von der Verwaltungsgesellschaft unter Berücksichtigung folgender Faktoren vorgenommen:
- ob der Fonds komplexe Anlagestrategien verfolgt, die einen wesentlichen Teil der Anlagepolitik des Fonds ausmachen;
- ob der Fonds ein wesentliches Engagement in exotischen Derivaten hat; und/oder
- ob der Commitment Approach das Marktrisiko des Portfolios des Fonds adäquat erfasst.

Die Auswahl des relativen VaR oder des absoluten VaR hängt davon ab, ob der Fonds ein Leverage freies Referenzportfolio hat, welches seine Anlagestrategie widerspiegelt. Bei den von den Fonds verwendeten Referenzportfolios handelt es sich um weit verbreitete Standard-Branchenindizes.
Die Einstufung eines Fonds hängt von der Beurteilung jedes einzelnen dieser Faktoren ab, und die Tatsache, dass es einem Fonds gestattet ist, zu Anlagezwecken derivative Instrumente einzusetzen, bedeutet für sich genommen nicht automatisch, dass das Gesamtexposure dieses Fonds unter Verwendung des relativen oder des absoluten VaR berechnet wird.
Aus der nachfolgenden Tabelle ist die Methode ersichtlich, welche die Verwaltungsgesellschaft für jeden Fonds angewendet hat, um das Gesamtexposure und die erwartete Hebelwirkung für die Fonds unter Verwendung des VaR-Ansatzes, wie in den OGAW- Vorschriften definiert, zu berechnen.
Die erwartete Hebelwirkung wird unter Verwendung der Methode
„Summe der Nennwerte der verwendeten Derivate“ nach den ESMA Guidelines 10-788 berechnet.
Die erwartete Hebelwirkung wird auf der Ebene des Fonds angegeben. Jedoch kann die tatsächliche Hebelwirkung des Fonds höher oder niedriger als die in der nachstehenden Tabelle angegebene erwartete Hebelwirkung sein. Bei besonders abgesicherten Anteilklassen kann die erwartete Hebelwirkung höher oder niedriger als auf Fondsebene sein.
Die erwartete Hebelwirkung stellt keine regulatorische Beschränkung für den Fonds dar. Unter Umständen werden keine Maßnahmen ergriffen, falls die tatsächliche Hebelwirkung höher oder niedriger als die angegebene erwartete Hebelwirkung ausfällt.
Der Einsatz von Derivaten erfolgt im Einklang mit dem Anlageziel und Risikoprofil des Fonds. Im Rahmen der Berechnung „Summe der Nennwerte“ ist Netting oder Hedging untersagt. Die erwartete Hebelwirkung, die die Berechnung „Summe der Nennwerte“ verwendet, berücksichtigt unter Umständen nicht das Anlagerisiko, das mit den im Fonds gehaltenen Derivatepositionen verbunden ist.
Zusätzliche Informationen zur realisierten Bandbreite der Hebelwirkung, die von den jeweiligen Fonds angewandt wurde, können dem Jahresbericht entnommen werden.
| Fondsname | Methode zur Berechnung des Gesamtexposure | Referenzportfolio | Erwartete Brutto- Hebelwirkung |
| --- | --- | --- | --- |
| Asia Opportunity Fund | Commitment | k. A. | k. A. |
| Asian Property Fund | Commitment | k. A. | k. A. |
| Calvert Sustainable Climate Aligned Fund | Commitment | k. A. | k. A. |
| Calvert Sustainable Climate Transition Fund | Commitment | k.A | k.A |
| Calvert Sustainable Developed Europe Equity Select Fund | Commitment | k. A. | k. A. |
| Calvert Sustainable Developed Markets Equity Select Fund | Commitment | k. A. | k. A. |
| Calvert Sustainable Diversity, Equity and Inclusion Fund | Commitment | k. A. | k. A. |
| Calvert Sustainable Emerging Markets Equity Select Fund | Commitment | k. A. | k. A. |
| Calvert Sustainable Global Equity Engagement Fund | Commitment | k. A. | k. A. |
| Calvert Sustainable Global Green Bond Fund | relativer VaR | ICE BofA Green Bond Index | 100 % |
| Calvert Sustainable US Equity Select Fund | Commitment | k. A. | k. A. |
| China A-Shares Fund | Commitment | k. A. | k. A. |
| China Equity Fund | Commitment | k. A. | k. A. |
| Counterpoint Global Fund | Commitment | k. A. | k. A. |
| Developing Opportunity Fund | Commitment | k. A. | k. A. |
| Emerging Leaders Equity Fund | Commitment | k. A. | k. A. |
| Emerging Markets Corporate Debt Fund | relativer VaR | JP Morgan Corporate Emerging Markets Bond Index – Broad Diversified | 100 % |
| Emerging Markets Debt Fund | relativer VaR | JP Morgan Emerging Market Bond Index Global Diversified | 100 % |
| Emerging Markets Debt Opportunities Fund | relativer VaR | J.P. Morgan Emerging Markets Bond Hard Currency/Local Currency 50-50 Index | 150 % |
| Emerging Markets Domestic Debt Fund | relativer VaR | JP Morgan Government Bond Index – Emerging Markets Global Diversified Index | 100 % |
| Emerging Markets Fixed Income Opportunities Fund | relativer VaR | JP Morgan Emerging Markets Blended Index – Equally Weighted | 100 % |
| Emerging Markets Local Income Fund | relativer VaR | J.P. Morgan Government Bond Index: Emerging Market (JPM GBI-EM) Global Diversified (unhedged) Index | 300 % |
| Euro Bond Fund | relativer VaR | Bloomberg Euro Aggregate A- or Better Index | 100 % |
| Euro Corporate Bond Fund | relativer VaR | Bloomberg Euro-Aggregate Corporates Index | 100 % |
| Euro Corporate Bond – Duration Hedged Fund | absoluter VaR | k. A. | 150 % |
| Euro Strategic Bond Fund | relativer VaR | Bloomberg Euro Aggregate Index | 100 % |
| Europe Opportunity Fund | Commitment | k. A. | k. A. |
| European Fixed Income Opportunities Fund | absoluter VaR | k. A. | 160 % |
| European High Yield Bond Fund | relativer VaR | ICE BofA ML European Currency High Yield 3 % Constrained Ex-Sub Financials Index | 100 % |

| Fondsname | Methode zur Berechnung des Gesamtexposure | Referenzportfolio | Erwartete Brutto- Hebelwirkung |
| --- | --- | --- | --- |
| European Property Fund | Commitment | k. A. | k. A. |
| Frontier Markets Local Debt Fund | absoluter VaR | k. A. | 150 % |
| Global Asset Backed Securities Fund | absoluter VaR | k. A. | 160 % |
| Global Balanced Defensive Fund | absoluter VaR | k. A. | 100 % |
| Global Balanced Fund | absoluter VaR | k. A. | 100 % |
| Global Balanced Income Fund | absoluter VaR | k. A. | 100 % |
| Global Balanced Risk Control Fund of Funds | absoluter VaR | k. A. | 50 % |
| Global Balanced Sustainable Fund | absoluter VaR | k. A. | 100 % |
| Global Bond Fund | relativer VaR | Bloomberg Global Aggregate Index | 100 % |
| Global Brands Equity Income Fund | relativer VaR | MSCI World Index | 200 % |
| Global Brands Fund | Commitment | k. A. | k. A. |
| Global Convertible Bond Fund | relativer VaR | Refinitiv Global Convertible Index Global Focus Hedged USD | 100 % |
| Global Core Equity Fund | Commitment | k. A. | k. A. |
| Global Endurance Fund | Commitment | k. A. | k. A. |
| Global Fixed Income Opportunities Fund | absoluter VaR | k. A. | 160 % |
| Global Focus Property Fund | Commitment | k. A. | k. A. |
| Global High Yield Bond Fund | relativer VaR | Bloomberg Global High Yield – Corporate Index | 100 % |
| Global Infrastructure Fund | Commitment | k. A. | k. A. |
| Global Infrastructure Unconstrained Fund | absoluter VaR | k. A. | 185 % |
| Global Insight Fund | Commitment | k. A. | k. A. |
| Global Macro Fund | absoluter VaR | k. A. | 450 % |
| Global Multi-Asset Opportunities Fund | absoluter VaR | k. A. | 500 % |
| Global Opportunity Fund | Commitment | k. A. | k. A. |
| Global Permanence Fund | Commitment | k. A. | k. A. |
| Global Property Fund | Commitment | k. A. | k. A. |
| Global Quality Fund | Commitment | k. A. | k. A. |
| Global Sustain Fund | Commitment | k. A. | k. A. |
| Indian Equity Fund | Commitment | k. A. | k. A. |
| International Equity (ex US) Fund | Commitment | k. A. | k. A. |
| Japanese Equity Fund | Commitment | k. A. | k. A. |
| Japanese Small Cap Equity Fund | Commitment | k. A. | k. A. |
| Latin American Equity Fund | Commitment | k. A. | k. A. |
| Liquid Alpha Capture Fund | absoluter VaR | k. A. | 300 % |
| NextGen Emerging Markets Fund | Commitment | k. A. | k. A. |

| Fondsname | Methode zur Berechnung des Gesamtexposure | Referenzportfolio | Erwartete Brutto- Hebelwirkung |
| --- | --- | --- | --- |
| Multi-Asset Risk Control Fund | absoluter VaR | k. A. | 100 % |
| Parametric Emerging Markets Fund | Commitment | k. A. | k. A. |
| Parametric Global Defensive Equity Fund | Commitment | k. A. | 90 % |
| Real Assets Fund | Commitment | k. A. | k. A. |
| Saudi Equity Fund | Commitment | k. A. | k. A. |
| Short Duration US Government Income Fund | absoluter VaR | k. A. | 125 % |
| Short Maturity Euro Bond Fund | Commitment | k. A. | k. A. |
| Sustainable Asia Equity Fund | Commitment | k. A. | k. A. |
| Sustainable Emerging Markets Equity Fund | Commitment | k. A. | k. A. |
| Sustainable Euro Corporate Bond Fund | relativer VaR | Bloomberg Euro-Aggregate Corporates Index | 100 % |
| Sustainable Euro Strategic Bond Fund | relativer VaR | Bloomberg Euro Aggregate Index | 130 % |
| Sustainable European High Yield Bond Fund | Commitment | k. A. | 25 % |
| Sustainable Global Credit Fund | relativer VaR | Bloomberg Global Aggregate Corporate Index | 160 % |
| Sustainable Global Fixed Income Opportunities Fund | absoluter VaR | k. A. | 160 % |
| Sustainable Global High Yield Bond Fund | Commitment | k. A. | 25 % |
| Sustainable US High Yield Bond Fund | Commitment | k. A. | 10 % |
| US Advantage Fund | Commitment | k. A. | k. A. |
| US Core Equity Fund | Commitment | k. A. | k. A. |
| US Dollar Corporate Bond Fund | relativer VaR | Bloomberg US Corporate Index | 110 % |
| US Dollar High Yield Bond Fund | relativer VaR | Bloomberg US Corporate High Yield Index | 100 % |
| US Dollar Short Duration Bond Fund | Commitment | k. A. | k. A. |
| US Dollar Short Duration High Yield Bond Fund | relativer VaR | Bloomberg US High Yield 1-5 Year Cash Pay 2 % Issuer Capped Index | 100 % |
| US Focus Property Fund | Commitment | k. A. | k. A. |
| US Growth Fund | Commitment | k. A. | k. A. |
| US Insight Fund | Commitment | k. A. | k. A. |
| US Permanence Fund | Commitment | k. A. | k. A. |
| US Property Fund | Commitment | k. A. | k. A. |
| US Value Fund | Commitment | k. A. | k. A. |
| Vitality Fund | Commitment | k. A. | k. A. |

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