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Table of Contents
Annual Commentary on the Financial Markets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 Risk Disclosure. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 Statement of Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Pioneer Institutional Funds - Institutional 12 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 Pioneer Institutional Funds - Institutional 17 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 Outstanding Financial Futures Contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 Outstanding Forward Foreign Exchange Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 Outstanding Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 Pioneer Institutional Funds - Institutional 18 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 Outstanding Financial Futures Contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 Outstanding Forward Foreign Exchange Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 Outstanding Options Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31 Outstanding Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32 Pioneer Institutional Funds - Institutional 20 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33 Outstanding Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33 Pioneer Institutional Funds - Institutional 21 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34 Outstanding Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34 Pioneer Institutional Funds - Institutional 24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35 Outstanding Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35 Pioneer Institutional Funds - Emerging Markets Bond Local Currencies . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36 Pioneer Institutional Funds - Institutional 28 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38 Pioneer Institutional Funds - Institutional 29 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40 Pioneer Institutional Funds - Institutional 30 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43 Pioneer Institutional Funds - Currency High Alpha . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 Outstanding Forward Foreign Exchange Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 Outstanding Options Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46 Pioneer Institutional Funds - Ethical Euro Aggregate Bond. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47 Outstanding Financial Futures Contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49 Outstanding Forward Foreign Exchange Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49 Outstanding Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
Pioneer Institutional Funds Annual Report 2012 Annual Commentary on the Financial Markets
The Economy
By the end of 2012, tensions in financial markets appeared to have abated, as leading central banks efforts at restoring confidence offset evidence of a weak economy. The European Central Bank (ECB) managed to allay the worst-case scenario of a collapse of the single currency and showed the ultimate commitment, having promised to do whatever it takes to save the euro. The ECBs announcement of its latest support program (Outright Monetary Transactions) reduced the implied sovereign credit risk of peripheral European countries. These countries have also made some genuine progress in implementing structural economic reforms, notably in the labour market and the pension system. In addition, policies enacted by national governments hit by the sovereign-debt crisis seem to be going in the right direction and are being pursued even at the risk of social unrest. In 2013, Italy and Spain may deserve particular attention, as they account for about a quarter of European Monetary Union-wide GDP and still face challenging conditions. Moreover, in 2013 European political leaders should exploit the breathing room allowed by the ECBs actions in order to find a long-term solution to the debt crisis. Averting the worst-case scenario of a euro collapse was badly needed, but putting the whole issue to rest may still prove difficult. While the European Monetary Unions crisis is mostly referred to as a sovereign-debt crisis, it is actually a macroeconomic one. The deep rift exposed by the global recession is still in place, pitting core countries, led by Germany, against peripheral (mostly Southern) economies whose fiscal troubles are compounded by a structural lack of competitiveness. From an EU perspective, the first task may be a comprehensive agreement over the creation of a banking union (Single Supervision Mechanism), where the ECB takes a supervisory role and an EU-wide liquidation procedure of unhealthy banks is promptly established. Another radical solution to the crisis may be a Fiscal Union (or Transfer Union) in which budget policies are governed from a central institution. Getting all of the recipients of EU funds under the strict supervision of creditor countries would likely set this process in motion, although debtor countries are likely to oppose the probable loss of fiscal sovereignty. Looking at the United States in 2012; rarely has US GDP growth moved so little in a 12-month period, with year-on-year gains registering between 2% and 2.5%. On a positive note, the US economy proved resilient in the face of challenging global conditions throughout the year. Domestic household consumption continued to lead growth, helped by positive momentum in the housing sector as mortgage rates fell to record lows and helped revive both home sales and prices. Also on a recovery path is the Housebuilding sector, with housing-starts up by more than 40% from their trough. Employment growth was fairly broad-based and has consistently included the highly cyclical Manufacturing sector. The number of applications for jobless claims was much closer to levels predating the recession, another key labour market indicator. The US corporate sector ended the year in healthy shape and we believe that the current levels of profit margins can be sustained going forward. In 2012, the US Treasury market enjoyed the windfall of low yields amid a global flight to safety, but as both the federal debt and deficit are at record highs and well above the average for the G20 group, this is an issue that needs to be addressed with some urgency. Going forward, we expect the political negotiations over US fiscal policies to reach a compromise agreement in order to avoid the fiscal cliff. The US Federal Reserve looks committed to retaining an overly loose monetary policy for at least another two years. Overall, we expect the US economy to grow at a subdued pace in 2013, with real GDP increasing by another 2% year-on-year. Throughout the year, fears over a hard landing for the Chinese economy prevailed. However, the latest survey of manufacturers purchasing managers has eased concerns that China may suffer a serious downturn. In fact, this highly cyclical index did not collapse as it had in 2008, but dipped briefly just below the expansion threshold of 50. This evidence helped investors to regain some optimism for a soft-landing scenario for China. But threats to Chinas growth remain: the real estate sector, accounting for about 15% of GDP, and its impact on bank balance sheets (although many loans were made by other financial firms, belonging to a shadow banking system) is one of them. Another risk is that policy makers are not responsive enough. They acted quickly in 2012, when monetary policy was switched from a tightening to an easing mode based on signs that the Chinese economy was growing less, but then the pace slowed down. Banks reserve ratios are a case in point: This key gauge was lowered three times in 2012, but remains close to the peak of 21.5%. The new political leadership, appointed by the ruling partys five year congress in November, is said to be even keener on taking a gradual approach. A more fundamental reason for concern is that Chinas growth relies on exports and investments, rather than on stable sources like household spending, as structural changes are needed for the Chinese economy to become consumer-driven. The shift in Chinas growth model from investment-led to consumer-driven may take time, but the new political leadership needs to move beyond the rhetoric of economic reforms to actually implementing them in areas, such as a more efficient welfare state and the liberalisation of both the Financial sector and currency markets, not to mention the further advancement of privately-owned companies (long subjugated to large state-owned enterprises). At the end of 2012, the Indian central bank (RBI) was facing the dilemma of a slowing economy in need of a looser monetary policy, while adhering to its medium-term goal of 4% to 5% inflation. The wholesale price index is inflations main gauge in India and it has remained stubbornly above target. So there appears to be little room to cut benchmark interest rates in order to revive bank loans, investment spending and, with it, overall economic growth.
Pioneer Institutional Funds Annual Report 2012 Annual Commentary on the Financial Markets (continued)
The Economy (continued)
Investors expected the Indian government to implement the structural changes, aimed at making the economy more efficient and push inflation down, and the reform measures which the government announced in September. If these prove effective, the RBI may be more willing to let interest rates decline. However, the main reform, the liberalisation of the retail sector, has been pursued only very gradually. Recent laws letting foreign-owned chains open business in India were shelved and then only partially restored after intense lobbying. Another disadvantage to business is the Indian governments excess borrowing, which made it hard for them to raise money from private investors and therefore left the corporate bond market undersized. So far, India has been an exception to the pattern of debt-light emerging markets and there is little evidence of a change in this trend. In 2012, the Indian stockmarket has benefited from the return of risk aversion and has quickly recouped all of its previous losses, both in absolute terms and against the areas benchmark. In 2012, Brazils economy slowed down markedly and struggled to recover despite policy makers repeated efforts to stimulate it. Hence, GDP grew by only 0.6% in the third quarter. As a net commodity exporter, Brazils prospects are heavily reliant on Chinas demand for resources. Exports of iron ore to China may pick up again, but are unlikely to grow at the same frantic rate as before. In addition, on the domestic side, Brazilian consumers also bought fewer durable goods and started a debt-reduction process. As in Indias case, structural reforms are called for, mainly because companies are burdened by heavy taxes and excess regulation. The government has recognised the need to make Brazil more business-friendly and improve competitiveness. In 2012, its main tool was letting the currency weaken on the back of repeated interest rate cuts. The inflation target rate was still above the current rate, but the spread was rapidly dwindling. On present trends, it may disappear altogether in 2013, if the Brazilian central bank continues to focus on growth targets. The Energy sector remains a key source of growth for the Russian economy, accounting for about three-quarters of its exports. The Energy sector includes oil as well as several other mineral resources for which Chinese demand from has weakened in 2012, to the detriment of overall growth. If Chinas economy were to undergo a structural change and households demand for consumer goods replaced industrial demand for resources, Russian exports would suffer on a long-term basis. Admittedly, private consumptions contribution has improved a lot, as peoples purchasing power increased and unemployment declined. Recent patterns, however, were less reassuring as real wages and disposable incomes fell amid rising inflation. On the investments side, the challenge for the next few years is to attract foreign direct investments. In that respect, recent progress in corporate governance looks encouraging, as Russia rose sharply in the World Banks latest survey based on the ease of doing business.
Brazil: The central bank focuses on preserving growth, just like in developed countries
The Markets
Central banks have kept policy rates at rock-bottom levels since the financial crisis, in an effort to stimulate economic growth. This stance led investors to search for additional yields in credit markets and to buy up large amounts of newly-issued bonds. US companies raised more than $3 trillion in 2012, which is near the record set before the recession. One could argue that there is more room for spread tightening in high-yield credit markets, as yields started from much higher levels. In fact, companies exploited low borrowing costs by flooding the market with new issues and these have been welcomed by yield-hungry investors, who also turned to much riskier assets such as leveraged loans. Investors have been paying less and less attention to companies fundamentals in the search for yields. While we held an overweight in credit markets throughout the euro debt crisis (despite its implications on risk aversion), we picked our securities by blending risk and returns. There was little evidence of this selective approach in the market, as yields offered by low-rated issuers (such as single B and C) also fell to record lows. Central bank action has inspired confidence, notably in European Monetary Union government bond markets. The ECBs pledge to do whatever it takes to save the euro left borrowing costs at two-year lows for governments hard-hit by the debt crisis. Even Italy was able to sell new bonds despite the impending elections. However, we acknowledge that the efforts for austerity and reforms pursued by these countries are worth lower yields and spreads. That is why we are retaining a medium-term constructive view on the EMU periphery. Our thoughts on the EMU periphery tend to apply to bank bonds, which account for a large share of European corporate credit markets. Spreads have fallen alongside the sovereign market, although the ECB provided no further emergency lending since the Long Term Refinancing Operations. Their decline appeared to be driven by an increasing risk appetite among bond investors and should therefore be viewed with some caution. On a more fundamental note, bank credit spreads may stay low if international regulators refrained from relaxing capital adequacy standards and revive bank lending. Profit estimates may be capped by high capital ratios, whereas bondholders are likely to feel more secure about the banking sectors overall solvency. Going forward, emerging markets may provide the best combination between risk and reward. Admittedly, spreads have come down sharply too, but they reflect the actual improvements in government policies, particularly on the fiscal side. Reasonable alternatives may be found among emerging-market corporate issuers, though a selective approach should also apply to them, as demand from yield-hungry investors extended into this market and set a record-high for new issues in 2012.
Bonds
Pioneer Institutional Funds Annual Report 2012 Annual Commentary on the Financial Markets (continued)
Europe Since June 2012, we have gradually been adding to our European equity exposure despite widespread concerns over a euro break-up, as we believed that those pessimistic forecasts were reflected in some valuations. While the worst-case scenario has been averted, we share the prevailing view that the European economy will stay in recession for most of 2013. However, we believe that European equity valuations remain cheap and consistent with these downbeat macroeconomic forecasts. According to our estimates, the cyclically-adjusted price/earnings ratio in Europe is far below the long-term average and near its historical minimum. A fair assessment of European stockmarkets has to take into account that companies listed on European exchanges sell most of their goods outside of Europe and tend to follow the global economic cycle. The cheapest companies were in the Financial sector, whose liquidity shortage was eased by the European Central Banks support, with a beneficial impact on stock prices. However, long-term earnings estimates may improve very slowly as long as the credit crunch continues in recession-hit countries of the euro area. Higher capital ratios imposed by domestic and international regulators are also looming, although some investors may be comfortable with the additional constraints posed by the new requirements, notably on loan selection.
Equity Markets
Asia and Emerging Equities Emerging market countries and sectors have delivered quite different results throughout the year. Country-wise, at the end of 2012, Chinese stocks were supported by the growing perception of a soft-landing scenario. We believe that the trough of the earnings cycle has been reached and expect corporate profits to start improving in 2013, as GDP growth may have bottomed out at 7% year-on-year in 2012. Chinese blue-chip stocks (mostly listed in Hong Kong) have largely beaten world market averages in late 2012, but we believe that despite the latest rally Chinese stocks are still undervalued compared to broad emerging market averages, notably in the key Banking sector which has long been under pressure amid investors disappointment over a too-slow monetary easing. Chinese consumer stocks may also get steady support from a possible change in Chinas growth model from investment-led to a consumer-led one. Other major emerging markets had less room to grow amid fewer available economic policy tools. Throughout 2012, Brazils central bank has cut its benchmark rates in half to a record low in an effort to revive GDP growth, but structural factors such as low labour productivity and still-excessive regulations were a hindrance. A weaker real may benefit exporters, but most of them belong to resource-related sectors which are likely to suffer from Chinas change in growth model. Russia is another resource-driven economy, but it appeared to have some more room for growth in domestic household spending to offset. Indian stocks have been broadly supported, although fundamental reasons for concern still persist amid a narrow breathing space for economic stimulus: on the monetary side, the central banks willingness to let interest rates fall further and relax the inflation target to revive a flagging economy recently met with some criticism and provided more uncertainties than comfort. However, we believe that emerging-market equities, as a whole, remain the best long-term investment opportunity. Major currencies experienced relatively modest swings in 2012. In our view, volatility is unlikely to pick up again in 2013 as monetary policies carried out in developed countries after the latest great recession tended to resemble each other. Until late into 2012, the US dollars trade-weighted index declined and fell to historical lows despite the sovereign-debt crisis and the ensuing recession in the euro area. The Federal Reserves stance has often had a lot of influence on financial markets, and policies (like QE) boosting money supply could weaken the dollar, but when the ECB resorted to its own liquidity-enhancing tools to contain the damage of the debt crisis. The ECB and the Fed were committed to doing whatever it took to fulfil their respective goals (saving the euro and moving the US economy to a faster track). Both currencies did not appear to be supported by a strong commitment to fighting inflation. As a central bank policy goal, consumer price stability looks like a legacy of the past and some investors may not appreciate such a radical change of priorities in favour of economic growth. The US dollars cheap valuation as a hedge against tensions over the euro sovereign-debt crisis partially offset the Feds overly loose stance.
United States Concerns about a recessionary fiscal cliff seemed to be only mildly reflected in US stockmarket action, when the broad S&P 500 index wrapped up a double-digit gain in 2012, led by the most cyclical (economy-sensitive) sector groups. Even the VIX index of implied volatility appeared to be on the rise when compared with recent low values, but was about half as much as in the summer of 2011, when the standoff over fiscal policies pushed the S&P 500 down by 12% in under a month. The Financials index turned out to be the best performer among the 10 economic sectors in the S&P 500 and this sector group has long been one of the most vulnerable following the continued volatility surrounding the US economy. The Federal Reserves (Fed) overly loose monetary policy has helped greatly, though on a more fundamental basis the flow of economic data has also somewhat improved, thanks to upbeat data from the Housing sector. The risk of resurgent inflation did not appear to be anticipated by equity investors (though not so among inflation-linked bondholders). This stance was especially good news for banks, which were able to exploit a positive carry by borrowing money at the short end of the yield curve and lending to companies and households. This margin would be largely untapped if demand for loans remained weak, but these have steadily recovered from the recession especially for the most solid lenders. The housing market has also benefitted from quantitative easing. It took some time for falling mortgage rates to leave a mark, but home sales and prices stepped up the pace of recovery in 2012. Going forward, international trends may be crucial for other cyclical sectors. Exporters of basic materials and resources are unlikely to generate past earnings growth, whereas makers of consumer goods may benefit from strong and increased sales especially of discretionary items.
Pioneer Institutional Funds Annual Report 2012 Annual Commentary on the Financial Markets (continued)
Until August, a climate of global risk aversion prompted many investors to seek safety in the Japanese yen, for being the currency of a country at risk of recession, but with full monetary sovereignty and plenty of domestic savings. The yens 10% depreciation in 2012 against the US dollar largely originated from speculators exiting risk-off strategies. Although most Western analysts paid a lot of attention to the yen/dollar rate, other Far Eastern countries such as South Korea, Taiwan and China account for more than a quarter of overall trade, so they are as important as the US or the eurozone. In this respect, the yens effective (trade-weighted) rate was down even more. A further 10% decline would get it back to pre-US banking crisis levels of that year, shedding what is left of the yens safe-haven allure. Looking ahead, global economic conditions may improve as some risk factors recede. To start with, a compromise agreement over tax policies should be found in the US (averting the fiscal cliff); moreover, there is the growing perception of a soft-landing scenario for the Chinese economy. Last but not least, with regard to the EUs sovereign-debt crisis, key steps such as the creation of a single supervisory mechanism are being envisaged and will be gradually implemented.
Risk Disclosure
The Management Company uses a risk management process that allows monitoring the risks of the portfolio positions and their share of the overall risk profile of the portfolios on the managed funds at any time. In accordance with the Law of 17 December 2010 and the applicable regulatory requirements of the Commission de Surveillance du Secteur Financier ("CSSF") the Management Company reports to the CSSF on a regular basis on the risk management process. The Management Company assures, on the basis of appropriate and reasonable methods, that the overall risk, associated with derivatives, does not exceed the Net Asset Value of the Sub-Fund. In accordance with the requirements of the Regulatory Authority, this risk management process measures the global exposure of each Sub-Fund with the Value at Risk (VaR) approach. In financial mathematics and risk management, the VaR approach is a widely used risk measurement of the maximum potential loss for a specific portfolio of assets, due to market risk. More specifically, the VaR approach measures the maximum potential loss of such a portfolio at a given confidence level (or probability) over a specific time period (so called holding period) under normal market conditions. Absolute VaR or relative VaR are applied as disclosed in the table below.
Value-at-Risk
The VaR has been calculated using the historical simulation with a confidence interval of 99%, a holding period of 10 days, an observation period of 252 days (equally weighted).
Sub-Fund Pioneer Institutional Funds - Institutional 5 Pioneer Institutional Funds - Institutional 11 Pioneer Institutional Funds - Institutional 12 Pioneer Institutional Funds - Institutional 17 Pioneer Institutional Funds - Institutional 18 Pioneer Institutional Funds - Institutional 20 Pioneer Institutional Funds - Institutional 21 Pioneer Institutional Funds - Institutional 24 Starting Period 01/01/2012 01/01/2012 01/01/2012 01/01/2012 01/01/2012 01/01/2012 01/01/2012 01/01/2012
Absolute VaR approach: Absolute VaR links the VaR of the portfolio of a Sub-Fund with its Net Asset Value. The absolute VaR of any Sub-Fund shall not exceed 20% of the Sub-Funds Net Asset Value (determined on the basis of a 99% confidence interval and a holding period of 20 business days).This is equivalent to 14.14% for a 10-day holding period applied by the Management Company. The lowest, the highest and the average utilisation of the VaR limit calculated during the period from 01 January 2012 to 31 December 2012 are set out in the table below.
Relative VaR approach: Relative VaR links the VaR of the portfolio of a Sub-Fund with the VaR of a reference portfolio. The reference portfolio is a matching portfolio in comparison to the Fund's investment policy. The relative VaR of the Sub-Fund shall not exceed twice the VaR of its reference portfolio. The reference portfolio used by each Sub-Fund is set out in the table below. The lowest, the highest and the average utilisation of the VaR limit calculated during the period from 01 January 2012 to 31 December 2012 are set out in the table below.
Lowest Highest Average VaR Ending Market Risk Fund VaR Fund VaR Fund VaR Utilisation Reference Period Calculation Utilisation Utilisation Utilisation Limit Portfolio/Index 26/06/2012 Relative VaR 0.00% 36.60% 18.03% 200% 50% JP Morgan GBI EMU 1-3 Yrs 50% BofA ML Euro Government Bill 26/03/2012 Relative VaR 28.45% 93.07% 39.91% 200% 100% BofA ML Euro Government Bill 31/12/2012 Relative VaR 6.11% 149.64% 57.93% 31/12/2012 Relative VaR 31/12/2012 Absolute VaR 31/12/2012 Relative VaR 31/12/2012 Relative VaR 31/12/2012 Relative VaR 31/12/2012 Relative VaR 31/12/2012 Relative VaR 31/12/2012 Relative VaR 31/12/2012 Relative VaR 31/12/2012 Absolute VaR 31/12/2012 Relative VaR 57.45% 0.33% 22.73% 26.80% 28.58% 0.00% 104.13% 95.63% 89.59% 0.46% 0.00% 112.03% 1.08% 72.44% 67.72% 70.69% 106.12% 136.46% 119.31% 116.52% 2.33% 112.86% 83.98% 0.72% 47.51% 51.54% 47.72% 85.77% 116.01% 106.93% 107.66% 1.22% 99.38%
14.14% n/a
200% 100% BofA ML Global High Yield Constrained 200% 100% JP Morgan GBI EMU 1-5 Yrs 200% 100% JP Morgan GBI EMU 1-5 Yrs 200% 100% MSCI Europe 200% 100% MSCI USA 200% 100% MSCI Japan
Pioneer Institutional Funds - Emerging Markets 31/10/2012 Bond Local Currencies Pioneer Institutional Funds - Institutional 28 01/01/2012 Pioneer Institutional Funds - Institutional 29 Pioneer Institutional Funds - Institutional 30 Pioneer Institutional Funds - Currency High Alpha Pioneer Institutional Funds - Ethical Euro Aggregate Bond 01/01/2012 01/01/2012 01/01/2012 01/02/2012
The average leverage level observed during the period from 01 January 2012 to 26 October 2012 (as net leverage) and from 27 October 2012
Sub-Fund Pioneer Institutional Funds - Institutional 5 Leverage Methodology Net Leverage Starting Period 01/01/2012 Ending Period 26/06/2012 Maximum expected level of leverage 10%
The leverage for each Sub-Fund is not expected to exceed the levels set out in the Table below. However, under certain circumstances (e.g. very low market volatility) the leverage may exceed these levels.
Up to 26 October 2012 the leverage is measured as net leverage, which means that the leverage incurred through the use of derivatives will take into account hedging or netting arrangements. This is also known as the commitment approach. As from 27 October 2012 leverage is measured as the sum of notionals of the financial derivative instruments used.
The use of financial derivative instruments may result in a Sub-Fund being leveraged. Leverage is monitored on a regular basis and is measured as a percentage of each Sub-Funds Net Asset Value.
Sum of Notionals
01/01/2012 01/01/2012
26/06/2012 26/03/2012
27/10/2012
01/01/2012
01/01/2012
26/03/2012 26/10/2012
10%
31/12/2012
27/10/2012
26/10/2012
31/12/2012 31/12/2012
100%
50%
0%
0%
0%
100%
100% 100%
0%
29%
0%
27/10/2012
01/01/2012
26/10/2012
31/12/2012 31/12/2012
200%
100%
34%
27/10/2012
01/01/2012
01/01/2012
26/10/2012
31/12/2012 31/12/2012
300%
225%
136%
47%
232%
01/01/2012
27/10/2012
01/01/2012
26/10/2012
31/12/2012 31/12/2012
100%
79%
0%
01/01/2012
Pioneer Institutional Funds - Emerging Markets Bond Local Currencies Pioneer Institutional Funds - Institutional 28
27/10/2012
01/01/2012
26/10/2012
31/12/2012 31/12/2012
100%
10%
82%
100%
Sum of Notionals
Net Leverage
01/01/2012
31/10/2012
31/12/2012
Net Leverage
27/10/2012
01/01/2012
31/10/2012
31/12/2012
100%
100% -
10%
79%
76%
0%
83%
81% -
0%
31/12/2012
75%
75%
0% 0%
01/01/2012
10% 10%
10%
0%
0%
0%
Sum of Notionals
27/10/2012
27/10/2012
01/01/2012
01/01/2012
31/12/2012
26/10/2012
31/12/2012 31/12/2012
10%
0%
27/10/2012 01/02/2012
01/01/2012
01/01/2012
26/10/2012
31/12/2012 31/12/2012
300%
10%
01/01/2012
01/02/2012
27/10/2012
26/10/2012
31/12/2012
400%
113%
0%
31/12/2012
200%
400% 100%
489% 57%
761%
31/12/2012
100%
120%
80%
Options purchased at market value Net unrealised gain on swaps Interest accruals Cash at bank
Investments in securities at market value Net unrealised gain on financial futures contracts Net unrealised gain on forward foreign exchange contracts
Unrealised gains/(losses)
Securities at cost
Assets
54,436,810
Receivables on purchase and reverse purchase agreements Dividends accruals Total Assets Liabilities
98,758 94,536
997,244
431,402
21,989,000
244,930
2,276,082 492,546 -
31,344,270
149,792
56,078,851
109,762,137
Bank overdraft
Net unrealised loss on forward foreign exchange contracts Net unrealised loss on financial futures contracts
216,185 15,258
12,241 964
Payables on purchase and reverse purchase agreements Payables resulting from purchases of securities Other payables Net Assets Accrued expenses Total Liabilities Payables resulting from redemptions
151,762
10,994,500
Securities at cost
Assets
Pioneer Institutional Funds Institutional 20 EUR 15,233,397 15,110,456 (122,941) 79,736 389,814 17,592,579 -
Pioneer Institutional Funds Institutional 21 EUR 24,991,364 25,140,831 149,467 385,065 797,897 30,148,373 -
Pioneer Institutional Funds Institutional 24 EUR 14,965,725 14,953,117 (12,608) 94,950 2,108,588 452,133 17,608,788 -
Unrealised gains/(losses)
Investments in securities at market value Options purchased at market value Net unrealised gain on swaps Net unrealised gain on forward foreign exchange contracts Net unrealised gain on financial futures contracts Cash at bank Receivables on purchase and reverse purchase agreements Dividends accruals Total Assets Liabilities
Interest accruals
2,012,573
3,824,580
Bank overdraft
49,933 -
49,983 -
Net unrealised loss on forward foreign exchange contracts Net unrealised loss on financial futures contracts Payables resulting from redemptions Other payables Net Assets Accrued expenses Total Liabilities Payables on purchase and reverse purchase agreements Payables resulting from purchases of securities
10
Securities at cost
Assets
Pioneer Institutional Funds Emerging Markets Bond Local Currencies (1) EUR 15,834,928 15,783,643 (51,285) 122,404 294,099 -
Pioneer Institutional Funds Institutional 28 EUR 310,283,579 331,562,022 21,278,443 5,120,876 108,634 336,791,673 141 -
Investments in securities at market value Options purchased at market value Net unrealised gain on swaps Interest accruals Cash at bank Net unrealised gain on forward foreign exchange contracts Net unrealised gain on financial futures contracts Receivables on purchase and reverse purchase agreements Dividends accruals Total Assets Liabilities
Unrealised gains/(losses)
65,675 110,814,513
16,200,146
Bank overdraft
Net unrealised loss on forward foreign exchange contracts Net unrealised loss on financial futures contracts Payables resulting from redemptions Accrued expenses Other payables Net Assets Total Liabilities Payables on purchase and reverse purchase agreements Payables resulting from purchases of securities
334,026,583
11
Securities at cost
Assets
Pioneer Institutional Funds Currency High Alpha EUR 177,702,984 178,237,295 534,311
Pioneer Institutional Funds Ethical Euro Aggregate Bond(2) EUR 29,215,680 30,485,059 1,269,379 5,025 -
Investments in securities at market value Net unrealised gain on financial futures contracts Net unrealised gain on swaps Cash at bank Net unrealised gain on forward foreign exchange contracts Receivables on purchase and reverse purchase agreements Options purchased at market value
Unrealised gains/(losses)
4,955,264 452,826 -
35,789
Interest accruals
Dividends accruals
281,502,641
594,053
637,636
106,764 31,864,326
Bank overdraft
Net unrealised loss on forward foreign exchange contracts Net unrealised loss on swaps Net unrealised loss on financial futures contracts Payables resulting from redemptions Accrued expenses Other payables Net Assets Total Liabilities Payables on purchase and reverse purchase agreements
489,500
133,675
7,314
12
Investments in securities at market value Options purchased at market value Net unrealised gain on financial futures contracts Net unrealised gain on forward foreign exchange contracts
Unrealised gains/(losses)
Securities at cost
Assets
114,022,875
16,890,849
1,059,586,042
Bank overdraft
Net unrealised loss on forward foreign exchange contracts Net unrealised loss on swaps Net unrealised loss on financial futures contracts Payables on purchase and reverse purchase agreements Payables resulting from redemptions Other payables Net Assets Accrued expenses Total Liabilities
145,916
57,027,550 251,678
2,731,249 61,153,433
264,570 3,249
(1) The first NAV was calculated on 31 October 2012. (2) The first NAV was calculated on 01 February 2012.
998,432,609
13
Expenses Management fees Depositary & administration fees Taxe dabonnement Professional fees Printing & publishing fees Interest on swaps Other charges Total Expenses Net Operational Income/(Loss)
Income Dividends, net Interest on securities Interest on bank accounts Interest on swaps Other income Total Income
Pioneer Institutional Funds Institutional 5(1) EUR 452,520 1,959 469,181 923,660 (44,038) (4,887) (747) (2,935) (251,000) (7,880) (311,487) 612,173 35,008,461 612,173
Pioneer Institutional Funds Institutional 11(2) EUR 44,294 174 44,468 (4,273) (575) (72) (331) (80) (5,331) 39,137 13,041,127 39,137
Pioneer Institutional Funds Institutional 12 EUR 747,170 95 747,265 (90,012) (11,384) (3,474) (3,435) (1,036) (109,341) 637,924 43,542,379 637,924
Net realised gain/(loss) on sales of securities Net realised gain/(loss) on foreign exchange Net realised gain/(loss) on forward foreign exchange contracts Net realised gain/(loss) on financial futures contracts Net realised gain/(loss) on options Net realised gain/(loss) on swaps Net Realised Gain/(Loss)
Statement of Changes In Net Assets Net asset value at the beginning of the year Net Operational Income/(Loss)
Net change in unrealised gain/(loss) on securities Net change in unrealised gain/(loss) on forward foreign exchange contracts Net change in unrealised gain/(loss) on financial futures contracts Net change in unrealised gain/(loss) on options Net change in unrealised gain/(loss) on swaps Net Change in Unrealised Gain/(Loss) for the Year Net Increase/(Decrease) in Net Assets as a Result of Operations Net subscriptions/(redemptions) Net Asset Value at Year End
(35,151,940) -
(13,038,269) -
(12,962,077) 31,178,259
548,486 548,486
14
Income Dividends, net Interest on securities Interest on bank accounts Interest on swaps Other income Total Income
Pioneer Institutional Funds Institutional 17 EUR 2,573 3,631,089 4,163 135,253 11,819 3,784,897 (52,614) (14,383) (5,244) (7,012) (105,244) (10,487) (194,984) 3,589,913 54,822,782 3,589,913
Pioneer Institutional Funds Institutional 18 EUR 912,633 6,425 552,285 13,780 1,485,123 (95,128) (28,527) (9,518) (10,399) (311,027) (39,221) (493,820) 991,303 93,298,226 991,303
Pioneer Institutional Funds Institutional 20 EUR 736,147 1,550 872,662 1,610,359 (83,408) (7,621) (2,192) (2,075) (743,753) (8,430) (847,479) 762,880 32,753,121 762,880
Expenses Management fees Depositary & administration fees Taxe dabonnement Professional fees Printing & publishing fees Interest on swaps Other charges Total Expenses Net Operational Income/(Loss)
Net change in unrealised gain/(loss) on securities Net change in unrealised gain/(loss) on forward foreign exchange contracts Net change in unrealised gain/(loss) on financial futures contracts Net change in unrealised gain/(loss) on options Net change in unrealised gain/(loss) on swaps Net Change in Unrealised Gain/(Loss) for the Year Net Increase/(Decrease) in Net Assets as a Result of Operations Net subscriptions/(redemptions) Net Asset Value at Year End
Net realised gain/(loss) on sales of securities Net realised gain/(loss) on foreign exchange Net realised gain/(loss) on forward foreign exchange contracts Net realised gain/(loss) on financial futures contracts Net realised gain/(loss) on options Net realised gain/(loss) on swaps Net Realised Gain/(Loss)
Statement of Changes In Net Assets Net asset value at the beginning of the year Net Operational Income/(Loss)
(6,815,691) 56,059,511
3,518,256 98,468,468
(15,960,019) 17,531,738
15
Income Dividends, net Interest on securities Interest on bank accounts Interest on swaps Other income Total Income
Pioneer Institutional Funds Institutional 21 EUR 1,329,312 3,703 1,462,525 2,795,540 (125,815) (17,308) (3,803) (2,862) (1,164,115) (18,422) (1,332,325) 1,463,215 59,822,394 1,463,215
Pioneer Institutional Funds Institutional 24 EUR 726,144 1,473 911,873 1,639,490 (82,928) (7,438) (2,180) (2,146) (804,253) (8,218) (907,163) 732,327 32,556,201 732,327
Pioneer Institutional Funds Emerging Markets Bond Local Currencies(3) EUR 148,787 81 148,868 (13,225) (4,237) (405) (1,727) (54) (2,016) (21,664) 127,204 127,204
Expenses Management fees Depositary & administration fees Taxe dabonnement Professional fees Printing & publishing fees Interest on swaps Other charges Total Expenses Net Operational Income/(Loss)
Net realised gain/(loss) on sales of securities Net realised gain/(loss) on foreign exchange Net realised gain/(loss) on forward foreign exchange contracts Net realised gain/(loss) on financial futures contracts Net realised gain/(loss) on options Net realised gain/(loss) on swaps Net Realised Gain/(Loss)
Statement of Changes In Net Assets Net asset value at the beginning of the year Net Operational Income/(Loss)
Net change in unrealised gain/(loss) on securities Net change in unrealised gain/(loss) on forward foreign exchange contracts Net change in unrealised gain/(loss) on financial futures contracts Net change in unrealised gain/(loss) on options Net change in unrealised gain/(loss) on swaps Net Change in Unrealised Gain/(Loss) for the Year Net Increase/(Decrease) in Net Assets as a Result of Operations
(31,192,987) 30,131,685
(15,676,479) 17,547,738
16,168,800 16,188,627
16
Income Dividends, net Interest on securities Interest on bank accounts Interest on swaps Other income Total Income
Pioneer Institutional Funds Institutional 28 EUR 3,271,233 18 3,076 8 3,274,335 (64,596) (21,061) (33,498) (1,989) (121,144) 3,153,191 92,657,346 3,153,191
Pioneer Institutional Funds Institutional 29 EUR 1,170,422 34 1,170,456 (14,540) (8,699) (11,276) (815) (2,869) (38,199) 1,132,257 61,913,011 1,132,257
Pioneer Institutional Funds Institutional 30 EUR 345,542 37 345,579 (7,676) (1,596) (1,816) (146) (533) (11,767) 333,812 10,672,448 333,812
Expenses Management fees Depositary & administration fees Taxe dabonnement Professional fees Printing & publishing fees Interest on swaps Other charges Total Expenses Net Operational Income/(Loss)
Statement of Changes In Net Assets Net asset value at the beginning of the year Net Operational Income/(Loss)
Net realised gain/(loss) on sales of securities Net realised gain/(loss) on foreign exchange Net realised gain/(loss) on forward foreign exchange contracts Net realised gain/(loss) on financial futures contracts Net realised gain/(loss) on options Net realised gain/(loss) on swaps Net Realised Gain/(Loss)
Net change in unrealised gain/(loss) on securities Net change in unrealised gain/(loss) on forward foreign exchange contracts Net change in unrealised gain/(loss) on financial futures contracts Net change in unrealised gain/(loss) on options Net change in unrealised gain/(loss) on swaps Net Change in Unrealised Gain/(Loss) for the Year Net Increase/(Decrease) in Net Assets as a Result of Operations Net subscriptions/(redemptions) Net Asset Value at Year End
203,762,992 334,026,583
44,015,272 110,801,272
8,008,281 19,874,793
17
Expenses Management fees Depositary & administration fees Taxe dabonnement Professional fees Printing & publishing fees Interest on swaps Other charges Total Expenses Net Operational Income/(Loss)
Income Dividends, net Interest on securities Interest on bank accounts Interest on swaps Other income Total Income
Pioneer Institutional Funds Currency High Alpha EUR 206,476 63,860 98,907 369,243 (114,739) (23,383) (27,618) (2,309) (46,594) (214,643) 154,600 187,600,459 154,600
Pioneer Institutional Funds Ethical Euro Aggregate Bond(4) EUR 955,829 206 35,393 991,428 (122,549) (10,021) (3,048) (3,261) (225) (12,499) (29,292) (180,895) 810,533 810,533
Combined EUR 4,789,770 9,890,419 86,836 4,439,172 124,514 19,330,711 (713,990) (307,932) (85,422) (110,391) (3,549) (3,391,891) (177,067) (4,790,242) 14,540,469 717,687,955 14,540,469
Net realised gain/(loss) on sales of securities Net realised gain/(loss) on foreign exchange Net realised gain/(loss) on forward foreign exchange contracts Net realised gain/(loss) on financial futures contracts Net realised gain/(loss) on options Net realised gain/(loss) on swaps Net Realised Gain/(Loss)
Statement of Changes In Net Assets Net asset value at the beginning of the year Net Operational Income/(Loss)
Net change in unrealised gain/(loss) on securities Net change in unrealised gain/(loss) on forward foreign exchange contracts Net change in unrealised gain/(loss) on financial futures contracts Net change in unrealised gain/(loss) on options Net change in unrealised gain/(loss) on swaps Net Change in Unrealised Gain/(Loss) for the Year Net Increase/(Decrease) in Net Assets as a Result of Operations Net subscriptions/(redemptions) Net Asset Value at Year End
2,278,097 13,987,424 3,120,852 (15,527,263) 3,859,110 (131,944) 1,809,644 1,252,060 2,929,760 6,943,470
(1) The last NAV was calculated on 26 June 2012. (2) The last NAV was calculated on 26 March 2012. (3) The first NAV was calculated on 31 October 2012. (4) The first NAV was calculated on 01 February 2012.
40,373,417 234,917,346
29,405,915 31,706,589
214,455,471 998,432,609
18
Net Asset Value per Unit Class I Non - Distributing 31 December 2010 31 December 2011 31 December 2012 Units Outstanding at 31 December 2012
Net Asset Value per Unit Class I Distributing Annually 31 December 2012 Units Outstanding at 31 December 2012
Pioneer Institutional Funds Institutional 5(1) EUR 673.72 681.37 73,345,473 35,008,461 -
Pioneer Institutional Funds Institutional 11(2) EUR 640.57 647.17 59,812,648 13,041,127 -
Pioneer Institutional Funds Institutional 12 EUR 623.52 636.30 648.52 48,075.70 65,910,223 43,542,379 31,178,259
Pioneer Institutional Funds Institutional 17 EUR 855.51 880.04 1,025.16 54,683.51 54,744,733 54,822,782 56,059,511
Net Asset Value per Unit Class X Non - Distributing 31 December 2011 31 December 2012 Units Outstanding at 31 December 2012
19
Net Asset Value per Unit Class I Non - Distributing 31 December 2010 31 December 2011 31 December 2012 Units Outstanding at 31 December 2012
Net Asset Value per Unit Class I Distributing Annually 31 December 2012 Units Outstanding at 31 December 2012
Pioneer Institutional Funds Institutional 18 EUR 598.77 616.97 627.91 156,820.00 119,694,611 93,298,226 98,468,468
Pioneer Institutional Funds Institutional 20 EUR 851.56 866.42 890.56 19,686.22 82,459,226 32,753,121 17,531,738
Pioneer Institutional Funds Institutional 21 EUR 1,092.88 1,123.12 1,160.18 25,971.59 102,197,000 59,822,394 30,131,685
Pioneer Institutional Funds Institutional 24 EUR 1,067.19 1,085.94 1,113.45 15,759.74 82,445,043 32,556,201 17,547,738
Net Asset Value per Unit Class X Non - Distributing 31 December 2011 31 December 2012 Units Outstanding at 31 December 2012
20
Net Asset Value per Unit Class I Non - Distributing 31 December 2010 31 December 2011 31 December 2012 Units Outstanding at 31 December 2012
Net Asset Value per Unit Class I Distributing Annually 31 December 2012 Units Outstanding at 31 December 2012
Pioneer Institutional Funds Institutional 28 EUR 849.53 1,042.05 320,546.40 92,657,346 334,026,583
Pioneer Institutional Funds Institutional 29 EUR 1,073.95 1,191.92 92,960.00 61,913,011 110,801,272
Pioneer Institutional Funds Institutional 30 EUR 1,021.97 1,100.49 18,060.00 10,672,448 19,874,793
Net Asset Value per Unit Class X Non - Distributing 31 December 2011 31 December 2012 Units Outstanding at 31 December 2012 Total Net Assets 31 December 2010 31 December 2011 31 December 2012
21
Net Asset Value per Unit Class I Distributing Annually 31 December 2012 Units Outstanding at 31 December 2012 Net Asset Value per Unit Class I Non - Distributing 31 December 2010 31 December 2011 31 December 2012 Units Outstanding at 31 December 2012
Pioneer Institutional Funds Currency High Alpha EUR 985.65 1,017.06 230,976.00 187,600,459 234,917,346
Net Asset Value per Unit Class X Non - Distributing 31 December 2011 31 December 2012 Units Outstanding at 31 December 2012 Total Net Assets 31 December 2010 31 December 2011 31 December 2012
(1) The last NAV was calculated on 26 June 2012. (2) The last NAV was calculated on 26 March 2012. (3) The first NAV was calculated on 31 October 2012. (4) The first NAV was calculated on 01 February 2012.
22
Schedule of Investments
13.45% 17.87% 15.50% 17.92% 18.04% 16.65% 99.43% 99.43% 99.43% 100.00%
Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Transferable Securities and Money Market Instruments Admitted to an Official Exchange Listing or Dealt in on Other Regulated Markets Total Securities Net Asset Value
31,001,184 31,178,259
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
23
250,000 EUR 200,000 USD 500,000 USD 900,000 500,000 500,000 500,000 150,000 125,000 725,000 333,000 EUR EUR EUR EUR EUR USD USD GBP
Consumer Goods Automobiles and Parts Conti-Gummi Finance BV 7.5% 15/Sep/2017 Faurecia 9.375% 15/Dec/2016 Fiat Finance & Trade SA 7.375% 09/Jul/2018 Fiat Finance & Trade SA 7.75% 17/Oct/2016 - Issue 16/Jul/2012 Fiat Finance & Trade SA 7.75% 17/Oct/2016 - Issue 17/Oct/2012 Goodyear Tire & Rubber Co 8.25% 15/Aug/2020 Hyva Global BV - Regs - 8.625% 24/Mar/2016 Jaguar Land Rover PLC 8.25% 15/Mar/2020 Food Producers Agrokor DD 9.875% 01/May/2019 Foodcorp Pty Ltd 8.75% 01/Mar/2018 Beverages Refresco Group BV 7.375% 15/May/2018
Forestry and Paper Lecta SA - Regs - 8.875% 15/May/2019 Sappi Papier Holding GmbH - Regs - 6.625% 15/Apr/2021 Sappi Papier Holding GmbH - 144A - 6.625% 15/Apr/2021
385,910 756,113 521,063 297,093 263,705 149,022 374,033 964,422 578,805 521,240 529,375 158,813 104,006 524,135 454,610 260,470 257,980 1,214,458 138,450 524,475 965,000 640,635 120,301 1,038,340 471,594 368,900 332,212 860,994 420,965 627,420 256,409 719,100 268,269 1,078,181
0.69% 1.35% 0.93% 0.53% 0.47% 0.27% 0.67% 1.72% 1.03% 0.93% 0.94% 0.28% 0.19% 0.93% 0.81% 0.46% 0.46% 2.18% 0.25% 0.94% 1.72% 1.14% 0.21% 1.85% 0.84% 0.66% 0.59% 1.54% 0.75% 1.12% 0.46% 1.28% 0.48% 1.92%
250,000 EUR 233,000 EUR 1,100,000 EUR 130,000 EUR 525,000 1,000,000 550,000 118,000 999,000 EUR EUR EUR EUR EUR
Leisure Goods Nara Cable Funding Ltd - Regs - 8.875% 01/Dec/2018 Ono Finance II PLC 11.125% 15/Jul/2019 Unitymedia GmbH/Old - Regs - 9.5% 15/Mar/2021 Unitymedia Hessen GmbH & Co KG / Unitymedia NRW GmbH 5.5% 15/Sep/2022 Unitymedia Hessen GmbH & Co KG / Unitymedia NRW GmbH 5.75% 15/Jan/2023 Personal Goods Albea Beauty Holdings SA 8.375% 01/Nov/2019 Ontex IV SA 9% 15/Apr/2019
Household Goods and Home Construction Bormioli Rocco Holdings SA 10% 01/Aug/2018
600,000 USD 350,000 EUR 250,000 GBP 900,000 EUR 500,000 USD 600,000 EUR 235,000 EUR 765,000 EUR 250,000 EUR 1,300,000 EUR
Consumer Services General Retailers Dixons Retail PLC 8.75% 15/Sep/2017 Edcon Pty Ltd Euribor 3M 15/Jun/2014 Nord Anglia Education UK Holdings PLC 10.25% 01/Apr/2017
Media Central European Media Enterprises Ltd 11.625% 15/Sep/2016 CET 21 spol sro 9% 01/Nov/2017 EN Germany Holdings BV 10.75% 15/Nov/2015 Travel, Leisure and Catering Carlson Wagonlit BV - Regs - 7.5% 15/Jun/2019 Codere Finance Luxembourg SA - Regs - 8.25% 15/Jun/2015
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
24
Financial Services Fiat Industrial Finance Europe SA 6.25% 09/Mar/2018 Global Investments Group Finance Ltd 11% 24/Sep/2017 GT 2005 Bonds BV Floating 21/Jul/2014 Numericable Finance & Co SCA 8.75% 15/Feb/2019 Health Care Health Care Equipment and Services ConvaTec Healthcare E SA 10.875% 15/Dec/2018 Priory Group No 3 PLC 7% 15/Feb/2018 Priory Group No 3 PLC 8.875% 15/Feb/2019 Pharmaceuticals and Biotechnology Rottapharm Ltd 6.125% 15/Nov/2019
900,000 EUR 100,000 GBP 430,000 GBP 200,000 EUR 406,000 500,000 650,000 450,000 600,000 708,000 400,000 675,000 100,000 343,078 500,000 750,000 260,000 790,000 666,000 350,000 159,000 1,046,000 750,000 EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
Electronic and Electrical Equipment Norcell Sweden Holding 2 AB 10.75% 29/Sep/2019 NorCell 1B AB 12.4% 01/Dec/2019 Rexel SA 8.25% 15/Dec/2016 Techem GmbH 6.125% 01/Oct/2019
Industrials Construction and Materials Buzzi Unicem SpA 6.25% 28/Sep/2018 Cemex Finance LLC 9.625% 14/Dec/2017 HeidelbergCement Finance BV 8.5% 31/Oct/2019 HeidelbergCement Finance BV 9.5% 15/Dec/2018 Spie BondCo 3 SCA - Regs - 11% 15/Aug/2019
General Industrials ARD Finance SA 11.125% 01/Jun/2018 Ardagh Glass Finance PLC - Regs - 8.75% 01/Feb/2020 Ardagh Glass Finance PLC 7.125% 15/Jun/2017 Beverage Packaging Holdings Luxembourg II SA 8% 15/Dec/2016 Beverage Packaging Holdings Luxembourg II SA 9.5% 15/Jun/2017 Bombardier Inc 6.125% 15/May/2021 Clondalkin Industries BV - Reg.S - 8% 15/Mar/2014 Nordenia International AG - Regs - 9.75% 15/Jul/2017 OI European Group BV 6.875% 31/Mar/2017 Polish Television Holding BV Floating 15/May/2017 Industrial Transportation CEVA Group PLC 8.375% 01/Dec/2017 CMA CGM SA 8.875% 15/Apr/2019 Gategroup Finance Luxembourg SA 6.75% 01/Mar/2019 Industrial Engineering Schaeffler Finance BV 8.75% 15/Feb/2019
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
25
300,000 EUR 440,000 EUR 1,000,000 EUR 500,000 500,000 1,050,000 400,000 100,000 640,000 462,000 114,000 500,000 1,030,000 250,000 EUR USD EUR USD EUR EUR EUR EUR EUR EUR EUR
Telecommunications Fixed Line Telecommunications Altice Financing SA 8% 15/Dec/2019 Altice Finco SA 9.875% 15/Dec/2020 Magyar Telecom BV 9.5% 15/Dec/2016 Telefonica Celular del Paraguay SA 6.75% 13/Dec/2022 Telefonica Emisiones SAU 5.811% 05/Sep/2017 Telenet Finance Luxembourg SCA - Regs - 6.375% 15/Nov/2020 UPC Holding BV 6.375% 15/Sep/2022 UPC Holding BV 8.375% 15/Aug/2020 UPCB Finance Ltd 7.625% 15/Jan/2020 Wind Acquisition Finance SA 11.75% 15/Jul/2017 Wind Acquisition Finance SA 7.375% 15/Feb/2018 Mobile Telecommunications Matterhorn Midco & Cy SCA 7.75% 15/Feb/2020 Matterhorn Mobile Holdings SA 8.25% 15/Feb/2020 Phones4u Finance PLC 9.5% 01/Apr/2018
Technology Software and Computer Services eAccess Ltd 8.375% 01/Apr/2018 Infor US Inc 10% 01/Apr/2019
Utilities Electricity Cia de Transporte de Energia Electrica en Alta Tension Transener SA - Regs - 8.875% 15/Dec/2016 ESB Finance Ltd 6.25% 11/Sep/2017 Viridian Group FundCo II 11.125% 01/Apr/2017 Total Bonds Basic Materials Mining New World Resources PLC Equities
623,483
0.48% 0.93%
1.11%
94.06%
Total Equities Total Transferable Securities and Money Market Instruments Admitted to an Official Exchange Listing or Dealt in on Other Regulated Markets
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
26
Financials Financial Services Boats Investments Netherlands BV 0% 15/Dec/2015 Total Bonds Financials Banks Alliance Bank JSC - Gdr Regs Alliance Bank JSC - Pfd Gdr Reg S Equities
23 47 70 0 0 1,578,041 0
Warrants VisioCorp PLC ex Schefenacker AG - VisioCorp PLC - A - 01/Jan/2012 VisioCorp PLC ex Schefenacker AG - VisioCorp PLC - B - 01/Jan/2012 Total Warrants Total Other Transferable Securities Total Securities Net Asset Value
Total Equities
54,436,810 56,059,511
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
27
Schedule of Investments as at 31 December 2012 (expressed in EUR) (continued) Outstanding Financial Futures Contracts as at 31 December 2012 (expressed in EUR)
Long/(Short) Maturity Date Quantity Contract 11-Mar-13 25 Euro Bund 28-Mar-13 (52) US 10 Yr Note Future Total Net Unrealised Gain/(Loss) on Financial Futures Contracts Trade Currency EUR USD
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
28
11,882,752 DKK
1,618,938 1,618,938 2,499,970 17,361,760 718,440 10,000,000 5,999,850 5,115,375 3,003,385 18,775,560 9,999,000 2,004,362 7,398,000 84,494,640 82,875,702
1.64% 1.64% 2.54% 17.63% 0.73% 10.16% 6.09% 5.19% 3.05% 19.08% 10.15% 2.04% 7.51% 85.81% 85.81% 100.00% 84.17%
Governments Belgium Treasury Bill 0% 14/Feb/2013 Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond Floating 15/Apr/2013 France Government Bond OAT 4% 25/Apr/2055 France Treasury Bill BTF 0% 07/Feb/2013 France Treasury Bill BTF 0% 25/Jul/2013 French Treasury Note BTAN 4.5% 12/Jul/2013 Ireland Government Bond 5% 18/Oct/2020 Italy Buoni Ordinari del Tesoro BOT 0% 12/Apr/2013 Italy Buoni Ordinari del Tesoro BOT 0% 31/Jan/2013 Norway Government Bond 4.5% 22/May/2019 Spain Letras del Tesoro 0% 20/Sep/2013 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Transferable Securities and Money Market Instruments Admitted to an Official Exchange Listing or Dealt in on Other Regulated Markets Total Securities Net Asset Value
84,494,640 98,468,468
Commitment (in Trade Ccy) (3,962,420) (4,369,200) 1,643,280 2,327,955 (1,225,440) (143,650,000) 356,790 (886,125) 8,819,375 (4,229,281) 2,986,500
Market Price (in Trade Ccy) 127.82 145.64 136.94 110.86 136.16 143.65 118.93 147.69 110.24 124.39 99.55
Unrealised Gain/(Loss) (in Fund Ccy) (25,466) (41,750) 46,560 2,730 (16,200) 8,246 3,568 11,946 1,902 5,238 2,262 (964)
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
29
Schedule of Investments as at 31 December 2012 (expressed in EUR) (continued) Outstanding Forward Foreign Exchange Contracts as at 31 December 2012 (expressed in EUR)
Maturity Date 13-Feb-13 13-Feb-13 28-Feb-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 Currency KRW USD INR AUD AUD AUD CAD CAD CAD CAD CAD CAD CHF EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR GBP GBP JPY JPY JPY MXN MXN MXN MXN NZD PLN PLN USD USD USD USD USD USD USD USD USD Amount Purchased 409,868,000 380,000 21,473,800 300,000 480,000 370,000 645,408 376,652 51,024 878,151 67,185 96,604 605,120 500,000 290,000 758,865 500,000 1,583,554 292,698 1,905,617 200,000 400,000 300,000 300,000 300,000 300,000 200,000 22,000 511,295 31,687,200 1,854,209 32,627,946 606,470 4,967,990 3,109,027 3,255,875 611,002 825,040 794,463 388,478 384,578 500,000 389,708 387,039 950,000 387,659 265,080 255,146 Currency USD KRW USD MXN NZD USD EUR EUR GBP GBP GBP GBP EUR CAD CAD CHF CHF DKK JPY NOK PLN USD USD USD USD USD USD CAD USD EUR USD USD AUD AUD USD USD AUD EUR USD AUD AUD EUR EUR EUR EUR EUR EUR GBP Amount Sold 380,000 415,720,000 380,000 4,053,000 608,688 383,098 500,000 290,000 32,000 550,799 42,000 60,000 500,000 648,668 373,210 913,685 603,520 11,800,000 31,161,480 14,087,063 829,380 515,844 390,993 388,604 389,484 392,436 264,377 35,029 819,079 300,000 22,598 390,000 44,576 370,000 237,659 250,000 480,078 200,000 250,000 374,868 370,000 383,883 300,000 300,000 733,752 300,000 200,000 160,000 Unrealised Gain/(Loss) 1,424 (5,557) 6,180 (43) (3,144) (640) (9,186) (3,567) (623) (10,801) (653) (458) 1,539 6,707 6,185 1,579 (213) 1,626 19,348 (8,884) (1,838) 8,879 3,543 5,354 4,687 2,449 (455) 467 8,899 (22,037) (869) (9,494) 254 (1,737) 104 (738) 4,532 781 3,787 907 1,768 (4,775) (4,517) (6,541) (13,447) (6,071) 988 (3,672)
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
30
Schedule of Investments as at 31 December 2012 (expressed in EUR) (continued) Outstanding Forward Foreign Exchange Contracts as at 31 December 2012 (expressed in EUR) (continued)
Maturity Date Currency Amount Purchased 04-Mar-13 USD 200,242 04-Mar-13 USD 151,458 04-Mar-13 USD 263,590 04-Mar-13 USD 390,000 04-Mar-13 USD 384,661 04-Mar-13 USD 250,000 23-Apr-13 CNY 2,900,000 23-Apr-13 CNY 2,000,000 Total Net Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts Currency GBP GBP GBP JPY NZD PLN USD USD Amount Sold 125,000 94,000 162,000 32,302,530 460,000 801,500 457,053 314,021 Unrealised Gain/(Loss) (2,179) (974) 269 12,350 5,163 (5,501) 1,591 1,996 (15,258)
Commitment (in Trade Ccy) 3,532,800 4,209,648 3,532,800 9,975,000 19,660,194 31,128,641
Market Price (in Fund Ccy) (71,044) (827) (88,949) (49,300) (2,921) (3,144) (216,185) 32,749 46,646 31,200 18,546 3,626 731 3,008 34,858 38,241 37,865 6,412 2,921 1,973 6,163 264,939
Unrealised Gain/(Loss) 22,582 1,147 4,677 72,300 7,285 4,185 112,176 11,935 1,334 (10,111) 14,383 (94) (5,729) (9,485) (10,454) (3,070) (80,886) (5,504) (2,109) (2,539) (23,201) (125,530) (13,354)
750,000 5,700,000 270,000 500,000 400,000 500,000 800,000 5,700,000 270,000 9,500,000 760,000 480,000 370,000 50
Call GBP/CAD Call Euribor 3M / 3.03% Call Euribor 6M / 2.60% Call USD/JPY Put EUR/RON Put EUR/USD Put GBP/USD Put 3.03% / Euribor 3M Put 2.60% / Euribor 6M Put Euribor 6M / 2.50% Put USD/INR Put USD/INR Put USD/MXN Put 90 Day Euro$
1.56 3.03 2.60 81.75 4.47 1.28 1.60 3.03 2.60 2.50 54.90 54.00 12.70 99.00
GBP EUR EUR USD EUR EUR GBP EUR EUR EUR USD USD USD USD
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
31
Schedule of Investments as at 31 December 2012 (expressed in EUR) (continued) Outstanding Swaps as at 31 December 2012 (expressed in EUR)
Maturity Date Contract 20-Mar-22 Credit Default Swap Buyer 20-Dec-17 Credit Default Swap Seller 20-Dec-17 Credit Default Swap Seller 16-Apr-20 Cross Currency Swap Seller 04-Aug-21 Cross Currency Swap Seller 14-Nov-15 Interest Rate Swap 14-Feb-14 Interest Rate Swap 04-Jun-42 Interest Rate Swap 18-Oct-20 Interest Rate Swap 16-Oct-16 Interest Rate Swap 17-Oct-21 Interest Rate Swap 03-Oct-15 Interest Rate Swap 18-Oct-20 Interest Rate Swap 03-Oct-15 Interest Rate Swap 22-Jun-17 Interest Rate Swap 04-Jun-42 Interest Rate Swap 28-May-15 Interest Rate Swap 28-Nov-32 Interest Rate Swap 29-Nov-14 Interest Rate Swap 28-Nov-42 Interest Rate Swap 29-Oct-15 Interest Rate Swap 29-Oct-14 Interest Rate Swap Total Net Unrealised Gain/(Loss) on Swaps Underlying Ireland Republic iTraxx Europe Series 18 iTraxx Europe Series 18 Received Rate Paid Rate 1.000% 1.000% 1.000% Stibor 3M +0.455% Euribor 3M Euribor 3M Libor 3M -0.36% 3.210% BBSW 3M BBSW 3M 2.940% Euribor 6M 1.800% Euribor 6M 1.575% Euribor 6M 1.000% 2.360% Euribor 6M 0.353% Eonia 1D Euribor 6M 1.582% Euribor 6M 0.680% Japanese Inflation 1.579% 3.473% Libor 6M Libor 6M 0.390% 2.505% Libor 6M Libor 6M 0.230% Libor 6M 2.343% BKBM 3M 2.830% 2.650% BKBM 3M Currency Nominal USD 3,500,000 EUR 2,000,000 EUR 4,000,000 EUR 3,500,000 EUR 6,730,769 AUD 5,170,000 AUD 4,935,000 EUR 1,270,000 EUR 1,500,000 EUR 14,300,000 EUR 5,900,000 EUR 21,000,000 EUR 1,000,000 EUR 21,000,000 EUR 1,165,000 GBP 1,120,000 JPY 1,200,000,000 JPY 141,000,000 JPY 100,000,000 JPY 177,000,000 NZD 6,263,300 NZD 12,385,900
Unrealised Gain/(Loss) 296,435 (15,624) (31,248) 54,219 4,284 (8,384) (7,034) 91,674 (35,560) (69,498) 77,138 59,849 (24,280) (89,334) 13,792 (50,345) (19,028) (24,333) (353) 25,257 1,631 (4,328) 244,930
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
32
24.15% 2.12% 14.78% 22.98% 18.94% 3.22% 86.19% 86.19% 86.19% 100.00%
Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Transferable Securities and Money Market Instruments Admitted to an Official Exchange Listing or Dealt in on Other Regulated Markets Total Securities Net Asset Value
15,110,456 17,531,738
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
33
3.70% 15.89% 17.36% 15.86% 21.12% 9.51% 83.44% 83.44% 83.44% 100.00%
Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Transferable Securities and Money Market Instruments Admitted to an Official Exchange Listing or Dealt in on Other Regulated Markets Total Securities Net Asset Value
25,140,831 30,131,685
2,712,000 4,970,000
4,460,000
385,065
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
34
21.09% 1.20% 13.88% 22.64% 25.53% 0.87% 85.21% 85.21% 85.21% 100.00%
Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Transferable Securities and Money Market Instruments Admitted to an Official Exchange Listing or Dealt in on Other Regulated Markets Total Securities Net Asset Value
14,953,117 17,547,738
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
35
337,421 79,358 447,803 314,573 468,096 400,108 2,047,359 461,020 162,500 461,510 396,862 162,104 149,478 207,332 429,654 326,070 402,606 384,586 220,937 236,371 159,233 394,376 390,604 330,490 466,516 119,533 291,020 221,188 416,646 336,661 347,358 329,983 252,267 423,652 501,330 507,661 565,671 152,765 483,728
2.08% 0.49% 2.77% 1.94% 2.90% 2.47% 12.65% 2.85% 1.00% 2.85% 2.45% 1.00% 0.92% 1.28% 2.65% 2.01% 2.49% 2.38% 1.36% 1.46% 0.98% 2.44% 2.41% 2.04% 2.88% 0.74% 1.80% 1.37% 2.57% 2.08% 2.15% 2.04% 1.56% 2.62% 3.10% 3.14% 3.50% 0.94% 2.99%
Utilities Electricity Emgesa SA ESP 8.75% 25/Jan/2021 Supranationals, Governments and Local Public Authorities, Debt Instruments
Total Bonds 950,000 310,000,000 130,000,000 110,000,000 1,700,000,000 1,600,000,000 1,800,000,000 3,600,000,000 1,300,000 1,600,000 1,500,000 850,000 900,000 25,000 48,000 46,000 55,000 68,000 320,000 700,000 10,000,000 1,600,000 1,300,000 1,300,000 1,200,000 950,000 16,293,000 19,100,000 18,500,000 4,800,000 1,600,000 4,500,000 BRL COP HUF HUF IDR IDR IDR IDR MYR MYR MYR MYR MYR MXN MXN MXN MXN MXN PEN PEN PHP PLN PLN PLN PLN PLN RUB RUB RUB ZAR ZAR ZAR
Governments Brazilian Government International Bond 10.25% 10/Jan/2028 Colombia Government International Bond 12% 22/Oct/2015 Hungary Government Bond 6.75% 24/Feb/2017 Hungary Government Bond 7.75% 24/Aug/2015 Indonesia Treasury Bond 10% 15/Jul/2017 Indonesia Treasury Bond 10.75% 15/May/2016 Indonesia Treasury Bond 11% 15/Sep/2025 Indonesia Treasury Bond 12.8% 15/Jun/2021 Malaysia Government Bond 3.58% 28/Sep/2018 Malaysia Government Bond 3.741% 27/Feb/2015 Malaysia Government Bond 4.012% 15/Sep/2017 Malaysia Government Bond 4.16% 15/Jul/2021 Malaysia Government Bond 4.378% 29/Nov/2019 Mexican Bonos - MI10 - 9.5% 18/Dec/2014 Mexican Bonos 10% 05/Dec/2024 Mexican Bonos 10% 20/Nov/2036 Mexican Bonos 6% 18/Jun/2015 Mexican Bonos 8.5% 13/Dec/2018 Peru Government Bond 7.84% 12/Aug/2020 Peru Government Bond 8.2% 12/Aug/2026 Philippine Government International Bond 6.25% 14/Jan/2036 Poland Government Bond 4.75% 25/Apr/2017 Poland Government Bond 4.75% 25/Oct/2016 Poland Government Bond 5.25% 25/Oct/2017 Poland Government Bond 5.25% 25/Oct/2020 Poland Government Bond 6.25% 24/Oct/2015 Russian Federal Bond - OFZ 7.5% 15/Mar/2018 Russian Federal Bond - OFZ 7.6% 14/Apr/2021 Russian Federal Bond - OFZ 8.15% 03/Feb/2027 South Africa Government Bond - CPI Linked Floating 31/Jan/2022 South Africa Government Bond - R201 - 8.75% 21/Dec/2014 South Africa Government Bond 13.5% 15/Sep/2015
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
36
15,783,643 16,188,627
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
37
93,317 EUR 134,320 315,315 342,010 428,312 GBP GBP GBP GBP
Mining Anglo American PLC BHP Billiton PLC Rio Tinto PLC Xstrata PLC
4,642,054 3,136,507 8,278,428 14,806,658 5,592,188 6,982,464 6,066,240 6,531,027 4,835,022 4,645,139 4,775,414 10,150,478 5,026,876 4,522,086 6,463,325 5,247,959 3,126,919 6,298,267 12,172,240 9,125,923 12,214,671 10,402,424 6,074,416 5,681,276 4,523,500 3,242,258 7,788,150 3,586,477
1.39% 0.94% 2.48% 4.44% 1.67% 2.09% 1.82% 1.96% 1.45% 1.39% 1.43% 3.04% 1.50% 1.35% 1.93% 1.57% 0.94% 1.89% 3.65% 2.73% 3.67% 3.11% 1.82% 1.70% 1.35% 0.97% 2.33% 1.07%
95,742 EUR 1,600,591 EUR 37,938 EUR 514,657 GBP 89,450 EUR 34,405 EUR 346,947 GBP 259,854 EUR 10,287 CHF 1,560,239 GBP 115,977 EUR 117,135 EUR 442,294 EUR 1,748,885 214,299 9,395,901 367,058 313,121 480,460 EUR EUR EUR EUR GBP CHF
Consumer Goods Automobiles and Parts Bayerische Motoren Werke AG Fiat SpA Volkswagen AG - Pfd Personal Goods Henkel AG & Co KGaA LVMH Moet Hennessy Louis Vuitton SA Tobacco Imperial Tobacco Group PLC Food Producers Tate & Lyle PLC
Consumer Services Food and Drug Retailers Carrefour SA Galenica AG - Reg TESCO PLC Media Publicis Groupe SA
Financials Banks Banco Bilbao Vizcaya Argentaria SA BNP Paribas SA Intesa Sanpaolo SpA Societe Generale SA Standard Chartered PLC UBS AG - Reg Life Insurance Prudential PLC Financial Services GAM Holding AG
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
38
6,355 CHF 453,103 CHF 161,367 EUR 226,810 EUR 315,036 GBP 311,906 EUR 1,070 DKK 14,483 CHF 429,173 759,157 265,546 391,747 349,447 349,447 1,909,283 382,155 GBP GBP EUR EUR EUR EUR GBP GBP
Electronic and Electrical Equipment ABB Ltd Koninklijke Philips Electronics NV Prysmian SpA General Industrials Smiths Group PLC Industrial Engineering Alstom SA
Oil and Gas Oil and Gas Producers BG Group PLC BP PLC Eni SpA Galp Energia SGPS SA - B Repsol SA - 10/Jan/2013 Repsol YPF SA Soco International PLC Tullow Oil PLC
194,687 EUR 634,927 CHF 7,681,021 EUR 329,405 EUR 574,804 EUR 2,185,677 EUR 1,351,657 EUR
Technology Software and Computer Services Temenos Group AG - Reg Telecommunications Fixed Line Telecommunications Telecom Italia SpA - RSP Telefonica SA Vivendi SA Utilities Electricity Enel SpA
Total Equities Total Transferable Securities and Money Market Instruments Admitted to an Official Exchange Listing or Dealt in on Other Regulated Markets Total Securities Net Asset Value
331,562,022 334,026,583
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
39
35,425 USD 59,653 USD 26,747 USD 49,604 USD 50,265 USD 17,901 USD 53,704 USD 57,698 USD 86,495 USD 31,889 USD 31,633 USD 28,008 USD 45,604 USD 12,098 15,555 44,604 32,308 17,246 USD USD USD USD USD
1,515,719 1,523,450 923,283 1,305,943 1,309,620 603,534 1,019,170 1,598,686 722,979 1,418,848 1,984,980 864,416 1,655,843 2,271,862 745,186 1,309,972 1,434,060 884,538 2,295,204 1,018,089 1,791,415 1,838,866 1,399,378 2,731,110 2,854,222 869,374 719,010 1,818,975 1,916,168 1,229,912
1.37% 1.37% 0.83% 1.18% 1.18% 0.54% 0.92% 1.44% 0.65% 1.28% 1.79% 0.78% 1.49% 2.05% 0.67% 1.18% 1.29% 0.80% 2.07% 0.92% 1.62% 1.66% 1.26% 2.47% 2.59% 0.78% 0.65% 1.64% 1.73% 1.11%
Food Producers Campbell Soup Co Kraft Foods Group Inc Mondelez International
Leisure Goods Comcast Corp - A Take-Two Interactive Software Inc Personal Goods Estee Lauder Cos Inc - A Tobacco Philip Morris International Inc
General Retailers Amazon.com Inc Family Dollar Stores Inc Macys Inc Target Corp Wal-Mart Stores Inc Media Walt Disney Co
Consumer Services Food and Drug Retailers Cardinal Health Inc CVS Caremark Corp
61,932 USD 36,784 USD 27,169 USD 46,038 USD 32,339 92,682 87,147 137,597 50,828 41,591 74,897 76,740 USD USD USD USD USD USD USD USD
Travel, Leisure and Catering Marriott International Inc/DE - A McDonalds Corp Starbucks Corp
Financials Banks Capital One Financial Corp Citigroup Inc JPMorgan Chase & Co KeyCorp Morgan Stanley PNC Financial Services Group Inc Wells Fargo & Co Zions Bancorporation
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
40
Pharmaceuticals and Biotechnology Express Scripts Holding Co Gilead Sciences Inc Merck & Co Inc Mylan Inc/PA Pfizer Inc Vertex Pharmaceuticals Inc Industrials Aerospace and Defense United Technologies Corp
Health Care Health Care Equipment and Services Aetna Inc Humana Inc UnitedHealth Group Inc
30,064 USD 63,318 USD 32,074 USD 27,119 USD 24,240 USD 28,441 USD 19,210 USD 30,772 USD 35,718 USD 18,833 USD 29,011 15,854 29,769 38,595 14,043 32,099 63,167 16,435 28,112 85,799 USD USD USD USD USD USD USD USD USD USD
Electronic and Electrical Equipment M/A-COM Technology Solutions Holdings Inc Thermo Fisher Scientific Inc General Industrials SPX Corp 3M Co
Oil and Gas Oil and Gas Producers Anadarko Petroleum Corp Apache Corp Chevron Corp Exxon Mobil Corp Occidental Petroleum Corp QEP Resources Inc
Oil Equipment, Services and Distribution Halliburton Co National Oilwell Varco Inc Questar Corp Weatherford International Ltd/Switzerland
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
41
Technology Software and Computer Services Citrix Systems Inc Google Inc - A Microsoft Corp Oracle Corp Yahoo! Inc
12,854 USD 122,863 USD 47,118 USD 36,193 USD 15,551 USD 53,035 USD 43,906 USD 49,925 USD
Technology Hardware and Equipment Apple Inc Applied Materials Inc Qualcomm Inc Telecommunications Fixed Line Telecommunications AT&T Inc CenturyLink Inc Verizon Communications Inc
Total Equities Total Transferable Securities and Money Market Instruments Admitted to an Official Exchange Listing or Dealt in on Other Regulated Markets Total Securities Net Asset Value
110,326,980 110,801,272
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
42
37,900 JPY 8,000 JPY 25,300 JPY 32,100 JPY 29,500 JPY 65,000 JPY 3,400 JPY 45,000 JPY 31,000 JPY 197 JPY 7,600 JPY 126,800 JPY 686,400 JPY 14,600 JPY 171,800 JPY 7,110 JPY 55,000 JPY 114,000 JPY 39,000 JPY 21,300 JPY 76,000 JPY 134,000 JPY 6,100 JPY 65,000 JPY
Industrial Metals and Mining JFE Holdings Inc Consumer Goods Automobiles and Parts Aisin Seiki Co Ltd Honda Motor Co Ltd
544,917 367,032 355,546 750,156 813,870 537,127 273,502 574,365 663,535 224,831 226,676 512,782 945,342 398,955 758,060 604,374 988,591 439,018 505,994 619,406 417,350 592,445 268,625 192,157
2.74% 1.85% 1.79% 3.77% 4.09% 2.70% 1.38% 2.89% 3.34% 1.13% 1.14% 2.58% 4.76% 2.01% 3.81% 3.04% 4.97% 2.21% 2.55% 3.12% 2.10% 2.98% 1.35% 0.97%
Household Goods and Home Construction Sekisui House Ltd Leisure Goods Nintendo Co Ltd Sega Sammy Holdings Inc Tobacco Japan Tobacco Inc
Financials Banks Mitsubishi UFJ Financial Group Inc Mizuho Financial Group Inc Sumitomo Mitsui Financial Group Inc Financial Services Nomura Holdings Inc ORIX Corp
Real Estate Investment and Services Mitsubishi Estate Co Ltd Tokyo Tatemono Co Ltd Real Estate Investment Trusts Daiwa House Industry Co Ltd
Health Care Pharmaceuticals and Biotechnology Santen Pharmaceutical Co Ltd Industrials Construction and Materials Asahi Glass Co Ltd
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
43
88,500 JPY 132,000 JPY 33,000 JPY 22,500 JPY 10,500 JPY 240,000 JPY 13,500 JPY 121,000 JPY
Technology Hardware and Equipment Canon Inc Fujitsu Ltd Tokyo Electron Ltd Utilities Gas, Water and Multiutilities Osaka Gas Co Ltd
Total Equities Total Transferable Securities and Money Market Instruments Admitted to an Official Exchange Listing or Dealt in on Other Regulated Markets Total Securities Net Asset Value
19,529,676 19,874,793
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
44
10,300,000 20,000,000 18,000,000 36,500,000 12,000,000 14,000,000 10,000,000 7,600,000 25,000,000 6,000,000 14,000,000 5,200,000
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
10,298,971 20,000,630 18,000,242 36,499,088 12,000,900 13,930,910 9,997,824 7,573,400 24,981,500 5,951,250 13,873,300 5,129,280 178,237,295 178,237,295
4.38% 8.51% 7.66% 15.55% 5.11% 5.93% 4.26% 3.22% 10.63% 2.53% 5.91% 2.18% 75.87% 75.87% 75.87% 100.00%
Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Transferable Securities and Money Market Instruments Admitted to an Official Exchange Listing or Dealt in on Other Regulated Markets Total Securities Net Asset Value
178,237,295 234,917,346
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
45
Schedule of Investments as at 31 December 2012 (expressed in EUR) (continued) Outstanding Forward Foreign Exchange Contracts as at 31 December 2012 (expressed in EUR) (continued)
Maturity Date 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 04-Mar-13 Currency GBP GBP JPY JPY JPY MXN MXN MXN MXN NZD PLN PLN USD USD USD USD USD USD USD USD USD USD USD Amount Purchased 1,600,000 35,420,372 2,175,854,400 130,159,389 2,267,223,940 233,421,610 347,759,301 224,869,578 234,423,000 43,279,280 56,515,240 56,089,053 27,097,906 26,920,460 36,291,690 26,630,074 26,189,639 27,006,876 18,555,600 17,222,328 13,936,852 10,634,290 18,711,604 Currency CAD USD EUR USD USD AUD AUD USD USD AUD EUR USD AUD AUD EUR EUR EUR EUR EUR GBP GBP GBP GBP Amount Sold 2,547,549 56,742,302 20,600,000 1,586,304 27,100,000 17,156,693 25,900,000 17,189,367 18,000,000 34,005,476 13,700,000 17,650,000 26,148,582 25,900,000 27,863,530 20,500,000 20,300,000 20,900,000 14,000,000 10,800,000 8,700,000 6,600,000 11,500,000 Unrealised Gain/(Loss) 33,936 616,485 (1,513,298) (61,019) (659,709) 97,753 (121,619) 7,513 (53,117) 320,992 53,529 267,388 63,240 123,738 (346,570) (308,638) (442,583) (422,941) 69,163 (247,857) (151,627) (68,360) 19,101 858,138 359,178 (388,346) 14,869 259,526 452,826
04-Mar-13 USD 27,100,000 04-Mar-13 USD 26,759,040 04-Mar-13 USD 17,650,000 23-Apr-13 CNY 27,100,000 23-Apr-13 CNY 260,000,000 Total Net Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts
Market Price (in Fund Ccy) (59,684) (208,089) (221,727) (489,500) 2,340,493 1,298,245 250,170 50,887 212,785 452,247 208,089 142,348 4,955,264
Unrealised Gain/(Loss) 82,759 519,085 295,153 896,997 852,928 1,006,797 (6,510) (398,729) (671,046) (388,208) (150,234) (183,237) 61,761 958,758
Call GBP/CAD Call USD/JPY Put EUR/RON Put EUR/USD Put GBP/USD Put USD/INR Put USD/INR Put USD/MXN
46
100,000 EUR 700,000 EUR 400,000 EUR 400,000 300,000 400,000 500,000 200,000 200,000 200,000 180,000 400,000 560,000 200,000 300,000 570,000 900,000 250,000 200,000 EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
Consumer Services Food and Drug Retailers Casino Guichard Perrachon SA 5.5% 30/Jan/2015 Metro AG 7.625% 05/Mar/2015
118,238 761,960 452,390 448,720 343,463 389,960 507,950 201,362 223,860 210,516 200,916 419,964 610,400 218,172 327,453 627,510 969,826 258,471 219,523 1,099,380 727,503 358,763 436,242 674,901 639,249 568,490 739,085 12,754,267
0.37% 2.40% 1.43% 1.42% 1.08% 1.23% 1.60% 0.64% 0.71% 0.66% 0.63% 1.32% 1.93% 0.69% 1.03% 1.98% 3.06% 0.82% 0.69% 3.47% 2.29% 1.13% 1.38% 2.13% 2.02% 1.79% 2.33% 40.23%
1,000,000 EUR 700,000 EUR 300,000 EUR 400,000 EUR 600,000 EUR 530,000 EUR 500,000 EUR 700,000 EUR
Financial Services Credit Agricole Home Loan SFH 3.25% 23/Mar/2017 GE Capital European Funding 4.25% 06/Feb/2014
Financials Banks ABN Amro Bank NV 3.5% 12/Jan/2018 ABN Amro Bank NV 6.375% 27/Apr/2021 Banco Bilbao Vizcaya Argentaria SA 3.5% 24/Jan/2021 Banco Santander SA 3.125% 28/Sep/2015 BBVA Senior Finance SAU 4% 22/Apr/2013 Fortis Bank SA/NV 4.375% 01/Feb/2017 ING Bank NV 3.375% 03/Mar/2015 ING Bank NV 3.375% 11/Jan/2018 Mediobanca SpA 4.625% 11/Oct/2016 Skandinaviska Enskilda Banken AB Floating Perpetual Societe Generale SA 4% 20/Apr/2016 Societe Generale SFH 2.875% 14/Mar/2019 Standard Chartered PLC 3.875% 20/Oct/2016 UniCredit Bank AG 2.875% 07/Jun/2016 UniCredit Bank AG 3.25% 15/Jul/2014 UniCredit SpA 4.25% 31/Jul/2018
Nonlife Insurance Muenchener Rueckversicherungs AG Floating 26/May/2041 Industrials Construction and Materials CRH Finance LTD 7.375% 28/May/2014
Telecommunications Fixed Line Telecommunications France Telecom SA 5.625% 22/May/2018 Mobile Telecommunications Vodafone Group PLC 4.75% 14/Jun/2016
Utilities Gas, Water and Multiutilities Gas Natural Capital Markets SA 5.25% 09/Jul/2014 Total Bonds
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
47
Supranationals European Financial Stability Facility 3.5% 04/Feb/2022 European Union 2.75% 21/Sep/2021 European Union 3% 04/Sep/2026 Governments Austria Government Bond 3.5% 15/Jul/2015 Austria Government Bond 4.35% 15/Mar/2019 Austria Government Bond 4.85% 15/Mar/2026 Belgium Government Bond 2.75% 28/Mar/2016 Belgium Government Bond 3.75% 28/Sep/2020 Belgium Government Bond 4% 28/Mar/2014 Belgium Government Bond 5.5% 28/Mar/2028 Bundesrepublik Deutschland 4% 04/Jan/2037 Finland Government Bond 1.75% 15/Apr/2016 Finland Government Bond 2.75% 04/Jul/2028 Finland Government Bond 3.375% 15/Apr/2020 France Government Bond OAT 3.25% 25/Oct/2021 France Government Bond OAT 3.5% 25/Apr/2026 France Government Bond OAT 4% 25/Apr/2055 France Government Bond OAT 4% 25/Oct/2038 France Government Bond OAT 4.25% 25/Oct/2018 French Treasury Note BTAN 2% 25/Sep/2013 French Treasury Note BTAN 2.25% 25/Feb/2016 Ireland Government Bond 5% 18/Oct/2020 Italy Buoni Poliennali Del Tesoro 4.25% 01/Jul/2014 Italy Buoni Poliennali Del Tesoro 4.5% 01/Aug/2018 Italy Buoni Poliennali Del Tesoro 4.5% 01/Mar/2019 Italy Buoni Poliennali Del Tesoro 4.75% 01/Aug/2023 Italy Buoni Poliennali Del Tesoro 5% 01/Mar/2022 Italy Buoni Poliennali Del Tesoro 6% 01/May/2031 Netherlands Government Bond 1% 15/Jan/2014 Netherlands Government Bond 2.5% 15/Jan/2017 Netherlands Government Bond 3.5% 15/Jul/2020 Netherlands Government Bond 4% 15/Jan/2037 Spain Government Bond 2.5% 31/Oct/2013 Spain Government Bond 3.15% 31/Jan/2016 Spain Government Bond 4.1% 30/Jul/2018 Spain Government Bond 4.85% 31/Oct/2020 Spain Government Bond 5.75% 30/Jul/2032
Local Public Authorities Caisse dAmortissement de la Dette Sociale 4% 15/Dec/2025 Fondo de Reestructuracion Ordenada Bancaria 3% 19/Nov/2014
Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Transferable Securities and Money Market Instruments Admitted to an Official Exchange Listing or Dealt in on Other Regulated Markets Total Securities Net Asset Value
30,485,059 31,706,589
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
48
Schedule of Investments as at 31 December 2012 (expressed in EUR) (continued) Outstanding Financial Futures Contracts as at 31 December 2012 (expressed in EUR)
Long/(Short) Maturity Date Quantity Contract 11-Mar-13 (8) Euro Bobl 11-Mar-13 2 Euro Bund 11-Mar-13 9 Euro Buxl 11-Mar-13 22 Euro Schatz 11-Mar-13 (3) Euro-Oat Futures 28-Mar-13 1 Long Gilt 28-Mar-13 (2) US Long Bond 31-Mar-13 13 US 2 Yr Note Future 31-Mar-13 (11) US 5 Yr Note Future Total Net Unrealised Gain/(Loss) on Financial Futures Contracts Trade Currency EUR EUR EUR EUR EUR GBP USD USD USD
Commitment (in Trade Ccy) (1,022,560) 291,280 1,232,460 2,438,810 (408,480) 118,930 (295,375) 2,866,297 (1,368,297)
Market Price (in Trade Ccy) 127.82 145.64 136.94 110.86 136.16 118.93 147.69 110.24 124.39
Unrealised Gain/(Loss) (in Fund Ccy) (6,457) 2,382 34,920 2,860 (5,400) 1,189 3,982 618 1,695 35,789
Unrealised Gain/(Loss) (4,297) (2,734) 24,841 (22,842) 29,595 (29,778) 19,950 (16,182) (5,867) (7,314)
The accompanying notes form an integral part of these financial statements. Any differences in the percentage of net assets are the results of roundings.
49
Pioneer Institutional Funds Institutional 20 Class Institutional Non-Distributing Pioneer Institutional Funds Institutional 21 Class Institutional Non-Distributing
Pioneer Institutional Funds Emerging Markets Bond Local Currencies (Launched on 31 October 2012) Class Institutional Non-Distributing Pioneer Institutional Funds Institutional 28 Class Institutional Non-Distributing
Pioneer Institutional Funds Ethical Euro Aggregate Bond (Launched on 01 February 2012) Class Institutional Distributing-Annually; Class Institutional Non-Distributing
50
Pioneer Institutional Funds Notes to the Financial Statements as at 31 December 2012 (continued)
Presentation of financial statements These financial statements are prepared in accordance with Luxembourg legal and regulatory requirements relating to undertakings for collective investment in transferable securities. The financial statements reflect the Net Asset Values as calculated on 31 December 2012 based on market prices of the investments as at 31 December 2012. Where Stock Exchanges were closed on Monday 31 December 2012, the last available prices were used.
Profit and losses arising on foreign exchange operations are recorded in the Statement of Operations and Changes in Net Assets. Transactions in foreign currencies are converted into the Base Currency of the relevant Sub-Fund at exchange rates prevailing on the transaction dates.
Foreign currency conversion Assets and liabilities expressed in currencies other than the Base Currency of the relevant Sub-Fund are converted at exchange rates prevailing as at 31 December 2012.
Pioneer Institutional Funds Institutional 29: As foreseen in the prospectus of the Fund, as at 31 December 2012 the investments have been valued based on the last available prices at 6.00 p.m. Luxembourg time. If the closing prices of the U.S. stock exchange had been used to value the investments, it would have resulted in an increase of the net assets of the Sub-Fund of 1.46%.
In the event that any assets held in a Sub-Funds portfolio on the relevant day are not quoted or dealt in on any stock exchange or on any Regulated Market, or on any Other Regulated Market or if, with respect of assets quoted or dealt in on any stock exchange or dealt in on any such markets, the last available price (as determined pursuant to the previous paragraph) is not representative of the fair market value of the relevant assets, the value of such assets is based on a reasonably foreseeable sales price determined prudently and in good faith by the Board of Directors of the Management Company.
Investments in money market instruments with a residual life to maturity lower than 90 days are valued using the amortised cost method.
Valuation of investments and other instruments The following accounting policies apply: Valuation of investments Investments which are quoted or dealt in on a stock exchange or on a Regulated Market or any Other Regulated Market are valued at the last available price at 6.00 p.m. Luxembourg Time of the relevant Valuation Day.
2.69945
BRL
KRW
MXN NOK
1.20680
25.09550 0.81110
COP DKK
54.13680
3.36520
1.59805
PEN PLN
12,706.08150 72.23515
291.21500 4.91910
10.21870
HKD
GBP
40.27450 8.57675
4.44550
4.08030
RON SEK
RUB
40.32985 2.35295
1.61045
SGD
THB
113.99545
INR
JPY
11.18580
1.31840
USD
TRY
ZAR
Forward foreign exchange contracts Forward foreign exchange contracts are valued at the forward rate applicable at the Statement of Net Assets date for the period until their maturity. Gains and/or losses resulting from forward foreign exchange contracts are disclosed in the Statement of Operations and Changes in Net Assets.
51
Pioneer Institutional Funds Notes to the Financial Statements as at 31 December 2012 (continued)
Financial futures contracts Financial futures contracts are valued at the exchange-quoted price (at the pricing points described above under "Valuation of investments"). Initial margin deposits are made in cash upon entering into futures contracts. During the lifetime of the future contracts, variation margin payments reflecting unrealised gains and losses are recorded in the Statement of Operations and Changes in Net Assets. When the contract is closed, the relevant Sub-Fund records a realised gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the opening transaction.
Combined financial statements The figures of each Sub-Fund are presented in their respective Base Currency. The combined financial statements are expressed in euros and the sum of the Sub-Funds net assets are converted into euros at the exchange rates prevailing at year end. The combined financial statements are presented for information purposes only.
Realised gain and loss Realised gain and loss comprise the gain or loss arising on the trading of securities and other investments, financial futures contracts, forward foreign exchange contracts, options and swaps during the year, and differences arising on the revaluation of other assets and liabilities denominated in foreign currencies at year end. Capital gains or losses are determined on the basis of weighted average cost of the investments sold except for future contracts where the FIFO methodology is applied.
Income Dividends are credited to income on the date upon which the relevant securities are first listed as ex-dividend. Interest income is accrued on a daily basis.
Open-ended and closed-ended UCIs Units or shares of open-ended UCIs are valued at their last determined and available Net Asset Value or, if such price is not representative of the fair market value of such assets, then the price is determined by the Management Company on a fair and equitable basis. Units or shares of a closed-ended UCI are valued at their last available stock market value
Swaps contracts Sub-Funds may enter into Credit Default Swaps and other types of swap agreements such as interest rate swaps, swaptions, inflation-linked and total return swaps. Gains or losses resulting from swaps contracts are recognised in the Statement of Operations and Changes in Net Assets. Swaps are valued at fair market value as determined in good faith pursuant to procedures established by the Management Company. Effective interest expense/ income on swaps are booked in full in the Statement of Operations and Changes in Net Assets. Accrued expense/ income on swaps are netted on each Net Asset valuation date for each swap contract and the resulting net balance is posted per swap, either as interest expense on swap or interest income on swap, in the Statement of Operations and Changes in Net Assets.
Options When the Sub-Fund purchases an option with an upfront premium, it pays a premium and an amount equal to that premium is recorded as an investment. When the Sub-Fund writes an option with an upfront premium, it receives a premium and an amount equal to that premium is recorded as a liability. The investment or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Sub-Fund realises a gain or loss to the extent of the premium received or paid.
For Class X Units, the management fees are charged and collected by the Management Company directly from the Unitholder and will not be charged to the Sub-Funds or reflected in the Net Asset Value.
The management fee is a percentage of the Net Asset Value of each Sub-Fund, which ranges, according the prospectus, from 0.00% to 0.50% p.a, depending on the relevant unit class and is calculated and accrued on each Valuation Day on the basis of the Net Asset Value of the unit class and is payable monthly in arrears.
52
Pioneer Institutional Funds Notes to the Financial Statements as at 31 December 2012 (continued)
The management fee rates effectively applied as at 31 December 2012 are as follows:
Sub-Fund Pioneer Institutional Funds - Institutional 12 Pioneer Institutional Funds - Institutional 17 Pioneer Institutional Funds - Institutional 18 Pioneer Institutional Funds - Institutional 20 Pioneer Institutional Funds - Institutional 21 Pioneer Institutional Funds - Institutional 24 Pioneer Institutional Funds - Emerging Markets Bond Local Currencies Pioneer Institutional Funds - Institutional 28 Pioneer Institutional Funds - Institutional 29 Pioneer Institutional Funds - Institutional 30 Pioneer Institutional Funds - Currency High Alpha Pioneer Institutional Funds - Ethical Euro Aggregate Bond Class Class I Class I Class I Class I Class I Class I Class I Class I Class I Class I Class X Class I Management fee rate 0.25% 0.10% 0.10% 0.35% 0.30% 0.35% 0.50% 0.00% 0.00% 0.00% 0.00% 0.45%
The Management Company may, in respect of the Currency High Alpha Sub-Fund earn a performance fee of a maximum of 15% of the outperformance amount calculated, where the Net Asset Value per Unit of the Class outperforms the 100% Euro OverNight Index Average +3% (the performance hurdle). The performance fee is calculated by reference to the increase in the class' assets over and above the increase in the performance hurdle as adjusted for subscriptions into and redemptions out of the relevant class of units during the performance period. The performance fees are applicable to Class I shares only. As at 31 December 2012, only Class X shares had been issued by the Sub-Fund and consequently no performance fee was charged to the Sub-Fund as at 31 December 2012. The Depositary and Paying Agent and the Central Administrator receive out of the assets of the relevant Sub-Fund, a fee for their services as detailed below. Depositary: The fee is a percentage of portfolio value at each month end of each Sub-Fund. It ranges from 0.003% to 0.5% p.a depending on where the assets of the relevant Sub-Fund are held. The fee is calculated and accrued on each Valuation Day and is payable monthly in arrears. Paying Agent: The main components of the compensation for the services provided are the number of the existing active unit classes, the number of clients accounts and the number of transactions processed. Central Administrator: The fee for the main services provided is 0.01% p.a and it is calculated and accrued on each Valuation Day on the basis of the Net Asset Value of the relevant Sub-Fund. It is payable monthly in arrears. Under Luxembourg legislation, the Fund has the tax status of a mutual fund (fonds commun de placement). The Fund is not subject to tax on its income. However, the Fund is subject to a subscription tax of 0.05% p.a, payable quarterly and calculated on the basis of each Sub-Funds net assets at the end of each quarter. However, a reduced tax rate of 0.01% p.a applies where a Sub-Fund invests exclusively in money market instruments or deposits with credit institutions, or where the Units or Class of Units of the Sub-Fund are reserved to one or more institutional investors. Interest and dividend income received by the Sub-Funds may be subject to non-recoverable withholding taxes. Withholding tax reclaim Withholding tax reclaims have been filed in respect of the withholding tax applied on dividends paid during the recent years in France and Germany. The decision for claiming is taken by the Board of Directors based on the analysis of costs to be borne and maximum potential amount refunded. The costs for pursuing the reclaims are borne only by the sub- funds potentially entitled of the refunds and recorded under other charges. Currently it is not possible to assess the likelihood of success of these reclaiming actions. Consequently no receivables with respect to the potential refunded amounts have been booked in the Financial Statements. Any proceed received from these reclaiming actions will be booked in the respective Sub-Funds net asset values.
Pioneer Institutional Funds - Annual Report 53
Performance fee The Management Company is entitled to receive for Pioneer Institutional Funds Institutional 17 and Pioneer Institutional Funds Institutional 18 Sub-Funds a performance fee where the return exceeds the target returns; such target return being agreed on a year-by-year basis with each investor as a specific percentage return. The performance period for such Sub-Funds is the calendar year and the fee is paid annually at the year end. The performance of each Sub-Fund is calculated by the increase or decrease in the assets of such Sub-Fund over the assets of the prior valuation as adjusted for subscriptions and redemptions. The performance fee is accrued at the rate of 20% of the increase in the assets over the target return for the relevant Sub-Fund. The Management Company has agreed not to calculate any performance fee for the above Sub-Funds for the financial year 2012.
The Investment Managers are paid by the Management Company out of the management fee payable to it in accordance with the Management Regulations of the Fund.
5. Taxation
Pioneer Institutional Funds Notes to the Financial Statements as at 31 December 2012 (continued)
A list of changes in the portfolio for the year ending 31 December 2012 is available free of charge at the registered office of the Management Company of the Fund. All details relating to the outstanding options, forward foreign exchange contracts, financial futures contracts and swaps contracts as at 31 December 2012 are presented with the individual Sub-Funds Schedule of Investment. As at 31 December 2012, the Sub-Funds Pioneer Institutional Funds - Institutional 18 and Pioneer Institutional Funds - Currency High Alpha had entered into reverse repurchase agreements for a total amount EUR 114,022,875 as detailed bellow:
Sub-Fund Pioneer Institutional Funds - Institutional 18 Pioneer Institutional Funds - Currency High Alpha Amount (EUR) 21,989,000 92,033,875
6. Changes in Portfolios
7. Outstanding Options, Forward Foreign Exchange, Financial Futures and Swaps Contracts 8. Purchase and Reverse Repurchase Agreements
Reverse repurchase agreements are similar in effect to a lending, collateralised by underlying securities. A reverse repurchase agreement is an agreement under which an assigner (counterpart) sells securities to the assignee (sub-fund) whereby the assigner agrees to repurchase them at a specified time and at a specified price and the assignee agrees to retrocede these securities at a specified time and at a specified price. The securities received as collateral are not reported in the section Schedule of Investments. For the year from 01 January 2012 to 31 December 2012, the Fund incurred transaction costs related to purchase or sale of financial instruments as follows:
Sub-Fund Pioneer Institutional Funds Institutional 17 Pioneer Institutional Funds Institutional 18 Amount (EUR) 807.95 12,701.69
9. Transaction Costs
Pioneer Institutional Funds Institutional 28 Pioneer Institutional Funds Institutional 29 Pioneer Institutional Funds Institutional 30 Pioneer Institutional Funds Ethical Euro Aggregate Bond
The above transaction costs include costs directly linked to the acquisition or sale of investments, to the extent that such costs are shown separately on transaction confirmations. For some asset classes, transactions costs are incorporated in dealing prices (cost price) and are not reported separately. Depending on the nature of the investments of the Sub-Fund, this may result in no transaction costs being paid for the year from 01 January 2012 to 31 December 2012. The Management Company has implemented a Proxy Voting Policy, to enable the exercise of voting rights attached to the portfolio securities. The Management Company aims to cast proxy votes in a manner consistent with the best interest of the Fund. In voting proxies, consideration is given to the economic effect of the proposal on the value of portfolio holdings on both the short and long-term impact. In general, Pioneer believes that supporting the companys strategy and voting for managements proposals builds portfolio value. In some cases, however, proposals set forth by management may have a negative effect on that value, and consideration of this may affect the votes cast by the Management Company. Special consideration is given to issues relating to ethical Fund.
The Management Company exercises voting rights and, where it has authorised delegated investment managers to vote portfolio securities, it requires that they do so in accordance with the Proxy Voting Policy. Together, the Management Company and/or the Investment Managers may engage the services of an independent third party to assist in analysing proxies, shareholder meeting recommendations, record keeping and voting services provided that the Service Provider provides its services in accordance with the Proxy Voting Policy. A Class action is an action that allows to a group of investors to claim a company or public institution to obtain financial compensation in the event of losses. The Management Company has engaged the services of two independent companies to assist in the class action activities and ensure a global coverage. Costs paid upfront for the services related to the portfolio analysis, the collection of the custody data and the assistance in the other activities related to class actions are booked in the financial statements under Other charges. The amounts received when the class action are settled, are booked in the financial statements under Other Income.
54 Pioneer Institutional Funds - Annual Report
Pioneer Institutional Funds Notes to the Financial Statements as at 31 December 2012 (continued)
Launch of new Sub-Funds The following Sub-Funds have been launched during the year:
Sub-Fund Pioneer Institutional Funds - Ethical Euro Aggregate Bond Pioneer Institutional Funds - Emerging Markets Bond Local Currencies
Liquidation of Sub-Funds The following Sub-Funds have been liquidated during the year:
Sub-Fund Pioneer Institutional Funds - Institutional 5 Pioneer Institutional Funds - Institutional 11
55
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.
An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the Management Company, as well as evaluating the overall presentation of the financial statements.
An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgement of the Rviseur dEntreprises agr, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Rviseur dEntreprises agr considers internal control relevant to the entitys preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entitys internal control.
Opinion In our opinion, the financial statements give a true and fair view of the financial position of Pioneer Institutional Funds and each of its SubFunds as of 31 December 2012, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other matter Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. Luxembourg, 24 April 2013 KPMG Luxembourg S. r.l. Cabinet de rvision agr Pascale Leroy
56
The Management Company is subject to corporate governance based, inter alia, on: 1. Its obligations as defined by the Law of 17 December 2010 of the Grand Duchy of Luxembourg and circulars issued by the Commission de Surveillance du Secteur Financier (CSSF) which complements the regulatory framework. 2. Its Articles of Incorporation which are available for inspection at the registered office of the Company and at the Luxembourg corporate and trade register, Registre de Commerce et des Socits (RCSL). 3. The Association of the Luxembourg Fund Industry (ALFI) code of conduct, which the Management Company has voluntarily adopted. Chairman Mr Marc Bayot Professor of Finance Emeritus at the Free University of Brussels residing in Belgium
There were no changes during 2012. Two directors, including the Chairman, are independent and free from any business relationship that could interfere with the exercise of their roles and judgements. The Board of Directors has the overall responsibility for the company affairs and ensures that the Code of Conduct mentioned above is adhered to. The two conducting officers, within the meaning of Article 102 (1) c) of the 2010 Law are Mr David Harte, residing in Ireland, who is also Director of the Company and Mr Enrico Turchi, residing in Luxembourg, who is the Managing Director of the Company. Main responsibilities of the Conducting Officers are to ensure: the implementation of strategies and guiding principles for central administration and internal governance through written internal policies and procedures the implementation of adequate internal control functions that the Management Company has technical infrastructure and human resources adequate to perform its activities
Mr Patrick Zurstrassen Member of the Boards of Directors of various fund management companies residing in Luxembourg
Mr Enrico Turchi Managing Director, Pioneer Asset Management S.A., Luxembourg residing in Luxembourg
Ms Corinne Massuyeau Head of Sales Management - International & Western Europe, Pioneer Global Investments Limited, Dublin residing in the United Kingdom
Members Mr David Harte Global Head of Investment Operations, Pioneer Investment Management Limited, Dublin residing in Ireland
(1)
Since 10 September 2012; until 09 September 2012 4, rue Alphonse Weicker, L-2721 Luxembourg Pioneer Institutional Funds - Annual Report 57
Administrator
Socit Gnrale Bank & Trust 11, Avenue Emile Reuter L-2420 Luxembourg Grand Duchy of Luxembourg European Fund Services S.A. 18, Boulevard Royal L-2449 Luxembourg Grand Duchy of Luxembourg Pioneer Investment Management Limited 1, Georges Quay Plaza Georges Quay Dublin 2 Ireland Pioneer Investment Management SGRpA 6, Gallaria San Carlo I-20122 Milan Italy KPMG Luxembourg S. r.l. 9, Alle Scheffer L-2520 Luxembourg Grand Duchy of Luxembourg Arendt & Medernach 14, rue Erasme L-2082 Luxembourg
Investment Managers
Legal Advisors
58
www.pioneerinvestments.eu www.pioneerinvestments.com
Contact Information Pioneer Asset Management S.A. 8-10, rue Jean Monnet L-2180 Luxembourg