Mise en page 1 - UniCredit Bank Slovakia as
Mise en page 1 - UniCredit Bank Slovakia as Mise en page 1 - UniCredit Bank Slovakia as
Risk Disclosure Risk Management 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, at the basis of appropriate and reasonable methods, that 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. Value-at-Risk 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. 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. 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-Fund’s Net Asset Value (determined on the basis of 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. 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 Funds - Euro Liquidity Pioneer Funds - Euro Short-Term Pioneer Funds - Euro Cash Plus Pioneer Funds - Euro Corporate Short-Term Pioneer Funds - U.S. Dollar Short-Term Pioneer Funds - Euro Bond Pioneer Funds - Euro Aggregate Bond Pioneer Funds - Euro Corporate Bond Pioneer Funds - Euro Corporate Trend Bond Pioneer Funds - U.S. Dollar Aggregate Bond Pioneer Funds - Global Aggregate Bond Pioneer Funds - Euro Credit Recovery 2012 Starting Period Ending Period Market Risk Calculation Lowest Fund VaR Utilisation Highest Fund VaR Utilisation Average Fund VaR Utilisation VaR Utilisation Limit Reference Portfolio/Index 01/01/2012 31/12/2012 Relative VaR 16.55% 160.68% 64.69% 200% 100% BofA Merrill Lynch Euro Government Bill 01/01/2012 31/12/2012 Relative VaR 82.35% 187.57% 122.45% 200% 100% BofA Merrill Lynch Italy Government Bill 01/01/2012 31/12/2012 Relative VaR 52.94% 94.06% 73.17% 200% 100% BofA Merrill Lynch EMU Corporate, 1-3 Yrs 01/01/2012 31/12/2012 Relative VaR 79.44% 151.55% 117.02% 200% 100% BofA Merrill Lynch EMU Corporate, 1-3 Yrs 01/01/2012 31/12/2012 Relative VaR 91.40% 111.60% 102.63% 200% 95% JP Morgan 6 Month USD Cash 5% JP Morgan 6 Month Euro Cash 01/01/2012 31/12/2012 Relative VaR 80.72% 107.85% 93.81% 200% 100% JP Morgan GBI EMU 01/01/2012 31/12/2012 Relative VaR 65.41% 109.02% 92.72% 200% 100% BarCap Euro Aggregate 01/01/2012 31/12/2012 Relative VaR 85.43% 158.53% 114.09% 200% 95% BofA Merrill Lynch EMU Corporate, Large Cap 5% JP Morgan 1 Month Euro Cash 01/01/2012 31/12/2012 Relative VaR 68.50% 184.20% 151.43% 200% 100% BofA Merrill Lynch EMU Corporate, Large Cap 01/01/2012 31/12/2012 Relative VaR 87.18% 99.06% 92.93% 200% 100% BarCap U.S. Aggregate 01/01/2012 31/12/2012 Relative VaR 60.60% 96.12% 82.67% 200% 100% BarCap Global Aggregate 01/01/2012 13/05/2012 Relative VaR 15.74% 34.78% 23.91% 200% 100% BofA Merrill Lynch EMU Corporate, 0-1 Yrs 14/05/2012 31/12/2012 Relative VaR 2.22% 45.80% 20.51% 200% 100% BofA Merrill Lynch Euro Government Bill 10 Pioneer Funds - Annual Report
Risk Disclosure (continued) Sub-Fund Pioneer Funds - Obbligazionario Euro 09/2014 con cedola (Euro Bond 09/2014 distributing) Pioneer Funds - Obbligazionario Euro 10/2014 con cedola (Euro Bond 10/2014 distributing) Pioneer Funds - Obbligazionario Euro 11/2014 con cedola (Euro Bond 11/2014 distributing) Pioneer Funds - Obbligazionario Euro 12/2014 con cedola (Euro Bond 12/2014 distributing) Pioneer Funds - U.S. Credit Recovery 2014 Pioneer Funds - High Yield & Emerging Markets Bond Opportunities 2015 Pioneer Funds - Emerging Markets Corporate Bond 2016 Pioneer Funds - Europe Recovery Income 2017 Starting Period Ending Period Market Risk Calculation Lowest Fund VaR Utilisation Highest Fund VaR Utilisation Average Fund VaR Utilisation VaR Utilisation Limit Reference Portfolio/Index 01/01/2012 31/12/2012 Relative VaR 87.55% 124.29% 103.55% 200% 75% BofA Merrill Lynch EMU Corporate, 2-4 Yrs 25% JP Morgan GBI Italy 2-4 Yrs 01/01/2012 31/12/2012 Relative VaR 95.51% 127.98% 113.69% 200% 75% BofA Merrill Lynch EMU Corporate, 2-4 Yrs 25% JP Morgan GBI Italy 2-4 Yrs 01/01/2012 31/12/2012 Relative VaR 69.32% 113.66% 93.00% 200% 75% BofA Merrill Lynch EMU Corporate, 2-4 Yrs 25% JP Morgan GBI Italy 2-4 Yrs 01/01/2012 31/12/2012 Relative VaR 81.08% 124.45% 106.18% 200% 75% BofA Merrill Lynch EMU Corporate, 2-4 Yrs 25% JP Morgan GBI Italy 2-4 Yrs 01/01/2012 07/10/2012 Relative VaR 95.54% 103.30% 99.16% 200% 100% BofA Merrill Lynch US Domestic Corporate Master, 1-5 Yrs 08/10/2012 31/12/2012 Relative VaR 98.41% 103.20% 100.54% 200% 100% BofA Merrill Lynch US Domestic Corporate Master, 1-3 Yrs 01/01/2012 07/10/2012 Relative VaR 93.42% 175.86% 116.58% 200% 50% BofA Merrill Lynch Euro High Yield, 0-5 Yrs 25% BofA Merrill Lynch Global Emerging Markets Credit, 0-5 Yrs 25% BofA Merrill Lynch US High Yield Master II, 0-5 Yrs 08/10/2012 31/12/2012 Relative VaR 71.26% 95.06% 79.19% 200% 40% BofA Merrill Lynch Euro High Yield, 2-4 Yrs 45% JP Morgan Corporate Broad EMBI Diversified High Yield, 2-4 Yrs 15% JP Morgan GBI-EM Global Diversified 2-4Y 01/01/2012 07/10/2012 Relative VaR 100.85% 193.28% 127.25% 200% 100% BofA Merrill Lynch Global High Yield & Emerging markets plus, 0-6 Yrs (hedged to EUR) 08/10/2012 31/12/2012 Relative VaR 78.10% 104.62% 85.65% 200% 100% JP Morgan Corporate Broad EMBI Diversified High Yield, 2-5 Yrs (hedged to EUR) 29/05/2012 07/10/2012 Relative VaR 0.00% 179.86% 159.77% 200% 75% BofA Merrill Lynch EMU Corporate, 4-6 Yrs 25% JP Morgan GBI Italy 4-6 Yrs 08/10/2012 31/12/2012 Relative VaR 122.04% 131.21% 124.85% 200% 10% BofA Merrill Lynch Euro Sub-Debt Lower Tier 2, 4-6 Yrs 45% BofA Merrill Lynch Senior Banking, 4-6 Yrs 10% BofA Merrill Lynch Euro High Yield, 4-6 Yrs 35% JP Morgan GBI Italy 4-6 Yrs Pioneer Funds - Annual Report 11
- Page 1 and 2: Annual Report 31 December 2012 (Aud
- Page 3 and 4: Table of Contents Annual Commentary
- Page 5 and 6: Table of Contents Pioneer Funds - E
- Page 7 and 8: Table of Contents Pioneer Funds - L
- Page 9 and 10: Pioneer Funds Annual Report 2012 An
- Page 11: Pioneer Funds Annual Report 2012 An
- Page 15 and 16: Risk Disclosure (continued) Sub-Fun
- Page 17 and 18: Risk Disclosure (continued) Sub-Fun
- Page 19 and 20: Risk Disclosure (continued) Maximum
- Page 21 and 22: Statement of Net Assets as at 31 De
- Page 23 and 24: Statement of Net Assets as at 31 De
- Page 25 and 26: Statement of Net Assets as at 31 De
- Page 27 and 28: Statement of Net Assets as at 31 De
- Page 29 and 30: Statement of Net Assets as at 31 De
- Page 31 and 32: Statement of Net Assets as at 31 De
- Page 33 and 34: Statement of Net Assets as at 31 De
- Page 35 and 36: Statement of Net Assets as at 31 De
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- Page 39 and 40: Statement of Net Assets as at 31 De
- Page 41 and 42: Statement of Net Assets as at 31 De
- Page 43 and 44: Statement of Net Assets as at 31 De
- Page 45 and 46: Statement of Operations and Changes
- Page 47 and 48: Statement of Operations and Changes
- Page 49 and 50: Statement of Operations and Changes
- Page 51 and 52: Statement of Operations and Changes
- Page 53 and 54: Statement of Operations and Changes
- Page 55 and 56: Statement of Operations and Changes
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- Page 61 and 62: Statement of Operations and Changes
Risk Disclosure<br />
Risk Managem<strong>en</strong>t<br />
The Managem<strong>en</strong>t Company uses a risk managem<strong>en</strong>t process that allows monitoring the risks of the portfolio positions and their share of the<br />
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<br />
regulatory requirem<strong>en</strong>ts of the Commission de Surveillance du Secteur Financier (“CSSF”) the Managem<strong>en</strong>t Company reports to the CSSF on<br />
a regular b<strong>as</strong>is on the risk managem<strong>en</strong>t process. The Managem<strong>en</strong>t Company <strong>as</strong>sures, at the b<strong>as</strong>is of appropriate and re<strong>as</strong>onable methods, that<br />
overall risk, <strong>as</strong>sociated with derivatives, does not exceed the Net Asset Value of the Sub-Fund. In accordance with the requirem<strong>en</strong>ts of the<br />
Regulatory Authority, this risk managem<strong>en</strong>t process me<strong>as</strong>ures the global exposure of each Sub-Fund with the Value at Risk (“VaR”) approach.<br />
Value-at-Risk<br />
In financial mathematics and risk managem<strong>en</strong>t, the VaR approach is a widely used risk me<strong>as</strong>urem<strong>en</strong>t of the maximum pot<strong>en</strong>tial loss for a<br />
specific portfolio of <strong>as</strong>sets, due to market risk. More specifically, the VaR approach me<strong>as</strong>ures the maximum pot<strong>en</strong>tial loss of such a portfolio at<br />
a giv<strong>en</strong> confid<strong>en</strong>ce level (or probability) over a specific time period (so called holding period) under normal market conditions. Absolute VaR<br />
or relative VaR are applied <strong>as</strong> disclosed in the table below.<br />
Relative VaR approach:<br />
Relative VaR links the VaR of the portfolio of a Sub-Fund with the VaR of a refer<strong>en</strong>ce portfolio. The refer<strong>en</strong>ce portfolio is a matching portfolio<br />
in comparison to the Fund's investm<strong>en</strong>t policy. The relative VaR of the Sub-Fund shall not exceed twice the VaR of its refer<strong>en</strong>ce portfolio. The<br />
refer<strong>en</strong>ce 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<br />
calculated during the period from 01 January 2012 to 31 December 2012 are set out in the table below.<br />
Absolute VaR approach:<br />
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%<br />
of the Sub-Fund’s Net Asset Value (determined on the b<strong>as</strong>is of 99% confid<strong>en</strong>ce interval and a holding period of 20 business days).This is<br />
equival<strong>en</strong>t to 14.14% for a 10-day holding period applied by the Managem<strong>en</strong>t Company. The lowest, the highest and the average utilisation of<br />
the VaR limit calculated during the period from 01 January 2012 to 31 December 2012 are set out in the table below.<br />
The VaR h<strong>as</strong> be<strong>en</strong> calculated using the historical simulation with a confid<strong>en</strong>ce interval of 99%, a holding period of 10 days, an observation<br />
period of 252 days (equally weighted).<br />
Sub-Fund<br />
Pioneer Funds -<br />
Euro Liquidity<br />
Pioneer Funds -<br />
Euro Short-Term<br />
Pioneer Funds -<br />
Euro C<strong>as</strong>h Plus<br />
Pioneer Funds -<br />
Euro Corporate Short-Term<br />
Pioneer Funds -<br />
U.S. Dollar Short-Term<br />
Pioneer Funds -<br />
Euro Bond<br />
Pioneer Funds -<br />
Euro Aggregate Bond<br />
Pioneer Funds -<br />
Euro Corporate Bond<br />
Pioneer Funds -<br />
Euro Corporate Tr<strong>en</strong>d Bond<br />
Pioneer Funds -<br />
U.S. Dollar Aggregate Bond<br />
Pioneer Funds -<br />
Global Aggregate Bond<br />
Pioneer Funds -<br />
Euro Credit Recovery 2012<br />
Starting<br />
Period<br />
Ending<br />
Period<br />
Market Risk<br />
Calculation<br />
Lowest<br />
Fund VaR<br />
Utilisation<br />
Highest<br />
Fund VaR<br />
Utilisation<br />
Average<br />
Fund VaR<br />
Utilisation<br />
VaR<br />
Utilisation<br />
Limit<br />
Refer<strong>en</strong>ce<br />
Portfolio/Index<br />
01/01/2012 31/12/2012 Relative VaR 16.55% 160.68% 64.69% 200% 100% BofA Merrill Lynch<br />
Euro Governm<strong>en</strong>t Bill<br />
01/01/2012 31/12/2012 Relative VaR 82.35% 187.57% 122.45% 200% 100% BofA Merrill Lynch<br />
Italy Governm<strong>en</strong>t Bill<br />
01/01/2012 31/12/2012 Relative VaR 52.94% 94.06% 73.17% 200% 100% BofA Merrill Lynch EMU<br />
Corporate, 1-3 Yrs<br />
01/01/2012 31/12/2012 Relative VaR 79.44% 151.55% 117.02% 200% 100% BofA Merrill Lynch EMU<br />
Corporate, 1-3 Yrs<br />
01/01/2012 31/12/2012 Relative VaR 91.40% 111.60% 102.63% 200% 95% JP Morgan 6 Month<br />
USD C<strong>as</strong>h<br />
5% JP Morgan 6 Month<br />
Euro C<strong>as</strong>h<br />
01/01/2012 31/12/2012 Relative VaR 80.72% 107.85% 93.81% 200% 100% JP Morgan GBI EMU<br />
01/01/2012 31/12/2012 Relative VaR 65.41% 109.02% 92.72% 200% 100% BarCap Euro<br />
Aggregate<br />
01/01/2012 31/12/2012 Relative VaR 85.43% 158.53% 114.09% 200% 95% BofA Merrill Lynch EMU<br />
Corporate, Large Cap<br />
5% JP Morgan 1 Month<br />
Euro C<strong>as</strong>h<br />
01/01/2012 31/12/2012 Relative VaR 68.50% 184.20% 151.43% 200% 100% BofA Merrill Lynch EMU<br />
Corporate, Large Cap<br />
01/01/2012 31/12/2012 Relative VaR 87.18% 99.06% 92.93% 200% 100% BarCap U.S.<br />
Aggregate<br />
01/01/2012 31/12/2012 Relative VaR 60.60% 96.12% 82.67% 200% 100% BarCap Global<br />
Aggregate<br />
01/01/2012 13/05/2012 Relative VaR 15.74% 34.78% 23.91% 200% 100% BofA Merrill Lynch EMU<br />
Corporate, 0-1 Yrs<br />
14/05/2012 31/12/2012 Relative VaR 2.22% 45.80% 20.51% 200% 100% BofA Merrill Lynch Euro<br />
Governm<strong>en</strong>t Bill<br />
10 Pioneer Funds - Annual Report
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