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Pioneer Funds - Absolute Return Bond
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 Currency
Amount Purchased
04-Mar-13 EUR
7,112,574
04-Mar-13 EUR
8,853,045
04-Mar-13 EUR
1,285,918
Total Net Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts
Currency
DKK
NOK
USD
Amount Sold
53,000,000
65,445,143
1,660,042
Unrealised Gain/(Loss)
7,305
(41,275)
27,247
(6,723)
Outstanding Options Contracts as at 31 December 2012 (expressed in EUR)
Maturity Date
Quantity
Contract
Strike Price
(in Trade Ccy)
Commitment
(in Trade Ccy)
Trade
Currency
Market Price
(in Fund Ccy)
Unrealised
Gain/(Loss)
Short Positions
02-Aug-22 (4,630,000)
02-Aug-22 (4,630,000)
16-Oct-13 (16,900,000)
Call Swaption IRS 2.76% / Euribor 6M 2/Aug/2022
Put Swaption IRS 2.76% / Euribor 6M 2/Aug/2022
Call Swaption IRS 2.10% / Euribor 6M 16/Oct/2013
2.76
2.76
2.10
12,778,800 EUR (256,981)
81,683
12,778,800 EUR (321,747)
16,916
35,490,000 EUR (175,403) 257,238
(754,131) 355,837
Long Positions
02-Aug-22 20,650,000 Call Swaption IRS 3.03% / Euribor 3M 2/Aug/2022
02-Aug-22 970,000 Call Swaption IRS 2.60% / Euribor 6M 2/Aug/2022
02-Aug-22 20,650,000 Put Swaption IRS 3.03% / Euribor 3M 2/Aug/2022
02-Aug-22 970,000 Put Swaption IRS 2.60% / Euribor 6M 2/Aug/2022
16-Oct-13 33,800,000 Call Swaption IRS 2.50% / Euribor 6M 16/Oct/2013
16-Jun-14 219
Put 90 Day Euro$
Total Net Unrealised Gain/(Loss) on Options Contracts
3.03
2.60
3.03
2.60
2.50
99.00
EUR
EUR
EUR
EUR
EUR
USD
168,989
112,090
126,283
137,385
134,720
26,993
706,460
4,832
(36,324)
(37,873)
(11,030)
(287,780)
(101,638)
(469,813)
(113,976)
Outstanding Swaps as at 31 December 2012 (expressed in EUR)
Maturity Date
20-Mar-22
20-Dec-17
20-Dec-17
04-Aug-21
16-Apr-20
14-Feb-14
14-Nov-15
11-Jul-17
03-Sep-14
11-Jul-14
03-Sep-17
04-Jun-42
18-Oct-20
17-Apr-23
03-Oct-15
16-Oct-16
17-Oct-21
03-Oct-15
18-Oct-20
22-Jun-17
04-Jun-42
31-Jul-13
Contract
Credit Default Swap Buyer
Credit Default Swap Seller
Credit Default Swap Seller
Cross Currency Swap Seller
Cross Currency Swap Seller
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Underlying
Ireland Republic
iTraxx Europe Series 18
iTraxx Europe Series 18
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-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
Received Rate
-
1.000%
1.000%
Euribor 3M
Stibor 3M +0.47%
BBSW 3M
3.210%
China IRS 1W
2.860%
2.370%
China IRS 1W
Euribor 6M
Euribor 6M
2.060%
0.353%
Euribor 6M
2.360%
Euribor 6M
Euribor 6M
EUR-EXT-CPI
3.473%
Indian OIS 1D
Paid Rate Currency Nominal
Unrealised
Gain/(Loss)
1.000% USD 13,000,000 1,101,040
- EUR 9,800,000 (76,557)
- EUR 9,300,000 (72,651)
Libor 3M -0.36% EUR 23,076,923
14,688
Euribor 3M EUR 13,020,833 210,638
2.940% AUD 17,000,000 (24,229)
BBSW 3M AUD 17,810,000 (28,883)
2.600% CNY 38,500,000 203,770
China IRS 1W CNY 88,500,000 (91,141)
China IRS 1W CNY 92,500,000 (169,820)
2.850% CNY 36,800,000 155,629
1.800% EUR 4,700,000 339,264
1.582% EUR 5,100,000 (123,829)
EUR-EXT-CPI EUR 3,334,000 (18,685)
Eonia 1D EUR 77,000,000 219,446
1.000% EUR 51,000,000 (247,860)
Euribor 6M EUR 21,100,000 275,866
0.680% EUR 77,000,000 (327,557)
1.575% EUR 6,600,000 (156,465)
1.579% EUR 4,825,000
57,120
Libor 6M GBP 4,200,000 (188,792)
7.650% INR 1,600,000,000
65,533
The accompanying notes form an integral part of these financial statements.
Any differences in the percentage of net assets are the results of roundings.
352 Pioneer Funds - Annual Report