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Audited annual report
R.C.S. Luxembourg B 213.036
For the year ended as at 31/12/19
No subscriptions can be received on the basis of these financial statements. Subscriptions are only valid if made on the basis of the current prospectus and the Key Investor Information Document (“KIID”), accompanied by a copy of the latest annual report including audited financial statements and a copy of the latest semi-annual report, if published thereafter. Table of Contents
Page
Organisation 4 Board of Directors’ Report 6
Portfolios details as at 31/12/19:
Bond Sub-Funds PI Investment Funds - Emerging Markets Sovereign Bond 8 PI Investment Funds - Euro High Yield Ex. Financials 11 PI Investment Funds - Strategic Income 14
Equity Sub-Funds PI Investment Funds - Emerging Markets Equity Income 20 PI Investment Funds - EMU Equity 22 PI Investment Funds - European Equity 23 PI Investment Funds - Japanese Equity 24 PI Investment Funds - US Equity 26
Multi-Asset Sub-Funds PI Investment Funds - Dynamic Allocation Fund 28 PI Investment Funds - Multi-Asset Teodorico 30 PI Investment Funds - Optimiser 37 PI Investment Funds - Tactical Allocation Bond Fund 48 PI Investment Funds - Tactical Allocation Fund 49 PI Investment Funds - Tactical Allocation Pillar 51 PI Investment Funds - Tactical Portfolio Income 52
Accounts: Statement of Net Assets 54 Statement of Share Statistics 62 Statement of Operations and Changes in Net Assets 66 Notes to the Financial Statements as at 31/12/19 74 1 Introduction 74 2 Principal Accounting Conventions 74 3 Exchange Rates used as of 31 December 2019 75 4 Management, Investment Management and Distribution Fees 76 5 Performance Fees 76 6 Depositary and Paying Agent, Administrator, Registrar and Transfer Agent Fees 76 7 Taxation of the SICAV - Taxe d’abonnement 76 8 Open Positions on Futures Contracts 77 9 Open Positions on Forward Foreign Exchange Contracts 81 10 Other Income 85 11 Other Charges 85 12 Statement of Portfolio Movements 85 13 Dividends 85 14 Options 86 15 Swaps 95 16 Subsequent Events 104 17 Collateral 105 18 Transaction Costs 105 19 Class Action 105 Report of the Réviseur d’Entreprises Agréé 106 Additional Information (unaudited) 108
(1) This Sub-Fund has been launched on 05 October 2018. Organisation
REGISTERED OFFICE OF THE SICAV 5, Allée Scheffer L-2520 Luxembourg Grand Duchy of Luxembourg
BOARD OF DIRECTORS OF THE SICAV
Chairman Enrico TURCHI Deputy Chief Executive Officer and Managing Director of Amundi Luxembourg S.A., residing in Luxembourg
Members David GLASSEY Head of Legal Product & Distribution, Amundi Ireland Limited, residing in Ireland
Marco ATZENI Chief of Staff for Multi-Asset Investments, Amundi SGR S.p.A, residing in Italy
MANAGEMENT COMPANY, Amundi Luxembourg S.A. DOMICILIARY AGENT AND DISTRIBUTOR 5, Allée Scheffer L-2520 Luxembourg Grand Duchy of Luxembourg
DEPOSITARY AND PAYING AGENT Société Générale Bank & Trust 11, Avenue Emile Reuter L-2420 Luxembourg Grand Duchy of Luxembourg
ADMINISTRATOR, REGISTRAR Société Générale Bank & Trust AND TRANSFER AGENT (Operational center) 28-32, Place de la gare L-1616 Luxembourg Grand Duchy of Luxembourg
INVESTMENT MANAGERS Amundi Deutschland GmbH Arnulfstraße 124-126 D-80636 Munich Germany
Amundi Ireland Ltd 1, George’s Quay Plaza George’s Quay Dublin 2 Ireland
Amundi SGR S.p.A Via Cernaia 8/10 20121 Milan Italy
Amundi (UK) Limited (since 01/10/2019) 41 Lothbury London EC2R 7HF United Kingdom.
Amundi Pioneer Asset Management, Inc. 60 State Street Boston, MA United States of America
Amundi Asset Management S.A.S.(until 30/09/2019) 90, Boulevard Pasteur 75015 Paris France
4 Organisation
AUDITOR / CABINET DE RÉVISION AGRÉÉ Deloitte Audit, Société à responsabilité limitée 20, Boulevard de Kockelscheuer L-1821 Luxembourg Grand Duchy of Luxembourg
LEGAL ADVISOR Arendt & Medernach S.A. 41A, avenue J.F. Kennedy L-2082 Luxembourg Grand Duchy of Luxembourg
5 Board of Directors’ Report
Overview of the financial markets 2019 n United States At the start of 2019, it was difficult to interpret US economic data, as budget disagreements between Republicans and Democrats resulted in a partial shutdown of government services, which generated temporary disruptions and delayed the publication of certain figures. Overall, the US economy seemed to have lost some of its strength. After several quarters of strong growth, retail sales decelerated and were now more in line with their long-term average. On a positive note, the growth in disposable income remained buoyed by a strong labour market, which posted further declines in unemployment and a slight acceleration in wages. Business confidence, although slightly lower than in 2018, remained compatible with a moderate pace of business expansion, with somewhat less dynamic investment spending. In quarter one, general inflation stood at 1.5%-1.6% (compared to 2.5% at the start of quarter four 2018), while core inflation was at stable around 2.1%; the US Federal Reserve's benchmark price index remained below target (at 1.8%). The US Federal Reserve communicated more cautiously and reiterated that its upcoming decisions would depend on economic data. On the trade policy front, negotiations between China and the United States continued, as were those between the United States and the Eurozone.
In quarter two of 2019, US growth again showed signs of decelerating. Business confidence indicators, in particular, suffered from rising international trade tensions. Household spending and business investment became less vigorous and retail sales returned to levels in line with long-term averages. In a still buoyant US labour market, consumer confidence was broadly stable, but wage growth slowed to 3.1% year-on-year, resulting in a slowdown in disposable income growth. Business confidence indicators sent mixed signals with regard to the Services sector and weak signals in Industry, a sector which was trending downward after the previous years’ peak in activity. Lower expectations resulted in somewhat weaker capital spending. During quarter two, US inflation dynamics slowed. General inflation was now in the 1.8% / -2.0% range (2.5% at the start of Q4 2018) while core inflation was stable at around 2.0%. The Federal Reserve benchmark price index, remained below the target (at 1.6% over one year). Communication from the Federal Reserve became more accommodating and the markets were expecting several key rate cuts. In quarter two, the potential escaltion of US/China trade tensions remained a significant risk.
In the third quarter of 2019, US economic activity showed signs of further deceleration. After peaking at 3.2% in quarter two of 2018, real GDP growth in quarter two of 2019 was 2.3% year on year. Investments, in particular, slowed, as did capital spending intentions, accompanied by a gradual deceleration in orders for durable goods and a decline in industrial production. Business confidence weakened, especially in the Manufacturing sector. Household consumption remained the main driver of US growth, with fundamentals still strong despite some signs of moderation as consumer confidence weakened somewhat. The unemployment rate remained stable at 3.7% and the labour participation rate increased while wage growth slowed. Core inflation rebounded to 2.4% while the inflation index followed by the Federal Reserve remained at 1.6% over one year. The Fed reduced its main key rate (in the range of 1.75% to 2%) to counter the negative effects of political uncertainty and the weakness of the global economic environment. The trade US/China trase negotiations continued and as new tariffs were introduced, customs charges were decided, then partially postponed.
Throughout quarter four, US economic activity gave mixed signs indicating a gradual deceleration. When quarter three GDP data were published in October they showed GDP growth at 2.1%. Business confidence surveys indicated a prolonged weakness in the Manufacturing sector; as the contraction in industrial production and the drop in investments continued to weigh on the Manufacturing sector’s performance. However, the Service sector remained resilient, while household consumption continued as the main driver of growth. Consumption was supported by a fall in unemployment (3.5%) and some decent wage growth (3.1% year on year), although it was decelerating. Core inflation rebounded to 2.3%, while the inflation index followed by the Federal Reserve remained at 1.6%. The Fed cut rates in October, stating that further easing would require a major reassessment of the state of the economy. Meanwhile, trade negotiations continued between the United States and China, with conflicting news regarding the progress of these negotiations. n Eurozone After a difficult 2018, when GDP figures for quarter four were announced in January 2019 showing the GDP growth of the Eurozone as only 0.2%, markets were again disappointed. Germany, with a figure of 0%, narrowly escaped a recession. During quarter one of 2019, the economic indicators for Industry (IFO and PMI manufacturing) deteriorated, showing a drop in orders. The Manufacturing sector was facing major difficulties: temporary shocks linked to sectoral factors in Germany and more lasting pressures linked to protectionism, disruptions in world trade and the slowdown of the Chinese economy. However, the Service sector, after poor figures in January, showed an improvement for the rest of the first quarter, in particular because in France the situation seemed to normalise after the major social tensions of previous months. Inflation, on the other hand, fell due to the base effects of oil prices, while core inflation remained very low. On a political level, the uncertainty linked to Brexit increased: the British Parliament refused thrice to validate the exit agreement of November 2018. During the last days of the first quarter, the United Kingdom obtained an extension at least until April 12.
The economic data for the second quarter showed a mixed picture in the Eurozone. At the end of April, the announcement of the rebound in quarter one GDP (+ 0.4%) reassured investors after the disappointments of 2018. However, this improvement, driven by the Services sector and household consumption (which benefitted from the good performance of the labour market) did not include the Industry. The Industry sector continued to struggle due to a set of internal brakes (especially in the German Automotive sector) and external factors, such as the rise in international trade tensions. Above all, economic indicators for quarter two indicated that after a good start to the year, economic activity would probably decelerate again. On the political front, the second quarter was dominated by the European elections in May, following which the so-called "anti-system" parties posted gains, but overall did not achieve better results than expected. In April, the Spanish national elections allowed Prime Minister Sanchez's party to strengthen its parliamentary position, although still without a majority. Finally, the Brexit saga continued with the announcement of the resignation of British Prime Minister May, and the selection, to replace her, of candidates with fairly hard positions. These events were widely perceived to increase the likelihood of a UK exit from the EU without an agreement in late October 2019.
The Eurozone economy performed disappointingly in quarter three. When GDP figures for quarter two were released, they showed a marked slowdown in growth (GDP growth of 0.2%, after 0.4% in Q1 for the whole region, with a slight decline in German GDP). Secondly, indicators for quarter three showed again a slowdown in the Industrial sector, particularly in Germany. Explanations for this weakness were, on the one hand, economic uncertainties linked to Brexit and the US/China trade war, and on the other hand, important adjustments in the German Automobile sector. There were some signs of contagion spreading to the rest of the economy (the Service sector and the labour market), but these remained limited. From a political point of view, quarter three was marked by the advent of a new Italian government, potentially decreasing tensions with the rest of the EU on several major issues (budget and immigration especially). In Spain, no government could be formed following the April elections, which resulted in a return to the polls in November. Finally, as the 31 October Brexit date approached, the ability of the UK and the EU to reach an agreement remained a major unknown.
Economic data for the Eurozone improved in quarter four, as published quarter three GDP figures rose slightly above expectations (0.2% instead of 0.1%). In addition, Germany, a country highly exposed to the global industrial slowdown, avoided a recession. Economic indicators for quarter four showed a stabilisation of the Manufacturing sector, albeit at very low levels. The Services sector also fared better than was feared at the end of the summer. After the major monetary easing measures decided in September by Mario Draghi, the President of the ECB, his replacement by Christine Lagarde was not accompanied by significant new announcements. On the political front, a new Brexit agreement was reached in late October between the UK and the EU. The Conservatives' victory in the British elections on 12 December ensured the ratification of this agreement. In Spain, the elections on 10 November again did not result in a parliamentary majority. Finally, major social tensions erupted in France as a result of a planned pension reform.
6 Board of Directors’ Report
n Emerging Markets In the emerging markets arena, the first quarter was influenced by the publication of growth figures for the last quarter of 2018, which showed mixed results. In China, the GDP remained somewhat stable, whereas in other emerging countries, including India, Mexico, Brazil and the majority of Central European countries, the GDP declined from the previous quarter. On the other hand in Peru, Russia and South Africa GDP grew. Turkey and Argentina were in the midst of a marked recession. Economic indicators sent mixed signals during the first quarter. However, a common theme was the pronounced weakness in exports of manufactured goods compared to resilient domestic demand. These two compensatory trends prevented a recession from taking hold in regions like Asia where export growth was particularly sluggish. In addition, the change of tone started in December by the main central banks of the developed countries (Federal Reserve and ECB) towards a more accommodating rhetoric was confirmed in January. This accommodative stance supported emerging asset classes and currencies, easing inflationary pressures and paving the way for less restrictive monetary policies. Finally, trade negotiations between the United States and China appeared to bear fruit, as the United States announced the postponement of the tariff increase of $200 billion on Chinese products, scheduled for 1 March 2019.
In quarter two, emerging markets GDP figures for the first quarter of 2019 were published and they were lower than expected, with the exception of a few countries such as China, India, Central and Eastern Europe and Taiwan. Overall, the contribution of foreign trade to growth was modest. The slowdown in trade also had some impact on the domestic demand in emerging countries, primarily on the investment side and with quite low capacity utilisation rates. Economic indicators seemed to indicate a stabilisation between the first and second quarter but the macroeconomic momentum and the economic surveys deteriorated again as the trade dispute between China and the United States intensified. On 9 May 2019 despite meeting for several hours, the United States and China failed to avoid the customs duties increase of $ 200 billion on Chinese goods imported into the United States. Added to this were political tensions between the United States and the Middle East. During the second quarter, inflation increased slightly in emerging countries, driven by the rise in food prices. On the monetary policy front, despite accommodative monetary policies from the major developed economies, there has been little action by emerging central banks. Fiscal policy became somewhat more expansionary more but remained relatively cautious at this stage. Against a highly uncertain backdrop, the volatility of the markets increased as well as aversion to risk, particularly as many countries (Turkey, Argentina, South Africa, Mexico, Brazil, etc.) still had to face idiosyncratic shocks. During the second quarter, the sovereign ratings of Mexico and Turkey were downgraded. On the political front, President Erdogan’s party emerged as the big loser in the Istanbul elections at a time when tensions with the United States were at an all-time high. In South Africa, the cost of restructuring the national electricity company was worrying markets at a time when the country's growth prospects have been downgraded. In Brazil, the implementation of reforms was long overdue and growth was disappointing. In Argentina, inflation was hitting 60% and the drop in GDP was close to 6% in the first quarter.
Emerging market indicators showed that the economic slowdown observed at the start of the year continued in quarter three. After a slight improvement in July, exports were again disappointing and a new wave of US tariffs on products from China triggered immediate Chinese reprisals. Later, in September, the two countries adopted a more constructive attitude towards the negotiations which began at the end of the month. With regard to monetary policy, central banks stepped up their easing measures, including a key rate cut of 7.5% in Turkey and an unexpected drop in Thailand. China also eased monetary policy by introducing a new key rate, the LPR, and lowering it twice between August and September. India did cut corporate taxes by around 10%, rebalancing the relative roles of fiscal and monetary authorities.
Economic data released in quarter four showed a rebound in emerging market GDP after a low point between quarter two and quarter three. While household consumption remained fairly resilient during the year, the dynamics of investment may confirm this rebound. International trade figures were weak in quarter four after a new wave of tariffs decided by the United States and Chinese reprisals. However, the end of the year saw a calming of the US/China trade dispute with the announcement of a preliminary agreement that would avoid additional tariffs, remove some of the recently imposed tariffs and agree on a few other measures, the details of which need to be clarified by the time the agreement is signed in mid-January. Inflation, on the other hand, remained very subdued, albeit with increases in food prices in China and India, which brought the general price indices to levels that were uncomfortable for monetary authorities. However, the general attitude of central banks in emerging economies remained favourable to growth with more emphasis on monetary easing than fiscal stimulus.
Starting in January 2020 we have observed the spreading of the COVID 19 disease and its impact on all the financial markets. At the date of this document we have already observed relevant corrections on the financial markets and it is not possible to evaluate the precise and final effect of this risk on all out portfolios. We have also noted a growing concern about its impact on the world economy. The Board continues to watch the effort of governments to contain the spread of the virus and to monitor the economic impact on our portfolio. All delegated parties involved in the running of the Fund have confirmed that they have business continuity plans in place which allow them to continue performing their functions with normality under current circumstances. As of the date of the present report, the Fund is in full capacity to continue its usual operations in accordance with its investment policy and its prospectus.
The Boards of Directors PI Investment Funds
Luxembourg, 22 April 2020.
The figures stated in this report are historical and not necessarily indicative of future performance.
7 PI Investment Funds - Emerging Markets Sovereign Bond
Securities Portfolio as at 31/12/19 Portfolios details as at 31/12/19:
Bond Sub-Funds Quantity Market Value % of NaV Quantity Market Value % of NaV
USD USD 106,995,930 91.07 Long positions Ecuador 4,151,286 3.53
Transferable securities admitted to an official stock exchange 3,000,000 ECUADOR 7.875% REGS 23/01/2028 2,676,990 2.27 106,995,930 91.07 listing and/or dealt in on another regulated market 1,000,000 ECUADOR 7.875% REGS 27/03/2025 915,770 0.78 Bonds 106,995,930 91.07 200,000 ECUADOR 8.875% REGS 23/10/2027 184,532 0.16 Angola 1,497,664 1.27 400,000 ECUADOR 9.50% REGS 27/03/2030 373,994 0.32
1,400,000 ANGOLA 9.125% REGS 26/11/2049 1,497,664 1.27 Egypt 3,388,293 2.88 Argentina 3,250,233 2.77 217,000 EGYPT 5.577% REGS 21/02/2023 227,314 0.19 620,000 EGYPT 6.588% REGS 21/02/2028 646,911 0.55 1,000,000 ARGENTINA VAR 31/12/2038 EUR 509,631 0.43 270,000 EGYPT 7.60% REGS 01/03/2029 295,588 0.25 3,900,000 ARGENTINA VAR 31/12/2038 USD 1,921,822 1.65 2,000,000 EGYPT 8.50% REGS 31/01/2047 2,218,480 1.89 750,000 PROVINCIA DE BUENOS AIRES VAR REGS 319,913 0.27 15/05/2035 El Salvador 2,581,713 2.20 550,000 YPF SOCIEDAD ANONIMA 8.50% REGS 498,867 0.42 1,000,000 EL SALVADOR 5.875% REGS 30/01/2025 1,056,035 0.90 27/06/2029 1,000,000 EL SALVADOR 6.375% REGS 18/01/2027 1,068,980 0.91 Bahrain 6,683,660 5.70 400,000 EL SALVADOR 7.65% REGS 15/06/2035 456,698 0.39 4,000,000 BAHRAIN 6.00% REGS 19/09/2044 4,205,600 3.59 Ethiopia 866,032 0.74 500,000 BAHRAIN 7.50% REGS 20/09/2047 609,593 0.52 1,300,000 OIL GAS HOLDING 7.50% REGS 25/10/2027 1,503,859 1.28 800,000 ETHIOPIA 6.625% REGS 11/12/2024 866,032 0.74 300,000 OIL GAS HOLDING 8.375% REGS 07/11/2028 364,608 0.31 Gabon 418,746 0.36
Belarus 2,234,248 1.90 400,000 GABON 6.375% REGS 12/12/2024 418,746 0.36 500,000 BELARUS 6.20% REGS 28/02/2030 531,903 0.45 Ghana 204,111 0.17 1,000,000 BELARUS 6.875% REGS 28/02/2023 1,069,135 0.91 200,000 GHANA 8.125% REGS 26/03/2032 204,111 0.17 600,000 DEVELOPMENT BANK OF BELARUS 6.75% REGS 633,210 0.54 02/05/2024 Honduras 223,005 0.19
British Virgin Islands 1,264,880 1.08 200,000 REPUBLIC OF HONDURAS 7.50% REGS 223,005 0.19 15/03/2024 230,000 CHINA HUADIAN OVERSEAS DEVELOPMENT 236,153 0.20 MANAGEMENT CO LTD VAR PERPETUAL Hong Kong (China) 252,175 0.21 500,000 HUARONG FINANCE LTD VAR PERPETUAL 508,735 0.43 240,000 CNAC HK FIBRIDGE COMPANY LIMITED 4.125% 252,175 0.21 500,000 HUARONG FINANCE 2017 CO LTD 4.25% 519,992 0.45 19/07/2027 07/11/2027 India 199,011 0.17 Cayman Islands 3,235,234 2.75 200,000 RURAL ELECTRIFICATION CORP LTD 3.875% 199,011 0.17 400,000 BIOCEANICO SOVERIGN CERTIFICATE LTD 0% 278,888 0.24 07/07/2027 REGS 05/06/2034 1,000,000 CHINA EVERGRANDE GROUP 8.75% 28/06/2025 862,175 0.73 Indonesia 7,165,467 6.11 200,000 RUTAS 2 AND 7 FINACNE LTD 0% REGS 131,548 0.11 300,000 PERUSAHAAN LISTRIK NEGARA 4.375% REGS 304,472 0.26 30/09/2036 05/02/2050 400,000 SENAAT SUKUK LIMITED 4.76% 05/12/2025 435,660 0.37 1,200,000 PT PERTAMINA 4.70% REGS 30/07/2049 1,281,612 1.09 2,500,000 SPARC EM SPC PANAMA METRO LINE 2 0% 1,526,963 1.30 3,900,000 PT PERTAMINA 5.625% REGS 20/05/2043 4,564,423 3.90 REGS 05/12/2022 1,000,000 PT SAKA ENERGI INDONESIA 4.45% REGS 1,014,960 0.86 Colombia 1,636,419 1.39 05/05/2024 1,000,000 ECOPETROL SA 5.875% 28/05/2045 1,177,605 1.00 Ivory Coast 1,058,015 0.90 400,000 TRANSPORTADORA DE GAS DEL 458,814 0.39 1,000,000 IVORY COAST 6.375% REGS 03/03/2028 1,058,015 0.90 INTERNATIONAL SA ESP 5.55% REGS 01/11/2028 Jamaica 3,420,500 2.91 Costa Rica 1,709,128 1.45 1,057,000 JAMAICA 6.75% 28/04/2028 1,255,668 1.07 1,600,000 COSTA RICA 7.158% REGS 12/03/2045 1,709,128 1.45 1,600,000 JAMAICA 7.875% 28/07/2045 2,164,832 1.84 Dominican Republic 2,089,965 1.78 Kazakhstan 3,031,416 2.58 856,000 DOMINICAN REPUBLIC 5.95% REGS 25/01/2027 946,505 0.81 2,000,000 NATIONAL COMPANY KAZMUNAYGAZ JSC 4.75% 2,200,400 1.87 1,000,000 DOMINICAN REPUBLIC 6.85% REGS 27/01/2045 1,143,460 0.97 REGS 19/04/2027
The accompanying notes form an integral part of these financial statements
8 PI Investment Funds - Emerging Markets Sovereign Bond
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
USD USD 200,000 NATIONAL COMPANY KAZMUNAYGAZ JSC 232,271 0.20 Pakistan 3,072,105 2.61 5.375% REGS 24/04/2030 500,000 NATIONAL COMPANY KAZMUNAYGAZ JSC 5.75% 598,745 0.51 3,000,000 THIRD PAKISTAN INTERNATIONAL SUKUK CO 3,072,105 2.61 REGS 19/04/2047 LTD 5.50% REGS 13/10/2021 Kenya 1,368,460 1.16 Paraguay 276,424 0.24
270,000 KENYA 8.00% REGS 22/05/2032 294,885 0.25 240,000 PARAGUAY 5.40% REGS 30/03/2050 276,424 0.24 1,000,000 KENYA 8.25% REGS 28/02/2048 1,073,575 0.91 Peru 2,188,410 1.86 Lebanon 2,314,179 1.97 2,000,000 PETROLEOS DEL PERU SA 4.75% REGS 2,188,410 1.86 400,000 LEBANON 6.15% 19/06/2020 315,616 0.27 19/06/2032 1,000,000 LEBANON 6.375% 09/03/2020 873,120 0.74 Russia 8,096,572 6.90 500,000 LEBANON 6.65% 26/02/2030 224,973 0.19 2,000,000 LEBANON 6.85% 23/03/2027 900,470 0.77 200,000 RUSSIA 4.25% REGS 23/06/2027 218,760 0.19 1,400,000 RUSSIA 4.375% REGS 21/03/2029 1,559,173 1.33 Mexico 5,245,743 4.47 3,600,000 RUSSIA 5.10% REGS 28/03/2035 4,317,119 3.68 2,000,000 PETROLEOS MEXICANOS PEMEX 6.35% 1,933,520 1.65 1,600,000 RUSSIA 5.25% REGS 23/06/2047 2,001,520 1.70 12/02/2048 Saudi Arabia 442,378 0.38 600,000 PETROLEOS MEXICANOS PEMEX 6.50% 636,573 0.54 13/03/2027 400,000 SAUDI ARABIA 4.50% REGS 26/10/2046 442,378 0.38 2,500,000 PETROLEOS MEXICANOS PEMEX 6.84% REGS 2,675,650 2.28 23/01/2030 Senegal 2,185,410 1.86 Mongolia 932,320 0.79 1,500,000 SENEGAL 6.25% REGS 23/05/2033 1,580,235 1.34 600,000 SENEGAL 6.75% REGS 13/03/2048 605,175 0.52 200,000 DEVELOPEMENT BANK OF MONGOLIA LLC 212,488 0.18 7.25% REGS 23/10/2023 Serbia 378,002 0.32 500,000 MONGOLIA 5.125% REGS 05/12/2022 512,745 0.43 376,000 SERBIA 4.875% REGS 25/02/2020 378,002 0.32 200,000 MONGOLIA 5.625% REGS 01/05/2023 207,087 0.18 South Africa 2,432,913 2.07 Morocco 663,619 0.56 900,000 ESKOM HOLDINGS SOC LIMITED 6.35% REGS 967,901 0.82 590,000 MOROCCO 1.50% REGS 27/11/2031 663,619 0.56 10/08/2028 Mozambique 939,135 0.80 1,500,000 SOUTH AFRICA 5.75% 30/09/2049 1,465,012 1.25
1,000,000 MOZAMBIQUE 5.00% REGS 15/09/2031 939,135 0.80 Sri Lanka 397,902 0.34 Netherlands 5,508,667 4.69 400,000 SRI LANKA 6.35% REGS 28/06/2024 397,902 0.34
250,000 BRASKEM NETHERLANDS 4.50% REGS 248,543 0.21 Turkey 1,454,591 1.24 31/01/2030 120,000 TURKEY 4.625% 31/03/2025 142,715 0.12 400,000 BRASKEM NETHERLANDS 5.875% REGS 398,678 0.34 600,000 TURKEY 4.875% 16/04/2043 496,440 0.42 31/01/2050 800,000 TURKEY 5.60% 14/11/2024 815,436 0.70 400,000 PETROBRAS GLOBAL FINANCE BV 5.625% 424,784 0.36 20/05/2043 Ukraine 5,062,154 4.31 1,000,000 PETROBRAS GLOBAL FINANCE BV 6.85% 1,146,525 0.98 05/06/2115 2,400,000 UKRAINE 7.75% REGS 01/09/2024 2,623,404 2.23 1,800,000 PETROBRAS GLOBAL FINANCE BV 6.875% 2,114,037 1.80 2,000,000 UKRAINE 9.75% REGS 01/11/2028 2,438,750 2.08 20/01/2040 United Arab Emirates 1,471,476 1.25 1,000,000 PETROBRAS GLOBAL FINANCE BV 6.90% 1,176,100 1.00 19/03/2049 800,000 EMIRATES ABU DHABI 3.125% REGS 30/09/2049 778,416 0.66 200,000 TAQA ABU DHABI NATIONAL ENERGY 207,627 0.18 Nigeria 1,005,810 0.86 COMPAGNY 4.00% REGS 03/10/2049 1,000,000 NIGERIA 7.696% REGS 23/02/2038 1,005,810 0.86 424,000 TAQA ABU DHABI NATIONAL ENERGY 485,433 0.41 COMPAGNY 4.875% REGS 23/04/2030 Oman 2,039,965 1.74 United Kingdom 1,856,175 1.58 1,000,000 OMAN 6.00% REGS 01/08/2029 1,047,305 0.90 1,000,000 OMAN 6.50% REGS 08/03/2047 992,660 0.84 400,000 KONDOR FINANCE PLC 7.375% 19/07/2022 415,032 0.35 1,000,000 KONDOR FINANCE PLC 7.625% REGS 08/11/2026 1,022,065 0.87 1,000,000 SHORTLINE PLC 9.875% REGS 15/09/2021 419,078 0.36
The accompanying notes form an integral part of these financial statements
9 PI Investment Funds - Emerging Markets Sovereign Bond
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV
USD
United States of America 1,076,550 0.92
1,000,000 CITGO HOLDING INC 9.25% 144A 01/08/2024 1,076,550 0.92 Uruguay 2,283,449 1.94
1,650,000 REPUBLICA URUGUAY 4.975% 20/04/2055 1,947,536 1.65 300,000 URUGUAY 4.375% 23/01/2031 335,913 0.29 Uzbekistan 1,061,488 0.90
600,000 UZBEK INDUSTRIAL AND CONSTRUCTION BANK 616,530 0.52 JOINT STOCK COMMERCIAL BK 5.75% 02/12/2024 400,000 UZBEKISTAN 5.375% REGS 20/02/2029 444,958 0.38 Venezuela 1,204,206 1.02
9,760,870 PETROLEOS DE VENEZUELA SA PDVSA 0% 780,870 0.66 REGS 15/11/2026 DEFAULTED 604,200 PETROLEOS DE VENEZUELA SA PDVSA 0% 48,336 0.04 12/04/2027 DEFAULTED 3,000,000 VENEZUELA (REPUBLIC OF) 0% 13/10/2019 375,000 0.32 DEFAULTED Viet Nam 438,356 0.37
400,000 VIET NAM 4.80% REGS 19/11/2024 438,356 0.37 Zambia 1,038,270 0.88
1,500,000 ZAMBIA 8.97% REGS 30/07/2027 1,038,270 0.88 Total securities portfolio 106,995,930 91.07
The accompanying notes form an integral part of these financial statements
10 PI Investment Funds - Euro High Yield Ex. Financials
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR Long positions 30,361,784 81.51 100,000 KAPLA HOLDING 3.375% REGS 15/12/2026 102,254 0.27 200,000 LA FINANCIERE ATALIAN SA 4.00% REGS 161,200 0.43 Transferable securities admitted to an official stock exchange 15/05/2024 21,172,729 78.32 listing and/or dealt in on another regulated market 120,000 LOXAM 3.50% REGS 03/05/2023 122,142 0.33 Shares 21,594 0.06 100,000 LOXAM 3.50% REGS 15/04/2022 101,756 0.27 Greece 19,765 0.06 100,000 LOXAM 3.75% 15/07/2026 105,295 0.28 100,000 LOXAM 4.25% REGS 15/04/2024 103,398 0.28 101,358 FRIGOGLASS S.A.L.C. 19,765 0.06 100,000 NOVAFIVES 5.00% REGS 15/06/2025 89,341 0.24 Spain 1,829 0.00 250,000 ORANGE SA VAR PERPETUAL EUR (ISIN 293,105 0.79 XS1028599287) 192,499 ABENGOA CL.B 1,829 0.00 400,000 ORANO SA 3.25% 04/09/2020 408,352 1.10 Bonds 28,649,294 76.91 250,000 ORANO SA 3.50% 22/03/2021 259,815 0.70 Austria 344,799 0.93 300,000 ORANO SA 4.875% 23/09/2024 347,781 0.93 128,000 PAPREC HOLDING SA 4.00% REGS 31/03/2025 124,079 0.33 200,000 SAPPI PAPIER HOLDING GMBH 3.125% REGS 198,772 0.54 182,000 PEUGEOT SA 2.00% 23/03/2024 194,041 0.52 15/04/2026 150,000 QUATRIM SASU 5.875% REGS 15/01/2024 158,441 0.43 143,000 SAPPI PAPIER HOLDING GMBH 4.00% REGS 146,027 0.39 216,000 RCI BANQUE SA FRN 08/07/2020 216,141 0.58 01/04/2023 100,000 REXEL SA 2.125% 15/06/2025 102,085 0.27 Bermuda 138,976 0.37 100,000 SOLVAY FINANCE VAR PERPETUAL EUR (ISIN 115,258 0.31 200,000 DIGICEL LIMITED 6% 15/04/2021 138,976 0.37 XS0992293901) 300,000 SOLVAY FINANCE VAR PERPETUAL EUR (ISIN 319,578 0.86 Cayman Islands 686,581 1.84 XS1323897485) 200,000 SPIE SA 3.125% 22/03/2024 215,607 0.58 200,000 MAF GLOBAL SECURITIES LTD VAR PERPETUAL 181,514 0.49 USD (ISIN XS1567903627) 100,000 TEREOS FINANCE GROUPE I 4.125% 16/06/2023 80,061 0.21 200,000 MIZZEN BONDCO 7.00% REGS 01/05/2021 220,854 0.59 Germany 1,469,841 3.95 300,000 UPCB FINANCE IV LTD 4.00% REGS 15/01/2027 284,213 0.76 187,000 ADLER PELZER HOLDING GMBH 4.125% REGS 173,065 0.46 Czech Republic 99,952 0.27 01/04/2024 100,000 IHO VERWALTUNGS GMBH 3.625% REGS 104,629 0.28 100,000 EP INFRASTRUCTURE AS 1.698% 30/07/2026 99,952 0.27 15/05/2025 France 6,174,388 16.58 310,000 IHO VERWALTUNGS GMBH 3.75% REGS 328,301 0.89 15/09/2026 100,000 ALTICE FRANCE SA 3.375% REGS 15/01/2028 103,352 0.28 200,000 LANXESS AG VAR 06/12/2076 219,676 0.59 200,000 ARKEMA SA VAR PERPETUAL 207,858 0.56 200,000 PLATIN 1426 GMBH 5.375% REGS 15/06/2023 201,826 0.54 200,000 CASINO GUICHARD PERRACHON SA VAR 108,965 0.29 200,000 THYSSENKRUPP AG 1.375% 03/03/2022 200,786 0.54 PERPETUAL 150,000 THYSSENKRUPP AG 1.75% 25/11/2020 151,328 0.41 200,000 CASINO GUICHARD PERRACHON SA VAR 170,150 0.46 05/08/2026 90,000 THYSSENKRUPP AG 1.875% 06/03/2023 90,230 0.24 100,000 CASINO GUICHARD PERRACHON SA VAR 91,438 0.25 Guernsey 349,653 0.94 07/03/2024 200,000 CMA CGM 5.25% REGS 15/01/2025 160,373 0.43 135,000 GLOBALWORTH REAL ESTATE INVESTMENTS 145,579 0.39 LIMITED 3.00% 29/03/2025 200,000 CROWN EUROPEAN HOLDINGS 2.625% REGS 213,366 0.57 30/09/2024 208,000 SUMMIT GERMANY LTD 2.00% REGS 31/01/2025 204,074 0.55 100,000 CROWN EUROPEAN HOLDINGS 2.875% REGS 108,554 0.29 Ireland 946,315 2.54 01/02/2026 100,000 ELECTRICITE DE FRANCE SA VAR PERPETUAL 100,452 0.27 205,000 ARDAGH PACKAGING FIN PLC 2.75% REGS 208,782 0.56 EUR (ISIN FR0011401736) 15/03/2024 200,000 ELECTRICITE DE FRANCE SA VAR PERPETUAL 231,555 0.62 200,000 ARDAGH PACKAGING FIN PLC 4.25% REGS 179,510 0.48 EUR (ISIN FR0011401751) 15/09/2022 500,000 ELECTRICITE DE FRANCE SA VAR PERPETUAL 573,565 1.55 100,000 CBOM FINANCE PLC 5.15% REGS 20/02/2024 107,153 0.29 EUR (ISIN FR0011697028) 100,000 EIRCOM FINANCE LTD 2.625% 15/02/2027 100,945 0.27 100,000 ELIS SA 1.75% 11/04/2024 103,560 0.28 100,000 SMURFIT KAPPA ACQUISITIONS UNLIMITED 107,327 0.29 100,000 ELIS SA 1.875% 15/02/2023 103,814 0.28 COMPAGNY 2.375% REGS 01/02/2024 127,000 FAURECIA SA 2.625% 15/06/2025 132,189 0.35 200,000 VIRGIN MEDIA RECEIVABLES FINANCING NOTES 242,598 0.65 100,000 GIE PSA TRESORERIE 6.00% 19/09/2033 145,467 0.39 I DESIGNATED 5.50% REGS 15/09/2024
The accompanying notes form an integral part of these financial statements
11 PI Investment Funds - Euro High Yield Ex. Financials
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR
Italy 4,190,912 11.25 Netherlands 4,126,271 11.08
216,000 ENEL - ENTE NAZIONALE PER L’ENERGIA 235,195 0.63 300,000 ATF NETHERLANDS BV VAR PERPETUAL 321,241 0.86 ELETTRICA VAR 24/05/2080 100,000 AXALTA COATING SYSTEMS LTD 3.75% REGS 103,000 0.28 1,000,000 ITALY BTP 1.20% 01/04/2022 1,025,870 2.75 15/01/2025 1,300,000 ITALY BTP 2.10% 15/07/2026 1,395,966 3.74 100,000 DUFRY ONE BONDS 2.00% 15/02/2027 101,276 0.27 170,000 LEONARDO SPA 1.50% 07/06/2024 174,519 0.47 111,000 DUFRY ONE BONDS 2.50% 15/10/2024 114,198 0.31 150,000 LEONARDO SPA 4.50% 19/01/2021 156,735 0.42 270,000 FIAT CHRYSLER AUTOMOBILES N.V. 3.75% 305,243 0.82 350,000 LEONARDO SPA 4.875% 24/03/2025 420,178 1.13 29/03/2024 200,000 SISAL GROUP SPA 7.00% REGS 31/07/2023 142,256 0.38 200,000 KONINKLIJKE KPN NV 1.125% 11/09/2028 206,219 0.55 300,000 TELECOM ITALIA SPA 3.25% 16/01/2023 322,245 0.87 216,000 LKQ EURO HOLDINGS BV 3.625% REGS 227,761 0.61 100,000 TELECOM ITALIA SPA 3.625% 25/05/2026 110,798 0.30 01/04/2026 200,000 METINVEST BV 5.625% REGS 17/06/2025 203,448 0.55 200,000 TELECOM ITALIA SPA 4.875% 25/09/2020 207,150 0.56 300,000 NATURGY FINANCE BV VAR PERPETUAL 325,149 0.87 Jersey 280,088 0.75 100,000 NE PROPERTY COOPERATIEF U.A. 1.875% 99,810 0.27 09/10/2026 150,000 ADIENT GLOBAL HOLDINGS LTD 3.50% REGS 141,401 0.38 15/08/2024 100,000 OCI N V 3.125% REGS 01/11/2024 103,864 0.28 123,000 ASTON MARTIN CAPITAL HOLDINGS LIMITED 138,687 0.37 150,000 OI EUROPEAN GROUP BV 3.125% REGS 159,732 0.43 5.75% REGS 15/04/2022 15/11/2024 140,000 PPF ARENA 1 BV 3.125% 27/03/2026 147,880 0.40 Luxembourg 3,096,372 8.31 200,000 REPSOL INTERNATIONAL FINANCE BV VAR 208,250 0.56 250,000 ALTICE FINCO S.A 8.125% REGS 15/01/2024 228,285 0.61 PERPETUAL 200,000 ARCELORMITTAL SA 3.125% 14/01/2022 210,980 0.57 150,000 SUNSHINE MID BV 6.50% REGS 15/05/2026 160,538 0.43 100,000 ARD FINANCE SA 5.00% REGS 30/06/2027 100,796 0.27 100,000 TELEFONICA EUROPE BV VAR PERPETUAL 112,000 0.30 100,000 ARENA LUXEMBOURG FINANCE S A R L VAR 100,862 0.27 200,000 TELEFONICA EUROPE BV VAR PERPETUAL EUR 206,442 0.55 REGS 01/11/2023 (ISIN XS1731823255) 200,000 AROUNDTOWN SA VAR PERPETUAL EUR (ISIN 208,577 0.56 250,000 TEVA PHARMACEUTICAL FINANCE 219,064 0.59 XS2027946610) NETHERLANDS II BV 1.125% 15/10/2024 117,000 CNH INDUSTRIAL FINANCE EUROPE S A 1.75% 123,237 0.33 110,000 VOLKSWAGEN INTERNATIONAL FINANCE NV 113,325 0.30 12/09/2025 VAR PERPETUAL EUR (ISIN XS1206540806) 211,000 CPI PROPERTY GROUP S.A. VAR PERPETUAL 220,575 0.59 200,000 VOLKSWAGEN INTERNATIONAL FINANCE NV 207,610 0.56 VAR PERPETUAL EUR (ISIN XS1629658755) 150,000 CRYSTAL ALMOND S A R L 4.25% REGS 154,512 0.41 15/10/2024 100,000 VOLKSWAGEN INTERNATIONAL FINANCE NV 108,284 0.29 VAR PERPETUAL EUR (ISIN XS1629774230) 200,000 FIAT CHRYSLER FINANCE EUROPE S A 4.75% 222,984 0.60 15/07/2022 180,000 VTR FINANCE BV 6.875% REGS 15/01/2024 163,363 0.44 100,000 GRAND CITY PROPERTIES S A VAR PERPETUAL 106,144 0.28 200,000 ZIGGO BV 2.875% REGS 15/01/2030 208,574 0.56 EUR (ISIN XS1191320297) Spain 103,972 0.28 100,000 HANESBRANDS FINANCE LUXEMBOURG 3.50% 109,735 0.29 REGS 15/06/2024 100,000 GRIFOLS SA 2.25% REGS 15/11/2027 103,602 0.28 100,000 INEOS GROUP HOLDINGS SA 5.375% REGS 103,785 0.28 80,497 GRUPO ISOLUX CORSAN 0% 30/12/2021 0.00244 01/08/2024 DEFAULTED EUR (ISIN XS1527710963) 171,000 INTRALOT CAPITAL LUXEMBOURG SA 6.75% 105,622 0.28 62,827 GRUPO ISOLUX CORSAN 0% 30/12/2021 0.00126 REGS 15/09/2021 DEFAULTED EUR (ISIN XS1542318388) 120,000 PICARD BONDO 5.50% REGS 30/11/2024 118,477 0.32 Sweden 1,007,076 2.70 100,000 SES S.A. VAR PERPETUAL EUR (ISIN 112,030 0.30 XS1405765659) 167,000 AKELIUS RESIDENTIAL PROPERTY VAR 177,052 0.48 300,000 SES S.A. VAR PERPETUAL EUR (ISIN 318,471 0.86 05/10/2078 XS1405777746) 122,000 AKELIUS RESIDENTIAL PROPERTY 1.50% 125,589 0.34 230,000 TELECOM ITALIA FINANCE SA 7.75% 24/01/2033 346,651 0.94 23/01/2022 200,000 VIVION INVESTMENTS SARL 3.00% 08/08/2024 204,649 0.55 120,000 VOLVO CAR AB 2.00% 24/01/2025 124,058 0.33 520,000 VOLVO TREASURY AB VAR 10/03/2078 580,377 1.55 Mexico 833,742 2.24 United Kingdom 2,083,862 5.59 158,000 CEMEX SAB DE CV 2.75% REGS 05/12/2024 161,495 0.43 250,000 NEMAK SAB DE CV 3.25% REGS 15/03/2024 260,105 0.71 200,000 ARROW GLOBAL FINANCE PLC VAR REGS 198,689 0.53 200,000 PETROLEOS MEXICANOS PEMEX 2.50% 205,502 0.55 01/04/2025 21/08/2021 100,000 BOPARAN FINANCE PLC 4.375% REGS 72,935 0.20 200,000 PETROLEOS MEXICANOS PEMEX 3.75% 206,640 0.55 15/07/2021 16/04/2026 100,000 INEOS FINANCE PLC 2.875% REGS 01/05/2026 103,220 0.28
The accompanying notes form an integral part of these financial statements
12 PI Investment Funds - Euro High Yield Ex. Financials
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 139,000 JAGUAR LAND ROVER PLC 2.20% REGS 131,826 0.35 Warrants, Rights 0.00- 15/01/2024 100,000 JAGUAR LAND ROVER PLC 3.875% REGS 113,350 0.30 United Kingdom 0.00- 01/03/2023 1,000 VISIOCORP PLC PLAC A SERIES WARRANT 0.00- 150,000 JAGUAR LAND ROVER PLC 6.875% REGS 158,237 0.42 01/01/12 15/11/2026 1,000 VISIOCORP PLC PLAC B SERIES WARRANT 0.00- 125,000 MATALAN FINANCE PLC 6.75% REGS 31/01/2023 143,977 0.39 01/01/12 100,000 NEMEAN BONDCO PLC FRN REGS 01/02/2023 115,253 0.31 200,000 OTE PLC 3.50% 09/07/2020 203,628 0.55 Share/Units of UCITS/UCIS 1,099,277 2.95 300,000 TESCO COROPORATE TREASURY SERVICES 326,382 0.87 Share/Units in investment funds 1,099,277 2.95 PLC 2.50% 01/07/2024 74,000 TESCO PLC 5.125% 10/04/2047 107,984 0.29 Luxembourg 1,099,277 2.95 162,000 TITAN GLOBAL FINANCE PLC 2.375% 16/11/2024 167,252 0.45 1,110 AMUNDI FUNDS CASH EUR - Q-X EUR (C) 1,099,277 2.95 100,000 TITAN GLOBAL FINANCE PLC 3.50% 17/06/2021 104,113 0.28 Total securities portfolio 30,361,784 81.51 121,000 VIRGIN MEDIA SECURED FINANCE PLC 6.25% 137,016 0.37 REGS 28/03/2029 United States of America 2,716,494 7.29
100,000 AMC ENTERTAINMENT HOLDINGS INC 6.375% 116,017 0.31 15/11/2024 100,000 BELDEN INC 3.375% REGS 15/07/2027 105,093 0.28 200,000 CEMEX FINANCE LLC 4.625% REGS 15/06/2024 208,148 0.56 140,000 CNH CAPITAL LLC 4.875% 01/04/2021 128,681 0.35 234,000 EQUINIX INC 2.875% 01/02/2026 243,131 0.65 133,000 IQVIA INC 2.875% REGS 15/09/2025 136,574 0.37 410,000 IQVIA INC 3.25% REGS 15/03/2025 418,285 1.11 247,000 IRON MOUNTAIN INC 3.00% REGS 15/01/2025 253,757 0.68 100,000 MPT OPERATING PARTNERSHIP LP / MPT 110,462 0.30 FINANCE CORP 3.325% 24/03/2025 100,000 MPT OPERATING PARTNERSHIP LP / MPT 108,768 0.29 FINANCE CORP 4.00% 19/08/2022 100,000 PVH CORP 3.625% REGS 15/07/2024 111,662 0.30 100,000 SCIENTIFIC GAMES INTERNATIONAL INC 3.375% 103,464 0.28 REGS 15/02/2026 160,000 SCIENTIFIC GAMES INTERNATIONAL INC 5.50% 166,469 0.45 REGS 15/02/2026 211,000 SILGAN HOLDINGS INC 3.25% 15/03/2025 216,367 0.58 200,000 SPRINT COMMUNICATION INC 7.00% 15/08/2020 182,183 0.49 100,000 ZF NORTH AMERICA CAPITAL INC 2.75% 107,433 0.29 27/04/2023
Convertible bonds 501,840 1.35 Italy 501,840 1.35
500,000 TELECOM ITALIA SPA CV 1.125% 26/03/2022 501,840 1.35
Warrants, Rights 0.001 Spain 0.001
133 ISOUNITS SM WARRANT 30/12/2021 0.001
Other transferable securities 89,778 0.24
Bonds 89,738 0.24 Netherlands 89,738 0.24
92,613 FRIGOGLASS FINANCE BV VAR 31/12/2021 89,738 0.24
Shares 0.0040 United Kingdom 0.0040
22,845 NEW WORLD RESOURCES CL.A 0.0040
The accompanying notes form an integral part of these financial statements
13 PI Investment Funds - Strategic Income
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
USD USD Long positions 22,920,774 96.11 13,000 NEXTERA ENERGY OPERATING PARTNERS LP 13,604 0.06 4.50% 144A 15/09/2027 Transferable securities admitted to an official stock exchange 120,000 NRG ENERGY INC 4.45% 144A 15/06/2029 126,619 0.53 22,918,136 96.10 listing and/or dealt in on another regulated market 50,000 PPL CAPITAL FUNDING INC 3.10% 15/05/2026 50,983 0.21 Shares 250,850 1.05 50,000 SOUTHERN CALIFORNIA EDISON CO 4.875% 59,434 0.25 Banks 250,850 1.05 01/03/2049 50,000 SOUTHERN COPPER CORP 3.90% 01/04/2045 52,334 0.22 173 WELLS FARGO COMPANY PREFERRED 250,850 1.05 85,000 VISTRA OPERATIONS COMPANY LLC 3.70% 144A 84,861 0.36 30/01/2027 Bonds 9,570,460 40.13 12,000 VISTRA OPERATIONS COMPANY LLC 4.30% 144A 12,258 0.05 Aerospace & Defense 29,802 0.12 15/07/2029 28,000 BOEING CO 3.75% 01/02/2050 29,802 0.12 21,000 VISTRA OPERATIONS COMPANY LLC 5.625% 22,234 0.09 144A 15/02/2027 Alternative Energy 82,760 0.35 Electronic & Electrical Equipment 312,749 1.31 71,000 ONEOK INC 7.50% 01/09/2023 82,760 0.35 36,000 AMPHENOL CORPORATION 4.35% 01/06/2029 40,476 0.17 Automobiles & Parts 250,228 1.05 100,000 BELDEN INC 3.375% 144A 15/07/2027 118,221 0.50 95,000 FORD MOTOR CO 4.346% 08/12/2026 98,128 0.41 116,000 FLEX LTD 4.875% 15/06/2029 125,767 0.52 85,000 GENERAL MOTORS CO. 6.60% 01/04/2036 100,679 0.42 29,000 NEW YORK STATE ELECT 3.30% 144A 15/09/2049 28,285 0.12 50,000 MERITOR INC 6.25% 15/02/2024 51,421 0.22 Financial Services 1,109,768 4.65
Banks 584,055 2.45 39,000 BLUE RACER MIDSTREAM LLC / BLUE RACER 38,419 0.16 FINANCE CORP 6.125% 144A 15/11/2022 1,230,000 ASIAN DEVELOPMENT BANK ADB 6.20% 16,821 0.07 06/10/2026 25,000 BPCE CYCLE MERGER SUB II INC 10.625% 144A 25,676 0.11 15/07/2027 50,000 BANCO CREDITO DEL PERU PANAMA BRANCH 53,632 0.22 VAR 144A 16/09/2026 18,000 CAMERON LNG LLC 3.302% 144A 15/01/2035 18,273 0.08 100,000 BARCLAYS PLC VAR 07/02/2028 114,241 0.48 47,000 CAMERON LNG LLC 3.402% 144A 15/01/2038 47,471 0.20 61,950 COOPERATIEVE RABOBANK UA VAR 89,012 0.37 90,000 CAPITAL ONE FINANCIAL CORP 4.25% 30/04/2025 97,990 0.40 PERPETUAL EUR (ISIN XS1002121454) 10,000 CLEARWAYENERGY OPERATING LLC 4.75% 144A 10,176 0.04 50,000 HSBC HOLDINGS PLC 4.00% 30/03/2022 52,138 0.22 15/03/2028 710,000,000 INTER AMERICA DEVELOPMENT BANK 7.875% 54,215 0.23 59,000 DIAMOND SPORTS GROUP LLC 6.625% 144A 57,582 0.24 14/03/2023 15/08/2027 971,100,000 INTERNATIONAL BANK FOR RECONSTRUCTION 71,883 0.30 10,000 FARMER’S EXCHANGE CAPITAL III VAR 144A 11,639 0.05 & DEVELOPMENT IBRD 7.45% 20/08/2021 15/10/2054 126,000 JPMORGAN CHASE & CO VAR PERPETUAL 132,113 0.56 30,000 FREEDOM MORTGAGE CO 8.25% 144A 29,570 0.12 15/04/2025 Beverages 136,441 0.57 50,000 GENERAL MOTORS FINANCIAL CO 4.00% 52,653 0.22 15/01/2025 105,000 ANHEUSER BUSCH INBEV WORLDWIDE INC 136,441 0.57 40,000 GOLDMAN SACHS GROUP INC. VAR 01/05/2029 44,162 0.19 5.55% 23/01/2049 52,000 GOLDMAN SACHS GROUP INC. VAR 29/09/2025 53,964 0.23 Chemicals 132,495 0.56 24,000 GW B CR SEC CORP 9.50% 144A 01/11/2027 25,674 0.11 21,000 CF INDUSTRIES INC 4.95% 01/06/2043 22,085 0.09 85,000 HEALTHCARE TRUST OF AMERICA HOLDINGS LP 89,153 0.37 44,000 CF INDUSTRIES INC 5.375% 15/03/2044 48,398 0.21 3.50% 01/08/2026 85,000 HIGHWOODS REALTY LTD PARTNERSHIP 3.625% 87,934 0.37 19,000 NOVA CHEMICALS CORP 5.00% 144A 01/05/2025 19,533 0.08 15/01/2023 40,000 OLIN CORP 5.625% 01/08/2029 42,479 0.18 22,000 JBA USA LUX FOOD COMPANY 5.50% 144A 23,711 0.10 Construction & Materials 197,918 0.83 15/01/2030 35,000 JBS USA LUX S.A./JBS USA FINANCE 6.75% 144A 38,835 0.16 55,000 OWENS CORNING INC 4.20% 01/12/2024 58,485 0.25 15/02/2028 65,000 STANDARD INDUSTRIES INC 5.00% 144A 68,205 0.29 75,000 LATAM AIRLINES PASS THROUGH TRUST 60,753 0.25 15/02/2027 SERIES 4.20% 15/08/2029 65,000 TOLL BROTHERS FINANCE CORP 4.875% 71,228 0.29 75,000 TARGA RESOURCES PARTNERS 4.25% 76,297 0.32 15/11/2025 15/11/2023 Electricity 539,666 2.26 50,000 TD AMERITRADE HOLDING CORP 3.30% 52,489 0.22 01/04/2027 35,000 CONSOLIDATED EDISON CO OF NEW YORK INC 42,745 0.18 30,000 UNITED RENTALS NORTH AM 3.875% 15/11/2027 30,734 0.13 4.625% 01/12/2054 22,000 UNITED RENTALS NORTH AM 4.875% 15/01/2028 22,984 0.10 73,000 DOMINION ENERGY INC VAR PERPETUAL 74,594 0.31
The accompanying notes form an integral part of these financial statements
14 PI Investment Funds - Strategic Income
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
USD USD 13,000 USA COMPRESSION PARTNERS LP 6.875% 144A 13,715 0.06 Industrial Transportation 159,871 0.67 01/09/2027 72,000 VOC ESCROW LTD 5.00% 144A 15/02/2028 75,807 0.32 50,000 AIR CANDA 2013 1 PASS THRU TRUSTS 5.375% 27,796 0.12 25,000 WINDTREAM SERVICES LLC FINANCE CORP 0% 24,107 0.10 144A 15/05/2021 144A 31/10/2025 DEFAULTED 50,000 BURLINGTON NORTH SANTA FE 4.15% 57,495 0.23 01/04/2045 Fixed Line Telecommunications 35,976 0.15 22,000 THE BRINKS CO 4.625% 144A 15/10/2027 22,800 0.10 35,000 LEVEL 3 FINANCING INC 4.625% 144A 15/09/2027 35,976 0.15 50,000 UNION PACIFIC CORP 3.375% 01/02/2035 51,780 0.22 Food & Drug Retailers 52,524 0.22 Life Insurance 106,798 0.45
35,000 CVS HEALTH CORP 5.773% 144A 10/01/2033 29,252 0.12 10,000 CNO FINANCIAL GROUP INC 5.25% 30/05/2025 11,142 0.05 25,000 CVS HEALTH CORP 8.353% 144A 10/07/2031 23,272 0.10 6,000 CNO FINANCIAL GROUP INC 5.25% 30/05/2029 6,767 0.03 85,000 FARMERS INSURANCE EXCHANGE VAR 144A 88,889 0.37 Food Producers 24,966 0.10 01/11/2057 25,000 SMITHIFIELD FOODS INC 2.65% 144A 03/10/2021 24,966 0.10 Media 56,385 0.24
Forestry & Paper 62,677 0.26 50,000 COMCAST CORP 4.15% 15/10/2028 56,385 0.24 50,000 INTERNATIONAL PAPER CO 6.00% 15/11/2041 62,677 0.26 Mobile Telecommunications 98,585 0.41
Gas, Water & Multiutilities 222,519 0.93 9,000 MILLICOM INTL CELLULAR SA 6.25% 144A 9,983 0.04 118,000 DUKE ENERGY CORP VAR PERPETUAL 124,210 0.52 25/03/2029 65,000 SEMPRA ENERGY 3.40% 01/02/2028 67,541 0.28 25,000 SPRINT CORPORATION 7.25% 15/09/2021 26,572 0.11 30,000 TERRAFORM POWER OPERATING LLC 4.75% 30,768 0.13 60,000 T-MOBILE USA INC 6.50% 15/01/2024 62,030 0.26 144A 15/01/2030 Nonlife Insurance 281,633 1.18 Governments 1,772,155 7.44 60,000 AXA SA 8.60% 15/12/2030 88,040 0.37 1,391,000,000 INDONESIA 6.125% 15/05/2028 94,498 0.40 100,000 LIBERTY MUTUAL INSURANCE COMPANY 7.697% 146,099 0.61 100,000 IVORY COAST 5.875% 144A 17/10/2031 117,344 0.49 144A 15/10/2097 17,000 MEXICO 6.50% 09/06/2022 89,665 0.38 27,000 WAND MERGER 8.125% 144A 15/07/2023 28,785 0.12 27,203 MEXICO 8.00% 07/12/2023 150,255 0.63 7,000 WAND MERGER 9.125% 144A 15/07/2026 7,780 0.03 7,189,000 RUSSIA 8.15% 03/02/2027 129,428 0.54 11,000 WILLIS NORTH AMERICA INC 2.95% 15/09/2029 10,929 0.05 3,386,000 URUGUAY 9.875% 144A 20/06/2022 88,566 0.37 Oil & Gas Producers 1,003,672 4.21 450,000 USA T-BONDSI 0.875% 15/02/2047 516,206 2.17 40,000 APACHE CORP 4.25% 15/01/2030 41,435 0.17 250,000 USA T-BONDSI 1.00% 15/02/2048 289,798 1.22 70,000 APACHE CORP 4.375% 15/10/2028 73,268 0.31 260,000 USA T-BONDSI 1.00% 15/02/2049 296,395 1.24 44,000 CENOVUS ENERGY 6.75% 15/11/2039 56,147 0.24 Health Care Equipment & Services 124,340 0.52 65,000 DCP MIDSTREAM LLC 4.75% 144A 30/09/2021 67,044 0.28 10,000 CENTENE CORP 4.25% 144A 15/12/2027 10,317 0.04 142,000 EQT CORP 3.90% 01/10/2027 132,386 0.55 20,000 CENTENE CORP 4.625% 144A 15/12/2029 21,096 0.09 65,000 GENESIS ENERGY LP/GENESIS ENERGY 66,039 0.28 FINANCE CORP 6.75% 01/08/2022 10,000 HCA INC 5.625% 01/09/2028 11,443 0.05 27,000 MIDWEST CONNECTOR CAPITAL COMPANY LLC 29,656 0.12 6,000 HCA INC 5.875% 01/02/2029 6,953 0.03 4.625% 144A 01/04/2029 35,000 HUMANA INC 3.95% 15/03/2027 37,651 0.15 65,000 NEWFIELD EXPLORATION CO 5.625% 01/07/2024 71,856 0.30 20,000 TENET HEALTHCARE CORP 4.875% 144A 21,005 0.09 65,000 NOBLE ENERGY INC 5.25% 15/11/2043 74,319 0.31 01/01/2026 38,000 OASIS PETROLEUM 6.875% 15/03/2022 37,096 0.16 15,000 TENET HEALTHCARE CORP 5.125% 144A 15,875 0.07 01/11/2027 22,000 PARSLEY ENERGY LLC FINANCE 5.25% 144A 22,714 0.10 15/08/2025 Household Goods & Home Construction 74,530 0.31 75,000 PHILLIPS 66 PARTNERS LP 3.75% 01/03/2028 78,303 0.33 60,000 KB HOME 7.625% 15/05/2023 67,785 0.28 19,000 SUNOCO LOGISTICS PARTNERS 5.40% 20,693 0.09 01/10/2047 6,000 MERITAGE HOMES CORP 6.00% 01/06/2025 6,745 0.03 25,000 SUNOCO LOGISTICS PARTNERS 6.10% 28,116 0.12 Industrial Metals & Mining 65,222 0.27 15/02/2042 64,000 VALERO ENERGY CORP 6.625% 15/06/2037 85,026 0.35 53,000 FREEPORT MCMORAN INC 5.45% 15/03/2043 55,092 0.23 70,000 WHITING PETROLEUM CORP 5.75% 15/03/2021 66,925 0.28 10,000 STEEL DYNAMICS INC 3.45% 15/04/2030 10,130 0.04 23,000 WPX ENERGY INC 5.25% 15/09/2024 24,539 0.10
The accompanying notes form an integral part of these financial statements
15 PI Investment Funds - Strategic Income
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
USD USD 150,000 YPF SOCIEDAD ANONIMA 16.50% 144A 1,303 0.01 43,000 EXPEDIA GROUP INC 4.50% 15/08/2024 46,130 0.19 09/05/2022 7,000 EXPEDIA GROUP INC 5.00% 15/02/2026 7,737 0.03 30,000 YPF SOCIEDAD ANONIMA 6.95% 144A 21/07/2027 26,807 0.11 10,000 SCIENTIFIC GAMES INTERNATIONAL INC 7.00% 10,793 0.05 144A 15/05/2028 Oil Equipment, Services & Distribution 739,286 3.10 10,000 SCIENTIFIC GAMES INTERNATIONAL INC 7.25% 10,917 0.05 5,000 CHENIERE ENERGY PARTNERS LP 4.50% 144A 5,149 0.02 144A 15/11/2029 01/10/2029 23,000 SCIENTIFIC GAMES INTERNATIONAL INC 8.25% 25,406 0.11 40,000 CHENIERE ENERGY PARTNERS LP 5.25% 41,814 0.18 144A 15/03/2026 01/10/2025 Support Services 109,601 0.46 28,000 ENABLE MIDSTREAM PARTNERS LP 4.40% 28,028 0.12 15/03/2027 20,000 PRIME SECURITY SERVICES BORROWER LLC 21,800 0.09 112,000 ENABLE MIDSTREAM PARTNERS LP 4.95% 113,869 0.47 5.75% 144A 15/04/2026 15/05/2028 70,000 VERISK ANLYTCS INC 5.50% 15/06/2045 87,801 0.37 31,000 ENERGY TRANSFER PARTNERS LP 5.50% 34,926 0.15 01/06/2027 Tobacco 227,878 0.96 25,000 ENERGY TRANSFER PARTNERS LP 6.00% 29,235 0.12 100,000 ALTRIA GROUP INC 3.125% 15/06/2031 125,648 0.53 15/06/2048 95,000 REYNOLDS AMERICAN INC 4.45% 12/06/2025 102,230 0.43 5,000 ENERGY TRANSFER PARTNERS LP 6.125% 5,827 0.02 15/12/2045 Travel, Leisure & Catering 25,700 0.11 6,000 ENLINK MIDSTREAM LLC 5.375% 01/06/2029 5,670 0.02 25,000 GLP CAP/FIN II INC 4.00% 15/01/2030 25,700 0.11 95,000 ENLINK MIDSTREAM PARTNERS LP 5.45% 77,770 0.33 01/06/2047 Convertible bonds 70,121 0.29 20,000 ENLINK MIDSTREAM PARTNERS LP 5.60% 16,330 0.07 Financial Services 32,226 0.14 01/04/2044 39,000 FTS INTERNATIONAL INC 6.25% 01/05/2022 26,152 0.11 13,000 JAZZ INVESTMENTS I LTD 1.50% 15/08/2024 CV 13,138 0.06 20,000 HESS MIDSTREAM PART 5.125% 144A 15/06/2028 20,297 0.09 20,000 TEVA PHARMACEUTICAL FINANCE LLC 0.25% 19,088 0.08 65,000 KINDER MORGAN INC 5.05% 15/02/2046 73,177 0.31 01/02/2026 CV 100,000 MPLX LP 4.875% 01/12/2024 108,842 0.45 Pharmaceuticals & Biotechnology 37,895 0.15 39,000 WILLIAMS COMPANIES INC 5.75% 24/06/2044 46,224 0.19 39,000 INSMED INC 1.75% 15/01/2025 CV 37,895 0.15 25,000 WILLIAMS COMPANIES INC 7.50% 15/01/2031 32,818 0.14 55,000 WILLIAMS COMPANIES INC 7.75% 15/06/2031 73,158 0.31 Mortgage and asset backed securities 13,026,705 54.63 Pharmaceuticals & Biotechnology 391,732 1.64 Banks 95,791 0.40
29,000 ABBVIE INC 4.05% 144A 21/11/2039 30,474 0.13 100,000 JP MORGAN CHASE BANK NA FRN 25/04/2047 95,791 0.40 23,000 ABBVIE INC 4.25% 144A 21/11/2049 24,410 0.10 Financial Services 12,907,478 54.13 80,000 ABBVIE INC 4.875% 14/11/2048 92,587 0.39 25,000 ASCENTIUM EQUIP RECEIVABLES LLC 4.20% 25,122 0.11 100,000 BAUSCH HEALTH COMPANIES INC 4.50% REGS 113,996 0.47 12/09/2022 15/05/2023 75,000 BAYVIEW OPPORTUNITY MASTER FUND IVB 79,426 0.33 10,000 BAUSCH HEALTH COMPANIES INC 5.75% 144A 10,898 0.05 TRUST 2017 SPL4 VAR 28/05/2069 USD (ISIN 15/08/2027 US07333AAD28) 30,000 BIOGEN INC 5.20% 15/09/2045 36,342 0.15 50,000 BAYVIEW OPPORTUNITY MASTER FUND IVB 52,051 0.22 14,000 PAR PHARMACEUTICAL COS INC 7.50% 144A 14,027 0.06 TRUST 2017 SPL4 VAR 28/06/2057 USD (ISIN 01/04/2027 US07331UAD00) 82,000 TEVA PHARMACEUTICAL FINANCE 68,998 0.29 30,000 BAYVIEW OPPORTUNITY MASTER FUND IVB 32,300 0.14 NETHERLANDS III BV 3.15% 01/10/2026 TRUST 2017 SPL4 VAR 28/06/2057 USD (ISIN Real Estate Investment Trusts 311,529 1.31 US07331UAG31) 75,000 BAYVIEW OPPORTUNITY MASTER FUND IVB 47,523 0.20 25,000 ALEXANDRIA REAL ESTATE EQUITIES INC 3.95% 26,980 0.11 TRUST 2017-CRT1 VAR 28/08/2057 15/01/2027 20,000 BENCHMARK MORTGAGE TRUST 3.944% 22,057 0.09 85,000 DUKE REALTY LP 3.25% 30/06/2026 88,214 0.38 15/07/2051 55,000 I STAR INC 4.25% 01/08/2025 55,691 0.23 75,000 BENCHMARK MORTGAGE TRUST 3.995% 83,215 0.35 30,000 I STAR INC 4.75% 01/10/2024 31,302 0.13 10/11/2051 45,000 MPT OPERATING PARTNERSHIP LP / MPT 46,579 0.20 50,000 C SAIL 2015-C4 COMMERCIAL MORTGAGE 53,167 0.22 FINANCE CORP 4.625% 01/08/2029 TRUST VAR 15/11/2048 58,000 UDR INC REIT 4.00% 01/10/2025 62,763 0.26 110,000 C SMC TRUST 2013-IVR3 VAR 25/05/2043 52,205 0.22 Software & Computer Services 246,999 1.04 30,000 CD 2007-CD4 COMMERCIAL MORTGAGE TRUST 33,285 0.14 4.013% 15/08/2051 151,000 EXPEDIA GROUP INC 3.25% 144A 15/02/2030 146,016 0.61
The accompanying notes form an integral part of these financial statements
16 PI Investment Funds - Strategic Income
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
USD USD 25,000 CFCRE 2016 C3 MORTAGE TRUST 3.597% 26,491 0.11 175,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 148,936 0.62 10/01/2048 3.00% 01/10/2047 75,000 CITIGROUP COMMERCIAL MORTGAGE TRUST 79,562 0.33 115,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 85,623 0.36 2014-GC23 VAR 10/10/2047 3.00% 01/12/2032 50,000 CITIGROUP COMMERCIAL MORTGAGE TRUST 54,300 0.23 30,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 25,913 0.11 2014-GC23 3.744% 10/03/2051 3.50% 01/01/2048 100,000 CITIGROUP MORTGAGE LOAN TRUST VAR 75,151 0.32 25,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 22,050 0.09 25/07/2067 3.50% 01/02/2048 100,000 CITIGROUP MORTGAGE LOAN TRUST VAR 44,612 0.19 70,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 54,902 0.23 25/10/2043 3.50% 01/07/2047 USD (ISIN US3140GU2H92) 50,000 COMM MORTGAGE 2013-LC13 VAR 10/08/2048 46,800 0.20 65,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 54,563 0.23 50,000 COMM 2012 CCRE4 MTG TR 3.251% 15/10/2045 50,071 0.21 3.50% 01/07/2047 USD (ISIN US3140GVET86) 50,000 COMM 2015 DC 1 MORTGAGE TRUST VAR 51,690 0.22 25,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 19,048 0.08 10/02/2048 3.50% 01/07/2047 USD (ISIN US3140GVG907) 75,000 COMM 2015 DC 1 MORTGAGE TRUST VAR 79,874 0.33 129,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 107,096 0.45 10/04/2047 3.50% 01/08/2047 100,000 COMMERCIAL MORTGAGE TRUST VAR 100,059 0.42 165,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 132,047 0.55 10/05/2048 3.50% 01/10/2047 50,000 COMMERCIAL MORTGAGE TRUST VAR 53,238 0.22 25,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 21,243 0.09 10/07/2050 USD (ISIN US12593GAJ13) 3.50% 01/11/2047 50,000 COMMERCIAL MORTGAGE TRUST VAR 52,865 0.22 90,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 81,252 0.34 10/10/2046 3.50% 01/12/2047 USD (ISIN US3140H6VA40) 35,000 CREDIT SUISSE MORTGAGE TRUST VAR 31,951 0.13 55,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 48,609 0.20 25/01/2045 3.50% 01/12/2047 USD (ISIN US3140H6ZR39) 25,000 CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST 26,132 0.11 115,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 96,502 0.40 VAR 15/04/2050 3.50% 01/12/2047 USD (ISIN US31418CS476) 50,000 DEEPHAVEN RESIDENTIAL MORTGAGE VAR 16,568 0.07 65,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 50,903 0.21 25/12/2057 4.00% 01/04/2048 250,000 DRUG ROYALTY II 3.484% 15/07/2023 7,585 0.03 125,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 26,968 0.11 20,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 21,998 0.09 4.00% 01/05/2042 USD (ISIN US31417BZ913) FRN 25/06/2039 USD (ISIN US20753TAC71) 25,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 18,232 0.08 115,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 113,319 0.48 4.00% 01/06/2047 USD (ISIN US3140FM7M24) FRN 25/08/2030 25,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 20,381 0.09 50,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 48,542 0.20 4.00% 01/06/2047 USD (ISIN US3140GSJR47) FRN 25/11/2039 USD (ISIN US20754PAC41) 30,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 23,542 0.10 75,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 71,590 0.30 4.00% 01/06/2047 USD (ISIN US3140GTEG10) VAR 25/03/2031 USD (ISIN US30711X3H56) 35,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 29,169 0.12 100,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 11,607 0.05 4.00% 01/07/2047 VAR 25/06/2048 35,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 23,973 0.10 225,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 7,405 0.03 4.00% 01/07/2047 USD (ISIN US3140GSJV58) VAR 25/08/2041 50,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 32,258 0.14 100,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 11,577 0.05 4.00% 01/08/2047 USD (ISIN US3140GVBW43) VAR 25/08/2049 USD (ISIN US3136B5SU01) 37,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 25,568 0.11 11,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 9,394 0.04 4.00% 01/08/2047 USD (ISIN US3140GWUB77) 3.00% 01/01/2047 980,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 740,765 3.11 71,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 35,212 0.15 4.00% 01/09/2048 3.00% 01/02/2043 21,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 20,815 0.09 44,155 FEDERAL NATIONAL MORTGAGE ASSOCIATION 42,207 0.18 4.00% 01/09/2049 USD (ISIN US3132DV3V53) 3.00% 01/04/2048 4,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 4,043 0.02 19,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 16,870 0.07 4.00% 01/09/2049 USD (ISIN US31418DFS62) 3.00% 01/05/2046 25,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 7,918 0.03 63,350 FEDERAL NATIONAL MORTGAGE ASSOCIATION 63,312 0.27 4.00% 01/10/2042 USD (ISIN US3138MBH743) 3.00% 01/07/2049 USD (ISIN US3140QBGP72) 31,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 31,813 0.13 82,267 FEDERAL NATIONAL MORTGAGE ASSOCIATION 83,626 0.35 4.00% 01/10/2049 3.00% 01/07/2049 USD (ISIN US3140QBGW24) 50,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 41,534 0.17 27,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 15,138 0.06 4.00% 01/12/2047 USD (ISIN US3140H6VG10) 3.00% 01/08/2043 145,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 111,934 0.47 19,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 16,620 0.07 4.00% 01/12/2047 USD (ISIN US31418CS542) 3.00% 01/10/2046 635,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 485,471 2.04 4.50% 01/01/2049
The accompanying notes form an integral part of these financial statements
17 PI Investment Funds - Strategic Income
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
USD USD 214,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 22,288 0.09 340,344 GOVERNMENT NATIONAL MORTGAGE 59,524 0.25 4.50% 01/08/2040 USD (ISIN US31418WPP94) ASSOCIATION GNMA II 3.50% 20/10/2049 USD 100,000 FINANCE OF AMERICA STRUCTURED 100,613 0.42 (ISIN US38382AFF75) SECURITIES TRUST 2017 HB1 2.00% 25/10/2069 731,611 GOVERNMENT NATIONAL MORTGAGE 98,405 0.41 115,000 FLAGSTAR MORTGAGE TRUST VAR 25/04/2048 115,097 0.48 ASSOCIATION GNMA II 3.50% 20/10/2049 USD 50,000 FREDDIE MAC FRN 25/09/2048 USD (ISIN 53,843 0.23 (ISIN US38382AFH32) US35563WBD56) 165,000 GOVERNMENT NATIONAL MORTGAGE 129,580 0.54 100,000 FREDDIE MAC FRN 25/10/2048 USD (ISIN 108,919 0.46 ASSOCIATION GNMA II 3.50% 20/11/2047 US35563XBD30) 35,000 GOVERNMENT NATIONAL MORTGAGE 27,616 0.12 50,000 FREDDIE MAC FRN 25/10/2048 USD (ISIN 65,689 0.28 ASSOCIATION GNMA II 3.50% 20/12/2047 US35563XBE13) 150,000 GOVERNMENT NATIONAL MORTGAGE 155,273 0.65 415,000 FREDDIE MAC VAR 15/07/2042 22,165 0.09 ASSOCIATION GNMA II 4.00% 01/01/2049 165,000 FREDDIE MAC VAR 15/08/2042 13,875 0.06 53,000 GOVERNMENT NATIONAL MORTGAGE 53,904 0.23 50,000 FREDDIE MAC VAR 25/04/2048 50,694 0.21 ASSOCIATION GNMA II 4.50% 20/07/2049 517,000 FREDDIE MAC 3.00% 01/02/2047 504,039 2.11 82,000 GOVERNMENT NATIONAL MORTGAGE 84,005 0.35 ASSOCIATION GNMA II 4.50% 20/08/2049 25,000 FREDDIE MAC 3.00% 01/08/2042 11,555 0.05 311,566 GOVERNMENT NATIONAL MORTGAGE 38,594 0.16 37,524 FREDDIE MAC 3.00% 01/10/2046 31,704 0.13 ASSOCIATION GNMA 3.50% 20/09/2049 175,000 FREDDIE MAC 3.00% 01/10/2047 147,959 0.62 160,000 GOVERNMENT NATIONAL MORTGAGE 110,216 0.46 50,000 FREDDIE MAC 3.00% 01/11/2042 25,898 0.11 ASSOCIATION GNMA 4.00% 20/11/2047 22,498 FREDDIE MAC 3.00% 01/11/2047 19,776 0.08 45,000 GOVERNMENT NATIONAL MORTGAGE 31,665 0.13 50,000 FREDDIE MAC 3.00% 25/11/2057 46,922 0.20 ASSOCIATION GNMA 4.50% 20/09/2044 50,000 FREDDIE MAC 3.50% 01/01/2048 USD (ISIN 45,249 0.19 100,000 GS MORTGAGE BACKED SECURITIES TRUST 74,894 0.31 US3132XV6H15) VAR 25/11/2049 25,000 FREDDIE MAC 3.50% 01/01/2048 USD (ISIN 23,459 0.10 50,000 GS MORTGAGE SECURITIES TRUST 2013-GCJ 12 51,128 0.21 US3132XWEH05) 2.791% 10/05/2049 90,000 FREDDIE MAC 3.50% 01/04/2042 36,706 0.15 100,000 HOME PARTNERS OF AMERICA 2016-1 TRUST 100,291 0.42 25,000 FREDDIE MAC 3.50% 01/06/2047 USD (ISIN 19,359 0.08 FRN 17/07/2034 USD (ISIN US43730TAG85) US3132WNN995) 100,000 IMT TRUST 2017-APTS FRN 15/06/2034 USD (ISIN 99,888 0.42 25,000 FREDDIE MAC 3.50% 01/06/2047 USD (ISIN 21,722 0.09 US44974AAG22) US3132WNSD54) 25,000 JP MORGAN CHASE COMMERCIAL MORTGAGE 26,639 0.11 50,000 FREDDIE MAC 3.50% 01/07/2047 41,613 0.17 SECURITIES TRUST 2007-LDP12 4.549% 05/07/2023 60,000 FREDDIE MAC 3.50% 01/08/2047 52,626 0.22 175,000 FREDDIE MAC 3.50% 01/10/2047 USD (ISIN 143,164 0.60 50,000 JP MORGAN CHASE COMMERCIAL MORTGAGE 52,892 0.22 US3128MJ2S87) SECURITIES TRUST 2011-C3 VAR 15/01/2049 80,000 FREDDIE MAC 3.50% 01/10/2047 USD (ISIN 68,701 0.29 100,000 JP MORGAN CHASE COMMERCIAL MORTGAGE 103,014 0.43 US3132XTHH49) SECURITIES TRUST 2012-C8 3.977% 15/10/2045 25,000 FREDDIE MAC 3.50% 01/11/2047 USD (ISIN 21,354 0.09 100,000 JP MORGAN MORTGAGE TRUST VAR 97,935 0.41 US3132XUGZ29) PERPETUAL 35,000 FREDDIE MAC 3.50% 01/11/2047 USD (ISIN 29,836 0.13 100,000 JP MORGAN MORTGAGE TRUST VAR 25/02/2050 96,235 0.40 US3132XUNF81) 100,000 JP MORGAN MORTGAGE TRUST VAR 25/05/2050 102,160 0.43 25,000 FREDDIE MAC 4.00% 01/01/2042 4,794 0.02 100,000 JP MORGAN MORTGAGE TRUST 2007-A3 VAR 68,855 0.29 30,000 FREDDIE MAC 4.00% 01/07/2047 24,421 0.10 25/04/2049 64,000 FREDDIE MAC 4.00% 01/07/2049 59,941 0.25 100,000 JP MORGAN MORTGAGE TRUST 2018 1 VAR 101,434 0.43 25/05/2050 542,748 FREDDIE MAC 4.00% 01/08/2048 410,363 1.72 100,000 LA HIPOTECARIA PANAMANIAN MORTGAGE 19,202 0.08 175,000 FREDDIE MAC 4.00% 01/10/2047 USD (ISIN 131,218 0.55 TRUST 2007-1 VAR 23/12/2036 US3128MJ2T60) 100,000 MILL CITY MORTAGGE VAR 25/07/2059 97,453 0.41 55,000 FREDDIE MAC 4.00% 01/10/2047 USD (ISIN 42,674 0.18 US3132XTHJ05) 50,000 MILL CITY MORTAGGE VAR 25/08/2058 50,165 0.21 160,000 FREDDIE MAC 4.00% 01/12/2047 125,952 0.53 100,000 MILL CITY MORTAGGE VAR 25/10/2069 103,329 0.43 200,000 FREDDIE MAC 4.50% 01/01/2049 180,795 0.76 50,000 MORGAN STANLEY BANK OF AMERICA MERRILL 47,246 0.20 LYNCH TRUST 2015-C22 VAR 15/04/2048 200,000 FREDDIE MAC 4.50% 01/10/2048 135,652 0.57 25,000 MORGAN STANLEY BANK OF AMERICA MERRILL 22,899 0.10 25,000 FREMF MORTGAGE VAR 25/01/2049 26,034 0.11 LYNCH TRUST 2017-C33 3.356% 15/05/2050 15,000 FREMF 2018 K73 MORTGAGE TRUST VAR 15,850 0.07 100,000 MORGAN STANLEY CAP I TRUST 2014-150E 105,570 0.44 25/07/2027 4.012% 09/09/2032 220,000 GINNIE MAE FRN 20/09/2049 15,998 0.07 25,000 MORGAN STANLEY CAPITAL I 4.418% 11/07/2040 28,131 0.12 220,000 GOVERNMENT NATIONAL MORTGAGE 18,299 0.08 50,000 MORGAN STANLEY MORTGAGE LOAN TRUST 52,445 0.22 ASSOCIATION GNMA II FRN 20/10/2049 2006-16AX VAR 15/02/2048
The accompanying notes form an integral part of these financial statements
18 PI Investment Funds - Strategic Income
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
USD USD 100,000 NEW RESIDENTIAL MORTGAGE LOAN TRUST 96,922 0.41 2016-2 VAR 25/02/2049 Derivative instruments 2,638 0.01 100,000 NEW RESIDENTIAL MORTGAGE LOAN TRUST 83,002 0.35 Options 2,638 0.01 2016-2 VAR 25/12/2057 50,000 OXFORD FINANCE FUNDING TRUST 3.968% 16,446 0.07 Over the counter 2,638 0.01 17/06/2024 355,000 FX OPTION - PUT EUR / CALL USD - 1.10 - 1,360 0.00 150,000 PMT LOAN TRUST VAR 25/09/2043 65,841 0.28 29.04.20 125,000 SEQUOIA MORTAGE TRUST 2013 6 VAR 56,816 0.24 125,000 FX OPTION - PUT EUR / CALL USD - 1.13 - 1,278 0.01 25/05/2043 USD (ISIN US81745BAA35) 09.01.20 150,000 SEQUOIA MORTAGE TRUST 2013 6 VAR 70,014 0.29 Short positions -255 0.00 25/05/2043 USD (ISIN US81745BAB18) 100,000 SEQUOIA MORTGAGE TRUST VAR 25/05/2043 47,474 0.20 USD (ISIN US81745AAA51) Derivative instruments -255 0.00 190,000 SEQUOIA MORTGAGE TRUST VAR 25/05/2043 92,181 0.39 -255 0.00 USD (ISIN US81745AAB35) Options 210,000 SEQUOIA MORTGAGE TRUST VAR 25/08/2043 87,957 0.37 Over the counter -255 0.00 100,000 SEQUOIA MORTGAGE TRUST VAR 25/09/2049 93,888 0.39 -355,000 FX OPTION - CALL EUR / PUT USD - 1.2083 - -255 0.00 60,000 SEQUOIA MORTGAGE TRUST 2013-7 VAR 26,920 0.11 29.04.20 25/06/2043 USD (ISIN US81745CAA18) -125,000 FX OPTION - CALL EUR / PUT USD - 1.2455 - 0.00- 150,000 SEQUOIA MORTGAGE TRUST 2013-7 VAR 68,852 0.29 09.01.20 25/06/2043 USD (ISIN US81745CAB90) 22,920,519 96.11 500,000 SEQUOIA MORTGAGE TRUST 2013-7 VAR 402,000 1.69 Total securities portfolio 25/06/2043 USD (ISIN US81745CAG87) 100,000 STARWOOD WAYPOINT HOMES 2017-1 TRUST 100,433 0.42 FRN 17/01/2035 40,000 TOWD POINT MORTGAGE TRUST VAR 25/02/2055 41,456 0.17 160,000 TOWD POINT MORTGAGE TRUST VAR 25/03/2054 31,428 0.13 40,000 TOWD POINT MORTGAGE TRUST VAR 25/03/2058 40,956 0.17 90,000 TOWD POINT MORTGAGE TRUST VAR 25/05/2058 95,236 0.40 USD (ISIN US89175MAB90) 60,000 TOWD POINT MORTGAGE TRUST VAR 25/07/2057 61,709 0.26 USD (ISIN US89169DAF87) 100,000 TOWD POINT MORTGAGE TRUST VAR 25/10/2056 102,032 0.43 USD (ISIN US89173FAF71) 100,000 TOWD POINT MORTGAGE TRUST VAR 25/11/2060 100,482 0.42 55,000 TOWD POINT MORTGAGE TRUST 2016-2 VAR 58,274 0.24 25/03/2054 40,000 TOWD POINT MORTGAGE TRUST 2016-2 VAR 42,671 0.18 25/04/2055 USD (ISIN US89172RAC97) 1,000,000 TOWD POINT MORTGAGE TRUST 2016-2 VAR 1,004,413 4.21 25/08/2055 125,000 TOWD POINT MORTGAGE TRUST 2016-2 VAR 126,133 0.53 25/10/2057 50,000 TOWD POINT MORTGAGE TRUST 2017-1 VAR 51,886 0.22 25/10/2056 250,000 WINWATER MORTGAGE LOAN TRUST VAR 23,769 0.10 20/02/2045 60,000 WINWATER MORTGAGE LOAN TRUST VAR 52,096 0.22 20/06/2045 General Industrials 23,436 0.10
200,000 ELARA HGV TIMESHARE VAR 25/02/2027 23,436 0.10
Other transferable securities 0.00-
Bonds 0.00-
Fixed Line Telecommunications 0.00 25,000 AVAYA INC NEW 0% 01/04/2019 DEFAULTED 0.00-
Mobile Telecommunications - 0.00 60,000 T-MOBILE USA INC 0% 01/03/2023 0.00- The accompanying notes form an integral part of these financial statements
19 PI Investment Funds - Emerging Markets Equity Income
Securities Portfolio as at 31/12/19
Equity Sub-Funds Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR Long positions 200,828,280 99.35 186,632 JUMBO SA 3,462,024 1.72 Hong Kong (China) 5,706,509 2.82 Transferable securities admitted to an official stock exchange 200,828,280 99.35 listing and/or dealt in on another regulated market 410,000 CHINA MOBILE LTD -H- 3,070,441 1.52 Shares 200,828,280 99.35 1,779,000 CNOOC LTD -H- 2,636,068 1.30 Argentina 1,388,568 0.69 India 9,950,878 4.92
134,600 YPF SA ADR 1,388,568 0.69 150,004 AUROBINDO PHARMA 855,312 0.42 Bermuda 1,218,687 0.60 150,208 HDFC BANK LTD 2,384,858 1.18 215,664 RELIANCE INDUSTRIES LTD 4,075,361 2.02 3,300,000 CHINA ORIENTAL GROUP 1,218,687 0.60 632,657 STATE BANK OF INDIA 2,635,347 1.30 Brazil 19,413,532 9.60 Jersey 3,104,391 1.54 481,738 ATACADAO RG SA 2,491,104 1.23 220,126 POLYMETAL INTERNATIONAL PLC 3,104,391 1.54 246,606 BANCO BRADESCO PFD 1,975,360 0.98 140,000 BANCO DO BRASIL SA 1,637,648 0.81 Luxembourg 4,987,578 2.47 204,200 NATURA CO HOLDING SA 1,748,735 0.87 938,700 SAMSONITE INTERNATIONAL SA 2,006,985 0.99 233,440 SABESP 3,130,801 1.54 152,078 TERNIUM SA ADR 2,980,593 1.48 275,000 SUZANO SA 2,416,565 1.20 771,778 TIM PARTICIPACOES 2,678,278 1.32 Malaysia 1,691,776 0.84 383,620 TUPY SA 2,149,393 1.06 1,022,100 MALAYSIA AIRPORTS 1,691,776 0.84 315,300 VALID SOLUCOES SA 1,185,648 0.59 Mexico 2,216,141 1.10 British Virgin Islands 1,076,842 0.53 445,272 GRUPO FIN BANORTE 2,216,141 1.10 132,539 NATIONAL ENERGY SERVICES REUNITED CORP 1,076,842 0.53 Nigeria 2,171,520 1.07 Cayman Islands 17,281,202 8.55 123,724,309 UNITED BANK OF AFRICA 2,171,520 1.07 18,610 ALIBABA GROUP HOLDING-SP ADR 3,516,751 1.74 Panama 2,548,240 1.26 15,000,000 GOODBABY INTL HOLDING 2,966,969 1.47 4,054,000 GREATVIEW ASEPT 1,654,732 0.82 133,726 BCO LATINOAM -E 2,548,240 1.26 212,900 TENCENT HOLDINGS LTD 9,142,750 4.52 Peru 1,443,560 0.71 Chile 1,077,729 0.53 45,011 INRETAIL PERU CORP 1,443,560 0.71 45,309 SOC QUIM&MIN SP ADR 1,077,729 0.53 Poland 2,617,663 1.29 China 30,139,273 14.92 278,000 POWSZECHNY ZAKLAD UBEZPIECZEN 2,617,663 1.29 7,538,000 BEIJING URBAN CONSTRUCTION-H 1,990,874 0.98 Romania 3,160,587 1.56 1,646,000 CHINA COMMUNICATION SERVI-H 1,068,941 0.53 7,887,000 CHINA CONSTRUCTION BANK H 6,068,797 3.01 955,000 BRD BANCA ROMANA DEZ GROUPE SG 3,160,587 1.56 3,900,000 CHINA MOLYBDENUM -H- 1,489,315 0.74 Russia 12,057,203 5.96 509,200 CHINA PACIFIC INSURANCE GR H 1,787,320 0.88 3,072,000 CHINA RAILWAY SIGNAL & COMMUNICATION 1,527,869 0.76 594,000 ALROSA CJSC 718,388 0.36 CORPORATION LTD-H 146,129 MINING AND METALLURGICAL COMPANY NORIL 3,977,052 1.97 13,106,000 CHINA TOWER CORP LTD-H 2,577,355 1.28 SK ADR 1,062,000 JIANGSU EXPRESS -H- 1,296,795 0.64 49,460 OIL COM LUKOIL PJSC 4,370,105 2.15 222,473 LBX PHARMACY CHAIN JOINT STOCK COMPANY 1,823,260 0.90 913,614 SBERBANK OF RUSSIA PJSC 2,991,658 1.48 3,207,000 PICC PROPERTY & CASUALTY-H 3,443,025 1.70 Singapore 3,361,621 1.66 338,000 SHENZHEN SUNWAY COMMUNICATION CO LTD 1,961,688 0.97 371,000 BOC AVIATION LTD SHS UNITARY 144A REG S 3,361,621 1.66 1,861,500 SIPONEC ENGINEERING GROUP-H 991,801 0.49 1,891,000 TRAVELSKY TECHNOLOGIES LTD-H 4,112,233 2.04 South Africa 6,519,033 3.22
Czech Republic 4,278,657 2.12 315,193 ABSA GROUP LIMITED 2,998,014 1.48 375,000 AVI LTD 2,125,553 1.05 1,279,268 MONETA MONEY BANK AS 4,278,657 2.12 9,099 MULTICHOICE GROUP LIMITED 67,533 0.03 Greece 5,854,024 2.90 9,099 NASPERS-N- 1,327,933 0.66 2,600,000 EUROBANK ERGASIAS S.A. 2,392,000 1.18
The accompanying notes form an integral part of these financial statements
20 PI Investment Funds - Emerging Markets Equity Income
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV
EUR
South Korea 24,762,560 12.26
117,962 KOREA ELECTRIC POWER CORP 2,526,235 1.25 57,468 LG CORP 3,267,151 1.62 226,788 SAMSUNG ELECTRONICS PREF SHS 7,931,635 3.93 135,000 SHINHAN FINANCIAL GROUP 4,508,267 2.23 39,404 SK HYNIX INC 2,856,385 1.41 8,066 SK INNOVATION CO LTD 932,044 0.46 37,334 S-OIL CORP 2,740,843 1.36 Taiwan 19,440,117 9.62
4,443,000 CHINATRUST FIN HLDG 2,957,674 1.46 909,000 CHUNGHWA TELECOM CO LTD 2,971,546 1.47 864,000 POWERTECH TECHNOLO TWD10 2,562,537 1.27 1,113,000 TAIWAN SEMICONDUCTOR MANUFACTURING 10,948,360 5.42 CO LTD Thailand 5,724,555 2.83
3,310,200 KCE ELECTRONICS PUBLIC CO LTD FOREIGN 2,412,029 1.19 960,000 PTT PUBLIC COMPANY LTD 1,256,279 0.62 566,700 SIAM COMMERCIAL BANK PUBLIC DOMESTIC 2,056,247 1.02 United Arab Emirates 1,920,861 0.95
1,000,000 ABU DHABI COMMERCIAL BANK 1,920,861 0.95 United Kingdom 2,762,962 1.37
2,928,325 AIRTEL AFRICA PLC 2,762,962 1.37 United States of America 1,579,522 0.78
3,100 MERCADOLIBRE 1,579,522 0.78 Viet Nam 1,372,489 0.68
1,050,000 VINCOM RETAIL JOINT STOCK COMPANY 1,372,489 0.68
Other transferable securities 0.00-
Shares 0.00- Poland 0.00-
100,000 GETBACK SA 0.00- Total securities portfolio 200,828,280 99.35
The accompanying notes form an integral part of these financial statements
21 PI Investment Funds - EMU Equity
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR Long positions 78,450,242 99.67 119,095 ENI SPA 1,648,989 2.09 117,492 FINECOBANK 1,255,989 1.60 Transferable securities admitted to an official stock exchange 78,450,242 99.67 73,311 LEONARDO AZIONE POST RAGGRUPPAMENTO 766,100 0.97 listing and/or dealt in on another regulated market 120,886 NEXI SPA 1,496,569 1.90 Shares 78,450,242 99.67 66,751 PRYSMIAN SPA 1,434,479 1.82 Belgium 1,822,903 2.32 143,507 UNICREDIT SPA 1,868,462 2.38
8,880 ANHEUSER BUSCH INBEV SA/NV 645,665 0.82 Luxembourg 1,467,392 1.86 17,555 KBC GROUPE 1,177,238 1.50 93,811 ARCELORMITTAL SA 1,467,392 1.86 Finland 335,249 0.43 Netherlands 14,568,875 18.51 101,714 NOKIA OYJ 335,249 0.43 49,482 ABN AMRO GROUP N.V. 802,598 1.02 France 26,878,711 34.15 16,300 AIRBUS BR BEARER SHS 2,126,824 2.70 10,156 ASML HOLDING N.V. 2,678,136 3.40 33,947 ACCOR SA 1,417,287 1.80 17,088 ASR NEDERLAND N.V 570,056 0.72 2,985 AIR LIQUIDE 376,707 0.48 133,207 CNH INDUSTRIAL N.V 1,304,097 1.66 25,732 ALSTOM 1,086,662 1.38 5,243 FERRARI NV 775,440 0.99 AXA92,791 2,329,982 2.96 8,768 HEINEKEN NV 832,259 1.06 69,450 BNP PARIBAS 3,669,043 4.66 157,293 ING GROUP NV 1,681,148 2.14 23,077 BOUYGUES 874,157 1.11 560,415 KONINKLIJKE KPN NV 1,474,452 1.87 6,950 CAP GEMINI SE 756,855 0.96 19,312 KONINKLIJKE PHILIPS N.V. 840,458 1.07 43,315 COMPAGNIE DE SAINT-GOBAIN SA 1,580,998 2.01 61,886 STMICROELECTRONICS NV 1,483,407 1.88 20,439 DANONE SA 1,510,442 1.92 16,031 FAURECIA 769,969 0.98 Spain 2,741,757 3.48 2,930 L’OREAL SA 773,520 0.98 32,407 GRIFOLS SA 1,018,552 1.29 5,848 LVMH MOET HENNESSY LOUIS VUITTON SE 2,422,241 3.08 187,713 IBERDROLA SA 1,723,205 2.19 31,746 ORANGE 416,508 0.53 12,991 RENAULT SA 547,960 0.70 Total securities portfolio 78,450,242 99.67 23,635 SANOFI 2,118,169 2.69 15,981 SCHNEIDER ELECTRIC SA 1,462,262 1.86 57,371 SOCIETE GENERALE A 1,779,362 2.26 60,703 TOTAL 2,986,587 3.79 Germany 15,846,190 20.13
21,531 BASF SE 1,450,113 1.84 5,321 BAYER AG 387,422 0.49 12,717 BAYERISCHE MOTORENWERKE 930,121 1.18 10,661 CONTINENTAL AG 1,228,787 1.56 30,142 DAIMLER 1,488,111 1.89 2,755 DEUTSCHE BOERSE AG 386,113 0.49 37,598 DEUTSCHE POST AG-NOM 1,278,708 1.62 26,321 FRESENIUS SE & CO KGAA 1,320,788 1.68 14,544 HEIDELBERGCEMENT AG 944,778 1.20 11,922 SAP SE 1,434,455 1.82 24,918 SIEMENS AG-NOM 2,903,944 3.70 11,875 VOLKSWAGEN AG PFD 2,092,850 2.66 Ireland 5,530,035 7.03
340,806 AIB GROUP PLC 1,058,543 1.34 72,931 CRH PLC 2,601,449 3.31 6,607 KERRY GROUP A 734,038 0.93 24,510 RYANAIR HLDS PLC LSE 358,581 0.46 53,139 RYANAIR HOLDINGS PLC 777,424 0.99 Italy 9,259,130 11.76
111,502 ENEL SPA 788,542 1.00
The accompanying notes form an integral part of these financial statements
22 PI Investment Funds - European Equity
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR Long positions 179,658,937 99.79 26,907 AIRBUS BR BEARER SHS 3,510,825 1.95 11,851 ASML HOLDING N.V. 3,125,109 1.74 Transferable securities admitted to an official stock exchange 179,658,937 99.79 24,505 ASR NEDERLAND N.V 817,487 0.45 listing and/or dealt in on another regulated market 321,939 CNH INDUSTRIAL N.V 3,151,783 1.75 Shares 179,658,937 99.79 11,342 FERRARI NV 1,677,482 0.93 Belgium 4,821,572 2.68 346,245 ING GROUP NV 3,700,666 2.06 12,494 KONINKLIJKE DSM NV 1,450,553 0.81 20,431 ANHEUSER BUSCH INBEV SA/NV 1,485,538 0.83 699,647 KONINKLIJKE KPN NV 1,840,771 1.02 49,747 KBC GROUPE 3,336,034 1.85 43,854 KONINKLIJKE PHILIPS N.V. 1,908,526 1.06 Denmark 4,348,487 2.42 109,524 STMICROELECTRONICS NV 2,625,290 1.46 84,040 NOVO NORDISK 4,348,487 2.42 Spain 4,632,719 2.57
France 38,969,832 21.65 61,146 GRIFOLS SA 1,921,819 1.07 66,314 ACCOR SA 2,768,610 1.54 295,305 IBERDROLA SA 2,710,900 1.50 1,321 AIR LIQUIDE 166,710 0.09 Sweden 3,409,257 1.89 44,724 ALSTOM 1,888,695 1.05 207,854 ERICSSON LM-B SHS 1,613,340 0.90 108,049 AXA 2,713,110 1.51 59,287 LUNDIN PETROLEUM 1,795,917 0.99 126,423 BNP PARIBAS 6,678,926 3.71 43,466 BOUYGUES 1,646,492 0.91 Switzerland 10,546,295 5.86 93,614 COMPAGNIE DE SAINT-GOBAIN SA 3,416,911 1.90 26,441 CIE FINANCIERE RICHEMONT SA 1,850,140 1.03 33,561 DANONE SA 2,480,158 1.38 31,964 NESTLE SA 3,081,130 1.71 6,739 L’OREAL SA 1,779,096 0.99 19,438 ROCHE HOLDING LTD 5,615,025 3.12 5,617 LVMH MOET HENNESSY LOUIS VUITTON SE 2,326,561 1.29 37,695 SANOFI 3,378,226 1.88 United Kingdom 38,379,207 21.32 30,346 SCHNEIDER ELECTRIC SA 2,776,659 1.54 185,355 ANGLO AMERICAN PLC 4,753,364 2.63 92,062 SOCIETE GENERALE A 2,855,303 1.59 50,682 ASTRAZENECA PLC 4,549,926 2.53 83,219 TOTAL 4,094,375 2.27 133,379 BHP GROUP PLC 2,796,811 1.55 Germany 23,783,036 13.21 32,984 CARNIVAL PLC 1,418,466 0.79 5,553,855 LLOYDS BANKING GROUP PLC 4,096,488 2.28 22,257 CONTINENTAL AG 2,565,342 1.42 255,801 M&G PLC 716,068 0.40 74,880 DAIMLER 3,696,826 2.05 258,348 PRUDENTIAL PLC 4,417,847 2.45 98,146 DEUTSCHE POST AG-NOM 3,337,945 1.85 62,923 RECKITT BENCKISER GROUP PLC 4,551,307 2.52 68,350 FRESENIUS SE & CO KGAA 3,429,803 1.91 109,051 ROYAL DUTCH SHELL A SHARES 2,876,367 1.60 14,328 SAP SE 1,723,945 0.96 64,500 ROYAL DUTCH SHELL PLC-A 1,687,643 0.94 44,257 SIEMENS AG-NOM 5,157,711 2.87 157,017 SMITHS GROUP 3,126,072 1.74 21,967 VOLKSWAGEN AG PFD 3,871,464 2.15 211,041 STANDARD CHARTERED 1,774,304 0.99 Ireland 8,916,844 4.95 932,191 VODAFONE GROUP 1,614,544 0.90
595,158 AIB GROUP PLC 1,848,561 1.03 Total securities portfolio 179,658,937 99.79 132,095 CRH PLC 4,711,829 2.62 55,973 RYANAIR HLDS PLC LSE 818,885 0.45 105,097 RYANAIR HOLDINGS PLC 1,537,569 0.85 Italy 14,030,524 7.79
264,659 ENI SPA 3,664,469 2.03 149,167 FINECOBANK 1,594,595 0.89 184,095 NEXI SPA 2,279,096 1.27 96,155 PRYSMIAN SPA 2,066,371 1.15 339,938 UNICREDIT SPA 4,425,993 2.45 Luxembourg 2,654,604 1.47
169,710 ARCELORMITTAL SA 2,654,604 1.47 Netherlands 25,166,560 13.98
83,728 ABN AMRO GROUP N.V. 1,358,068 0.75
The accompanying notes form an integral part of these financial statements
23 PI Investment Funds - Japanese Equity
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 66,620,872 99.54 Long positions Gas, Water & Multiutilities 619,470 0.93
Transferable securities admitted to an official stock exchange 28,500 TOKYO GAS CO LTD 619,470 0.93 66,620,872 99.54 listing and/or dealt in on another regulated market General Industrials 894,990 1.34 Shares 66,620,872 99.54 Automobiles & Parts 6,326,480 9.44 50,800 JAPAN HOST HOLDINGS CO LTD 427,263 0.64 15,400 TOSHIBA 467,727 0.70 18,000 BRIDGESTONE CORP 600,552 0.90 15,500 DENSO CORP 630,990 0.94 General Retailers 2,924,666 4.37 38,900 HONDA MOTOR CO LTD 988,223 1.47 27,900 AEON CO LTD 515,859 0.77 82,800 NISSAN MOTOR CO LTD 431,757 0.65 1,300 FAST RETAILING 692,693 1.04 19,200 SUBARU CORP 427,086 0.64 2,400 NITORI 338,887 0.51 9,900 SUZUKI MOTOR CORP 370,638 0.55 15,200 RYOHIN KEIKAKU 318,485 0.48 45,500 TOYOTA MOTOR CORP 2,877,234 4.29 22,200 SEVEN & I HOLDINGS CO LTD 728,487 1.08 Banks 4,101,731 6.13 USS19,500 330,255 0.49
307,100 MITSUBISHI UFJ FINANCIAL GROUP 1,493,362 2.24 Health Care Equipment & Services 835,038 1.25 671,500 MIZUHO FINANCIAL GROUP INC 926,433 1.38 4,600 SYSMEX 280,892 0.42 113,900 RESONA HOLDINGS 447,243 0.67 17,400 TERUMO CORP 554,146 0.83 37,300 SUMITOMO MITSUI FINANCIAL GRP 1,234,693 1.84 Household Goods & Home Construction 1,074,731 1.61 Beverages 1,184,983 1.77 19,400 DAIWA HOUSE INDUSTRY 539,120 0.81 15,100 ASAHI GROUP HOLDINGS 616,811 0.92 28,000 SEKISUI HOUSE LTD 535,611 0.80 29,000 KIRIN HOLDINGS CO LTD 568,172 0.85 Industrial Engineering 4,415,499 6.60 Chemicals 2,774,084 4.15 6,700 DAIKIN INDUSTRIES LTD 848,569 1.27 48,200 ASAHI KASEI 487,580 0.73 5,200 FANUC LTD 866,612 1.29 8,500 NITTO DENKO 430,617 0.64 2,600 HOSHIZAKI CORP 207,595 0.31 10,000 SHIN-ETSU CHEMICAL CO LTD 988,625 1.49 32,500 KOMATSU LTD 703,882 1.05 29,700 TEIJIN LTD 497,890 0.74 56,400 MITSUBISHI ELECTRIC CORP 692,819 1.04 60,800 TORAY INDUSTRIES INC 369,372 0.55 14,900 MITSUBISHI HEAVY INDUSTRIES 518,865 0.78 Construction & Materials 473,890 0.71 1,400 SMC CORP 577,157 0.86
51,800 SHIMIZU CORP 473,890 0.71 Industrial Metals & Mining 737,581 1.10 Electricity 431,957 0.65 40,900 NP STI & S’TOMO 554,553 0.83 6,300 SUMITOMO METAL MINING CO LTD 183,028 0.27 48,700 TOHOKU ELECTRIC POWER CO INC 431,957 0.65 Industrial Transportation 502,288 0.75 Electronic & Electrical Equipment 6,212,916 9.28 35,500 KUBOTA CORPORATION 502,288 0.75 25,800 HITACHI LTD 978,384 1.46 8,900 HOYA CORP 762,413 1.14 Leisure Goods 3,988,589 5.96 4,200 KEYENCE CORP 1,325,199 1.98 3,000 NINTENDO CO LTD 1,081,339 1.62 11,200 KYOCERA CORP 686,758 1.03 63,100 PANASONIC CORP 532,525 0.80 14,900 MURATA MANUFACTURING CO LTD 823,980 1.23 2,400 SHIMANO 349,609 0.52 6,200 NIDEC CORP 762,626 1.14 27,300 SONY CORP 1,656,292 2.47 8,300 OMRON CORP 436,815 0.65 7,400 YAMAHA CORP 368,824 0.55 4,300 TDK CORPORATION 436,741 0.65 Life Insurance 567,341 0.85 Financial Services 1,099,063 1.64 38,100 DAI-ICHI LIFE HLDGS SHS 567,341 0.85 97,500 NOMURA HLDGS INC 450,304 0.67 Media 676,777 1.01 43,700 ORIX CORP 648,759 0.97 9,000 DENTSU INC 278,512 0.42 Fixed Line Telecommunications 3,176,312 4.75 14,700 M3 INC 398,265 0.59 42,000 KDDI CORP 1,119,998 1.67 Mobile Telecommunications 1,180,721 1.76 29,400 NIPPON TELEGRAPH & TELEPHONE 664,459 0.99 35,700 SOFTBANK GROUP CORP 1,391,855 2.09 30,500 NTT DOCOMO INC 759,577 1.13
The accompanying notes form an integral part of these financial statements
24 PI Investment Funds - Japanese Equity
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 35,200 SOFTBANK CORP 421,144 0.63 5,800 WEST JAPAN RAILWAY CO 448,880 0.67 Nonlife Insurance 842,701 1.26 Total securities portfolio 66,620,872 99.54
16,800 TOKIO MARINE HLDGS INC 842,701 1.26 Oil & Gas Producers 637,545 0.95
36,100 INPEX HOLDINGS INC 336,326 0.50 73,800 JXTG HOLDINGS INC 301,219 0.45 Personal Goods 2,196,479 3.28
13,800 KAO CORP 1,020,964 1.52 11,200 SHISEIDO CO LTD 714,485 1.07 15,200 UNI-CHARM CORP 461,030 0.69 Pharmaceuticals & Biotechnology 4,506,443 6.73
55,600 ASTELLAS PHARMA INC 852,315 1.27 6,000 CHUGAI PHARM 495,788 0.74 14,500 DAIICHI SANKYO CO LTD 859,152 1.28 EISAI8,200 551,472 0.82 9,100 SHIONOGI & CO LTD 504,803 0.75 35,000 TAKEDA PHARMACEUTICAL CO LTD 1,242,913 1.87 Real Estate Investment & Services 1,715,598 2.56
43,400 MITSUBISHI ESTATE CO LTD REIT 743,389 1.10 26,800 MITSUI FUDOSAN CO LTD REIT 587,023 0.88 170 NIPPON PROLOGIS REIT INC 385,186 0.58 Real Estate Investment Trusts 430,125 0.64
66 NIPPON BUILDING FUND 430,125 0.64 Software & Computer Services 338,788 0.51
OBIC2,800 338,788 0.51 Support Services 4,352,671 6.50
47,900 ITOCHU CORP 995,203 1.49 58,100 MITSUI & CO LTD 926,836 1.38 33,800 RECRUIT HOLDING CO LTD 1,135,739 1.70 8,200 SECOM CO LTD 657,209 0.98 47,900 SUMITOMO CORP 637,684 0.95 Technology Hardware & Equipment 3,049,100 4.56
30,800 CANON INC 754,045 1.13 13,200 FUJIFILM HOLDINGS CORP 565,926 0.85 6,700 FUJITSU LTD 564,065 0.84 10,800 NEC CORP 400,171 0.60 3,900 TOKYO ELECTRON LTD 764,893 1.14 Tobacco 771,699 1.15
38,700 JAPAN TOBACCO INC 771,699 1.15 Travel, Leisure & Catering 3,580,616 5.35
4,000 CENTRAL JAPAN RAILWAY 721,384 1.08 9,200 EAST JAPAN RAILWAY CO 743,466 1.11 10,800 KINTETSU GROUP HOLDINGSS CO LTD 524,118 0.78 5,800 ORIENTAL LAND 707,481 1.06 26,300 TOKYU CORP 435,287 0.65
The accompanying notes form an integral part of these financial statements
25 PI Investment Funds - US Equity
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 309,948,413 99.84 Long positions Industrial Metals & Mining 8,762,554 2.82
Transferable securities admitted to an official stock exchange 749,407 FREEPORT MCMORAN INC 8,762,554 2.82 309,594,672 99.73 listing and/or dealt in on another regulated market Industrial Transportation 13,427,042 4.33 Shares 309,594,672 99.73 Aerospace & Defense 6,401,180 2.06 52,908 FEDEX CORP 7,128,087 2.30 19,979 KANSAS CITY SOUTHERN 2,726,043 0.88 32,729 RAYTHEON CO 6,401,180 2.06 20,654 NORFOLK SOUTHERN CORP 3,572,912 1.15 Automobiles & Parts 10,304,890 3.32 Leisure Goods 3,282,154 1.06
54,445 APTIV REGISTERED SHS 4,606,362 1.48 62,003 ACTIVISION BLIZZARD INC 3,282,154 1.06 147,455 BORG WARNER INC 5,698,528 1.84 Life Insurance 5,986,586 1.93 Banks 28,940,565 9.32 130,840 AMERICAN INTL GRP 5,986,586 1.93 299,158 BANK OF AMERICA CORP 9,385,166 3.02 124,184 JP MORGAN CHASE & CO 15,428,688 4.97 Media 9,108,435 2.93 86,069 WELLS FARGO & CO 4,126,711 1.33 102,868 COMCAST CLASS A 4,121,135 1.33 Beverages 2,688,107 0.87 38,702 WALT DISNEY CO/THE 4,987,300 1.60
22,078 PEPSICO INC 2,688,107 0.87 Mining 2,945,316 0.95 Electronic & Electrical Equipment 10,797,462 3.48 5,363 AGNICO EAGLE MINES 294,678 0.09 48,301 AGNICO EAGLE MINES USD 2,650,638 0.86 64,593 AMPHENOL CORPORATION-A 6,229,700 2.01 67,217 EMERSON ELECTRIC CO 4,567,762 1.47 Nonequity Investment Instruments 524,943 0.17 Equity Investment Instruments 262,486 0.08 26,424 ACAMAR PARTNERS ACQUISITION CORP 235,874 0.08 32,000 SCHULTZE SPECIAL PURPOSE ACQUISITION 289,069 0.09 29,000 HENNESSY CAPITAL ACQUISITION CORP IV 262,486 0.08 CORP Financial Services 19,727,589 6.35 Nonlife Insurance 8,026,129 2.59
7,436 BLACKROCK INC A 3,331,262 1.07 39,764 BERKSHIRE HATAW B 8,026,129 2.59 1,934 CONYERS PARK II ACQUISITION CORP 18,746 0.01 Oil & Gas Producers 12,991,153 4.18 78,316 DOW INC 3,818,471 1.23 90,849 GRAF INDUSTRIAL CORP 824,723 0.27 52,201 EOG RESOURCES 3,895,195 1.24 24,646 INTERCONTINENTALEXCHANGE GROUP 2,032,060 0.65 43,216 EXXON MOBIL CORP 2,687,284 0.87 76,869 MORGAN STANLEY 3,500,707 1.13 51,921 HESS CORP 3,090,282 1.00 37,048 VISA INC-A 6,201,620 1.99 24,603 PIONEER NATURAL RES 3,318,392 1.07 Food & Drug Retailers 3,338,689 1.08 Oil Equipment, Services & Distribution 4,924,483 1.59
43,812 SYSCO CORP 3,338,689 1.08 137,540 SCHLUMBERGER LTD 4,924,483 1.59 Food Producers 2,778,485 0.90 Pharmaceuticals & Biotechnology 22,716,484 7.32
56,624 MONDELEZ INTERNATIONAL 2,778,485 0.90 46,732 ABBVIE INC 3,685,687 1.19 11,500 BIOGEN INC 3,039,996 0.98 Gas, Water & Multiutilities 2,785,599 0.90 124,789 ELANCO ANIMAL HEALTH INC 3,273,974 1.05 40,714 AMEREN CORPORATION 2,785,599 0.90 57,442 ELI LILLY & CO 6,725,703 2.17 General Retailers 21,830,410 7.03 73,934 MERCK AND CO INC 5,991,124 1.93
5,202 AMAZON.COM INC 8,563,442 2.75 Software & Computer Services 50,646,898 16.31 25,634 HOME DEPOT INC 4,985,214 1.61 19,434 ADOBE INC 5,710,047 1.84 101,674 TJX COMPANIES INC 5,530,703 1.78 7,600 ALPHABET INC 9,068,476 2.92 12,199 ULTA BEAUTY INC. 2,751,051 0.89 4,245 ALPHABET INC SHS C 5,056,258 1.63 Health Care Equipment & Services 20,411,236 6.57 12,055 ARISTA NETWORKS 2,183,861 0.70 49,276 COGNIZANT TECH SO-A 2,722,581 0.88 12,108 ALIGN TECHNOLOGY 3,009,903 0.97 109,621 MICROSOFT CORP 15,400,652 4.96 31,177 HUMANA 10,179,950 3.27 180,751 NUANCE COMMUNICATIONS 2,871,083 0.92 71,450 MEDTRONIC PLC 7,221,383 2.33
The accompanying notes form an integral part of these financial statements
26 PI Investment Funds - US Equity
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV
EUR 20,528 SALESFORCE.COM 2,974,320 0.96 31,558 STANLEY BLACK AND DECKER INC. 4,659,620 1.50 Support Services 6,214,619 2.00
41,822 UNITED RENTALS INC 6,214,619 2.00 Technology Hardware & Equipment 26,458,703 8.52
35,131 APPLE INC 9,190,395 2.96 21,732 LAM RESEARCH CORP 5,660,968 1.82 175,086 MICRON TECHNOLOGY INC 8,388,530 2.70 58,042 NETAPP INC 3,218,810 1.04 Travel, Leisure & Catering 3,312,475 1.07
27,850 ROYAL CARIBBEAN CRUISES 3,312,475 1.07
Warrants, Rights 75,743 0.02 Equity Investment Instruments 15,501 0.00
21,750 HENNESSY CAPITAL ACQUISITION-A WARRANT 15,501 0.00 01/10/2025 Financial Services 32,948 0.01
90,204 GRAF INDUSTRIAL WARRANT 31/12/2025 32,948 0.01 Nonequity Investment Instruments 27,294 0.01
8,808 ACAMAR PARTNERS ACQUISITION CORP 5,414 0.00 WARRANT 26/02/2026 15,500 CRESCENT ACQUISITION CORP WARRANT 11,047 0.01 07/03/2024 32,000 SCHULTZE SPECIAL PURPOSE ACQUISITION 10,833 0.00 WARRANT 31/12/2023
Other transferable securities 277,998 0.09
Shares 277,998 0.09 Nonequity Investment Instruments 277,998 0.09 31,143 CRESCENT ACQUISITION CORP 277,998 0.09 Total securities portfolio 309,948,413 99.84
The accompanying notes form an integral part of these financial statements
27 PI Investment Funds - Dynamic Allocation Fund
Securities Portfolio as at 31/12/19
Multi-Asset Sub-Funds Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR Long positions 519,990,273 86.13 9,760,000 UNICREDIT SPA 0.50% 09/04/2025 9,646,003 1.60 Luxembourg 24,205,643 4.01 Transferable securities admitted to an official stock exchange 469,091,310 77.70 listing and/or dealt in on another regulated market 9,000,000 AROUNDTOWN SA VAR PERPETUAL EUR (ISIN 9,385,965 1.55 Bonds 434,987,668 72.05 XS2027946610) Belgium 19,789,019 3.28 8,700,000 BLACKSTONE PROPERTY PARTNERS EUROPE 8,680,208 1.44 HOLDINGS SARL 0.50% 12/09/2023 10,000,000 BELGIUM 0.50% 22/10/2024 10,401,300 1.73 6,000,000 VIVION INVESTMENTS SARL 3.00% 08/08/2024 6,139,470 1.02 4,000,000 KBC GROUP SA/NV VAR PERPETUAL 4,362,000 0.72 Netherlands 58,176,351 9.63 5,100,000 KBC GROUP SA/NV VAR 03/12/2029 5,025,719 0.83 5,200,000 COOPERATIEVE RABOBANK UA VAR 5,211,232 0.86 Denmark 20,623,050 3.42 PERPETUAL EUR (ISIN XS2050933972) 11,600,000 NYKREDIT REALKREDIT AS 0.25% 20/01/2023 11,591,416 1.93 10,800,000 COOPERATIEVE RABOBANK UA 0.25% 30/10/2026 10,697,778 1.77 2,836,000 ORSTED VAR 09/12/3019 2,862,658 0.47 9,740,000 ENEL FINANCE INTERNATIONAL NV 0% 9,643,331 1.60 5,238,000 ORSTED VAR 26/06/3013 6,168,976 1.02 17/06/2024 3,500,000 ING GROUP NV VAR PERPETUAL USD (ISIN 3,340,200 0.55 Finland 11,045,100 1.83 XS1497755360) 7,100,000 KONINKLIJKE KPN NV VAR PERPETUAL 7,240,012 1.20 10,000,000 FINLAND 2.00% 15/04/2024 11,045,100 1.83 5,000,000 TELEFONICA EUROPE BV VAR PERPETUAL EUR 5,578,300 0.92 France 65,896,223 10.91 (ISIN XS1933828433) 12,400,000 VONOVIA FINANCE B.V 0.50% 14/09/2029 11,843,612 1.96 5,100,000 BNP PARIBAS SA VAR REGS PERPETUAL 4,789,911 0.79 4,700,000 VONOVIA FINANCE B.V 0.625% 07/10/2027 4,621,886 0.77 3,200,000 BNP PARIBAS SA VAR 04/06/2026 3,210,576 0.53 4,100,000 BPCE SA 0.125% 04/12/2024 4,083,764 0.68 Spain 30,178,789 5.00 8,000,000 CREDIT AGRICOLE SA 0.375% 21/10/2025 7,981,440 1.32 12,500,000 ABERTIS INFRAESTRUCTURAS SA 1.625% 12,538,500 2.07 15,000,000 FRANCE OAT 2.25% 25/05/2024 16,783,425 2.78 15/07/2029 7,000,000 ICADE SANTE SAS 0.875% 04/11/2029 6,883,520 1.14 4,200,000 BANCO SANTANDER SA 0.30% 04/10/2026 4,161,129 0.69 2,400,000 LA MONDIALE SOCIETE D ASSURANCE A FORME 2,580,684 0.43 5,400,000 SANTANDER CONSUMER FINANCE S.A 0.50% 5,356,800 0.89 MUTUELLE VAR PERPETUAL EUR (ISIN 14/11/2026 FR0013455854) 8,000,000 SPAIN 0.25% 30/07/2024 8,122,360 1.35 2,800,000 PERNOD RICARD SA 0.50% 24/10/2027 2,805,908 0.46 5,000,000 TOTAL SA VAR PERPETUAL EUR (ISIN 5,409,575 0.90 Sweden 17,438,704 2.89 XS1195202822) 17,625,000 CASTELLUM AB 0.75% 04/09/2026 17,438,704 2.89 11,600,000 UNIBAIL-RODAMCO-WESTFIELD 0.875% 11,367,420 1.88 29/03/2032 United Kingdom 15,184,107 2.52 Germany 27,995,721 4.64 15,100,000 BP CAPITAL MARKETS PLC 1.104% 15/11/2034 15,184,107 2.52
7,500,000 DEUTSCHE BAHN FINANCE GMBH VAR 7,593,488 1.26 United States of America 30,623,269 5.07 PERPETUAL EUR (ISIN XS2010039035) 13,700,000 AT&T INC 0.80% 04/03/2030 13,304,413 2.20 9,000,000 ENBW ENERGIE BADEN-WUERTTEMBERG VAR 9,090,945 1.51 05/08/2079 6,900,000 FIDELITY NATIONAL INFORMATION SERVICES 6,914,283 1.15 INC 0.125% 03/12/2022 11,100,000 GERMANY BUND 0% 14/04/2023 11,311,288 1.87 6,000,000 IQVIA INC 2.25% REGS 15/01/2028 6,212,220 1.03 Ireland 18,416,312 3.05 4,230,000 THERMO FISHER SCIENTIFIC INC 0.125% 4,192,353 0.69 01/03/2025 5,688,000 BANK OF IRELAND GROUP PLC VAR 14/10/2029 5,910,884 0.98 10,800,000 IRELAND 3.40% 18/03/2024 12,505,428 2.07 Warrants, Rights 34,103,642 5.65 Ireland 34,103,642 5.65 Italy 95,415,380 15.80 629,974 AMUNDI PHYSICAL GOLD ETC 34,103,642 5.65 5,900,000 ASSICURAZIONI GENERALI SPA 2.124% 6,137,741 1.02 01/10/2030 Share/Units of UCITS/UCIS 48,312,529 8.00 9,000,000 A2A SPA 1.00% 16/07/2029 9,196,245 1.52 9,890,000 INTESA SANPAOLO SPA 1.00% 19/11/2026 9,872,444 1.64 Share/Units in investment funds 48,312,529 8.00 6,000,000 INTESA SANPAOLO SPA 2.125% 30/08/2023 6,346,590 1.05 Ireland 26,964,950 4.46 4,900,000 IREN S.P.A 0.875% 14/10/2029 4,891,156 0.81 691,675 ISHARES MSCI KOREA UCITS ETF 26,964,950 4.46 9,000,000 ITALY BTP 3.85% 01/09/2049 11,650,950 1.93 21,300,000 ITALY CCT FRN 15/01/2025 22,283,101 3.68 Jersey 21,347,579 3.54 10,000,000 ITALY CCT FRN 15/07/2023 10,085,800 1.67 163,039 WISDOM TREE METAL SECURITIES LTD 21,347,579 3.54 5,000,000 UNICREDIT SPA VAR 03/01/2027 5,305,350 0.88 CERTIFICATE
The accompanying notes form an integral part of these financial statements
28 PI Investment Funds - Dynamic Allocation Fund
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV
EUR
Derivative instruments 2,586,434 0.43
Options 2,586,434 0.43 Luxembourg 2,586,434 0.43
122,550,000 FX OPTION - PUT USD / CALL JPY - 105.00 - 1,922,083 0.32 11.12.20 197,100,000 PUT CDX OPTION - CDX NA HY 33 INDEX - 106.50 498,170 0.08 - 18.03.20 84,500,000 PUT CDX OPTION - ITRAXX EUROPE 166,181 0.03 CROSSOVER SERIES 32 INDEX - 250.00 - 18.03.20 Short positions -143,187 -0.02
Derivative instruments -143,187 -0.02
Options -143,187 -0.02 Luxembourg -143,187 -0.02
-197,100,000 PUT CDX OPTION - CDX NA HY 33 INDEX - 100.00 -113,610 -0.02 - 18.03.20 -84,500,000 PUT CDX OPTION - ITRAXX EUROPE -29,577 0.00 CROSSOVER SERIES 32 INDEX - 375.00 - 18.03.20 Total securities portfolio 519,847,086 86.11
The accompanying notes form an integral part of these financial statements
29 PI Investment Funds - Multi-Asset Teodorico
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 223,785,364 93.68 Long positions Italy 1,766,648 0.74
Transferable securities admitted to an official stock exchange 33,381 ENI SPA 462,193 0.19 198,667,162 83.17 listing and/or dealt in on another regulated market 18,758 FINECOBANK 200,523 0.08 Shares 40,245,389 16.85 23,208 NEXI SPA 287,315 0.12 Australia 2,412,496 1.01 12,098 PRYSMIAN SPA 259,986 0.11 42,752 UNICREDIT SPA 556,631 0.24 37,633 COMMONWEALTH BANK OF AUSTRALIA 1,883,005 0.79 27,951 NEWCREST MINING 529,491 0.22 Liberia 154,694 0.06 Belgium 607,746 0.25 1,301 ROYAL CARIBBEAN CRUISES 154,694 0.06
2,596 ANHEUSER BUSCH INBEV SA/NV 188,755 0.08 Luxembourg 331,892 0.14 6,248 KBC GROUPE 418,991 0.17 21,218 ARCELORMITTAL SA 331,892 0.14 Canada 306,286 0.13 Netherlands 3,176,599 1.33
559 AGNICO EAGLE MINES 30,796 0.01 10,832 ABN AMRO GROUP N.V. 175,695 0.07 1,996 AGNICO EAGLE MINES USD 109,909 0.05 3,361 AIRBUS BR BEARER SHS 438,543 0.18 30,900 LUNDIN MINING 165,581 0.07 1,491 ASML HOLDING N.V. 393,177 0.16 Curacao 229,840 0.10 3,113 ASR NEDERLAND N.V 103,850 0.04 40,553 CNH INDUSTRIAL N.V 397,014 0.17 6,497 SCHLUMBERGER LTD 229,840 0.10 1,433 FERRARI NV 211,941 0.09 Denmark 549,615 0.23 43,546 ING GROUP NV 465,420 0.20 1,587 KONINKLIJKE DSM NV 184,251 0.08 10,622 NOVO NORDISK 549,615 0.23 88,061 KONINKLIJKE KPN NV 231,688 0.10 France 4,853,104 2.03 5,574 KONINKLIJKE PHILIPS N.V. 242,580 0.10 8,357 ACCOR SA 348,905 0.15 13,869 STMICROELECTRONICS NV 332,440 0.14 5,691 ALSTOM 240,331 0.10 Spain 583,192 0.24 AXA13,613 341,822 0.14 7,704 GRIFOLS SA 242,137 0.10 15,910 BNP PARIBAS 840,525 0.34 37,152 IBERDROLA SA 341,055 0.14 5,480 BOUYGUES 207,582 0.09 11,833 COMPAGNIE DE SAINT-GOBAIN SA 431,905 0.18 Sweden 431,019 0.18 3,638 DANONE SA 268,848 0.11 26,272 ERICSSON LM-B SHS 203,920 0.09 821 L’OREAL SA 216,744 0.09 7,497 LUNDIN PETROLEUM 227,099 0.09 728 LVMH MOET HENNESSY LOUIS VUITTON SE 301,538 0.13 4,761 SANOFI 426,681 0.18 Switzerland 1,345,873 0.56 3,848 SCHNEIDER ELECTRIC SA 352,092 0.15 3,323 CIE FINANCIERE RICHEMONT SA 232,518 0.10 11,543 SOCIETE GENERALE A 358,006 0.15 4,232 NESTLE SA 407,938 0.17 10,531 TOTAL 518,125 0.22 2,442 ROCHE HOLDING LTD 705,417 0.29 Germany 2,996,303 1.25 United Kingdom 5,063,837 2.13
2,744 CONTINENTAL AG 316,273 0.13 23,940 ANGLO AMERICAN PLC 613,933 0.27 9,422 DAIMLER 465,164 0.19 2,542 APTIV REGISTERED SHS 215,996 0.09 12,364 DEUTSCHE POST AG-NOM 420,500 0.18 6,383 ASTRAZENECA PLC 573,027 0.25 8,599 FRESENIUS SE & CO KGAA 431,498 0.18 16,976 BHP GROUP PLC 355,968 0.15 1,815 SAP SE 218,381 0.09 4,147 CARNIVAL PLC 178,340 0.07 5,599 SIEMENS AG-NOM 652,507 0.27 694,313 LLOYDS BANKING GROUP PLC 512,121 0.21 2,789 VOLKSWAGEN AG PFD 491,980 0.21 32,521 M&G PLC 91,037 0.04 Ireland 1,454,974 0.61 32,521 PRUDENTIAL PLC 556,121 0.23 7,914 RECKITT BENCKISER GROUP PLC 572,431 0.24 75,027 AIB GROUP PLC 233,034 0.10 9,186 ROYAL DUTCH SHELL A SHARES 242,293 0.10 16,582 CRH PLC 591,479 0.24 12,644 ROYAL DUTCH SHELL PLC-A 330,830 0.14 3,336 MEDTRONIC PLC 333,808 0.14 19,823 SMITHS GROUP 394,659 0.17 4,133 RYANAIR HLDS PLC LSE 60,466 0.03 26,794 STANDARD CHARTERED 225,268 0.09 16,144 RYANAIR HOLDINGS PLC 236,187 0.10 116,521 VODAFONE GROUP 201,813 0.08
The accompanying notes form an integral part of these financial statements
30 PI Investment Funds - Multi-Asset Teodorico
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 1,763 VISA INC-A 293,090 0.12 United States of America 13,981,271 5.86 1,773 WALT DISNEY CO/THE 226,912 0.09 2,216 ABBVIE INC 174,082 0.07 4,089 WELLS FARGO & CO 195,398 0.08 2,873 ACTIVISION BLIZZARD INC 151,444 0.06 Bonds 157,297,794 65.85 936 ADOBE INC 273,120 0.11 576 ALIGN TECHNOLOGY 142,884 0.06 Australia 1,159,384 0.49 370 ALPHABET INC 440,506 0.18 300,000 AUSTRALIA NEW ZEALAND BANKING GROUP 301,161 0.13 309 ALPHABET INC SHS C 366,935 0.15 LTD VAR 21/11/2029 254 AMAZON.COM INC 416,893 0.17 350,000 COMMONWEALTH BANK OF AUSTRALIA VAR 364,333 0.15 2,066 AMEREN CORPORATION 140,893 0.06 03/10/2029 6,043 AMERICAN INTL GRP 274,452 0.11 500,000 VICINITY CENTRES 1.125% 07/11/2029 493,890 0.21 2,973 AMPHENOL CORPORATION-A 285,249 0.12 Austria 490,808 0.21 1,678 APPLE INC 436,564 0.18 200,000 ERSTE GROUP BANK AG VAR PERPETUAL 222,466 0.09 556 ARISTA NETWORKS 100,516 0.04 270,000 SAPPI PAPIER HOLDING GMBH 3.125% REGS 268,342 0.12 20,000 AT AND T PFD INC 474,566 0.21 15/04/2026 13,650 BANK OF AMERICA CORP 426,573 0.18 1,846 BERKSHIRE HATAW B 370,762 0.16 Belgium 429,689 0.18 548 BIOGEN INC 143,700 0.06 200,000 AGEAS (EX FORTIS) VAR PERPETUAL 206,883 0.09 351 BLACKROCK INC A 156,200 0.07 200,000 SOLVAY SA VAR PERPETUAL 222,806 0.09 6,532 BORG WARNER INC 253,773 0.11 2,398 COGNIZANT TECH SO-A 131,789 0.06 Brazil 1,230,032 0.51 4,965 COMCAST CLASS A 198,423 0.08 1,300,000 BRAZIL 4.50% 30/05/2029 1,230,032 0.51 3,666 DOW INC 177,666 0.07 Canada 1,443,519 0.60 5,999 ELANCO ANIMAL HEALTH INC 156,482 0.07 2,789 ELI LILLY & CO 324,493 0.14 400,000 BANK OF MONTREAL 2.90% 26/03/2022 363,058 0.15 3,176 EMERSON ELECTRIC CO 215,374 0.09 600,000 BANK OF NOVA SCOTIA 0.50% 30/04/2024 606,633 0.25 2,407 EOG RESOURCES 178,751 0.07 400,000 ROYAL BANK OF CANADA 1.375% 09/12/2024 473,828 0.20 2,020 EXXON MOBIL CORP 124,871 0.05 Colombia 334,978 0.14 2,498 FEDEX CORP 335,366 0.14 21,969 FREEPORT MCMORAN INC 256,289 0.11 370,000 BANCOLOMBIA SA VAR 18/12/2029 334,978 0.14 2,364 HESS CORP 139,481 0.06 Croatia 1,131,900 0.47 1,220 HOME DEPOT INC 235,968 0.10 1,458 HUMANA 471,989 0.20 1,000,000 CROATIA 3.00% 11/03/2025 1,131,900 0.47 1,181 INTERCONTINENTALEXCHANGE GROUP 96,595 0.04 Denmark 1,854,359 0.78 5,920 JP MORGAN CHASE & CO 731,892 0.32 400,000 DANSKE BANK AS VAR 12/02/2030 399,132 0.17 935 KANSAS CITY SOUTHERN 127,418 0.05 160,000 DANSKE BANK AS VAR 21/06/2029 168,157 0.07 1,048 LAM RESEARCH CORP 271,182 0.11 373,000 JYSKE BANK A/S VAR 02/06/2020 373,376 0.16 3,591 MERCK AND CO INC 289,647 0.12 300,000 NYKREDIT REALKREDIT AS 0.625% 17/01/2025 301,928 0.13 8,322 MICRON TECHNOLOGY INC 396,120 0.17 600,000 NYKREDIT REALKREDIT AS 0.875% 17/01/2024 611,766 0.25 5,127 MICROSOFT CORP 716,592 0.31 2,629 MONDELEZ INTERNATIONAL 128,487 0.05 Finland 1,016,060 0.43 3,599 MORGAN STANLEY 163,246 0.07 1,000,000 CRH FINLAND SERVICES PLC 2.75% 15/10/2020 1,016,060 0.43 2,807 NETAPP INC 154,591 0.06 959 NORFOLK SOUTHERN CORP 165,444 0.07 France 7,665,070 3.21 7,866 NUANCE COMMUNICATIONS 124,560 0.05 200,000 ALD SA FRN 27/11/2020 200,407 0.08 2,288 PEPSICO INC 277,679 0.12 300,000 ALD SA VAR 26/02/2021 300,235 0.13 1,181 PIONEER NATURAL RES 159,175 0.07 400,000 BANQUE FEDERATIVE DU CREDIT MUTUEL 425,992 0.18 1,530 RAYTHEON CO 299,321 0.13 1.875% 18/06/2029 970 SALESFORCE.COM 140,510 0.06 500,000 BANQUE SOLFEA 0.75% 08/06/2026 512,045 0.20 1,506 STANLEY BLACK AND DECKER INC. 221,989 0.09 500,000 BNP PARIBAS CARDIF 1.00% 29/11/2024 507,770 0.20 2,023 SYSCO CORP 153,225 0.06 200,000 CREDIT AGRICOLE ASSURANCES SA VAR 210,829 0.09 4,641 TJX COMPANIES INC 251,193 0.11 29/01/2048 580 ULTA BEAUTY INC. 130,323 0.05 400,000 CREDIT AGRICOLE SA 1.25% 02/10/2024 470,008 0.20 1,943 UNITED RENTALS INC 290,628 0.12 400,000 CROWN EUROPEAN HOLDINGS 0.75% REGS 400,192 0.17 15/02/2023
The accompanying notes form an integral part of these financial statements
31 PI Investment Funds - Multi-Asset Teodorico
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 118,000 CROWN EUROPEAN HOLDINGS 2.25% REGS 123,015 0.05 300,000 FCA BANK SPA 0.625% 24/11/2022 303,358 0.13 01/02/2023 600,000 INTESA SANPAOLO SPA 0.75% 04/12/2024 603,102 0.25 500,000 DASSAULT SYSTEMS SE 0.125% 16/09/2026 493,945 0.21 150,000 INTESA SANPAOLO SPA 2.125% 30/08/2023 158,665 0.07 200,000 ELECTRICITE DE FRANCE SA VAR PERPETUAL 206,316 0.09 300,000 INTESA SANPAOLO VITA S P A VAR PERPETUAL 329,172 0.14 EUR (ISIN FR0013464922) 5,000,000 ITALY BTP 0.65% 15/10/2023 5,066,375 2.12 500,000 ELECTRICITE DE FRANCE SA 2.00% 09/12/2049 490,327 0.21 4,000,000 ITALY BTP 1.45% 15/09/2022 4,142,260 1.73 300,000 ENGIE SA 1.25% 24/10/2041 297,832 0.12 3,000,000 ITALY BTP 2.20% 01/06/2027 3,243,195 1.36 220,000 FAURECIA SA 3.125% 15/06/2026 233,765 0.10 2,500,000 ITALY BTP 3.25% 01/09/2046 2,955,575 1.24 100,000 KAPLA HOLDING 3.375% REGS 15/12/2026 102,254 0.04 2,000,000 ITALY BTP 4.00% 17/10/2049 1,700,329 0.71 100,000 LA MONDIALE SOCIETE D ASSURANCE A FORME 107,529 0.05 3,000,000 ITALY BTP 4.50% 01/05/2023 3,418,485 1.43 MUTUELLE VAR PERPETUAL EUR (ISIN FR0013455854) 2,000,000 ITALY BTP 4.75% 01/09/2044 2,898,870 1.21 10,000,000 ITALY CCT FRN 15/01/2025 10,461,550 4.37 500,000 ORANGE SA VAR PERPETUAL EUR (ISIN 610,200 0.25 XS1115498260) 9,000,000 ITALY CCT FRN 15/07/2023 9,077,220 3.80 230,000 PSA BANQUE FRANCE 0.625% 21/06/2024 231,932 0.10 7,000,000 ITALY CCT FRN 15/10/2024 7,109,865 2.98 200,000 REXEL SA 2.75% 15/06/2026 210,290 0.09 400,000 UNICREDIT SPA VAR PERPETUAL EUR (ISIN 464,144 0.19 300,000 SOCIETE GENERALE SA VAR REGS PERPETUAL 282,762 0.12 XS1539597499) USD (ISIN USF43628C734) 500,000 UNICREDIT SPA 0.50% 09/04/2025 494,160 0.21 200,000 SOCIETE GENERALE SA 1.875% 03/10/2024 238,072 0.10 Japan 7,190,231 3.01 200,000 UNIBAIL-RODAMCO SE VAR PERPETUAL 205,637 0.09 400,000 VIVENDI SA 0% 13/06/2022 399,956 0.17 207,000 ASAHI GROUP HOLDINGS LTD 0.321% 19/09/2021 208,170 0.09 400,000 VIVENDI SA 0.625% 11/06/2025 403,760 0.17 250,000,000 JAPAN JGBI 0.10% 10/03/2025 2,127,210 0.89 300,000,000 JAPAN JGBI 0.10% 10/03/2026 2,557,342 1.07 Germany 2,105,056 0.88 300,000 MITSUBISHI UFJ FIN GRP FRN 13/09/2021 269,692 0.11 300,000 ALLIANZ SE VAR PERPETUAL 347,194 0.15 560,000 MITSUBISHI UFJ FIN GRP FRN 25/07/2022 501,698 0.21 300,000 BAYER AG VAR 12/11/2079 308,370 0.13 500,000 MIZUHO FINANCIAL GROUP INC 0.523% 504,655 0.21 300,000 DEUTSCHE BAHN FINANCE GMBH VAR 308,772 0.13 10/06/2024 PERPETUAL 800,000 SUMITOMO MITSUI FINANCIAL CORP INC 2.448% 714,903 0.30 300,000 EUROGRID GMBH 3.875% 22/10/2020 309,878 0.13 27/09/2024 300,000 TAKEDA PHARMACEUTICA FRN REGS 21/11/2022 306,561 0.13 200,000 LEG IMMOBILIEN AG 0.875% 28/11/2027 200,448 0.08 200,000 MUNICH REINSURANCE COMPANY VAR 233,967 0.10 Luxembourg 4,531,750 1.90 26/05/2049 200,000 THYSSENKRUPP AG 1.875% 06/03/2023 200,510 0.08 400,000 ARD FINANCE SA 5.00% REGS 30/06/2027 403,184 0.17 195,000 VOLKSWAGEN FINANCIAL SERVICES AG 0.375% 195,917 0.08 200,000 AROUNDTOWN SA VAR PERPETUAL GBP 248,483 0.10 12/04/2021 300,000 AROUNDTOWN SA 1.00% 07/01/2025 306,590 0.13 400,000 AROUNDTOWN SA 1.625% 31/01/2028 414,184 0.17 Iceland 445,240 0.19 700,000 CK HUTCHISON GROUP TELECOM FIN SA 0.75% 697,760 0.30 439,000 LANDSBANKINN HF 1.00% 30/05/2023 445,240 0.19 17/04/2026 300,000 CK HUTCHISON GROUP TELECOM FIN SA 299,004 0.13 Ireland 1,684,192 0.70 1.125% 17/10/2028 340,000 AIB GROUP PLC VAR 19/11/2029 345,461 0.14 300,000 DH EUROPE FINANCE SA 0.45% 18/03/2028 296,817 0.12 240,000 EIRCOM FINANCE LTD 2.625% 15/02/2027 242,268 0.10 170,000 DH EUROPE FINANCE SA 1.80% 18/09/2049 164,706 0.07 150,000 EIRCOM FINANCE LTD 3.50% 15/05/2026 158,595 0.07 200,000 HOLCIM FINANCE VAR PERPETUAL 211,200 0.09 230,000 FCA BANK S.P.A IRISH BRANCH 0.25% 12/10/2020 230,714 0.10 100,000 JOHN DEERE CASH MANAGMENT SA 1.65% 107,195 0.04 13/06/2039 700,000 FCA BANK S.P.A IRISH BRANCH 1.25% 23/09/2020 707,154 0.29 150,000 MEDTRONIC GLOBAL HOLDINGS S C A 1.75% 147,336 0.06 Isle of Man 169,552 0.07 02/07/2049 200,000 SELP FINANCE S.A.R.L 1.50% 20/11/2025 206,902 0.09 160,000 PLAYTECH PLC 4.25% 07/03/2026 169,552 0.07 240,000 SELP FINANCE S.A.R.L 1.50% 20/12/2026 246,043 0.10 Italy 53,835,275 22.53 350,000 SUMMER HOLDCO SARL 9.25% REGS 31/10/2027 359,686 0.15 500,000 BANCA DEL MEZZOGIORNO-MEDIOCREDITO 496,162 0.21 400,000 TLG FINANCE SARL VAR PERPETUAL 422,660 0.18 CENTRALE S.P.A 1.50% 24/10/2024 Mexico 885,359 0.37 100,000 BANCA IFIS SPA VAR 17/10/2027 96,478 0.04 100,000 CREDIT EMILIANO SPA CREDEM VAR 10/07/2027 103,742 0.04 300,000 CREDITO REAL SAB DE CV SOFOM ER 5.00% 315,954 0.13 REGS 01/02/2027 100,000 ERG SPA 1.875% 11/04/2025 105,871 0.04 500,000 MEXICO 2.875% 08/04/2039 569,405 0.24 200,000 ERG SPA 2.175% 19/01/2023 207,857 0.09 400,000 FCA BANK SPA 0.50% 13/09/2024 398,840 0.17
The accompanying notes form an integral part of these financial statements
32 PI Investment Funds - Multi-Asset Teodorico
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR
Netherlands 11,216,749 4.70 Saudi Arabia 1,040,368 0.44
600,000 ABN AMRO BANK NV VAR 27/03/2028 558,241 0.23 500,000 SAUDI ARABIA 2.00% REGS 09/07/2039 526,650 0.23 300,000 ALLIANZ FINANCE II BV FRN 07/12/2020 301,263 0.13 260,000 SAUDI ARABIAN OIL COMPANY 3.50% REGS 239,854 0.10 200,000 ATF NETHERLANDS BV VAR PERPETUAL 214,161 0.09 16/04/2029 1,200,000 BMW FINANCE NV FRN 16/08/2021 1,204,068 0.51 280,000 SAUDI ARABIAN OIL COMPANY 4.375% REGS 273,864 0.11 500,000 BMW FINANCE NV 0.125% 03/07/2020 501,145 0.21 16/04/2049 290,000 DUFRY ONE BONDS 2.00% 15/02/2027 293,700 0.12 Serbia 509,928 0.21 311,000 ENEL FINANCE INTERNATIONAL NV 2.875% 280,498 0.12 500,000 SERBIA 1.50% REGS 26/06/2029 509,928 0.21 REGS 25/05/2022 140,000 ENEXIS HOLDING NV 0.75% 02/07/2031 142,075 0.06 Spain 3,112,300 1.30 791,000 FE NEW NV 0.25% 16/01/2021 793,293 0.34 300,000 ABERTIS INFRAESTRUCTURAS SA 2.375% 323,799 0.14 600,000 ING GROUP NV VAR PERPETUAL USD (ISIN 572,605 0.24 27/09/2027 XS1497755360) 200,000 BANCO BILBAO VIZCAYA ARGENTARIA SA VAR 222,718 0.09 400,000 JAB HOLDINGS BV 2.00% 18/05/2028 427,760 0.18 PERPETUAL EUR (ISIN ES0813211010) 100,000 NE PROPERTY COOPERATIEF U.A. 1.75% 101,815 0.04 300,000 BANCO SANTANDER SA VAR PERPETUAL EUR 331,431 0.14 23/11/2024 (ISIN XS1602466424) 450,000 NE PROPERTY COOPERATIEF U.A. 2.625% 473,013 0.20 300,000 BANKIA S.A. VAR 15/03/2027 316,095 0.13 22/05/2023 600,000 CAIXABANK S.A VAR PERPETUAL EUR (ISIN 674,058 0.27 200,000 NN GROUP NV VAR 13/01/2048 241,462 0.10 ES0840609004) 150,000 NN GROUP NV 0.25% 01/06/2020 150,141 0.06 200,000 IMMOBILIARIA COLONIAL SOCIMI SA 1.625% 211,000 0.09 400,000 OCI N V 3.125% REGS 01/11/2024 415,456 0.17 28/11/2025 200,000 REPSOL INTERNATIONAL FINANCE BV 0.25% 196,238 0.08 300,000 MERLIN PROPERTIES SOCIMI SA 2.375% 326,793 0.14 02/08/2027 18/09/2029 500,000 REPSOL INTERNATIONAL FINANCE BV 2.125% 511,233 0.21 500,000 SANTANDER CONSUMER FINANCE S.A 0.375% 500,908 0.21 16/12/2020 27/06/2024 220,000 SELECTA GROUP B.V. 5.875% REGS 01/02/2024 226,347 0.09 200,000 SANTANDER CONSUMER FINANCE S.A 1.00% 205,498 0.09 700,000 SIEMENS FINANCIERINGSMAATSCHAPPIJ NV 665,416 0.28 27/02/2024 0.50% 05/09/2034 Sweden 1,883,083 0.79 600,000 TELEFONICA EUROPE BV VAR PERPETUAL EUR 634,071 0.27 (ISIN XS1490960942) 375,000 AKELIUS RESIDENTIAL PROPERTY 1.125% 383,796 0.16 250,000 TEVA PHARMACEUTICAL FINANCE 264,855 0.11 14/03/2024 NETHERLANDS II BV 6.00% REGS 31/01/2025 500,000 ALFA LAVAL TREASURY INTERNATIONAL AB 497,057 0.21 400,000 VOLKSWAGEN FINANCIAL SERVICES NV 1.875% 471,623 0.20 0.25% 25/06/2024 03/12/2024 300,000 INTRUM JUSTITIA AB 2.75% REGS 15/07/2022 152,226 0.06 100,000 VOLKSWAGEN INTERNATIONAL FINANCE NV 117,353 0.05 250,000 INTRUM JUSTITIA AB 3.00% REGS 15/09/2027 245,903 0.10 3.25% 18/11/2030 600,000 VOLVO TREASURY AB FRN 01/11/2021 604,101 0.26 200,000 VONOVIA FINANCE B.V 0.125% 06/04/2023 199,468 0.08 400,000 WINTERSHALL DEA FINANCE BV 0.84% 405,222 0.17 Switzerland 455,626 0.19 25/09/2025 500,000 UBS GROUP FUNDING SWITZERLAND INC FRN 455,626 0.19 400,000 WINTERSHALL DEA FINANCE 0.452% 25/09/2023 401,184 0.17 REGS 01/02/2022 100,000 ZF EUROPE FINANCE BV 1.25% 23/10/2023 102,260 0.04 Togo 284,285 0.12 200,000 ZF EUROPE FINANCE BV 2.00% 23/02/2026 204,781 0.09 140,000 ZIGGO BV 2.875% REGS 15/01/2030 146,002 0.06 300,000 BANQUE OUEST AFRICAINE D 5.00% REGS 284,285 0.12 27/07/2027 Norway 1,203,620 0.50 United Kingdom 4,101,469 1.72 500,000 DNB BANK ASA VAR PERPETUAL USD (ISIN 471,604 0.20 XS1506066676) 290,000 BP CAPITAL MARKETS PLC 0.831% 08/11/2027 296,471 0.12 250,000 DNB BANK ASA VAR PERPETUAL USD (ISIN 224,356 0.09 300,000 BP CAPITAL MARKETS PLC 1.231% 08/05/2031 313,346 0.13 XS2075280995) 346,000 COCA-COLA EUROPEAN PARTNERS PLC VAR 347,144 0.15 500,000 SPAREBANK 1 SR 0.625% 25/03/2024 507,660 0.21 16/11/2021 Portugal 5,134,046 2.15 300,000 COCA-COLA EUROPEAN PARTNERS PLC 0.70% 292,587 0.12 12/09/2031 300,000 EDP ENERGIAS DE PORTUGAL VAR 30/04/2079 336,086 0.14 200,000 HSBC HOLDINGS PLC VAR PERPETUAL EUR 230,802 0.10 2,000,000 PORTUGAL 2.125% 17/10/2028 2,301,350 0.96 (ISIN XS1298431104) 500,000 PORTUGAL 4.125% 14/04/2027 639,100 0.27 280,000 INFORMA PLC 1.25% 22/04/2028 276,311 0.12 1,500,000 PORTUGAL 5.65% 15/02/2024 1,857,510 0.78 250,000 INTERNATIONAL GAME TECHNOLOGY PLC 251,365 0.11 2.375% REGS 15/04/2028
The accompanying notes form an integral part of these financial statements
33 PI Investment Funds - Multi-Asset Teodorico
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 300,000 ITV PLC 1.375% 26/09/2026 301,056 0.13 160,000 MPT OPERATING PARTNERSHIP LP / MPT 192,453 0.08 240,000 LEGAL & GENERAL GROUP VAR 26/11/2049 287,350 0.12 FINANCE CORP 2.55% 05/12/2023 200,000 LLOYDS BANKING GRP PLC VAR PERPETUAL 245,199 0.10 400,000 NETFLIX INC 3.625% REGS 15/06/2030 412,558 0.17 340,000 NATIONAL AUSTRALIA BANK LTD LONDON 314,517 0.13 100,000 NETFLIX INC 3.875% REGS 15/11/2029 106,154 0.04 BRANCH VAR REGS 02/08/2034 550,000 PRICOA GLOBAL FUNDING I 2.40% REGS 494,571 0.21 301,000 PHOENIX GROUP HOLDINGS PLC 5.375% 279,548 0.12 23/09/2024 06/07/2027 400,000 STANDARD INDUSTRIES INC 2.25% REGS 413,348 0.17 290,000 TESCO COROPORATE TREASURY SERVICES 353,267 0.14 21/11/2026 PLC 2.50% 02/05/2025 300,000 STRYKER CORP 0.25% 03/12/2024 299,903 0.13 260,000 VIRGIN MEDIA SECURED FINANCE PLC 4.25% 312,506 0.13 400,000 STRYKER CORP 0.75% 01/03/2029 400,882 0.17 REGS 15/01/2030 280,000 THERMO FISHER SCIENTIFIC INC 0.125% 277,508 0.12 01/03/2025 United States of America 40,753,866 17.06 296,000 THERMO FISHER SCIENTIFIC INC 1.40% 313,332 0.13 400,000 ABBVIE INC 2.30% 14/05/2021 357,415 0.15 23/01/2026 800,000 ABBVIE INC 3.20% REGS 21/11/2029 728,453 0.30 260,000 THERMO FISHER SCIENTIFIC INC 1.875% 241,627 0.10 310,000 ALEXANDRIA REAL ESTATE EQUITIES INC 2.75% 272,961 0.11 01/10/2049 15/12/2029 6,000,000 USA T-BONDS 2.125% 30/11/2023 5,440,841 2.28 250,000 AT&T INC 1.80% 14/09/2039 238,904 0.10 2,000,000 USA T-BONDS 2.875% 15/08/2028 1,921,214 0.80 300,000 AT&T INC 4.45% 15/05/2021 276,322 0.12 8,000,000 USA T-BONDS 2.875% 31/05/2025 7,548,718 3.16 100,000 BAKER HUGHES A GE CO LLC 3.138% 07/11/2029 91,875 0.04 5,000,000 USA T-BONDSI 2.50% 15/01/2029 6,438,774 2.70 400,000 BALL CORP 1.50% 15/03/2027 403,012 0.17 250,000 VERIZON COMMUNICATIONS INC 0.875% 246,826 0.10 800,000 BANK OF AMERICA CORP VAR 09/05/2026 818,568 0.34 19/03/2032 600,000 BLACKSTONE HDGS FINANCE 1.50% REGS 633,789 0.27 400,000 VERIZON COMMUNICATIONS INC 1.875% 463,315 0.19 10/04/2029 19/09/2030 230,000 BRISTOL MYERS SQUIBB CO FRN REGS 205,350 0.09 240,000 VOLKSWAGEN GROUP OF AMERICA FINANCE 215,225 0.09 16/05/2022 FRN 144A 24/09/2021 270,000 CHUBB INA HOLDINGS INC 0.30% 15/12/2024 269,924 0.11 600,000 WELLS FARGO & CO VAR 30/10/2025 534,187 0.22 170,000 CHUBB INA HOLDINGS INC 0.875% 15/06/2027 173,473 0.07 600,000 WELLS FARGO & CO 0.50% 26/04/2024 606,825 0.25 500,000 CITIGROUP INC FRN 01/09/2023 454,988 0.19 Convertible bonds 890,765 0.37 300,000 CITIGROUP INC VAR 08/10/2027 297,363 0.12 France 170,616 0.07 400,000 CITIGROUP INC 1.75% 23/10/2026 470,830 0.20 500,000 CITIGROUP INC 2.65% 26/10/2020 447,559 0.19 200,000 CARREFOUR SA 0% 27/03/2024 CV 170,616 0.07 300,000 COLGATE PALMOLIVE CO 1.375% 06/03/2034 325,563 0.14 Germany 421,352 0.17 100,000 COMCAST CORP 2.65% 01/02/2030 89,426 0.04 400,000 DEUTSCHE WOHNEN SE 0.60% 05/01/2026 CV 421,352 0.17 800,000 DTE ENERGY CO 2.25% 01/11/2022 713,478 0.30 600,000 DTE ENERGY CO 2.95% 01/03/2030 530,355 0.22 Italy 298,797 0.13 340,000 DUKE ENERGY CORP VAR PERPETUAL 318,040 0.13 300,000 PRYSMIAN SPA 0% 17/01/2022 CV 298,797 0.13 300,000 ELI LILLY AND CO 1.70% 01/11/2049 298,959 0.13 400,000 ENLINK MIDSTREAM PARTNERS LP 5.45% 287,592 0.12 Warrants, Rights 233,214 0.10 01/06/2047 Ireland 233,214 0.10 245,000 FORD MOTOR CREDIT CO LLC VAR 07/12/2022 236,992 0.10 900,000 GOLDMAN SACHS GROUP INC. FRN 05/06/2023 810,032 0.34 4,308 AMUNDI PHYSICAL GOLD ETC 233,214 0.10 300,000 INTEL CORP 4.25% 15/12/2042 312,866 0.13 Share/Units of UCITS/UCIS 24,843,637 10.40 400,000 JPMORGAN CHASE & CO VAR 04/11/2032 404,148 0.17 24,843,637 10.40 700,000 JPMORGAN CHASE & CO VAR 11/03/2027 727,034 0.30 Share/Units in investment funds 100,000 JPMORGAN CHASE & CO VAR 25/07/2031 101,747 0.04 France 925,945 0.39 200,000 LIBERTY MUTUAL GROUP INC VAR REGS 208,912 0.09 206,109 AMUNDI MSCI EMERGING MARKETS UCITS ETF 925,945 0.39 23/05/2059 EUR C MILAN 400,000 LIBERTY MUTUAL GROUP INC 2.75% REGS 446,360 0.19 04/05/2026 Ireland 469,456 0.20 280,000 MET LIFE GLOB FUNDIN 0.375% 09/04/2024 282,398 0.12 11,890 INVESCO MARKETS PLC- INVESCO 469,456 0.20 500,000 METROPOLITAN LIFE GLOBAL FUNDING I 1.625% 584,460 0.24 MORNINGSTAR US ENERGY INFRASTRUCTURE 21/09/2029 MLP UCITS ETF B USD 300,000 MICROSOFT CORP 4.25% 06/02/2047 328,041 0.14 500,000 MMS USA INVESTMENTS INC 0.625% 13/06/2025 493,188 0.21 Jersey 6,242,714 2.61 500,000 MORGAN STANLEY FRN 24/10/2023 453,998 0.19 778,389 WISDOM TREE COMMODITY SECURITIES 6,242,714 2.61 100,000 MOSAIC CO 3.75% 15/11/2021 91,230 0.04 LIMITED ETF USD (ISIN GB00B15KXV33)
The accompanying notes form an integral part of these financial statements
34 PI Investment Funds - Multi-Asset Teodorico
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 700,000 FX OPTION - PUT EUR / CALL CHF - 1.093 - 6,542 0.00 Luxembourg 17,205,522 7.20 06.02.20 124,098 AMUNDI JAPAN TOPIX UCITS ETF - EUR (C) 10,260,423 4.29 600,000 FX OPTION - PUT EUR / CALL JPY - 120.00 - 0.00409 1,554,548 AMUNDI MSCI EMERGING MARKETS UCITS ETF - 6,945,099 2.91 16.01.20 EUR (C) 860,000 FX OPTION - PUT EUR / CALL NOK - 9.90 - 5,266 0.00 16.01.20 Derivative instruments 274,565 0.11 1,500,000 FX OPTION - PUT EUR / CALL SEK - 10.39 - 4,930 0.00 06.02.20 Options 274,565 0.11 1,190,000 FX OPTION - PUT EUR / CALL SEK - 10.63 - 18,658 0.01 Luxembourg 274,565 0.11 16.01.20 1,900,000 FX OPTION - PUT USD / CALL JPY - 105.00 - 11,839 0.00 880,000 FX OPTION - CALL AUD / PUT CAD - 0.903 - 8,601 0.00 11.06.20 06.02.20 1,890,000 FX OPTION - PUT USD / CALL JPY - 105.00 - 11,776 0.00 1,650,000 FX OPTION - CALL AUD / PUT CAD - 0.906 - 11,015 0.00 11.06.20 16.01.20 2,100,000 FX OPTION - PUT USD / CALL JPY - 105.00 - 13,085 0.01 1,200,000 FX OPTION - CALL AUD / PUT NZD - 1.043 - 3,425 0.00 11.06.20 06.02.20 410,000 FX OPTION - PUT USD / CALL JPY - 105.00 - 0.00805 880,000 FX OPTION - CALL AUD / PUT USD - 0.69 - 9,698 0.00 12.03.20 06.02.20 -62,802 -0.03 800,000 FX OPTION - CALL EUR / PUT CHF - 1.093 - 4,377 0.00 Short positions 09.04.20 700,000 FX OPTION - CALL EUR / PUT CHF - 1.103 - 0.00536 Derivative instruments -62,802 -0.03 06.02.20 530,000 FX OPTION - CALL EUR / PUT JPY - 122.00 - 6,521 0.00 Options -62,802 -0.03 09.04.20 Luxembourg -62,802 -0.03 1,420,000 FX OPTION - CALL EUR / PUT SEK - 10.93 - 0.0014 16.01.20 -1,650,000 FX OPTION - CALL AUD / PUT CAD - 0.906 - -11,015 0.00 800,000 FX OPTION - CALL EUR / PUT USD - 1.11 - 13,064 0.01 16.01.20 05.03.20 -1,650,000 FX OPTION - CALL AUD / PUT CAD - 0.93 - -557 0.00 1,730,000 FX OPTION - CALL EUR / PUT USD - 1.11 - 44,284 0.03 16.01.20 11.06.20 -1,900,000 FX OPTION - CALL AUD / PUT NZD - 1.06 - -984 0.00 780,000 FX OPTION - CALL EUR / PUT USD - 1.12 - 5,849 0.00 06.02.20 06.02.20 -710,000 FX OPTION - CALL EUR / PUT GBP - 0.876 - -431 0.00 800,000 FX OPTION - CALL EUR / PUT USD - 1.13 - 11,932 0.00 16.01.20 11.06.20 -860,000 FX OPTION - CALL EUR / PUT NOK - 10.20 - -106 0.00 8,000,000 FX OPTION - CALL NOK / PUT SEK - 1.033 - 20,351 0.02 16.01.20 06.02.20 -1,500,000 FX OPTION - CALL EUR / PUT SEK - 10.60 - -3,829 0.00 12,000,000 FX OPTION - CALL NOK / PUT SEK - 1.05 - 14,619 0.01 06.02.20 06.02.20 -1,420,000 FX OPTION - CALL EUR / PUT SEK - 10.93 - 0.00-14 2,590,000 FX OPTION - CALL USD / PUT CAD - 1.33 - 0.00245 16.01.20 16.01.20 -800,000 FX OPTION - CALL EUR / PUT USD - 1.14 - -2,953 0.00 790,000 FX OPTION - CALL USD / PUT CAD - 1.33 - 0.0075 05.03.20 16.01.20 -12,000,000 FX OPTION - CALL NOK / PUT SEK - 1.05 - -14,618 -0.02 1,300,000 FX OPTION - CALL USD / PUT CHF - 0.98 - 3,708 0.00 06.02.20 12.03.20 -18,000,000 FX OPTION - CALL NOK / PUT SEK - 1.073 - -4,561 0.00 880,000 FX OPTION - CALL USD / PUT CHF - 0.993 - 2,457 0.00 06.02.20 11.06.20 -2,590,000 FX OPTION - CALL USD / PUT CAD - 1.38 - 0.00- 600,000 FX OPTION - CALL USD / PUT CNH - 7.11 - 0.00398 16.01.20 16.01.20 -1,200,000 FX OPTION - CALL USD / PUT ILS - 3.55 - 16.01.20 -185 0.00 870,000 FX OPTION - CALL USD / PUT ILS - 3.48 - 16.01.20 1,262 0.00 -600,000 FX OPTION - CALL USD / PUT KRW - 1,206.00 - 0.00-57 880,000 FX OPTION - CALL USD / PUT KRW - 1,160.00 - 7,593 0.00 16.01.20 12.03.20 -780,000 FX OPTION - PUT EUR / CALL CHF - 1.07 - -273 0.00 600,000 FX OPTION - CALL USD / PUT KRW - 1,183.00 - 0.00341 16.01.20 16.01.20 -600,000 FX OPTION - PUT EUR / CALL JPY - 120.00 - -409 0.00 860,000 FX OPTION - CALL USD / PUT TWD - 30.70 - 0.00608 16.01.20 12.03.20 -860,000 FX OPTION - PUT EUR / CALL NOK - 9.90 - -5,266 0.00 1,640,000 FX OPTION - PUT AUD / CALL NZD - 1.068 - 28,057 0.02 16.01.20 16.01.20 -1,800,000 FX OPTION - PUT EUR / CALL SEK - 10.43 - -4,511 0.00 390,000 FX OPTION - PUT EUR / CALL CHF - 1.09 - 2,225 0.00 16.01.20 16.01.20 -760,000 FX OPTION - PUT USD / CALL JPY - 107.00 - -480 0.00 16.01.20
The accompanying notes form an integral part of these financial statements
35 PI Investment Funds - Multi-Asset Teodorico
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV
EUR -860,000 FX OPTION - PUT USD / CALL TWD - 30.40 - -12,553 -0.01 06.02.20 Total securities portfolio 223,722,562 93.65
The accompanying notes form an integral part of these financial statements
36 PI Investment Funds - Optimiser
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 569,368,336 94.62 Long positions Ireland 1,215,682 0.20
Transferable securities admitted to an official stock exchange 35,484 SMURFIT KAPPA 1,215,682 0.20 456,122,564 75.80 listing and/or dealt in on another regulated market Italy 3,682,468 0.61 Shares 150,194,662 24.96 Belgium 1,606,005 0.27 890,503 INTESA SANPAOLO SPA 2,091,346 0.35 122,206 UNICREDIT SPA 1,591,122 0.26 15,547 SOLVAY 1,606,005 0.27 Japan 12,555,388 2.09 Bermuda 1,667,275 0.28 62,900 ANRITSU 1,117,877 0.19 70,730 MARVELL TECHNOLOGY 1,667,275 0.28 100,500 GMO INTERNET 1,709,496 0.28 Canada 2,075,156 0.34 35,600 HITACHI LTD 1,350,018 0.22 5,700 KEYENCE CORP 1,798,485 0.30 37,668 AGNICO EAGLE MINES 2,075,156 0.34 4,600 NINTENDO CO LTD 1,658,052 0.28 Cayman Islands 8,171,924 1.36 181,600 NSK LTD 1,549,710 0.26 29,600 OMRON CORP 1,557,796 0.26 15,025 ALIBABA GROUP HOLDING-SP ADR 2,846,384 0.47 480,000 Z HOLDINGS CORPORATION 1,813,954 0.30 177,000 ANTA SPORTS PRODUCTS LTD 1,411,540 0.23 1,482,000 TOPSPORTS INTERNATIONAL HOLDINGS 1,596,154 0.27 Luxembourg 3,749,903 0.62 LIMITED 207,076 AROUNDTOWN REIT 1,653,295 0.27 205,500 WUXI BIOLOGICS INC 2,317,846 0.39 98,064 GRAND CITY PROPERTIES S.A. 2,096,608 0.35 China 8,661,783 1.44 Netherlands 11,114,296 1.85 1,717,000 CHINA CONSTRUCTION BANK H 1,321,177 0.22 2,225 ADYEN BV 1,626,475 0.27 283,000 CHINA MERCHANTS BANK-H 1,295,879 0.22 11,499 ASML HOLDING N.V. 3,032,286 0.51 1,706,500 GREAT WALL MOTOR COMPANY-H 1,123,840 0.19 13,348 FERRARI NV 1,974,169 0.33 1,874,000 GUANGZHOU AUTOMOBILE GROUP CO LTD 2,078,342 0.34 210,111 FIAT CHRYSLER AUTOMOBILES NV 2,772,205 0.46 2,647,000 INDUSTRIAL & COMMERCIAL BANK OF CHINA-H 1,815,854 0.30 39,273 KONINKLIJKE PHILIPS N.V. 1,709,161 0.28 97,500 PING AN INSURANCE GROUP CO-H 1,026,691 0.17 Spain 10,006,190 1.66 France 17,952,116 2.98 18,569 ACCIONA SA 1,741,772 0.29 41,459 BOUYGUES 1,570,467 0.26 38,035 CELLNEX TELECOM S.A. 1,459,403 0.24 68,667 BUREAU VERITAS 1,597,194 0.27 188,334 EDP RENOVAVEIS 1,977,507 0.33 59,087 COMPAGNIE DE SAINT-GOBAIN SA 2,156,676 0.36 72,793 INDITEX 2,289,340 0.38 16,656 EIFFAGE 1,698,912 0.28 44,595 MASMOVIL IBERCOM SA 907,062 0.15 21,911 INGENICO GROUP SA 2,120,985 0.35 104,324 SIEMENS GAMESA RENEWABLE ENERGY SA 1,631,106 0.27 3,010 KERING 1,761,452 0.29 5,338 LVMH MOET HENNESSY LOUIS VUITTON SE 2,210,999 0.37 Sweden 1,933,052 0.32 11,377 SAFRAN 1,566,044 0.26 106,636 HENNES & MAURITZ AB-B SHS 1,933,052 0.32 7,793 TELEPERFORMANCE SE 1,694,198 0.28 15,911 VINCI SA 1,575,189 0.26 Switzerland 1,872,717 0.31 Germany 20,802,938 3.46 87,105 ABB LTD-NOM 1,872,717 0.31
34,865 COVESTRO AG 1,445,154 0.24 United Kingdom 12,186,998 2.03 31,669 DELIVERY HERO AG 2,234,565 0.37 280,638 BARRATT DEVELOPMENTS 2,472,701 0.41 35,643 DEUTSCHE WOHNEN AG REIT 1,298,118 0.22 687,993 CAIRN ENERGY 1,664,466 0.28 65,276 EVONIK INDUSTRIES AG 1,776,160 0.30 26,949 NEXT PLC 2,231,995 0.37 159,810 INFINEON TECHNOLOGIES AG-NOM 3,245,741 0.54 78,125 PERSIMMON PLC 2,484,768 0.41 28,432 LANXESS 1,700,802 0.28 635,366 SAINSBURY(J) 1,723,853 0.29 10,179 LEG IMMOBILIEN REIT 1,074,393 0.18 33,457 SENSATA TECHNOLOGIES HOLDING PLC 1,609,215 0.27 20,336 SIEMENS AG-NOM 2,369,957 0.39 62,810 TAG IMMOBBILIEN AG 1,391,870 0.23 United States of America 30,940,771 5.14 12,524 VOLKSWAGEN AG PFD 2,209,234 0.37 18,440 AMETEK 1,637,176 0.27 42,853 VONOVIA SE NAMEN AKT REIT 2,056,944 0.34 6,673 APPLE INC 1,736,110 0.29 68,920 BANK OF AMERICA CORP 2,153,804 0.36 7,511 BROADCOM INC 2,106,961 0.35
The accompanying notes form an integral part of these financial statements
37 PI Investment Funds - Optimiser
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 12,194 DANAHER CORP 1,656,103 0.28 Czech Republic 288,804 0.05 35,604 DOW INC 1,725,486 0.29 15,715 FORTINET 1,491,280 0.25 290,000 CEZ AS 0.875% 02/12/2026 288,804 0.05 33,722 INTEL CORP 1,795,903 0.30 Denmark 1,930,849 0.32 12,145 IPG PHOTONICS 1,562,891 0.26 120,823 KEYCORP 2,179,120 0.36 300,000 DANSKE BANK AS VAR 12/02/2030 299,349 0.05 38,385 MICRON TECHNOLOGY INC 1,827,092 0.30 530,000 DANSKE BANK AS VAR 27/08/2025 524,265 0.09 44,108 NEWMONT GOLDCORP CORP 1,706,950 0.28 420,000 ISS GLOBAL A/S 0.875% 18/06/2026 417,619 0.07 10,883 NVIDIA CORP 2,267,735 0.37 700,000 NYKREDIT REALKREDIT AS 0.125% 10/07/2024 689,616 0.11 9,696 ROCKWELL AUTOMATION INC 1,755,559 0.29 Egypt 1,310,022 0.22 7,671 SVB FINANCIAL GROUP 1,717,757 0.29 650,000 EGYPT 5.625% REGS 16/04/2030 669,006 0.11 24,929 TYSON FOODS -A- 2,010,976 0.33 600,000 EGYPT 6.375% REGS 11/04/2031 641,016 0.11 7,077 ZEBRA TECH -A- 1,609,868 0.27 Finland 2,322,885 0.39 Bonds 276,979,461 46.03 Australia 4,906,740 0.82 540,000 NORDEA BANK ABP VAR REGS PERPETUAL 527,035 0.09 1,300,000 OP CORPORATE BANK PLC 0.625% 12/11/2029 1,272,570 0.21 5,310,000 AUSTRALIA 3.00% 21/03/2047 4,027,616 0.67 530,000 TVO POWER CO 1.125% 09/03/2026 523,280 0.09 890,000 VICINITY CENTRES 1.125% 07/11/2029 879,124 0.15 France 14,988,611 2.49 Austria 7,804,936 1.30 700,000 BNP PARIBAS SA 0.125% 04/09/2026 679,959 0.11 3,400,000 AUSTRIA 2.10% 20/09/2117 5,388,609 0.90 500,000 CREDIT AGRICOLE SA 1.25% 02/10/2024 587,510 0.10 1,200,000 BAWAG PSK 0.375% 03/09/2027 1,138,416 0.19 800,000 ENGIE SA 0% 04/03/2027 782,640 0.13 300,000 OMV AG 0% 03/07/2025 297,554 0.05 1,400,000 ERAMET SA 5.875% 21/05/2025 1,388,100 0.24 400,000 RAIFFEISEN BANK INTERNATIONAL AG VAR 387,074 0.06 300,000 FFP 1.875% 30/10/2026 299,577 0.05 PERPETUAL 800,000 HSBC FRANCE 0.10% 03/09/2027 776,816 0.13 600,000 RAIFFEISEN BANK INTERNATIONAL AG 0.375% 593,283 0.10 25/09/2026 500,000 ICADE SANTE SAS 0.875% 04/11/2029 491,680 0.08 300,000 IN LA SA 1.125% 02/07/2029 304,790 0.05 Belgium 2,452,029 0.41 600,000 ORANGE SA VAR PERPETUAL EUR (ISIN 605,682 0.10 600,000 BELFIUS BANQUE SA/NV 0% 28/08/2026 582,390 0.10 FR0013447877) 400,000 BELFIUS BANQUE SA/NV 0.375% 13/02/2026 394,570 0.07 800,000 ORANGE SA 0% 04/09/2026 778,332 0.13 600,000 DE PERSGROEP NV 2.15% 28/06/2026 594,621 0.10 600,000 ORANGE SA 0.50% 04/09/2032 565,656 0.09 500,000 KBC GROUP SA/NV VAR 03/12/2029 492,718 0.08 500,000 ORANGE SA 1.375% 04/09/2049 456,343 0.08 400,000 SOLVAY SA 0.50% 06/09/2029 387,730 0.06 500,000 ORANGE SA 2.00% 15/01/2029 558,832 0.09 500,000 PERNOD RICARD SA 0% 24/10/2023 499,678 0.08 British Virgin Islands 1,447,166 0.24 200,000 PERNOD RICARD SA 0.50% 24/10/2027 200,422 0.03 800,000 SINOPEC GROUP OVERSEAS DEVELOPMENT 716,444 0.12 200,000 PERNOD RICARD SA 0.875% 24/10/2031 200,631 0.03 2018 LTD 2.95% REGS 08/08/2029 500,000 PICARD GROUPE VAR REGS 30/11/2023 490,525 0.08 800,000 SINOPEC GROUP OVERSEAS DEVELOPMENT 730,722 0.12 500,000 RCI BANQUE SA FRN 12/03/2025 483,413 0.08 2018 LTD 3.68% REGS 08/08/2049 470,000 RCI BANQUE SA 0.25% 08/03/2023 466,527 0.08 Canada 11,727,098 1.95 800,000 RENAULT SA 1.125% 04/10/2027 768,068 0.13 600,000 RENAULT SA 1.25% 24/06/2025 599,406 0.10 12,450,000 CANADA 2.25% 01/03/2024 8,750,068 1.46 600,000 RTE RESEAU DE TRANSPORT 0% 09/09/2027 583,407 0.10 3,000,000 CANADA 2.75% 01/12/2048 2,530,482 0.42 400,000 RTE RESEAU DE TRANSPORT 1.125% 09/09/2049 379,244 0.06 500,000 FIRST QUANTUM MINERALS LTD 6.50% REGS 446,548 0.07 200,000 SOCIETE GENERALE SA VAR REGS PERPETUAL 188,508 0.03 01/03/2024 USD (ISIN USF43628C734) Cayman Islands 1,559,344 0.26 900,000 SOCIETE GENERALE SA 1.875% 03/10/2024 1,071,321 0.18 400,000 TOTAL CAPITAL INTERNATIONAL SA 3.455% 385,366 0.06 400,000 CK HUTCHISON INTERNATIONAL LTD 2.75% 348,649 0.06 19/02/2029 REGS 06/09/2029 400,000 UNIBAIL-RODAMCO-WESTFIELD 1.75% 396,178 0.07 920,000 LATAM FINANCE LTD 7.00% REGS 01/03/2026 891,313 0.15 01/07/2049 300,000 UPCB FINANCE VII LTD 3.625% REGS 15/06/2029 319,382 0.05 Germany 9,410,294 1.56 China 1,799,594 0.30 500,000 ADLER PELZER HOLDING GMBH 4.125% REGS 462,740 0.08 1,840,000 CHINA 0.50% 12/11/2031 1,799,594 0.30 01/04/2024 400,000 COMMERZBANK AG 0.25% 16/09/2024 393,078 0.07
The accompanying notes form an integral part of these financial statements
38 PI Investment Funds - Optimiser
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 500,000 DAIMLER AG 0.375% 08/11/2026 493,993 0.08 300,000 IMMOBILIARE GRANDE DISTRIBUZIONE 303,539 0.05 750,000 DAIMLER AG 0.75% 08/02/2030 731,258 0.12 SOCIETE 2.125% 28/11/2024 950,000 DAIMLER AG 1.125% 08/08/2034 921,605 0.14 500,000 INTER MEDIA AND COMMUNICATION S.P.A 496,648 0.08 800,000 DEUTSCHE PFANDBRIEFBANK AG 1.75% 949,312 0.15 4.875% REGS 31/12/2022 21/11/2022 1,000,000 INTESA SANPAOLO SPA VAR PERPETUAL EUR 1,057,860 0.18 850,000 DEUTSCHE TELEKOM AG 1.75% 09/12/2049 812,995 0.14 (ISIN XS1346815787) 300,000 INTESA SANPAOLO SPA 4.70% 23/09/2049 275,088 0.05 410,000 E.ON SE 0.625% 07/11/2031 396,021 0.07 14,902,000 ITALY BTP 2.80% 01/03/2067 15,544,722 2.58 400,000 HENKEL AG & CO KGAA 1.25% 30/09/2026 468,123 0.08 10,780,000 ITALY BTP 3.85% 01/09/2049 13,955,249 2.32 800,000 HOCHTIEF AG 1.25% 03/09/2031 790,532 0.13 1,500,000 ITALY BTPI 0.10% 15/05/2023 1,569,833 0.26 300,000 INFINEON TECHNOLOGIE VAR PERPETUAL EUR 310,182 0.05 (ISIN XS2056730323) 3,140,000 ITALY BTPI 0.40% 15/05/2030 3,127,020 0.52 400,000 INFINEON TECHNOLOGIE VAR PERPETUAL EUR 419,102 0.07 424,000 KEDRION SPA 3.00% 12/07/2022 404,801 0.07 (ISIN XS2056730679) 321,000 LIMACORPORATE SPA VAR REGS 15/08/2023 322,562 0.05 300,000 THYSSENKRUPP AG 2.875% 22/02/2024 309,624 0.05 300,000 OFFICINE MACCAFERRI SPA 5.75% REGS 105,324 0.02 530,000 UNICREDIT BK AG VAR PERPETUAL 619,946 0.10 01/06/2021 600,000 VIER GAS TRANSPORT GMBH 0.125% 10/09/2029 576,003 0.10 600,000 PRO GEST SPA 3.25% REGS 15/12/2024 351,858 0.06 800,000 VIER GAS TRANSPORT GMBH 0.50% 10/09/2034 755,780 0.13 167,000 RADIOTELEVISIONE ITALIANA SPA 1.375% 167,772 0.03 04/12/2024 Hungary 800,701 0.13 1,190,000 SGA SPA 1.375% 27/01/2025 1,180,735 0.20 780,000 OTP BANK PLC VAR 15/07/2029 800,701 0.13 900,000 SGA SPA 2.625% 13/02/2024 937,741 0.16 500,000 TEAMSYSTEM SPA VAR REGS 15/04/2023 503,188 0.08 Iceland 601,515 0.10 1,200,000 UNICREDIT SPA VAR PERPETUAL EUR (ISIN 1,285,602 0.21 600,000 ICELAND 0.10% 20/06/2024 601,515 0.10 XS1107890847) 620,000 UNICREDIT SPA VAR 03/07/2025 635,621 0.11 Indonesia 2,030,075 0.34 300,000 UNICREDIT SPA VAR 31/08/2024 292,571 0.05 940,000 INDONESIA 1.40% 30/10/2031 934,172 0.16 600,000 UNIONE DI BANCHE ITALIAN VAR 12/07/2029 624,762 0.10 1,100,000 PERUSAHAAN LISTRIK NEGARA 1.875% REGS 1,095,903 0.18 500,000 UNIONE DI BANCHE ITALIAN 1.50% 10/04/2024 511,328 0.08 05/11/2031 500,000 UNIONE DI BANCHE ITALIAN 1.625% 21/04/2025 496,823 0.08 300,000 UNIPOLSAI SPA FRN 15/06/2021 300,960 0.05 Ireland 1,285,830 0.21 Ivory Coast 1,774,708 0.29 1,200,000 CBOM FINANCE PLC 5.15% REGS 20/02/2024 1,285,830 0.21 600,000 REPUBLIC OF COTE D IVOIRE 5.875% REGS 622,986 0.10 Isle of Man 392,089 0.07 17/10/2031 370,000 PLAYTECH PLC 4.25% 07/03/2026 392,089 0.07 1,100,000 REPUBLIC OF COTE D IVOIRE 6.875% REGS 1,151,722 0.19 17/10/2040 Israel 720,034 0.12 Japan 26,937,068 4.48 660,000 ISRAEL 1.50% 16/01/2029 720,034 0.12 330,000,000 JAPAN JGB 0.10% 20/09/2029 2,736,869 0.45 Italy 53,094,850 8.81 1,207,000,000 JAPAN JGB 0.40% 20/06/2049 9,878,856 1.65 390,000 ACQUIRENTE UNICO SPA 2.80% 20/02/2026 421,736 0.07 330,000,000 JAPAN JGB 0.50% 20/12/2038 2,823,732 0.47 500,000 ANIMA HOLDINGS SPA 1.75% 23/10/2026 494,523 0.08 1,100,000,000 JAPAN JGBI 0.10% 10/03/2027 9,445,061 1.57 400,000 ANSALDO ENERGIA S.P.A 2.75% 31/05/2024 349,984 0.06 800,000 MIZUHO FINANCIAL GROUP INC 0.118% 792,620 0.13 800,000 ATLANTIA S.P.A 1.875% 13/07/2027 749,048 0.12 06/09/2024 500,000 AUTOSTRADE PER ITALIA SPA 1.625% 12/06/2023 485,238 0.08 540,000 MIZUHO FINANCIAL GROUP INC 0.523% 545,027 0.09 10/06/2024 900,000 AZIMUT HOLDING SPA 1.625% 12/12/2024 897,835 0.15 800,000 SUMITOMO MITSUI FINANCIAL CORP INC 2.448% 714,903 0.12 1,300,000 BANCA DEL MEZZOGIORNO-MEDIOCREDITO 1,290,022 0.21 27/09/2024 CENTRALE S.P.A 1.50% 24/10/2024 820,000 BANCO BPM SPA 1.75% 28/01/2025 818,122 0.14 Jersey 1,091,149 0.18 800,000 BORMIOLI PHARMA BIDCO S P A VAR REGS 724,524 0.12 400,000 EURO DM SECURITIES 0% 08/04/2021 205,376 0.03 15/11/2024 350,000 EURO DM SECURITIES 0% 08/04/2026 176,493 0.03 395,000 CMC RAVENNA 0% REGS 01/08/2022 9,670 0.00 600,000 TVL FINANCE PLC FRN REGS 15/07/2025 709,280 0.12 500,000 CMC RAVENNA 0% REGS 15/02/2023 14,768 0.00 200,000 ENEL - ENTE NAZIONALE PER L’ENERGIA 209,800 0.03 Luxembourg 5,523,095 0.92 ELETTRICA VAR 24/09/2073 900,000 ANACAP FINANCIAL EUROPE S.A SICAV-RAIF 802,215 0.14 200,000 EVOCA SPA FRN REGS 01/11/2026 202,364 0.03 VAR REGS 30/07/2024 580,000 FCA BANK SPA 0.50% 13/09/2024 578,318 0.10 300,000 ARCELORMITTAL SA 1.00% 19/05/2023 302,466 0.05 1,400,000 ICCREA BANCA SPA VAR 28/11/2029 1,397,291 0.23
The accompanying notes form an integral part of these financial statements
39 PI Investment Funds - Optimiser
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 300,000 ARCELORMITTAL SA 1.75% 19/11/2025 304,653 0.05 300,000 UPC HOLDINGS BV 3.875% REGS 15/06/2029 314,795 0.05 260,000 ARD FINANCE SA 6.50% REGS 30/06/2027 239,443 0.04 600,000 VONOVIA FINANCE B.V 0.50% 14/09/2029 573,078 0.10 480,000 CNH INDUSTRIAL FINANCE EUROPE S A 1.625% 490,097 0.08 300,000 VONOVIA FINANCE B.V 0.625% 07/10/2027 295,014 0.05 03/07/2029 700,000 WINTERSHALL DEA FINANCE 0.452% 25/09/2023 702,072 0.12 350,000 CNH INDUSTRIAL FINANCE EUROPE S A 1.75% 364,278 0.06 25/03/2027 New Zealand 31,263,595 5.20 400,000 CPI PROPERTY GROUP S.A. 1.625% 23/04/2027 394,642 0.07 32,850,000 NEW ZEALAND 2.75% 15/04/2025 21,140,782 3.52 430,000 DH EUROPE FINANCE SA 0.20% 18/03/2026 425,212 0.07 15,100,000 NEW ZEALAND 3.00% 20/04/2029 10,122,813 1.68 270,000 DH EUROPE FINANCE SA 0.45% 18/03/2028 267,135 0.04 300,000 EUROFINS SCIENTIFIC BONDS VAR PERPETUAL 294,419 0.05 Norway 499,550 0.08 600,000 GARFUNKELUX HOLDCO 3 SA VAR REGS 534,126 0.09 500,000 TELENOR ASA 0% 25/09/2023 499,550 0.08 01/09/2023 700,000 KLEOPATRA HOLDINGS 8.50% REGS 30/06/2023 378,116 0.06 Portugal 893,682 0.15 300,000 TLG FINANCE SARL VAR PERPETUAL 316,995 0.05 900,000 TAP TRANSPORTIES AEREOS PORTUGUESES 893,682 0.15 400,000 VIVION INVESTMENTS SARL 3.00% 08/08/2024 409,298 0.07 SGPS SA 5.625% REGS 02/12/2024 Malta 409,089 0.07 Romania 921,384 0.15
600,000 EVAN GROUP PLC 6.00% 31/07/2022 409,089 0.07 900,000 ROMANIA 2.124% REGS 16/07/2031 921,384 0.15 Mauritius 543,859 0.09 Saudi Arabia 4,744,410 0.79
600,000 AZURE POWER SOLAR ENERGY PRIVATE 543,859 0.09 2,000,000 SAUDI ARABIAN OIL COMPANY 3.50% REGS 1,845,033 0.30 LIMITED 5.65% REGS 24/12/2024 16/04/2029 1,800,000 SAUDI ARABIAN OIL COMPANY 4.25% REGS 1,725,675 0.29 Mexico 2,792,269 0.46 16/04/2039 750,000 ALPHA HOLDINGS SA DE CV 10.00% REGS 684,020 0.11 1,200,000 SAUDI ARABIAN OIL COMPANY 4.375% REGS 1,173,702 0.20 19/12/2022 16/04/2049 1,150,000 CREDITO REAL SAB DE CV SOFOM ER 5.00% 1,211,157 0.20 Serbia 785,288 0.13 REGS 01/02/2027 860,000 MEXICO 1.625% 08/04/2026 897,092 0.15 770,000 SERBIA 1.50% REGS 26/06/2029 785,288 0.13 Netherlands 14,088,423 2.34 Singapore 509,200 0.08
730,000 COCO COLA HBC FINANCE BV 0.625% 21/11/2029 715,017 0.12 590,000 PSA TREASURY PTE LTD 2.125% 05/09/2029 509,200 0.08 200,000 COOPERATIEVE RABOBANK UA VAR 204,929 0.03 South Africa 2,414,127 0.40 PERPETUAL EUR (ISIN XS1171914515) 1,000,000 COOPERATIEVE RABOBANK UA 0% 28/10/2026 485,267 0.08 1,250,000 SOUTH AFRICA 4.85% 30/09/2029 1,113,463 0.19 750,000 DAIMLER INTL FINANCE BV 1.375% 26/06/2026 788,140 0.13 1,500,000 SOUTH AFRICA 5.75% 30/09/2049 1,300,664 0.21 900,000 DAIMLER INTL FINANCE BV 1.625% 11/11/2024 1,055,968 0.18 Spain 5,948,753 0.99 600,000 EXOR N.V 1.75% 14/10/2034 599,394 0.10 500,000 HEMA BONDCO I B.V. VAR REGS 15/07/2022 404,265 0.07 700,000 ABERTIS INFRAESTRUCTURAS SA 1.125% 682,888 0.11 300,000 HEMA BONDCO II BV 8.50% REGS 15/01/2023 135,969 0.02 26/03/2028 300,000 MONDELEZ INTERNATIONAL HOLDINGS 298,757 0.05 1,000,000 ABERTIS INFRAESTRUCTURAS SA 1.875% 982,535 0.17 NETHERLANDS BV 0.875% REGS 01/10/2031 26/03/2032 4,400,000 NETHERLANDS 0.75% 15/07/2028 4,737,150 0.78 600,000 BANCO DE SABADELL SA VAR PERPETUAL EUR 627,678 0.10 (ISIN XS1611858090) 490,000 NOSTRUM OIL&GAS FIN BV 7.00% REGS 205,167 0.03 400,000 BANCO DE SABADELL SA VAR PERPETUAL EUR 413,412 0.07 16/02/2025 (ISIN XS1720572848) 500,000 PROMONTORIA HOLDING 264 BV 6.75% REGS 449,625 0.07 600,000 BANCO DE SABADELL SA VAR 07/11/2025 595,587 0.10 15/08/2023 300,000 REPSOL INTERNATIONAL FINANCE BV 0.25% 294,357 0.05 200,000 BANCO SANTANDER SA VAR PERPETUAL EUR 213,205 0.04 02/08/2027 (ISIN XS1107291541) 450,000 SAMVARDHANA MOTHERSON AUTOMOTIVE 441,027 0.07 400,000 BANCO SANTANDER SA VAR PERPETUAL EUR 441,908 0.07 SYSTEMS GROUP BV 1.80% REGS 06/07/2024 (ISIN XS1602466424) 300,000 SCHLUMBERGER FINANCE BV 0.25% 15/10/2027 297,659 0.05 400,000 CAIXABANK S.A VAR PERPETUAL EUR (ISIN 409,576 0.07 ES0840609012) 100,000 SCHLUMBERGER FINANCE BV 0.50% 15/10/2031 97,941 0.02 480,000 FCC MEDIO AMBIENTE SA 0.815% 04/12/2023 481,740 0.08 300,000 SELECTA GROUP B.V. 5.875% REGS 01/02/2024 308,655 0.05 300,000 INTERNATIONAL CONSOLIDATED AIRLINES 299,768 0.05 290,000 SIEMENS FINANCIERINGSMAATSCHAPPIJ NV 275,673 0.05 GROUP SA 0.50% 04/07/2023 0.50% 05/09/2034 300,000 INTERNATIONAL CONSOLIDATED AIRLINES 299,549 0.05 400,000 TELEFONICA EUROPE BV VAR PERPETUAL EUR 408,504 0.07 GROUP SA 1.50% 04/07/2027 (ISIN XS2056371334)
The accompanying notes form an integral part of these financial statements
40 PI Investment Funds - Optimiser
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 500,000 SANTANDER CONSUMER FINANCE S.A 0.375% 500,907 0.08 United States of America 37,847,883 6.29 27/06/2024 Sri Lanka 1,238,754 0.21 400,000 ALTRIA GROUP INC 3.125% 15/06/2031 447,164 0.07 670,000 AT&T INC 0.25% 04/03/2026 656,218 0.11 600,000 SRI LANKA 6.35% REGS 28/06/2024 531,718 0.09 440,000 DIGITAL EURO 1.125% 09/04/2028 433,316 0.07 800,000 SRI LANKA 7.55% REGS 28/03/2030 707,036 0.12 500,000 DTE ENERGY CO 2.25% 01/11/2022 445,924 0.07 Sweden 4,311,749 0.72 600,000 DTE ENERGY CO 2.95% 01/03/2030 530,355 0.09 240,000 FIDELITY NATIONAL INFORMATION SERVICES 241,717 0.04 920,000 HEIMSTADEN BOSTAD AB VAR PERPETUAL 924,048 0.15 INC 0.625% 03/12/2025 1,040,000 INTRUM JUSTITIA AB 3.00% REGS 15/09/2027 1,022,954 0.17 280,000 FIDELITY NATIONAL INFORMATION SERVICES 281,162 0.05 230,000 MOLNLYCKE HOLDING AB 0.875% 05/09/2029 223,496 0.04 INC 1.00% 03/12/2028 200,000 SKANDINAVISKA ENSKILDA BANKEN AB VAR 180,045 0.03 400,000 FORD MOTOR CREDIT CO LLC FRN 14/05/2021 397,512 0.07 PERPETUAL 332,000 FORD MOTOR CREDIT CO LLC VAR 01/12/2021 326,217 0.05 1,300,000 SKANDINAVISKA ENSKILDA 0.625% 12/11/2029 1,281,208 0.22 394,000 FORD MOTOR CREDIT CO LLC VAR 07/12/2022 381,122 0.06 700,000 SVENSKA HANDELSBANKEN AB 0.05% 679,998 0.11 860,000 FORD MOTOR CREDIT CO LLC 2.386% 17/02/2026 874,143 0.15 03/09/2026 542,000 GENERAL MOTORS FINANCIAL CO FRN 539,767 0.09 Switzerland 438,496 0.07 26/03/2022 500,000 GENERAL MOTORS FINANCIAL CO 0.20% 497,023 0.08 450,000 UBS GROUP FUNDING SWITZERLAND INC VAR 438,496 0.07 02/09/2022 REGS PERPETUAL 800,000 GENERAL MOTORS FINANCIAL CO 2.35% 934,122 0.16 Tunisia 620,718 0.10 03/09/2025 400,000 HIGHWOODS REALTY LTD PARTNERSHIP 3.05% 350,090 0.06 600,000 BANQUE CENTRALE DE TUNISIE 6.75% REGS 620,718 0.10 15/02/2030 31/10/2023 500,000 INTERNATIONAL BANK FOR RECONSTRUCTION 252,394 0.04 Ukraine 759,576 0.13 & DEVELOPMENT IBRD 0% 10/03/2025 1,000,000 INTERNATIONAL BANK FOR RECONSTRUCTION 508,418 0.08 800,000 UKRAINE 7.375% REGS 25/09/2032 759,576 0.13 & DEVELOPMENT IBRD 0% 28/10/2024 800,000 METROPOLITAN LIFE GLOBAL FUNDING I 1.625% 935,136 0.16 United Arab Emirates 711,804 0.12 21/09/2029 800,000 NBK TIER 1 FINANCING VAR REGS PERPETUAL 711,804 0.12 500,000 PHILLIP MORRIS INTERNATIONAL INC 0.125% 485,413 0.08 03/08/2026 United Kingdom 8,541,264 1.42 500,000 PHILLIP MORRIS INTERNATIONAL INC 0.80% 474,055 0.08 200,000 BOPARAN FINANCE PLC 5.50% REGS 15/07/2021 172,710 0.03 01/08/2031 380,000 INFORMA PLC 1.25% 22/04/2028 374,994 0.06 500,000 PHILLIP MORRIS INTERNATIONAL INC 1.45% 462,210 0.08 01/08/2039 503,000 JAGUAR LAND ROVER PLC 4.50% REGS 393,774 0.07 260,000 PHILLIPS 66 PARTNERS LP 3.15% 15/12/2029 230,419 0.04 01/10/2027 360,000 LEGAL & GENERAL GROUP VAR 26/11/2049 431,025 0.07 500,000 PROLOGIS EURO FINANCE 0.25% 10/09/2027 489,345 0.08 200,000 LLOYDS BANK GR PLC VAR PERPETUAL 428,315 0.07 500,000 PROLOGIS EURO FINANCE 0.625% 10/09/2031 483,510 0.08 300,000 LSE GROUP 1.75% 06/12/2027 322,811 0.05 700,000 PROLOGIS EURO FINANCE 1.50% 10/09/2049 634,256 0.11 700,000 LSE GROUP 1.75% 19/09/2029 751,328 0.12 380,000 THE WALT DISNEY COMPANY 2.00% 01/09/2029 329,087 0.05 250,000 MARKS AND SPENCER PLC 3.25% 10/07/2027 293,584 0.05 380,000 THERMO FISHER SCIENTIFIC INC 0.50% 376,033 0.06 01/03/2028 320,000 NATIONWIDE BUILDING SOCIETY VAR 408,898 0.07 380,000 THERMO FISHER SCIENTIFIC INC 0.875% 374,178 0.06 PERPETUAL 01/10/2031 200,000 PREMIER FOODS FLNANCE PLC FRN REGS 236,771 0.04 650,000 THERMO FISHER SCIENTIFIC INC 1.50% 616,096 0.10 15/07/2022 01/10/2039 600,000 PRUDENTIAL PLC VAR 20/07/2055 792,639 0.13 650,000 THERMO FISHER SCIENTIFIC INC 1.875% 604,068 0.10 240,000 RAC BOND CO 5.00% REGS 06/11/2022 253,522 0.04 01/10/2049 500,000 ROTHESAY LIFE PLC 3.375% 12/07/2026 596,778 0.10 10,000,000 USA T-BONDSI 0.50% 15/04/2024 9,242,827 1.54 200,000 ROYAL BANK OF SCOTLAND GROUP PLC VAR 182,405 0.03 10,000,000 USA T-BONDSI 0.625% 15/01/2024 10,040,157 1.67 01/11/2029 400,000 VERIZON COMMUNICATIONS INC 0.875% 411,084 0.07 680,000 ROYAL BANK OF SCOTLAND GROUP PLC VAR 680,350 0.11 08/04/2027 15/11/2025 800,000 VERIZON COMMUNICATIONS INC 1.50% 785,416 0.13 500,000 SHAWBROOK GROUP PLC VAR PERPETUAL 592,084 0.10 19/09/2039 330,000 STANDARD CHARTERED PLC 0.90% 02/07/2027 334,410 0.06 600,000 VERIZON COMMUNICATIONS INC 1.875% 694,973 0.12 350,000 TRAVELEX FINANCING PLC 8.00% REGS 359,499 0.06 19/09/2030 15/05/2022 1,400,000 VISTRA OPERATIONS COMPANY LLC 3.70% 1,244,098 0.21 700,000 VIRGIN MONEY UK PLC VAR PERPETUAL 935,367 0.16 REGS 30/01/2027
The accompanying notes form an integral part of these financial statements
41 PI Investment Funds - Optimiser
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 640,000 WELLS FARGO & CO VAR 30/10/2025 569,800 0.09 Luxembourg 23,092,383 3.84 300,000 WELLS FARGO & CO VAR 30/10/2030 269,058 0.04 53,955 MULTI UNITS LUXEMBOURG - LYXOR MSCI 2,624,101 0.44 Viet Nam 496,102 0.08 RUSSIA UCITS ETF 550,000 VIETNAM PROSPER JOINT STOCK COMMERCIAL 496,102 0.08 1,299,161 MULTI UNITS LUXEMBOURG LYXOR 20,468,282 3.40 BANK 6.25% 17/07/2022 COMMODITIES THOMSON REUTERS - CORE COMMDTY CRB TR UCITS ETF CAP Convertible bonds 1,353,071 0.22 Italy 401,472 0.06 Derivative instruments 33,783,521 5.61
400,000 TELECOM ITALIA SPA CV 1.125% 26/03/2022 401,472 0.06 Options 33,783,521 5.61 France 59,660 0.01 Mexico 399,508 0.07 157 CAC 40 - 5,700 - 17.01.20 PUT 18,856 0.00 400,000 AMERICA MOVIL SAB DE CV 0% 28/05/2020 CV 399,508 0.07 157 CAC 40 - 6,050 - 17.01.20 CALL 40,804 0.01 Spain 202,367 0.03 Germany 2,070,330 0.34 200,000 INTERNATIONAL CONSOLIDATED AIRLINES 202,367 0.03 GROUP SA 0.625% 17/11/2022 CV 187 DAX INDEX - 12,900 - 17.01.20 PUT 44,974 0.01 187 DAX INDEX - 13,600 - 21.02.20 CALL 93,593 0.02 United Kingdom 349,724 0.06 385 DJ EURO STOXX 50 EUR - 2,600 - 18.12.20 PUT 110,880 0.02 300,000 VODAFONE GROUP PLC 0% 26/11/2020 CV 349,724 0.06 269 DJ EURO STOXX 50 EUR - 2,750 - 18.12.20 PUT 105,717 0.02 337 DJ EURO STOXX 50 EUR - 3,500 - 20.03.20 PUT 114,580 0.02 Warrants, Rights 27,595,370 4.59 337 DJ EURO STOXX 50 EUR - 3,500 - 21.02.20 PUT 66,726 0.01 Ireland 27,595,370 4.59 337 DJ EURO STOXX 50 EUR - 3,525 - 17.01.20 PUT 16,176 0.00 509,751 AMUNDI PHYSICAL GOLD ETC 27,595,370 4.59 670 DJ EURO STOXX 50 EUR - 3,625 - 21.02.20 PUT 256,610 0.04 664 DJ EURO STOXX 50 EUR - 3,675 - 21.02.20 PUT 335,320 0.05 Share/Units of UCITS/UCIS 79,462,251 13.21 504 DJ EURO STOXX 50 EUR - 3,775 - 17.01.20 CALL 97,776 0.02 Share/Units in investment funds 79,462,251 13.21 335 DJ EURO STOXX 50 EUR - 3,825 - 21.02.20 CALL 85,425 0.01 Ireland 13,200,365 2.19 332 DJ EURO STOXX 50 EUR - 3,875 - 21.02.20 CALL 41,168 0.01 338 DJ EURO STOXX 50 EUR - 3,950 - 19.06.20 CALL 74,022 0.01 161,747 INVESCO MARKETS PLC - INVESCO NASDAQ 5,539,025 0.92 44 EURO BTP FUTURE - 142.50 - 24.01.20 PUT 48,840 0.01 BIOTECH UICTS ETF 255 EURO BTP FUTURE - 143.00 - 24.01.20 PUT 349,350 0.05 30,191 INVESCO MARKETS PLC- INVESCO 1,192,040 0.20 MORNINGSTAR US ENERGY INFRASTRUCTURE 284 EURO STOXX 50 DIVID - 120 - 17.12.21 CALL 157,904 0.03 MLP UCITS ETF B USD 128 MSCI EM INDEX - 1,035 - 17.01.20 PUT 3,991 0.00 121,644 ISHARES MSCI BRAZIL UCITS ETF (DIST) 3,929,101 0.65 128 MSCI EM INDEX - 1,035 - 21.02.20 PUT 23,376 0.00 168,292 ISHARES MSCI TURKEY GERMCERTI (D) 2,540,199 0.42 128 MSCI EM INDEX - 1,030 - 20.03.20 PUT 43,902 0.01 Jersey 43,169,503 7.18 Italy 254,445 0.04
36,044 ETFS COMMODITY SECURITIES LTD ETC UBS 236,815 0.04 105 MINI FTSE / MIB INDEX - 22,500 - 20.03.20 PUT 106,575 0.02 ZINC 106 MINI FTSE / MIB INDEX - 23,000 - 20.03.20 PUT 147,870 0.02 194,981 ETFS METAL SECURITIES LTD 2,947,296 0.49 Japan 710,891 0.12 50,664 ETFS PHYSICAL GOLD 6,538,251 1.09 40,365 WISDOM TREE COMMODITY SECURITIES 266,207 0.04 48 NIKKEI 225 - 22,375 - 12.03.20 PUT 88,534 0.01 LIMITED - WISDOM TREE ZINC 48 NIKKEI 225 - 22,500 - 09.01.20 PUT 6,296 0.00 82,009 WISDOM TREE COMMODITY SECURITIES 1,893,696 0.31 48 NIKKEI 225 - 22,500 - 13.02.20 PUT 55,088 0.01 LIMITED ETF USD (ISIN GB00B15KXQ89) 32 NIKKEI 225 - 22,750 - 09.01.20 PUT 6,820 0.00 533,499 WISDOM TREE COMMODITY SECURITIES 4,278,686 0.71 64 NIKKEI 225 - 23,250 - 13.02.20 PUT 154,770 0.03 LIMITED ETF USD (ISIN GB00B15KXV33) 64 NIKKEI 225 - 23,500 - 09.01.20 PUT 76,073 0.01 72,113 WISDOM TREE COMMODITY SECURITIES 879,490 0.15 LIMITED ETF USD (ISIN GB00B15KY211) 64 NIKKEI 225 - 23,500 - 13.02.20 PUT 199,364 0.04 489,403 WISDOM TREE METAL SECURITIES LIMITED 7,354,748 1.22 48 NIKKEI 225 - 23,875 - 09.01.20 CALL 45,250 0.01 30,552 WISDOM TREE METAL SECURITIES LTD 4,932,549 0.82 32 NIKKEI 225 - 24,125 - 09.01.20 CALL 13,903 0.00 150,572 WISDOM TREE OIL SECURITIES CERTFICATE 4,319,304 0.72 32 NIKKEI 225 - 24,375 - 13.02.20 CALL 41,971 0.01 502,610 WISDOMTREE COMMODITY SECURITIES 1,250,368 0.21 32 NIKKEI 225 - 24,750 - 09.01.20 CALL 1,836 0.00 LIMITED ETF 32 NIKKEI 225 - 24,750 - 13.02.20 CALL 20,986 0.00 101,976 WISDOMTREE METAL SECURITIES LIMITED 8,272,093 1.38
The accompanying notes form an integral part of these financial statements
42 PI Investment Funds - Optimiser
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 30,200,000 FX OPTION - PUT AUD / CALL JPY - 70.00 - 264,303 0.04 Luxembourg 23,652,578 3.93 10.12.20 20,600,000 EXO FX OPTION - CALL EUR / PUT USD - 1.12 - 30,731 0.01 6,700,000 FX OPTION - PUT CHF / CALL MXN - 19.86 - 86,552 0.01 05.06.20 08.04.20 6,800,000 EXO FX OPTION - CALL USD / PUT CLP - 805.00 - 0.00945 3,300,000 FX OPTION - PUT CHF / CALL TRY - 6.35 - 85,067 0.01 13.01.20 04.09.20 7,225,000 EXO FX OPTION - CALL USD / PUT JPY - 120.00 - 0.00277 12,400,000 FX OPTION - PUT EUR / CALL CAD - 1.50 - 289,951 0.05 27.04.20 28.10.20 6,100,000 EXO FX OPTION - PUT EUR / CALL PLN - 4.30 - 3,320 0.00 6,200,000 FX OPTION - PUT EUR / CALL CAD - 1.55 - 257,062 0.04 22.01.20 02.11.21 6,000,000 EXO FX OPTION - PUT EUR / CALL TRY - 6.70 - 41,485 0.01 6,050,000 FX OPTION - PUT EUR / CALL INR - 82.00 - 120,865 0.02 07.01.20 09.04.20 30,200,000 FX OPTION - CALL AUD / PUT JPY - 79.00 - 249,667 0.04 25,200,000 FX OPTION - PUT EUR / CALL JPY - 120.00 - 474,305 0.08 10.12.20 16.12.20 14,950,000 FX OPTION - CALL AUD / PUT USD - 0.69 - 149,503 0.02 12,100,000 FX OPTION - PUT EUR / CALL NOK - 10.50 - 652,365 0.11 23.01.20 22.10.20 3,300,000 FX OPTION - CALL CHF / PUT TRY - 7.80 - 61,967 0.01 3,000,000 FX OPTION - PUT EUR / CALL TRY - 7.25 - 154,939 0.03 04.09.20 09.10.20 12,250,000 FX OPTION - CALL EUR / PUT CZK - 25.75 - 24,182 0.00 6,000,000 FX OPTION - PUT EUR / CALL USD - 1.17 - 250,981 0.04 18.02.20 20.02.20 12,500,000 FX OPTION - CALL EUR / PUT HUF - 335.00 - 37,493 0.01 6,000,000 FX OPTION - PUT EUR / CALL USD - 1.175 - 274,958 0.05 10.02.20 27.02.20 25,200,000 FX OPTION - CALL EUR / PUT JPY - 125.00 - 391,425 0.07 5,900,000 FX OPTION - PUT EUR / CALL USD - 1.18 - 289,051 0.05 16.12.20 23.03.20 3,000,000 FX OPTION - CALL EUR / PUT TRY - 11.00 - 13,209 0.00 31,500,000 FX OPTION - PUT NOK / CALL JPY - 11.80 - 2,984 0.00 09.10.20 30.01.20 13,700,000 FX OPTION - CALL EUR / PUT USD - 1.12 - 264,017 0.04 6,900,000 FX OPTION - PUT USD / CALL INR - 74.00 - 135,048 0.02 05.06.20 02.11.20 13,700,000 FX OPTION - CALL EUR / PUT USD - 1.15 - 105,742 0.02 13,700,000 FX OPTION - PUT USD / CALL JPY - 103.00 - 37,778 0.01 05.06.20 11.05.20 5,500,000 FX OPTION - CALL GBP / PUT USD - 1.30 - 81,636 0.01 13,300,000 FX OPTION - PUT USD / CALL JPY - 106.00 - 13,694 0.00 17.01.20 05.02.20 31,500,000 FX OPTION - CALL NOK / PUT JPY - 12.00 - 92,502 0.02 50,000,000 PUT CDX OPTION - CDX NA HY 33 INDEX - 108.50 172,554 0.03 30.01.20 - 19.02.20 10,550,000 FX OPTION - CALL NZD / PUT USD - 0.65 - 221,371 0.04 30,000,000 PUT CDX OPTION - ITRAXX EUROPE 5,430 0.00 23.01.20 CROSSOVER SERIES 32 INDEX - 250.00 - 10,150,000 FX OPTION - CALL USD / PUT CHF - 0.98 - 30,788 0.01 15.01.20 17.03.20 60,000,000 PUT CDX OPTION - ITRAXX EUROPE SERIES 32 6,907 0.00 13,300,000 FX OPTION - CALL USD / PUT CNH - 7.15 - 29,741 0.00 INDEX - 50.00 - 15.01.20 13.03.20 62,500,000 SWAP OPTION - PAY BBSW 6M / REC 2.900% - 1,295,381 0.22 27,000,000 FX OPTION - CALL USD / PUT HKD - 7.85 - 9,692 0.00 25.07.22 12.02.20 395,000,000 SWAP OPTION - PAY JIBAR 3M / REC 7.100% - 317,843 0.05 6,700,000 FX OPTION - CALL USD / PUT JPY - 100.00 - 250,224 0.04 30.04.20 24.09.26 11,500,000,000 SWAP OPTION - PAY KIKRW 3M / REC 1.250% - 54,491 0.01 6,700,000 FX OPTION - CALL USD / PUT JPY - 104.00 - 184,269 0.03 10.11.20 07.10.26 23,000,000,000 SWAP OPTION - PAY KIKRW 3M / REC 1.250% - 106,989 0.02 6,700,000 FX OPTION - CALL USD / PUT JPY - 104.50 - 177,552 0.03 29.10.20 14.10.26 45,700,000 SWAP OPTION - PAY LIBOR 3M / REC 1.750% - 138,329 0.02 6,700,000 FX OPTION - CALL USD / PUT JPY - 105.00 - 171,774 0.03 01.05.20 24.09.26 48,000,000 SWAP OPTION - PAY LIBOR 3M / REC 1.750% - 143,909 0.02 6,700,000 FX OPTION - CALL USD / PUT JPY - 105.25 - 168,308 0.03 27.04.20 15.10.26 10,000,000 SWAP OPTION - PAY LIBOR 3M / REC 2.000% - 426,413 0.07 6,700,000 FX OPTION - CALL USD / PUT JPY - 98.00 - 291,275 0.05 05.12.29 14.10.26 2,010,000,000 SWAP OPTION - PAY LIBOR 6M / REC 0.500% - 503,513 0.08 6,700,000 FX OPTION - CALL USD / PUT JPY - 98.50 - 279,976 0.05 05.12.29 15.10.26 1,035,000,000 SWAP OPTION - PAY LIBOR 6M / REC 0.500% - 137,016 0.02 6,700,000 FX OPTION - CALL USD / PUT JPY - 99.00 - 269,694 0.04 13.11.28 07.10.26 365,000,000 SWAP OPTION - PAY STIBOR 3M / REC 2.060% - 886,518 0.15 27,000,000 FX OPTION - CALL USD / PUT TWD - 31.50 - 1,450 0.00 14.04.25 14.02.20
The accompanying notes form an integral part of these financial statements
43 PI Investment Funds - Optimiser
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 32,800,000 SWAP OPTION - PAY 0.000% / REC EURIBOR 6M - 435,411 0.07 2,100,000 SWAP OPTION - REC EURIBOR 6M / PAY 1.050% - 106,596 0.02 19.11.21 21.06.21 2,010,000,000 SWAP OPTION - PAY 0.500% / REC LIBOR 6M - 543,619 0.09 53,000,000 SWAP OPTION - REC EURIBOR 6M / PAY 2.000% - 1,495,952 0.25 05.12.29 12.04.28 2,800,000,000 SWAP OPTION - PAY 0.840% / REC LIBOR 6M - 140,824 0.02 12,500,000 SWAP OPTION - REC LIBOR 3M / PAY 3.000% - 1,016,255 0.17 12.04.28 26.10.28 10,000,000 SWAP OPTION - PAY 0.900% / REC EURIBOR 6M - 425,576 0.07 21,000,000 SWAP OPTION - REC LIBOR 3M / PAY 3.020% - 1,725,692 0.30 26.07.21 24.01.29 46,000,000 SWAP OPTION - PAY 1.250% / REC LIBOR 3M - 466,148 0.08 2,800,000,000 SWAP OPTION - REC LIBOR 6M / PAY 0.840% - 655,242 0.11 27.08.21 12.04.28 14,000,000 SWAP OPTION - PAY 1.400% / REC EURIBOR 6M - 809,941 0.13 Netherlands 79,794 0.01 08.02.39 46,500,000 SWAP OPTION - PAY 1.500% / REC LIBOR 3M - 220,302 0.04 124 AMSTERDAM EXCHANGES INDEX - 580 - 21.02.20 56,916 0.01 22.10.20 PUT 1,035,000,000 SWAP OPTION - PAY 1.500% / REC LIBOR 6M - 24,041 0.00 62 AMSTERDAM EXCHANGES INDEX - 620 - 21.02.20 22,878 0.00 13.11.28 CALL 1,900,000 SWAP OPTION - PAY 1.500% / REC LIBOR 6M - 234,949 0.04 South Korea 16,042 0.00 21.04.27 100,000,000 SWAP OPTION - PAY 1.750% / REC LIBOR 3M - 137,643 0.02 70 KOSPI 2000 - 270 - 12.03.20 PUT 16,042 0.00 19.06.20 53,000,000 SWAP OPTION - PAY 2.000% / REC EURIBOR 6M - 217,833 0.04 Spain 92,346 0.02 12.04.28 658 IBEX MINI INDEX FUT - 9,200 - 17.01.20 PUT 15,134 0.00 6,000,000 SWAP OPTION - PAY 2.000% / REC EURIBOR 6M - 294,593 0.05 388 IBEX MINI INDEX FUT - 9,200 - 21.02.20 PUT 32,204 0.02 23.02.33 388 IBEX MINI INDEX FUT - 9,300 - 17.01.20 PUT 14,356 0.00 28,000,000 SWAP OPTION - PAY 2.000% / REC EURIBOR 6M - 36,040 0.01 31.10.23 194 IBEX MINI INDEX FUT - 9,600 - 21.02.20 CALL 27,354 0.00 10,000,000 SWAP OPTION - PAY 2.000% / REC LIBOR 3M - 567,704 0.09 194 IBEX MINI INDEX FUT - 9,800 - 17.01.20 CALL 3,298 0.00 05.12.29 Sweden 120,423 0.02 365,000,000 SWAP OPTION - PAY 2.060% / REC STIBOR 3M - 81,837 0.01 14.04.25 301 OMX 30 - 1,600 - 18.06.20 PUT 79,491 0.01 205,000,000 SWAP OPTION - PAY 2.250% / REC LIBOR 6M - 0.00155 374 OMX 30 - 1,740 - 17.01.20 PUT 40,932 0.01 18.06.24 Switzerland 125,597 0.02 13,200,000 SWAP OPTION - PAY 2.500% / REC LIBOR 3M - 85,532 0.01 12.09.22 124 SMI (ZURICH) - 10,750 - 20.02.20 CALL 125,597 0.02 43,000,000 SWAP OPTION - PAY 2.540% / REC LIBOR 3M - 0.0024 20.02.20 United Kingdom 1,298,177 0.22 16,500,000 SWAP OPTION - PAY 2.800% / REC LIBOR 3M - 593,371 0.10 246 FOOTSIE 100 - 7,100 - 17.01.20 PUT 17,419 0.00 08.02.39 145 FOOTSIE 100 - 7,175 - 17.01.20 PUT 12,834 0.00 62,500,000 SWAP OPTION - PAY 2.900% / REC BBSW 6M - 61,592 0.01 246 FOOTSIE 100 - 7,400 - 17.01.20 CALL 637,246 0.11 25.07.22 8,500,000 SWAP OPTION - PAY 3.050% / REC LIBOR 3M - 0.007 143 FOOTSIE 100 - 7,425 - 17.01.20 CALL 333,304 0.06 18.02.20 293 FOOTSIE 100 - 7,800 - 19.06.20 CALL 297,374 0.05 11,500,000 SWAP OPTION - PAY 3.060% / REC LIBOR 3M - 203,959 0.03 United States of America 5,303,238 0.88 15.02.23 16,500,000 SWAP OPTION - PAY 3.180% / REC LIBOR 3M - 476,762 0.08 220 10YR US TREASRY NOTE - 129.00 - 24.01.20 PUT 168,431 0.03 29.10.38 125 AMERICAN ELECTRIC POWER INC - 55.00 - 2,227 0.00 5,800,000 SWAP OPTION - PAY 3.210% / REC LIBOR 3M - 38,045 0.01 17.01.20 PUT 29.11.21 48 AMGEN INC - 150.00 - 17.01.20 PUT 0.0043 12,500,000 SWAP OPTION - PAY 3.800% / REC LIBOR 3M - 174,087 0.03 121 AVIS BUDGET GROUP - 33.00 - 17.01.20 PUT 14,013 0.00 26.10.28 1,712 CBOE S&P VOL INDEX - 13 - 18.02.20 PUT 30,503 0.01 800,000 SWAP OPTION - PAY 4.000% / REC EURIBOR 6M - 0.00495 975 DOW JONES INDUSTRIAL AVG - 295 - 16.01.20 17,372 0.00 05.02.24 CALL 2,400,000 SWAP OPTION - PAY 4.150% / REC LIBOR 6M - 2,791 0.00 992 DOW JONES INDUSTRIAL AVG - 300 - 16.01.20 7,070 0.00 28.05.24 CALL 3,000,000 SWAP OPTION - PAY 4.250% / REC LIBOR 6M - 2,021 0.00 245 FIRSTENERGY CORP - 28.00 - 17.01.20 PUT 1,091 0.00 17.06.24 218 HOLOGIC INC - 33.00 - 17.01.20 PUT 3,884 0.00 4,000,000 SWAP OPTION - PAY 4.500% / REC LIBOR 3M - 72,260 0.01 04.12.29 8 NASDAQ 100 - 9,025 - 20.02.20 CALL 39,519 0.01 28,000,000 SWAP OPTION - REC EURIBOR 6M / PAY 1.000% - 1,085,868 0.18 56 NASDAQ 100 - 9,325 - 20.02.20 CALL 68,846 0.01 31.10.23 233 NRG ENERGY INC - 30.00 - 17.01.20 PUT 1,038 0.00
The accompanying notes form an integral part of these financial statements
44 PI Investment Funds - Optimiser
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 42 RUSSELL 2000 INDEX - 1,665 - 16.01.20 CALL 87,704 0.01 Italy -124,643 -0.02 84 RUSSELL 2000 INDEX - 1,705 - 16.01.20 CALL 27,539 0.00 45 S&P 500 INDEX - 2,600 - 17.12.20 PUT 225,180 0.04 -105 MINI FTSE / MIB INDEX - 20,500 - 20.03.20 PUT -28,350 0.00 44 S&P 500 INDEX - 2,775 - 19.11.20 PUT 284,187 0.05 -106 MINI FTSE / MIB INDEX - 21,000 - 20.03.20 PUT -39,485 -0.01 43 S&P 500 INDEX - 2,800 - 19.11.20 PUT 293,243 0.05 -105 MINI FTSE / MIB INDEX - 22,500 - 17.01.20 PUT -17,588 0.00 22 S&P 500 INDEX - 2,850 - 03.01.20 PUT 0.00294 -106 MINI FTSE / MIB INDEX - 23,000 - 17.01.20 PUT -39,220 -0.01 44 S&P 500 INDEX - 2,850 - 19.11.20 PUT 358,272 0.06 Japan -61,908 -0.01 33 S&P 500 INDEX - 2,850 - 31.12.19 PUT 0.00147 44 S&P 500 INDEX - 2,925 - 19.11.20 PUT 539,917 0.10 -64 NIKKEI 225 - 22,000 - 13.02.20 PUT -44,070 -0.01 44 S&P 500 INDEX - 3,000 - 06.03.20 PUT 99,446 0.02 -64 NIKKEI 225 - 22,875 - 09.01.20 PUT -17,838 0.00 44 S&P 500 INDEX - 3,000 - 10.01.20 PUT 8,232 0.00 Luxembourg -12,360,717 -2.06 44 S&P 500 INDEX - 3,000 - 20.02.20 PUT 75,143 0.01 -6,100,000 EXO FX OPTION - CALL EUR / PUT PLN - 4.25 - -32,632 -0.01 44 S&P 500 INDEX - 3,000 - 31.01.20 PUT 38,610 0.01 22.01.20 33 S&P 500 INDEX - 3,000 - 31.12.19 PUT 0.00147 -3,300,000 FX OPTION - CALL CHF / PUT TRY - 7.20 - -99,010 -0.02 33 S&P 500 INDEX - 3,015 - 31.12.19 PUT 0.00147 04.09.20 44 S&P 500 INDEX - 3,030 - 03.01.20 PUT 1,568 0.00 -12,500,000 FX OPTION - CALL EUR / PUT HUF - 345.00 - -6,024 0.00 33 S&P 500 INDEX - 3,065 - 16.01.20 PUT 22,255 0.00 10.02.20 88 S&P 500 INDEX - 3,080 - 31.01.20 PUT 133,980 0.02 -12,600,000 FX OPTION - CALL EUR / PUT JPY - 130.00 - -70,707 -0.01 88 S&P 500 INDEX - 3,110 - 20.02.20 PUT 270,233 0.04 16.12.20 66 S&P 500 INDEX - 3,150 - 31.01.20 PUT 162,986 0.03 -3,000,000 FX OPTION - CALL EUR / PUT TRY - 9.00 - -42,072 -0.01 09.10.20 44 S&P 500 INDEX - 3,150 - 31.12.19 CALL 285,285 0.05 -11,000,000 FX OPTION - CALL GBP / PUT USD - 1.35 - -6,653 0.00 44 S&P 500 INDEX - 3,190 - 10.01.20 CALL 173,413 0.03 17.01.20 66 S&P 500 INDEX - 3,200 - 31.12.19 CALL 104,659 0.02 -10,150,000 FX OPTION - CALL USD / PUT CHF - 1.02 - -1,834 0.00 44 S&P 500 INDEX - 3,200 - 31.12.19 PUT 1,842 0.00 17.03.20 44 S&P 500 INDEX - 3,220 - 16.01.20 CALL 126,218 0.02 -13,300,000 FX OPTION - CALL USD / PUT CNH - 7.45 - -5,110 0.00 44 S&P 500 INDEX - 3,240 - 16.01.20 CALL 79,180 0.01 13.03.20 44 S&P 500 INDEX - 3,240 - 31.01.20 CALL 137,194 0.02 -6,700,000 FX OPTION - CALL USD / PUT JPY - 100.00 - -390,411 -0.06 44 S&P 500 INDEX - 3,250 - 16.01.20 CALL 63,109 0.01 22.09.21 22 S&P 500 INDEX - 3,250 - 31.01.20 CALL 58,013 0.01 -6,700,000 FX OPTION - CALL USD / PUT JPY - 104.00 - -241,574 -0.04 44 S&P 500 INDEX - 3,275 - 20.02.20 CALL 119,947 0.02 07.10.20 -6,700,000 FX OPTION - CALL USD / PUT JPY - 104.50 - -221,054 -0.04 110 S&P 500 INDEX - 3,290 - 10.01.20 CALL 16,659 0.00 14.10.20 135 S&P 500 INDEX - 3,300 - 19.03.20 CALL 479,866 0.08 -6,700,000 FX OPTION - CALL USD / PUT JPY - 105.00 - -200,422 -0.03 90 S&P 500 INDEX - 3,300 - 31.03.20 CALL 386,699 0.06 24.09.20 150 SPI 200 INDEX - 6,425 - 19.03.20 PUT 76,181 0.01 -6,700,000 FX OPTION - CALL USD / PUT JPY - 105.25 - -191,453 -0.03 150 SPI 200 INDEX - 6,425 - 20.02.20 PUT 42,271 0.01 15.10.20 150 SPI 200 INDEX - 6,450 - 16.01.20 PUT 13,057 0.00 -6,700,000 FX OPTION - CALL USD / PUT JPY - 98.00 - -475,506 -0.08 296 SPI 200 INDEX - 6,550 - 16.01.20 PUT 50,234 0.01 14.10.21 148 SPI 200 INDEX - 6,900 - 16.01.20 CALL 3,429 0.00 -6,700,000 FX OPTION - CALL USD / PUT JPY - 98.50 - -453,107 -0.08 47 T BOND - 158.00 - 24.01.20 PUT 102,715 0.02 14.10.21 -6,700,000 FX OPTION - CALL USD / PUT JPY - 99.00 - -431,902 -0.07 Short positions -16,823,479 -2.80 07.10.21 -30,200,000 FX OPTION - PUT AUD / CALL JPY - 65.00 - -117,744 -0.02 Derivative instruments -16,823,479 -2.80 10.12.20 -6,700,000 FX OPTION - PUT CHF / CALL MXN - 18.86 - -12,799 0.00 -16,823,479 -2.80 Options 08.04.20 Germany -302,176 -0.05 -3,300,000 FX OPTION - PUT CHF / CALL TRY - 5.70 - -14,202 0.00 04.09.20 -664 DJ EURO STOXX 50 EUR - 3,450 - 21.02.20 PUT -102,256 -0.02 -6,200,000 FX OPTION - PUT EUR / CALL CAD - 1.45 - -75,788 -0.01 -244 DJ EURO STOXX 50 EUR - 3,500 - 17.01.20 PUT -9,516 0.00 02.11.21 -338 DJ EURO STOXX 50 EUR - 4,150 - 19.06.20 CALL -12,168 0.00 -12,400,000 FX OPTION - PUT EUR / CALL CAD - 1.45 - -105,567 -0.02 -44 EURO BTP FUTURE - 138.00 - 24.01.20 PUT -6,160 0.00 28.10.20 -66 EURO BTP FUTURE - 146.00 - 24.01.20 CALL -8,580 0.00 -6,050,000 FX OPTION - PUT EUR / CALL INR - 78.00 - -15,576 0.00 09.04.20 -380 EURO BTP FUTURE - 140.00 - 24.01.20 PUT -136,800 -0.03 -12,600,000 FX OPTION - PUT EUR / CALL JPY - 115.00 - -113,726 -0.02 -568 EURO STOXX 50 DIVID - 130 - 17.12.21 CALL -21,584 0.00 16.12.20 -284 EURO STOXX 50 DIVID - 95 - 17.12.21 PUT -5,112 0.00
The accompanying notes form an integral part of these financial statements
45 PI Investment Funds - Optimiser
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR -12,100,000 FX OPTION - PUT EUR / CALL NOK - 10.20 - -388,204 -0.06 -46,500,000 SWAP OPTION - PAY 1.000% / REC LIBOR 3M - -39,448 -0.01 22.10.20 22.10.20 -6,000,000 FX OPTION - PUT EUR / CALL USD - 1.12 - -35,643 -0.01 -9,600,000 SWAP OPTION - PAY 1.250% / REC LIBOR 3M - -31,764 -0.01 20.02.20 29.10.20 -6,000,000 FX OPTION - PUT EUR / CALL USD - 1.125 - -50,583 -0.01 -45,700,000 SWAP OPTION - PAY 1.500% / REC LIBOR 3M - -49,010 -0.01 27.02.20 01.05.20 -5,900,000 FX OPTION - PUT EUR / CALL USD - 1.13 - -70,021 -0.01 -48,000,000 SWAP OPTION - PAY 1.750% / REC LIBOR 3M - -143,909 -0.02 23.03.20 27.04.20 -5,500,000 FX OPTION - PUT GBP / CALL USD - 1.20 - 0.00-63 -13,200,000 SWAP OPTION - PAY 2.000% / REC LIBOR 3M - -262,387 -0.04 17.01.20 12.09.22 -13,300,000 FX OPTION - PUT USD / CALL CNH - 6.90 - -34,338 -0.01 -2,500,000 SWAP OPTION - PAY 2.000% / REC LIBOR 3M - -45,305 -0.01 13.03.20 21.06.21 -6,900,000 FX OPTION - PUT USD / CALL INR - 71.00 - -37,832 -0.01 -160,000,000 SWAP OPTION - PAY 2.310% / REC LIBOR 3M - -995,142 -0.17 02.11.20 26.10.20 -26,600,000 FX OPTION - PUT USD / CALL JPY - 103.25 - -6,667 0.00 -395,000,000 SWAP OPTION - PAY 6.650% / REC JIBAR 3M - -89,963 -0.01 05.02.20 30.04.20 -13,700,000 FX OPTION - PUT USD / CALL JPY - 98.00 - -11,306 0.00 -20,000,000 SWAP OPTION - REC LIBOR 3M / PAY 3.130% - 0.00-11 11.05.20 18.02.20 -27,000,000 FX OPTION - PUT USD / CALL TWD - 30.50 - -492,291 -0.08 -50,000,000 SWAP OPTION - REC LIBOR 3M / PAY 3.330% - -119,651 -0.02 14.02.20 15.02.23 -50,000,000 PUT CDX OPTION - CDX NA HY 33 INDEX - 106.50 -58,179 -0.01 -28,000,000 SWAP OPTION - REC 0.500% / PAY EURIBOR 6M - -595,984 -0.10 - 19.02.20 31.10.23 -32,800,000 SWAP OPTION - PAY EURIBOR 6M / REC 0.500% - -132,966 -0.02 -12,500,000 SWAP OPTION - REC 1.500% / PAY LIBOR 3M - -362,857 -0.06 19.11.21 26.10.28 -16,600,000 SWAP OPTION - PAY EURIBOR 6M / REC 0.850% - -1,193,416 -0.20 -43,000,000 SWAP OPTION - REC 2.040% / PAY LIBOR 3M - -628,275 -0.10 05.12.29 20.02.20 -14,000,000 SWAP OPTION - PAY EURIBOR 6M / REC 1.500% - -182,645 -0.03 Netherlands -18,352 0.00 08.02.24 -395,000,000 SWAP OPTION - PAY JIBAR 3M / REC 7.750% - -70,852 -0.01 -124 AMSTERDAM EXCHANGES INDEX - 550 - 21.02.20 -18,352 0.00 30.04.20 PUT -46,000,000 SWAP OPTION - PAY LIBOR 3M / REC 1.500% - -331,146 -0.06 South Korea -143,034 -0.02 27.08.21 -31,400,000 SWAP OPTION - PAY LIBOR 3M / REC 1.750% - -253,872 -0.04 -70 KOSPI 2000 - 248 - 12.03.20 PUT -3,505 0.00 19.11.21 -70 KOSPI 2000 - 290 - 12.03.20 CALL -139,529 -0.02 -46,500,000 SWAP OPTION - PAY LIBOR 3M / REC 1.750% - -111,526 -0.02 22.10.20 Spain -12,804 0.00 -46,000,000 SWAP OPTION - PAY LIBOR 3M / REC 1.750% - -219,837 -0.04 -388 IBEX MINI INDEX FUT - 8,600 - 21.02.20 PUT -7,372 0.00 27.08.21 -388 IBEX MINI INDEX FUT - 9,100 - 17.01.20 PUT -5,432 0.00 -100,000,000 SWAP OPTION - PAY LIBOR 3M / REC 2.150% - -9,451 0.00 19.06.20 Sweden -64,452 -0.01 -200,000,000 SWAP OPTION - PAY LIBOR 3M / REC 2.350% - -4,235 0.00 19.06.20 -602 OMX 30 - 1,460 - 18.06.20 PUT -64,452 -0.01 -16,500,000 SWAP OPTION - PAY LIBOR 3M / REC 2.900% - -241,338 -0.04 Switzerland -227,774 -0.04 08.02.24 -43,000,000 SWAP OPTION - PAY LIBOR 3M / REC 3.040% - 0.00- -124 SMI (ZURICH) - 10,050 - 20.02.20 PUT -67,875 -0.01 20.02.20 -130 SMI (ZURICH) - 10,700 - 20.02.20 CALL -159,899 -0.03 -26,000,000 SWAP OPTION - PAY LIBOR 3M / REC 3.160% - -30,494 -0.01 United Kingdom -401,416 -0.07 29.11.21 -21,000,000 SWAP OPTION - PAY LIBOR 3M / REC 5.000% - -143,098 -0.02 -107 FOOTSIE 100 - 6,200 - 18.12.20 PUT -156,582 -0.03 24.01.29 -143 FOOTSIE 100 - 7,550 - 17.01.20 CALL -168,762 -0.03 -8,000,000 SWAP OPTION - PAY LIBOR 3M / REC 6.000% - -105,768 -0.02 -293 FOOTSIE 100 - 8,200 - 19.06.20 CALL -76,072 -0.01 04.12.29 -33,000,000 SWAP OPTION - PAY LIBOR 3M / REC 6.000% - -25,205 0.00 United States of America -3,106,203 -0.52 30.10.23 -220 10YR US TREASRY NOTE - 127.50 - 24.01.20 PUT -36,748 -0.01 -10,000,000 SWAP OPTION - PAY 0.400% / REC EURIBOR 6M - -409,452 -0.07 26.07.21 -1,712 CBOE S&P VOL INDEX - 13 - 21.01.20 PUT -25,928 0.00 -1,900,000 SWAP OPTION - PAY 0.500% / REC LIBOR 6M - -33,558 -0.01 -124 DOW JONES INDUSTRIAL AVG - 250 - 16.01.20 -1,105 0.00 21.04.21 PUT -16,600,000 SWAP OPTION - PAY 0.850% / REC EURIBOR 6M - -988,152 -0.16 -195 DOW JONES INDUSTRIAL AVG - 265 - 16.01.20 -4,864 0.00 05.12.29 PUT
The accompanying notes form an integral part of these financial statements
46 PI Investment Funds - Optimiser
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV
EUR -16 NASDAQ 100 - 7,750 - 20.02.20 PUT -50,815 -0.01 -42 RUSSELL 2000 INDEX - 1,545 - 16.01.20 PUT -9,504 0.00 -84 RUSSELL 2000 INDEX - 1,700 - 16.01.20 CALL -49,390 -0.01 -45 S&P 500 INDEX - 2,000 - 15.10.20 PUT -34,878 -0.01 -44 S&P 500 INDEX - 2,300 - 15.10.20 PUT -68,205 -0.01 -43 S&P 500 INDEX - 2,500 - 14.01.21 PUT -170,851 -0.03 -44 S&P 500 INDEX - 2,500 - 15.10.20 PUT -119,163 -0.02 -43 S&P 500 INDEX - 2,500 - 17.09.20 PUT -114,539 -0.02 -51 S&P 500 INDEX - 2,525 - 17.12.20 PUT -200,820 -0.03 -45 S&P 500 INDEX - 2,575 - 15.10.20 PUT -149,813 -0.02 -44 S&P 500 INDEX - 2,625 - 15.10.20 PUT -175,216 -0.03 -44 S&P 500 INDEX - 2,700 - 15.10.20 PUT -201,871 -0.03 -44 S&P 500 INDEX - 2,750 - 15.10.20 PUT -225,781 -0.04 -44 S&P 500 INDEX - 2,890 - 31.01.20 PUT -20,775 0.00 -66 S&P 500 INDEX - 2,900 - 16.01.20 PUT -12,935 0.00 -88 S&P 500 INDEX - 2,910 - 20.02.20 PUT -89,607 -0.01 -44 S&P 500 INDEX - 3,150 - 10.01.20 PUT -37,591 -0.01 -22 S&P 500 INDEX - 3,150 - 16.01.20 CALL -172,825 -0.03 -44 S&P 500 INDEX - 3,200 - 06.01.20 PUT -37,905 -0.01 -44 S&P 500 INDEX - 3,250 - 10.01.20 CALL -34,730 -0.01 -44 S&P 500 INDEX - 3,250 - 20.02.20 CALL -164,633 -0.03 -44 S&P 500 INDEX - 3,400 - 15.10.20 CALL -334,281 -0.05 -90 S&P 500 INDEX - 3,400 - 31.03.20 CALL -121,871 -0.02 -22 S&P 500 INDEX - 3,500 - 15.10.20 CALL -82,316 -0.01 -135 S&P 500 INDEX - 3,500 - 19.03.20 CALL -40,891 -0.01 -22 S&P 500 INDEX - 3,600 - 15.10.20 CALL -41,158 -0.01 -47 T BOND - 156.00 - 24.01.20 PUT -49,722 -0.01 -364 US 5YR T-NOTES - 119.00 - 21.02.20 PUT -225,472 -0.04 Total securities portfolio 552,544,857 91.82
The accompanying notes form an integral part of these financial statements
47 PI Investment Funds - Tactical Allocation Bond Fund
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR 220,848,233 88.68 Long positions Netherlands 11,653,840 4.68
Transferable securities admitted to an official stock exchange 3,910,000 NETHERLANDS 2.25% 15/07/2022 4,195,528 1.68 214,630,018 86.18 listing and/or dealt in on another regulated market 1,828,800 NETHERLANDS 3.75% 15/01/2042 3,191,366 1.28 Bonds 214,630,018 86.18 2,924,800 NETHERLANDS 5.50% 15/01/2028 4,266,946 1.72 Austria 10,746,555 4.32 Portugal 2,953,996 1.19
2,724,000 AUSTRIA 0.50% 20/04/2027 2,850,979 1.14 470,000 PORTUGAL 2.125% 17/10/2028 540,817 0.22 160,000 AUSTRIA 1.50% 20/02/2047 195,029 0.08 1,623,200 PORTUGAL 4.10% 15/04/2037 2,413,179 0.97 3,168,000 AUSTRIA 3.65% 20/04/2022 3,479,066 1.40 2,589,000 AUSTRIA 4.15% 15/03/2037 4,221,481 1.70 Spain 36,897,584 14.81 Belgium 16,458,157 6.61 670,000 KINGDOM OF SPAIN 2.70% 31/10/2048 890,638 0.36 3,094,000 SPAIN 0.35% 30/07/2023 3,157,210 1.27 511,600 BELGIUM 1.00% 22/06/2031 556,749 0.22 2,292,000 SPAIN 1.40% 30/07/2028 2,494,475 1.00 3,225,600 BELGIUM 4.25% 28/03/2041 5,484,230 2.21 720,000 SPAIN 2.15% 31/10/2025 807,887 0.32 3,120,000 BELGIUM 4.25% 28/09/2021 3,385,730 1.36 1,450,000 SPAIN 2.35% 30/07/2033 1,754,500 0.70 3,998,000 BELGIUM 4.50% 28/03/2026 5,179,109 2.08 967,000 SPAIN 4.40% 31/10/2023 1,136,733 0.46 1,270,000 BELGIUM 5.50% 28/03/2028 1,852,339 0.74 3,511,000 SPAIN 4.70% 30/07/2041 5,951,935 2.39 Finland 1,961,706 0.79 7,491,000 SPAIN 5.50% 30/04/2021 8,082,639 3.25 8,408,800 SPAIN 6.00% 31/01/2029 12,621,567 5.06 330,000 FINLAND 0.50% 15/04/2026 344,992 0.14 1,449,000 FINLAND 1.125% 15/04/2034 1,616,714 0.65 Money market instruments 6,079,435 2.44
France 58,535,902 23.50 Bonds 6,079,435 2.44 7,300,000 FRANCE OAT 0% 25/03/2025 7,418,224 2.98 Italy 6,079,435 2.44 1,100,000 FRANCE OAT 1.00% 25/05/2027 1,190,156 0.48 3,036,000 ITALY BOT 0% 14/08/2020 3,040,220 1.22 1,340,000 FRANCE OAT 1.50% 25/05/2050 1,545,523 0.62 3,038,000 ITALY BOT 0% 31/01/2020 3,039,215 1.22 7,480,800 FRANCE OAT 1.75% 25/05/2023 8,064,901 3.24 1,050,000 FRANCE OAT 2.75% 25/10/2027 1,284,313 0.52 Derivative instruments 138,780 0.06 2,549,200 FRANCE OAT 3.25% 25/05/2045 3,997,604 1.61 Options 138,780 0.06 1,636,000 FRANCE OAT 3.50% 25/04/2026 2,023,053 0.81 Luxembourg 138,780 0.06 12,652,400 FRANCE OAT 3.75% 25/04/2021 13,382,380 5.37 2,030,800 FRANCE OAT 4.00% 25/04/2055 3,869,090 1.55 11,600,000 FX OPTION - CALL USD / PUT CAD - 1.34 - 0.00146 9,302,000 FRANCE OAT 5.75% 25/10/2032 15,760,658 6.32 16.01.20 41,000,000 PUT CDX OPTION - CDX NA HY 33 INDEX - 106.50 103,628 0.05 Germany 18,232,562 7.32 - 18.03.20 5,448,800 GERMANY BUND 4.25% 04/07/2039 9,792,229 3.93 17,800,000 PUT CDX OPTION - ITRAXX EUROPE 35,006 0.01 CROSSOVER SERIES 32 INDEX - 250.00 - 890,800 GERMANY BUND 4.75% 04/07/2034 1,511,162 0.61 18.03.20 4,560,000 GERMANY BUND 6.50% 04/07/2027 6,929,171 2.78 Short positions -29,863 -0.01 Ireland 4,697,529 1.89
1,032,000 IRELAND 1.70% 15/05/2037 1,223,725 0.49 Derivative instruments -29,863 -0.01 2,687,600 IRISH REPUBLIC 5.40% 13/03/2025 3,473,804 1.40 Options -29,863 -0.01 Italy 52,492,187 21.07 Luxembourg -29,863 -0.01
5,590,000 ITALY BTP 0.45% 01/06/2021 5,639,611 2.26 -11,600,000 FX OPTION - CALL USD / PUT CAD - 1.37 - 0.00- 2,646,000 ITALY BTP 1.45% 15/05/2025 2,746,204 1.10 16.01.20 570,000 ITALY BTP 2.25% 01/09/2036 598,543 0.24 -41,000,000 PUT CDX OPTION - CDX NA HY 33 INDEX - 100.00 -23,633 -0.01 6,150,000 ITALY BTP 3.85% 01/09/2049 7,961,483 3.20 - 18.03.20 5,249,000 ITALY BTP 4.50% 01/05/2023 5,981,209 2.40 -17,800,000 PUT CDX OPTION - ITRAXX EUROPE -6,230 0.00 1,650,000 ITALY BTP 5.00% 01/08/2034 2,319,727 0.93 CROSSOVER SERIES 32 INDEX - 375.00 - 18.03.20 6,573,000 ITALY BTP 5.00% 01/08/2039 9,559,673 3.84 8,440,000 ITALY BTP 5.50% 01/09/2022 9,648,270 3.87 Total securities portfolio 220,818,370 88.67 1,490,000 ITALY BTP 6.00% 01/05/2031 2,187,320 0.88 1,980,000 ITALY BTP 6.50% 01/11/2027 2,779,554 1.12 2,170,000 ITALY BTP 7.25% 01/11/2026 3,070,593 1.23
The accompanying notes form an integral part of these financial statements
48 PI Investment Funds - Tactical Allocation Fund
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR Long positions 102,362,127 85.53 5,200,900 ITALY BTP 5.25% 01/11/2029 7,062,355 5.90 Netherlands 3,685,610 3.08 Transferable securities admitted to an official stock exchange 85,412,317 71.37 listing and/or dealt in on another regulated market 1,577,000 NETHERLANDS 2.25% 15/07/2022 1,692,160 1.42 Bonds 79,260,145 66.23 679,650 NETHERLANDS 3.75% 15/01/2042 1,186,030 0.99 Austria 2,758,837 2.31 553,450 NETHERLANDS 5.50% 15/01/2028 807,420 0.67
719,000 AUSTRIA 0.50% 20/04/2027 752,516 0.63 Portugal 1,153,242 0.96 340,000 AUSTRIA 1.20% 20/10/2025 369,181 0.31 110,400 PORTUGAL 2.125% 17/10/2028 127,035 0.11 104,000 AUSTRIA 3.65% 20/04/2022 114,212 0.10 538,200 PORTUGAL 4.10% 15/04/2037 800,131 0.66 934,000 AUSTRIA 4.15% 15/03/2037 1,522,928 1.27 220,800 PORTUGAL 4.80% 15/06/2020 226,076 0.19 Belgium 4,392,829 3.67 Spain 11,282,948 9.43
700,900 BELGIUM 1.00% 22/06/2031 762,754 0.64 160,000 KINGDOM OF SPAIN 2.70% 31/10/2048 212,690 0.18 300,000 BELGIUM 2.25% 22/06/2023 329,085 0.27 1,165,000 SPAIN 2.15% 31/10/2025 1,307,206 1.09 976,350 BELGIUM 4.25% 28/03/2041 1,660,010 1.39 1,189,000 SPAIN 4.70% 30/07/2041 2,015,623 1.68 1,266,750 BELGIUM 4.50% 28/03/2026 1,640,980 1.37 2,196,000 SPAIN 5.50% 30/04/2021 2,369,440 1.98 Finland 1,088,039 0.91 3,582,950 SPAIN 6.00% 31/01/2029 5,377,989 4.50
909,000 FINLAND 0.50% 15/04/2026 950,296 0.80 Warrants, Rights 6,152,172 5.14 40,000 FINLAND 1.375% 15/04/2047 48,406 0.04 Ireland 6,152,172 5.14 72,000 FINLAND 4.00% 04/07/2025 89,337 0.07 113,645 AMUNDI PHYSICAL GOLD ETC 6,152,172 5.14 France 19,148,871 16.00 Share/Units of UCITS/UCIS 12,557,706 10.49 930,000 FRANCE OAT 0.50% 25/05/2025 970,581 0.81 12,557,706 10.49 5,038,200 FRANCE OAT 0.75% 25/05/2028 5,363,667 4.48 Share/Units in investment funds 540,000 FRANCE OAT 3.25% 25/05/2045 846,817 0.71 Ireland 10,792,608 9.02 1,386,900 FRANCE OAT 3.50% 25/04/2020 1,404,784 1.17 276,840 ISHARES MSCI KOREA UCITS ETF 10,792,608 9.02 1,884,600 FRANCE OAT 3.75% 25/04/2021 1,993,332 1.67 1,231,850 FRANCE OAT 4.00% 25/04/2055 2,346,927 1.96 Jersey 1,765,098 1.47 2,574,600 FRANCE OAT 4.25% 25/10/2023 3,045,288 2.54 78,900 WISDOM TREE METAL SECURITIES LIMITED 1,185,709 0.99 660,000 FRANCE OAT 4.75% 25/04/2035 1,085,994 0.91 4,425 WISDOM TREE METAL SECURITIES LTD 579,389 0.48 1,234,400 FRANCE OAT 5.75% 25/10/2032 2,091,481 1.75 CERTIFICATE
Germany 11,598,114 9.69 Money market instruments 3,141,809 2.63
1,610,000 GERMANY BUND 0% 07/10/2022 1,636,525 1.37 Bonds 3,141,809 2.63 2,172,700 GERMANY BUND 0% 13/10/2023 2,218,218 1.84 Italy 3,141,809 2.63 420,000 GERMANY BUND 0.25% 15/02/2027 438,520 0.37 1,260,000 GERMANY BUND 0.50% 15/02/2025 1,323,718 1.11 1,569,000 ITALY BOT 0% 14/08/2020 1,571,181 1.32 550,000 GERMANY BUND 2.50% 04/07/2044 844,294 0.71 1,570,000 ITALY BOT 0% 31/01/2020 1,570,628 1.31 596,850 GERMANY BUND 4.25% 04/07/2039 1,072,620 0.90 Derivative instruments 1,250,295 1.04 1,207,500 GERMANY BUND 4.75% 04/07/2034 2,048,415 1.71 1,218,800 GERMANY BUND 6.25% 04/01/2030 2,015,804 1.68 Options 1,250,295 1.04 Ireland 1,428,205 1.19 Germany 271,245 0.23
748,650 IRELAND 0.90% 15/05/2028 802,609 0.67 507 DJ EURO STOXX 50 EUR - 3,800 - 20.03.20 CALL 271,245 0.23 196,650 IRELAND 1.70% 15/05/2037 233,184 0.19 Luxembourg 480,448 0.40 303,600 IRISH REPUBLIC 5.40% 13/03/2025 392,412 0.33 5,600,000 FX OPTION - CALL USD / PUT CAD - 1.34 - 0.0071 Italy 22,723,450 18.99 16.01.20 26,250,000 FX OPTION - PUT USD / CALL JPY - 105.00 - 411,706 0.35 4,152,000 ITALIAN REPUBLIC 0.05% 15/04/2021 4,164,622 3.48 11.12.20 3,686,000 ITALY BTP 1.35% 15/04/2022 3,792,636 3.17 20,400,000 PUT CDX OPTION - CDX NA HY 33 INDEX - 106.50 51,561 0.04 3,233,000 ITALY BTP 3.85% 01/09/2049 4,185,280 3.50 - 18.03.20 542,000 ITALY BTP 4.75% 01/08/2023 627,709 0.52 8,700,000 PUT CDX OPTION - ITRAXX EUROPE 17,110 0.01 368,000 ITALY BTP 5.00% 01/03/2025 448,936 0.38 CROSSOVER SERIES 32 INDEX - 250.00 - 1,679,000 ITALY BTP 5.00% 01/08/2039 2,441,912 2.04 18.03.20
The accompanying notes form an integral part of these financial statements
49 PI Investment Funds - Tactical Allocation Fund
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV
EUR
United States of America 498,602 0.41
88 S&P 500 INDEX - 3,250 - 20.03.20 CALL 498,602 0.41 Short positions -661,264 -0.55
Derivative instruments -661,264 -0.55
Options -661,264 -0.55 Germany -261,612 -0.22
-507 DJ EURO STOXX 50 EUR - 3,600 - 20.03.20 PUT -261,612 -0.22 Luxembourg -14,804 -0.01
-5,600,000 FX OPTION - CALL USD / PUT CAD - 1.37 - 0.00- 16.01.20 -20,400,000 PUT CDX OPTION - CDX NA HY 33 INDEX - 100.00 -11,759 -0.01 - 18.03.20 -8,700,000 PUT CDX OPTION - ITRAXX EUROPE -3,045 0.00 CROSSOVER SERIES 32 INDEX - 375.00 - 18.03.20
United States of America -384,848 -0.32
-88 S&P 500 INDEX - 3,100 - 20.03.20 PUT -384,848 -0.32 Total securities portfolio 101,700,863 84.98
The accompanying notes form an integral part of these financial statements
50 PI Investment Funds - Tactical Allocation Pillar
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR Long positions 255,493,185 82.95 5,802,000 ITALY BTP 6.50% 01/11/2027 8,144,935 2.64 Netherlands 8,767,831 2.85 Transferable securities admitted to an official stock exchange 251,277,042 81.58 listing and/or dealt in on another regulated market 3,033,000 NETHERLANDS 3.75% 15/01/2042 5,292,767 1.72 Bonds 251,277,042 81.58 2,382,000 NETHERLANDS 5.50% 15/01/2028 3,475,064 1.13 Austria 12,809,482 4.16 Portugal 5,814,151 1.89
988,000 AUSTRIA 0.50% 20/04/2027 1,034,056 0.34 2,620,000 PORTUGAL 2.875% 15/10/2025 3,041,493 0.99 3,376,000 AUSTRIA 3.65% 20/04/2022 3,707,489 1.20 1,865,000 PORTUGAL 4.10% 15/04/2037 2,772,658 0.90 4,948,000 AUSTRIA 4.15% 15/03/2037 8,067,937 2.62 Spain 40,679,137 13.21 Belgium 17,541,244 5.69 830,000 SPAIN 1.85% 30/07/2035 949,557 0.31 2,300,000 BELGIUM 1.00% 22/06/2031 2,502,975 0.81 1,290,000 SPAIN 4.00% 30/04/2020 1,308,944 0.42 4,968,000 BELGIUM 4.25% 28/03/2041 8,446,694 2.74 5,496,000 SPAIN 4.40% 31/10/2023 6,460,685 2.10 2,832,000 BELGIUM 4.25% 28/09/2021 3,073,201 1.00 2,000,000 SPAIN 4.65% 30/07/2025 2,513,740 0.82 2,716,000 BELGIUM 4.50% 28/03/2026 3,518,374 1.14 6,465,000 SPAIN 4.70% 30/07/2041 10,959,630 3.56 Finland 4,303,016 1.40 2,450,000 SPAIN 5.90% 30/07/2026 3,370,061 1.09 10,071,000 SPAIN 6.00% 31/01/2029 15,116,520 4.91 1,330,000 FINLAND 1.125% 15/04/2034 1,483,941 0.48 2,272,000 FINLAND 4.00% 04/07/2025 2,819,075 0.92 Derivative instruments 4,216,143 1.37
France 67,248,349 21.83 Options 4,216,143 1.37 8,690,000 FRANCE OAT 0% 25/03/2025 8,830,734 2.87 Luxembourg 1,700,473 0.55 3,980,000 FRANCE OAT 2.50% 25/05/2030 4,952,234 1.61 94,660,000 FX OPTION - PUT USD / CALL JPY - 105.00 - 1,484,654 0.48 17,665,000 FRANCE OAT 2.75% 25/10/2027 21,607,032 7.01 11.12.20 2,450,000 FRANCE OAT 3.25% 25/05/2045 3,842,041 1.25 60,100,000 PUT CDX OPTION - CDX NA HY 33 INDEX - 106.50 151,903 0.05 4,219,000 FRANCE OAT 4.00% 25/04/2055 8,038,060 2.61 - 18.03.20 848,000 FRANCE OAT 4.00% 25/10/2038 1,370,614 0.44 32,500,000 PUT CDX OPTION - ITRAXX EUROPE 63,916 0.02 4,340,000 FRANCE OAT 4.25% 25/10/2023 5,133,439 1.67 CROSSOVER SERIES 32 INDEX - 250.00 - 18.03.20 3,300,000 FRANCE OAT 4.75% 25/04/2035 5,429,969 1.76 570,000 FRANCE OAT 5.50% 25/04/2029 860,267 0.28 United States of America 2,515,670 0.82 4,240,000 FRANCE OAT 5.75% 25/10/2032 7,183,959 2.33 444 S&P 500 INDEX - 3,250 - 20.03.20 CALL 2,515,670 0.82 Germany 25,416,634 8.25 Short positions -1,987,752 -0.65 2,830,000 FEDERAL REPUBLIC OF GERMANY 0% 2,903,311 0.94 15/08/2026 Derivative instruments -1,987,752 -0.65 1,800,000 GERMANY BUND 0% 18/10/2024 1,841,634 0.60 -1,987,752 -0.65 2,217,000 GERMANY BUND 1.25% 15/08/2048 2,783,554 0.90 Options 2,750,000 GERMANY BUND 1.50% 15/02/2023 2,929,768 0.95 Luxembourg -46,018 -0.01 2,689,000 GERMANY BUND 4.25% 04/07/2039 4,832,496 1.57 -60,100,000 PUT CDX OPTION - CDX NA HY 33 INDEX - 100.00 -34,642 -0.01 5,969,000 GERMANY BUND 4.75% 04/07/2034 10,125,871 3.29 - 18.03.20 Ireland 5,279,522 1.71 -32,500,000 PUT CDX OPTION - ITRAXX EUROPE -11,376 0.00 CROSSOVER SERIES 32 INDEX - 375.00 - 2,208,000 IRELAND 1.70% 15/05/2037 2,618,202 0.85 18.03.20 2,059,000 IRISH REPUBLIC 5.40% 13/03/2025 2,661,320 0.86 United States of America -1,941,734 -0.64 Italy 63,417,676 20.59 -444 S&P 500 INDEX - 3,100 - 20.03.20 PUT -1,941,734 -0.64 5,940,000 ITALY BTP 1.50% 01/06/2025 6,180,035 2.01 Total securities portfolio 253,505,433 82.30 2,530,000 ITALY BTP 2.45% 01/09/2033 2,755,967 0.89 1,840,000 ITALY BTP 3.85% 01/09/2049 2,381,972 0.77 17,954,000 ITALY BTP 4.50% 01/05/2023 20,458,493 6.65 90,000 ITALY BTP 4.75% 01/09/2044 130,449 0.04 130,000 ITALY BTP 5.00% 01/03/2025 158,592 0.05 8,226,000 ITALY BTP 5.00% 01/08/2039 11,963,771 3.89 5,000,000 ITALY BTP 5.25% 01/11/2029 6,789,550 2.20 3,034,000 ITALY BTP 6.00% 01/05/2031 4,453,912 1.45
The accompanying notes form an integral part of these financial statements
51 PI Investment Funds - Tactical Portfolio Income
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV Quantity Market Value % of NaV
EUR EUR Long positions 130,411,792 80.96 7,645 ASML HOLDING N.V. 2,015,987 1.25 15,810 ASR NEDERLAND N.V 527,422 0.33 Transferable securities admitted to an official stock exchange 118,182,335 73.36 207,735 CNH INDUSTRIAL N.V 2,033,726 1.26 listing and/or dealt in on another regulated market 7,319 FERRARI NV 1,082,480 0.67 Shares 118,182,335 73.36 223,419 ING GROUP NV 2,387,902 1.48 Belgium 3,123,873 1.94 8,129 KONINKLIJKE DSM NV 943,777 0.59 451,457 KONINKLIJKE KPN NV 1,187,783 0.74 13,237 ANHEUSER BUSCH INBEV SA/NV 962,462 0.60 28,297 KONINKLIJKE PHILIPS N.V. 1,231,485 0.76 32,231 KBC GROUPE 2,161,411 1.34 70,672 STMICROELECTRONICS NV 1,694,008 1.05 Denmark 2,805,871 1.74 Spain 2,988,368 1.86 54,227 NOVO NORDISK 2,805,871 1.74 39,425 GRIFOLS SA 1,239,128 0.77 France 25,158,860 15.63 190,549 IBERDROLA SA 1,749,240 1.09 42,790 ACCOR SA 1,786,483 1.11 Sweden 2,198,512 1.36 879 AIR LIQUIDE 110,930 0.07 134,132 ERICSSON LM-B SHS 1,041,118 0.65 28,859 ALSTOM 1,218,716 0.76 38,208 LUNDIN PETROLEUM 1,157,394 0.71 AXA69,721 1,750,694 1.09 81,576 BNP PARIBAS 4,309,659 2.68 Switzerland 6,804,207 4.22 28,047 BOUYGUES 1,062,420 0.66 17,062 CIE FINANCIERE RICHEMONT SA 1,193,869 0.74 60,406 COMPAGNIE DE SAINT-GOBAIN SA 2,204,819 1.37 20,617 NESTLE SA 1,987,350 1.23 21,656 DANONE SA 1,600,378 0.99 12,542 ROCHE HOLDING LTD 3,622,988 2.25 4,374 L’OREAL SA 1,154,736 0.72 3,624 LVMH MOET HENNESSY LOUIS VUITTON SE 1,501,061 0.93 United Kingdom 24,753,762 15.37 24,423 SANOFI 2,188,789 1.36 119,436 ANGLO AMERICAN PLC 3,062,895 1.91 19,581 SCHNEIDER ELECTRIC SA 1,791,662 1.11 32,709 ASTRAZENECA PLC 2,936,418 1.82 59,214 SOCIETE GENERALE A 1,836,522 1.14 86,020 BHP GROUP PLC 1,803,745 1.12 53,699 TOTAL 2,641,991 1.64 21,383 CARNIVAL PLC 919,569 0.57 Germany 15,343,397 9.52 3,584,622 LLOYDS BANKING GROUP PLC 2,643,995 1.64 165,781 M&G PLC 464,073 0.29 14,362 CONTINENTAL AG 1,655,364 1.03 166,648 PRUDENTIAL PLC 2,849,743 1.77 48,317 DAIMLER 2,385,410 1.48 40,612 RECKITT BENCKISER GROUP PLC 2,937,522 1.82 63,329 DEUTSCHE POST AG-NOM 2,153,819 1.34 112,015 ROYAL DUTCH SHELL PLC-A 2,930,872 1.82 44,104 FRESENIUS SE & CO KGAA 2,213,139 1.37 101,343 SMITHS GROUP 2,017,651 1.25 9,237 SAP SE 1,111,396 0.69 136,214 STANDARD CHARTERED 1,145,204 0.71 28,557 SIEMENS AG-NOM 3,328,033 2.06 601,664 VODAFONE GROUP 1,042,075 0.65 14,151 VOLKSWAGEN AG PFD 2,496,236 1.55 United States of America 2,238,820 1.39 Ireland 5,753,718 3.57 3,900 DARDEN RESTAURANTS INC 376,763 0.23 384,034 AIB GROUP PLC 1,192,810 0.74 39,000 NEWMONT GOLDCORP CORP 1,509,273 0.94 85,236 CRH PLC 3,040,368 1.89 7,500 ORACLE CORP 352,784 0.22 103,933 RYANAIR HOLDINGS PLC 1,520,540 0.94 Share/Units of UCITS/UCIS 11,253,146 6.99 Italy 9,059,440 5.62 11,253,146 6.99 170,775 ENI SPA 2,364,551 1.47 Share/Units in investment funds 96,253 FINECOBANK 1,028,945 0.64 Ireland 3,789,069 2.35 119,279 NEXI SPA 1,476,674 0.92 97,193 ISHARES MSCI KOREA UCITS ETF 3,789,069 2.35 62,045 PRYSMIAN SPA 1,333,347 0.83 219,349 UNICREDIT SPA 2,855,923 1.76 Luxembourg 7,464,077 4.64 Luxembourg 1,711,110 1.06 7,200 PI INVESTMENT FUNDS - EMERGING MARKETS 7,464,077 4.64 EQUITY INCOME M - QD (D) 109,392 ARCELORMITTAL SA 1,711,110 1.06 Netherlands 16,242,397 10.08
53,876 ABN AMRO GROUP N.V. 873,869 0.54 17,351 AIRBUS BR BEARER SHS 2,263,958 1.41
The accompanying notes form an integral part of these financial statements
52 PI Investment Funds - Tactical Portfolio Income
Securities Portfolio as at 31/12/19 Quantity Market Value % of NaV
EUR
Derivative instruments 976,311 0.61
Options 976,311 0.61 Germany 550,511 0.35
94 DJ EURO STOXX 50 EUR - 3,775 - 20.03.20 CALL 61,476 0.04 338 DJ EURO STOXX 50 EUR - 3,800 - 20.03.20 CALL 180,830 0.11 400 EURO STOXX BANKS - 88 - 20.03.20 CALL 208,000 0.14 76 MSCI EMERGING MARKETS - 535 - 23.03.20 CALL 100,205 0.06 Luxembourg 33,428 0.02
14,300,000 PUT CDX OPTION - CDX NA HY 33 INDEX - 106.00 30,194 0.02 - 18.03.20 2,880,000 PUT CDX OPTION - ITRAXX EUROPE 3,234 0.00 CROSSOVER SERIES 32 INDEX - 275.00 - 18.03.20
United States of America 392,372 0.24
1,361 GOLD FIELDS ADR - 5.50 - 17.01.20 CALL 143,072 0.09 44 S&P 500 INDEX - 3,250 - 20.03.20 CALL 249,300 0.15 Short positions -885,491 -0.55
Derivative instruments -885,491 -0.55
Options -885,491 -0.55 Germany -288,316 -0.18
-46 DJ EURO STOXX 50 EUR - 3,475 - 20.03.20 CALL -131,146 -0.08 -338 DJ EURO STOXX 50 EUR - 3,575 - 20.03.20 PUT -157,170 -0.10 Luxembourg -10,717 -0.01
-14,300,000 PUT CDX OPTION - CDX NA HY 33 INDEX - 101.00 -9,479 -0.01 - 18.03.20 -2,880,000 PUT CDX OPTION - ITRAXX EUROPE -1,238 0.00 CROSSOVER SERIES 32 INDEX - 350.00 - 18.03.20
United States of America -586,458 -0.36
-28 HONEYWELL INTERNATIONAL INC - 170.00 - -1,896 0.00 17.01.20 PUT -79 ORACLE CORP - 52.50 - 17.01.20 PUT -5,278 0.00 -122 PFIZER INC - 37.00 - 17.01.20 PUT -1,196 0.00 -28 SIMON PROPERTY GROUP INC REIT - 145.00 - -3,442 0.00 17.01.20 PUT -44 S&P 500 INDEX - 3,100 - 20.03.20 PUT -192,424 -0.12 -64 S&P 500 INDEX - 3,245 - 20.03.20 CALL -380,294 -0.24 -15 THERMO FISHER SCIE - 300.00 - 17.01.20 PUT -802 0.00 -79 WALGREEN BOOTS - 52.50 - 17.01.20 PUT -1,126 0.00 Total securities portfolio 129,526,301 80.41
The accompanying notes form an integral part of these financial statements
53 Statement of Net Assets
Accounts:
Note PI Investment Funds - PI Investment Funds - Emerging Markets Sovereign Bond Euro High Yield Ex. Financials
31/12/2019 31/12/2018 31/12/2019 31/12/2018 USD USD EUR EUR Assets Securities at cost 103,057,234 97,877,082 30,298,147 37,710,738 Net unrealised gains/(losses) on securities 3,938,696 -3,689,500 63,637 -2,567,564 Investments in securities at market value 2 106,995,930 94,187,582 30,361,784 35,143,174 Upfront premium Options contracts purchased at market value 2, 14 - - - - Net unrealised gain on futures-style options contracts 2, 14 - - - - Net unrealised gain on forward foreign exchange contracts 2, 9 - - 5,297 2,408 Net unrealised gain on financial futures contracts 2, 8 130,225 - - - Net unrealised gain on swaps contracts 2, 15 - - 31,473 - Cash at bank and brokers 9,019,391 6,726,882 6,417,623 3,835,436 Interest receivable 1,657,760 1,382,311 461,438 663,306 Dividends receivable - - - - Receivables resulting from subscriptions - - - - Receivables resulting from sales of securities 30 - - - Other receivables - - - - Total Assets 117,803,336 102,296,775 37,277,615 39,644,324 Liabilities Bank overdraft 123,466 93,201 3,117 - Upfront premium Options contracts written at market value 2, 14 - - - - Net unrealised loss on futures-style options contracts 2, 14 - - - - Net unrealised loss on forward foreign exchange contracts 2, 9 64,270 14,717 - - Net unrealised loss on financial futures contracts 2, 8 - 13,375 230 12,348 Net unrealised loss on swaps contracts 2, 15 - - - 41,501 Dividends payable - - 25 35,103 Payables resulting from redemptions - - - - Payables resulting from purchases of securities - - - - Accrued expenses 131,590 22,751 25,762 19,392 Other payables - - - - Total Liabilities 319,326 144,044 29,134 108,344
Net Assets 117,484,010 102,152,731 37,248,481 39,535,980
The accompanying notes form an integral part of these financial statements
54 Statement of Net Assets
Note PI Investment Funds - PI Investment Funds - Strategic Income Emerging Markets Equity Income
31/12/2019 31/12/2018 31/12/2019 31/12/2018 USD USD EUR EUR Assets Securities at cost 22,265,376 31,331,380 191,498,689 200,255,146 Net unrealised gains/(losses) on securities 652,760 -726,511 9,329,591 -22,395,653 Investments in securities at market value 2 22,918,136 30,604,869 200,828,280 177,859,493 Upfront premium Options contracts purchased at market value 2, 14 2,638 18,625 - - Net unrealised gain on futures-style options contracts 2, 14 - - - - Net unrealised gain on forward foreign exchange contracts 2, 9 38,318 9,070 - 1,516 Net unrealised gain on financial futures contracts 2, 8 27,087 - - - Net unrealised gain on swaps contracts 2, 15 76,260 11,663 - - Cash at bank and brokers 1,223,415 341,467 2,017,103 2,175,449 Interest receivable 143,008 162,796 1,326 3,152 Dividends receivable - 901 235,333 143,700 Receivables resulting from subscriptions - - - - Receivables resulting from sales of securities 31,168 - - - Other receivables 2,640 6,255 - - Total Assets 24,462,670 31,155,646 203,082,042 180,183,310 Liabilities Bank overdraft 220,216 83,951 - 240 Upfront premium Options contracts written at market value 2, 14 255 2,199 - - Net unrealised loss on futures-style options contracts 2, 14 - - - - Net unrealised loss on forward foreign exchange contracts 2, 9 - - - - Net unrealised loss on financial futures contracts 2, 8 - 16,086 - - Net unrealised loss on swaps contracts 2, 15 - - - - Dividends payable - - 399,285 138,582 Payables resulting from redemptions 178,001 - - - Payables resulting from purchases of securities 184,852 2,127,693 - - Accrued expenses 30,489 17,918 540,273 225,587 Other payables - - - - Total Liabilities 613,813 2,247,847 939,558 364,409
Net Assets 23,848,857 28,907,799 202,142,484 179,818,901
The accompanying notes form an integral part of these financial statements
55 Statement of Net Assets
Note PI Investment Funds - PI Investment Funds - EMU Equity European Equity
31/12/2019 31/12/2018 31/12/2019 31/12/2018 EUR EUR EUR EUR Assets Securities at cost 72,118,714 53,208,085 164,992,990 139,028,248 Net unrealised gains/(losses) on securities 6,331,528 -5,099,827 14,665,947 -12,234,533 Investments in securities at market value 2 78,450,242 48,108,258 179,658,937 126,793,715 Upfront premium Options contracts purchased at market value 2, 14 - - - - Net unrealised gain on futures-style options contracts 2, 14 - - - - Net unrealised gain on forward foreign exchange contracts 2, 9 - - - - Net unrealised gain on financial futures contracts 2, 8 - - - - Net unrealised gain on swaps contracts 2, 15 - - - - Cash at bank and brokers 233,807 396,582 278,153 2,960,670 Interest receivable - - 22 290 Dividends receivable 39,962 65,153 125,192 270,974 Receivables resulting from subscriptions - - - - Receivables resulting from sales of securities - - - - Other receivables - - - - Total Assets 78,724,011 48,569,993 180,062,304 130,025,649 Liabilities Bank overdraft - - - - Upfront premium Options contracts written at market value 2, 14 - - - - Net unrealised loss on futures-style options contracts 2, 14 - - - - Net unrealised loss on forward foreign exchange contracts 2, 9 - - - - Net unrealised loss on financial futures contracts 2, 8 - - - - Net unrealised loss on swaps contracts 2, 15 - - - - Dividends payable - - - - Payables resulting from redemptions - - - - Payables resulting from purchases of securities - - - - Accrued expenses 12,106 21,691 21,182 30,912 Other payables - - - - Total Liabilities 12,106 21,691 21,182 30,912
Net Assets 78,711,905 48,548,302 180,041,122 129,994,737
The accompanying notes form an integral part of these financial statements
56 Statement of Net Assets
Note PI Investment Funds - PI Investment Funds - Japanese Equity US Equity
31/12/2019 31/12/2018 31/12/2019 31/12/2018 EUR EUR EUR EUR Assets Securities at cost 60,079,300 42,186,041 263,266,727 229,914,715 Net unrealised gains/(losses) on securities 6,541,572 -1,924,766 46,681,686 -5,761,657 Investments in securities at market value 2 66,620,872 40,261,275 309,948,413 224,153,058 Upfront premium Options contracts purchased at market value 2, 14 - - - - Net unrealised gain on futures-style options contracts 2, 14 - - - - Net unrealised gain on forward foreign exchange contracts 2, 9 - - - - Net unrealised gain on financial futures contracts 2, 8 - - - - Net unrealised gain on swaps contracts 2, 15 - - - - Cash at bank and brokers 207,078 160,430 2,356,500 14,000,573 Interest receivable - - 185 8,417 Dividends receivable 102,792 71,742 256,836 261,498 Receivables resulting from subscriptions - - - - Receivables resulting from sales of securities 794 548 - - Other receivables - - - - Total Assets 66,931,536 40,493,995 312,561,934 238,423,546 Liabilities Bank overdraft - - 2,082,553 1,880,306 Upfront premium Options contracts written at market value 2, 14 - - - - Net unrealised loss on futures-style options contracts 2, 14 - - - - Net unrealised loss on forward foreign exchange contracts 2, 9 - - - - Net unrealised loss on financial futures contracts 2, 8 - - - - Net unrealised loss on swaps contracts 2, 15 - - - - Dividends payable - - - - Payables resulting from redemptions - - - - Payables resulting from purchases of securities - - - - Accrued expenses 5,668 9,849 41,718 63,342 Other payables - - - - Total Liabilities 5,668 9,849 2,124,271 1,943,648
Net Assets 66,925,868 40,484,146 310,437,663 236,479,898
The accompanying notes form an integral part of these financial statements
57 Statement of Net Assets
Note PI Investment Funds - PI Investment Funds - Dynamic Allocation Fund Multi-Asset Teodorico
31/12/2019 31/12/2018 31/12/2019 31/12/2018 EUR EUR EUR EUR Assets Securities at cost 516,923,847 455,007,987 215,292,394 215,423,656 Net unrealised gains/(losses) on securities 479,992 -2,679,720 8,218,405 -6,007,150 Investments in securities at market value 2 517,403,839 452,328,267 223,510,799 209,416,506 Upfront premium Options contracts purchased at market value 2, 14 2,586,434 - 274,565 389,775 Net unrealised gain on futures-style options contracts 2, 14 - - - - Net unrealised gain on forward foreign exchange contracts 2, 9 2,788,084 6,915,934 606,949 - Net unrealised gain on financial futures contracts 2, 8 3,144,352 - 236,390 254,379 Net unrealised gain on swaps contracts 2, 15 11,744,988 366,938 - 102,893 Cash at bank and brokers 69,635,560 110,346,992 15,683,645 12,342,070 Interest receivable 2,736,062 157,272 914,587 1,072,596 Dividends receivable - - 26,785 43,731 Receivables resulting from subscriptions - - - - Receivables resulting from sales of securities - 14,794,121 60 2,783 Other receivables - 1,602 - - Total Assets 610,039,319 584,911,126 241,253,780 223,624,733 Liabilities Bank overdraft 28,501 38,358,318 337,099 46,510 Upfront premium Options contracts written at market value 2, 14 143,187 - 62,802 132,237 Net unrealised loss on futures-style options contracts 2, 14 - - - - Net unrealised loss on forward foreign exchange contracts 2, 9 - - - 90,335 Net unrealised loss on financial futures contracts 2, 8 - 13,652,711 - - Net unrealised loss on swaps contracts 2, 15 - - 222,220 - Dividends payable - - - - Payables resulting from redemptions 5,367,971 41,729 - - Payables resulting from purchases of securities - - 4,909 2,409 Accrued expenses 779,962 535,469 1,665,511 93,478 Other payables 30,076 834,556 66,468 56,539 Total Liabilities 6,349,697 53,422,783 2,359,009 421,508
Net Assets 603,689,622 531,488,343 238,894,771 223,203,225
The accompanying notes form an integral part of these financial statements
58 Statement of Net Assets
Note PI Investment Funds - PI Investment Funds - Optimiser Tactical Allocation Bond Fund
31/12/2019 31/12/2018 31/12/2019 31/12/2018 EUR EUR EUR EUR Assets Securities at cost 516,944,101 473,299,478 218,060,733 389,735,269 Net unrealised gains/(losses) on securities 18,640,714 -13,298,336 2,648,720 -5,831,302 Investments in securities at market value 2 535,584,815 460,001,142 220,709,453 383,903,967 Upfront premium Options contracts purchased at market value 2, 14 33,783,521 23,703,206 138,780 - Net unrealised gain on futures-style options contracts 2, 14 147,608 - - - Net unrealised gain on forward foreign exchange contracts 2, 9 2,545,355 1,490,248 2,004,577 3,634,704 Net unrealised gain on financial futures contracts 2, 8 - 6,135,801 359,277 3,134,720 Net unrealised gain on swaps contracts 2, 15 - - 7,112,033 181,510 Cash at bank and brokers 71,921,230 117,681,322 8,443,743 38,106,666 Interest receivable 2,345,503 1,791,508 3,326,124 5,399,415 Dividends receivable 64,598 190,052 - - Receivables resulting from subscriptions 371,523 - 7,890,598 - Receivables resulting from sales of securities 184,800 1,615,159 - - Other receivables - 112,654 - - Total Assets 646,948,953 612,721,092 249,984,585 434,360,982 Liabilities Bank overdraft 15,917,635 6,783,410 411,991 1,279,580 Upfront premium Options contracts written at market value 2, 14 16,823,479 11,259,779 29,863 - Net unrealised loss on futures-style options contracts 2, 14 - 485,329 - - Net unrealised loss on forward foreign exchange contracts 2, 9 - - - - Net unrealised loss on financial futures contracts 2, 8 658,392 - - - Net unrealised loss on swaps contracts 2, 15 3,158,925 7,247,231 - - Dividends payable - - - - Payables resulting from redemptions - - 14,378 34,176 Payables resulting from purchases of securities 6,349,290 6,611,992 - - Accrued expenses 2,302,750 629,525 503,236 524,654 Other payables - 231,773 - 884,341 Total Liabilities 45,210,471 33,249,039 959,468 2,722,751
Net Assets 601,738,482 579,472,053 249,025,117 431,638,231
The accompanying notes form an integral part of these financial statements
59 Statement of Net Assets
Note PI Investment Funds - PI Investment Funds - Tactical Allocation Fund Tactical Allocation Pillar
31/12/2019 31/12/2018 31/12/2019 31/12/2018 EUR EUR EUR EUR Assets Securities at cost 99,981,780 278,267,340 244,123,869 428,125,934 Net unrealised gains/(losses) on securities 1,130,052 -4,879,349 7,153,173 -3,903,970 Investments in securities at market value 2 101,111,832 273,387,991 251,277,042 424,221,964 Upfront premium Options contracts purchased at market value 2, 14 1,250,295 - 4,216,143 - Net unrealised gain on futures-style options contracts 2, 14 - - - - Net unrealised gain on forward foreign exchange contracts 2, 9 805,120 3,367,697 4,985,696 2,410,206 Net unrealised gain on financial futures contracts 2, 8 - - 3,864,028 - Net unrealised gain on swaps contracts 2, 15 3,474,108 146,085 - - Cash at bank and brokers 9,532,659 32,055,690 43,343,403 61,060,802 Interest receivable 1,049,706 3,025,386 3,144,215 6,557,685 Dividends receivable - - - - Receivables resulting from subscriptions 3,801,211 - - - Receivables resulting from sales of securities - - - - Other receivables - - - - Total Assets 121,024,931 311,982,849 310,830,527 494,250,657 Liabilities Bank overdraft 49,849 3,596,478 78,209 6,575,694 Upfront premium Options contracts written at market value 2, 14 661,264 - 1,987,752 - Net unrealised loss on futures-style options contracts 2, 14 - - - - Net unrealised loss on forward foreign exchange contracts 2, 9 - - - - Net unrealised loss on financial futures contracts 2, 8 331,661 2,404,185 - 4,072,352 Net unrealised loss on swaps contracts 2, 15 - - - - Dividends payable - - - - Payables resulting from redemptions 29,543 29,240 - - Payables resulting from purchases of securities - - - - Accrued expenses 270,303 467,524 748,569 504,165 Other payables - 755,915 - - Total Liabilities 1,342,620 7,253,342 2,814,530 11,152,211
Net Assets 119,682,311 304,729,507 308,015,997 483,098,446
The accompanying notes form an integral part of these financial statements
60 Statement of Net Assets
Note PI Investment Funds - Combined Tactical Portfolio Income
31/12/2019 31/12/2018 31/12/2019 31/12/2018 EUR EUR EUR EUR Assets Securities at cost 118,790,425 85,752,887 2,824,017,870 3,140,944,502 Net unrealised gains/(losses) on securities 10,645,056 -5,412,512 136,620,463 -95,859,377 Investments in securities at market value 2 129,435,481 80,340,375 2,960,638,333 3,045,085,125 Upfront premium Options contracts purchased at market value 2, 14 976,311 264,917 43,228,399 24,374,191 Net unrealised gain on futures-style options contracts 2, 14 213,044 - 360,652 - Net unrealised gain on forward foreign exchange contracts 2, 9 3,635,797 - 17,411,011 17,830,647 Net unrealised gain on financial futures contracts 2, 8 1,271,142 - 9,015,334 9,524,900 Net unrealised gain on swaps contracts 2, 15 944,304 - 23,374,844 807,629 Cash at bank and brokers 23,466,064 20,433,564 262,661,577 421,739,496 Interest receivable 93,516 101 15,676,934 20,030,757 Dividends receivable 34,492 110,156 885,990 1,157,794 Receivables resulting from subscriptions 1,915,572 - 13,978,904 - Receivables resulting from sales of securities 123,578 - 337,025 16,412,611 Other receivables 213,868 8,773 216,220 128,501 Total Assets 162,323,169 101,157,886 3,347,785,223 3,557,091,651 Liabilities Bank overdraft 298 1,102,139 19,215,428 59,777,644 Upfront premium Options contracts written at market value 2, 14 885,491 110,694 20,594,065 11,504,634 Net unrealised loss on futures-style options contracts 2, 14 - 31,490 - 516,819 Net unrealised loss on forward foreign exchange contracts 2, 9 - 187,196 57,256 290,405 Net unrealised loss on financial futures contracts 2, 8 - 1,208,085 990,283 21,375,453 Net unrealised loss on swaps contracts 2, 15 - 670,559 3,381,145 7,959,291 Dividends payable - - 399,310 173,685 Payables resulting from redemptions - - 5,570,468 105,145 Payables resulting from purchases of securities - - 6,518,878 8,475,664 Accrued expenses 350,516 86,633 7,411,947 3,247,797 Other payables - 25,569 96,544 2,788,693 Total Liabilities 1,236,305 3,422,365 64,235,324 116,215,230
Net Assets 161,086,864 97,735,521 3,283,549,899 3,440,876,421
The accompanying notes form an integral part of these financial statements
61 Statement of Share Statistics
PI Investment Funds - Emerging Markets Sovereign Bond Year ending as of: 31/12/19 31/12/18 31/12/17
Total Net Assets USD 117,484,010 102,152,731 106,049,423
Class A Non - Distributing Number of shares 100.00 100.00 100.00 Net asset value per share USD 57.20 50.10 52.59
Class H Non - Distributing* Number of shares 5.00 -- Net asset value per share EUR 995.77 --
Class I Non - Distributing Number of shares 5.00 5.00 5.00 Net asset value per share USD 1,168.14 1,015.56 1,058.32
Class M Non - Distributing* Number of shares 5.00 5.00 5.00 Net asset value per share USD 1,161.53 1,011.75 1,056.79
Class S Non - Distributing Number of shares 100,000.00 100,000.00 100,000.00 Net asset value per share USD 1,174.61 1,021.38 1,060.34
PI Investment Funds - Euro High Yield Ex. Financials Year ending as of: 31/12/19 31/12/18 31/12/17
Total Net Assets EUR 37,248,481 39,535,980 55,529,786
Class H Non - Distributing* Number of shares 5.00 -- Net asset value per share EUR 1,000.61 --
Class I Non - Distributing Number of shares 24,785.94 24,785.94 29,158.94 Net asset value per share EUR 1,502.39 1,378.85 1,419.78
Class M Quarterly Distributing* Number of shares 5.18 5,583.00 13,900.00 Net asset value per share EUR 1,018.94 960.04 1,016.59
PI Investment Funds - Strategic Income Year ending as of: 31/12/19 31/12/18 31/12/17
Total Net Assets USD 23,848,857 28,907,799 34,063,618
Class I Semi-Annually Target Distributing Number of shares 8,619.11 12,013.26 13,620.96 Net asset value per share USD 1,040.20 978.84 1,016.28
Class I Monthly Target Distributing Number of shares 14,459.32 17,716.85 20,120.00 Net asset value per share USD 1,029.32 967.94 1,005.01
* Please refer to Note1
The accompanying notes form an integral part of these financial statements
62 Statement of Share Statistics
PI Investment Funds - Emerging Markets Equity Income Year ending as of: 31/12/19 31/12/18 31/12/17
Total Net Assets EUR 202,142,484 179,818,901 124,947,524
Class M Quarterly Distributing* Number of shares 196,205.64 202,681.64 123,649.00 Net asset value per share EUR 1,030.26 887.20 1,010.50
PI Investment Funds - EMU Equity Year ending as of: 31/12/19 31/12/18 31/12/17
Total Net Assets EUR 78,711,905 48,548,302 150,585,721
Class X Non - Distributing Number of shares 42,956.00 32,543.49 88,563.00 Net asset value per share EUR 1,832.38 1,491.80 1,700.32
PI Investment Funds - European Equity Year ending as of: 31/12/19 31/12/18 31/12/17
Total Net Assets EUR 180,041,122 129,994,737 209,526,048
Class X Non - Distributing Number of shares 110,975.94 98,183.74 140,356.53 Net asset value per share EUR 1,622.34 1,323.99 1,492.81
PI Investment Funds - Japanese Equity Year ending as of: 31/12/19 31/12/18 31/12/17
Total Net Assets EUR 66,925,868 40,484,146 60,364,355
Class X Non - Distributing Number of shares 34,010.00 25,387.43 34,873.00 Net asset value per share EUR 1,967.83 1,594.65 1,730.98
PI Investment Funds - US Equity Year ending as of: 31/12/19 31/12/18 31/12/17
Total Net Assets EUR 310,437,663 236,479,898 419,502,411
Class X Non - Distributing Number of shares 94,302.00 95,783.74 167,262.00 Net asset value per share EUR 3,291.95 2,468.89 2,508.06
* Please refer to Note1
The accompanying notes form an integral part of these financial statements
63 Statement of Share Statistics
PI Investment Funds - Dynamic Allocation Fund Year ending as of: 31/12/19 31/12/18 31/12/17
Total Net Assets EUR 603,689,622 531,488,343 648,640,891
Class E Non - Distributing Number of shares - 221,615,202.64 213,170,296.87 Net asset value per share EUR - 2.154 2.429
Class H Non - Distributing* Number of shares 5.00 -- Net asset value per share EUR 1,010.87 --
Class M Non - Distributing* Number of shares 1,855,084.19 121,943.76 262,724.93 Net asset value per share EUR 325.42 443.11 497.86
PI Investment Funds - Multi-Asset Teodorico Year ending as of: 31/12/19 31/12/18 31/12/17
Total Net Assets EUR 238,894,771 223,203,225 236,809,696
Class I Quarterly Distributing Number of shares 234,000.00 234,000.00 234,000.00 Net asset value per share EUR 1,020.92 953.86 1,012.01
PI Investment Funds - Optimiser Year ending as of: 31/12/19 31/12/18 31/12/17
Total Net Assets EUR 601,738,482 579,472,053 403,625,053
Class E Non - Distributing Number of shares 62,329,002.83 61,617,446.64 40,615,523.37 Net asset value per share EUR 5.499 5.270 5.408
Class H Non - Distributing* Number of shares 5.00 -- Net asset value per share EUR 1,004.28 --
Class I Non - Distributing Number of shares 1.00 -- Net asset value per share EUR 1,036.62 --
Class M Non - Distributing* Number of shares 147,570.45 152,980.15 108,511.96 Net asset value per share EUR 1,754.92 1,665.23 1,695.51
PI Investment Funds - Tactical Allocation Bond Fund Year ending as of: 31/12/19 31/12/18 31/12/17
Total Net Assets EUR 249,025,117 431,638,231 513,961,456
Class E Non - Distributing Number of shares 11,808,202.99 49,162,404.71 53,198,742.13 Net asset value per share EUR 7.760 7.354 7.459
* Please refer to Note1 The accompanying notes form an integral part of these financial statements
64 Statement of Share Statistics
PI Investment Funds - Tactical Allocation Bond Fund Year ending as of: 31/12/19 31/12/18 31/12/17
Class H Non - Distributing* Number of shares 5.00 -- Net asset value per share EUR 1,004.73 --
Class M Non - Distributing* Number of shares 96,392.74 45,533.51 75,410.78 Net asset value per share EUR 1,632.79 1,539.66 1,553.66
PI Investment Funds - Tactical Allocation Fund Year ending as of: 31/12/19 31/12/18 31/12/17
Total Net Assets EUR 119,682,311 304,729,507 389,331,138
Class E Non - Distributing Number of shares 1,654,109.50 50,971,917.67 53,556,913.27 Net asset value per share EUR 6.089 5.393 6.016
Class H Non - Distributing* Number of shares 5.00 -- Net asset value per share EUR 1,009.36 --
Class M Non - Distributing* Number of shares 1,695,281.21 524,394.97 1,064,337.20 Net asset value per share EUR 64.65 56.91 63.07
PI Investment Funds - Tactical Allocation Pillar Year ending as of: 31/12/19 31/12/18 31/12/17
Total Net Assets EUR 308,015,997 483,098,446 254,007,915
Class E Non - Distributing Number of shares 83,340,305.42 110,360,893.72 51,086,322.01 Net asset value per share EUR 3.696 4.377 4.972
Class M Non - Distributing Number of shares 5.00 -- Net asset value per share EUR 1,014.76 --
PI Investment Funds - Tactical Portfolio Income Year ending as of: 31/12/19 31/12/18 31/12/17
Total Net Assets EUR 161,086,864 97,735,521 -
Class E Distributing Ex-Dividend Number of shares 37,220,495.88 21,800,283.23 - Net asset value per share EUR 4.328 4.483 -
Class M Distributing Ex-Dividend Number of shares 5.00 -- Net asset value per share EUR 1,015.21 --
* Please refer to Note1 The accompanying notes form an integral part of these financial statements
65 Statement of Operations and Changes in Net Assets
Note PI Investment Funds - PI Investment Funds - Emerging Markets Sovereign Bond Euro High Yield Ex. Financials
31/12/2019 31/12/2018 31/12/2019 31/12/2018 USD USD EUR EUR Income Dividends, net 2 - - - - Interest on securities 2 5,987,187 5,456,682 1,196,689 1,629,017 Interest on bank accounts 2 134,188 108,201 16,489 12,898 Interest on swaps contracts 2 39,686 5,420 28,669 5,069 Other income 10, 19 - 16 2,531 - Total Income 6,161,061 5,570,319 1,244,378 1,646,984 Expenses Management fees 4 442,430 122 37,602 91,244 Depositary & administration fees 6 131,714 97,835 8,542 13,248 “Taxe d’abonnement” 7 11,366 10,443 3,596 7,694 Professional fees 3,345 2,595 3,276 3,237 Printing & publishing fees - 1,038 - 466 Performance fee 5 - - - - Transaction costs 18 5,577 276 104 182 Interest on swaps contracts 48,451 - - - Other charges 11, 19 19,563 19,162 27,481 30,703 Total Expenses 662,446 131,471 80,601 146,774
Net asset value at the beginning of the year 102,152,731 106,049,423 39,535,980 55,529,786 Net Operational Income/(Loss) 5,498,615 5,438,848 1,163,777 1,500,210 Net realised gain/(loss) on sales of securities 1,961,505 -3,513,780 -601,597 -268,011 Net realised gain/(loss) on foreign exchange 78,493 113,821 34,057 -19,419 Net realised gain/(loss) on forward foreign exchange contracts 283,643 238,762 -229,111 -9,674 Net realised gain/(loss) on financial futures contracts -201,465 -45,621 -15,925 61,823 Net realised gain/(loss) on options contracts - - - - Net realised gain/(loss) on swaps contracts -17,313 111,775 57,886 87,784 Net Realised Gain/(Loss) 2,104,863 -3,095,043 -754,690 -147,497 Net change in unrealised gain/(loss) on securities 7,628,196 -6,136,136 2,631,200 -2,545,129 Net change in unrealised gain/(loss) on forward foreign exchange contracts -49,553 71,872 2,889 -50,888 Net change in unrealised gain/(loss) on financial futures contracts 143,600 -52,418 12,118 -12,721 Net change in unrealised gain/(loss) on options contracts - - - - Net change in unrealised gain/(loss) on swaps contracts - -123,898 72,974 -52,295 Net Change in Unrealised Gain/(Loss) for the Year 7,722,243 -6,240,580 2,719,181 -2,661,033
Net Increase/(Decrease) in Net Assets as a Result of Operations 15,325,721 -3,896,775 3,128,268 -1,308,320 Net subscriptions/(redemptions) 5,558 83 -5,415,647 -14,513,277 Dividend declared 13 - - -120 -172,209 Reevaluation of consolidated Net Assets - - - -
Net Asset Value at Year End 117,484,010 102,152,731 37,248,481 39,535,980
The accompanying notes form an integral part of these financial statements
66 Statement of Operations and Changes in Net Assets
Note PI Investment Funds - PI Investment Funds - Strategic Income Emerging Markets Equity Income
31/12/2019 31/12/2018 31/12/2019 31/12/2018 USD USD EUR EUR Income Dividends, net 2 8,929 15,050 6,654,898 5,353,209 Interest on securities 2 944,464 944,108 - - Interest on bank accounts 2 18,033 5,809 69,031 19,116 Interest on swaps contracts 2 30,165 30,333 - - Other income 10, 19 - - - - Total Income 1,001,591 995,300 6,723,929 5,372,325 Expenses Management fees 4 103,913 125,612 1,917,053 1,658,173 Depositary & administration fees 6 13,664 8,054 296,286 215,189 “Taxe d’abonnement” 7 2,648 3,611 76,668 84,921 Professional fees 805 807 6,251 17,825 Printing & publishing fees - 323 - 1,658 Performance fee 5 - - - - Transaction costs 18 36,426 1,798 124,557 122,288 Interest on swaps contracts 19,274 116,171 - - Other charges 11, 19 15,224 5,783 11,993 161,809 Total Expenses 191,954 262,159 2,432,808 2,261,863
Net asset value at the beginning of the year 28,907,799 34,063,618 179,818,901 124,947,524 Net Operational Income/(Loss) 809,637 733,141 4,291,121 3,110,462 Net realised gain/(loss) on sales of securities 304,171 -408,995 -2,602,600 -1,560,097 Net realised gain/(loss) on foreign exchange 17,530 8,466 86,014 14,206 Net realised gain/(loss) on forward foreign exchange contracts -87,611 -114,168 -160,202 -284 Net realised gain/(loss) on financial futures contracts -144,110 57,245 - - Net realised gain/(loss) on options contracts 17,176 3,621 - - Net realised gain/(loss) on swaps contracts 110,340 108,232 - - Net Realised Gain/(Loss) 217,496 -345,599 -2,676,788 -1,546,175 Net change in unrealised gain/(loss) on securities 1,379,271 -840,247 31,725,244 -22,934,294 Net change in unrealised gain/(loss) on forward foreign exchange contracts 29,248 43,239 -1,516 1,516 Net change in unrealised gain/(loss) on financial futures contracts 43,174 -45,331 - - Net change in unrealised gain/(loss) on options contracts -13,949 16,426 - - Net change in unrealised gain/(loss) on swaps contracts 64,597 -4,569 - - Net Change in Unrealised Gain/(Loss) for the Year 1,502,341 -830,482 31,723,728 -22,932,778
Net Increase/(Decrease) in Net Assets as a Result of Operations 2,529,474 -442,940 33,338,061 -21,368,491 Net subscriptions/(redemptions) -6,712,003 -3,891,501 -6,593,550 79,637,482 Dividend declared 13 -876,413 -821,378 -4,420,928 -3,397,614 Reevaluation of consolidated Net Assets - - - -
Net Asset Value at Year End 23,848,857 28,907,799 202,142,484 179,818,901
The accompanying notes form an integral part of these financial statements
67 Statement of Operations and Changes in Net Assets
Note PI Investment Funds - PI Investment Funds - EMU Equity European Equity
31/12/2019 31/12/2018 31/12/2019 31/12/2018 EUR EUR EUR EUR Income Dividends, net 2 1,552,846 3,230,547 4,187,378 5,091,879 Interest on securities 2 - - - - Interest on bank accounts 2 - - 2,894 1,896 Interest on swaps contracts 2 - - - - Other income 10, 19 95 13,310 80 21,749 Total Income 1,552,941 3,243,857 4,190,352 5,115,524 Expenses Management fees 4 - - - - Depositary & administration fees 6 16,108 47,140 42,904 59,244 “Taxe d’abonnement” 7 6,522 9,628 14,630 14,591 Professional fees 2,571 3,960 7,201 7,739 Printing & publishing fees - 1,217 - 1,656 Performance fee 5 - - - - Transaction costs 18 157,169 278,611 537,061 659,064 Interest on swaps contracts - - - - Other charges 11, 19 4,613 13,881 6,290 15,088 Total Expenses 186,983 354,437 608,086 757,382
Net asset value at the beginning of the year 48,548,302 150,585,721 129,994,737 209,526,048 Net Operational Income/(Loss) 1,365,958 2,889,420 3,582,266 4,358,142 Net realised gain/(loss) on sales of securities -277,344 -4,021,691 -535,698 -4,546,639 Net realised gain/(loss) on foreign exchange - - 138,048 -182,956 Net realised gain/(loss) on forward foreign exchange contracts - - -222,538 - Net realised gain/(loss) on financial futures contracts - 196,141 - 233,726 Net realised gain/(loss) on options contracts -156,650 234,918 -382,258 377,522 Net realised gain/(loss) on swaps contracts - - - - Net Realised Gain/(Loss) -433,994 -3,590,632 -1,002,446 -4,118,347 Net change in unrealised gain/(loss) on securities 11,431,355 -5,877,343 26,900,480 -15,410,112 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 contracts - -105,689 - -154,284 Net change in unrealised gain/(loss) on swaps contracts - - - - Net Change in Unrealised Gain/(Loss) for the Year 11,431,355 -5,983,032 26,900,480 -15,564,396
Net Increase/(Decrease) in Net Assets as a Result of Operations 12,363,319 -6,684,244 29,480,300 -15,324,601 Net subscriptions/(redemptions) 17,800,284 -95,353,175 20,566,085 -64,206,710 Dividend declared 13 - - - - Reevaluation of consolidated Net Assets - - - -
Net Asset Value at Year End 78,711,905 48,548,302 180,041,122 129,994,737
The accompanying notes form an integral part of these financial statements
68 Statement of Operations and Changes in Net Assets
Note PI Investment Funds - PI Investment Funds - Japanese Equity US Equity
31/12/2019 31/12/2018 31/12/2019 31/12/2018 EUR EUR EUR EUR Income Dividends, net 2 1,041,208 945,879 3,331,645 5,112,321 Interest on securities 2 - - - - Interest on bank accounts 2 10 15 57,847 63,534 Interest on swaps contracts 2 - - - - Other income 10, 19 - - 343 3,212 Total Income 1,041,218 945,894 3,389,835 5,179,067 Expenses Management fees 4 - - - - Depositary & administration fees 6 22,803 27,372 34,854 77,690 “Taxe d’abonnement” 7 5,197 4,675 27,706 36,420 Professional fees 1,567 1,287 8,047 9,895 Printing & publishing fees 200 518 - 3,981 Performance fee 5 - - - - Transaction costs 18 10,496 10,670 136,211 275,424 Interest on swaps contracts - - - - Other charges 11, 19 3,839 5,614 91,340 103,700 Total Expenses 44,102 50,136 298,158 507,110
Net asset value at the beginning of the year 40,484,146 60,364,355 236,479,898 419,502,411 Net Operational Income/(Loss) 997,116 895,758 3,091,677 4,671,957 Net realised gain/(loss) on sales of securities 844,680 1,697,417 20,989,191 34,295,820 Net realised gain/(loss) on foreign exchange -17,118 4,905 -117,018 902,973 Net realised gain/(loss) on forward foreign exchange contracts 2,412 -988 - -681,423 Net realised gain/(loss) on financial futures contracts - - - -369,326 Net realised gain/(loss) on options contracts - - -106,513 -181,922 Net realised gain/(loss) on swaps contracts - - - - Net Realised Gain/(Loss) 829,974 1,701,334 20,765,660 33,966,122 Net change in unrealised gain/(loss) on securities 8,466,338 -5,497,057 52,443,343 -23,710,912 Net change in unrealised gain/(loss) on forward foreign exchange contracts - - - - Net change in unrealised gain/(loss) on financial futures contracts - - - -178,337 Net change in unrealised gain/(loss) on options contracts - - - - Net change in unrealised gain/(loss) on swaps contracts - - - - Net Change in Unrealised Gain/(Loss) for the Year 8,466,338 -5,497,057 52,443,343 -23,889,249
Net Increase/(Decrease) in Net Assets as a Result of Operations 10,293,428 -2,899,965 76,300,680 14,748,830 Net subscriptions/(redemptions) 16,148,294 -16,980,244 -2,342,915 -197,771,343 Dividend declared 13 - - - - Reevaluation of consolidated Net Assets - - - -
Net Asset Value at Year End 66,925,868 40,484,146 310,437,663 236,479,898
The accompanying notes form an integral part of these financial statements
69 Statement of Operations and Changes in Net Assets
Note PI Investment Funds - PI Investment Funds - Dynamic Allocation Fund Multi-Asset Teodorico
31/12/2019 31/12/2018 31/12/2019 31/12/2018 EUR EUR EUR EUR Income Dividends, net 2 40,128 - 543,049 639,776 Interest on securities 2 2,902,028 3,916,024 3,639,769 3,996,626 Interest on bank accounts 2 251,191 111,227 27,001 17,901 Interest on swaps contracts 2 5,362,211 2,180,889 81,463 81,780 Other income 10, 19 - 1,602 - 5,178 Total Income 8,555,558 6,209,742 4,291,282 4,741,261 Expenses Management fees 4 3,391,856 4,404,723 418,395 417,163 Depositary & administration fees 6 157,958 154,531 71,108 69,267 “Taxe d’abonnement” 7 195,139 276,817 22,178 22,594 Professional fees 15,372 15,266 6,973 5,982 Printing & publishing fees - 5,776 - 2,317 Performance fee 5 - - 1,495,537 - Transaction costs 18 400,465 597,588 102,983 110,816 Interest on swaps contracts 1,518,211 1,428,576 322,871 445,852 Other charges 11, 19 2,045,399 1,437,759 68,152 114,034 Total Expenses 7,724,400 8,321,036 2,508,197 1,188,025
Net asset value at the beginning of the year 531,488,343 648,640,891 223,203,225 236,809,696 Net Operational Income/(Loss) 831,158 -2,111,294 1,783,085 3,553,236 Net realised gain/(loss) on sales of securities -581,896 -6,464,803 7,553,452 -1,481,813 Net realised gain/(loss) on foreign exchange -5,716,714 -2,455,746 390,216 693,061 Net realised gain/(loss) on forward foreign exchange contracts -5,176,499 -39,978,264 -2,848,128 -2,523,247 Net realised gain/(loss) on financial futures contracts -156,386,337 2,626,746 796,534 338,966 Net realised gain/(loss) on options contracts 1,133,140 262,106 -434,467 648,607 Net realised gain/(loss) on swaps contracts -5,689,065 12,945,161 -459,987 237,484 Net Realised Gain/(Loss) -172,417,371 -33,064,800 4,997,620 -2,086,942 Net change in unrealised gain/(loss) on securities 3,159,712 2,360,393 14,225,555 -7,935,684 Net change in unrealised gain/(loss) on forward foreign exchange contracts -4,127,850 8,719,003 697,283 -701,936 Net change in unrealised gain/(loss) on financial futures contracts 16,797,063 -37,420,729 -17,989 256,111 Net change in unrealised gain/(loss) on options contracts -3,194,473 7,903,242 -83,315 -19,556 Net change in unrealised gain/(loss) on swaps contracts 11,378,050 -15,209,541 -325,113 296,820 Net Change in Unrealised Gain/(Loss) for the Year 24,012,502 -33,647,632 14,496,421 -8,104,245
Net Increase/(Decrease) in Net Assets as a Result of Operations -147,573,711 -68,823,726 21,277,126 -6,637,951 Net subscriptions/(redemptions) 219,774,990 -48,328,822 - - Dividend declared 13 - - -5,585,580 -6,968,520 Reevaluation of consolidated Net Assets - - - -
Net Asset Value at Year End 603,689,622 531,488,343 238,894,771 223,203,225
The accompanying notes form an integral part of these financial statements
70 Statement of Operations and Changes in Net Assets
Note PI Investment Funds - PI Investment Funds - Optimiser Tactical Allocation Bond Fund
31/12/2019 31/12/2018 31/12/2019 31/12/2018 EUR EUR EUR EUR Income Dividends, net 2 2,028,791 3,085,967 - - Interest on securities 2 8,019,366 7,237,060 8,134,204 12,065,756 Interest on bank accounts 2 220,541 187,602 87,704 239,954 Interest on swaps contracts 2 8,351,468 5,857,549 2,119,450 260,368 Other income 10, 19 12,896 4,627 - - Total Income 18,633,062 16,372,805 10,341,358 12,566,078 Expenses Management fees 4 4,721,148 4,210,293 3,249,480 4,542,061 Depositary & administration fees 6 190,496 174,660 111,647 166,502 “Taxe d’abonnement” 7 255,439 273,964 156,019 228,363 Professional fees 21,079 18,205 10,543 12,560 Printing & publishing fees - 5,325 - 4,693 Performance fee 5 800,783 548 - - Transaction costs 18 1,214,836 1,068,574 62,761 81,578 Interest on swaps contracts 10,847,663 8,182,594 633,468 1,452,336 Other charges 11, 19 1,145,053 1,112,085 370,325 592,070 Total Expenses 19,196,497 15,046,248 4,594,243 7,080,163
Net asset value at the beginning of the year 579,472,053 403,625,053 431,638,232 513,961,456 Net Operational Income/(Loss) -563,435 1,326,557 5,747,115 5,485,915 Net realised gain/(loss) on sales of securities 32,740,757 -14,570,113 6,645,029 -7,217,225 Net realised gain/(loss) on foreign exchange 3,576,023 4,417,292 -3,063,307 73,604 Net realised gain/(loss) on forward foreign exchange contracts -5,933,647 -10,987,530 216,063 -13,553,085 Net realised gain/(loss) on financial futures contracts -35,580,690 19,381,177 14,252,253 3,040,985 Net realised gain/(loss) on options contracts -7,093,380 4,772,044 -2,296,955 -1,800,534 Net realised gain/(loss) on swaps contracts 9,264,596 -9,043,401 -5,259,099 -1,237,820 Net Realised Gain/(Loss) -3,026,341 -6,030,531 10,493,984 -20,694,075 Net change in unrealised gain/(loss) on securities 31,939,050 -19,480,260 8,480,022 -542,068 Net change in unrealised gain/(loss) on forward foreign exchange contracts 1,055,107 616,256 -1,630,127 4,274,741 Net change in unrealised gain/(loss) on financial futures contracts -6,794,193 5,665,498 -2,775,443 2,210,753 Net change in unrealised gain/(loss) on options contracts 156,368 -1,003,554 -626,373 739,072 Net change in unrealised gain/(loss) on swaps contracts 4,088,307 4,098,603 6,930,523 2,048,864 Net Change in Unrealised Gain/(Loss) for the Year 30,444,639 -10,103,457 10,378,602 8,731,362
Net Increase/(Decrease) in Net Assets as a Result of Operations 26,854,863 -14,807,431 26,619,701 -6,476,798 Net subscriptions/(redemptions) -4,588,434 190,654,431 -209,232,816 -75,846,427 Dividend declared 13 - - - - Reevaluation of consolidated Net Assets - - - -
Net Asset Value at Year End 601,738,482 579,472,053 249,025,117 431,638,231
The accompanying notes form an integral part of these financial statements
71 Statement of Operations and Changes in Net Assets
Note PI Investment Funds - PI Investment Funds - Tactical Allocation Fund Tactical Allocation Pillar
31/12/2019 31/12/2018 31/12/2019 31/12/2018 EUR EUR EUR EUR Income Dividends, net 2 16,061 51,704 - - Interest on securities 2 3,201,288 5,387,687 10,309,650 16,103,937 Interest on bank accounts 2 74,555 52,970 53,368 55,497 Interest on swaps contracts 2 1,375,952 215,953 - - Other income 10, 19 - - - - Total Income 4,667,856 5,708,314 10,363,018 16,159,434 Expenses Management fees 4 2,847,371 4,606,725 2,962,397 4,411,499 Depositary & administration fees 6 64,298 109,491 151,712 275,628 “Taxe d’abonnement” 7 96,627 167,747 175,999 290,792 Professional fees 6,755 9,589 11,107 13,790 Printing & publishing fees - 3,505 - 5,516 Performance fee 5 - - - - Transaction costs 18 213,052 277,057 75,062 42,132 Interest on swaps contracts 431,335 1,196,096 - - Other charges 11, 19 415,649 817,876 316,385 211,840 Total Expenses 4,075,087 7,188,086 3,692,662 5,251,197
Net asset value at the beginning of the year 304,729,508 389,331,138 483,098,446 254,007,915 Net Operational Income/(Loss) 592,769 -1,479,772 6,670,356 10,908,237 Net realised gain/(loss) on sales of securities 5,149,529 -1,062,075 7,280,957 -8,122,635 Net realised gain/(loss) on foreign exchange -3,131,857 120,920 -10,485,331 3,580,690 Net realised gain/(loss) on forward foreign exchange contracts 518,765 -16,119,139 -32,899,860 -64,393,633 Net realised gain/(loss) on financial futures contracts 29,462,942 -30,193,212 -61,469,128 -10,594,062 Net realised gain/(loss) on options contracts -998,003 5,563,211 1,851,604 - Net realised gain/(loss) on swaps contracts -2,595,948 -1,076,077 - - Net Realised Gain/(Loss) 28,405,428 -42,766,372 -95,721,758 -79,529,640 Net change in unrealised gain/(loss) on securities 6,009,401 1,570,263 11,057,143 -2,052,446 Net change in unrealised gain/(loss) on forward foreign exchange contracts -2,562,577 3,273,810 2,575,490 2,410,206 Net change in unrealised gain/(loss) on financial futures contracts 2,072,524 161,224 7,936,380 -4,004,312 Net change in unrealised gain/(loss) on options contracts -287,763 2,174,650 -576,106 - Net change in unrealised gain/(loss) on swaps contracts 3,328,023 1,510,570 - - Net Change in Unrealised Gain/(Loss) for the Year 8,559,608 8,690,517 20,992,907 -3,646,552
Net Increase/(Decrease) in Net Assets as a Result of Operations 37,557,805 -35,555,627 -68,058,495 -72,267,955 Net subscriptions/(redemptions) -222,605,002 -49,046,004 -107,023,954 301,358,486 Dividend declared 13 - - - - Reevaluation of consolidated Net Assets - - - -
Net Asset Value at Year End 119,682,311 304,729,507 308,015,997 483,098,446
The accompanying notes form an integral part of these financial statements
72 Statement of Operations and Changes in Net Assets
Note PI Investment Funds - Combined Tactical Portfolio Income
31/12/2019 31/12/2018 31/12/2019 31/12/2018 EUR EUR EUR EUR Income Dividends, net 2 3,250,879 229,778 22,654,838 23,754,225 Interest on securities 2 63 - 43,578,257 55,935,390 Interest on bank accounts 2 190,601 1,428 1,186,841 863,772 Interest on swaps contracts 2 4,523,405 199,289 21,904,846 8,832,173 Other income 10, 19 57,508 8,774 73,453 58,466 Total Income 8,022,456 439,269 89,398,235 89,444,026 Expenses Management fees 4 1,067,923 170,666 21,099,946 24,622,537 Depositary & administration fees 6 51,479 7,914 1,349,708 1,490,506 “Taxe d’abonnement” 7 66,733 11,088 1,114,938 1,441,588 Professional fees 4,005 2,181 108,444 124,492 Printing & publishing fees 200 545 400 38,364 Performance fee 5 - - 2,296,320 548 Transaction costs 18 695,392 302,120 3,767,568 3,827,918 Interest on swaps contracts 2,130,820 286,762 15,944,702 13,093,840 Other charges 11, 19 195,067 18,361 4,732,577 4,656,641 Total Expenses 4,211,619 799,637 50,414,603 49,296,434
Net asset value at the beginning of the year 97,735,521 - 3,440,876,421 3,583,515,333 Net Operational Income/(Loss) 3,810,837 -360,368 38,983,632 40,147,592 Net realised gain/(loss) on sales of securities 1,573,100 -1,391,190 80,195,983 -18,144,620 Net realised gain/(loss) on foreign exchange 656,859 270,711 -17,564,584 7,527,215 Net realised gain/(loss) on forward foreign exchange contracts -13,381,821 40,013 -59,939,927 -148,098,262 Net realised gain/(loss) on financial futures contracts -14,730,873 -2,370,013 -223,979,086 -17,636,881 Net realised gain/(loss) on options contracts 2,773,628 33,737 -5,694,552 9,912,857 Net realised gain/(loss) on swaps contracts -2,516,783 620,262 -7,115,525 2,725,851 Net Realised Gain/(Loss) -25,625,890 -2,796,480 -234,097,691 -163,713,840 Net change in unrealised gain/(loss) on securities 16,057,568 -5,412,512 232,550,893 -113,569,961 Net change in unrealised gain/(loss) on forward foreign exchange contracts 3,822,993 -187,196 -186,397 18,456,209 Net change in unrealised gain/(loss) on financial futures contracts 2,479,227 -1,208,085 19,876,078 -34,616,107 Net change in unrealised gain/(loss) on options contracts 259,772 5,516 -4,364,317 9,553,766 Net change in unrealised gain/(loss) on swaps contracts 1,614,863 -670,559 27,145,175 -8,089,918 Net Change in Unrealised Gain/(Loss) for the Year 24,234,423 -7,472,836 275,021,432 -128,266,011
Net Increase/(Decrease) in Net Assets as a Result of Operations 2,419,370 -10,629,684 79,907,373 -251,832,259 Net subscriptions/(redemptions) 66,273,406 108,505,928 -223,213,830 114,706,190 Dividend declared 13 -5,341,433 -140,723 -16,128,831 -11,397,591 Reevaluation of consolidated Net Assets - - 2,108,766* 5,884,748
Net Asset Value at Year End 161,086,864 97,735,521 3,283,549,899 3,440,876,421
*The caption "Reevaluation of consolidated Net Assets" amounting to EUR 2,108,766 in the Combined Statement of Operations and Changes in Net Assets as at 31 December 2019 includes: the result of the movements in exchange rates between 31 December 2018 and 31 December 2019 used to convert the "net asset value at the beginning of the year" for sub-funds denominated in a currency other than the consolidated currency.
The accompanying notes form an integral part of these financial statements
73 Notes to the Financial Statements as at 31/12/19
1 INTRODUCTION PI Investment Funds is an open-ended investment company. The SICAV is an Undertaking for Collective Investment in Transferable Securities (UCITS) created on 24 February 2017 and qualifies under Part I of the Luxembourg amended law of 17 December 2010 relating to Undertakings for Collective Investment. The Articles of incorporation are published in the Recueil Electronique des Sociétés et Associations du Grand-Duché de Luxembourg (“RESA”) on 6 March 2017. The SICAV is registered with the Luxembourg Trade and Companies Register under number B 213 036. The SICAV’s initial capital is of thirty thousand Euro (EUR 30,000) divided into three hundred (300) Shares of no par value. The SICAV’s capital is represented by fully paid up Shares of no par value. The SICAV is managed by Amundi Luxembourg S.A. (the “Management Company”) a company organised in the form of a public limited company (“société anonyme”) under chapter 15 of the Law of 17 December 2010 as amended, wholly owned subsidiary of Amundi Asset Management S.A.S, registered with the Trade and Companies Register under number B 57.255 and having its registered office in Luxembourg. It was incorporated on 20 December 1996 for an unlimited period of time. Its Articles of Incorporation are published in the Mémorial on 28 January 1997 and have been amended for the last time on 1 January 2018.
As at 31 December 2019, 15 Sub-Funds were active as detailed below: Bond Sub-Funds PI Investment Funds - Emerging Markets Sovereign Bond PI Investment Funds - Euro High Yield Ex. Financials PI Investment Funds - Strategic Income
Equity Sub-Funds PI Investment Funds - Emerging Markets Equity Income PI Investment Funds - EMU Equity PI Investment Funds - European Equity PI Investment Funds - Japanese Equity PI Investment Funds - US Equity
Multi-Asset Sub-Funds PI Investment Funds - Dynamic Allocation Fund PI Investment Funds - Multi-Asset Teodorico PI Investment Funds - Optimiser PI Investment Funds - Tactical Allocation Bond Fund PI Investment Funds - Tactical Allocation Fund PI Investment Funds - Tactical Allocation Pillar PI Investment Funds - Tactical Portfolio Income
Detailed Share Classes active as at 31 December 2019 are listed in the “Statement of Share Statistics” and the description of Shares Classes is disclosed in the last prospectus.
As at 29 November 2019, the Class H shares have been renamed as Class M shares and it has also been decided to create new other Class H shares which are different from the new Class M shares (formerly the Class H shares).
2 PRINCIPAL ACCOUNTING CONVENTIONS n 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 and generally accepted accounting principles in Luxembourg. The financial statements reflect the Net Asset Values (“NAV”) as calculated on the last business day of the year based on latest available market prices of the investments. Valuation of investments and other instruments The following pricing policy applies: n Valuation of investments - Investments which are quoted or dealt in on an official stock exchange or on a Regulated Market or any Other Regulated Market are valued at the last available prices at 6.00 p.m. Luxembourg time except for PI Investment Funds - Emerging Markets Sovereign Bond, PI Investment Funds - US Equity, PI Investment Funds - Emerging Markets Equity Income and PI Investment Funds - Strategic Income Sub-funds where the investments are valued at the last available prices at 10.00 p.m. In the event that any assets held in a Sub-Fund’s 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 SICAV. n 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 prudently and in good faith by the Board of Directors of the SICAV. Units or shares of a closed-ended UCI are valued at their last available market value. n 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. Net unrealised gain and loss on forward foreign exchange contracts are recorded in the “Statement of Net Assets”; net realised and net change in unrealised gain/(loss) on forward foreign exchange contracts are recorded in the “Statement of Operations and Changes in Net Assets”. The SICAV also offers Hedged Share Class. All gain/(loss) on forward foreign exchange contracts used for Hedged Share Classes are allocated solely to the relevant Share Class. n Financial futures contracts - Financial futures contracts are valued at the quoted price available on an official stock exchange (following the pricing policy as described above under “Valuation of investments”). Initial margin deposits are made in cash upon entering into futures contracts. Subsequent payments, referred to as variation margins, are made or received by the Sub-Fund periodically and are based on changes in the market value of open futures contracts. Net unrealised gain and loss on financial futures contracts are recorded in the “Statement of Net Assets”Assets”; net realised and net change in unrealised gain/(loss) on financial futures contracts are recorded in the “Statement of Operations and Changes in Net Assets”. When the contract is closed, the concerned 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. n Upfront premium Options contracts - When the Sub-Fund purchases an options contract with an upfront premium, it pays a premium and an amount equal to that premium is recorded as an asset. 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 asset or liability is adjusted daily to reflect the current market value of the options contracts.
74 Notes to the Financial Statements as at 31/12/19
Options contracts which are quoted or dealt in on a stock exchange or on a Regulated Market or any Other Regulated Market are valued at the exchange quoted price (following the pricing policy described above under “Valuation of investments”). OTC options are marked-to-market based upon daily prices calculated by third party agents and verified against the value received from the counterparty. If the last known prices are not representative, the valuation will be based on the potential realisation value estimated by the Board of Directors of the SICAV with prudence and in good faith. If an option expires unexercised, the Sub-Fund realises a gain or loss to the extent of the premium received or paid. Premiums received or paid, net unrealised gain and loss from options contracts are recorded in the “Statement of Net Assets” under the account balances “Upfront premium Options contracts purchased at market value” or “Upfront premium Options contracts written at market value”. Net realised and net change in unrealised gain/(loss) on options contracts are recorded in the “Statement of Operations and Changes in Net Assets”. n Futures-style options contracts - Futures-style options contracts are valued at the quoted price available on an official stock exchange (following the pricing policy as described above under “Valuation of investments”). Initial margin deposits are paid in cash upon entering into the contract. Subsequent positive or negative cashflows, referred to as variation margins, are paid or received by the Sub-Fund periodically and are based on changes in the market value of open options contracts. When the contract is closed, the concerned 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. Net unrealised gain and loss on futures-style options contracts are recorded in the “Statement of Net Assets”. Net realised and net change in unrealised gain/(loss) on futures-style options contracts are recorded in the “Statement of Operations and Changes in Net Assets”. n Swaps contracts - Sub-Funds may enter into different types of swaps agreements such as interest rate swaps, swaptions, inflation-linked swaps, credit default swaps and total return swaps. Net unrealised gain and loss on swaps contracts are recorded in the “Statement of Net Assets”. Net realised and net change in unrealised gain/(loss) on swap contracts are recorded in the “Statement of Operations and Changes in Net Assets”. Swaps contracts are valued at fair market value as determined in good faith pursuant to procedures established by the Board of Directors of the SICAV. Swaps contracts are marked-to-market at each Net Asset Valuation calculation date. The market value is based on the valuation of elements laid down in the contract, and it is obtained from third party agents, market makers or internal models, pursuant to the procedures established by the Board of Directors of the SICAV. Effective interest expense/income on swaps contracts is booked in full in the “Statement of Operations and Changes in Net Assets”. Accrued expense/income on swaps contracts are netted on each Net Asset Valuation calculation 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”. n Income - Interest income is accrued on a daily basis. Dividends are shown net of withholding taxes deducted at source, and are recorded as income on the ex- dividend date. n Net realised gain and loss - Net 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 contracts, swaps contracts and other investments during the year, and differences arising on the revaluation of other assets and liabilities denominated in foreign currencies at year end. Net realised gains or losses are determined on the basis of weighted average cost of the investments sold except for futures contracts, where the First-In First-Out (“FIFO”) methodology is applied. n 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 which are in another currency are converted in euros at the exchange rates prevailing at year end. The combined financial statements are presented for information purposes only. At year-end, the value of investments made by Sub-Funds in other Sub-Funds of the same umbrella amounts to EUR 7 464 077 representing 0.23% of the Combined Net Assets and therefore the total Combined Net Assets at period ended without cross Sub-Fund investment would amount to EUR 3 276 085 822.
3 EXCHANGE RATES USED AS OF 31 DECEMBER 2019 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 2019. 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.
The exchange rates used as at 31 December 2019 are as follows: 1 EUR = 1 EUR = 4.12315 AED 429.833335 KZT 67.20730 ARS 21.19730 MXN 1.59685 AUD 4.59160 MYR 4.51550 BRL 407.37770 NGN 1.45560 CAD 9.86375 NOK 1.08700 CHF 1.66385 NZD 844.06390 CLP 3.71670 PEN 7.81840 CNH 56.84900 PHP 7.81900 CNY 4.25125 PLN 3,683.48410 COP 4.78620 RON 25.41400 CZK 69.71990 RUB 1.95583 DEM 4.21085 SAR 7.47250 DKK 10.50775 SEK 18.01615 EGP 1.50935 SGD 0.84735 GBP 33.62310 THB 8.74630 HKD 6.68000 TRY 330.71000 HUF 33.64915 TWD 15,583.10650 IDR 1.12250 USD 3.87710 ILS 42.00960 UYU 80.12200 INR 26,011.13140 VND 121.98770 JPY 15.69650 ZAR 1,298.11515 KRW
75 Notes to the Financial Statements as at 31/12/19
4 MANAGEMENT, INVESTMENT MANAGEMENT AND DISTRIBUTION FEES The management fee is a percentage of the Net Asset Value of each Sub-Fund, which ranges, according to the prospectus, from max 0.22% to max 2% annum and it is calculated and accrued on each Valuation Day on the basis of the Net Asset Value of the relevant Share Class and is payable monthly in arrears. For Share Classes S and X, the management fees are agreed between the Management Company and the relevant investors and are charged and collected by the Management Company directly from the Shareholder and will not be charged to the Sub-Funds or reflected in the Net Asset Value. The management fee rates effectively applied as at 31 December 2019 are as follows:
Sub-Fund Class A Class E Class H Class I Class M Class S PI Investment Funds - Emerging Markets Sovereign Bond 1.10% * 0.40% 0.40% 0.55% 0.40% PI Investment Funds - Euro High Yield Ex. Financials * * 0.15% 0.10% 0.60% * PI Investment Funds - Strategic Income * * * 0.39% * * PI Investment Funds - Emerging Markets Equity Income * * * * 1.00% * PI Investment Funds - EMU Equity * * * * * * PI Investment Funds - European Equity * * * * * * PI Investment Funds - Japanese Equity * * * * * * PI Investment Funds - US Equity * * * * * * PI Investment Funds - Dynamic Allocation Fund * 0.80% 0.22%* * 0.45% * PI Investment Funds - Multi-Asset Teodorico * * * 0.18% * * PI Investment Funds - Optimiser * 1.15% 0.50% 0.40% 0.50% * PI Investment Funds - Tactical Allocation Bond Fund * 1.05% 0.22% * 0.55% * PI Investment Funds - Tactical Allocation Fund * 1.40% 0.22% * 0.75% * PI Investment Funds - Tactical Allocation Pillar * 0.80% * * 0.40% * PI Investment Funds - Tactical Portfolio Income * 0.80% * * 0.40% * * Not launched and/or not applicable
No distribution fees were charged to the Sub-Funds.
5 PERFORMANCE FEES The performance fee, set up at a maximum rate of 15% (where applicable and depending on the Share Class), is calculated by reference to the increase in the Share Class’s assets over and above the increase in the benchmark or performance hurdle as adjusted for subscriptions into and redemptions out of the relevant Classes of Shares during the Performance Period. The calculation is as follows: 1) where the benchmark or performance returns are positive, the Management Company earns a performance fee equal to the percentage listed in Appendix I of the Prospectus of the outperformance the relevant Classes of Units achieved over its respective benchmark subject, where applicable, to the High Watermark Principle (as defined below) during the Performance Period. 2) where the Sub-Fund’s benchmark or performance hurdle declines over the Performance Period, the Management Company earns a performance fee equal to the percentage listed in Appendix I of the Prospectus of the positive performance that the relevant Classes of Shares achieved subject, where applicable, to the High Watermark Principle during the Performance Period. 3) where a Share Class performance exceeds the High Watermark and the benchmark or performance hurdle, but the excess performance against the High Watermark is less than the excess performance against benchmark or performance hurdle, then the performance fee is calculated by reference to the portion of the excess performance over the High Watermark and not the benchmark or performance hurdle. As defined in the prospectus, the High Watermark principle establishes a Net Asset Value per Share below which performance fees is not paid. It is set at the Net Asset Value per Share of the relevant Classes at which the last performance fee was paid or, if no performance fee has ever been paid on that Share Class, at the Net Asset Value per Share at which the Share Class was launched or, where a performance fee is introduced to that Share Class for the first time, at the Net Asset Value per Share of the Share Class on the Business Day immediately preceding the date of introduction of the performance fee on that Share Class. The benchmarks or performance hurdles are calculated gross of management and other fees and charges based on a Total Return index unless otherwise specified.
6 DEPOSITARY AND PAYING AGENT, ADMINISTRATOR, REGISTRAR AND TRANSFER AGENT FEES The Depositary and Paying Agent, the Administrator and the Registrar and Transfer Agent receive out of the assets of the relevant Sub-Fund, a fee for their services as detailed below. n Depositary and Paying Agent: The fee is a percentage of portfolio value at each month end of the Sub-Fund. It ranges from 0.003% to 0.50% 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. n Administrator: The fee for the main services provided, amounts to an annual rate of 0.01%, 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. n Registrar and Transfer Agent: The main components of the compensation for the services provided are the number of the existing active Share Classes, the number of clients’ accounts and the number of transactions processed.
7 TAXATION OF THE SICAV - TAXE D’ABONNEMENT In accordance with the legislation currently prevailing in Luxembourg, the SICAV is not subject to any taxes on income or capital gains. The SICAV is subject to a subscription tax Taxe d’abonnement, which amounts to an annual rate of 0.05% based on the Net Asset Value of each Sub-Fund at the end of each calendar quarter, calculated and paid quarterly. However, this tax is reduced to 0.01% for Net Asset Value related to Share Classes only aimed at eligible institutional investors and for Sub-Funds whose sole object is collective investment in money market instruments and in deposits with credit institutions. Pursuant to Article 175 (a) of the amended law of 17 December 2010, the net asset invested in UCIs already subject to Taxe d'abonnement is exempted from this tax. Interest and dividend income received by the SICAV may be subject to non-recoverable withholding tax in the countries of origin.
76 Notes to the Financial Statements as at 31/12/19
8 OPEN POSITIONS ON FUTURES CONTRACTS As at 31 December 2019, certain Sub-Funds had the following positions on futures contracts. The brokers of all the futures listed are MORGAN STANLEY BANK, NEWEDGE, CITIBANK and UBS. n PI Investment Funds - Emerging Markets Sovereign Bond
Number of contracts Maturity Unrealised appreciation / depreciation Purchase/Sale Description date Currency Commitment in USD in USD -184 US 10 YR NOTE FUTURE 03-2020 USD -23,600,875.92 208,436.58 141 US 5 YR NOTE FUTURE 03-2020 USD 16,709,601.21 -78,211.29 Total : 130,225.29 n PI Investment Funds - Euro High Yield Ex. Financials
Number of contracts Maturity Unrealised appreciation / depreciation Purchase/Sale Description date Currency Commitment in EUR in EUR 8 EURO BOBL 03-2020 EUR 1,069,040.00 -2,720.00 -1 LONG GILT 03-2020 GBP -155,048.09 2,490.12 Total : -229.88 n PI Investment Funds - Strategic Income
Number of contracts Maturity Unrealised appreciation / depreciation Purchase/Sale Description date Currency Commitment in USD in USD -15 EURO BOBL 03-2020 EUR -2,249,995.13 6,735.00 -5 EURO BUND 03-2020 EUR -956,875.13 8,025.88 3 US ULTRA BOND CBT 03-2020 USD 544,968.75 -18,468.75 -11 US 10 YR NOTE FUTURE 03-2020 USD -1,412,640.68 10,170.09 -14 US 10YR ULTRA T NOTE 03-2020 USD -1,969,843.82 25,692.02 12 US 5 YR NOTE FUTURE 03-2020 USD 1,423,312.56 -5,066.87 Total : 27,087.37 n PI Investment Funds - Dynamic Allocation Fund
Number of contracts Maturity Unrealised appreciation / depreciation Purchase/Sale Description date Currency Commitment in EUR in EUR -307 EURO BOBL 03-2020 EUR -41,024,410.00 119,730.00 -488 EURO BUND 03-2020 EUR -83,199,120.00 697,840.00 -59 EURO BUXL 03-2020 EUR -11,704,420.00 454,300.00 -5,861 EURO STOXX 50 03-2020 EUR -218,556,690.00 1,278,510.00 -759 EURO-BTP FUTURE 03-2020 EUR -108,127,140.00 223,910.00 -1,484 EURO-OAT FUTURES 03-2020 EUR -241,550,680.00 2,834,800.00 2,135 FTSE CHINA A50 01-2020 USD 27,407,884.19 572,978.84 1,078 FTSE 100 INDEX 03-2020 GBP 95,402,395.70 194,010.74 -609 MSCI EM NTR INDEX 03-2020 EUR -27,021,330.00 -1,261,239.00 2,000 S&P 500 EMINI 03-2020 USD 286,614,699.33 2,636,331.85 5,578 US 10 YR NOTE FUTURE 03-2020 USD 638,084,688.20 -4,606,820.71 Total : 3,144,351.72 n PI Investment Funds - Multi-Asset Teodorico
Number of contracts Maturity Unrealised appreciation / depreciation Purchase/Sale Description date Currency Commitment in EUR in EUR -133 EURO BOBL 03-2020 EUR -17,772,790.00 51,870.00 -10 EURO BUXL 03-2020 EUR -1,983,800.00 77,000.00 -5 JAPANESE 10Y BOND 03-2020 JPY -6,237,514.11 4,918.53 -66 US 10YR ULTRA T NOTE 03-2020 USD -8,271,130.58 121,247.14 47 US 5 YR NOTE FUTURE 03-2020 USD 4,965,945.05 -18,645.70 Total : 236,389.97 n PI Investment Funds - Optimiser
Number of contracts Maturity Unrealised appreciation / depreciation Purchase/Sale Description date Currency Commitment in EUR in EUR 33 ALLIANZ SE SSDF 12-2022 EUR 325,710.00 8,910.00
77 Notes to the Financial Statements as at 31/12/19
Number of contracts Maturity Unrealised appreciation / depreciation Purchase/Sale Description date Currency Commitment in EUR in EUR 6 AMSTERDAM INDEX 01-2020 EUR 725,556.00 -5,604.00 285 AUST 3YR BOND FUT 03-2020 AUD 20,527,224.72 -143,976.89 239 AXA 12-2022 EUR 328,625.00 22,705.00 155 BAYER DIVIDENDS 12-2022 EUR 347,200.00 51,150.00 124 BAYERIS MOTOREN AG 12-2022 EUR 353,400.00 40,920.00 -52 CAC 40 01-2020 EUR -3,104,400.00 260.00 403 CAN 10YR BOND FUT 03-2020 CAD 38,104,486.12 -625,913.71 228 CBOE VIX INDEX 02-2020 USD 3,524,098.00 -151,973.27 -228 CBOE VIX INDEX 03-2020 USD -3,548,472.16 143,848.55 20 DAX INDEX 03-2020 EUR 6,623,250.00 7,812.50 39 DJ STOXX 600 AUTO . 03-2020 EUR 988,260.00 -32,955.00 -695 DJ STOXX 600 TELECOM 03-2020 EUR -8,527,650.00 116,610.00 190 DOW JONES MINI 03-2020 USD 24,030,556.79 44,356.35 3 E-MINI CONSUM DISC S 03-2020 USD 337,897.55 2,645.88 106 EMINI RUSS 1000 VALU 03-2020 USD 6,335,919.82 31,162.58 -83 EMINI RUSSELL 1000 03-2020 USD -6,526,498.89 -68,026.73 -138 EMINI RUSSELL 2000 03-2020 USD -10,291,910.91 -78,681.51 -360 EMINI S&P REESTATE 03-2020 USD -14,937,193.76 -424,944.32 25 E-MINI XAI INDUSTRIA 03-2020 USD 1,822,049.00 35.63 113 E-MINI XAK TECHNO 03-2020 USD 9,254,423.16 137,915.37 -150 E-MINI XAU UTILITIES 03-2020 USD -8,683,296.21 -97,550.11 410 ENI SPA 12-2022 EUR 321,850.00 4,100.00 -144 EURO BOBL 03-2020 EUR -19,242,720.00 80,360.00 -442 EURO BUND 03-2020 EUR -75,356,580.00 745,820.00 -41 EURO BUXL 03-2020 EUR -8,133,580.00 223,200.00 2,614 EURO SCHATZ 03-2020 EUR 292,519,670.00 -112,835.00 5,153 EURO STOXX BANKS 03-2020 EUR 24,966,285.00 -18,240.00 -256 EURO STOXX 50 03-2020 EUR -9,546,240.00 27,120.00 -211 EURO STOXX 50 DIV 12-2021 EUR -2,605,850.00 -128,220.00 106 EURO STOXX 50 DIV 12-2022 EUR 1,264,580.00 49,820.00 75 EURO STOXX 50 DIV 12-2020 EUR 925,500.00 17,620.00 64 EURO STOXX 50 DIV 12-2024 EUR 707,200.00 24,960.00 75 EURO STOXX 50 DIV 12-2023 EUR 858,750.00 54,240.00 -293 EURO-BTP FUTURE 03-2020 EUR -41,740,780.00 121,860.00 -99 EURO-OAT FUTURES 03-2020 EUR -16,114,230.00 138,600.00 302 FTSE CHINA A50 01-2020 USD 3,876,899.78 46,169.27 193 FTSE 100 INDEX 03-2020 GBP 17,080,391.81 104,431.46 463 FTSE 250 INDEX 03-2020 GBP 23,932,731.46 218,563.76 -15 FTSE/JSE TOP 40 03-2020 ZAR -490,810.05 5,257.84 71 FTSE/MIB IDX FUT 03-2020 EUR 8,310,550.00 10,650.00 36 HANG SENG INDEX 01-2020 HKD 5,818,003.04 78,821.90 210 HSCEI FUTURES 01-2020 HKD 13,458,891.19 246,104.07 23 IBEX 35 INDEX FUTURE 01-2020 EUR 2,191,509.00 -11,661.00 521 ING GROEP NV 12-2022 EUR 323,020.00 5,210.00 73 KL COMPOSITE IDX 01-2020 MYR 1,267,913.15 -7,497.39 100 KOSPI 200 INDEX 03-2020 KRW 5,685,165.91 357,248.74 326 LONG GILT 03-2020 GBP 50,545,677.70 -361,149.47 88 MDAX INDEX FUT 03-2020 EUR 12,478,840.00 106,040.00 321 MEXICAN BOLSA IDX 03-2020 MXN 6,693,399.63 -163,407.60 197 MINI MSCI EMG MKT 03-2020 USD 9,796,472.16 77,866.37 55 MSCI SING IX ETS 01-2020 SGD 1,353,728.43 351.14 65 MSCI TAIWAN INDEX 01-2020 USD 2,661,380.85 -19,109.13 32 MUENCHENER RUECKVER 12-2022 EUR 326,400.00 12,800.00 -42 NASDAQ 100 E-MINI 03-2020 USD -6,524,685.97 22,855.23 558 NIKKEI 225 (SGX) 03-2020 JPY 53,461,332.58 -214,660.99 445 OMXS30 INDEX FUTURE 01-2020 SEK 7,488,484.69 -39,014.06 144 SCHNEIDER ELECTRIC S 12-2022 EUR 360,000.00 .00 -196 SET 50 FUTURES 03-2020 THB -1,243,861.51 851.80 175 SGX CNX NIFTY 01-2020 USD 3,818,040.09 -24,937.19 924 SHORT EURO BTP 03-2020 EUR 103,885,320.00 -11,100.00 85 SIEMENS DIVIDEND 12-2022 EUR 330,650.00 17,850.00 -34 S&P EMINI COM SERV 03-2020 USD -2,126,325.17 -5,300.67 -159 S&P 500 EMINI 03-2020 USD -22,785,868.60 -107,458.80 -224 SPI 200 FUTURES 03-2020 AUD -23,156,088.55 620,361.96 11 S&P/TSE 60 IX FUT 03-2020 CAD 1,526,518.27 -3,068.15 -608 STOXX EURO LARGE 200 03-2020 EUR -12,579,520.00 -6,080.00 406 STOXX EURO SMALL 200 03-2020 EUR 6,483,820.00 3,255.00 548 STOXX 600 BASIC RES 03-2020 EUR 12,412,200.00 -121,930.00
78 Notes to the Financial Statements as at 31/12/19
Number of contracts Maturity Unrealised appreciation / depreciation Purchase/Sale Description date Currency Commitment in EUR in EUR 100 STOXX 600 CONS & MAT 03-2020 EUR 2,568,000.00 - -155 STOXX 600 FOOD BEV 03-2020 EUR -6,004,700.00 -95,325.00 150 STOXX 600 HEALTH 03-2020 EUR 6,757,500.00 77,625.00 83 STOXX 600 INDUS 03-2020 EUR 2,484,190.00 -24,275.00 -304 STOXX 600 INSURAN 03-2020 EUR -4,897,440.00 31,160.00 -555 STOXX 600 MEDIA 03-2020 EUR -8,502,600.00 -66,600.00 482 STOXX 600 OIL & GAS 03-2020 EUR 7,644,520.00 30,785.00 94 STOXX 600 TECHNO 03-2020 EUR 2,475,960.00 -33,370.00 -342 STOXX 600 UTIL 03-2020 EUR -6,065,370.00 -88,920.00 -184 SWISS MKT INDEX FUT 03-2020 CHF -17,810,929.16 -193,854.65 131 TOTAL SA SSDF 12-2022 EUR 340,600.00 27,510.00 12 US LONG BOND 03-2020 USD 1,666,369.71 -22,717.15 -10 US ULTRA BOND CBT 03-2020 USD -1,619,432.07 41,759.47 1,612 US 10 YR NOTE FUTURE 03-2020 USD 184,401,670.38 -1,696,339.09 -164 US 10YR ULTRA T NOTE 03-2020 USD -20,552,506.30 164,661.63 1,644 US 2 YR NOTE FUTURE 03-2020 USD 315,572,954.51 -151,892.29 -1,139 US 5 YR NOTE FUTURE 03-2020 USD -120,344,923.69 351,707.71 -257 WIG20 INDEX FUT 03-2020 PLN -2,609,143.19 -32,141.13 33 XAB MATERIALS 03-2020 USD 1,903,563.47 17,051.22 231 XAE ENERGY 03-2020 USD 12,765,193.76 184,055.23 118 XAF FINANCIAL 03-2020 USD 9,926,191.54 -59,131.40 -129 XAP CONS STAPLES 03-2020 USD -7,267,670.38 -33,327.39 -25 XAV HEALTH CARE 03-2020 USD -2,285,077.95 -10,467.71 63 10Y AUSTRALIAN BOND 03-2020 AUD 5,640,081.85 -121,771.86 Total : -658,392.00 n PI Investment Funds - Tactical Allocation Bond Fund
Number of contracts Maturity Unrealised appreciation / depreciation Purchase/Sale Description date Currency Commitment in EUR in EUR -552 EURO BOBL 03-2020 EUR -73,763,760.00 215,280.00 202 EURO BUND 03-2020 EUR 34,438,980.00 -285,660.00 -36 EURO BUXL 03-2020 EUR -7,141,680.00 277,440.00 26 EURO SCHATZ 03-2020 EUR 2,909,530.00 -650.00 67 EURO-BTP FUTURE 03-2020 EUR 9,544,820.00 -17,420.00 -141 EURO-OAT FUTURES 03-2020 EUR -22,950,570.00 236,480.00 -112 LONG GILT 03-2020 GBP -17,365,386.20 282,858.32 476 US 2 YR NOTE FUTURE 03-2020 USD 91,370,271.50 -37,356.56 933 US 5 YR NOTE FUTURE 03-2020 USD 98,579,292.19 -311,694.73 Total : 359,277.03 n PI Investment Funds - Tactical Allocation Fund
Number of contracts Maturity Unrealised appreciation / depreciation Purchase/Sale Description date Currency Commitment in EUR in EUR -323 EURO BOBL 03-2020 EUR -43,162,490.00 125,970.00 84 EURO BUND 03-2020 EUR 14,321,160.00 -118,460.00 -18 EURO BUXL 03-2020 EUR -3,570,840.00 138,600.00 -299 EURO STOXX 50 03-2020 EUR -11,149,710.00 75,560.00 -99 EURO-OAT FUTURES 03-2020 EUR -16,114,230.00 167,710.00 989 FTSE CHINA A50 01-2020 USD 12,696,204.90 265,422.05 121 FTSE 100 INDEX 03-2020 GBP 10,708,432.17 21,779.67 -51 LONG GILT 03-2020 GBP -7,907,452.65 128,801.56 -244 MSCI EM NTR INDEX 03-2020 EUR -10,826,280.00 -505,324.00 2,746 MSCI EUROPE 03-2020 EUR 66,988,670.00 43,935.00 -157 S&P 500 EMINI 03-2020 USD -22,499,253.90 -498,623.61 217 US 2 YR NOTE FUTURE 03-2020 USD 41,654,094.36 -17,008.09 479 US 5 YR NOTE FUTURE 03-2020 USD 50,610,376.16 -160,023.34 Total : -331,660.76 n PI Investment Funds - Tactical Allocation Pillar
Number of contracts Maturity Unrealised appreciation / depreciation Purchase/Sale Description date Currency Commitment in EUR in EUR 16 EURO BUND 03-2020 EUR 2,727,840.00 -27,840.00 -598 EURO BUXL 03-2020 EUR -118,631,240.00 4,605,000.00
79 Notes to the Financial Statements as at 31/12/19
Number of contracts Maturity Unrealised appreciation / depreciation Purchase/Sale Description date Currency Commitment in EUR in EUR 405 EURO SCHATZ 03-2020 EUR 45,321,525.00 -14,175.00 -969 EURO STOXX 50 03-2020 EUR -36,134,010.00 271,320.00 -20 EURO-OAT FUTURES 03-2020 EUR -3,255,400.00 29,200.00 -141 LONG GILT 03-2020 GBP -21,861,780.85 356,098.42 -412 S&P 500 EMINI 03-2020 USD -59,042,628.06 -1,308,489.98 599 US 2 YR NOTE FUTURE 03-2020 USD 114,980,656.78 -47,085.42 Total : 3,864,028.02 n PI Investment Funds - Tactical Portfolio Income
Number of contracts Maturity Unrealised appreciation / depreciation Purchase/Sale Description date Currency Commitment in EUR in EUR 226 CAN 10YR BOND FUT 03-2020 CAD 21,368,768.89 -372,629.84 35 E-MINI XAI INDUSTRIA 03-2020 USD 2,550,868.60 12,472.16 -884 EURO BOBL 03-2020 EUR -118,128,920.00 353,600.00 160 EURO BUND 03-2020 EUR 27,278,400.00 -208,000.00 -23 EURO BUXL 03-2020 EUR -4,562,740.00 178,020.00 -424 EURO SCHATZ 03-2020 EUR -47,447,720.00 8,480.00 -1,925 EURO STOXX 50 03-2020 EUR -71,783,250.00 518,330.00 36 EURO-BTP FUTURE 03-2020 EUR 5,128,560.00 -4,320.00 218 FTSE CHINA A50 01-2020 USD 2,798,556.79 58,505.57 -223 FTSE 100 INDEX 03-2020 GBP -19,735,374.99 -39,995.28 139 FTSE 250 INDEX 03-2020 GBP 7,184,988.49 98,752.58 -10 JAPANESE 10Y BOND 03-2020 JPY -12,475,028.22 9,837.06 -127 LONG GILT 03-2020 GBP -19,691,107.57 206,585.24 -56 MINI MSCI EMG MKT 03-2020 USD -2,784,783.96 -85,434.30 165 MSCI EM NTR INDEX 03-2020 EUR 7,321,050.00 50,097.60 20 NASDAQ 100 E-MINI 03-2020 USD 3,106,993.32 102,663.70 101 NIKKEI 225 OSE 03-2020 JPY 19,572,792.99 130,898.44 131 SHORT EURO BTP 03-2020 EUR 14,728,330.00 14,410.00 43 S&P 500 EMINI 03-2020 USD 6,162,216.04 122,300.67 -119 SWISS MKT INDEX FUT 03-2020 CHF -11,519,024.84 -104,820.61 -364 US LONG BOND 03-2020 USD -50,546,547.88 1,038,697.10 -96 US 10 YR NOTE FUTURE 03-2020 USD -10,981,737.19 116,258.35 148 US 10YR ULTRA T NOTE 03-2020 USD 18,547,383.73 30,930.50 1,853 US 2 YR NOTE FUTURE 03-2020 USD 355,691,414.06 -201,286.44 739 US 5 YR NOTE FUTURE 03-2020 USD 78,081,561.55 -80,200.69 22 XAF FINANCIAL 03-2020 USD 1,850,645.88 4,164.81 410 10Y AUSTRALIAN BOND 03-2020 AUD 36,705,294.61 -687,174.55 Total : 1,271,142.07
80 Notes to the Financial Statements as at 31/12/19
9 OPEN POSITIONS ON FORWARD FOREIGN EXCHANGE CONTRACTS As at 31 December 2019, certain sub-funds had the following open positions on forward foreign exchange contracts:
n PI Investment Funds - Emerging Markets Sovereign Bond
Currency Amount in USD Currency receivable EUR 8,207,263.95 USD 13,200,000.00 Total : 21,407,263.95 Currency payable EUR 13,341,114.42 USD 8,130,420.00 Total : 21,471,534.42 Total : -64,270.47
The final expiry date for all open contracts will be 05 March 2020. The counterparties of the forwards are SOCIETE GENERALE and UBS. n PI Investment Funds - Euro High Yield Ex. Financials
Currency Amount in EUR Currency receivable EUR 2,634,647.08 Total : 2,634,647.08 Currency payable GBP 1,238,839.45 USD 1,390,510.52 Total : 2,629,349.97 Total : 5,297.11
The final expiry date for all open contracts will be 05 March 2020. The counterparties of the forwards are CREDIT AGRICOLE and SOCIETE GENERALE. n PI Investment Funds - Strategic Income
Currency Amount in USD Currency receivable AUD 280,171.44 COP 138,760.13 EGP 230,343.55 EUR 25,585.26 INR 140,941.81 NOK 405,215.14 SEK 478,174.57 USD 245,329.90 Total : 1,944,521.80 Currency payable EUR 326,201.81 MXN 204,160.56 USD 1,375,841.37 Total : 1,906,203.74 Total : 38,318.06
The maximal final expiry date for the open contracts will be 27 February 2020. The counterparties of the forwards are CITIBANK, GOLDMAN SACHS BANK, HSBC and STATE STREET. n PI Investment Funds - Dynamic Allocation Fund
Currency Amount in EUR Currency receivable EUR 135,948,538.46 GBP 1,203,875.54 JPY 108,434,520.53 NOK 58,492,371.43 Total : 304,079,305.96 Currency payable EUR 57,992,667.53 USD 243,298,554.73 Total : 301,291,222.26 Total : 2,788,083.70
The final expiry date for all open contracts will be 19 March 2020. The counterparties of the forwards are BANK OF AMERICA, HSBC and UBS.
81 Notes to the Financial Statements as at 31/12/19
n PI Investment Funds - Multi-Asset Teodorico
Currency Amount in EUR Currency receivable AUD 6,086,277.37 BRL 649,808.67 CAD 3,569,052.11 CHF 2,171,600.00 CNH 70,999.09 COP 107,771.04 EUR 78,753,301.44 GBP 721,272.34 HUF 525,904.03 IDR 771,691.52 ILS 117,341.62 INR 1,360,375.63 KRW 142,950.64 MXN 1,591,131.13 NOK 7,733,063.49 NZD 2,097,466.55 PEN 113,528.62 PHP 298,832.27 PLN 669,817.46 RUB 974,649.92 SEK 3,140,783.08 TWD 162,564.91 USD 8,416,691.55 ZAR 1,227,392.90 Total : 121,474,267.38 Currency payable AUD 7,387,056.40 CAD 3,373,654.28 CHF 1,945,287.78 COP 106,847.06 EUR 12,579,663.04 GBP 8,828,952.91 HKD 959,262.77 HUF 523,237.89 ILS 270,047.20 INR 210,355.42 JPY 9,924,910.17 KRW 141,604.71 MXN 849,164.75 NOK 3,845,491.29 NZD 2,908,776.69 PEN 70,522.56 PLN 600,487.79 SEK 3,063,965.76 TWD 442,242.25 USD 62,835,788.14 Total : 120,867,318.86 Total : 606,948.52
The maximal final expiry date for the open contracts will be 16 December 2020. The counterparties of the forwards are BANK OF AMERICA, BNP PARIBAS, CITIBANK, CREDIT AGRICOLE, DEUTSCHE BANK, GOLDMAN SACHS BANK, HSBC, JP MORGAN, MORGAN STANLEY BANK, NOMURA, ROYAL BANK OF CANADA, SOCIETE GENERALE, UBS and UNICREDIT. n PI Investment Funds - Optimiser
Currency Amount in EUR Currency receivable AUD 18,744,751.24 BRL 20,851,854.81 CAD 11,457,764.36 CHF 69,584,937.92 CLP 23,637,755.80 CNH 5,829,331.67 COP 15,214,551.49 EUR 270,147,738.08 GBP 3,419,447.03 HUF 6,455,206.63 IDR 18,403,919.58 ILS 2,923,446.98 INR 24,462,967.55 JPY 41,040,113.40 KRW 7,244,014.69 KZT 1,891,465.35
82 Notes to the Financial Statements as at 31/12/19
Currency Amount in EUR Currency receivable NOK 42,654,894.89 NZD 4,134,011.39 RUB 25,220,454.00 SEK 13,525,614.61 SGD 8,106,648.76 TRY 5,665,158.92 TWD 39,217,013.98 USD 182,517,929.67 ZAR 9,778,026.28 Total : 872,129,019.08 Currency payable AUD 9,243,731.66 BRL 6,335,298.42 CAD 48,565,692.54 CHF 35,793,061.48 CLP 30,168,595.99 COP 16,562,873.17 CZK 7,012,652.75 DKK 3,404,779.49 EUR 150,998,625.84 GBP 1,806,897.79 HKD 21,477,673.53 HUF 12,255,789.58 IDR 2,970,845.83 ILS 20,192,927.70 INR 5,841,020.26 JPY 19,421,774.63 KRW 24,108,638.05 MXN 4,049,336.48 NOK 5,052,187.06 NZD 39,185,755.62 PHP 3,087,646.92 RON 6,225,905.24 RUB 5,486,238.51 SEK 20,969,206.58 THB 10,128,773.27 TRY 4,965,225.44 TWD 17,295,261.02 USD 324,323,358.58 ZAR 12,653,890.46 Total : 869,583,663.89 Total : 2,545,355.19
The maximal final expiry date for the open contracts will be 16 April 2020. The counterparties of the forwards are BANK OF AMERICA, BNP PARIBAS, CITIBANK, GOLDMAN SACHS BANK, HSBC, JP MORGAN, MORGAN STANLEY BANK, SOCIETE GENERALE,UBS,UNICREDIT,CREDIT AGRICOLE and BARCLAYS. n PI Investment Funds - Tactical Allocation Bond Fund
Currency Amount in EUR Currency receivable AUD 20,074,267.24 BRL 11,893,415.88 EUR 73,669,223.99 IDR 5,993,944.89 JPY 27,988,549.60 NOK 55,291,536.21 RUB 6,969,329.10 USD 5,904,221.36 Total : 207,784,488.27 Currency payable AUD 6,058,078.58 CAD 19,941,779.88 EUR 30,485,000.00 NZD 23,604,892.27 USD 125,690,160.93 Total : 205,779,911.66 Total : 2,004,576.61
The final expiry date for all open contracts will be 19 March 2020. The counterparties of the forwards are BANK OF AMERICA, BNP PARIBAS, HSBC, MORGAN STANLEY BANK, SOCIETE GENERALE, UBS and UNICREDIT.
83 Notes to the Financial Statements as at 31/12/19
n PI Investment Funds - Tactical Allocation Fund
Currency Amount in EUR Currency receivable AUD 9,453,816.37 BRL 6,081,655.92 EUR 22,425,047.93 IDR 3,073,586.78 JPY 21,793,561.01 NOK 25,886,856.29 RUB 3,118,820.50 USD 3,010,523.83 Total : 94,843,868.63 Currency payable AUD 3,088,974.62 CAD 9,391,422.51 EUR 14,000,000.00 GBP 3,774,777.25 NZD 11,329,146.26 USD 52,454,427.75 Total : 94,038,748.39 Total : 805,120.24
The final expiry date for all open contracts will be 19 March 2020. The counterparties of the forwards are BANK OF AMERICA, BNP PARIBAS, HSBC, MORGAN STANLEY BANK, SOCIETE GENERALE, UBS and UNICREDIT. n PI Investment Funds - Tactical Allocation Pillar
Currency Amount in EUR Currency receivable EUR 594,429,249.71 Total : 594,429,249.71 Currency payable GBP 97,086,128.00 USD 492,357,425.66 Total : 589,443,553.66 Total : 4,985,696.05
The final expiry date for all open contracts will be 19 March 2020. The counterparties of the forwards are BANK OF AMERICA, BNP PARIBAS and HSBC. n PI Investment Funds - Tactical Portfolio Income
Currency Amount in EUR Currency receivable AUD 2,691,717.34 BRL 8,653,975.40 CLP 2,812,556.38 EUR 326,919,868.99 GBP 8,965,586.72 IDR 9,114,510.08 INR 8,338,351.33 JPY 19,902,091.17 MXN 3,775,908.57 NOK 9,301,499.32 PLN 6,090,251.61 RUB 9,162,146.02 SEK 8,373,886.54 TWD 7,228,169.20 USD 13,984,792.07 Total : 445,315,310.74 Currency payable AUD 15,086,136.70 CAD 7,209,540.78 CHF 6,440,641.12 COP 108,321.36 DKK 1,994,102.01 EUR 70,564,760.77 GBP 71,488,757.30 HKD 3,653,525.42 ILS 6,292,623.52 JPY 237,710.31 KRW 3,805,517.56 MYR 108,894.50 NZD 1,141,015.41 THB 6,489,359.28 TWD 7,251,297.58 USD 239,807,310.56 Total : 441,679,514.18 Total : 3,635,796.56
The maximal final expiry date for the open contracts will be 19 March 2020. The counterparties of the forwards are BANK OF AMERICA, CITIBANK, GOLDMAN SACHS BANK, HSBC, JP MORGAN, SOCIETE GENERALE and UBS.
84 Notes to the Financial Statements as at 31/12/19
10 OTHER INCOME Amounts of other income in the Statement of Operations and Changes in Net Assets include mainly rebates and revenues from class action.
11 OTHER CHARGES Balances for other charges in the Statement of Operations and Changes in Net Assets mainly include other taxe, legal charges and interest and bank charges.
12 STATEMENT OF PORTFOLIO MOVEMENTS A list of changes in the portfolio for the year ended 31 December 2019 is available free of charge at the registered office of the Management Company of the SICAV. All details relating to the Outstanding Derivatives Contracts as at 31 December 2019 are presented within the Notes to the Financial Statements.
13 DIVIDENDS n Semi Annually Target Distributing: these classes aim to distribute on a semi-annual basis a dividend based on an annual target yield defined at the beginning of the year. n Monthly Target Distributing: these classes aim to distribute on a monthly basis a dividend based on an annual target yield defind at the beginning of the year. n Quarterly Distributing: these classes distribute on a quarterly basis an amount based on the net income generated on the same quarter. Dividend Distribution policy is described in the prospectus of the SICAV for further details. No distribution other than those described in the prospectus have been done during the year.
85 Notes to the Financial Statements as at 31/12/19
14 OPTIONS As at 31 December 2019, certain sub-funds had the following open positions :
UPFRONT PREMIUM OPTIONS CONTRACTS As at 31 December 2019, certain sub-funds had the following open positions :
n PI Investment Funds - Strategic Income
Maturity Number of Total Contract Strike date Currency options commitment in USD
FX OPTION - CALL EUR / PUT USD 1.2455 09/01/20 EUR -125,000 -140,312.50 FX OPTION - CALL EUR / PUT USD 1.2083 29/04/20 EUR -355,000 -398,487.50 FX OPTION - PUT EUR / CALL USD 1.13 09/01/20 EUR 125,000 - FX OPTION - PUT EUR / CALL USD 1.10 29/04/20 EUR 355,000 - Total : -538,800.00 As at 31 December 2019, the total net market value on Upfront Premium Options Contracts purchased amounted to USD 2,638.17. As at 31 December 2019, the total net market value on Upfront Premium Options Contracts sold amounted to USD 254.80. The counterparty of these options is JP MORGAN. n PI Investment Funds - Dynamic Allocation Fund
Maturity Number of Total Contract Strike date Currency options commitment in EUR
FX OPTION - PUT USD / CALL JPY 105.00 11/12/20 USD 122,550,000 - PUT CDX OPTION - CDX NA HY 33 INDEX 100.00 18/03/20 USD -197,100,000 -175,590,200.45 PUT CDX OPTION - CDX NA HY 33 INDEX 106.50 18/03/20 USD 197,100,000 - PUT CDX OPTION - ITRAXX EUROPE CROSSOVER SERIES 375.00 18/03/20 EUR -84,500,000 -84,500,000.00 32 INDEX PUT CDX OPTION - ITRAXX EUROPE CROSSOVER SERIES 250.00 18/03/20 EUR 84,500,000 - 32 INDEX Total : -260,090,200.45 As at 31 December 2019, the total net market value on Upfront Premium Options Contracts purchased amounted to EUR 2,586,434.48. As at 31 December 2019, the total net market value on Upfront Premium Options Contracts sold amounted to EUR 143,187.06. The counterparties of these options are BANK OF AMERICA, JP MORGAN and DEUTSCHE BANK. n PI Investment Funds - Multi-Asset Teodorico
Maturity Number of Total Contract Strike date Currency options commitment in EUR
FX OPTION - CALL AUD / PUT CAD 0.93 16/01/20 AUD -1,650,000 -1,033,284.28 FX OPTION - CALL AUD / PUT CAD 0.906 16/01/20 AUD 1,650,000 - FX OPTION - CALL AUD / PUT CAD 0.906 16/01/20 AUD -1,650,000 -1,033,284.28 FX OPTION - CALL AUD / PUT CAD 0.903 06/02/20 AUD 880,000 - FX OPTION - CALL AUD / PUT NZD 1.06 06/02/20 AUD -1,900,000 -1,189,842.50 FX OPTION - CALL AUD / PUT NZD 1.043 06/02/20 AUD 1,200,000 - FX OPTION - CALL AUD / PUT USD 0.69 06/02/20 AUD 880,000 - FX OPTION - CALL EUR / PUT CHF 1.103 06/02/20 EUR 700,000 - FX OPTION - CALL EUR / PUT CHF 1.093 09/04/20 EUR 800,000 - FX OPTION - CALL EUR / PUT GBP 0.876 16/01/20 EUR -710,000 -710,000.00 FX OPTION - CALL EUR / PUT JPY 122.00 09/04/20 EUR 530,000 - FX OPTION - CALL EUR / PUT NOK 10.20 16/01/20 EUR -860,000 -860,000.00 FX OPTION - CALL EUR / PUT SEK 10.93 16/01/20 EUR -1,420,000 -1,420,000.00 FX OPTION - CALL EUR / PUT SEK 10.93 16/01/20 EUR 1,420,000 - FX OPTION - CALL EUR / PUT SEK 10.60 06/02/20 EUR -1,500,000 -1,500,000.00 FX OPTION - CALL EUR / PUT USD 1.12 06/02/20 EUR 780,000 - FX OPTION - CALL EUR / PUT USD 1.11 05/03/20 EUR 800,000 - FX OPTION - CALL EUR / PUT USD 1.14 05/03/20 EUR -800,000 -800,000.00 FX OPTION - CALL EUR / PUT USD 1.11 11/06/20 EUR 1,730,000 - FX OPTION - CALL EUR / PUT USD 1.13 11/06/20 EUR 800,000 - FX OPTION - CALL NOK / PUT SEK 1.05 06/02/20 NOK -12,000,000 -1,216,575.85 FX OPTION - CALL NOK / PUT SEK 1.073 06/02/20 NOK -18,000,000 -1,824,863.77 FX OPTION - CALL NOK / PUT SEK 1.05 06/02/20 NOK 12,000,000 - FX OPTION - CALL NOK / PUT SEK 1.033 06/02/20 NOK 8,000,000 - FX OPTION - CALL USD / PUT CAD 1.38 16/01/20 USD -2,590,000 -2,307,349.67
86 Notes to the Financial Statements as at 31/12/19
Maturity Number of Total Contract Strike date Currency options commitment in EUR
FX OPTION - CALL USD / PUT CAD 1.33 16/01/20 USD 2,590,000 - FX OPTION - CALL USD / PUT CAD 1.33 16/01/20 USD 790,000 - FX OPTION - CALL USD / PUT CHF 0.98 12/03/20 USD 1,300,000 - FX OPTION - CALL USD / PUT CHF 0.993 11/06/20 USD 880,000 - FX OPTION - CALL USD / PUT CNH 7.11 16/01/20 USD 600,000 - FX OPTION - CALL USD / PUT ILS 3.55 16/01/20 USD -1,200,000 -1,069,042.32 FX OPTION - CALL USD / PUT ILS 3.48 16/01/20 USD 870,000 - FX OPTION - CALL USD / PUT KRW 1,183.00 16/01/20 USD 600,000 - FX OPTION - CALL USD / PUT KRW 1,206.00 16/01/20 USD -600,000 -534,521.16 FX OPTION - CALL USD / PUT KRW 1,160.00 12/03/20 USD 880,000 - FX OPTION - CALL USD / PUT TWD 30.70 12/03/20 USD 860,000 - FX OPTION - PUT AUD / CALL NZD 1.068 16/01/20 AUD 1,640,000 - FX OPTION - PUT EUR / CALL CHF 1.07 16/01/20 EUR -780,000 780,000.00 FX OPTION - PUT EUR / CALL CHF 1.09 16/01/20 EUR 390,000 - FX OPTION - PUT EUR / CALL CHF 1.093 06/02/20 EUR 700,000 - FX OPTION - PUT EUR / CALL JPY 120.00 16/01/20 EUR 600,000 - FX OPTION - PUT EUR / CALL JPY 120.00 16/01/20 EUR -600,000 600,000.00 FX OPTION - PUT EUR / CALL NOK 9.90 16/01/20 EUR 860,000 - FX OPTION - PUT EUR / CALL NOK 9.90 16/01/20 EUR -860,000 860,000.00 FX OPTION - PUT EUR / CALL SEK 10.63 16/01/20 EUR 1,190,000 - FX OPTION - PUT EUR / CALL SEK 10.43 16/01/20 EUR -1,800,000 1,800,000.00 FX OPTION - PUT EUR / CALL SEK 10.39 06/02/20 EUR 1,500,000 - FX OPTION - PUT USD / CALL JPY 107.00 16/01/20 USD -760,000 677,060.13 FX OPTION - PUT USD / CALL JPY 105.00 12/03/20 USD 410,000 - FX OPTION - PUT USD / CALL JPY 105.00 11/06/20 USD 2,100,000 - FX OPTION - PUT USD / CALL JPY 105.00 11/06/20 USD 1,890,000 - FX OPTION - PUT USD / CALL JPY 105.00 11/06/20 USD 1,900,000 - FX OPTION - PUT USD / CALL TWD 30.40 06/02/20 USD -860,000 766,146.99 Total : -10,015,556.71 As at 31 December 2019, the total net market value on Upfront Premium Options Contracts purchased amounted to EUR 274,565.01. As at 31 December 2019, the total net market value on Upfront Premium Options Contracts sold amounted to EUR 62,802.48. The counterparties of these options are BANK OF AMERICA, DEUTSCHE BANK, SOCIéTé GéNéRALE, CITIBANK, JP MORGAN, MORGAN STANLEY BANK, GOLDMAN SACHS, HSBC, BNP PARIBAS, ROYAL BANK OF CANADA and UBS. n PI Investment Funds - Optimiser
Maturity Number of Total Contract Strike date Currency options commitment in EUR
AMERICAN ELECTRIC POWER INC /PUT 55.00 17/01/20 USD 125 - AMGEN INC /PUT 150.00 17/01/20 USD 48 - AMSTERDAM EXCHANGES INDEX /CALL 620 21/02/20 EUR 62 - AMSTERDAM EXCHANGES INDEX /PUT 580 21/02/20 EUR 124 - AMSTERDAM EXCHANGES INDEX /PUT 550 21/02/20 EUR -124 6,820,000.00 AVIS BUDGET GROUP /PUT 33.00 17/01/20 USD 121 - CAC 40 /CALL 6,050 17/01/20 EUR 157 - CAC 40 /PUT 5,700 17/01/20 EUR 157 - CBOE S&P VOL INDEX /PUT 13 21/01/20 USD -1,712 1,906,458.80 CBOE S&P VOL INDEX /PUT 13 18/02/20 USD 1,712 - DAX INDEX /CALL 13,600 21/02/20 EUR 187 - DAX INDEX /PUT 12,900 17/01/20 EUR 187 - DJ EURO STOXX 50 EUR /CALL 3,775 17/01/20 EUR 504 - DJ EURO STOXX 50 EUR /CALL 3,875 21/02/20 EUR 332 - DJ EURO STOXX 50 EUR /CALL 3,825 21/02/20 EUR 335 - DJ EURO STOXX 50 EUR /CALL 4,150 19/06/20 EUR -338 -14,027,000.00 DJ EURO STOXX 50 EUR /CALL 3,950 19/06/20 EUR 338 - DJ EURO STOXX 50 EUR /PUT 3,500 17/01/20 EUR -244 8,540,000.00 DJ EURO STOXX 50 EUR /PUT 3,525 17/01/20 EUR 337 - DJ EURO STOXX 50 EUR /PUT 3,450 21/02/20 EUR -664 22,908,000.00 DJ EURO STOXX 50 EUR /PUT 3,675 21/02/20 EUR 664 - DJ EURO STOXX 50 EUR /PUT 3,625 21/02/20 EUR 670 - DJ EURO STOXX 50 EUR /PUT 3,500 21/02/20 EUR 337 - DJ EURO STOXX 50 EUR /PUT 3,500 20/03/20 EUR 337 - DJ EURO STOXX 50 EUR /PUT 2,750 18/12/20 EUR 269 - DJ EURO STOXX 50 EUR /PUT 2,600 18/12/20 EUR 385 - DOW JONES INDUSTRIAL AVG /CALL 300 16/01/20 USD 992 - DOW JONES INDUSTRIAL AVG /CALL 295 16/01/20 USD 975 - DOW JONES INDUSTRIAL AVG /PUT 250 16/01/20 USD -124 2,761,692.65 DOW JONES INDUSTRIAL AVG /PUT 265 16/01/20 USD -195 4,603,563.47 87 Notes to the Financial Statements as at 31/12/19
Maturity Number of Total Contract Strike date Currency options commitment in EUR
EURO BTP FUT OPTION /PUT 1,035 17/01/20 USD 128 - EURO BTP FUT OPTION /PUT 1,035 21/02/20 USD 128 - EURO BTP FUT OPTION /PUT 1,030 20/03/20 USD 128 - EURO STOXX 50 DIVID /CALL 130 17/12/21 EUR -568 -7,384,000.00 EURO STOXX 50 DIVID /CALL 120 17/12/21 EUR 284 - EURO STOXX 50 DIVID /PUT 95 17/12/21 EUR -284 2,698,000.00 EXO FX OPTION - CALL EUR / PUT PLN 4.25 22/01/20 EUR -6,100,000 -6,100,000.00 EXO FX OPTION - CALL EUR / PUT USD 1.12 05/06/20 EUR 20,600,000 - EXO FX OPTION - CALL USD / PUT CLP 805.00 13/01/20 USD 6,800,000 - EXO FX OPTION - CALL USD / PUT JPY 120.00 27/04/20 USD 7,225,000 - EXO FX OPTION - PUT EUR / CALL PLN 4.30 22/01/20 EUR 6,100,000 - EXO FX OPTION - PUT EUR / CALL TRY 6.70 07/01/20 EUR 6,000,000 - FIRSTENERGY CORP /PUT 28.00 17/01/20 USD 245 - FOOTSIE 100 /CALL 7,400 17/01/20 GBP 246 - FOOTSIE 100 /CALL 7,425 17/01/20 GBP 143 - FOOTSIE 100 /CALL 7,550 17/01/20 GBP -143 -12,741,488.17 FOOTSIE 100 /CALL 7,800 19/06/20 GBP 293 - FOOTSIE 100 /CALL 8,200 19/06/20 GBP -293 -28,354,280.99 FOOTSIE 100 /PUT 7,175 17/01/20 GBP 145 - FOOTSIE 100 /PUT 7,100 17/01/20 GBP 246 - FOOTSIE 100 /PUT 6,200 18/12/20 GBP -107 7,829,114.30 FX OPTION - CALL AUD / PUT JPY 79.00 10/12/20 AUD 30,200,000 - FX OPTION - CALL AUD / PUT USD 0.69 23/01/20 AUD 14,950,000 - FX OPTION - CALL CHF / PUT TRY 7.20 04/09/20 CHF -3,300,000 -3,035,878.56 FX OPTION - CALL CHF / PUT TRY 7.80 04/09/20 CHF 3,300,000 - FX OPTION - CALL EUR / PUT CZK 25.75 18/02/20 EUR 12,250,000 - FX OPTION - CALL EUR / PUT HUF 335.00 10/02/20 EUR 12,500,000 - FX OPTION - CALL EUR / PUT HUF 345.00 10/02/20 EUR -12,500,000 -12,500,000.00 FX OPTION - CALL EUR / PUT JPY 125.00 16/12/20 EUR 25,200,000 - FX OPTION - CALL EUR / PUT JPY 130.00 16/12/20 EUR -12,600,000 -12,600,000.00 FX OPTION - CALL EUR / PUT TRY 9.00 09/10/20 EUR -3,000,000 -3,000,000.00 FX OPTION - CALL EUR / PUT TRY 11.00 09/10/20 EUR 3,000,000 - FX OPTION - CALL EUR / PUT USD 1.12 05/06/20 EUR 13,700,000 - FX OPTION - CALL EUR / PUT USD 1.15 05/06/20 EUR 13,700,000 - FX OPTION - CALL GBP / PUT USD 1.30 17/01/20 GBP 5,500,000 - FX OPTION - CALL GBP / PUT USD 1.35 17/01/20 GBP -11,000,000 -12,981,648.67 FX OPTION - CALL NOK / PUT JPY 12.00 30/01/20 NOK 31,500,000 - FX OPTION - CALL NZD / PUT USD 0.65 23/01/20 NZD 10,550,000 - FX OPTION - CALL USD / PUT CHF 1.02 17/03/20 USD -10,150,000 -9,042,316.26 FX OPTION - CALL USD / PUT CHF 0.98 17/03/20 USD 10,150,000 - FX OPTION - CALL USD / PUT CNH 7.15 13/03/20 USD 13,300,000 - FX OPTION - CALL USD / PUT CNH 7.45 13/03/20 USD -13,300,000 -11,848,552.34 FX OPTION - CALL USD / PUT HKD 7.85 12/02/20 USD 27,000,000 - FX OPTION - CALL USD / PUT JPY 105.00 24/09/20 USD -6,700,000 -5,968,819.60 FX OPTION - CALL USD / PUT JPY 104.00 07/10/20 USD -6,700,000 -5,968,819.60 FX OPTION - CALL USD / PUT JPY 104.50 14/10/20 USD -6,700,000 -5,968,819.60 FX OPTION - CALL USD / PUT JPY 105.25 15/10/20 USD -6,700,000 -5,968,819.60 FX OPTION - CALL USD / PUT JPY 100.00 22/09/21 USD -6,700,000 -5,968,819.60 FX OPTION - CALL USD / PUT JPY 99.00 07/10/21 USD -6,700,000 -5,968,819.60 FX OPTION - CALL USD / PUT JPY 98.00 14/10/21 USD -6,700,000 -5,968,819.60 FX OPTION - CALL USD / PUT JPY 98.50 14/10/21 USD -6,700,000 -5,968,819.60 FX OPTION - CALL USD / PUT JPY 105.00 24/09/26 USD 6,700,000 - FX OPTION - CALL USD / PUT JPY 100.00 24/09/26 USD 6,700,000 - FX OPTION - CALL USD / PUT JPY 99.00 07/10/26 USD 6,700,000 - FX OPTION - CALL USD / PUT JPY 104.00 07/10/26 USD 6,700,000 - FX OPTION - CALL USD / PUT JPY 98.00 14/10/26 USD 6,700,000 - FX OPTION - CALL USD / PUT JPY 104.50 14/10/26 USD 6,700,000 - FX OPTION - CALL USD / PUT JPY 105.25 15/10/26 USD 6,700,000 - FX OPTION - CALL USD / PUT JPY 98.50 15/10/26 USD 6,700,000 - FX OPTION - CALL USD / PUT TWD 31.50 14/02/20 USD 27,000,000 - FX OPTION - PUT AUD / CALL JPY 70.00 10/12/20 AUD 30,200,000 - FX OPTION - PUT AUD / CALL JPY 65.00 10/12/20 AUD -30,200,000 18,912,233.46 FX OPTION - PUT CHF / CALL MXN 19.86 08/04/20 CHF 6,700,000 - FX OPTION - PUT CHF / CALL MXN 18.86 08/04/20 CHF -6,700,000 6,163,753.45 FX OPTION - PUT CHF / CALL TRY 6.35 04/09/20 CHF 3,300,000 - FX OPTION - PUT CHF / CALL TRY 5.70 04/09/20 CHF -3,300,000 3,035,878.56 FX OPTION - PUT EUR / CALL CAD 1.45 28/10/20 EUR -12,400,000 12,400,000.00 FX OPTION - PUT EUR / CALL CAD 1.50 28/10/20 EUR 12,400,000 -
88 Notes to the Financial Statements as at 31/12/19
Maturity Number of Total Contract Strike date Currency options commitment in EUR
FX OPTION - PUT EUR / CALL CAD 1.45 02/11/21 EUR -6,200,000 6,200,000.00 FX OPTION - PUT EUR / CALL CAD 1.55 02/11/21 EUR 6,200,000 - FX OPTION - PUT EUR / CALL INR 82.00 09/04/20 EUR 6,050,000 - FX OPTION - PUT EUR / CALL INR 78.00 09/04/20 EUR -6,050,000 6,050,000.00 FX OPTION - PUT EUR / CALL JPY 115.00 16/12/20 EUR -12,600,000 12,600,000.00 FX OPTION - PUT EUR / CALL JPY 120.00 16/12/20 EUR 25,200,000 - FX OPTION - PUT EUR / CALL NOK 10.20 22/10/20 EUR -12,100,000 12,100,000.00 FX OPTION - PUT EUR / CALL NOK 10.50 22/10/20 EUR 12,100,000 - FX OPTION - PUT EUR / CALL TRY 7.25 09/10/20 EUR 3,000,000 - FX OPTION - PUT EUR / CALL USD 1.17 20/02/20 EUR 6,000,000 - FX OPTION - PUT EUR / CALL USD 1.12 20/02/20 EUR -6,000,000 6,000,000.00 FX OPTION - PUT EUR / CALL USD 1.175 27/02/20 EUR 6,000,000 - FX OPTION - PUT EUR / CALL USD 1.125 27/02/20 EUR -6,000,000 6,000,000.00 FX OPTION - PUT EUR / CALL USD 1.18 23/03/20 EUR 5,900,000 - FX OPTION - PUT EUR / CALL USD 1.13 23/03/20 EUR -5,900,000 59,000.00 FX OPTION - PUT GBP / CALL USD 1.20 17/01/20 GBP -5,500,000 6,490,824.33 FX OPTION - PUT NOK / CALL JPY 11.80 30/01/20 NOK 31,500,000 - FX OPTION - PUT USD / CALL CNH 6.90 13/03/20 USD -13,300,000 11,848,552.34 FX OPTION - PUT USD / CALL INR 74.00 02/11/20 USD 6,900,000 - FX OPTION - PUT USD / CALL INR 71.00 02/11/20 USD -6,900,000 6,146,993.32 FX OPTION - PUT USD / CALL JPY 106.00 05/02/20 USD 13,300,000 - FX OPTION - PUT USD / CALL JPY 103.25 05/02/20 USD -26,600,000 23,697,104.68 FX OPTION - PUT USD / CALL JPY 103.00 11/05/20 USD 13,700,000 - FX OPTION - PUT USD / CALL JPY 98.00 11/05/20 USD -13,700,000 12,204,899.78 FX OPTION - PUT USD / CALL TWD 30.50 14/02/20 USD -27,000,000 24,053,452.12 HOLOGIC INC /PUT 33.00 17/01/20 USD 218 - IBEX MINI INDEX FUT /CALL 9,800 17/01/20 EUR 194 - IBEX MINI INDEX FUT /CALL 9,600 21/02/20 EUR 194 - IBEX MINI INDEX FUT /PUT 9,200 17/01/20 EUR 658 - IBEX MINI INDEX FUT /PUT 9,300 17/01/20 EUR 388 - IBEX MINI INDEX FUT /PUT 9,100 17/01/20 EUR -388 3,530,800.00 IBEX MINI INDEX FUT /PUT 9,200 21/02/20 EUR 388 - IBEX MINI INDEX FUT /PUT 8,600 21/02/20 EUR -388 3,336,800.00 KOSPI 2000 /CALL 290 12/03/20 KRW -70 -3,909,514.50 KOSPI 2000 /PUT 248 12/03/20 KRW -70 3,336,568.41 KOSPI 2000 /PUT 270 12/03/20 KRW 70 - MINI FTSE / MIB INDEX /PUT 22,500 17/01/20 EUR -105 5,906,250.00 MINI FTSE / MIB INDEX /PUT 23,000 17/01/20 EUR -106 6,095,000.00 MINI FTSE / MIB INDEX /PUT 22,500 20/03/20 EUR 105 - MINI FTSE / MIB INDEX /PUT 20,500 20/03/20 EUR -105 5,381,250.00 MINI FTSE / MIB INDEX /PUT 21,000 20/03/20 EUR -106 5,565,000.00 MINI FTSE / MIB INDEX /PUT 23,000 20/03/20 EUR 106 - MSCI EMI INDEX/CALL 146.00 24/01/20 EUR -66 -9,636,000.00 MSCI EMI INDEX /PUT 138.00 24/01/20 EUR -44 6,072,000.00 MSCI EMI INDEX /PUT 142.50 24/01/20 EUR 44 - MSCI EMI INDEX /PUT 143.00 24/01/20 EUR 255 - MSCI EMI INDEX /PUT 140.00 24/01/20 EUR -380 53,200,000.00 NASDAQ 100 /CALL 9,025 20/02/20 USD 8 - NASDAQ 100 /CALL 9,325 20/02/20 USD 56 - NASDAQ 100 /PUT 7,750 20/02/20 USD -16 11,046,770.60 NIKKEI 225 /CALL 23,875 09/01/20 JPY 48 - NIKKEI 225 /CALL 24,125 09/01/20 JPY 32 - NIKKEI 225 /CALL 24,750 09/01/20 JPY 32 - NIKKEI 225 /CALL 24,750 13/02/20 JPY 32 - NIKKEI 225 /CALL 24,375 13/02/20 JPY 32 - NIKKEI 225 /PUT 22,500 09/01/20 JPY 48 - NIKKEI 225 /PUT 22,750 09/01/20 JPY 32 - NIKKEI 225 /PUT 23,500 09/01/20 JPY 64 - NIKKEI 225 /PUT 22,875 09/01/20 JPY -64 12,001,209.96 NIKKEI 225 /PUT 22,000 13/02/20 JPY -64 11,542,147.28 NIKKEI 225 /PUT 23,500 13/02/20 JPY 64 - NIKKEI 225 /PUT 23,250 13/02/20 JPY 64 - NIKKEI 225 /PUT 22,500 13/02/20 JPY 48 - NIKKEI 225 /PUT 22,375 12/03/20 JPY 48 - NRG ENERGY INC /PUT 30.00 17/01/20 USD 233 - OMX 30 /PUT 1,740 17/01/20 SEK 374 - OMX 30 /PUT 1,460 18/06/20 SEK -602 8,364,492.87 OMX 30 /PUT 1,600 18/06/20 SEK 301 -
89 Notes to the Financial Statements as at 31/12/19
Maturity Number of Total Contract Strike date Currency options commitment in EUR
PUT CDX OPTION - CDX NA HY 33 INDEX 108.50 19/02/20 USD 50,000,000 - PUT CDX OPTION - CDX NA HY 33 INDEX 106.50 19/02/20 USD -50,000,000 -44,543,429.84 PUT CDX OPTION - ITRAXX EUROPE CROSSOVER SERIES 250.00 15/01/20 EUR 30,000,000 - 32 INDEX PUT CDX OPTION - ITRAXX EUROPE SERIES 32 INDEX 50.00 15/01/20 EUR 60,000,000 - RUSSELL 2000 INDEX /CALL 1,705 16/01/20 USD 84 - RUSSELL 2000 INDEX /CALL 1,700 16/01/20 USD -84 -12,721,603.56 RUSSELL 2000 INDEX /CALL 1,665 16/01/20 USD 42 - RUSSELL 2000 INDEX /PUT 1,545 16/01/20 USD -42 5,780,846.33 SMI (ZURICH) /CALL 10,700 20/02/20 CHF -130 -12,796,688.13 SMI (ZURICH) /CALL 10,750 20/02/20 CHF 124 - SMI (ZURICH) /PUT 10,050 20/02/20 CHF -124 11,464,581.42 S&P 500 INDEX /CALL 3,150 31/12/19 USD 44 - S&P 500 INDEX /CALL 3,200 31/12/19 USD 66 - S&P 500 INDEX /CALL 3,290 10/01/20 USD 110 - S&P 500 INDEX /CALL 3,250 10/01/20 USD -44 -12,739,420.94 S&P 500 INDEX /CALL 3,190 10/01/20 USD 44 - S&P 500 INDEX /CALL 3,150 16/01/20 USD -22 -6,173,719.38 S&P 500 INDEX /CALL 3,220 16/01/20 USD 44 - S&P 500 INDEX /CALL 3,250 16/01/20 USD 44 - S&P 500 INDEX /CALL 3,240 16/01/20 USD 44 - S&P 500 INDEX /CALL 3,240 31/01/20 USD 44 - S&P 500 INDEX /CALL 3,250 31/01/20 USD 22 - S&P 500 INDEX /CALL 3,250 20/02/20 USD -44 -12,739,420.94 S&P 500 INDEX /CALL 3,275 20/02/20 USD 44 - S&P 500 INDEX /CALL 3,300 19/03/20 USD 135 - S&P 500 INDEX /CALL 3,500 19/03/20 USD -135 -42,093,541.20 S&P 500 INDEX /CALL 3,300 31/03/20 USD 90 - S&P 500 INDEX /CALL 3,400 31/03/20 USD -90 -27,260,579.06 S&P 500 INDEX /CALL 3,400 15/10/20 USD -44 -13,327,394.21 S&P 500 INDEX /CALL 3,500 15/10/20 USD -22 -6,859,688.20 S&P 500 INDEX /CALL 3,600 15/10/20 USD -22 -7,055,679.29 S&P 500 INDEX /PUT 2,850 31/12/19 USD 33 - S&P 500 INDEX /PUT 3,000 31/12/19 USD 33 - S&P 500 INDEX /PUT 3,015 31/12/19 USD 33 - S&P 500 INDEX /PUT 3,200 31/12/19 USD 44 - S&P 500 INDEX /PUT 3,030 03/01/20 USD 44 - S&P 500 INDEX /PUT 2,850 03/01/20 USD 22 - S&P 500 INDEX /PUT 3,200 06/01/20 USD -44 12,543,429.84 S&P 500 INDEX /PUT 3,000 10/01/20 USD 44 - S&P 500 INDEX /PUT 3,150 10/01/20 USD -44 12,347,438.75 S&P 500 INDEX /PUT 2,900 16/01/20 USD -66 17,051,224.94 S&P 500 INDEX /PUT 3,065 16/01/20 USD 33 - S&P 500 INDEX /PUT 3,080 31/01/20 USD 88 - S&P 500 INDEX /PUT 2,890 31/01/20 USD -44 11,328,285.08 S&P 500 INDEX /PUT 3,000 31/01/20 USD 44 - S&P 500 INDEX /PUT 3,150 31/01/20 USD 66 - S&P 500 INDEX /PUT 2,910 20/02/20 USD -88 22,813,363.03 S&P 500 INDEX /PUT 3,110 20/02/20 USD 88 - S&P 500 INDEX /PUT 3,000 20/02/20 USD 44 - S&P 500 INDEX /PUT 3,000 06/03/20 USD 44 - S&P 500 INDEX /PUT 2,500 17/09/20 USD -43 9,576,837.42 S&P 500 INDEX /PUT 2,000 15/10/20 USD -45 8,017,817.37 S&P 500 INDEX /PUT 2,575 15/10/20 USD -45 10,322,939.87 S&P 500 INDEX /PUT 2,625 15/10/20 USD -44 10,289,532.29 S&P 500 INDEX /PUT 2,300 15/10/20 USD -44 9,015,590.20 S&P 500 INDEX /PUT 2,700 15/10/20 USD -44 10,583,518.93 S&P 500 INDEX /PUT 2,500 15/10/20 USD -44 9,799,554.57 S&P 500 INDEX /PUT 2,750 15/10/20 USD -44 10,779,510.02 S&P 500 INDEX /PUT 2,775 19/11/20 USD 44 - S&P 500 INDEX /PUT 2,850 19/11/20 USD 44 - S&P 500 INDEX /PUT 2,925 19/11/20 USD 44 - S&P 500 INDEX /PUT 2,800 19/11/20 USD 43 - S&P 500 INDEX /PUT 2,525 17/12/20 USD -51 11,472,160.36 S&P 500 INDEX /PUT 2,600 17/12/20 USD 45 - S&P 500 INDEX /PUT 2,500 14/01/21 USD -43 9,576,837.42 SPI 200 INDEX /CALL 6,900 16/01/20 AUD 148 - SPI 200 INDEX /PUT 6,550 16/01/20 AUD 296 -
90 Notes to the Financial Statements as at 31/12/19
Maturity Number of Total Contract Strike date Currency options commitment in EUR
SPI 200 INDEX /PUT 6,450 16/01/20 AUD 150 - SPI 200 INDEX /PUT 6,425 20/02/20 AUD 150 - SPI 200 INDEX /PUT 6,425 19/03/20 AUD 150 - SWAP OPTION - PAY BBSW 6M / REC 2.900% 2.90 25/07/22 AUD 62,500,000 - SWAP OPTION - PAY EURIBOR 6M / REC 0.500% 0.50 19/11/21 EUR -32,800,000 -32,800,000.00 SWAP OPTION - PAY EURIBOR 6M / REC 0.850% 0.85 05/12/29 EUR -16,600,000 -16,600,000.00 SWAP OPTION - PAY EURIBOR 6M / REC 1.500% 1.50 08/02/24 EUR -14,000,000 -14,000,000.00 SWAP OPTION - PAY JIBAR 3M / REC 7.100% 7.10 30/04/20 ZAR 395,000,000 - SWAP OPTION - PAY JIBAR 3M / REC 7.750% 7.75 30/04/20 ZAR -395,000,000 -25,164,845.67 SWAP OPTION - PAY KIKRW 3M / REC 1.250% 1.25 29/10/20 KRW 23,000,000,000 - SWAP OPTION - PAY KIKRW 3M / REC 1.250% 1.25 10/11/20 KRW 11,500,000,000 - SWAP OPTION - PAY LIBOR 3M / REC 1.500% 1.50 27/08/21 USD -46,000,000 -40,979,955.46 SWAP OPTION - PAY LIBOR 3M / REC 1.750% 1.75 27/04/20 USD 48,000,000 - SWAP OPTION - PAY LIBOR 3M / REC 1.750% 1.75 01/05/20 USD 45,700,000 - SWAP OPTION - PAY LIBOR 3M / REC 1.750% 1.75 22/10/20 USD -46,500,000 -41,425,389.76 SWAP OPTION - PAY LIBOR 3M / REC 1.750% 1.75 27/08/21 USD -46,000,000 -40,979,955.46 SWAP OPTION - PAY LIBOR 3M / REC 1.750% 1.75 19/11/21 USD -31,400,000 -27,973,273.94 SWAP OPTION - PAY LIBOR 3M / REC 2.000% 2.00 05/12/29 USD 10,000,000 - SWAP OPTION - PAY LIBOR 3M / REC 2.150% 2.15 19/06/20 USD -100,000,000 -89,086,859.69 SWAP OPTION - PAY LIBOR 3M / REC 2.350% 2.35 19/06/20 USD -200,000,000 -178,173,719.38 SWAP OPTION - PAY LIBOR 3M / REC 2.900% 2.90 08/02/24 USD -16,500,000 -14,699,331.85 SWAP OPTION - PAY LIBOR 3M / REC 3.040% 3.04 20/02/20 USD -43,000,000 38,307,349.67 SWAP OPTION - PAY LIBOR 3M / REC 3.160% 3.16 29/11/21 USD -26,000,000 -23,162,583.52 SWAP OPTION - PAY LIBOR 3M / REC 5.000% 5.00 24/01/29 USD -21,000,000 18,708,240.53 SWAP OPTION - PAY LIBOR 3M / REC 6.000% 6.00 30/10/23 USD -33,000,000 -29,398,663.70 SWAP OPTION - PAY LIBOR 3M / REC 6.000% 6.00 04/12/29 USD -8,000,000 -7,126,948.78 SWAP OPTION - PAY LIBOR 6M / REC 0.500% 0.50 13/11/28 JPY 1,035,000,000 - SWAP OPTION - PAY LIBOR 6M / REC 0.500% 0.50 05/12/29 JPY 2,010,000,000 - SWAP OPTION - PAY STIBOR 3M / REC 2.060% 2.06 14/04/25 SEK 365,000,000 - SWAP OPTION - PAY 0.000% / REC EURIBOR 6M 0.00 19/11/21 EUR 32,800,000 - SWAP OPTION - PAY 0.400% / REC EURIBOR 6M 0.40 26/07/21 EUR -10,000,000 10,000,000.00 SWAP OPTION - PAY 0.500% / REC LIBOR 6M 0.50 21/04/21 GBP -1,900,000 2,242,284.77 SWAP OPTION - PAY 0.500% / REC LIBOR 6M 0.50 05/12/29 JPY 2,010,000,000 - SWAP OPTION - PAY 0.840% / REC LIBOR 6M 0.84 12/04/28 JPY 2,800,000,000 - SWAP OPTION - PAY 0.850% / REC EURIBOR 6M 0.85 05/12/29 EUR -16,600,000 16,600,000.00 SWAP OPTION - PAY 0.900% / REC EURIBOR 6M 0.90 26/07/21 EUR 10,000,000 - SWAP OPTION - PAY 1.000% / REC LIBOR 3M 1.00 22/10/20 USD -46,500,000 41,425,389.76 SWAP OPTION - PAY 1.250% / REC LIBOR 3M 1.25 29/10/20 USD -9,600,000 8,552,338.53 SWAP OPTION - PAY 1.250% / REC LIBOR 3M 1.25 27/08/21 USD 46,000,000 - SWAP OPTION - PAY 1.400% / REC EURIBOR 6M 1.40 08/02/39 EUR 14,000,000 - SWAP OPTION - PAY 1.500% / REC LIBOR 3M 1.50 01/05/20 USD -45,700,000 40,712,694.88 SWAP OPTION - PAY 1.500% / REC LIBOR 3M 1.50 22/10/20 USD 46,500,000 - SWAP OPTION - PAY 1.500% / REC LIBOR 6M 1.50 21/04/27 GBP 1,900,000 - SWAP OPTION - PAY 1.500% / REC LIBOR 6M 1.50 13/11/28 JPY 1,035,000,000 - SWAP OPTION - PAY 1.750% / REC LIBOR 3M 1.75 27/04/20 USD -48,000,000 42,761,692.65 SWAP OPTION - PAY 1.750% / REC LIBOR 3M 1.75 19/06/20 USD 100,000,000 - SWAP OPTION - PAY 2.000% / REC EURIBOR 6M 2.00 31/10/23 EUR 28,000,000 - SWAP OPTION - PAY 2.000% / REC EURIBOR 6M 2.00 12/04/28 EUR 53,000,000 - SWAP OPTION - PAY 2.000% / REC EURIBOR 6M 2.00 23/02/33 EUR 6,000,000 - SWAP OPTION - PAY 2.000% / REC LIBOR 3M 2.00 21/06/21 USD -2,500,000 2,227,171.49 SWAP OPTION - PAY 2.000% / REC LIBOR 3M 2.00 12/09/22 USD -13,200,000 11,759,465.48 SWAP OPTION - PAY 2.000% / REC LIBOR 3M 2.00 05/12/29 USD 10,000,000 - SWAP OPTION - PAY 2.060% / REC STIBOR 3M 2.06 14/04/25 SEK 365,000,000 - SWAP OPTION - PAY 2.250% / REC LIBOR 6M 2.25 18/06/24 JPY 205,000,000 - SWAP OPTION - PAY 2.310% / REC LIBOR 3M 2.31 26/10/20 USD -160,000,000 142,538,975.50 SWAP OPTION - PAY 2.500% / REC LIBOR 3M 2.50 12/09/22 USD 13,200,000 - SWAP OPTION - PAY 2.540% / REC LIBOR 3M 2.54 20/02/20 USD 43,000,000 - SWAP OPTION - PAY 2.800% / REC LIBOR 3M 2.80 08/02/39 USD 16,500,000 - SWAP OPTION - PAY 2.900% / REC BBSW 6M 2.90 25/07/22 AUD 62,500,000 - SWAP OPTION - PAY 3.050% / REC LIBOR 3M 3.05 18/02/20 USD 8,500,000 - SWAP OPTION - PAY 3.060% / REC LIBOR 3M 3.06 15/02/23 USD 11,500,000 - SWAP OPTION - PAY 3.180% / REC LIBOR 3M 3.18 29/10/38 USD 16,500,000 - SWAP OPTION - PAY 3.210% / REC LIBOR 3M 3.21 29/11/21 USD 5,800,000 - SWAP OPTION - PAY 3.800% / REC LIBOR 3M 3.80 26/10/28 USD 12,500,000 - SWAP OPTION - PAY 4.000% / REC EURIBOR 6M 4.00 05/02/24 EUR 800,000 - SWAP OPTION - PAY 4.150% / REC LIBOR 6M 4.15 28/05/24 GBP 2,400,000 - SWAP OPTION - PAY 4.250% / REC LIBOR 6M 4.25 17/06/24 GBP 3,000,000 - SWAP OPTION - PAY 4.500% / REC LIBOR 3M 4.50 04/12/29 USD 4,000,000 -
91 Notes to the Financial Statements as at 31/12/19
Maturity Number of Total Contract Strike date Currency options commitment in EUR
SWAP OPTION - PAY 6.650% / REC JIBAR 3M 6.65 30/04/20 ZAR -395,000,000 -25,164,845.67 SWAP OPTION - REC EURIBOR 6M / PAY 1.000% 1.00 31/10/23 EUR 28,000,000 - SWAP OPTION - REC EURIBOR 6M / PAY 1.050% 1.05 21/06/21 EUR 2,100,000 - SWAP OPTION - REC EURIBOR 6M / PAY 2.000% 2.00 12/04/28 EUR 53,000,000 - SWAP OPTION - REC LIBOR 3M / PAY 3.000% 3.00 26/10/28 USD 12,500,000 - SWAP OPTION - REC LIBOR 3M / PAY 3.020% 3.02 24/01/29 USD 21,000,000 - SWAP OPTION - REC LIBOR 3M / PAY 3.130% 3.13 18/02/20 USD -20,000,000 17,817,371.94 SWAP OPTION - REC LIBOR 3M / PAY 3.330% 3.33 15/02/23 USD -50,000,000 44,543,429.84 SWAP OPTION - REC LIBOR 6M / PAY 0.840% 0.84 12/04/28 JPY 2,800,000,000 - SWAP OPTION - REC 0.500% / PAY EURIBOR 6M 0.50 31/10/23 EUR -28,000,000 28,000,000.00 SWAP OPTION - REC 1.500% / PAY LIBOR 3M 1.50 26/10/28 USD -12,500,000 11,135,857.46 SWAP OPTION - REC 2.040% / PAY LIBOR 3M 2.04 20/02/20 USD -43,000,000 -38,307,349.67 T BOND /PUT 156.00 24/01/20 USD -47 6,531,848.55 T BOND /PUT 158.00 24/01/20 USD 47 - US 5YR T-NOTES /PUT 119.00 21/02/20 USD -364 38,588,864.14 10YR US TREASRY NOTE /PUT 127.50 24/01/20 USD -220 24,988,864.14 10YR US TREASRY NOTE /PUT 129.00 24/01/20 USD 220 - Total : 69,346,993.96 As at 31 December 2019, the total net market value on Upfront Premium Options Contracts purchased amounted to EUR 33,783,520.50. As at 31 December 2019, the total net market value on Upfront Premium Options Contracts sold amounted to EUR 16,823,479.20. The counterparties of these options are BANK OF AMERICA, BARCLAYS, BNP PARIBAS, CITIBANK, DANSKE BANK, DEUTSCHE BANK, MORGAN STANLEY BANK, NOMURA, SOCIETE GENERALE, GOLDMAN SACHS, HSBC and UBS. n PI Investment Funds - Tactical Allocation Bond Fund
Maturity Number of Total Contract Strike date Currency options commitment in EUR
FX OPTION - CALL USD / PUT CAD 1.34 16/01/20 USD 11,600,000 - FX OPTION - CALL USD / PUT CAD 1.37 16/01/20 USD -11,600,000 -10,334,075.72 PUT CDX OPTION - CDX NA HY 33 INDEX 100.00 18/03/20 USD -41,000,000 -36,525,612.47 PUT CDX OPTION - CDX NA HY 33 INDEX 106.50 18/03/20 USD 41,000,000 - PUT CDX OPTION - ITRAXX EUROPE CROSSOVER SERIES 375.00 18/03/20 EUR -17,800,000 -17,800,000.00 32 INDEX PUT CDX OPTION - ITRAXX EUROPE CROSSOVER SERIES 250.00 18/03/20 EUR 17,800,000 - 32 INDEX Total : -64,659,688.19 As at 31 December 2019, the total net market value on Upfront Premium Options Contracts purchased amounted to EUR 138,779.86. As at 31 December 2019, the total net market value on Upfront Premium Options Contracts sold amounted to EUR 29,863.26. The counterparties of these options are BANK OF AMERICA, JP MORGAN and MORGAN STANLEY BANK. n PI Investment Funds - Tactical Allocation Fund
Maturity Number of Total Contract Strike date Currency options commitment in EUR
DJ EURO STOXX 50 EUR /CALL 3,800 20/03/20 EUR 507 - DJ EURO STOXX 50 EUR /PUT 3,600 20/03/20 EUR -507 18,252,000.00 FX OPTION - CALL USD / PUT CAD 1.34 16/01/20 USD 5,600,000 - FX OPTION - CALL USD / PUT CAD 1.37 16/01/20 USD -5,600,000 -4,988,864.14 FX OPTION - PUT USD / CALL JPY 105.00 11/12/20 USD 26,250,000 - PUT CDX OPTION - CDX NA HY 33 INDEX 100.00 18/03/20 USD -20,400,000 -18,173,719.38 PUT CDX OPTION - CDX NA HY 33 INDEX 106.50 18/03/20 USD 20,400,000 - PUT CDX OPTION - ITRAXX EUROPE CROSSOVER SERIES 375.00 18/03/20 EUR -8,700,000 -8,700,000.00 32 INDEX PUT CDX OPTION - ITRAXX EUROPE CROSSOVER SERIES 250.00 18/03/20 EUR 8,700,000 - 32 INDEX S&P 500 INDEX /CALL 3,250 20/03/20 USD 88 - S&P 500 INDEX /PUT 3,100 20/03/20 USD -88 24,302,895.32 Total : 10,692,311.80 As at 31 December 2019, the total net market value on Upfront Premium Options Contracts purchased amounted to EUR 1,250,294.54. As at 31 December 2019, the total net market value on Upfront Premium Options Contracts sold amounted to EUR 661,264.09. The counterparties of these options are BANK OF AMERICA, JP MORGAN, MORGAN STANLEY BANK and DEUTSCHE BANK.
92 Notes to the Financial Statements as at 31/12/19
n PI Investment Funds - Tactical Allocation Pillar
Maturity Number of Total Contract Strike date Currency options commitment in EUR
FX OPTION - PUT USD / CALL JPY 105.00 11/12/20 USD 94,660,000 - PUT CDX OPTION - CDX NA HY 33 INDEX 100.00 18/03/20 USD -60,100,000 -53,541,202.67 PUT CDX OPTION - CDX NA HY 33 INDEX 106.50 18/03/20 USD 60,100,000 - PUT CDX OPTION - ITRAXX EUROPE CROSSOVER SERIES 375.00 18/03/20 EUR -32,500,000 -32,500,000.00 32 INDEX PUT CDX OPTION - ITRAXX EUROPE CROSSOVER SERIES 250.00 18/03/20 EUR 32,500,000 - 32 INDEX S&P 500 INDEX /CALL 3,250 20/03/20 USD 444 - S&P 500 INDEX /PUT 3,100 20/03/20 USD -444 122,619,153.67 Total : 36,577,951.00 As at 31 December 2019, the total net market value on Upfront Premium Options Contracts purchased amounted to EUR 4,216,143.19. As at 31 December 2019, the total net market value on Upfront Premium Options Contracts sold amounted to EUR 1,987,751.51. The counterparties of these options are BANK OF AMERICA, JP MORGAN and DEUTSCHE BANK. n PI Investment Funds - Tactical Portfolio Income
Maturity Number of Total Contract Strike date Currency options commitment in EUR
DJ EURO STOXX 50 EUR /CALL 3,475 20/03/20 EUR -46 -1,598,500.00 DJ EURO STOXX 50 EUR /CALL 3,800 20/03/20 EUR 338 - DJ EURO STOXX 50 EUR /CALL 3,775 20/03/20 EUR 94 - DJ EURO STOXX 50 EUR /PUT 3,575 20/03/20 EUR -338 12,083,500.00 EURO STOXX BANKS /CALL 88 20/03/20 EUR 400 - GOLD FIELDS ADR /CALL 5.50 17/01/20 USD 1,361 - HONEYWELL INTERNATIONAL INC /PUT 170.00 17/01/20 USD -28 424,053.45 MSCI EMERGING MARKETS /CALL 535 23/03/20 USD 76 - ORACLE CORP /PUT 52.50 17/01/20 USD -79 369,487.75 PFIZER INC /PUT 37.00 17/01/20 USD -122 402,138.08 PUT CDX OPTION - CDX NA HY 33 INDEX 101.00 18/03/20 USD -14,300,000 12,739,420.94 PUT CDX OPTION - CDX NA HY 33 INDEX 106.00 18/03/20 USD 14,300,000 - PUT CDX OPTION - ITRAXX EUROPE CROSSOVER SERIES 275.00 18/03/20 EUR 2,880,000 - 32 INDEX PUT CDX OPTION - ITRAXX EUROPE CROSSOVER SERIES 350.00 18/03/20 EUR -2,880,000 2,880,000.00 32 INDEX SIMON PROPERTY GROUP INC REIT /PUT 145.00 17/01/20 USD -28 361,692.65 S&P 500 INDEX /CALL 3,250 20/03/20 USD 44 - S&P 500 INDEX /CALL 3,245 20/03/20 USD -64 -18,501,559.02 S&P 500 INDEX /PUT 3,100 20/03/20 USD -44 12,151,447.66 THERMO FISHER SCIE /PUT 300.00 17/01/20 USD -15 400,890.87 WALGREEN BOOTS /PUT 52.50 17/01/20 USD -79 369,487.75 Total : 22,082,060.13 As at 31 December 2019, the total net market value on Upfront Premium Options Contracts purchased amounted to EUR 976,311.33. As at 31 December 2019, the total net market value on Upfront Premium Options Contracts sold amounted to EUR 885,491.30. The counterparties of these options are GOLDMAN SACHS BANK and JP MORGAN.
FUTURES-STYLE OPTIONS CONTRACTS
n PI Investment Funds - Optimiser
Maturity Number of Total Contract Strike date Currency options commitment in EUR
BOBL EUREX /PUT 134.25 21/02/20 EUR 255 - BOBL EUREX /PUT 134.00 21/02/20 EUR 393 - BOBL EUREX /PUT 133.25 21/02/20 EUR -393 52,367,250.00 EURO BUND FUTURE /CALL 172.50 24/01/20 EUR 200 - EURO BUND FUTURE /CALL 174.50 24/01/20 EUR -400 -69,800,000.00 EURO BUND FUTURE /CALL 174.00 21/02/20 EUR -200 -34,800,000.00 EURO BUND FUTURE /CALL 171.50 21/02/20 EUR 200 -
93 Notes to the Financial Statements as at 31/12/19
Maturity Number of Total Contract Strike date Currency options commitment in EUR
EURO BUND FUTURE /PUT 171.50 24/01/20 EUR 200 - EURO BUND FUTURE /PUT 168.00 24/01/20 EUR -279 46,872,000.00 EURO BUND FUTURE /PUT 169.50 24/01/20 EUR 279 - EURO BUND FUTURE /PUT 172.50 24/01/20 EUR 106 - EURO BUND FUTURE /PUT 169.00 24/01/20 EUR -110 18,590,000.00 EURO BUND FUTURE /PUT 170.00 24/01/20 EUR -110 18,700,000.00 EURO BUND FUTURE /PUT 171.00 24/01/20 EUR 110 - EURO BUND FUTURE /PUT 170.50 24/01/20 EUR -106 18,073,000.00 EURO BUND FUTURE /PUT 169.00 21/02/20 EUR -200 33,800,000.00 EURO BUND FUTURE /PUT 168.50 21/02/20 EUR -200 33,700,000.00 HANG SENG CHINA ENT INDEX /CALL 10,800 30/01/20 HKD 100 - HANG SENG CHINA ENT INDEX /CALL 11,200 30/01/20 HKD -100 -6,402,707.43 HANG SENG CHINA ENT INDEX /PUT 10,100 30/01/20 HKD 100 - HANG SENG CHINA ENT INDEX /PUT 10,400 30/01/20 HKD 100 - HANG SENG CHINA ENT INDEX /PUT 10,400 27/02/20 HKD 100 - HANG SENG CHINA ENT INDEX /PUT 9,300 30/03/20 HKD -101 5,369,699.19 HANG SENG CHINA ENT INDEX /PUT 10,000 30/03/20 HKD 101 - HANG SENG CHINA ENT INDEX /PUT 10,300 30/03/20 HKD 100 - HANG SENG INDEX /CALL 27,600 30/01/20 HKD 25 - HANG SENG INDEX /CALL 28,200 30/01/20 HKD -25 -4,030,275.66 HANG SENG INDEX /CALL 28,600 30/01/20 HKD -25 -4,087,442.69 HANG SENG INDEX /CALL 28,000 30/01/20 HKD 32 - HANG SENG INDEX /PUT 26,000 30/01/20 HKD 64 - SCHATZ EUREX /CALL 112.50 21/02/20 EUR 392 - Total : 108,351,523.41 As at 31 December 2019, the total net unrealised appreciation on Futures-Style options contracts amounted to EUR 147,607.53. The counterparties of these options are GOLDMAN SACHS and UBS. n PI Investment Funds - Tactical Portfolio Income
Maturity Number of Total Contract Strike date Currency options commitment in EUR
HANG SENG CHINA ENT INDEX /CALL 11,000 30/03/20 HKD 117 - HANG SENG CHINA ENT INDEX /CALL 11,000 29/06/20 HKD 117 - Total : - As at 31 December 2019, the total net unrealised appreciation on Futures-Style options contracts amounted to EUR 213,044.37. The counterparties of these options are JP MORGAN and GOLDMAN SACHS.
94 Notes to the Financial Statements as at 31/12/19
15 SWAPS
PI Investment Funds - Euro High Yield Ex. Financials
Unrealised Maturity Received Gain/(Loss) (in Date Contract Underlying Rate Paid Rate Currency Counterparty Nominal Sub-Fund Ccy)
20-Dec-21 Credit Default Swap Seller Fiat Chrysler 5.000% EUR- BNP PARIBAS 100,000 9,509.18 Automobiles 01-Feb-25 Total Return Swap Buyer Altran Technologie - Euribor 3M EUR JP MORGAN 110,106 1,587.37 SA +3.25% 30-Nov-24 Total Return Swap Buyer Ceramtec Term - Euribor 3M EUR JP MORGAN 170,298 -871.94 Loan B +0.80% 28-Nov-25 Total Return Swap Buyer Cognita Term Loan - Euribor 3M EUR JP MORGAN 108,709 1,811.42 B1 +0.80% 18-Jan-25 Total Return Swap Buyer Crown European - Euribor 3M EUR JP MORGAN 25,423 20.17 Term Loan B +0.80% 01-Apr-26 Total Return Swap Buyer Delachaux Term - Euribor 3M EUR JP MORGAN 100,000 1,062.47 Loan B +0.80% 29-Mar-26 Total Return Swap Buyer Financiere Mendel - Euribor 3M EUR JP MORGAN 150,000 5,041.10 Sasu +0.80% 25-Jan-25 Total Return Swap Buyer Froneri Intl Term - Euribor 3M EUR JP MORGAN 250,000 1,718.88 Loan B +0.80% 23-Oct-26 Total Return Swap Buyer Galileo Global - Euribor 3M EUR JP MORGAN 81,000 682.91 Education Finance +0.80% Sarl 05-Apr-26 Total Return Swap Buyer Irel Acquico Gmbh - Euribor 3M EUR JP MORGAN 30,000 180.45 +0.80% 30-Nov-25 Total Return Swap Buyer Kiwa Term Loan B - Euribor 3M EUR JP MORGAN 100,000 1,825.01 +0.80% 17-Jul-26 Total Return Swap Buyer Nestlé Skin Health - Euribor 3M EUR JP MORGAN 40,000 228.41 Term Loan B +0.80% 17-Jul-26 Total Return Swap Buyer Nestlé Skin Health - Euribor 3M EUR JP MORGAN 400,000 2,284.07 Term Loan B +0.80% 26-Jun-24 Total Return Swap Buyer Nord Anglia - Euribor 3M EUR JP MORGAN 275,000 -1,589.72 Education Finance +0.80% Term Loan B 15-Feb-25 Total Return Swap Buyer Peer Holding III BV - Euribor 3M EUR JP MORGAN 230,000 742.90 +0.80% 18-Mar-26 Total Return Swap Buyer Power Solutions - Euribor 3M EUR JP MORGAN 150,000 1,638.35 +0.80% 15-Dec-24 Total Return Swap Buyer Stada Arzneimittel - Euribor 3M EUR JP MORGAN 96,429 1,341.51 +0.80% 11-Jun-25 Total Return Swap Buyer TDCAS Term Loan - Euribor 3M EUR JP MORGAN 163,882 2,095.81 B +0.80% 21-Oct-22 Total Return Swap Buyer Verisure Holding - Euribor 3M EUR JP MORGAN 182,692 1,228.84 AB Term Loan B +0.80% 02-Aug-26 Total Return Swap Buyer WEB Help Term - Euribor 3M EUR JP MORGAN 120,000 935.95 Loan B +0.80% Total: 31,473.14 n PI Investment Funds - Strategic Income
Unrealised Maturity Received Gain/(Loss) (in Date Contract Underlying Rate Paid Rate Currency Counterparty Nominal Sub-Fund Ccy)
20-Jun-24 Credit Default Swap Seller CDX NA HY 32 5.000% USD- JP MORGAN 735,000 73,519.85 Index 20-Jun-24 Credit Default Swap Seller CDX NA IG 32 1.000% USD- JP MORGAN 325,000 8,568.94 Index 20-Mar-20 Index Equity Swap Iboxx USD Liq. Lev. - Libor 3M USD GOLDMAN 1,000,000 -5,828.59 Loans SACHS BANK Total: 76,260.20
95 Notes to the Financial Statements as at 31/12/19
n PI Investment Funds - Dynamic Allocation Fund
Unrealised Maturity Received Gain/(Loss) (in Date Contract Underlying Rate Paid Rate Currency Counterparty Nominal Sub-Fund Ccy)
20-Dec-24 Credit Default Swap Seller iTraxx Europe 5.000% EUR- BNP PARIBAS 85,000,000 11,744,987.68 Crossover Series 32 Index Total: 11,744,987.68 n PI Investment Funds - Multi-Asset Teodorico
Unrealised Maturity Received Gain/(Loss) (in Date Contract Underlying Rate Paid Rate Currency Counterparty Nominal Sub-Fund Ccy)
20-Jun-23 Credit Default Swap Buyer iTraxx Europe - 1.000% EUR CITIBANK 5,000,000 -120,831.08 Senior Fin. Series 29 Index 20-Jun-23 Credit Default Swap Buyer iTraxx Europe - 1.000% EUR CITIBANK 5,000,000 -125,820.53 Series 29 Index 22-Jun-27 Inflation Swap - 3.360% 1M UKRPI Index GBP UBS 5,000,000 95,818.19 18-Oct-27 Inflation Swap - 1D CPURNSA 2.156% USD CITIBANK 3,000,000 -51,870.30 Index 22-Jun-27 Interest Rate Swap - Libor 6M 1.100% GBP MORGAN 5,000,000 -43,482.61 STANLEY BANK 22-Mar-28 Interest Rate Swap - 7.575% Jibar 3M ZAR CITIBANK 40,000,000 23,966.30 Total: -222,220.03 n PI Investment Funds - Optimiser
Unrealised Maturity Received Gain/(Loss) (in Date Contract Underlying Rate Paid Rate Currency Counterparty Nominal Sub-Fund Ccy)
20-Dec-21 Credit Default Swap Buyer Advanced Micro - 5.000% USD MORGAN 1,300,000 -111,998.88 Devices STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Air France - KLM - 5.000% EUR MORGAN 2,600,000 -236,861.90 STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Anheuser Busch - 1.000% EUR MORGAN 1,300,000 -21,140.22 InBev NV SA STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Apache Corp - 1.000% USD MORGAN 300,000 -3,825.59 STANLEY BANK 20-Jun-22 Credit Default Swap Buyer Arcoinc - 1.000% USD CITIBANK 800,000 -12,939.83 20-Dec-21 Credit Default Swap Buyer Ardagh Packaging - 5.000% EUR MORGAN 2,600,000 -243,898.18 Finance PLC STANLEY BANK 20-Jun-22 Credit Default Swap Buyer Aust & NZ Banking - 1.000% USD CITIBANK 2,000,000 -38,787.37 Group 20-Dec-23 Credit Default Swap Buyer Avnet Inc - 1.000% USD MORGAN 1,600,000 -25,326.94 STANLEY BANK 20-Dec-23 Credit Default Swap Buyer Block Financial LLC - 5.000% USD MORGAN 1,600,000 -250,335.67 STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Canadian Natural - 1.000% USD BNP PARIBAS 200,000 -3,109.31 Ressources 20-Sep-20 Credit Default Swap Buyer Carrefour - 1.000% EUR SOCIETE 200,000 -1,323.90 GENERALE 20-Dec-21 Credit Default Swap Buyer Cco Holdings LLC - 5.000% USD MORGAN 1,300,000 -105,345.71 STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Centurylink Inc - 1.000% USD MORGAN 2,600,000 -19,345.31 STANLEY BANK 20-Jun-22 Credit Default Swap Buyer Commonwealth - 1.000% USD CITIBANK 2,000,000 -39,486.13 Bank Aust. 20-Dec-21 Credit Default Swap Buyer Cox - 1.000% USD MORGAN 1,300,000 -20,683.82 Communications STANLEY BANK Inc
96 Notes to the Financial Statements as at 31/12/19
Unrealised Maturity Received Gain/(Loss) (in Date Contract Underlying Rate Paid Rate Currency Counterparty Nominal Sub-Fund Ccy) 20-Dec-21 Credit Default Swap Buyer Csc Holdings LLC - 5.000% USD MORGAN 2,600,000 -217,956.15 STANLEY BANK 20-Dec-23 Credit Default Swap Buyer Darden Restaurants - 1.000% USD MORGAN 1,600,000 -45,241.35 Inc STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Dell Inc - 1.000% USD MORGAN 2,600,000 -31,588.12 STANLEY BANK 20-Sep-20 Credit Default Swap Buyer Deutsche Telekom - 1.000% EUR SOCIETE 200,000 -1,401.23 AG GENERALE 20-Dec-23 Credit Default Swap Buyer Dominion Energy - 1.000% USD MORGAN 1,600,000 -45,944.33 Inc STANLEY BANK 20-Dec-23 Credit Default Swap Buyer Domtar Corp - 1.000% USD MORGAN 1,600,000 -28,602.85 STANLEY BANK 20-Dec-23 Credit Default Swap Buyer Eastman Chemical - 1.000% USD MORGAN 1,600,000 -33,368.50 STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Enbridge Inc - 1.000% USD MORGAN 1,300,000 -18,747.97 STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Enbridge Inc - 1.000% USD CITIBANK 300,000 -4,326.46 20-Dec-21 Credit Default Swap Buyer Energy Transfer - 1.000% USD MORGAN 1,300,000 -18,264.20 Operating STANLEY BANK 20-Sep-20 Credit Default Swap Buyer Eni Spa - 1.000% EUR GOLDMAN 200,000 -1,404.51 SACHS BANK 20-Sep-20 Credit Default Swap Buyer E.ON - 1.000% EUR CITIBANK 200,000 -1,404.69 20-Dec-23 Credit Default Swap Buyer Expedia Group - 1.000% USD MORGAN 1,600,000 -29,705.71 STANLEY BANK 20-Jun-22 Credit Default Swap Buyer Firstenergy Corp - 1.000% USD BNP PARIBAS 800,000 -15,668.63
20-Dec-23 Credit Default Swap Buyer Ford Motor - 5.000% USD MORGAN 1,600,000 -215,465.57 Company STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Freeport Mcmoran - 1.000% USD MORGAN 2,600,000 -33,922.02 Inc STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Geck USD - 5.000% USD MORGAN 2,600,000 -117,314.45 Bombardier STANLEY BANK 20-Dec-21 Credit Default Swap Buyer General Electric Co - 1.000% USD MORGAN 2,600,000 -26,810.42 STANLEY BANK 20-Dec-21 Credit Default Swap Buyer General Mills Inc - 1.000% USD MORGAN 1,300,000 -20,589.23 STANLEY BANK 20-Dec-21 Credit Default Swap Buyer GMAC - 5.000% USD MORGAN 2,600,000 -217,919.72 STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Goodyear Tire & - 5.000% USD MORGAN 2,600,000 -212,430.50 Rubber STANLEY BANK 20-Jun-22 Credit Default Swap Buyer Halliburton - 1.000% USD MORGAN 800,000 -13,677.86 STANLEY BANK 20-Dec-23 Credit Default Swap Buyer Hess Corp - 1.000% USD MORGAN 1,600,000 -29,433.67 STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Ineos Group - 5.000% EUR MORGAN 2,600,000 -238,466.74 Holdings SA STANLEY BANK 20-Jun-20 Credit Default Swap Buyer iTraxx Asia ex - 1.000% USD GOLDMAN 8,600,000 -36,480.85 Japan IG Series 23 SACHS BANK 20-Dec-23 Credit Default Swap Buyer iTraxx Europe - 1.000% EUR CITIBANK 10,000,000 -262,016.38 Series 30 Index 20-Dec-21 Credit Default Swap Buyer Kb Home - 5.000% USD MORGAN 2,600,000 -217,051.02 STANLEY BANK 20-Dec-23 Credit Default Swap Buyer Kinder Morgan Inc - 1.000% USD MORGAN 1,600,000 -33,567.27 STANLEY BANK 20-Jun-22 Credit Default Swap Buyer Kinder Morgan Inc - 1.000% USD MORGAN 800,000 -14,305.71 STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Kohls Corporation - 1.000% USD MORGAN 1,300,000 -17,881.13 STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Kraft Heinz Foods - 1.000% USD MORGAN 1,300,000 -18,055.81 Company STANLEY BANK 20-Dec-23 Credit Default Swap Buyer Lowe’S Companies - 1.000% USD MORGAN 1,600,000 -46,620.72 Inc STANLEY BANK 20-Jun-22 Credit Default Swap Buyer Macquarie Bank Ltd - 1.000% USD CITIBANK 2,000,000 -38,049.91
20-Dec-23 Credit Default Swap Buyer Macy S Inc - 1.000% USD MORGAN 1,600,000 3,232.07 STANLEY BANK
97 Notes to the Financial Statements as at 31/12/19
Unrealised Maturity Received Gain/(Loss) (in Date Contract Underlying Rate Paid Rate Currency Counterparty Nominal Sub-Fund Ccy) 20-Dec-21 Credit Default Swap Buyer Mattel Inc - 1.000% USD MORGAN 2,600,000 -5,455.79 STANLEY BANK 20-Jun-22 Credit Default Swap Buyer Michigan ST - 1.000% USD CITIBANK 5,500,000 -100,131.13 20-Jun-22 Credit Default Swap Buyer National Australia - 1.000% USD CITIBANK 2,000,000 -38,671.55 Bank 20-Jun-22 Credit Default Swap Buyer Newmont Mining - 1.000% USD CITIBANK 800,000 -14,831.28 Corp 20-Dec-23 Credit Default Swap Buyer Newmont Mining - 1.000% USD MORGAN 1,600,000 -39,022.55 Corp STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Nordstrom Inc - 1.000% USD MORGAN 1,300,000 -18,085.50 STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Occidental - 1.000% USD MORGAN 300,000 -4,099.34 Petroleum STANLEY BANK 20-Dec-23 Credit Default Swap Buyer Omnicom Group Inc - 1.000% USD MORGAN 1,600,000 -43,258.44 STANLEY BANK 20-Dec-23 Credit Default Swap Buyer Republic of - 1.000% USD CITIBANK 6,500,000 -125,306.95 Indonesia 20-Dec-23 Credit Default Swap Buyer Republic of - 1.000% USD BARCLAYS 6,500,000 -125,306.95 Indonesia 20-Dec-21 Credit Default Swap Buyer Royal Caribbean - 5.000% USD MORGAN 1,300,000 -110,892.90 Cruises Ltd STANLEY BANK 20-Jun-23 Credit Default Swap Buyer Russian Federation - 1.000% USD BARCLAYS 6,500,000 -140,032.39
20-Jun-23 Credit Default Swap Buyer Russian Federation - 1.000% USD JP MORGAN 6,500,000 -140,032.39
20-Dec-21 Credit Default Swap Buyer Ryder System Inc - 1.000% USD BNP PARIBAS 200,000 -2,753.31
20-Dec-21 Credit Default Swap Buyer Site Centers Corp - 1.000% USD BNP PARIBAS 200,000 -2,546.61
20-Sep-25 Credit Default Swap Buyer Softbank Group - 1.000% EUR MORGAN 1,200,000 79,304.76 Corp STANLEY BANK 20-Dec-23 Credit Default Swap Buyer Teck Resources Ltd - 5.000% USD MORGAN 1,600,000 -233,250.06 STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Telefonica SA - 1.000% EUR MORGAN 1,300,000 -21,831.45 STANLEY BANK 20-Dec-23 Credit Default Swap Buyer United Parcel - 1.000% USD MORGAN 1,600,000 -42,250.12 Service STANLEY BANK 20-Dec-23 Credit Default Swap Buyer Verizon - 1.000% USD MORGAN 1,600,000 -39,820.25 Communications STANLEY BANK 20-Dec-21 Credit Default Swap Buyer Viacom Inc - 1.000% USD MORGAN 1,300,000 -18,917.81 STANLEY BANK 20-Jun-22 Credit Default Swap Buyer Westpac Bank - 1.000% USD CITIBANK 2,000,000 -37,403.72 20-Dec-21 Credit Default Swap Buyer Xerox Corporation - 1.000% USD MORGAN 2,600,000 -32,952.20 STANLEY BANK 20-Sep-20 Credit Default Swap Seller British 1.000% EUR- SOCIETE 200,000 1,329.95 Telecommunication GENERALE s PLC 20-Sep-20 Credit Default Swap Seller Casino Guichard 1.000% EUR- SOCIETE 200,000 -701.02 Perrach GENERALE 20-Sep-20 Credit Default Swap Seller Enel Spa 1.000% EUR- JP MORGAN 200,000 1,336.24 20-Sep-20 Credit Default Swap Seller Innogy SE 1.000% EUR- CITIBANK 200,000 1,441.95 20-Jun-21 Credit Default Swap Seller iTraxx Europe 5.000% EUR- BARCLAYS 1,919,980 99,042.40 Crossover Series 25 Index 20-Jun-24 Credit Default Swap Seller iTraxx Europe 5.000% EUR- JP MORGAN 17,760,060 2,118,723.83 Crossover Series 31 Index 20-Jun-24 Credit Default Swap Seller iTraxx Europe 5.000% EUR- BANK OF 26,640,090 3,178,085.75 Crossover Series AMERICA 31 Index 20-Jun-24 Credit Default Swap Seller iTraxx Japan Series 1.000% JPY- BNP PARIBAS 480,000,000 113,140.01 31 Index 20-Dec-24 Credit Default Swap Seller iTraxx Japan Series 1.000% JPY- BANK OF 450,000,000 103,113.40 32 Index AMERICA 20-Dec-24 Credit Default Swap Seller iTraxx Japan Series 1.000% JPY- BNP PARIBAS 500,000,000 114,570.45 32 Index
98 Notes to the Financial Statements as at 31/12/19
Unrealised Maturity Received Gain/(Loss) (in Date Contract Underlying Rate Paid Rate Currency Counterparty Nominal Sub-Fund Ccy) 20-Dec-24 Credit Default Swap Seller iTraxx Japan Series 1.000% JPY- BNP PARIBAS 400,000,000 91,656.36 32 Index 20-Sep-20 Credit Default Swap Seller Repsol Intl Finance 1.000% EUR- GOLDMAN 200,000 1,412.83 SACHS BANK 15-Jan-20 Index Equity Swap J P Morgan Embi - Libor 3M USD JP MORGAN 14,000,000 218,185.16 Global Core +0.80% 17-Jan-20 Index Equity Swap J P Morgan Embi - Libor 3M USD JP MORGAN 19,000,000 309,393.11 Global Core +0.80% 24-Mar-20 Index Equity Swap Sgsbs250 - Libor 3M USD SOCIETE 7,590,684 -34,302.95 +0.30% GENERALE 06-Sep-26 Inflation Swap - 1M CPTFEMU 1.028% EUR CITIBANK 4,500,000 53,143.43 Index 11-Jan-22 Inflation Swap - 1M TCPI Index 1.100% EUR JP MORGAN 6,500,000 -41,886.66 08-Feb-22 Inflation Swap - 1M FRCPXTOB 1.364% EUR UBS 7,500,000 -61,825.68 Index 15-Mar-20 Inflation Swap - 1M TCPI Index 0.870% EUR JP MORGAN 10,300,000 -3,584.13 13-Mar-24 Inflation Swap - 1M CPTFEMU 1.647% EUR MORGAN 6,000,000 -236,811.49 Index STANLEY BANK 15-Dec-24 Inflation Swap - 0.943% 1M CPTFEMU EUR BANK OF 2,700,000 -16,345.12 Index AMERICA 15-Dec-29 Inflation Swap - 1M CPTFEMU 1.070% EUR BANK OF 2,700,000 35,821.61 Index AMERICA 15-Dec-29 Inflation Swap - 1M CPTFEMU 1.132% EUR GOLDMAN 20,000,000 129,362.49 Index SACHS BANK 25-Jan-27 Inflation Swap - 1M JCPNGENF 0.620% JPY BARCLAYS 99,800,000 -14,807.26 Index 26-Jan-27 Inflation Swap - 1M JCPNGENF 0.620% JPY BARCLAYS 195,200,000 -28,946.40 Index 02-Sep-20 Inflation Swap - 1.505% 1M CPURNSA USD DEUTSCHE 2,200,000 -3,501.87 Index BANK 02-Sep-25 Inflation Swap - 1M CPURNSA 1.870% USD DEUTSCHE 2,200,000 -15,213.72 Index BANK 02-Oct-40 Inflation Swap - 1M CPURNSA 1.825% USD UBS 450,000 4,737.33 Index 08-Mar-36 Inflation Swap - 1M CPURNSA 1.905% USD CITIBANK 500,000 1,063.63 Index 01-Sep-21 Inflation Swap - 1M CPURNSA 1.531% USD JP MORGAN 3,400,000 18,871.90 Index 23-Jan-47 Inflation Swap - 1M CPURNSA 2.338% USD UBS 1,500,000 -169,164.05 Index 10-Feb-24 Inflation Swap - 1M CPURNSA 2.490% USD MORGAN 1,600,000 -60,556.94 Index STANLEY BANK 16-Oct-27 Inflation Swap - 1M CPURNSA 2.168% USD CITIBANK 13,000,000 -241,582.22 Index 05-Jun-22 Inflation Swap - 1D CPURNSA 1.700% USD BARCLAYS 45,000,000 3,451.62 Index 29-Jul-29 Interest Rate Swap - BBSW 6M 3.000% AUD CITIBANK 13,200,000 -1,151,201.18 16-Feb-26 Interest Rate Swap - Cdor 3M 1.428% CAD GOLDMAN 1,700,000 42,054.97 SACHS BANK 12-Mar-45 Interest Rate Swap - 2.520% Cdor 3M CAD GOLDMAN 700,000 25,313.12 SACHS BANK 28-Jun-21 Interest Rate Swap - 1.749% Cdor 3M CAD CITIBANK 19,600,000 -50,245.09 07-Nov-29 Interest Rate Swap - 1.978% Cdor 3M CAD BANK OF 13,400,000 -113,978.52 AMERICA 08-Oct-35 Interest Rate Swap - Libor 6M 1.220% CHF GOLDMAN 1,150,000 -85,002.34 SACHS BANK 02-Sep-31 Interest Rate Swap - Libor 6M 2.000% CHF DEUTSCHE 3,500,000 -397,569.85 BANK 14-May-25 Interest Rate Swap - 2.260% Libor 6M CHF UBS 2,300,000 223,694.70 14-May-22 Interest Rate Swap - Libor 6M 1.548% CHF UBS 2,300,000 -108,820.25 10-Dec-29 Interest Rate Swap - Libor 6M -0.235% CHF BNP PARIBAS 9,000,000 110,102.28 12-Sep-22 Interest Rate Swap - 3.315% Clibo 1D CLP GOLDMAN 2,600,000,000 121,036.61 SACHS BANK 11-Apr-21 Interest Rate Swap - 2.630% China IRS 1W CNY BARCLAYS 12,500,000 154.82 09-Jan-23 Interest Rate Swap - 3.963% China IRS 1W CNY GOLDMAN 69,000,000 307,172.28 SACHS BANK
99 Notes to the Financial Statements as at 31/12/19
Unrealised Maturity Received Gain/(Loss) (in Date Contract Underlying Rate Paid Rate Currency Counterparty Nominal Sub-Fund Ccy) 16-Apr-23 Interest Rate Swap - 3.683% China IRS 1W CNY GOLDMAN 141,500,000 508,817.30 SACHS BANK 09-Mar-21 Interest Rate Swap - 2.713% China IRS 1W CNY CITIBANK 750,000,000 81,705.37 04-Jul-24 Interest Rate Swap - 2.778% China IRS 1W CNY CITIBANK 155,000,000 -105,504.18 04-Sep-24 Interest Rate Swap - 2.830% China IRS 1W CNY CITIBANK 220,000,000 -106,835.89 07-Jun-23 Interest Rate Swap - 5.365% Eonia 1D COP GOLDMAN 36,500,000,000 239,698.46 SACHS BANK 01-Jun-23 Interest Rate Swap - 1.680% Pribor 6M CZK CITIBANK 487,000,000 -315,681.20 02-Oct-28 Interest Rate Swap - Pribor 6M 2.530% CZK GOLDMAN 570,000,000 -1,083,598.71 SACHS BANK 01-Oct-22 Interest Rate Swap - 2.550% Pribor 6M CZK GOLDMAN 1,275,000,000 337,225.80 SACHS BANK 23-Jan-22 Interest Rate Swap - Euribor 6M 0.330% EUR JP MORGAN 8,100,000 -103,831.82 19-Jul-50 Interest Rate Swap - Euribor 6M 0.930% EUR MORGAN 500,000 -40,597.57 STANLEY BANK 15-May-34 Interest Rate Swap - Euribor 6M 1.837% EUR CITIBANK 6,600,000 -229,107.64 24-Sep-24 Interest Rate Swap - 1.185% Euribor 6M EUR MORGAN 3,500,000 221,788.60 STANLEY BANK 30-Jun-22 Interest Rate Swap - Euribor 6M 0.223% EUR NOMURA 5,700,000 -70,207.85 18-Oct-28 Interest Rate Swap - 1.066% Euribor 6M EUR MORGAN 8,000,000 675,179.55 STANLEY BANK 18-Oct-23 Interest Rate Swap - Euribor 6M 0.455% EUR MORGAN 16,000,000 -395,628.59 STANLEY BANK 25-Oct-25 Interest Rate Swap - Euribor 6M 0.662% EUR MORGAN 1,200,000 -52,030.22 STANLEY BANK 01-Mar-25 Interest Rate Swap - Euribor 6M 0.476% EUR MORGAN 1,200,000 -37,250.52 STANLEY BANK 10-Sep-21 Interest Rate Swap - Euribor 6M -0.447% EUR CITIBANK 80,100,000 199,465.52 04-Oct-29 Interest Rate Swap - Euribor 6M 0.136% EUR BANK OF 14,400,000 267,431.22 AMERICA 07-Nov-30 Interest Rate Swap - 0.195% Euribor 6M EUR BANK OF 16,500,000 -166,595.76 AMERICA 07-Nov-50 Interest Rate Swap - Euribor 6M 0.553% EUR BANK OF 5,800,000 162,816.72 AMERICA 17-Dec-29 Interest Rate Swap - Euribor 6M 0.419% EUR BANK OF 13,100,000 79,852.80 AMERICA 26-Aug-25 Interest Rate Swap - Libor 6M 2.380% GBP JP MORGAN 2,700,000 -124,878.42 18-Sep-25 Interest Rate Swap - Libor 6M 2.365% GBP CITIBANK 2,500,000 -201,840.79 04-Jan-46 Interest Rate Swap - Libor 6M 2.123% GBP UBS 250,000 -65,902.73 11-Mar-21 Interest Rate Swap - Libor 6M 1.115% GBP BARCLAYS 5,000,000 -21,019.61 11-Mar-46 Interest Rate Swap - 1.689% Libor 6M GBP BARCLAYS 400,000 58,372.27 08-Sep-20 Interest Rate Swap - 0.485% Libor 6M GBP BNP PARIBAS 3,000,000 -8,195.18 06-May-45 Interest Rate Swap - Libor 6M 2.307% GBP BARCLAYS 400,000 -122,659.24 24-May-26 Interest Rate Swap - Libor 6M 2.488% GBP JP MORGAN 1,900,000 -161,326.43 15-Mar-29 Interest Rate Swap - 1.430% Libor 6M GBP JP MORGAN 7,400,000 301,513.81 30-May-24 Interest Rate Swap - Libor 6M 0.986% GBP BNP PARIBAS 14,100,000 -57,548.31 28-May-21 Interest Rate Swap - 0.894% Libor 6M GBP BNP PARIBAS 34,800,000 42,752.32 27-Nov-29 Interest Rate Swap - 1.451% Telbor 3M ILS GOLDMAN 78,500,000 41,923.50 SACHS BANK 23-Sep-24 Interest Rate Swap - 5.030% Indian OIS 1D INR NOMURA 1,515,000,000 -265,740.66 13-Nov-24 Interest Rate Swap - 5.128% Indian OIS 1D INR MORGAN 1,400,000,000 -186,148.07 STANLEY BANK 13-Dec-24 Interest Rate Swap - 5.340% Indian OIS 1D INR BANK OF 925,000,000 -22,906.93 AMERICA 13-Nov-30 Interest Rate Swap - Libor 6M 1.172% JPY JP MORGAN 132,000,000 -111,341.67 03-Jun-36 Interest Rate Swap - Libor 6M 0.412% JPY BARCLAYS 93,000,000 -19,933.53 30-Jun-26 Interest Rate Swap - Libor 6M -0.060% JPY BARCLAYS 180,000,000 9,722.72 07-Feb-27 Interest Rate Swap - Libor 6M 0.460% JPY GOLDMAN 610,000,000 -98,556.28 SACHS BANK 26-Mar-24 Interest Rate Swap - Libor 6M 1.274% JPY MORGAN 452,000,000 -198,824.23 STANLEY BANK 26-Jul-28 Interest Rate Swap - Libor 6M 0.350% JPY CITIBANK 550,000,000 -104,120.73 27-Jul-28 Interest Rate Swap - Libor 6M 0.335% JPY UBS 550,000,000 -98,317.44
100 Notes to the Financial Statements as at 31/12/19
Unrealised Maturity Received Gain/(Loss) (in Date Contract Underlying Rate Paid Rate Currency Counterparty Nominal Sub-Fund Ccy) 12-Nov-29 Interest Rate Swap - Libor 6M 0.110% JPY BANK OF 1,003,000,000 -585.40 AMERICA 22-Jan-22 Interest Rate Swap - -0.038% Libor 6M JPY BANK OF 3,280,000,000 -26,526.18 AMERICA 24-Jan-22 Interest Rate Swap - 0.020% Libor 6M JPY MORGAN 1,640,000,000 2,271.33 STANLEY BANK 06-Nov-24 Interest Rate Swap - 1.390% Kikrw 3M KRW BANK OF 26,500,000,000 56,729.61 AMERICA 06-Nov-21 Interest Rate Swap - 1.343% Kikrw 3M KRW BANK OF 128,500,000,000 80,541.08 AMERICA 02-Jan-20 Interest Rate Swap - 7.560% TIIE 1M MXN JP MORGAN 50,000,000 -41.77 04-Jan-22 Interest Rate Swap - 7.837% TIIE 1M MXN GOLDMAN 42,500,000 44,153.82 SACHS BANK 21-May-29 Interest Rate Swap - 8.100% TIIE 1M MXN GOLDMAN 141,000,000 609,573.59 SACHS BANK 08-Feb-36 Interest Rate Swap - 1.860% Nibor 6M NOK GOLDMAN 11,000,000 -38,917.81 SACHS BANK 16-Mar-21 Interest Rate Swap - Nibor 6M 1.110% NOK JP MORGAN 30,000,000 30,723.68 16-Mar-36 Interest Rate Swap - 1.830% Nibor 6M NOK JP MORGAN 15,000,000 -59,380.07 16-Mar-26 Interest Rate Swap - Nibor 6M 1.600% NOK JP MORGAN 8,900,000 21,584.53 16-Mar-46 Interest Rate Swap - 1.860% Nibor 6M NOK JP MORGAN 6,800,000 -38,171.55 15-Jan-25 Interest Rate Swap - 1.750% Nibor 6M NOK CITIBANK 10,000,000 -12,233.38 21-Oct-21 Interest Rate Swap - 1.620% Nibor 6M NOK DANSKE BANK 370,000,000 -237,111.71 19-Oct-27 Interest Rate Swap - Nibor 6M 2.400% NOK DANSKE BANK 170,000,000 -251,837.64 13-May-24 Interest Rate Swap - 1.862% Nibor 6M NOK JP MORGAN 41,000,000 -23,222.88 14-May-29 Interest Rate Swap - 2.028% Nibor 6M NOK JP MORGAN 21,500,000 -6,254.32 13-May-22 Interest Rate Swap - 1.796% Nibor 6M NOK DANSKE BANK 67,000,000 -29,248.65 11-May-29 Interest Rate Swap - 2.030% Nibor 6M NOK BNP PARIBAS 85,800,000 -23,081.24 17-Jun-24 Interest Rate Swap - Nibor 6M 1.737% NOK GOLDMAN 108,000,000 121,076.44 SACHS BANK 17-Jun-21 Interest Rate Swap - 1.735% Nibor 6M NOK GOLDMAN 269,400,000 -99,791.40 SACHS BANK 01-Jul-24 Interest Rate Swap - 1.730% Nibor 6M NOK CITIBANK 80,300,000 -93,529.31 05-Jul-29 Interest Rate Swap - 1.823% Nibor 6M NOK GOLDMAN 42,400,000 -88,768.33 SACHS BANK 17-Jun-21 Interest Rate Swap - 1.733% Nibor 6M NOK GOLDMAN 142,000,000 -52,499.32 SACHS BANK 15-Jun-21 Interest Rate Swap - 1.780% Nibor 6M NOK GOLDMAN 140,500,000 -42,136.58 SACHS BANK 17-Jun-24 Interest Rate Swap - 1.800% Nibor 6M NOK CITIBANK 108,000,000 -91,315.39 05-Jul-22 Interest Rate Swap - 3.883% BKBM 3M NZD UBS 2,700,000 106,578.08 20-Nov-20 Interest Rate Swap - 2.168% BKBM 3M NZD BANK OF 25,000,000 127,662.68 AMERICA 13-Nov-24 Interest Rate Swap - 1.855% Wibor 6M PLN GOLDMAN 87,500,000 58,617.78 SACHS BANK 21-May-24 Interest Rate Swap - 8.450% Moscow Mibor RUB GOLDMAN 1,190,000,000 1,186,558.76 3M SACHS BANK 23-May-22 Interest Rate Swap - Saibor 3M 3.610% SAR GOLDMAN 8,000,000 -66,633.32 SACHS BANK 28-Oct-35 Interest Rate Swap - Stibor 3M 2.000% SEK CITIBANK 20,500,000 -324,115.61 08-Feb-36 Interest Rate Swap - Stibor 3M 1.868% SEK GOLDMAN 6,000,000 -84,304.95 SACHS BANK 08-Feb-46 Interest Rate Swap - Stibor 3M 2.020% SEK GOLDMAN 4,500,000 -106,875.25 SACHS BANK 16-Mar-46 Interest Rate Swap - Stibor 3M 2.060% SEK JP MORGAN 5,500,000 -136,232.89 18-Apr-20 Interest Rate Swap - Stibor 3M 0.218% SEK UBS 26,500,000 -510.48 23-Jan-20 Interest Rate Swap - Stibor 3M -0.100% SEK UBS 77,000,000 131.41 19-Mar-29 Interest Rate Swap - Stibor 3M 0.929% SEK DANSKE BANK 88,000,000 -217,018.91 13-May-24 Interest Rate Swap - Stibor 3M 0.295% SEK DANSKE BANK 42,800,000 9,430.02 13-May-22 Interest Rate Swap - Stibor 3M 0.094% SEK JP MORGAN 71,000,000 23,602.74 14-May-29 Interest Rate Swap - Stibor 3M 0.785% SEK JP MORGAN 21,900,000 -25,030.69 25-Oct-21 Interest Rate Swap - 0.020% Stibor 3M SEK CITIBANK 296,500,000 -98,904.04 03-Mar-27 Interest Rate Swap - 2.590% Sibor 6M SGD UBS 4,700,000 207,583.38
101 Notes to the Financial Statements as at 31/12/19
Unrealised Maturity Received Gain/(Loss) (in Date Contract Underlying Rate Paid Rate Currency Counterparty Nominal Sub-Fund Ccy)
20-Mar-24 Interest Rate Swap - 1.985% Sibor 6M SGD GOLDMAN 15,600,000 212,710.72 SACHS BANK 15-Aug-22 Interest Rate Swap - 1.543% Sibor 6M SGD NOMURA 52,100,000 96,407.93 05-Jun-30 Interest Rate Swap - Libor 3M 3.270% USD UBS 3,400,000 -163,958.06 05-Jun-22 Interest Rate Swap - 2.730% Libor 3M USD UBS 2,600,000 58,588.99 13-Jan-32 Interest Rate Swap - Libor 3M 2.680% USD UBS 3,300,000 -190,239.05 14-Jan-21 Interest Rate Swap - 2.180% Libor 3M USD HSBC 14,000,000 56,270.34 14-Jan-49 Interest Rate Swap - Libor 3M 2.570% USD HSBC 1,300,000 -140,437.02 23-Jan-22 Interest Rate Swap - 2.377% Libor 3M USD MORGAN 9,300,000 118,680.79 STANLEY BANK 12-Apr-21 Interest Rate Swap - Libor 3M 1.144% USD JP MORGAN 2,000,000 12,845.58 01-Sep-21 Interest Rate Swap - 1.195% Libor 3M USD JP MORGAN 3,400,000 -24,976.71 24-Sep-48 Interest Rate Swap - Libor 3M 1.965% USD GOLDMAN 800,000 11,399.73 SACHS BANK 07-Feb-27 Interest Rate Swap - 2.827% Libor 3M USD BNP PARIBAS 6,200,000 262,751.99 07-Feb-52 Interest Rate Swap - Libor 3M 2.655% USD BNP PARIBAS 6,200,000 -104,678.91 14-May-25 Interest Rate Swap - Libor 3M 4.027% USD DEUTSCHE 2,600,000 -203,329.22 BANK 18-Oct-23 Interest Rate Swap - 2.165% Libor 3M USD UBS 20,000,000 320,330.63 18-Oct-28 Interest Rate Swap - Libor 3M 2.371% USD UBS 10,500,000 -426,846.55 21-Dec-27 Interest Rate Swap - Libor 3M 2.412% USD CITIBANK 7,500,000 -310,357.12 12-Mar-22 Interest Rate Swap - 2.893% Libor 3M USD CITIBANK 51,000,000 1,113,043.89 14-Mar-24 Interest Rate Swap - Libor 3M 2.930% USD CITIBANK 51,000,000 -1,060,253.56 21-Dec-20 Interest Rate Swap - 2.792% Libor 3M USD CREDIT 82,000,000 719,543.85 AGRICOLE 20-Dec-21 Interest Rate Swap - Libor 3M 2.731% USD CREDIT 82,000,000 -1,485,878.25 AGRICOLE 21-Feb-29 Interest Rate Swap - Libor 3M 2.690% USD CITIBANK 10,500,000 -686,681.71 17-Jun-24 Interest Rate Swap - 1.834% Libor 3M USD CITIBANK 44,100,000 81,264.16 19-Jun-25 Interest Rate Swap - Libor 3M 1.980% USD CITIBANK 44,100,000 -136,353.91 22-Nov-21 Interest Rate Swap - 1.564% Libor 3M USD MORGAN 140,000,000 -273,234.45 STANLEY BANK 10-Dec-29 Interest Rate Swap - Libor 3M 1.765% USD BANK OF 10,100,000 70,486.23 AMERICA 19-Sep-29 Interest Rate Swap - 7.545% Jibar 3M ZAR CITIBANK 140,000,000 -49,657.62 Total: -3,158,924.50 n PI Investment Funds - Tactical Allocation Bond Fund
Unrealised Maturity Received Gain/(Loss) (in Date Contract Underlying Rate Paid Rate Currency Counterparty Nominal Sub-Fund Ccy)
20-Dec-24 Credit Default Swap Seller iTraxx Europe 5.000% EUR- BNP PARIBAS 21,000,000 2,901,702.84 Crossover Series 32 Index 20-Dec-24 Credit Default Swap Seller iTraxx Europe 1.000% EUR- JP MORGAN 71,330,000 2,012,753.98 Series 32 Index 20-Dec-24 Credit Default Swap Seller iTraxx Europe 1.000% EUR- JP MORGAN 89,180,000 2,516,436.28 Series 32 Index 19-Oct-27 Inflation Swap - 1D CPURNSA 2.135% USD CITIBANK 20,195,000 -318,860.00 Index Total: 7,112,033.10 n PI Investment Funds - Tactical Allocation Fund
Unrealised Maturity Received Gain/(Loss) (in Date Contract Underlying Rate Paid Rate Currency Counterparty Nominal Sub-Fund Ccy)
20-Dec-24 Credit Default Swap Seller iTraxx Europe 5.000% EUR- BNP PARIBAS 11,000,000 1,519,939.58 Crossover Series 32 Index 20-Dec-24 Credit Default Swap Seller iTraxx Europe 1.000% EUR- JP MORGAN 31,650,000 893,083.75 Series 32 Index
102 Notes to the Financial Statements as at 31/12/19
Unrealised Maturity Received Gain/(Loss) (in Date Contract Underlying Rate Paid Rate Currency Counterparty Nominal Sub-Fund Ccy)
20-Dec-24 Credit Default Swap Seller iTraxx Europe 1.000% EUR- JP MORGAN 43,300,000 1,221,817.57 Series 32 Index 19-Oct-27 Inflation Swap - 1D CPURNSA 2.135% USD CITIBANK 10,180,000 -160,732.60 Index Total: 3,474,108.30 n PI Investment Funds - Tactical Portfolio Income
Unrealised Maturity Received Gain/(Loss) (in Date Contract Underlying Rate Paid Rate Currency Counterparty Nominal Sub-Fund Ccy)
20-Dec-24 Credit Default Swap Seller Cdx EM 32 Index 1.000% USD- JP MORGAN 33,500,000 -1,012,899.80 20-Dec-24 Credit Default Swap Seller Cdx EM 32 Index 1.000% USD- GOLDMAN 46,000,000 -1,390,847.49 SACHS BANK 20-Dec-24 Credit Default Swap Seller Cdx EM 32 Index 1.000% USD- JP MORGAN 29,000,000 -876,838.64 20-Dec-24 Credit Default Swap Seller Cdx EM 32 Index 1.000% USD- BANK OF 2,000,000 -60,471.63 AMERICA 20-Dec-24 Credit Default Swap Seller Cdx EM 32 Index 1.000% USD- GOLDMAN 6,000,000 -181,414.89 SACHS BANK 20-Dec-24 Credit Default Swap Seller Cdx EM 32 Index 1.000% USD- BANK OF 2,000,000 -60,471.63 AMERICA 20-Dec-24 Credit Default Swap Seller Cdx EM 32 Index 1.000% USD- BANK OF 2,000,000 -60,385.71 AMERICA 20-Dec-24 Credit Default Swap Seller CDX NA HY 33 5.000% USD- GOLDMAN 19,206,000 1,669,544.55 Index SACHS BANK 20-Dec-24 Credit Default Swap Seller iTraxx Europe 5.000% EUR- BANK OF 17,000,000 2,348,997.54 Crossover Series AMERICA 32 Index 20-Dec-24 Credit Default Swap Seller iTraxx Europe 5.000% EUR- GOLDMAN 13,800,000 1,906,833.29 Crossover Series SACHS BANK 32 Index 20-Dec-24 Credit Default Swap Seller iTraxx Europe 1.000% EUR- GOLDMAN 6,400,000 180,591.97 Series 32 Index SACHS BANK 15-Nov-28 Inflation Swap - 1M CPTFEMU 1.430% EUR NOMURA 3,000,000 -92,045.66 Index 15-Feb-29 Inflation Swap - 1M CPTFEMU 1.265% EUR HSBC 900,000 -12,805.19 Index 15-May-29 Inflation Swap - 1M CPTFEMU 1.160% EUR HSBC 1,200,000 1,580.62 Index 15-Sep-29 Inflation Swap - 1M CPTFEMU 1.057% EUR GOLDMAN 5,600,000 63,936.19 Index SACHS BANK 16-Jan-29 Inflation Swap - 1D CPURNSA 2.061% USD HSBC 8,200,000 -120,222.74 Index 17-Jan-29 Inflation Swap - 1D CPURNSA 2.044% USD GOLDMAN 8,100,000 -106,716.84 Index SACHS BANK 14-Feb-29 Inflation Swap - 1D CPURNSA 2.059% USD BANK OF 2,100,000 -27,686.52 Index AMERICA 21-Feb-29 Inflation Swap - 1D CPURNSA 2.068% USD HSBC 3,900,000 -53,553.49 Index 30-May-29 Inflation Swap - 1D CPURNSA 1.975% USD JP MORGAN 3,500,000 -23,044.57 Index 04-Jun-29 Inflation Swap - 1D CPURNSA 1.954% USD JP MORGAN 3,300,000 -16,663.03 Index 14-Jun-29 Inflation Swap - 1D CPURNSA 1.930% USD BANK OF 6,400,000 -20,849.24 Index AMERICA 02-Jul-29 Inflation Swap - 1D CPURNSA 1.919% USD GOLDMAN 18,600,000 -52,761.58 Index SACHS BANK 24-Sep-29 Inflation Swap - 1D CPURNSA 1.849% USD HSBC 9,400,000 51,482.19 Index 23-Nov-28 Interest Rate Swap - Libor 6M 1.551% GBP BANK OF 3,250,000 -169,771.48 AMERICA 14-Dec-48 Interest Rate Swap - 1.568% Libor 6M GBP HSBC 1,650,000 205,622.58 29-Jan-49 Interest Rate Swap - Libor 6M 1.604% GBP JP MORGAN 2,300,000 -313,104.15 07-Feb-49 Interest Rate Swap - Libor 6M 1.500% GBP JP MORGAN 1,850,000 -193,943.45 21-Feb-49 Interest Rate Swap - Libor 6M 1.494% GBP JP MORGAN 1,100,000 -113,518.43
103 Notes to the Financial Statements as at 31/12/19
Unrealised Maturity Received Gain/(Loss) (in Date Contract Underlying Rate Paid Rate Currency Counterparty Nominal Sub-Fund Ccy)
22-Mar-49 Interest Rate Swap - Libor 6M 1.480% GBP JP MORGAN 750,000 -74,407.77 21-May-21 Interest Rate Swap - 0.965% Libor 6M GBP JP MORGAN 12,200,000 28,818.30 23-Nov-20 Interest Rate Swap - 1.138% Libor 6M GBP BANK OF 15,100,000 50,604.42 AMERICA 08-Jul-29 Interest Rate Swap - Libor 6M 0.900% GBP JP MORGAN 3,200,000 52,050.51 23-Aug-49 Interest Rate Swap - 0.756% Libor 6M GBP HSBC 3,050,000 -371,325.14 30-Sep-29 Interest Rate Swap - Libor 6M -0.020% JPY JP MORGAN 910,000,000 91,639.21 30-Sep-49 Interest Rate Swap - 0.300% Libor 6M JPY JP MORGAN 318,000,000 -85,704.09 23-Nov-28 Interest Rate Swap - Stibor 3M 1.233% SEK NOMURA 35,800,000 -180,317.14 27-May-29 Interest Rate Swap - Stibor 3M 0.774% SEK JP MORGAN 34,350,000 -35,627.02 Total: 944,304.05
16 SUBSEQUENT EVENTS
As of January 27, 2020, Société Générale Bank & Trust’s name has been changed into Société Générale Luxembourg.
The following Sub-Fund has been launched: PI Investment Funds - Tactical Unconstrained Bond on 23 January 2020.
The change of the name of the Fund from “PI Investment Funds” to “Amundi Investment Funds”, has been adopted by the Shareholders during the extraordinary general meeting of the Shareholders of the Fund which was held on 21 February 2020. The following Sub-Fund has been renamed on 21 February 2020: PI Investment Funds - Emerging Markets Sovereign Bond into Amundi Investment Funds - Emerging Markets Sovereign Bond; PI Investment Funds - Euro High Yield Ex. Financials into Amundi Investment Funds - Euro High Yield Ex. Financials; PI Investment Funds - Strategic Income into Amundi Investment Funds - Strategic Income; PI Investment Funds - Tactical Unconstrained Bond into Amundi Investment Funds - Tactical Unconstrained Bond; PI Investment Funds - Emerging Markets Equity Income into Amundi Investment Funds - Emerging Markets Equity Income; PI Investment Funds - EMU Equity into Amundi Investment Funds - EMU Equity; PI Investment Funds - European Equity into Amundi Investment Funds - European Equity; PI Investment Funds - Japanese Equity into Amundi Investment Funds - Japanese Equity; PI Investment Funds - US Equity into Amundi Investment Funds - US Equity; PI Investment Funds - Dynamic Allocation Fund into Amundi Investment Funds - Dynamic Allocation Fund; PI Investment Funds - Multi-Asset Teodorico into Amundi Investment Funds - Multi-Asset Teodorico; PI Investment Funds - Optimiser into Amundi Investment Funds - Optimiser; PI Investment Funds - Tactical Allocation Bond Fund into Amundi Investment Funds - Tactical Allocation Bond Fund; PI Investment Funds - Tactical Allocation Fund into Amundi Investment Funds - Tactical Allocation Fund; PI Investment Funds - Tactical Allocation Pillar into Amundi Investment Funds - Tactical Allocation Pillar; PI Investment Funds - Tactical Portfolio Income into Amundi Investment Funds -Tactical Portfolio Income.
Subsequent to the end of 2019, COVID 19, initially broke out in China, has widespread across the world. As of the date of the present report, it is not possible to assess the detailed impact of this risk on each of the holdings in our portfolio but there is a growing concern about the impact on the world economy. There have been significant corrections in the financial markets in the last few weeks. The Board continues to watch the effort of governments to contain the spread of the virus and to monitor the economic impact on our portfolio. The board of Directors is also carefully monitoring the overall potential impacts of this crisis on the Fund. As of the date of the present report, the Fund is in full capacity to continue its usual operations in accordance with its investment policy and its prospectus. Information on the Fund’s unaudited net assets values are available on www.amundi.com.
104 Notes to the Financial Statements as at 31/12/19
17 COLLATERAL As at 31 December 2019 the collateral received or paid from/by brokers and counterparties for the purpose of transacting in OTC derivatives are as follows:
Collateral Amount Collateral Amount Sub-Fund Type of Received Paid (In Sub- Sub-Fund Currency Counterparty collateral (In Sub-Funds ccy) Funds ccy)
PI Investment Funds - Strategic Income USD JP Morgan Cash 1,743.00 - PI Investment Funds - Dynamic Allocation Fund EUR Bank of America, HSBC, BNP Pari- Cash 12,310,000.00 1,010,000.00 bas
PI Investment Funds - Multi-Asset Teodorico EUR Morgan Stanley, RBC, Citibank Cash 260,000.00 190,000.00 PI Investment Funds - Optimiser EUR BAREP, UBS, BNP Paribas, Bank Cash 14,550,000.00 10,870,000.00 of America, JP Morgan, Goldman Sachs Bank, Crédit Agricole, Danske Bank, Morgan Stanley, Citi- bank, HSBC, Nomura, Deutsche Bank PI Investment Funds - Tactical Allocation Bond Fund EUR BNP Paribas, JP Morgan, Citibank Cash 7,650,000.00 300,000.00 PI Investment Funds - Tactical Allocation Fund EUR BNP Paribas, City Bank, Bank of Cash 3,820,000.00 150,000.00 America
PI Investment Funds - Tactical Portfolio Income EUR Bank of America, Goldman Sachs Cash 7,010,000.00 3,520,000.00 Bank, HSBC, JP Morgan, Nomura, Société Générale, UBS
18 TRANSACTION COSTS The transaction costs the Sub-Funds incurred during the year 2019 related to purchase or sale of financial instruments are disclosed in a specific expenses line of the “Statement of Operations and Changes in Net Assets”. Transaction costs include costs directly linked to the acquisition or sale of financial instruments and derivatives, to the extent that such costs are shown separately on transaction confirmations. For some asset Classes, transaction costs are usually incorporated in dealing prices and are not reported separately. Depending on the nature of the investments of the Sub-Fund, this may result in no data being reported in the transaction costs section for some Sub-Funds. Transactions relating to securities lending, if any, and their associated costs are not included in these figures.
19 CLASS ACTION 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 depositary 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”. During 2019, the Fund has received a total of USD 58.85 as a result of class actions.
105 Audit Report
Deloitte Audit Société à responsabilité limitée 20 Boulevard de Kockelscheuer L-1821 Luxembourg
Tel: +352 451 451 www.deloitte.lu
Report of the Réviseur d’Entreprises Agréé
To the Shareholders of PI Investment Funds 5, Allée Scheffer L-2520 Luxembourg Grand Duchy of Luxembourg
REPORT OF THE REVISEUR D’ENTREPRISES AGREE
Report on the Audit of the Financial Statements
Opinion We have audited the financial statements of PI Investment Funds (the “SICAV”) and of each of its sub-funds, which comprise the Statement of Net Assets and the Statement of Investments and other net assets as at December 31, 2019 and the Statement of Operations and Changes in Net Assets for the year then ended and notes to the financial statements, including a summary of significant accounting policies. In our opinion, the accompanying financial statements give a true and fair view of the financial position of the SICAV and of each of its sub-funds as at December 31, 2019, 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 and presentation of the financial statements.
Basis for Opinion We conducted our audit in accordance with the Law of 23 July 2016 on the audit profession (Law of 23 July 2016) and with International Standards on Auditing (ISAs) as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier (CSSF). Our responsibilities under the Law of 23 July 2016 and ISAs as adopted for Luxembourg by the CSSF are further described in the “Responsibilities of the Réviseur d’Entreprises Agréé for the Audit of the Financial Statements” section of our report. We are also independent of the SICAV in accordance with the International Ethics Standards Board for Accountants’ Code of Ethics for Professional Accountants (IESBA Code) as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the financial statements, and have fulfilled our other ethical responsibilities under those ethical requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
Other information The Board of Directors of the SICAV is responsible for the other information. The other information comprises the information stated in the annual report but does not include the financial statements and our report of the Réviseur d'Entreprises Agréé thereon. Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report this fact. We have nothing to report in this regard.
Responsibilities of the Board of Directors of the SICAV for the Financial Statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of the financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements, and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the Board of Directors of the SICAV is responsible for assessing the SICAV’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors of the SICAV either intends to liquidate the SICAV or to cease operations, or has no realistic alternative but to do so.
Responsibilities of the Réviseur d’Entreprises Agréé for the Audit of the Financial Statements TThe objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue a report of the Réviseur d’Entreprises Agréé that includes our opinion. Reasonable assurance is a high level of assurance, but is not a
Société à responsabilité limitée au capital de 35.000 € RCS Luxembourg B 67.895 Autorisation d’établissement 10022179
106 Audit Report
guarantee that an audit conducted in accordance with the Law dated 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. As part of an audit in accordance with the Law dated 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment and maintain professional skepticism throughout the audit. We also: • Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. • Obtain an understanding of internal control relevant to the audit 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 SICAV’s internal control. • Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Board of Directors of the SICAV. • Conclude on the appropriateness of the Board of Directors of the SICAV use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the SICAV’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our report of the Réviseur d’Entreprises Agréé to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our report of the Réviseur d’Entreprises Agréé. However, future events or conditions may cause the SICAV to cease to continue as a going concern. • Evaluate the overall presentation, structure and content of the financial statements, including the disclosures,and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.
We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify duringour audit.
For Deloitte Audit, Cabinet de Révision Agréé
Emmanuelle Miette, Réviseur d’Entreprises Agréé Partner
Luxembourg, 22 April 2020
107 Additional Information (unaudited)
SFT REGULATION Following the Regulation 2015/2365 of the European Parliament and of the Council of 25 November 2015 on transparency of securities financing transactions and of reuse, transactions on total return swaps were subject to this Regulation as at 31 December 2019. Total return swaps are derivative contracts in which one counterparty transfers the total economic performance, including income from interest and fees, gains and losses from price movements, and credit losses, of a reference obligation to another counterparty. For the purpose of this section, total return swaps include swap agreements where the underlying asset is a single equity, a market index, a commodity index or a loan. n Total Return Swaps
PI Investment Funds - PI Investment PI Investment Euro High Yield Ex. Funds - Funds - Financial Strategic Income Optimiser
Amount of Total Return Swaps expressed in absolute amount 26,887.28 5,828.59 561,881.22 (in the currency of the Sub-Fund) Proportion of AUM 0.07% 0.02% 0.09%
Maturity tenor of the Total Return Swaps broken down in the following maturity buckets less than one day - - - one day to one week - - - one week to one month - - 527,578.27 one month to three months - 5,828.59 34,302.95 three months to one year - - - above one year 26,887.28 - - open maturity - - - Total 26,887.28 5,828.59 561,881.22
Counterparty Name of counterparty, Country of domicile of the counterparty JP MORGAN (GB) EUR GOLDMAN SACHS (GB) JP MORGAN (GB) USD and Gross volume of outstanding transactions 26,887.28 USD 5,858.59 527,578.27 SOCIETE GENERALE (FR) USD 34,302.95
Data of collateral Type of collateral: Cash - see note 17 see note 17
Securities - - - Quality of collateral: - - - Rating - - -
Maturity tenor of the collateral broken down in the following maturity buckets (in Sub-Fund's currency) less than one day - see note 17 see note 17 one day to one week - - - one week to one month - - - one month to three months - - - three months to one year - - - above one year - - - open maturity - - - Total - see note 17 see note 17
Safekeeping of collateral received by the Sub-Fund - - - as part of Total Return Swaps
Name of custodian - SOCIETE GENERALE SOCIETE GENERALE Cash - see note 17 see note 17 Securities - - - Safekeeping of collateral granted by the Sub-Fund as part of Total Return Swaps Proportion of collateral held - - -
Data on returns and costs of Total Return Swaps Returns and costs generated by Total Retun Swaps during the year 81,200.69 76,796.60 9,772,595.32 (in Sub-Fund's currency)
All transaction are bilateral transactions. ISDA Master Agreement applies to all OTC derivative transactions including total return swap transactions entered by the Sub-Funds. An ISDA Master Agreement is a bilateral agreement established by the Sub- Fund and a counterparty, which governs OTC derivative transactions, including total return swaps. The overall OTC derivative exposures under ISDA Master Agreement are netted and collateralized together. For this reason for collateral information on total return swaps we make reference to the note 16 to the financial statements which includes and reflects the overall OTC derivative transactions entered by the Sub-Funds. The collateral received is held in custody and it is not reused.
108 Additional Information (unaudited)
REMUNERATION POLICY AND PRACTICES Amundi Luxembourg remuneration policy is compliant with the requirements detailed in the European Directive 2014/91/EU that come into force on 18 March 2016, and was transposed into Luxembourg Law of May 10, 2016. The remuneration policy is based on Amundi group remuneration framework, and it is reviewed annually and approved by the Board of Amundi Luxembourg. The policy is subject to independent review by the internal Compliance function. In 2019 there were no material changes to the remuneration policy adopted for previous years. The policy applicable for 2019 was approved by Amundi Luxembourg Board on December 17, 2019. Amundi group Remuneration Committee reviews on an annual basis the group remuneration policy. The 2019 review took place on February 12, 2019. The remuneration policy and practices objectives are consistent with and promote sound and effective risk management, aligning remuneration with long-term performance and risks in order to avoid conflicts of interest. Fixed remuneration components are linked to the roles covered, the professional services rendered and the scope of responsibilities, reflecting the level of academic qualification, market pay levels, experience and skills required for each position, as well as the level of excellence demonstrated. Variable remuneration is designed to promote a sustainable long-term development of the Management Company and a solid and effective risk management system. Variable remuneration awards consider the performance of the employee, her/his business unit and Amundi group as a whole, and it is based on both financial and non-financial criteria. Amundi Luxembourg and Amundi group have defined all identified staff having authority or influence on the funds Amundi manages, and who consequently are likely to have an impact on the performance or the risk profile of our the funds.
n AMOUNTS OF REMUNERATION AWARDED Amundi Luxembourg, the Management Company acts as of December 31, 2019 as Management Company or AIFM for several umbrella and standalone UCITS and AIFs. The total remuneration expressed in Euro paid by Amundi Luxembourg to its staff during the calendar year 2019 is as follows:
Variable Nr. of beneficiaries Fixed remuneration remuneration Total Staff 105 6,665,314.66 1,734,680.54 8,399,995.20 Out of which - Identified staff 9 1,361,905.74 477,469.79 1,839,375.53 - All other staff 96 5,303,408.92 1,257,210.75 6,560,619.67
PI Investment Funds SICAV represented as of December 31, 2019 around 1.83% of the Total Net Assets under Management of Amundi Luxembourg S.A.. The total remuneration figures shown above refer to activities in respect of all funds managed. Amundi Luxembourg S.A. and Amundi group employees who are appointed to the Board of Directors of the Management Company and of the Fund waive the right to any remuneration in respect of all funds managed. No employee of the Management Company receives any amount, including carried interest and performance fees, paid directly by the UCITS or AIFs managed. n REMUNERATION OF DELEGATES When made available to the Management Company, the 2019 remuneration data in respect of the Investment Managers are detailed below. - Amundi SGR S.p.A. managed EUR 92.59 billion AuM, out of which EUR 1.48 billion represented by the sub-funds in the umbrella (respectively 1.6% of the total assets managed by the Investment Manager and 44.97% of the total umbrella's AuM). The pro-rata portion of the identified staff total remuneration attributable to the management of these sub-funds was EUR 255,711, out of which EUR 127,816 in fixed remuneration and EUR 127,895 in variable one. The pro-rata portion of staff total remuneration attributable to the management of these sub-funds was EUR 613,940, out of which EUR 410,847 in fixed remuneration and EUR 203,093 in variable one. Amundi SGR S.p.A. had a total of 50 identified staff out of a total of 355 staff in 2019. - Amundi Ireland Ltd. managed EUR 34.91 billion AuM, out of which EUR 1.28 billion represented by the sub-funds in the umbrella (respectively 3.67% of the total assets managed by the Investment Manager and 38.99% of the total umbrella's AuM). The pro-rata portion of the identified staff total remuneration attributable to the management of these sub-funds was EUR 261,298, out of which EUR 119,720 in fixed remuneration and EUR 141,578 in variable one. The pro-rata portion of staff total remuneration attributable to the management of these sub-funds was EUR 1,726,698, out of which EUR 1,270,593 in fixed remuneration and EUR 456,105 in variable one. Amundi Ireland Ltd. had a total of 16 identified staff out of a total of 393 staff in 2019. - Amundi UK Ltd. managed EUR 55.14 billion AuM, out of which EUR 0.34 billion represented by the sub-funds in the umbrella (respectively 0.62% of the total assets managed by the Investment Manager and 10.48% of the total umbrella's AuM). The pro-rata portion of the identified staff total remuneration attributable to the management of these sub-funds was EUR 71,604, out of which EUR 40,432 in fixed remuneration and EUR 31,172 in variable one. The pro-rata portion of staff total remuneration attributable to the management of these sub-funds was EUR 238,813, out of which EUR 139,712 in fixed remuneration and EUR 99,101 in variable one. Amundi UK Ltd. had a total of 25 identified staff out of a total of 157 staff in 2019. - Amundi Deutschland GmbH managed EUR 23.97 billion AuM, out of which EUR 0.16 billion represented by the sub-funds in the umbrella (respectively 0.67% of the total assets managed by the Investment Manager and 4.91% of the total umbrella's AuM). The pro-rata portion of the identified staff total remuneration attributable to the management of these sub-funds was EUR 20,297, out of which EUR 11,071 in fixed remuneration and EUR 9,226 in variable one. The pro-rata portion of staff total remuneration attributable to the management of these sub-funds was EUR 137,550, out of which EUR 80,892 in fixed remuneration and EUR 56,658 in variable one. Amundi Deutschland GmbH had a total of 11 identified staff out of a total of 135 staff in 2019. - Amundi Pioneer Asset Management Inc. managed EUR 81.18 billion AuM, out of which EUR 0.02 billion represented by the sub-funds in the umbrella (respectively 0.02% of the total assets managed by the Investment Manager and 0.65% of the total umbrella's AuM). The pro-rata portion of the identified staff total remuneration attributable to the management of these sub-funds was EUR 8,659, out of which EUR 3,373 in fixed remuneration and EUR 5,286 in variable one. The pro-rata portion of staff total remuneration attributable to the management of these sub-funds was EUR 26,311, out of which EUR 14,395 in fixed remuneration and EUR 11,916 in variable one. Amundi Pioneer Asset Management Inc. had a total of 61 identified staff out of a total of 484 staff in 2019.
109 Additional Information (unaudited)
GLOBAL EXPOSURE n THE COMMITMENT APPROACH: The following sub-funds use the commitment approach in order to monitor and measure the global exposure (all these Sub-Funds changed their VaR approach from relative VaR to commitment with effective date 28 November 2019).
PI Investment Funds - Emerging Markets Equity Income PI Investment Funds - Emerging Markets Sovereign Bond PI Investment Funds - EMU Equity PI Investment Funds - Euro High Yield Ex. Financials PI Investment Funds - European Equity PI Investment Funds - Japanese Equity PI Investment Funds - Strategic Income PI Investment Funds - US Equity n THE RELATIVE VAR APPROACH: The following sub-funds use the relative Value-at-Risk (VaR) approach (99% confidence level, 1 month holding period) in order to monitor and measure the global exposure. The length of data history is one year (Historical).
VaR VaR Lowest Highest Average Average Sub-Fund Model Reference Portfolio Limit VaR VaR VaR Leverage PI Investment Funds - Tactical Historical 85% MSCI Europe Index / 15% JP Morgan GBI 200% 48.95% 116.25% 76.62% 801.80% Allocation Fund* EMU Index *The Sub-Fund changed its VaR approach from Relative VaR to Absolute VaR with effective date 28 November 2019.
n THE ABSOLUTE APPROACH: The following sub-funds use the absolute Value-at-Risk (VaR) approach (99% confidence level, 1 month holding period) in order to monitor and measure the global exposure. The length of data history is one year (Historical).
VaR VaR Lowest Highest Average Average Sub-Fund Model Reference Portfolio Limit VaR VaR VaR Leverage PI Investment Funds - Tactical Portfolio Historical N/A 20% 3.78% 12.37% 8.20% 1 122.03% Income PI Investment Funds - Tactical Allocation Historical N/A 20% 5.59% 11.24% 7.82% 475.08% Pillar PI Investment Funds - Multi-Asset Historical N/A 20% 1.20% 3.06% 1.96% 110.04% Teodorico PI Investment Funds - Optimiser Historical N/A 20% 1.54% 5.41% 3.43% 1 133.75%
PI Investment Funds - Dynamic Allocation Historical N/A 20% 2.93% 16.24% 8.13% 731.91% Fund PI Investment Funds - Tactical Allocation Historical N/A 20% 1.54% 4.50% 2.93% 563.11% Bond Fund PI Investment Funds - Tactical Allocation Historical N/A 20% 4.89% 7.99% 6.35% 778.49% Fund* *The Sub-Fund changed its VaR approach from Relative VaR to Absolute VaR with effective date 28 November 2019.
110 Contact Information PI Investment Funds Amundi Luxembourg S.A. 5, Allée Scheer, L-2520 Luxembourg Tel.: 352 2686 8080 www.amundi.lu/amundi-funds
REF-1912