1349 Ｅ－ＳＳＧＡ－ＳＩＮ 2019-03-01 14:00:00
平成31年6月期 アジア国債・公債ＥＴＦ（正式名称：ＡＢＦ汎アジア債券インデックス・ファンド）中間決算短信 [pdf]
平成 31 年 6 月期 中間決算短信（平成 30 年 7 月 1 日～平成 30 年 12 月 31 日）
平成 31 年 3 月 1 日
フ ァ ン ド 名 ABF 汎アジア債券インデックス・ファンド 上場取引所 東京証券取引所
コ ー ド 番 号 1349 売 買 単 位 1口
連動対象指標 Markit iBoxx® ABF パン・アジア指数
主要投資資産 有価証券
管 理 会 社 ステート・ストリート・グローバル・アドバイザーズ・シンガポール・リミテッド
U R L http://www.abf-paif.com/
代 表 者 （役職名）ディレクター （氏名）オン・ホイ・ヤオ
問合せ先責任者 （役職名）代理人 （氏名）伊東 啓 (TEL) (03)6250-6200
半期報告書提出予定日 平成 31 年 4 月 1 日
Ⅰファンドの運用状況
１．平成 30 年 12 月中間期の運用状況（平成 30 年 7 月 1 日～平成 30 年 12 月 31 日）
(1)資産内訳 （百万円未満切捨て）
現金・預金・その他の資産
主要投資資産 （負債控除後） 合計（純資産）
金額 構成比 金額 構成比 金額 構成比
百万円 ％ 百万円 ％ 百万円 ％
平成 30 年 12 月中間期 414,049（100） △407（-） 413,642（100）
平成 30 年 6 月期 410,969（100） △229（-） 410,739（100）
(2)設定・交換実績 (千口未満四捨五入)
前計算期間末 当中間計算期間末
発行済口数(①) 設定口数(②) 交換口数(③) 発行済口数
（①＋②－③）
千口 千口 千口 千口
平成 30 年 12 月中間期 32,679 449 460 32,668
(3)基準価額 （百万円未満切捨て）
総資産 負債 純資産 1 口当たり基準価額
（①） （②） (③／当中間計算期間末
(③)(①－②) (前計算期間末)発行済口数×1 口)
百万円 百万円 百万円 円
平成 30 年 12 月中間期 416,903 3,261 413,642 12,661
平成 30 年 6 月期 421,468 10,728 410,739 12,568
(注)日本円への換算は、1 米ドル＝110.98 円の換算率(平成 31 年 2 月 14 日に株式会社三菱 UFJ 銀行が発表した
対顧客電信売・買相場の仲値)により計算されています。
２．会計方針の変更
① 会計基準等の改正に伴う会計方針の変更 有・無
② ①以外の会計方針の変更 有・無
CONTENTS
Page
Condensed Statement of Net Assets (Unaudited) 5
Condensed Statement of Comprehensive Income (Unaudited) 6
Condensed Statement of Changes in Net Assets
Attributable to Holders of Redeemable Units (Unaudited) 7
Condensed Statement of Cash Flows (Unaudited) 8
Notes to the Condensed Financial Statements (Unaudited) 10
ABF Pan Asia Bond Index Fund
Interim Report 2018
CONDENSED STATEMENT OF NET ASSETS
As at 31st December 2018 (Unaudited)
As at As at As at As at
31st December 30th June 31st December 30th June
2018 2018 2017 2017
Notes US$ US$ US$ US$
Assets
Current assets
Investments 3,730,852,072 3,703,091,528 3,873,293,785 3,907,610,455
Amounts due from brokers 17,828,652 81,292,908 22,437,839 24,119,685
Interest receivable – – 10 1
Cash at banks 6(e) 7,887,124 13,309,163 12,821,394 14,930,650
Total assets 3,756,567,848 3,797,693,599 3,908,553,028 3,946,660,791
Liabilities
Current liabilities
Amounts payable on redemption 1,134,269 1,132,451 1,175,780 2,295,278
Amounts due to brokers 20,737,422 87,976,464 26,992,365 33,279,804
Audit fee payable 35,402 72,040 20,036 74,518
Trustee fee payable 6(d) 157,395 149,312 155,340 161,327
Management fee payable 6(c) 1,036,524 1,055,148 696,294 1,422,383
Index license fee payable 297,653 120,256 122,174 121,216
Other payables 5,989,859 6,165,700 5,636,170 5,311,738
Liabilities (excluding net assets
attributable to holders of
redeemable units) 29,388,524 96,671,371 34,798,159 42,666,264
Net assets attributable to holders of
redeemable units 3 3,727,179,324 3,701,022,228 3,873,754,869 3,903,994,527
Number of units in issue 3 32,667,754 32,678,844 32,941,584 34,018,734
Net assets attributable to unitholders per unit 3 114.09 113.25 117.59 114.76
The notes on pages 10 to 21 form part of these financial statements.
5
ABF Pan Asia Bond Index Fund
Interim Report 2018
CONDENSED STATEMENT OF COMPREHENSIVE INCOME
For the period from 1st July 2018 to 31st December 2018 (Unaudited)
1st July 2018 1st July 2017
to 31st December to 31st December
2018 2017
Notes US$ US$
Income
Interest income on bank deposits 6(e) 30,929 16,288
Net gain on investments 4 97,560,113 161,996,901
Net foreign exchange loss (285,908) (22,189)
Other income 19,472 27,442
Total investment income 97,324,606 162,018,442
Expenses
Management fee 6(c) (2,140,046) (2,182,024)
Trustee fee 6(d) (925,667) (980,876)
Index license fee (177,397) (174,520)
Publication and printing expenses (18,927) (10,883)
Audit fee (36,648) (19,842)
Processing agent fee (8,178) (6,276)
Safe custody and bank charges 6(e) (19,256) (22,564)
Legal and professional fees (229,927) (75,021)
Other operating expenses (8,217) (11,478)
Total operating expenses (3,564,263) (3,483,484)
Operating profit 93,760,343 158,534,958
Finance costs
Distributions to holders of redeemable units 8 (59,742,673) (56,015,411)
Profit after distributions and before tax 34,017,670 102,519,547
Taxation 5 (5,664,779) (6,835,551)
Profit after distributions and tax/increase
in net assets attributable to
holders of redeemable units from operations 28,352,891 95,683,996
The notes on pages 10 to 21 form part of these financial statements.
6
ABF Pan Asia Bond Index Fund
Interim Report 2018
CONDENSED STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO
HOLDERS OF REDEEMABLE UNITS
For the period from 1st July 2018 to 31st December 2018 (Unaudited)
1st July 2018 1st July 2017
to 31st December to 31st December
2018 2017
US$ US$
Balance at beginning of the period 3,701,022,228 3,903,994,527
Issue of units 49,724,617 73,752,016
Redemption of units (51,920,412) (199,675,670)
Net redemption of units (2,195,795) (125,923,654)
Increase in net assets attributable to holders of
redeemable units from operations 28,352,891 95,683,996
Balance at the end of the period 3,727,179,324 3,873,754,869
The notes on pages 10 to 21 form part of these financial statements.
7
ABF Pan Asia Bond Index Fund
Interim Report 2018
CONDENSED STATEMENT OF CASH FLOWS
For the period from 1st July 2018 to 31st December 2018 (Unaudited)
1st July 2018 1st July 2017
to 31st December to 31st December
2018 2017
US$ US$
Cash flows from operating activities
Increase in net assets attributable to
holders of redeemable units from operations 28,352,891 95,683,996
Adjustment for:
Interest income on bank deposits (30,929) (16,288)
Distributions to holders of redeemable units 59,742,673 56,015,411
Taxation 5,664,779 6,835,551
Revaluation loss/(gain) in foreign exchange 223,140 (283,116)
Operating profit before working capital changes 93,952,554 158,235,554
Net (increase)/decrease in investments (27,760,544) 34,316,670
Net decrease in amounts due from brokers 63,464,256 1,681,846
Net decrease in amounts due to brokers (67,239,042) (6,287,439)
Net increase/(decrease) in accounts payable and
accrued expenses 82,243 (848,212)
Cash generated from operations 62,499,467 187,098,419
Interest income on bank deposits received 30,929 16,279
Taxes paid (5,792,645) (6,448,507)
Net cash generated from operating activities 56,737,751 180,666,191
Cash flows from financing activities
Distributions paid to holders of redeemable units (59,742,673) (56,015,411)
Issue of units 49,724,617 73,752,016
Redemption of units (51,918,594) (200,795,168)
Net cash used in financing activities (61,936,650) (183,058,563)
Net decrease in cash and cash equivalents (5,198,899) (2,392,372)
Effect of currency translation (223,140) 283,116
Cash and cash equivalents at the beginning of the period 13,309,163 14,930,650
Cash and cash equivalents at the end of the period 7,887,124 12,821,394
Analysis of balance of cash and cash equivalents:
Cash at banks 7,887,124 12,821,394
The notes on pages 10 to 21 form part of these financial statements.
8
ABF Pan Asia Bond Index Fund
Interim Report 2018
CONDENSED STATEMENT OF CASH FLOWS (Continued)
For the period from 1st July 2018 to 31st December 2018 (Unaudited)
Reconciliation of liabilities arising from financing activities
1st July 2018 1st July 2017
to 31st December to 31st December
2018 2017
US$ US$
At 1st July 1,132,451 2,295,278
Changes from financing cash flows
Redemption paid (51,918,594) (200,795,168)
Other changes
Payments on redemptions 51,920,412 199,675,670
At 31st December 1,134,269 1,175,780
The notes on pages 10 to 21 form part of these financial statements.
9
ABF Pan Asia Bond Index Fund
Interim Report 2018
NOTES TO THE CONDENSED FINANCIAL STATEMENTS
For the period from 1st July 2018 to 31st December 2018 (Unaudited)
1. GENERAL INFORMATION
ABF Pan Asia Bond Index Fund (the “Fund”) is a Singapore unit trust authorised under Section 286
of the Securities and Futures Act (Cap. 289) of Singapore and Section 104 of the Securities and
Futures Ordinance (Cap. 571) of Hong Kong. The Fund was constituted by a trust deed dated 21st
June 2005 between State Street Global Advisors Singapore Limited and HSBC Institutional Trust
Services (Singapore) Limited (the “Trust Deed”). The Trust Deed was amended and restated by an
Amending and Restating Deed on 28th June 2006, a Second Amending and Restating Deed dated
28th June 2007, a supplemental deed dated 27th June 2008, a Third Amending and Restating
Deed dated 24th June 2011 and a Fourth Amending and Restating Deed dated after year ended 30
June 2018. The Trust Deed and all supplement deeds are governed in accordance with the laws of
Singapore. The Fund is also listed on The Stock Exchange of Hong Kong Limited and Tokyo Stock
Exchange. The date of commencement of operation of the Fund was on 29th June 2005.
The investment objective of the Fund is to seek to provide investment results that correspond closely
to the total return of the Markit iBoxx ABF Pan-Asia Index (the “Underlying Index”), before fees
and expenses. The Underlying Index is determined and composed by Markit Indices Limited (the
“Index Provider”). The Underlying Index is an indicator of investment returns of debt obligations
denominated in China Renminbi, Hong Kong Dollars, Indonesian Rupiah, Korean Won, Malaysian
Ringgits, Philippine Pesos, Singapore Dollars or Thai Baht (each an “Asian Currency”) issued or
guaranteed by government, quasi-government organizations or supranational financial institutions,
in each case as determined by the Index Provider and which are for the time being constituent
securities of the Underlying Index.
2. BASIS OF PREPARATION AND ACCOUNTING POLICIES
These unaudited condensed interim financial statements (“Interim Financial Statements”) have
been prepared in accordance with International Accounting Standard (“IAS”) 34 “Interim Financial
Reporting”. The Interim Financial Statements are prepared under the historical cost convention as
modified by the revaluation of investments. The accounting policies and methods of computation
used in the preparation of these Interim Financial Statements are consistent with those used in the
annual financial statements for the year ended 30th June 2018.
10
ABF Pan Asia Bond Index Fund
Interim Report 2018
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (Continued)
For the period from 1st July 2018 to 31st December 2018 (Unaudited)
3. NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AND NUMBER OF UNITS IN
ISSUE
Number of units in issue
1st July 2018 to 1st January 2018 to 1st July 2017 to
31st December 30th June 31st December
2018 2018 2017
units units units
Units in issue at the beginning of
the period 32,678,844 32,941,584 34,018,734
Issue of units 448,910 537,260 642,850
Redemption of units (460,000) (800,000) (1,720,000)
Units in issue at the end of the period 32,667,754 32,678,844 32,941,584
US$ US$ US$
Net assets attributable to holders of
redeemable units 3,727,179,324 3,701,022,228 3,873,754,869
Net assets attributable to holders of
redeemable units (per unit) 114.09 113.25 117.59
Net asset value per Creation Unit
(1 Creation Unit is equivalent to
10,000 units) 1,140,935 1,132,544 1,175,947
11
ABF Pan Asia Bond Index Fund
Interim Report 2018
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (Continued)
For the period from 1st July 2018 to 31st December 2018 (Unaudited)
4. NET GAINS ON INVESTMENTS
1st July 2018 1st July 2017
to 31st December to 31st December
2018 2017
US$ US$
Change in unrealised gain/loss in value of investments 55,032,013 100,158,962
Realised gain on sale of investments 42,528,100 61,837,939
97,560,113 161,996,901
5. TAXATION
The overseas withholding tax of US$5,545,946 (6 months to 31st December 2017: US$6,835,551)
includes an amount of US$221,762 charged on certain purchases and disposal of investments
and dividend received during the period. As at 31st December 2018, the Fund made provision
of US$5,910,837 (as at 30th June 2018: US$6,038,702) for withholding tax on interest income
from PRC non-government securities. The amount is included in “other payables” in Statement
of Net Assets. In addition, according to Circular 36, interest received from government bonds and
local government bonds are exempted from VAT. However, the prevailing VAT regulations do not
specifically exempt VAT on interest received by foreign institutional investors. Hence, interest income
on non-government bonds (including corporate bonds) would be subject to 6.72% VAT and local
surtaxes.
During the year ended 31st December 2018 and 30th June 2018, the Manager does not consider
that the potential VAT and surtaxes exposure arising from the Fund’s accumulated interest income
received from PRC non-government bonds since 1st May 2016 to be material.
6. TRANSACTIONS WITH RELATED PARTIES INCLUDING THE MANAGER AND ITS CONNECTED
PERSONS
Connected Persons of the Manager are those as defined in the Code on Unit Trusts and Mutual
Funds established by the Securities and Futures Commission of Hong Kong (the “SFC Code”). The
Manager and the Trustee of the Fund are State Street Global Advisors Singapore Limited and HSBC
Institutional Trust Services (Singapore) Limited, respectively. State Street Global Advisors Singapore
Limited is a subsidiary of State Street Corporation. HSBC Institutional Trust Services (Singapore)
Limited is a subsidiary of HSBC Holdings plc. All transactions entered into during the period
between the Fund and the related parties including Manager and its Connected Persons were
carried out in the ordinary course of business and on normal commercial terms.
12
ABF Pan Asia Bond Index Fund
Interim Report 2018
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (Continued)
For the period from 1st July 2018 to 31st December 2018 (Unaudited)
(a) Foreign currency transactions with connected person of the Manager and the Trustee
During the period ended 31st December 2018, the Manager transacted in foreign currency
transactions totaling US$341,190,449 (6 months to 31st December 2017: US$531,594,922)
through its affiliated party, State Street Global Markets, LLC and Trustee’s affiliated parties,
HSBC Hong Kong and HSBC Australia for the Fund’s investments and settlement purpose. The
amount represents 100% (6 months to 31st December 2017: 100%) of the Fund’s foreign
currency transactions during the period ended 31st December 2018.
Aggregate value % of total foreign
of foreign currency currency
Name of company transactions translations
US$ %
31st December 2018
HSBC Australia 229,394,830 67.23
HSBC Hong Kong 88,975,619 26.08
State Street Global Markets, LLC 22,820,000 6.69
31st December 2017
HSBC Australia 340,494,643 64.05
HSBC Hong Kong 138,730,279 26.10
State Street Global Markets, LLC 52,370,000 9.85
During the period ended 31st December 2018 and 2017, the Connected Persons of the
Manager and the Trustee as listed above had included normal bid-offer spread for the foreign
currency transactions entered with the Fund, which were carried out in the ordinary course
of business and on normal commercial terms. There were no direct commission paid to the
connected persons of the Manager and the Trustee during the period ended 31st December
2018 and 2017.
(b) Holdings of units
As at 31st December 2018, the directors and officers of the Manager did not hold any units
in the Fund (2017: Nil). The Hong Kong and Shanghai Banking Corporation Limited, a related
party of the Trustee, held 28,266,274 units (30th June 2018: 27,841,917 units) of the Fund as
nominee on behalf of its clients, representing 86.50% (2018: 85.17%) of the Fund’s net assets.
13
ABF Pan Asia Bond Index Fund
Interim Report 2018
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (Continued)
For the period from 1st July 2018 to 31st December 2018 (Unaudited)
(c) Management fee
The Fund pays the Manager a management fee*, monthly in arrears and accrued daily,
determined on the average daily net assets of the Fund at the rate as follows:
For first US$1 billion 0.13%
For next US$250 million 0.12%
For next US$250 million 0.11%
Thereafter 0.10%
* This fee may be increased to a maximum of 0.25% per annum upon three months’ notice in writing to
unitholders.
(d) Trustee fee
The Fund pays the Trustee a trustee fee*, monthly in arrears and accrued daily, of 0.05% per
annum of the average daily net assets of the Fund.
* This fee may be increased to a maximum of 0.15% per annum upon three months’ notice in writing to
unitholders.
14
ABF Pan Asia Bond Index Fund
Interim Report 2018
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (Continued)
For the period from 1st July 2018 to 31st December 2018 (Unaudited)
(e) Bank balances
The bank balance of the Fund held with a related party of the Trustee, (i.e. The Hongkong
Shanghai Banking Corporation Limited). The details of such transactions are as follows:
As at As at
31st December 30th June
2018 2018
US$ US$
Bank balances 7,887,124 13,309,163
During the period/year ended 31st December 2018 and 30th June 2018, the below income
and expenses related to the bank balance of the Fund stated in Statement of Comprehensive
Income was earned/paid from/to a related party of the Trustee, (i.e. The Hongkong Shanghai
Banking Corporation Limited).
For the period ended For the year ended
31st December 30th June
2018 2018
US$ US$
Interest income 30,929 44,555
Interest paid 11,708 17,193
15
ABF Pan Asia Bond Index Fund
Interim Report 2018
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (Continued)
For the period from 1st July 2018 to 31st December 2018 (Unaudited)
7. SOFT DOLLAR PRACTICES
The Manager may effect transactions, provided that any such transaction is consistent with
standards of “best execution”, by or through the agency of another person for the account of the
Fund with whom the Manager or any of its Connected Persons have an arrangement under which
that party will from time to time provide to or procure for the Manager or any of its Connected
Persons goods, services or other benefits (such as research and advisory services, computer
hardware associated with specialised software or research services and performance measures) the
nature of which is such that their provision can reasonably be expected to benefit the Fund as a
whole and may contribute to an improvement in the performance of the Fund. For the avoidance
of doubt, such goods and services may not include travel, accommodation, entertainment,
general administrative goods or services, general office equipment or premises, membership fees,
employees’ salaries or direct money payments.
Since the inception of the Fund, the Manager has not participated in any soft dollar arrangements
in respect of any transactions for the account of the Fund.
8. DISTRIBUTION
1st July 2018 1st July 2017
to 31st December to 31st December
2018 2017
US$ US$
Final distribution
– US$1.84 on 32,468,844 units paid
on 2nd August 2018 59,742,673 –
– US$1.65 on 33,948,734 units paid
on 3rd August 2017 – 56,015,411
16
ABF Pan Asia Bond Index Fund
Interim Report 2018
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (Continued)
For the period from 1st July 2018 to 31st December 2018 (Unaudited)
9. SUPPLEMENTAL RATIOS
Period ended Period ended
31st December 31st December
2018 2017
Expense ratio(1) 0.19% 0.18%
Turnover ratio(2) 8.45% 8.05%
Notes:
1 The expense ratio has been computed based on the guidelines laid down by the Investment Management
Association of Singapore (“IMAS”). The calculation of the expense ratio at the period end was based on
total operating expenses of US$7,141,047 (2017: US$6,888,221) divided by the average net asset value of
US$3,750,639,294 (2017: US$3,926,268,223) for the period. The total operating expenses do not include
(where applicable) brokerage and other transactions costs, performance fee, interest expense, distribution
paid out to unitholders, foreign exchange gains/losses, front or back end loads arising from the purchase or
sale of other funds and tax deducted at source or arising out of income received. The Fund does not pay any
performance fee. The average net asset value is based on the daily balances.
2 The portfolio turnover ratio is calculated in accordance with the formula stated in the Code on Collective
Investment Schemes. The calculation of the portfolio turnover ratio was based on the lower of the total
value of purchases or sales, being purchases of US$308,696,062 (2017: purchases of US$316,658,943)
of the underlying investments, divided by the average daily net asset value of US$3,651,869,492 (2017:
US$3,935,462,307). In line with the recommendation of Statement of Recommended Accounting Practice 7
“Reporting framework for Unit Trusts” (“RAP 7”) issued by the Institute of Singapore Chartered Accountants,
total value of purchases or sales for the current period do not include brokerage and other transaction costs.
10. EVENT OCCURRING AFTER STATEMENT OF NET ASSETS DATE
Subsequent to the period end, the Fund announced a dividend distribution of US$1.76 per unit
on 15th January 2019. The dividend was paid on 31 January 2019. The net assets attributable to
holders of redeemable units as at 31st December 2018 has not accrued the dividend distribution
payable as mentioned above.
The Trustee appointed HSBC Bank Plc (connected person of the Trustee) as the stock lending agent
for stock lending transactions after the year ended 30th June 2018.
On 30 August 2018, the Standing Committee of the State Council proposed a three-year exemption
from Corporate Income Tax (CIT) and Value Added Tax (VAT) on interest income derived by overseas
investors from their investment in China bond markets. However, the specific tax regulation has not
been issued as at 26th September 2018 and there are some issues such as the effective date of the
exemption and applicable participants for the exemption, etc. remain unclear as at 26th September
2018. The impact can only be assessed when there are further updates.
17
ABF Pan Asia Bond Index Fund
Interim Report 2018
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (Continued)
For the period from 1st July 2018 to 31st December 2018 (Unaudited)
11. SECURITY LENDING ARRANGEMENTS
(a) Holdings of Collateral
As at 31st December 2018
Marked-to-market
Credit rating of value of non-cash % of net asset
the collateral Nature of collateral value covered by Value of the
Collateral provider provider1 the collateral (if applicable) collateral collateral
US$ US$
BNP Paribas Arbitrage
London/Paris Aa3 Fixed income securities 67,341,406 1.7207% 67,341,406
BNP Paribas London Aa3 Fixed income securities 1,499,942 0.0383% 1,499,942
1.7590% 68,841,348
1
Credit ratings by Moody’s Rating Services
(b) Credit Rating of fixed income collateral
% of net asset
Rating Credit value covered Value of
Collateral provider Agencies Rating by collateral the collateral
US$
BNP Paribas Arbitrage London/Paris Moody’s AA1 0.3610% 13,456,267
BNP Paribas Arbitrage London/Paris Moody’s AAA 0.1065% 3,968,643
BNP Paribas Arbitrage London/Paris Moody’s AAA 0.2042% 7,609,615
BNP Paribas Arbitrage London/Paris Moody’s AA2 0.6572% 24,496,871
BNP Paribas Arbitrage London/Paris Moody’s AA2 0.0798% 2,974,939
BNP Paribas Arbitrage London/Paris Moody’s A1 0.2897% 10,796,579
BNP Paribas Arbitrage London/Paris Moody’s A1 0.0040% 149,823
BNP Paribas Arbitrage London/Paris Moody’s A1 0.0193% 719,712
BNP Paribas Arbitrage London/Paris Moody’s A1 0.0822% 3,062,623
BNP Paribas Arbitrage London/Paris Moody’s A1 0.0029% 106,332
BNP Paribas London Moody’s A1 0.0402% 1,499,942
18
ABF Pan Asia Bond Index Fund
Interim Report 2018
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (Continued)
For the period from 1st July 2018 to 31st December 2018 (Unaudited)
(c) Transferable securities lent
Amount of
Amount of securities on loan Absolute
securities on loan as a proportion of amounts of
Total value of the as a proportion of the Fund’s assets the repurchase
transferable securities lent total lendable assets under management transactions
US$ % % US$
65,267,258 6.8823 1.7511 N/A
(d) Investments made with the cash collateral
During the period, there is no cash collateral held with regard to the security loan.
(e) Breakdown of securities lending and repurchase transactions
Geographical Proportion of Maturity of
Collateral location of cash versus non- non-cash
type Currency Maturity Tenor counterparties cash collateral collateral Settlement/clearing
Bond EUR 23/11/2018 London 100% 15/03/2026 Tri-party Collateral
Bond EUR 23/11/2018 London 100% 15/08/2028 Tri-party Collateral
Bond EUR 23/11/2018 London 100% 04/07/2028 Tri-party Collateral
Bond EUR 23/11/2018 London 100% 25/04/2029 Tri-party Collateral
Bond EUR 23/11/2018 London 100% 25/04/1941 Tri-party Collateral
Bond JPY 23/11/2018 London 100% 20/09/2019 Tri-party Collateral
Bond JPY 23/11/2018 London 100% 20/09/2020 Tri-party Collateral
Bond JPY 23/11/2018 London 100% 20/09/2023 Tri-party Collateral
Bond JPY 23/11/2018 London 100% 20/07/2020 Tri-party Collateral
Bond JPY 23/11/2018 London 100% 20/03/1948 Tri-party Collateral
Bond JPY 17/07/2018 London 100% 20/06/2028 Bilateral Collateral
(f) Share of the collateral received that is re-used or re-hypothecated, compared to the
maximum authorized amount if any, and information on any restrictions on the type of
securities (if applicable)
During the period, no share of collateral received have been re-used or re-hypothecated with
regard to the security loan.
19
ABF Pan Asia Bond Index Fund
Interim Report 2018
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (Continued)
For the period from 1st July 2018 to 31st December 2018 (Unaudited)
(g) Top ten collateral securities received by the Fund Holdings
Percentage
of total net
Fair value at assets at
31st December 31st December
2018 2018
US$ %
FRANCE 5.50% 04/25/2029 24,496,871 0.6572%
AUSTRIA 4.85% 03/15/2026 13,456,267 0.3610%
JAPAN 0.10% 09/20/2019 10,796,579 0.2897%
GERMANY 4.75% 07/04/2028 7,609,615 0.2042%
GERMANY 0.25% 08/15/2028 3,968,643 0.1065%
JAPAN 0.10% 09/20/2020 3,062,623 0.0822%
FRANCE 4.50% 04/25/2041 2,974,939 0.0798%
JAPAN 0.10% 06/20/2028 1,499,942 0.0402%
JAPAN 0.10% 09/20/2023 719,712 0.0193%
JAPAN 0.00% 07/20/2020 149,823 0.0040%
68,735,014 1.8441%
(h) Top ten counterparties of securities lending and repurchase transactions
Percentage
of total net
Fair value at assets at
31st December 31st December
2018 2018
US$ %
BNP Paribas Arbitrage London/Paris 63,899,002 1.7144%
BNP Paribas London 1,368,256 0.0367%
65,267,258 1.7511%
20
ABF Pan Asia Bond Index Fund
Interim Report 2018
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (Continued)
For the period from 1st July 2018 to 31st December 2018 (Unaudited)
(i) Custodians and the amount of assets held by each custodian
31st December
2018
US$
Custodians of collateral securities2
JP Morgan 68,841,348
Custodians of securities received by counter parties3
HSBC 65,267,258
2
Collateral is held at Tri-party agent in segregated accounts
3
All securities received by counterparties are held in segregated accounts
(j) Revenue earned arising from securities lending for the Fund (if applicable)
31st December
2018
US$
Revenue earned by the Scheme 1,845
Revenue earned by the Manager –
1,845
(k) Split between the return from securities lending and repurchase transactions and the
return from cash collateral reinvestment
31st December
2018
US$
Return from securities lending and repurchase transactions –
Return from cash collateral reinvestment –
21