1575 中国Ａ３００ 2019-05-15 11:35:00
平成30年12月期ChinaAMC CSI 300 Index ETF-JDR決算短信 [pdf]
平成 30 年 12 月期 決算短信（平成 30 年 1 月 1 日～平成 30 年 12 月 31 日）
Earning Report for Fiscal Year ended December 2018 (January 1, 2018 – December 31, 2018)
2019 年 5 月 15 日
May 15, 2019
フ ァ ン ド 名 ChinaAMC CSI 300 Index ETF-JDR 上場取引所 東
コ ー ド 番 号 1575 売買単位 10 口
連 動 対 象 指 標 CSI300 指数
主 要 投 資 資 産 株式
管 理 会 社 チャイナ・アセット・マネジメント（香港） ・リミテッド
Ｕ Ｒ Ｌ http://etfjdr.chinaamc.com.hk
代 表 者 (役職名) 最高経営責任者 (氏名) 張 霄岭
アンダーソン・毛利・友常
問合せ先責任者 (役職名) (氏名) 飛岡 和明 (TEL) 03(6775)1000
法律事務所 弁護士
Fund name: ChinaAMC CSI 300 Index ETF-JDR Listed Exchange: TSE
Code: 1575 Trading unit: 10 units
Underlying indicator: CSI 300 Index
Primary invested assets: Stocks
Management co.: China Asset Management (Hong Kong) Limited
URL: http://etfjdr.chinaamc.com.hk
Representative: (Title) Chief Executive Officer (Name) Zhang Xiaoling
Anderson Mori & Tomotsune,
Contact person: (Title) (Name) Kazuaki Tobioka (TEL) 03(6775)1000
Attorney-at-law
有価証券報告書提出予定日 2019 年 7 月 1 日
Scheduled date of submission of securities report: July 1, 2019
Ⅰ ファンドの運用状況
I Fund Management
１． 平成 30 年 12 月期の運用状況（平成 30 年 1 月 1 日～平成 30 年 12 月 31 日）
1. Management Status for Year ended December 2018 (from January 1, 2018 to December 31, 2018)
（１）信託財産である外国 ETF の資産内訳 （百万円未満切捨て）
(1) Assets of Trust Asset Foreign ETF (amounts below 1 mil. yen are discarded)
主要投資資産 現金・預金・その他の資産（負債控除後） 合計（純資産）
Primary Invested Assets Cash/Deposits/Other Assets (excluding liabilities) Total (Net Assets)
金額 構成比 金額 構成比 金額 構成比
Amount ratio Amount ratio Amount ratio
百万円 ％ 百万円 ％ 百万円 ％
JPY mil. % JPY mil. % JPY mil. %
30 年 12 月期
FY ended 195,303 99.45 1,086 0.55 196,390 100
December 2018
29 年 12 月期
FY ended 183,401 99.48 964 0.52 184,365 100
December 2017
（２）信託財産である外国 ETF の設定・交換実績
(2) Creation and Redemption of Trust Asset Foreign ETF
前計算期間末発行済口数 設定口数 交換口数 当計算期間末発行済口数
No. of Issued Units at End of No. of Units No. of Units
No. of Issued Units at End of Calculation Period
Previous Calculation Period Created Redeemed
(①) (②) (③) (①＋②－③)
千口 千口 千口 千口
‘000 units ‘000 units ‘000 units ‘000 units
30 年 12 月期
FY ended December 269,700 214,650 99,600 384,750
2018
29 年 12 月期
FY ended December 280,050 153,150 163,500 269,700
2017
（３）信託財産である外国 ETF の基準価額
(3) Net Asset Value of Trust Asset Foreign ETF
1 口当たり基準価額
総資産 負債 純資産 ((③/当計算期間末発行済口数)×1)
Total Assets Liabilities Net Assets Net Asset Value per 1 unit
(①) (②) (③(①－②)) ((③/No. of Issued Units at End of Calculation
Period)×1)
百万円 百万円 百万円 円
JPY mil. JPY mil. JPY mil. JPY
30 年 12 月期
FY ended December 196,965 575 196,390 510.44
2018
29 年 12 月期
FY ended December 184,975 609 184,365 683.60
2017
（４）上場外国 ETF 信託受益証券に係る設定・交換実績
(4) Creation and Redemption of Listed Foreign ETF Trust Beneficiary Certificates (JDR)
前計算期間末発行済口数 設定口数 交換口数
当計算期間末発行済口数
No. of Issued Units at End of No. of Units No. of Units
No. of Issued Units at End of Calculation Period
Previous Calculation Period Created Redeemed
(①) (②) (③) (①＋②－③)
千口 千口 千口 千口
‘000 units ‘000 units ‘000 units ‘000 units
30 年 12 月期
FY ended December 110 110 0 220
2018
29 年 12 月期
FY ended December 110 0 0 110
2017
（５）上場外国 ETF 信託受益証券の分配金
(5) Dividend Payment of Listed Foreign ETF Trust Beneficiary Certificates (JDR)
1 口当たり分配金
Dividend per 1 unit
円
JPY
30 年 12 月期
FY ended December 5
2018
29 年 12 月期
FY ended December 5
2017
注） 日本円への換算は、1 人民元 = 16.62 円（2019 年 4 月 25 日東京時間午後 3 時現在のブルームバーグによ
る米国ドル/人民元（CNH）及び米国ドル/日本円の仲値から算出する為替相場）により計算されていま
す。
Note: Conversion into Japanese yen has been made at the exchange rate of RMB 1.00 = JPY 16.62, calculated from the middle rates for
USD-RMB and USD-JPY as of 15:00 Tokyo time on April 25, 2019 published by Bloomberg.
２． 信託財産である外国 ETF の会計方針の変更
2. Change in Accounting Policies of Trust Asset Foreign ETF
（１）会計基準等の改正に伴う会計方針の変更 ：無
(1) Changes accompanying revision to accounting standards, etc. ：No
（２）①以外の会計方針の変更 ：無
(2) Changes other than those in ① ：No
ChinaAMC ETF Series
ChinaAMC CSI 300 Index ETF
Annual Report
For the year ended 31 December 2018
ANNUAL REPORT
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
For the year ended 31 December 2018
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
CONTENTS
Pages
MANAGEMENT AND ADMINISTRATION 1-2
REPORT OF THE MANAGER TO THE UNITHOLDERS 3-4
REPORT OF THE TRUSTEE TO THE UNITHOLDERS 5
STATEMENT OF RESPONSIBILITIES OF THE MANAGER AND THE TRUSTEE 6
INDEPENDENT AUDITOR'S REPORT 7 - 10
AUDITED FINANCIAL STATEMENTS
Statement of financial position 11
Statement of comprehensive income 12
Statement of changes in net assets attributable to unitholders 13
Statement of cash flows 14
Statement of distribution 15
Notes to financial statements 16 - 42
INVESTMENT PORTFOLIO 43 - 51
MOVEMENTS IN INVESTMENT PORTFOLIO 52 - 60
PERFORMANCE RECORD 61
IMPORTANT:
Any opinion expressed herein reflects the Manager's view only and is subject to change. For more information
about the Sub-Fund, please refer to the prospectus of the Sub-Fund which is available at our website:
http://www.chinaamc.com.hk/en/products/etf/csi300/documents.html
Investors should not rely on the information contained in this report for their investment decisions.
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
MANAGEMENT AND ADMINISTRATION
Manager and RQFII Holder Administrator and Custodian
China Asset Management (Hong Kong) Limited Citibank, N.A.
37/F, Bank of China Tower 50/F, Champion Tower
1 Garden Road Three Garden Road
Central, Hong Kong Central, Hong Kong
Directors of the Manager Registrar
Yang Minghui Computershare Hong Kong Investor Services
Zhang Xiaoling Limited
Gan Tian 46/F, Hopewell Centre
Tang Xiaodong (appointed on 10 January 2018 and 183 Queen's Road East
resigned on 27 April 2018) Wanchai, Hong Kong
Li Yimei (appointed on 18 May 2018)
Li Min (appointed on 18 May 2018)
Trustee Service Agent
Cititrust Limited HK Conversion Agency Services Limited
50/F, Champion Tower 2/F, Infinitus Plaza
Three Garden Road 199 Des Voeux Road
Central, Hong Kong Central, Hong Kong
PRC Custodian Legal Counsel to the Manager
Citibank (China) Co., Limited Simmons & Simmons
Citigroup Tower 13/F, One Pacific Place
No. 33, Hua Yuan Shi Qiao Road 88 Queensway
Lu Jia Zui Finance and Trade Area, Shanghai Central, Hong Kong
People's Republic of China
Auditor
Ernst & Young
22/F, CITIC Tower
1 Tim Mei Avenue
Central, Hong Kong
-1-
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
MANAGEMENT AND ADMINISTRATION (continued)
Participating Dealers
ABN AMRO Clearing Hong Kong Limited Haitong International Securities Company Limited
70/F, International Commerce Centre 35/F, Infinitus Plaza
1 Austin Road West 199 Des Voeux Road
Kowloon, Hong Kong Central, Hong Kong
BNP Paribas Securities (Asia) Limited J.P. Morgan Broking (Hong Kong) Limited
59/F-63/F, Two International Finance Centre 33/F, One Island East
8 Finance Street 18 Westlands Road, Island East
Central, Hong Kong Hong Kong
BOCI Securities Limited Macquarie Bank Limited
18/F, Grand Millennium Plaza Level 18, One International Finance Centre
181 Queen's Road 1 Harbour View Street
Central, Hong Kong Central, Hong Kong
China International Capital Corporation Merrill Lynch Far East Limited
Hong Kong Securities Limited 55/F, Cheung Kong Center
29/F, One International Finance Centre 2 Queen's Road
1 Harbour View Street Central, Hong Kong
Central, Hong Kong
China Merchants Securities (HK) Co., Limited Morgan Stanley Hong Kong Securities Limited
48/F, One Exchange Square 46/F, International Commerce Centre
8 Connaught Place 1 Austin Road West
Central, Hong Kong Kowloon, Hong Kong
CITIC Securities Brokerage (HK) Limited Nomura International (Hong Kong) Limited
26/F, CITIC Tower 30/F, Two International Finance Centre
1 Tim Mei Avenue 8 Finance Street
Central, Hong Kong Central, Hong Kong
Credit Suisse Securities (Hong Kong) Limited SG Securities (HK) Limited
88/F, International Commerce Centre 38/F, Pacific Place 3
1 Austin Road West 1 Queen's Road East
Kowloon, Hong Kong Admiralty, Hong Kong
Deutsche Securities Asia Limited The Hongkong and Shanghai Banking Corporation
52/F, International Commerce Centre Limited
1 Austin Road West Level 18, HSBC Main Building
Kowloon, Hong Kong 1 Queen's Road
Central, Hong Kong
Goldman Sachs (Asia) Securities Limited UBS Securities Hong Kong Limited
68/F, Cheung Kong Center 42/F, One Exchange Square
2 Queen's Road Central, Hong Kong
Central, Hong Kong
Guotai Junan Securities (Hong Kong) Limited Yuanta Securities (Hong Kong) Company Limited
27/F, Low Block, Grand Millennium Plaza 23/F, Tower 1, Admiralty Centre
181 Queen's Road 18 Harcourt Road
Central, Hong Kong Admiralty, Hong Kong
-2-
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
REPORT OF THE MANAGER TO THE UNITHOLDERS
Introduction
The ChinaAMC CSI 300 Index ETF (the "Sub-Fund"), a sub-fund of ChinaAMC ETF Series, an umbrella unit
trust established under Hong Kong law. The Sub-Fund is a physical exchange traded fund investing directly
in underlying A-Shares. Its RMB counter (stock code: 83188) and HKD counter (stock code: 03188)
commenced trading on the Stock Exchange of Hong Kong Limited (the "SEHK") on 17 July 2012 and 26
October 2012 respectively. The Sub-Fund is an index-tracking fund that seeks to track the performance of the
CSI 300 Index (the "Index").
The Manager primarily uses a full replication strategy through investing directly in securities included in the
Index with substantially the same weightings in which they are included in the Index, through the Renminbi
Qualified Foreign Institutional Investor ("RQFII") investment quota of RMB 11.05 billion (as of 31 December
2018) granted to the Manager by the State Administration of Foreign Exchange (the "SAFE"). The Manager
may also use Stock Connect, a securities trading and clearing linked programme with an aim to achieve mutual
stock market access between mainland China and Hong Kong, which consists of the Shanghai-Hong Kong
Stock Connect and the Shenzhen Stock Connect, to invest in the securities. The Manager may invest up to
100% of the Sub-Fund's NAV through either RQFII and/or the Stock Connect. The Manager may also use a
representative sampling strategy where it is not possible to acquire certain securities which are constituents
of the Index due to restrictions or limited availability. This means that the Sub-Fund will invest directly in a
representative sample of securities that collectively has an investment profile that aims to reflect the profile of
the Index, through the RQFII investment quota granted to the Manager by the SAFE. The securities
constituting the representative sample may or may not themselves be constituents of the Index.
Performance of the Sub-Fund
The investment objective of the Sub-Fund is to provide investment results that, before fees and expenses,
closely correspond to the performance of the Index.
The performance of the Sub-Fund is in below (Total Returns in respective currency123):
1-Month 3-Month Since Launch
The Index -5.10% -12.41% 43.81%4
RMB Counter of the Sub-Fund (NAV-to-NAV) -5.08% -12.45% 34.49%5
RMB Counter of the Sub-Fund (Market-to-Market) -4.62% -11.82% 27.89%5
HKD Counter of the Sub-Fund (NAV-to-NAV) -3.64% -11.93% 25.64%6
HKD Counter of the Sub-Fund (Market-to-Market) -3.42% -11.65% 25.22%6
1
Source: Bloomberg, as of 31 December 2018. Performances of CSI 300 Index and RMB Counter of the Sub-Fund are calculated in RMB while performances
of HKD Counter of the Sub-Fund are calculated in HKD.
2
Past performance figures shown are not indicative of the future performance of the Sub-Fund.
3
With effect from 25 April 2017, China Asset Management Co., Ltd ceased to be the investment adviser of the Sub-Fund. The performance of the Sub-
Fund prior to 25 April 2017 was achieved under circumstances that no longer apply.
4
Calculated since 16 July 2012.
5
Calculated since 17 July 2012.
6
Calculated since 26 October 2012.
-3-
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
REPORT OF THE MANAGER TO THE UNITHOLDERS (continued)
Activities of the Sub-Fund
According to Bloomberg, the average daily trading volume of the Sub-Fund was approximately 6,790,253 units
from 1 January 2018 to 31 December 2018. As of 31 December 2018, there were 384,750,000 units
outstanding.
Activities of the Index
There were 2 rebalances for the Index from 1 January 2018 to 31 December 2018. As of 31 December 2018,
the Sub-Fund comprised of all 300 constituent stocks in the Index.
China Asset Management (Hong Kong) Limited
23 April 2019
-4-
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
REPORT OF THE TRUSTEE TO THE UNITHOLDERS
We hereby confirm that, in our opinion, China Asset Management (Hong Kong) Limited, the Manager of
ChinaAMC CSI 300 Index ETF (the "Sub-Fund") has, in all material respects, managed the Sub-Fund in
accordance with the provisions of the trust deed dated 28 May 2012, as amended or supplemented from time
to time, for the year ended 31 December 2018.
Cititrust Limited
23 April 2019
-5-
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
STATEMENT OF RESPONSIBILITIES OF THE MANAGER AND THE TRUSTEE
Manager's responsibilities
China Asset Management (Hong Kong) Limited (the "Manager"), the manager of the ChinaAMC CSI 300 Index
ETF (the 'Sub-Fund'), a sub-fund of ChinaAMC ETF Series (the "Trust"), is required by the Code on Unit Trusts
and Mutual Funds established by the Securities & Futures Commission of Hong Kong (the "SFC Code") and
the trust deed dated 28 May 2012, as amended or supplemented from time to time (the "Trust Deed") to
prepare financial statements for each annual accounting period which give a true and fair view of the financial
position of the Sub-Fund at the end of that period and of the transactions for the period then ended. In
preparing these financial statements the Manager is required to:
– select suitable accounting policies and then apply them consistently;
– make judgements and estimates that are prudent and reasonable; and
– prepare the financial statements on the basis that the Sub-Fund will continue in operation unless it is
inappropriate to assume this.
The Manager is also required to manage the Sub-Fund in accordance with the Trust Deed and take reasonable
steps for the prevention and detection of fraud and other irregularities.
The Trust is an umbrella unit trust governed by its Trust Deed. As at 31 December 2018, the Trust has
established with three sub-funds.
Trustee's responsibilities
The Trustee of the Sub-Fund is required to:
– ensure that the Sub-Fund is managed by the Manager in accordance with the Trust Deed and that
the investment and borrowing powers are complied with;
– satisfy itself that sufficient accounting and other records have been maintained;
– safeguard the property of the Sub-Fund and rights attaching thereto; and
– report to the unitholders for each annual accounting period on the conduct of the Manager in the
management of the Sub-Fund.
-6-
Independent auditor's report
To the unitholders of ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
Report on the audit of the financial statements
Opinion
We have audited the financial statements of ChinaAMC CSI 300 Index ETF (a sub-fund of ChinaAMC ETF
Series (the "Trust") and referred to as the "Sub-Fund") set out on pages 11 to 42 which comprise the statement
of financial position as at 31 December 2018, and the statement of comprehensive income, the statement of
changes in net assets attributable to unitholders, the statement of cash flows and the statement of distribution
for the year then ended, and notes to the financial statements, including a summary of significant accounting
policies.
In our opinion, the financial statements give a true and fair view of the financial disposition of the Sub-Fund as
at 31 December 2018, and of its financial transactions and its cash flows for the year then ended in accordance
with International Financial Reporting Standards ("IFRSs").
Basis for opinion
We conducted our audit in accordance with International Standards on Auditing ("ISAs"). Our responsibilities
under those standards are further described in the Auditor's responsibilities for the audit of the financial
statements section of our report. We are independent of the Sub-Fund in accordance with the Code of Ethics
for Professional Accountants (the "Code") issued by the Hong Kong Institute of Certified Public Accountants,
and we have fulfilled our other ethical responsibilities in accordance with the Code. We believe that the audit
evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
Key audit matters
Key audit matters are those matters that, in our professional judgement, were of most significance in our audit
of the financial statements of the current period. These matters were addressed in the context of our audit of
the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate
opinion on these matters. For each matter below, our description of how our audit addressed the matter is
provided in that context.
We have fulfilled the responsibilities described in the Auditor's responsibilities for the audit of the financial
statements section of our report, including in relation to these matters. Accordingly, our audit included the
performance of procedures designed to respond to our assessment of the risks of material misstatement of
the financial statements. The results of our audit procedures, including the procedures performed to address
the matters below, provide the basis for our audit opinion on the accompanying financial statements.
-7-
Independent auditor's report (continued)
To the unitholders of ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
Key audit matters (continued)
Key audit matter How our audit addressed the key audit matter
Existence and valuation of financial assets at fair value through profit or loss
Refer to disclosures on fair values of financial We obtained independent confirmation from the
instruments in notes 11 – 12 to the financial custodian and counterparties of the investment
statements. portfolio held at 31 December 2018, and agreed the
quantities held to the accounting records. We tested the
As at 31 December 2018, financial assets at fair design and operating effectiveness of controls for the
value through profit or loss amounted to valuation of financial instruments. In addition, we
RMB11,751,134,225 which represented 99.45% of checked the valuation of the financial assets at fair
the net asset value of the Sub-Fund. These value through profit or loss that are quoted in active
financial assets were listed shares in the Shanghai markets by independently agreeing the valuation of
Stock Exchange or the Shenzhen Stock Exchange financial assets to third party vendor sources such as
and there were 300 constituent listed shares in the Reuters or Bloomberg at 31 December 2018.
Sub-Fund. They were kept by one custodian and
measured at fair value. Furthermore, as at 31 For suspended shares in which the quoted price cannot
December 2018, equity investments amounting to be obtained, we evaluated the valuation techniques
RMB173,772,995 were suspended shares which and inputs applied through comparison with the
represented 1.47% of the net asset value of the valuation techniques that are commonly used in the
Sub-Fund. We focused on this area because the market and the validation of observable inputs using
financial assets at fair value through profit or loss external market data. In addition, we evaluated the
represented the principal element of the financial reasonableness of the assumptions made by
statements and significant assumptions and management and we reviewed the financial statement
judgements were involved in measuring the fair disclosures regarding the fair value hierarchy as set out
value of the suspended shares. in notes 11 – 12 to the financial statements.
Information other than the financial statements and auditor's report thereon
The Manager and the Trustee of the Sub-Fund are responsible for the other information. The other information
comprises the information included in the Annual Report, other than the financial statements and our auditor's
report 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 that fact. We have nothing to report in this regard.
-8-
Independent auditor's report (continued)
To the unitholders of ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
Responsibilities of the Manager and the Trustee for the financial statements
The Manager and the Trustee are responsible for the preparation of the financial statements that give a true
and fair view in accordance with IFRSs, and for such internal control as the Manager and the Trustee
determine 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 Manager and the Trustee are responsible for assessing the Sub-
Fund'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 Manager and the Trustee either intend to liquidate the
Sub-Fund or to cease operations or have no realistic alternative but to do so.
In addition, the Manager and the Trustee of the Sub-Fund are required to ensure that the financial statements
have been properly prepared in accordance with the relevant disclosure provisions of the trust deed dated 28
May 2012 as amended or supplemented from time to time ("the Trust Deed") and the relevant disclosure
provisions of Appendix E of the Code on Unit Trusts and Mutual Funds (the "SFC Code") issued by the
Securities and Futures Commission of Hong Kong.
Auditor's responsibilities for the audit of the financial statements
Our objectives 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 an auditor's report that includes our
opinion. Our report is made solely to you, as a body, in accordance with our agreed terms of engagement,
and for no other purpose. We do not assume responsibility towards or accept liability to any other person for
the contents of this report.
Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in
accordance with ISAs 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. In
addition, we are required to assess whether the financial statements of the Sub-Fund have been properly
prepared, in all material respects, in accordance with the relevant disclosure provisions of the Trust Deed and
the relevant disclosure provisions of Appendix E of the SFC Code.
As part of an audit in accordance with ISAs, we exercise professional judgement and maintain professional
scepticism 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 Sub-Fund's internal control.
Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates
and related disclosures made by the Manager and the Trustee.
-9-
Independent auditor's report (continued)
To the unitholders of ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
Auditor's responsibilities for the audit of the financial statements (continued)
Conclude on the appropriateness of the Manager and the Trustee's 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 Sub-Fund's ability to continue as a going concern.
If we conclude that a material uncertainty exists, we are required to draw attention in our auditor's report 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 auditor's report.
However, future events or conditions may cause the Sub-Fund 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 the Manager and the Trustee 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 during our audit.
We also provide the Manager and the Trustee with a statement that we have complied with relevant ethical
requirements regarding independence, and to communicate with them all relationships and other matters that
may reasonably be thought to bear on our independence, and where applicable, related safeguards.
From the matters communicated with the Manager and the Trustee, we determine those matters that were of
most significance in the audit of the financial statements of the current period and are therefore the key audit
matters. We describe these matters in our auditor's report unless law or regulation precludes public disclosure
about the matter or when, in extremely rare circumstances, we determine that a matter should not be
communicated in our report because the adverse consequences of doing so would reasonably be expected
to outweigh the public interest benefits of such communication.
Report on matters under the relevant disclosure provisions of the Trust Deed and the relevant
disclosure provisions of Appendix E of the SFC Code
In our opinion, the financial statements have been properly prepared, in all material respects, in accordance
with the relevant disclosure provisions of the Trust Deed and the relevant disclosure provisions of Appendix
E of the SFC Code.
The engagement partner on the audit resulting in this independent auditor's report is Wong Sui Yan.
Certified Public Accountants
Hong Kong
23 April 2019
- 10 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
STATEMENT OF FINANCIAL POSITION
31 December 2018
Notes 2018 2017
RMB RMB
ASSETS
Financial assets at fair value through profit or loss 11 11,751,134,225 11,034,982,201
Other receivable 105,269 607,961
Cash and cash equivalents 13 99,894,957 94,106,564
TOTAL ASSETS 11,851,134,451 11,129,696,726
LIABILITIES
Management fee payable 5(a) 6,843,073 6,138,403
Custodian, fund administration and trustee fees payable 5(b) 3,330,735 4,177,711
Amounts due to participating dealers 8 22,479,440 24,584,495
Other payables and accruals 1,962,060 1,788,415
TOTAL LIABILITIES 34,615,308 36,689,024
EQUITY
NET ASSETS ATTRIBUTABLE TO UNITHOLDERS 10 11,816,519,143 11,093,007,702
TOTAL LIABILITIES AND EQUITY 11,851,134,451 11,129,696,726
NUMBER OF UNITS IN ISSUE 10 384,750,000 269,700,000
NET ASSET VALUE PER UNIT 10 30.7122 41.1309
The accompanying notes are an integral part of these financial statements.
- 11 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
STATEMENT OF COMPREHENSIVE INCOME
Year ended 31 December 2018
Notes 2018 2017
RMB RMB
INCOME
Dividend income 220,881,891 212,482,248
Interest income 321,073 449,512
221,202,964 212,931,760
EXPENSES
Management fee 5(a) ( 71,764,466) ( 70,435,396)
Brokerage fee 5(d) ( 10,867,741) ( 11,658,660)
Custodian, fund administration and trustee fees 5(b) ( 7,602,593) ( 7,230,739)
Auditor's remuneration ( 132,924) ( 154,787)
Index licensing fee ( 51,958) ( 55,638)
Data licensing fee ( 4,100,827) ( 4,024,880)
Professional fee ( 274,497) ( 184,853)
Other operating expenses ( 6,951,017) ( 7,854,583)
( 101,746,023) ( 101,599,536)
PROFIT BEFORE INVESTMENT AND EXCHANGE
DIFFERENCES 119,456,941 111,332,224
INVESTMENT (LOSSES)/GAINS AND EXCHANGE
DIFFERENCES
Net change in unrealised gains or losses on financial
assets at fair value through profit or loss ( 2,970,552,210) 1,429,628,449
Net realised gains or losses on financial assets at fair
value through profit or loss ( 182,771,058) 608,615,780
Net foreign exchange gains – 149
NET INVESTMENTS AND EXCHANGE
(LOSSES)/GAINS ( 3,153,323,268) 2,038,244,378
(LOSS)/PROFIT BEFORE TAX ( 3,033,866,327) 2,149,576,602
Withholding income tax expenses 7 ( 22,177,816) ( 22,164,870)
TOTAL COMPREHENSIVE (LOSS)/INCOME ( 3,056,044,143) 2,127,411,732
The accompanying notes are an integral part of these financial statements.
- 12 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO UNITHOLDERS
Year ended 31 December 2018
Note RMB
At 1 January 2017 9,475,920,908
Issue of units 5,749,891,820
Redemption of units ( 6,170,770,258)
Total comprehensive income 2,127,411,732
Distribution to unitholders 9 ( 89,446,500)
At 31 December 2017 and 1 January 2018 11,093,007,702
Issue of units 7,507,649,975
Redemption of units ( 3,631,861,891)
Total comprehensive loss ( 3,056,044,143)
Distribution to unitholders 9 ( 96,232,500)
At 31 December 2018 11,816,519,143
The accompanying notes are an integral part of these financial statements.
- 13 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
STATEMENT OF CASH FLOWS
Year ended 31 December 2018
Note 2018 2017
RMB RMB
CASH FLOWS FROM OPERATING ACTIVITIES
(Loss)/profit before tax ( 3,033,866,327) 2,149,576,602
Increase in financial assets at fair value through profit or
loss ( 716,152,024) ( 1,643,333,068)
Decrease in other receivable 502,692 590,982
Increase in management fee payable 704,670 384,809
(Decrease)/increase in custodian, fund administration and
trustee fees payable ( 846,976) 2,258,902
Increase in other payables and accruals 173,645 102,741
Cash (used in)/generated from operations ( 3,749,484,320) 509,580,968
Tax paid ( 22,177,816) ( 22,164,870)
Net cash flows (used in)/generated from operating
activities ( 3,771,662,136) 487,416,098
CASH FLOWS FROM FINANCING ACTIVITIES
Distribution paid to unitholders ( 96,232,500) ( 89,446,500)
Proceeds from issue of units 7,505,544,920 5,770,616,863
Payments on redemption of units ( 3,631,861,891) ( 6,170,770,258)
Net cash flows generated from/(used in) financing activities 3,777,450,529 ( 489,599,895)
NET INCREASE/(DECREASE) IN CASH AND
CASH EQUIVALENTS 5,788,393 ( 2,183,797)
Cash and cash equivalents at beginning of year 94,106,564 96,290,361
CASH AND CASH EQUIVALENTS AT END OF
YEAR 13 99,894,957 94,106,564
ANALYSIS OF CASH AND CASH EQUIVALENTS
Cash at banks 13 99,894,957 94,106,564
NET CASH FLOWS FROM OPERATING ACTIVITIES
INCLUDE:
Dividend received net of withholding tax 198,728,187 190,350,421
Interest received net of withholding tax 296,961 416,469
The accompanying notes are an integral part of these financial statements.
- 14 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
STATEMENT OF DISTRIBUTION
Year ended 31 December 2018
Note RMB
Undistributed income at 1 January 2017 –
Total comprehensive income 2,127,411,732
Less: net gains on financial assets at fair value through
profit or loss ( 2,038,244,378)
Undistributed income before distribution 89,167,354
Interim distribution declared on 19 July 2017
(RMB0.33 per unit) 9 ( 89,446,500)
Transfer from capital 279,146
Undistributed income at 31 December 2017 and
1 January 2018 –
Total comprehensive loss ( 3,056,044,143)
Add: net losses on financial assets at fair value through
profit or loss 3,153,323,268
Undistributed income before distribution 97,279,125
Interim distribution declared on 20 July 2018
(RMB0.35 per unit) 9 ( 96,232,500)
Transfer to capital ( 1,046,625)
Undistributed income at 31 December 2018 –
The accompanying notes are an integral part of these financial statements.
- 15 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
1. THE TRUST
ChinaAMC ETF Series (the "Trust") is an umbrella unit trust governed by its trust deed dated 28 May
2012, as amended or supplemented from time to time (the "Trust Deed") between China Asset
Management (Hong Kong) Limited (the "Manager") and Cititrust Limited (the "Trustee"). It is
authorised by the Securities and Futures Commission of Hong Kong (the "SFC") pursuant to Section
104(1) of the Securities and Futures Ordinance of Hong Kong.
These financial statements relate to the first sub-fund of the Trust, ChinaAMC CSI 300 Index ETF (the
"Sub-Fund"). The Sub-Fund commenced trading under the stock codes 83188 (RMB counter) and
03188 (HKD counter) on the Stock Exchange of Hong Kong Limited ("SEHK") on 17 July 2012 and
26 October 2012, respectively. On 27 February 2013, the Sub-Fund commenced trading under the
stock code 1575 on the Tokyo Stock Exchange ("TSE").
Pursuant to the guidelines on management and operation of Renminbi Qualified Foreign Institutional
Investor ("RQFII") issued by the State of Administration of Foreign Exchange ("SAFE") on and
effective from 30 May 2014, an RQFII has the flexibility to allocate its RQFII quota granted by SAFE
across different public fund products under its management. Accordingly, the Sub-Fund no longer has
the exclusive use of all the RQFII quota previously granted by SAFE to the Manager in respect of the
Sub-Fund. The Manager, at its discretion, may re-allocate the RQFII quota in respect of the Sub-Fund
to other public fund products under its management or vice versa without having to obtain prior
approval from SAFE.
The investment objective of the Sub-Fund is to provide investment results that closely correspond to
the performance of the CSI 300 Index (the "Index"). The Sub-Fund is a physical exchange traded fund
investing directly in the underlying A-Shares of the Index.
2.1 BASIS OF PREPARATION
The financial statements have been prepared in accordance with International Financial Reporting
Standards ("IFRSs") as issued by the International Accounting Standards Board ("IASB"), and
interpretations issued by the International Financial Reporting Interpretations Committee of the IASB
and the relevant disclosure provisions of the Trust Deed and the relevant disclosure provisions
specified in Appendix E of the Code on Unit Trusts and Mutual Funds of the SFC (the "SFC Code").
The financial statements have been prepared under the historical cost basis, except for financial
assets classified at fair value through profit or loss ("FVPL") that have been measured at fair value.
These financial statements are presented in Chinese Renminbi ("RMB") and all values are rounded
to the nearest RMB except where otherwise indicated.
- 16 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
2.2 CHANGES IN ACCOUNTING POLICIES AND DISCLOSURES
The Sub-Fund has adopted the following new and revised IFRSs for the first time for the current year's
financial statements, which are applicable to the Sub-Fund.
IFRS 9 Financial Instruments
IFRS 15 Revenue from Contracts with Customers
The nature and the impact of the new and revised IFRSs are described below:
IFRS 9 Financial Instruments
The Sub-Fund adopted IFRS 9 Financial Instruments on its effective date of 1 January 2018. IFRS 9
replaces International Accounting Standard ("IAS") 39 Financial Instruments: Recognition and
Measurement and introduces new requirements for classification and measurement, impairment and
hedge accounting. IFRS 9 is not applicable to items that have already been derecognised at 1 January
2018, the date of initial application.
(a) Classification and measurement
The Sub-Fund has assessed the classification of financial instruments as at the date of initial
application and has applied such classification retrospectively. Based on that assessment:
All financial assets previously held at fair value continue to be measured at fair value.
Equity instruments are acquired for the purpose of generating short-term profit. Therefore,
they meet the held-for-trading criteria and are required to be measured at FVPL.
Financial assets previously classified as loans and receivables are held to collect
contractual cash flows and give rise to cash flows representing solely payments of principal
and interest ("SPPI"). Thus, such instruments continue to be measured at amortised cost
under IFRS 9.
The classification of financial liabilities under IFRS 9 remains broadly the same as under
IAS 39. The main impact on measurement from the classification of liabilities under IFRS 9
relates to the element of gains or losses for financial liabilities designated at FVPL
attributable to changes in credit risk. IFRS 9 requires that such element be recognised in
other comprehensive income, unless this treatment creates or enlarges an accounting
mismatch in profit or loss, in which case, all gains and losses on that liability (including the
effects of changes in credit risk) should be presented in profit or loss. The Sub-Fund has
not designated any financial liabilities at FVPL. Therefore, this requirement has not had any
impact on the Sub-Fund.
(b) Impairment
For financial assets carried at amortised cost, including other receivable, the expected credit loss
("ECL") is based on the 12-month ECL. This represents the portion of lifetime ECL that results
from default events on the financial instrument that are possible within 12 months after the reporting
date. However, when there has been a significant increase in credit risk since origination, the
allowance will be based on the lifetime ECL. The Manager has closely monitored the credit qualities
and the collectability of other financial assets at amortised cost and considers that the ECL is
immaterial.
(c) Hedge accounting
The Sub-Fund has not applied hedge accounting under IAS 39 nor will it apply hedge accounting
under IFRS 9.
- 17 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
2.2 CHANGES IN ACCOUNTING POLICIES AND DISCLOSURES (continued)
Impact of adoption of IFRS 9
The classification and measurement requirements of IFRS 9 have been adopted retrospectively as of
the date of initial application on 1 January 2018, however, the Sub-Fund has chosen to take advantage
of the option not to restate comparatives. Therefore, the 2017 figures are presented and measured
under IAS 39. The following table shows the original measurement categories in accordance with IAS
39 and the measurement categories under IFRS 9 for the Sub-Fund's financial assets and financial
liabilities as at 1 January 2018.
Financial assets
IAS 39 IFRS 9
measurement IFRS 9 measurement
1 January 2018 IAS 39 classification RMB'000 classification RMB'000
Equity instruments Held for trading at FVPL 11,034,982 FVPL 11,034,982
Other receivable Loans and receivables 608 Amortised cost 608
Cash and cash equivalents Loans and receivables 94,107 Amortised cost 94,107
Financial liabilities
IAS 39 IFRS 9
measurement IFRS 9 measurement
1 January 2018 IAS 39 classification RMB'000 classification RMB'000
Management
fee payable Other financial liabilities 6,138 Amortised cost 6,138
Custodian, fund administration
and trustee fee payable Other financial liabilities 4,178 Amortised cost 4,178
Amounts due to
participating dealers Other financial liabilities 24,584 Amortised cost 24,584
Other payables and accruals Other financial liabilities 1,788 Amortised cost 1,788
In line with the characteristics of the Sub-Fund's financial instruments as well as its approach to their
management, the Sub-Fund neither revoked nor made any new designations on the date of initial
application. IFRS 9 has not resulted in changes in the carrying amount of the Sub-Fund's financial
instruments due to changes in measurement categories. All financial assets that were classified as
FVPL under IAS 39 are still classified as FVPL under IFRS 9. All financial assets that were previously
classified as loans and receivables and are continued to be measured at amortised cost.
In addition, the application of the ECL model under IFRS 9 has not significantly changed the carrying
amounts of the Sub-Fund's financial assets at amortised cost. No ECL allowance has been recorded
against the Sub-Fund's other receivable and amounts due to participating dealers both under IFRS 9
and IAS 39.
The carrying amounts of instruments at amortised cost continued to approximate to these instruments'
fair values on the date of transition after transitioning to IFRS 9.
IFRS 15 Revenue from Contracts with Customers
The Sub-Fund adopted IFRS 15 Revenue from Contracts with Customers on its effective date of 1
January 2018. IFRS 15 replaces IAS 18 Revenue and establishes a five-step model to account for
revenue arising from contracts with customers. In addition, guidance on interest and dividend income
has been moved from IAS 18 to IFRS 9 without significant changes to the requirements. Therefore,
there was no impact of adopting IFRS 15 for the Sub-Fund.
- 18 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
2.3 ISSUED BUT NOT YET EFFECTIVE INTERNATIONAL FINANCIAL REPORTING STANDARDS
The Sub-Fund has not early applied any of the new and revised IFRSs that have been issued but are
not yet effective for the accounting year ended 31 December 2018, in these financial statements.
Among the new and revised IFRSs, the following are expected to be relevant to the Sub-Fund's
financial statements upon becoming effective:
Amendments to IAS 1 and IAS 8 Definition of Material1
1 Effective for annual periods beginning on or after 1 January 2020
Amendments to IAS 1 and IAS 8 provide a new definition of material. The new definition states that
information is material if omitting, misstating or obscuring it could reasonably be expected to influence
decisions that the primary users of general purpose financial statements make on the basis of those
financial statements. The amendments clarify that materiality will depend on the nature or magnitude
of information. A misstatement of information is material if it could reasonably be expected to influence
decisions made by the primary users. The Sub-Fund expects to adopt the amendments prospectively
from 1 January 2020. The amendments are not expected to have any significant impact on the Sub-
Fund's financial statements.
3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Financial instruments
In the current period, the Sub-Fund has adopted IFRS 9 Financial Instruments. See section 2.2 for an
explanation of the impact. Comparative figures for the year ended 31 December 2017 have not been
restated. Therefore, financial instruments in the comparative period are still accounted for in
accordance with IAS 39 Financial Instruments: Recognition and Measurement.
(a) Classification
(i) Policy effective from 1 January 2018 (IFRS 9)
In accordance with IFRS 9, the Sub-Fund classifies its financial assets and financial liabilities
at initial recognition into the categories of financial assets and financial liabilities discussed
below.
In applying that classification, a financial asset or financial liability is considered to be held for
trading if:
It is acquired or incurred principally for the purpose of selling or repurchasing it in the near
term, or
On initial recognition, it is part of a portfolio of identified financial instruments that are
managed together and for which, there is evidence of a recent actual pattern of short-term
profit-taking, or
It is a derivative (except for a derivative that is a financial guarantee contract or a designated
and effective hedging instrument)
Financial assets
The Sub-Fund classifies its financial assets as subsequently measured at amortised cost or
measured at profit or loss on the basis of both:
The entity's business model for managing the financial assets
The contractual cash flow characteristics of the financial asset
- 19 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
Financial instruments (continued)
(a) Classification (continued)
(i) Policy effective from 1 January 2018 (IFRS 9) (continued)
Financial assets measured at amortised cost
Financial assets are measured at amortised cost if it is held within a business model whose
objective is to hold financial assets in order to collect contractual cash flows and its contractual
terms give rise on specified dates to cash flows that are SPPI on the principal amount
outstanding. The Sub-Fund includes in this category short-term non-financing receivables
including other receivable.
Financial assets measured at FVPL
A financial asset is measured at FVPL if:
Its contractual terms do not give rise to cash flows on specified dates that are SPPI on the
principal amount outstanding, or
It is not held within a business model whose objective is either to collect contractual cash
flows, or to both collect contractual cash flows and sell, or
At initial recognition, it is irrevocably designated as measured at FVPL when doing so
eliminates or significantly reduces a measurement or recognition inconsistency that would
otherwise arise from measuring assets or liabilities or recognising the gains and losses on
them on different bases.
The Sub-Fund includes in this category instruments held for trading. This category includes
equity instruments which are acquired principally for the purpose of generating a profit from
short-term fluctuations in price.
Financial liabilities
Financial liabilities measured at amortised cost includes all financial liabilities. The Sub-Fund
includes in this category management fee payable, custodian, fund administration and trustee
fees payables, amounts due to participating dealers and other payables and accruals.
(ii) Policy effective before 1 January 2018 (IAS 39)
The Sub-Fund classifies its financial assets and liabilities into the following categories, in
accordance with IAS 39 Financial Instruments: Recognition and Measurement.
Financial assets at FVPL
Financial assets designated at FVPL upon initial recognition: these include equity securities.
These financial assets are designated upon initial recognition on the basis that they are part of
a group of financial assets which are managed and have their performance evaluated on a fair
value basis, in accordance with risk management and investment strategies of the Sub-Fund.
Loans and receivables
Loans and receivables are non-derivative financial assets with fixed or determinable payments
that are not quoted in an active market. The Sub-Fund includes in this category amounts relating
to other receivable and cash and cash equivalents.
Financial liabilities
This category includes all financial liabilities. The Sub-Fund includes in this category amounts
relating to management fee payable, custodian, fund administration and trustee fees payable,
amounts due to participating dealers and other payables and accruals.
- 20 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
Financial instruments (continued)
(b) Recognition (under IFRS9 and IAS39)
The Sub-Fund recognises a financial asset or a financial liability when it becomes a party to the
contractual provisions of the instrument.
Purchases or sales of financial assets that require delivery of assets within the time frame
generally established by regulation or convention in the market place (regular way trades) are
recognised on the trade date, i.e., the date that the Sub-Fund commits to purchase or sell the
financial asset.
(c) Initial measurement (under IFRS9 and IAS39)
Financial assets and financial liabilities at FVPL are recorded in the statement of financial
position at fair value. All transaction costs for such instruments are recognised directly in profit
or loss.
Financial assets and liabilities (other than those classified as at FVPL) are measured initially at
their fair value plus any directly attributable incremental costs of acquisition or issue.
(d) Subsequent measurement (under IFRS9 and IAS39)
After initial measurement, the Sub-Fund measures financial instruments which are classified as
at FVPL, at fair value. Subsequent changes in the fair value of those financial instruments are
recorded in net gain or loss on financial assets and liabilities at FVPL in the statement of
comprehensive income. Interest and dividends earned or paid on these instruments are
recorded separately in interest revenue or expense and dividend revenue or expense in the
statement of comprehensive income.
Other receivable is measured at amortised cost using the effective interest method ("EIR") less
any allowance for impairment. Gains and losses are recognised in profit or loss when the
financial assets are derecognised or impaired, as well as through the amortisation process.
Financial liabilities, other than those classified as at FVPL, are measured at amortised cost
using the EIR. Gains and losses are recognised in profit or loss when the liabilities are
derecognised, as well as through the amortisation process.
The EIR is a method of calculating the amortised cost of a financial asset or a financial liability
and of allocating and recognising the interest income or interest expense in profit or loss over
the relevant period. The effective interest rate is the rate that exactly discounts estimated future
cash payments or receipts through the expected life of the financial asset or financial liability to
the gross carrying amount of the financial asset or to the amortised cost of the financial liability.
When calculating the effective interest rate, the Sub-Fund estimates cash flows considering all
contractual terms of the financial instruments, but does not consider ECLs. The calculation
includes all fees paid or received between parties to the contract that are an integral part of the
effective interest rate, transaction costs and all other premiums or discounts.
- 21 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
Financial instruments (continued)
(e) Derecognition (under IFRS9 and IAS39)
A financial asset (or, where applicable, a part of a financial asset or a part of a group of similar
financial assets) is derecognised where the rights to receive cash flows from the asset have
expired, or the Sub-Fund has transferred its rights to receive cash flows from the asset, or has
assumed an obligation to pay the received cash flows in full without material delay to a third
party under a pass-through arrangement and the Sub-Fund has:
Transferred substantially all the risks and rewards of the asset, or
Neither transferred nor retained substantially all the risks and rewards of the asset, but has
transferred control of the asset.
When the Sub-Fund has transferred its right to receive cash flows from an asset (or has entered
into a pass-through arrangement), and has neither transferred nor retained substantially all of
the risks and rewards of the asset transferred control of the asset, the asset is recognised to
the extent of the Sub-Fund's continuing involvement in the asset. In that case, the Sub-Fund
also recognises an associated liability. The transferred asset and the associated liability are
measured on a basis that reflects the rights and obligations that the Sub-Fund has retained.
The Sub-Fund derecognises a financial liability when the obligation under the liability is
discharged, cancelled or expired.
Impairment of financial assets
(a) Policy effective from 1 January 2018 (IFRS 9)
For financial assets measured at amortised cost, impairment allowances are recognised under
the general approach where ECLs are recognised in two stages. For credit exposures where
there has not been a significant increase in credit risk since initial recognition, the Sub-Fund is
required to provide for credit losses that result from possible default events within the next 12
months. For those credit exposures where there have been a significant increase in credit risk
since initial recognition, a loss allowance is required for credit losses expected over the
remaining life of the exposure irrespective of the timing of the default.
The Sub-Fund's approach to ECLs reflects a probability-weighted outcome, the time value of
money and reasonable and supportable information that is available without undue cost or effort
at the reporting date about past events, current conditions and forecasts of future economic
conditions.
The Sub-Fund uses the provision matrix as a practical expedient to measuring ECLs on other
receivable, based on days past due for groupings of receivables with similar loss patterns.
Receivables are grouped based on their nature. The provision matrix is based on historical
observed loss rates over the expected life of the receivables and is adjusted for forward-looking
estimates.
- 22 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
Impairment of financial assets (continued)
(b) Policy effective before 1 January 2018 (IAS 39)
The Sub-Fund assesses at the end of each reporting period whether a financial asset or a group
of financial assets classified as loans and receivables is impaired. A financial asset or a group
of financial assets is deemed to be impaired if, and only if, there is an objective evidence of
impairment as a result of one or more events that have occurred after the initial recognition of
the asset (an incurred ''loss event'') and that loss event has an impact on the estimated future
cash flows of the financial asset or the group of financial assets that can be reliably estimated.
Evidence of impairment may include indications that the debtor, or a group of debtors, is
experiencing significant financial difficulty, default or delinquency in interest or principal
payments, the probability that they will enter bankruptcy or other financial reorganisation and,
where observable data indicate that there is a measurable decrease in the estimated future
cash flows, such as changes in arrears or economic conditions that correlate with defaults. If
there is objective evidence that an impairment loss has been incurred, the amount of the loss
is measured as the difference between the asset's carrying amount and the present value of
estimated future cash flows (excluding future ECLs that have not yet been incurred) discounted
using the asset's original effective interest rate. The carrying amount of the asset is reduced
through the use of an allowance account and the amount of the loss is recognised in profit or
loss as ''credit loss expense''.
Impaired debts, together with the associated allowance, are written off when there is no realistic
prospect of future recovery and all collateral has been realised or has been transferred to the
Sub-Fund. If, in a subsequent period, the amount of the estimated impairment loss increases
or decreases because of an event occurring after the impairment was recognised, the previously
recognised impairment loss is increased or reduced by adjusting the allowance account. If a
previous write-off is later recovered, the recovery is credited to profit or loss.
Interest revenue on impaired financial assets is recognised using the rate of interest to discount
the future cash flows for the purpose of measuring the impairment loss.
Offsetting financial instruments
Financial assets and financial liabilities are offset and the net amount reported in the statement of
financial position if, and only if, there is a currently enforceable legal right to offset the recognised
amounts and there is an intention to settle on a net basis, or to realise the asset and settle the liability
simultaneously. This is generally not the case with master netting agreements unless one party to
the agreement defaults and the related assets and liabilities are presented gross in the statement of
financial position.
- 23 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
Fair value measurement
The Sub-Fund measures its investments in financial instruments, such as equity instruments, at fair
value at each reporting date.
Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the measurement date. The fair value measurement is
based on the presumption that the transaction to sell the asset or transfer the liability takes place
either:
In the principal market for the asset or liability, or
In the absence of a principal market, in the most advantageous market for the asset or liability.
The principal or the most advantageous market must be accessible by the Sub-Fund.
The fair value of an asset or a liability is measured using the assumptions that market participants
would use when pricing the asset or liability, assuming that market participants act in their economic
best interest.
The Sub-Fund uses valuation techniques that are appropriate in the circumstances and for which
sufficient data are available to measure fair value, maximising the use of relevant observable inputs
and minimising the use of unobservable inputs.
The fair value for financial instruments traded in active markets at the reporting date is based on their
quoted price, without any deduction for transaction costs.
For all other financial instruments not traded in an active market, the fair value is determined using
valuation techniques deemed to be appropriate in the circumstances. Valuation techniques include
the market approach (i.e., using recent arm's length market transactions, adjusted as necessary, and
reference to the current market value of another instrument that is substantially the same) and the
income approach (i.e., discounted cash flow analysis and option pricing models making as much use
of available and supportable market data as possible).
All assets and liabilities for which fair value is measured or disclosed in the financial statements are
categorised within the fair value hierarchy, described as follows, based on the lowest level input that
is significant to the fair value measurement as a whole:
Level 1 — Quoted (unadjusted) market prices in active markets for identical assets or liabilities
Level 2 — Valuation techniques for which the lowest level input that is significant to the fair value
measurement is directly or indirectly observable
Level 3 — Valuation techniques for which the lowest level input that is significant to the fair value
measurement is unobservable
For assets and liabilities that are recognised in the financial statements on a recurring basis, the Sub-
Fund determines whether transfers have occurred between levels in the hierarchy by re-assessing
categorisation (based on the lowest level input that is significant to the fair value measurement as a
whole) at the end of each reporting period.
- 24 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
Cash and cash equivalents
Cash and cash equivalents in the statement of financial position comprise cash on hand, demand
deposits, short-term deposits in banks and short-term highly liquid investments that are readily
convertible to known amounts of cash and which are subject to an insignificant risk of changes in
value, with original maturities of three months or less.
Short-term investments that are not held for the purpose of meeting short-term cash commitments
and restricted margin accounts are not considered as cash and cash equivalents.
For the purpose of the statement of cash flows, cash and cash equivalents consist of cash and cash
equivalents as defined above, net of outstanding bank overdrafts when applicable.
Functional and presentation currency
The Sub-Fund's functional currency is RMB, which is the currency of the primary economic
environment in which it operates. The Sub-Fund's performance is evaluated and its liquidity is
managed in RMB. Moreover, the net asset value per unit at the time of issue or redemption is
determined and units quoted on the SEHK are denominated in RMB.
Therefore, the RMB is considered as the currency that most faithfully represents the economic effects
of the underlying transactions, events and conditions. The Sub-Fund's presentation currency is also
RMB.
Foreign currency translations
Transactions during the year, including purchases and sales of securities, income and expenses, are
translated at the rate of exchange prevailing on the date of the transaction.
Monetary assets and liabilities denominated in foreign currencies are translated at the functional
currency rates of exchange ruling at the end of the reporting period. Differences arising on settlement
or transaction of monetary items are recognised in the statement of comprehensive income.
Non-monetary items that are measured in terms of historical cost in a foreign currency are translated
using the exchange rates at the dates of the initial transactions. Non-monetary items measured at fair
value in a foreign currency are translated using the exchange rates at the date when the fair value is
determined.
Foreign currency transaction gains and losses on financial instruments classified as at FVPL are
included in profit or loss in the statement of comprehensive income.
Taxes
In some jurisdictions, dividend income, interest income and capital gains are subject to withholding
income tax deducted at the source of the income. The Sub-Fund presents the withholding tax
separately from the gross investment gains in the statement of comprehensive income. For the
purpose of the statement of cash flows, cash inflows from investments are presented net of
withholding taxes, when applicable.
- 25 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
Redeemable units
Redeemable units are classified as an equity instrument when:
(a) The redeemable units entitle the holder to a pro-rata share of the Sub-Fund's net assets in the
event of the Sub-Fund's liquidation.
(b) The redeemable units are in the class of instruments that is subordinate to all other classes of
instruments.
(c) All redeemable units in the class of instruments that is subordinate to all other classes of
instruments have identical features.
(d) The redeemable units do not include any contractual obligation to deliver cash or another
financial asset other than the holder's rights to a pro-rata share of the Sub-Fund's net assets.
(e) The total expected cash flows attributable to the redeemable units over the life of the instrument
are based substantially on profit or loss, the change in the recognised net assets or the change
in the fair value of the recognised and unrecognised net assets of the Sub-Fund over the life of
the instrument.
In addition to the redeemable units having all the above features, the Sub-Fund must have no other
financial instruments or contracts that have:
(a) Total cash flows based substantially on profit or loss, the change in the recognised net assets or
the change in the fair value of the recognised and unrecognised net assets of the Sub-Fund, and
(b) The effect of substantially restricting or fixing the residual return to the redeemable unitholders.
The Sub-Fund continuously assesses the classification of the redeemable units. If the redeemable
units cease to have all the features or meet all the conditions set out to be classified as equity, the
Sub-Fund will reclassify them as financial liabilities and measure them at fair value at the date of
reclassification, with any differences from the previous carrying amount recognised in equity. If the
redeemable units subsequently have all the features and meet the conditions to be classified as equity,
the Sub-Fund will reclassify them as equity instruments and measure them at the carrying amount of
the liabilities at the date of the reclassification.
The issuance, acquisition and cancellation of redeemable units are accounted for as equity
transactions.
Upon issuance of redeemable units, the consideration received is included in equity. Transaction costs
incurred by the Sub-Fund in issuing or acquiring its own equity instruments are accounted for as a
deduction from equity to the extent that they are incremental costs directly attributable to the equity
transaction that otherwise would have been avoided.
Own equity instruments that are reacquired are deducted from equity and accounted for at amounts
equal to the consideration paid, including any directly attributable incremental costs.
No gain or loss is recognised in the statement of comprehensive income on the purchase, sale,
issuance or cancellation of the Sub-Fund's own equity instruments.
Dividend income
Dividend income is recognized on the date when the Sub-Fund's right to receive the payment is
established. Dividend income is presented gross of any non-recoverable withholding income taxes,
which are disclosed separately in the statement of comprehensive income.
- 26 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
Interest income
Interest income is recognised in the statement of comprehensive income as it accrues using the
effective interest method.
Net change in unrealised gains or losses on financial assets at FVPL
This item includes changes in the fair value of financial assets and liabilities at FVPL and excludes
interest and dividend income and expenses.
Unrealised gains and losses comprise changes in the fair value of financial instruments for the period
and from reversal of prior period's unrealised gains and losses for financial instruments which were
realised in the reporting period.
Net realised gains or losses on financial assets at FVPL
Realised gains and losses on disposals of financial instruments classified as at FVPL are calculated
using the weighted average method. They represent the difference between an instrument's average
cost and disposal amount.
Distributions to unitholders
Distributions are at the discretion of the Sub-Fund. A distribution to the Sub-Fund's unitholders is
accounted for as a deduction from net assets attributable to unitholders. A proposed distribution is
recognised as a liability in the year in which it is approved by the Manager.
Related parties
A party is considered to be related to the Sub-Fund if:
(a) the party is a person or a close member of that person's family and that person
(i) has control or joint control over the Sub-Fund;
(ii) has significant influence over the Sub-Fund; or
(iii) is a member of the key management personnel of the Sub-Fund or of a parent of the Sub-
Fund;
or
(b) the party is an entity where any of the following conditions applies:
(i) the entity and the Sub-Fund are members of the same group;
(ii) one entity is an associate or joint venture of the other entity (or of a parent, subsidiary or
fellow subsidiary of the other entity);
(iii) the entity and the Sub-Fund are joint ventures of the same third party;
(iv) one entity is a joint venture of a third entity and the other entity is an associate of the third
entity;
(v) the entity is a post-employment benefit plan for the benefit of employees of either the Sub-
Fund or an entity related to the Sub-Fund;
(vi) the entity is controlled or jointly controlled by a person identified in (a);
(vii) a person identified in (a)(i) has significant influence over the entity or is a member of the
key management personnel of the entity (or of a parent of the entity); and
(viii) the entity, or any member of a group of which it is a part, provides key management
personnel services to the Sub-Fund or to the parent of the Sub-Fund.
- 27 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
4. SIGNIFICANT ACCOUNTING JUDGEMENTS AND CHANGES IN ACCOUNTING ESTIMATES
The preparation of the Sub-Fund's financial statements requires the Manager to make judgements,
estimates and assumptions that affect the reported amounts of revenues, expenses, assets and
liabilities and the accompanying disclosures, and the disclosure of contingent liabilities. Uncertainty
about these assumptions and estimates could result in outcomes that require a material adjustment
to the carrying amount of the asset or liability affected in future periods.
Going concern
The Manager has made an assessment of the Sub-Fund's ability to continue as a going concern and
is satisfied that the Sub-Fund has the intention and resources to continue in business for the next 12
months after the year end date. Furthermore, the Manager is not aware of any material uncertainties
that may cast significant doubt upon the Sub-Fund's ability to continue as a going concern. Therefore,
the financial statements continue to be prepared on the going concern basis.
Taxation
In preparing these financial statements, the Manager has made certain assumptions and used various
estimates concerning the tax exposure which is dependent on what might happen in the future. The
resulting accounting estimates may not equal the related actual results.
Fair value of suspended equity investments
The suspended equity investments have been valued based on the Index Return Method and Market
Comparable Method as detailed in note 13 to the financial statements. In addition, the Manager makes
estimates about the liquidity discount. The Sub-Fund classifies the fair value of these investments as
Level 3.
- 28 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
5. TRANSACTIONS WITH THE TRUSTEE AND MANAGER AND THEIR CONNECTED PERSONS
The following is a summary of significant related party transactions entered into during the year
between the connected persons of the Sub-Fund, as defined in the SFC Code, including the Trustee,
the Manager and their connected persons. All transactions entered into during the year between the
Sub-Fund, the Trustee, the Manager and their connected persons were carried out in the normal
course of business and on normal commercial terms. To the best of the Manager's knowledge, the
Sub-Fund does not have any other transactions with connected persons except for those disclosed
below:
(a) Management fee
The Manager is entitled to receive a management fee from the Sub-Fund, at a rate of 0.70% (up
to maximum of 1%) per annum with respect to the net asset value of the Sub-Fund calculated and
accrued on each dealing day and is paid monthly in arrears.
The management fee incurred during the year ended 31 December 2018 amounted to
RMB71,764,466 (2017: RMB70,435,396). As at 31 December 2018, a management fee of
RMB6,843,073 (2017: RMB6,138,403) was payable to the Manager.
(b) Custodian, fund administration and trustee fees
Custodian fees and fund administration fees pertain to the amounts charged by the Trustee as
safe keeping and fund administration fees. The Trustee will bear the fees of Citibank, N.A.
(the "Administrator and Custodian") and Citibank (China) Co., Limited (the "PRC Custodian").
The Trustee is entitled to receive a trustee fee from the Sub-Fund which is accrued on each
dealing day and is paid monthly in arrears. The trustee fee is calculated as a percentage per
annum of the net asset value of the Sub-Fund at the current rates ranging from 0.07% to 0.10%,
subject to a monthly minimum of US$4,000.
Under the terms of the Trust Deed, the Trustee may, after consulting the Manager, on giving not
less than one month's notice to unitholders, increase the rate of the trustee fee payable in respect
of the Sub-Fund up to or towards the maximum rate of 1% per annum of the net asset value of
the Sub-Fund accrued daily and calculated as at each dealing day and payable monthly in arrears.
The custodian, fund administration and trustee fees for the year ended 31 December 2018
amounted to RMB7,602,593 (2017: RMB7,230,739). As at 31 December 2018, the custodian,
fund administration and trustee fees of RMB2,898,735 (2017: RMB3,767,711) and a transaction
fee of RMB432,000 (2017: RMB410,000) were payable to the Trustee.
(c) Financial statement preparation fee
The Trustee is entitled to receive a financial statement preparation fee from the Sub-Fund for the
preparation of interim and year-end financial statements.
The financial statement preparation fee incurred during the year ended 31 December 2018
amounted to RMB64,948 (2017: RMB69,548). As at 31 December 2018, a financial statement
preparation fee of RMB162,021 (2017: RMB97,072) was payable to the Trustee.
(d) Brokerage fee
Brokerage fees pertain to the broker commission and administration fees for every transaction
made through the brokers at the average market rate of 0.08% (2017: 0.08%) based on the
transaction value. Brokerage fees through CITIC Securities Co. Ltd., the ultimate holding
company of the Manager, amounted to RMB659,885 (2017: RMB163,268).
- 29 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
5. TRANSACTIONS WITH THE TRUSTEE AND MANAGER AND THEIR CONNECTED PERSONS
(continued)
(e) Investment transactions with connected persons of the Manager
Aggregate value Total % of Sub-Fund's Average
of purchases and commission total transactions commission
sales of securities paid during the period rate
RMB RMB % %
2018
CITIC Securities Co. Ltd. 824,898,467 659,885 6.16% 0.08%
2017
CITIC Securities Co. Ltd. 213,997,068 163,268 1.59% 0.08%
(f) Cash and cash equivalents
Bank balances are maintained with the Administrator and Custodian and the PRC Custodian of
the Sub-Fund. Bank balances deposited with the Administrator and Custodian and the PRC
Custodian as at 31 December 2018 and 31 December 2017 are summarised below:
2018 2017
RMB RMB
Cash at banks 99,894,957 94,106,564
The carrying amount of cash at banks approximates to its fair value as at year end.
6. SOFT COMMISSION ARRANGEMENTS
The Manager and its connected persons have not received any soft dollar commissions or entered
into any soft dollar arrangements in respect of the management of the Sub-Fund for the years ended
31 December 2018 and 31 December 2017. The Manager and its connected persons have not
retained any cash rebates from any broker or dealer.
7. TAXATION
Hong Kong profits tax
No provision for Hong Kong profits tax has been made for the Sub-Fund as the dividend income and
realised gain on disposal of investments of the Sub-Fund are excluded from the charge to profits tax
under Section 14, Section 26 or Section 26A of the Hong Kong Inland Revenue Ordinance.
PRC capital gain tax
No PRC withholding income tax credit on capital gains, including unrealised gains and realised gains
was recognised by the Sub-Fund for the years ended 31 December 2018 and 31 December 2017.
PRC distribution tax
A ten per-cent (10%) PRC withholding income tax has been levied on dividend and interest payments
from PRC-listed companies to foreign investors. The Sub-Fund is subject to a distribution tax of ten
per-cent (10%). There is no assurance that the rate of the distribution tax will not be changed by the
PRC tax authorities in the future. The distribution tax provided for the year ended 31 December 2018
was RMB22,177,816 (2017: RMB22,164,870).
- 30 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
8. AMOUNTS DUE TO PARTICIPATING DEALERS
The balance represents the amounts due to participating dealers and is expected to be settled within
90 days.
9. DISTRIBUTION
Distribution Distribution per unit
RMB RMB
Distribution declared by the Manager on
- 20 July 2018 (paid on 26 July 2018) 96,232,500 0.35
- 19 July 2017 (paid on 27 July 2017) 89,446,500 0.33
The Manager may in its absolute discretion distribute income to unitholders at such time or times as
it may determine in each financial year or determine that no distribution shall be made in any financial
year. The amount to be distributed to unitholders, if any, will be derived from the net income of the
Sub-Fund.
10. THE REDEEMABLE UNITS
2018 2017
Number of units Number of units
Units in issue at the beginning of the year 269,700,000 280,050,000
Issue of units 214,650,000 153,150,000
Redemption of units ( 99,600,000) ( 163,500,000)
Units in issue at the end of the year 384,750,000 269,700,000
2018 2017
At last traded At last traded
market price market price
RMB RMB
Dealing net asset value at the end of the year 11,816,519,143 11,093,007,702
Dealing net asset value per unit at the end of the year 30.7122 41.1309
The creation and redemption of units of the Sub-Fund can only be facilitated by or through participating
dealers. Investors other than the participating dealers make a request to create or redeem units
through a participating dealer, and if the investor is a retail investor, such request must be made
through a stockbroker which has opened an account with a participating dealer.
The Trustee shall receive subscription proceeds from the participating dealers for the creation of units
and pay redemption proceeds for the redemption of units to the relevant participating dealer in such
form and manner as prescribed by the Trust Deed.
Units are denominated in RMB and no fractions of a unit shall be created or issued by the Trustee.
Units of the Sub-Fund are offered and issued at their dealing net asset value only in aggregations of
a specified number of application units (the "Application Unit"). Units are redeemable only in an
Application Unit or multiple thereof at the dealing net asset value. Currently, creation and redemption
of units are effected in cash.
- 31 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
11. FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS
2018 2017
RMB RMB
Financial assets at fair value through profit or loss:
Listed equity securities 11,751,134,225 11,034,982,201
12. FAIR VALUE OF FINANCIAL INSTRUMENTS
The following table shows an analysis of the Sub-Fund's financial assets measured at fair value at 31
December 2018 and 31 December 2017:
Level 1 Level 2 Level 3 Total
RMB'000 RMB'000 RMB'000 RMB'000
2018
Financial assets at fair value
through profit or loss
Listed equity securities 11,577,361 – 173,773 11,751,134
2017
Financial assets at fair value
through profit or loss
Listed equity securities 10,759,009 – 275,973 11,034,982
Transfers between Level 1 and Level 2
As at 31 December 2018 and 31 December 2017, no listed equity securities were reclassified from
Level 1 to Level 2.
Transfers between Level 1 and Level 3
As at 31 December 2018, the Sub-Fund reclassified one listed equity security, CITIC Securities Co
Ltd (stock code: 600030), from Level 1 to Level 3 following the suspension of trading of the
investments.
As at 31 December 2017, the Sub-Fund reclassified ten listed equity securities from Level 1 to Level
3 following the suspension of trading of the investments. Those financial assets are namely (1)
Aluminum Corp of China Ltd (stock code: 601600), (2) Aurora Optoelectronics Co Ltd (stock code:
600666), (3) China CSSC Holdings Ltd (stock code: 600150), (4) CSSC Offshore and Marine
Engineering Group Co Ltd (stock code: 600685), (5) Guangzhou Baiyunshan Pharmaceutical
Holdings Co Ltd (stock code: 600332), (6) Inner Mongolia Junzheng Energy & Chemical Industry
Group Co (stock code: 601216), (7) Kingenta Ecological Engineering Group Co Ltd (stock code:
002470), (8) Wanda Film Holding Co Ltd (stock code: 002739), (9) Wanhua Chemical Group Co Ltd
(stock code: 600309) and (10) Wintime Energy Co Ltd (stock code: 600157). As at 31 December 2018,
all of these listed equity securities have been reclassified to Level 1 due to resumption of trading in
2018.
Transfers between levels of fair value hierarchy are deemed to have occurred at the end of the
reporting period.
- 32 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
12. FAIR VALUE OF FINANCIAL INSTRUMENTS (continued)
Transfers between Level 1 and Level 3 (continued)
The following table shows the total amount of all transfers of financial assets at fair value through
profit or loss from Level 1 to Level 3 of the fair value hierarchy:
Transfer from
Level 1 to Level 3
2018 2017
RMB RMB
Financial assets at fair value through profit or loss
- Listed equity securities 152,106,663 205,809,974
Transfers between Level 2 and Level 3
As at 31 December 2018 and 31 December 2017, no listed equities were reclassified from Level 2 to
Level 3.
Valuation techniques
Level 1
When fair values of listed equity securities at the reporting date are based on quoted market prices or
binding dealer price quotations, in an active market for identical assets without any adjustments, the
instruments are included within Level 1 of the hierarchy. The Sub-Fund values these investments at
last traded prices.
Level 2
The Manager has adopted the Index Return Method to perform valuation for investments suspended
from trading. As the model incorporates unobservable inputs, whether resumed or not, the
investments suspended from trading are classified as Level 3. Hence, no investments are classified
as Level 2 in 2018 and 2017.
Level 3
The valuation of investments suspended from trading is performed on a daily basis by the portfolio
manager of the Manager and reviewed by senior management of the Manager and the Trustee. The
fair value was estimated by the Manager using the Index Return Method and then adjusting the last
traded price by applying available data of the corresponding sector of those investments since the
suspension date. The model incorporates unobservable inputs which include the relevant industry
index. Also, the Market Comparable Method was used to estimate the fair value, in which the last
traded price before the suspension of trading was used and then adjusted by applying a liquidity
discount. The model incorporates unobservable inputs which include qualitative assessment. Both
valuation methods are generally accepted in the industry. Hence, the Sub-Fund classifies the fair
value of these investments as Level 3.
- 33 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
12. FAIR VALUE OF FINANCIAL INSTRUMENTS (continued)
Quantitative information of significant unobservable inputs - Level 3
Description RMB Valuation technique Unobservable input
31 December 2018
Equity securities
- Equity investment 173,772,995 Index Return Return on relevant
Method industry index
(-23% to -1%)
Market Liquidity discount
Comparable (-70%)
Method
31 December 2017
Equity securities
- Equity investment 275,973,391 Index Return Return on relevant
Method industry index
(-18% to 11%)
The significant unobservable inputs used in the fair value measurement categorised within Level 3 of
the fair value hierarchy together with a quantitative sensitivity analysis as at 31 December 2018 and
31 December 2017 are as shown below:
As at 31 December 2018
Effect on the
Effect on the net assets
fair value of attributable to
Changes in investment unitholders
Input The inputs RMB RMB
Equity securities
- Equity investment AMAC Index 5% 8,310,912 8,310,912
AMAC Index (5%) (8,310,912) (8,310,912)
Liquidity discount 5% 1,259,125 1,259,125
Liquidity discount (5%) (1,259,125) (1,259,125)
As at 31 December 2017
Effect on the
Change in Effect on the net assets
return of the fair value of attributable to
relevant investment unitholders
Input industry index RMB RMB
Equity securities
- Equity investment AMAC Index 5%) 13,798,670 13,798,670
AMAC Index (5%) (13,798,670) (13,798,670)
- 34 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
12. FAIR VALUE OF FINANCIAL INSTRUMENTS (continued)
Level 3 reconciliation
The following table shows a reconciliation of all movements in the fair value of financial instruments
categorised within Level 3 between the beginning and the end of the reporting period.
Financial assets at fair value
through profit or loss
Equity securities
2018 2017
RMB RMB
Opening balance 275,973,391 256,576,923
Transfer into Level 3 152,106,663 205,809,974
Total gains in profit or loss 23,998,061 9,807,823
Purchases - 14,366,579
Sales - ( 14,157,102)
Transfer out from Level 3 ( 278,305,120) ( 196,430,806)
Closing balance 173,772,995 275,973,391
Total gains for the year included in profit or loss for assets held
at the end of the reporting period 23,998,061 9,807,823
13. CASH AND CASH EQUIVALENTS
2018 2017
RMB RMB
Cash at banks 99,894,957 94,106,564
Cash at banks held with the Administrator and Custodian and the PRC Custodian was placed into
interest bearing accounts.
- 35 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
14. INVESTMENT LIMITATION AND PROHIBITIONS UNDER THE SFC CODE
According to Chapter 7.1 of the investment limitations and prohibitions of a collective investment
scheme, the value of a Sub-Fund's holding of securities issued by any single issuer may not exceed
10% of its total net asset value.
The SFC Code allows the Sub-Fund to invest in constituent securities issued by a single issuer for
more than 10% of the Sub-Fund's net asset value provided that:
(a) the investment is limited to any constituent securities that each accounts for more than 10% of
the weighting of the index; and
(b) the Sub-Fund's holding of any such constituent securities may not exceed their respective
weightings in the index, except where weightings are exceeded as a result of changes in the
composition of the index and the excess is only transitional and temporary in nature.
The SFC Code further provides that, if the investment limits stated above are breached, the
management company should take as a priority objective all steps as are necessary within a
reasonable period of time to remedy the situation, taking due account of the interests of the unitholders.
The Trust Deed of the Trust also contains provisions mirroring the above provisions of the SFC Code.
The Manager and the Trustee have confirmed that the Sub-Fund has complied with this limit during
the year.
There were no constituent securities that individually accounted for more than 10% of the net asset
value of the Sub-Fund and their respective weightings of the Index as at 31 December 2018.
15. FINANCIAL RISK AND MANAGEMENT OBJECTIVES AND POLICIES
Risk management
Risk is inherent in the Sub-Fund's activities, but it is managed through a process of ongoing
identification, measurement and monitoring. The Manager is responsible for identifying and controlling
risks. In the perspective of risk management, the Sub-Fund's objective is to create and protect value
for unitholders.
The Sub-Fund is exposed to market risk (which includes price risk, interest rate risk and currency risk),
credit risk and liquidity risk arising from the financial instruments it holds.
- 36 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2018
15. FINANCIAL RISK AND