1575 中国Ａ３００ 2020-05-14 14:50:00
令和元年12月期ChinaAMC CSI 300 Index ETF-JDR決算短信 [pdf]
令和元年 12 月期 決算短信（平成 31 年 1 月 1 日～令和元年 12 月 31 日）
Earning Report for Fiscal Year ended December 2019 (January 1, 2019 – December 31, 2019)
2020 年 5 月 14 日
May 14, 2020
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 2020 年 6 月 30 日
Scheduled date of submission of securities report: June 30, 2020
Ⅰ ファンドの運用状況
I Fund Management
１． 令和元年 12 月期の運用状況（平成 31 年 1 月 1 日～令和元年 12 月 31 日）
1. Management Status for Year ended December 2019 (from January 1, 2019 to December 31, 2019)
（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. %
元年 12 月期
FY ended 261,389 99.33 1,774 0.67 263,163 100
December 2019
30 年 12 月期
FY ended 177,912 99.45 989 0.55 178,902 100
December 2018
（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
(③) (①＋②－③)
(①) (②)
千口 千口 千口 千口
‘000 units ‘000 units ‘000 units ‘000 units
元年 12 月期
FY ended December 384,750 159,000 127,500 416,250
2019
30 年 12 月期
FY ended December 269,700 214,650 99,600 384,750
2018
（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
元年 12 月期
FY ended December 263,542 378 263,163 632
2019
30 年 12 月期
FY ended December 179,426 524 178,902 465
2018
（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
元年 12 月期
FY ended December 220 0 0 220
2019
30 年 12 月期
FY ended December 110 110 0 220
2018
（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
元年 12 月期
FY ended December 5
2019
30 年 12 月期
FY ended December 5
2018
注） 日本円への換算は、1 人民元 = 15.14 円（2020 年 4 月 27 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 15.14, calculated from the middle rates for
USD-RMB and USD-JPY as of 15:00 Tokyo time on April 27, 2020 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 2019
ANNUAL REPORT
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
For the year ended 31 December 2019
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
Notes to financial statements 15 - 39
INVESTMENT PORTFOLIO 40 - 48
MOVEMENTS IN INVESTMENT PORTFOLIO 49 - 57
PERFORMANCE RECORD 58
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
Li Yimei 46/F, Hopewell Centre
Gan Tian 183 Queen's Road East
Li Fung Ming (name changed from Li Min Wanchai, Hong Kong
on 5 December 2019)
Trustee Service Agent
Cititrust Limited HK Conversion Agency Services Limited
50/F, Champion Tower 1/F One & Two Exchange Square
Three Garden Road 8 Connaught Place
Central, Hong Kong Central, Hong Kong
PRC Custodian Legal Counsel to the Manager
Citibank (China) Co., Limited Simmons & Simmons
Citigroup Tower 30/F, One Taikoo Place
No. 33, Hua Yuan Shi Qiao Road 979 King’s Road
Lu Jia Zui Finance and Trade Area, Shanghai 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
Citigroup Global Markets Asia Limited SG Securities (HK) Limited
50/F, Champion Tower 38/F, Pacific Place 3
Three Garden Road 1 Queen’s Road East
Central, Hong Kong Admiralty, Hong Kong
Credit Suisse Securities (Hong Kong) Limited The Hongkong and Shanghai Banking
88/F, International Commerce Centre Corporation Limited
1 Austin Road West Level 18, HSBC Main Building
Kowloon, Hong Kong 1 Queen’s Road Central
Hong Kong
Deutsche Securities Asia Limited UBS Securities Hong Kong Limited
52/F, International Commerce Centre 42/F, One Exchange Square
1 Austin Road West Central, Hong Kong
Kowloon, Hong Kong
Goldman Sachs (Asia) Securities Limited Yuanta Securities (Hong Kong) Company Limited
68/F, Cheung Kong Center 23/F, Tower 1, Admiralty Centre
2 Queen’s Road 18 Harcourt Road
Central, Hong Kong Admiralty, Hong Kong
Guotai Junan Securities (Hong Kong) Limited
27/F, Low Block, Grand Millennium Plaza
181 Queen’s Road
Central, 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 by a trust deed dated 28 May 2012 between China Asset Management
(Hong Kong) Limited (the "Manager") and Cititrust Limited (the "Trustee"). 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 use 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 (the "RQFII") investment quota of RMB 11.45 billion (as of 31 December
2019) granted to the Manager by the State Administration of Foreign Exchange (the "SAFE").
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. There can be no assurance that the Sub-Fund will achieve
its investment objective.
The performance of the Sub-Fund is in below (total returns in respective currency123):
1-Month 3-Month Since Launch
The Index 7.01% 7.43% 100.16%4
RMB Counter of the Sub-Fund (NAV-to-NAV) 6.82% 7.09% 84.42%5
RMB Counter of the Sub-Fund (Market-to-Market) 6.27% 6.54% 71.69%5
HKD Counter of the Sub-Fund (NAV-to-NAV) 7.17% 8.65% 66.52%6
HKD Counter of the Sub-Fund (Market-to-Market) 6.54% 8.03% 64.83%6
1
Source: Bloomberg, as of 31 December 2019. 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 17 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 13,199,029.35
units from 1 January 2019 to 31 December 2019. As of 31 December 2019, there were 416,250,000 units
outstanding.
Activities of the Index
There were 2 rebalances for the Index from 1 January 2019 to 31 December 2019. As of 31 December 2019,
the Sub-Fund comprised of all 300 constituent stocks in the Index.
China Asset Management (Hong Kong) Limited
27 March 2020
-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 2019.
Cititrust Limited
27 March 2020
-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 2019, the Trust has
established with two 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 39 which comprise the statement
of financial position as at 31 December 2019, and the statement of comprehensive income, the statement of
changes in net assets attributable to unitholders and the statement of cash flows 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 2019, 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
As at 31 December 2019, financial assets at fair We obtained independent confirmation from the
value through profit or loss amounted to custodians of the investment portfolio held at 31
RMB17,264,823,312 which represented 99.33% of December 2019, and agreed the quantities held to the
the net asset value of the Sub-Fund. These Sub-Fund's accounting records. We evaluated the
financial assets were listed shares on the Shanghai design and tested the operating effectiveness of
Stock Exchange or the Shenzhen Stock Exchange financial instrument valuation controls. In addition, we
and there were 300 constituent listed shares in the tested the valuation of the financial assets at fair value
Sub-Fund. They were kept by custodians and through profit or loss that were quoted in active markets
measured at fair value. We focused on this area by independently agreeing the valuation of financial
because the financial assets at fair value through assets to third party vendor sources at 31 December
profit or loss represented the principal element of 2019.
the financial statements and significant
assumptions and judgements were involved in For suspended shares in which quoted prices cannot
measuring the fair value of the suspended shares. be obtained, we evaluated the valuation techniques
and inputs applied through comparison with the
Refer to disclosures on fair values of financial valuation techniques that are commonly used in the
instruments in notes 11 and 12 to the financial market and the validation of observable inputs to
statements. external market data. In addition, we evaluated the
appropriateness of the assumptions made by the
Manager.
We assessed the adequacy of disclosures relating to
the fair value of financial instruments, as set out in
notes 11 and 12 to the financial statements, against the
requirements of IFRS.
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 Man Kin.
Certified Public Accountants
Hong Kong
27 March 2020
- 10 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
STATEMENT OF FINANCIAL POSITION
31 December 2019
Notes 2019 2018
RMB RMB
ASSETS
Financial assets at fair value through profit or loss 11 17,264,823,312 11,751,134,225
Other receivable 28,852 105,269
Cash and cash equivalents 13 142,201,975 99,894,957
TOTAL ASSETS 17,407,054,139 11,851,134,451
LIABILITIES
Management fee payable 5(a) 9,376,356 6,843,073
Custodian, fund administration and trustee fees payable 5(b) 4,706,120 3,330,735
Amounts due to participating dealers 8 7,483,461 22,479,440
Other payables and accruals 3,462,488 1,962,060
TOTAL LIABILITIES 25,028,425 34,615,308
EQUITY
NET ASSETS ATTRIBUTABLE TO UNITHOLDERS 10 17,382,025,714 11,816,519,143
TOTAL LIABILITIES AND EQUITY 17,407,054,139 11,851,134,451
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 2019
Notes 2019 2018
RMB RMB
INCOME
Dividend income 315,604,448 220,881,891
Interest income 375,714 321,073
315,980,162 221,202,964
EXPENSES
Management fee 5(a) ( 100,832,534) ( 71,764,466)
Brokerage and transaction fee 5(d) ( 18,589,843) ( 16,844,930)
Custodian, fund administration and trustee fees 5(b) ( 11,018,725) ( 7,602,593)
Auditor's remuneration ( 144,171) ( 132,924)
Index licensing fee ( 51,958) ( 51,958)
Data licensing fee ( 5,761,859) ( 4,100,827)
Professional fee ( 145,569) ( 274,497)
Other operating expenses ( 853,809) ( 973,828)
( 137,398,468) ( 101,746,023)
PROFIT BEFORE INVESTMENT AND EXCHANGE
DIFFERENCES 178,581,694 119,456,941
INVESTMENT GAINS/(LOSSES) AND EXCHANGE
DIFFERENCES
Net change in unrealised gains or losses on financial
assets at fair value through profit or loss 3,830,353,720 ( 2,970,552,210)
Net realised gains or losses on financial assets at fair
value through profit or loss 225,255,286 ( 182,771,058)
NET INVESTMENTS AND EXCHANGE
GAINS/(LOSSES) 4,055,609,006 ( 3,153,323,268)
PROFIT/(LOSS) BEFORE TAX 4,234,190,700 ( 3,033,866,327)
Withholding income tax expenses 7 ( 31,694,717) ( 22,177,816)
TOTAL COMPREHENSIVE INCOME 4,202,495,983 ( 3,056,044,143)
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 2019
Note Units RMB
At 1 January 2018 269,700,000 11,093,007,702
Issue of units 214,650,000 7,507,649,975
Redemption of units ( 99,600,000) ( 3,631,861,891)
Total comprehensive loss – ( 3,056,044,143)
Distribution to unitholders 9 – ( 96,232,500)
At 31 December 2018 and 1 January 2019 384,750,000 11,816,519,143
Issue of units 159,000,000 6,271,130,574
Redemption of units ( 127,500,000) ( 4,765,789,486)
Total comprehensive income – 4,202,495,983
Distribution to unitholders 9 – ( 142,330,500)
At 31 December 2019 416,250,000 17,382,025,714
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 2019
Note 2019 2018
RMB RMB
CASH FLOWS FROM OPERATING ACTIVITIES
Profit/(loss) before tax 4,234,190,700 (3,033,866,327)
Increase in financial assets at fair value through profit or
loss ( 5,513,689,087) ( 716,152,024)
Decrease in other receivable 76,417 502,692
Increase in management fee payable 2,533,283 704,670
Increase/(decrease) in custodian, fund administration and
trustee fees payable 1,375,385 ( 846,976)
Increase in other payables and accruals 1,500,428 173,645
Cash used in operations ( 1,274,012,874) (3,749,484,320)
Tax paid ( 31,694,717) ( 22,177,816)
Net cash flows used in operating activities ( 1,305,707,591) (3,771,662,136)
CASH FLOWS FROM FINANCING ACTIVITIES
Distribution paid to unitholders ( 142,330,500) ( 96,232,500)
Proceeds from issue of units 6,256,134,595 7,505,544,920
Payments on redemption of units ( 4,765,789,486) (3,631,861,891)
Net cash flows from financing activities 1,348,014,609 3,777,450,529
NET INCREASE IN CASH AND
CASH EQUIVALENTS 42,307,018 5,788,393
Cash and cash equivalents at beginning of year 99,894,957 94,106,564
CASH AND CASH EQUIVALENTS AT END OF
YEAR 13 142,201,975 99,894,957
ANALYSIS OF CASH AND CASH EQUIVALENTS
Cash at banks 13 142,201,975 99,894,957
NET CASH FLOWS FROM OPERATING ACTIVITIES
INCLUDE:
Dividend received net of withholding tax 283,934,571 198,728,187
Interest received net of withholding tax 350,714 296,961
The accompanying notes are an integral part of these financial statements.
- 14 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
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.
2.2 CHANGES IN ACCOUNTING POLICIES AND DISCLOSURES
The Sub-Fund has adopted the following revised IFRSs for the first time for the current period’s
financial statements, which are applicable to the Sub-Fund.
IFRIC Interpretation 23 Uncertainty over Income Tax Treatments
Annual Improvement to
IFRSs 2015-2017 Cycle Amendments to IAS 12
The nature and the impact of the revised IFRSs are described below:
- 15 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
2.2 CHANGES IN ACCOUNTING POLICIES AND DISCLOSURES (continued)
IFRIC Interpretation 23 Uncertainty over Income Tax Treatments
IFRIC Interpretation 23 Uncertainty over Income Tax Treatments (the "Interpretation") addresses the
accounting for income taxes when tax treatments involve uncertainty that affects the application of
IAS 12 Income Taxes. It does not apply to taxes or levies outside the scope of IAS 12, nor does it
specifically include requirements relating to interest and penalties associated with uncertain tax
treatments. The interpretation specifically addresses the following:
• Whether an entity considers uncertain tax treatments separately
• The assumptions an entity makes about the examination of tax treatments by taxation authorities
• How an entity determines taxable profit (tax loss), tax bases, unused tax losses, unused tax credits
and tax rates
• How an entity considers changes in facts and circumstances
The Sub-Fund determines whether to consider each uncertain tax treatment separately or together
with one or more other uncertain tax treatments and uses the approach that better predicts the
resolution of the uncertainty.
The Sub-Fund applies significant judgement in identifying uncertainties over income tax treatments.
The Sub-Fund has assessed that the interpretation does not have a significant impact on the financial
statements.
Amendments to IAS 12 Income Taxes
The amendments clarify that the income tax consequences of dividends are linked more directly to
past transactions or events that generated distributable profits than to distributions to owners.
Therefore, an entity recognises the income tax consequences of dividends in profit or loss, other
comprehensive income or equity according to where it originally recognised those past transactions
or events.
An entity applies the amendments for annual reporting periods beginning on or after 1 January 2019,
with early application permitted. When the entity first applies those amendments, it applies them to
the income tax consequences of dividends recognised on or after the beginning of the earliest
comparative period. Since the Sub-Fund’s current practice is in line with these amendments, they had
no impact on the financial statements of the Sub-Fund.
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 2019, 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.
- 16 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Financial instruments
(a) Classification
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 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 FVPL on the basis of both:
The entity's business model for managing the financial assets
The contractual cash flow characteristics of the financial assets
Financial assets measured at amortised cost
Financial assets are measured at amortised cost if they are held within a business model whose
objective is to hold financial assets in order to collect contractual cash flows and their contractual
terms give rise on specified dates to cash flows that are solely payments of principal and interest
("SPPI") on the principal amount outstanding. The Sub-Fund includes in this category cash and
cash equivalents and 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 include all financial liabilities. The Sub-Fund
includes in this category management fee payable, custodian, fund administration and trustee
fees payable, amounts due to participating dealers and other payables and accruals.
- 17 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
Financial instruments (continued)
(b) Recognition
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 assets.
(c) Initial measurement
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
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 change in unrealised gains or losses on financial assets and liabilities at FVPL.
Interest and dividends earned or paid on these instruments are recorded separately in interest
income and dividend income.
Financial assets, other than those classified as at FVPL, are 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 expected credit losses
("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.
- 18 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
Financial instruments (continued)
(e) Derecognition
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.
Impairment of financial assets
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 has 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 measure 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.
Offsetting of 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.
- 19 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
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 use of
available and supportable market data as much 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.
- 20 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
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 and short-
term deposits in banks 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 translation of monetary items are recognised in profit or loss.
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 translation gains and losses on financial instruments classified as at FVPL are
included in profit or loss.
Taxes
The Sub-Fund is exempt from all forms of taxation in Hong Kong, including income, capital gains and
withholding taxes. However, 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.
- 21 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
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 assets 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.
Revenue recognition
(a) Dividend income
Dividend income is recognised 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.
- 22 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
Revenue recognition (continued)
(b) Interest income
Interest income is recognised on an accrual basis using the EIR by applying the rate that exactly
discounts the estimated future cash receipts over the expected life of the financial instrument or
a shorter period, when appropriate, to the net carrying amount of the financial assets. .
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 assets 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 ("NAV"). 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.
- 23 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
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.
Fair value of suspended equity investments
The suspended equity investments noted have been valued based on either last traded price, Index
Return Method and Market Comparable Method as detailed in note 12 to the financial statements. In
addition, the Manager made estimates about the liquidity discount. The Sub-Fund classified the fair
value of these investments as Level 2 or Level 3.
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 a 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 2019 amounted to
RMB100,832,534 (2018: RMB71,764,466). As at 31 December 2019, a management fee of
RMB9,376,356 (2018: RMB6,843,073) 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 2019
amounted to RMB11,018,725 (2018: RMB7,602,593). As at 31 December 2019, the custodian,
fund administration and trustee fees of RMB4,280,120 (2018: RMB2,898,735) were payable to
the Trustee.
- 24 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
5. TRANSACTIONS WITH THE TRUSTEE AND MANAGER AND THEIR CONNECTED PERSONS
(continued)
(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 2019
amounted to RMB64,948 (2018: RMB64,948). As at 31 December 2019, a financial statement
preparation fee of RMB55,206 (2018: RMB162,021) was payable to the Trustee.
(d) Brokerage and transaction fees
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% (2018: 0.08%) based on the
transaction value. Transaction fees pertain to handling fee and security management fee for every
transaction made on the Shanghai and Shenzhen exchanges and stamp duty incurred for sales
transactions.
As at 31 December 2019, transaction fees of RMB426,000 (2018: RMB432,000) were payable to
the Trustee.
For the year ended 31 December 2019, brokerage fees through CITIC Securities Co. Ltd., the
connected person of the Manager, and Citigroup Global Markets Ltd., the connected person of
the Trustee, amounted to RMB19,179 (2018: RMB659,885) and RMB198,597 (2018: Nil)
respectively.
% of the
Aggregate value Total Sub-Fund's Average
of purchases and commission total transactions commission
sales of securities paid during the period rate
RMB RMB % %
2019
CITIC Securities Co. Ltd. 25,745,999 19,179 0.19% 0.07%
Citigroup Global Markets
Ltd 248,245,831 198,597 1.80% 0.08%
2018
CITIC Securities Co. Ltd. 824,898,467 659,885 6.16% 0.08%
- 25 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
5. TRANSACTIONS WITH THE TRUSTEE AND MANAGER AND THEIR CONNECTED PERSONS
(continued)
(e) Bank deposits and investments held by the Trustee's affiliates
The investments and bank balances deposited with the Trustee’s affiliates as at 31 December
2019 and 31 December 2018 are summarised below:
Notes 2019 2018
RMB RMB
Investments
Citibank, N.A. 11 6,406,671,773 6,313,891,648
Citibank (China) Co., Limited 11 10,858,151,539 5,437,242,577
Bank balances
Citibank, N.A. 13 60,492,934 65,837,624
Citibank (China) Co., Limited 13 81,709,041 34,057,333
The carrying amount of cash at banks approximates to its fair value as at the 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 2019 and 31 December 2018. The Manager and its connected persons have not
retained any cash rebates from any broker or dealer.
7. INCOME TAX
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 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 2019
was RMB31,694,717 (2018: RMB22,177,816).
8. AMOUNTS DUE TO PARTICIPATING DEALERS
The balance represents the amounts due to participating dealers and is expected to be settled within
90 days.
- 26 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
9. DISTRIBUTION
RMB
Undistributed income at 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) ( 96,232,500)
Transfer to capital ( 1,046,625)
Undistributed income at 31 December 2018 and
1 January 2019 –
Total comprehensive income 4,202,495,983
Less: Net gains on financial assets at fair value through
profit or loss ( 4,055,609,006)
Undistributed income before distribution 146,886,977
Interim distribution declared on 25 July 2019
(RMB0.39 per unit) ( 142,330,500)
Transfer to capital ( 4,556,477)
Undistributed income at 31 December 2019 –
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.
- 27 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
10. THE REDEEMABLE UNITS
2019 2018
Number of units Number of units
Units in issue at the beginning of the year 384,750,000 269,700,000
Units issued 159,000,000 214,650,000
Units redeemed ( 127,500,000) ( 99,600,000)
Units in issue at the end of the year 416,250,000 384,750,000
2019 2018
RMB RMB
Dealing net asset value at the end of the year 17,382,025,714 11,816,519,143
Dealing net asset value per unit at the end of the year 41.7586 30.7122
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 ("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.
11. FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS
2019 2018
RMB RMB
Financial assets at fair value through profit or loss:
Listed equity securities 17,264,823,312 11,751,134,225
- 28 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
12. FAIR VALUE OF FINANCIAL INSTRUMENTS
The fair value of financial assets traded in active markets is based on quoted market prices at the
close of trading on the period end date.
The Sub-Fund utilises the last traded market price for financial assets where the last traded price falls
within the bid-ask spread. In circumstances where the last traded price is not within the bid-ask spread,
the Manager will determine the point within the bid-ask spread that is most representative of fair value.
The Sub-Fund's fair value measurement assumes that the asset or liability is exchanged in an orderly
transaction between market participants to sell the asset or transfer the liability at the measurement
date under current market conditions.
When a price for an identical asset or liability is not observable, the Sub-Fund measures fair value
using another valuation technique that maximises the use of relevant observable inputs and minimises
the use of unobservable inputs. Because fair value is a market-based measurement, it is measured
using the assumptions that market participants would use when pricing the asset or liability, including
assumptions about risk. As a result, the Sub-Fund's intention to hold an asset or to settle or otherwise
fulfil a liability is not relevant when measuring fair value.
Even when there is no observable market to provide pricing information about the sale of an asset or
the transfer of a liability at the measurement date, a fair value measurement shall assume that a
transaction takes place at that date, considered from the perspective of a market participant that holds
the asset or owes the liability. That assumed transaction establishes a basis for estimating the price
to sell the asset or to transfer the liability.
Valuation techniques
Level 1 – Listed equity securities traded in active markets with quoted market prices
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 – Listed equity securities temporarily suspended on year end date
In the absence of a quoted price in an active market, the Manager applied the market approach in
which they have used the last traded price before their suspension as there has been no expected
material gap-down. Adjustments are made to the valuations when necessary to recognise the
differences of timing between the date of suspension and resumption which is within a reasonable
time and the price fluctuation when the investments resume trading subsequent to the year end date.
To the extent that the significant inputs are observable, the Sub-Fund categorises these investments
as Level 2.
Level 3 – Listed equity securities suspended on year end date which have not resumed trading prior
to the date of authorisation of the financial statements
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 classified the fair
value of these investments as Level 3. No investments are classified as Level 3 in 2019.
- 29 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
12. FAIR VALUE OF FINANCIAL INSTRUMENTS (continued)
The following table shows an analysis of the Sub-Fund's financial assets measured at fair value at
31 December 2019 and 31 December 2018:
Quoted prices Significant Significant
in active observable unobservable
markets inputs inputs
Level 1 Level 2 Level 3 Total
RMB'000 RMB'000 RMB'000 RMB'000
2019
Financial assets at fair value
through profit or loss
Listed equity securities 17,232,845 31,978 – 17,264,823
══════════ ══════════ ══════════ ══════════
2018
Financial assets at fair value
through profit or loss
Listed equity securities 11,577,361 – 173,773 11,751,134
══════════ ══════════ ══════════ ══════════
Transfers between Level 1 and Level 2
As at 31 December 2019, the Sub-Fund reclassified one listed equity security, Zhejiang Huayou
Cobalt Company Limited (stock code: 603799), from Level 1 to Level 2 following the suspension of
trading of the investment. This listed equity security was temporarily suspended from trading as at 31
December 2019 and resumed trading from suspension before the date of authorisation of the financial
statements for the year ended 31 December 2019.
As at 31 December 2018, no listed equity securities were reclassified from Level 1 to Level 2.
The transfer between Level 1 and Level 2 of the fair value hierarchy is deemed to have occurred at
the end of the reporting period.
Transfers between Level 1 and Level 3
As at 31 December 2019, no listed equity securities were reclassified from Level 1 to Level 3 following
the resumption of trading of the investments. Also, the Sub-Fund transferred three listed equity
securities, namely (1) CITIC Securities Company Limited (stock code: 600030), (2) Zhongtian
Financial Group Co Ltd (stock code: 000540) and (3) Beijing Xinwei Technology Group Co Ltd (stock
code: 600485), out from Level 3 following the resumption of trading of the investments.
- 30 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
12. FAIR VALUE OF FINANCIAL INSTRUMENTS (continued)
Transfers between Level 1 and Level 3 (continued)
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. Also, the Sub-Fund transferred eleven listed equity securities, (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) Leshi Internet Information
& Technology Corp Beijing (stock code: 300104), (9) Wanda Film Holding Co Ltd (stock code: 002739),
(10) Wanhua Chemical Group Co Ltd (stock code: 600309) and (11) Wintime Energy Co Ltd (stock
code: 600157), out from Level 3 following the resumption of trading of the investments.
The transfers between Level 1 and Level 3 of the fair value hierarchy is deemed to have occurred at
the end of the reporting period.
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:
Transfers from
Level 1 to Level 3
2019 2018
RMB RMB
Financial assets at fair value through profit or loss
- Listed equity securities - 152,106,663
Transfers between Level 2 and Level 3
As at 31 December 2019 and 31 December 2018, no listed equities were reclassified from Level 2 to
Level 3.
Quantitative information of significant unobservable inputs - Level 3
As at 31 December 2019, no listed equity securities were classified as Level 3. Hence, quantitative
sensitivity analysis was not required as at 31 December 2019.
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 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
12. FAIR VALUE OF FINANCIAL INSTRUMENTS (continued)
Quantitative information of significant unobservable inputs - Level 3 (continued)
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 is
shown below:
Effect on the
Effect on the net assets
fair value of attributable to
Changes in investment unitholders
Input the inputs RMB RMB
As at 31 December 2018
- 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)
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 periods.
Financial assets at fair value
through profit or loss
Equity securities
2019 2018
RMB RMB
Opening balance 173,772,995 275,973,391
Transfer into Level 3 – 152,106,663
Total gains in profit or loss – 23,998,061
Transfer out from Level 3 ( 173,772,995) ( 278,305,120)
Closing balance – 173,772,995
Total gains for the year included in profit or loss for assets held
at the end of the reporting period – 23,998,061
13. CASH AND CASH EQUIVALENTS
2019 2018
RMB RMB
Cash at banks 142,201,975 99,894,957
Cash at banks held with Citibank, N.A. and Citibank (China) Co., Ltd., the affiliate companies of the
Trustee of the Sub-Fund, was placed into interest bearing accounts. The carrying amount of the cash
at banks approximates to its fair value.
- 32 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
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 the 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 2019.
15. FINANCIAL RISK 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 equity price risk, interest rate risk and
currency risk), credit risk and liquidity risk arising from the financial instruments it holds.
- 33 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
15. FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
Risk management (continued)
(a) Market risk
Market price risk is the risk that the value of financial instruments will fluctuate as a result of
changes in market prices, either caused by factors specific to the individual instruments or
factors affecting all instruments in the market.
(i) Equity price risk
The Sub-Fund invested substantially all of its assets in A-Shares of those PRC companies
comprising the Index in substantially the same weightings as constituted in the Index. The
Sub-Fund is therefore exposed to substantially the same market price risk as the Index.
When there are changes in the constituent A-Shares comprised in the Index and/or their
respective weightings within the Index, the Manager will rebalance the composition of the
relevant investment holdings or the underlying dynamic basket of A-Shares of selected
constituent companies of the Index.
As at 31 December 2019 and 31 December 2018, the Sub-Fund's investments were
concentrated in the following industries.
2019 2018
Fair value % of net Fair value % of net
RMB assets RMB assets
value value
A-Share holdings
- by sectors
Basic Materials 33,656,344 0.19% - -
Communication
Services 313,101,578 1.80% 155,751,686 1.32%
Consumer
Discretionary 1,621,648,908 9.33% 1,144,357,293 9.68%
Consumer Staples 2,081,533,378 11.98% 1,007,341,778 8.52%
Energy 356,869,261 2.05% 302,021,096 2.56%
Financials 5,802,193,133 33.38% 4,105,222,508 34.74%
Health Care 1,232,843,815 7.09% 785,344,855 6.65%
Industrials 1,976,664,431 11.37% 1,650,803,060 13.97%
Information
Technology 1,602,379,443 9.22% 864,490,195 7.32%
Materials 1,046,120,327 6.03% 816,167,680 6.91%
Real Estate 785,622,344 4.52% 559,396,070 4.73%
Utilities 412,190,350 2.37% 360,238,004 3.05%
17,264,823,312 99.33% 11,751,134,225 99.45%
Sensitivity analysis in the event of a possible change in the Index by 5% as estimated by
the Manager
As at 31 December 2019, if the Index was to increase by 5% (2018: 5%) with all other
variables held constant, the pre-tax profit for the year would have increased by
approximately RMB863 million (2018: RMB588 million). Conversely, if the Index was to
decrease by 5% (2018: 5%), the pre-tax profit for the year would have decreased by an
approximately equal amount. The above sensitivity is affected by the tracking difference
of the Sub-Fund.
- 34 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
15. FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
Risk management (continued)
(a) Market risk (continued)
(ii) Interest rate risk
Interest rate risk is the risk that the value of a financial instrument or future cash flows will
fluctuate due to changes in market interest rates.
The Manager considers that the Sub-Fund is not subject to significant risk due to
fluctuations in the prevailing level of market interest rates. As the Sub-Fund has no
investments in fixed income assets, the Manager considers that changes in the fair value
of its net assets in the event of a change in market interest rates will not be material.
Therefore, no sensitivity analysis is presented.
(iii) Currency risk
Currency risk is the risk that the value of a financial instrument will fluctuate due to
changes in foreign exchange rates.
Approximately 100% (2018: 100%) of the Sub-Fund's sales and purchases were
denominated in RMB, the Sub-Fund's functional currency. Assets and liabilities held by
the Sub-Fund are mainly denominated in RMB. Therefore, the Manager considers the
Sub-Fund is not exposed to significant currency risk and no sensitivity analysis is
presented.
(b) Credit and counterparty risk
Credit risk is the risk of loss to the Sub-Fund that may arise on outstanding financial instruments
should a counterparty default on its obligations. The Sub-Fund minimises the exposure to credit
risk by only dealing with creditworthy counterparties.
All transactions by the Sub-Fund in securities are settled/paid for upon delivery using approved
brokers. The risk of default is considered to be minimal, as delivery of securities is only made
once the broker has received payment. Payment is made on a purchase once the securities
have been received by the broker. The trade will fail if either party fails to meet its obligation.
The Manager's policy is to closely monitor the creditworthiness of the Sub-Fund's counterparties
(e.g., brokers, custodian and banks) by reviewing their credit ratings, financial statements and
press releases on a regular basis.
Credit risk disclosures are segmented into two sections based on whether the underlying
financial instrument is subject to IFRS 9’s impairment disclosure requirements or not.
Financial assets subject to IFRS 9's impairment requirements
The Sub-Fund's financial assets subject to the ECL model within IFRS 9 are only cash and cash
equivalents and other receivable. As at 31 December 2019, the total of cash and cash
equivalents and other receivable was RMB142,230,827 on which no loss allowance had been
provided (2018: total of RMB100,000,226 on which no loss allowance had been incurred). It is
considered that there is no concentration of credit risk within these assets. No assets are
considered to be impaired and no amounts have been written off in the year.
- 35 -
ChinaAMC CSI 300 Index ETF
(a sub-fund of ChinaAMC ETF Series)
NOTES TO FINANCIAL STATEMENTS
31 December 2019
15. FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
Risk management (continued)
(b) Credit and counterparty risk (continued)
Financial assets subject to IFRS 9's impairment requirements (continued)