1576 南方Ａ５０ 2020-09-08 15:00:00
2020年12月期南方 FTSE 中国A株50ETF中間決算短信 [pdf]
2020 年 12 月期 中間決算短信（2020 年 1 月 1 日～2020 年 6 月 30 日）
Interim Earnings Report for Fiscal Year ending December 2020 (January 1, 2020 – June 30, 2020)
2020 年 9 月 8 日
September 8, 2020
フ ァ ン ド 名 南方 FTSE 中国 A 株 50 ETF 上場取引所 東
コ ー ド 番 号 1576 売買単位 10 口
連 動 対 象 指 標 FTSE 中国 A50 インデックス
主 要 投 資 資 産 株式
管 理 会 社 中国南方アセット・マネジメント・リミテッド
Ｕ Ｒ Ｌ http://www.csopasset.com/en/home/index.php
代 表 者 (役職名) 最高経営責任者 (氏名) 丁 晨
アンダーソン・毛利・友
問合せ先責任者 (役職名) (氏名) 飛岡 和明 (TEL)03(6775)1000
常法律事務所 弁護士
Fund name: CSOP FTSE China A50 ETF Listed Exchange: TSE
Code: 1576 Trading unit: 10 units
Underlying indicator: FTSE China A50 Index
Primary invested assets: Shares
Management co.: CSOP Asset Management Limited
URL: http://www.csopasset.com/en/home/index.php
Representative: (Title) Chief Executive Officer (Name) Ding Chen
Contact person: (Title) Anderson Mori & Tomotsune, (Name) Kazuaki Tobioka (TEL)03(6775)1000
Attorney-at-law
半期報告書提出予定日 2020 年 9 月
Scheduled submission date of Semi-annual Report: September 2020
Ⅰ ファンドの運用状況
I Fund Management
１． 2020 年 6 月中間期の運用状況（2020 年 1 月 1 日～2020 年 6 月 30 日）
1. Management Status for Half-Year ended June 2020 (from January 1, 2020 to June 30, 2020)
（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. %
2020 年 6 月中間
期 166,720 99.35 1,089 0.65 167,809 100
SAN ended June
2020
2019 年 12 月期
FY ended 238,972 99.32 1,632 0.68 240,603 100
December 2019
（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
当中間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 Units in Issue at End of Semi-annual 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
2020 年 6 月中間
期
SAN ended June 1,139,500 117,500 442,500 814,500
2020
2019 年 12 月期
FY ended 1,564,000 239,500 664,000 1,139,500
December 2019
（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
((③/当中間計算期間末（前計算期間
総資産 負債 純資産
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 Units in Issue at End of Semi-annual
Period (Previous Calculation Period))×1)
百万円 百万円 百万円 円
JPY mil. JPY mil. JPY mil. JPY
2020 年 6 月中間
期 168,102 293 167,809 206
SAN ended June
2020
2019 年 12 月期
FY ended 240,864 261 240,603 211
December 2019
（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
当中間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 Semi-annual 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
2020 年 6 月中間
期 53 0 0 53
SAN ended June
2020
2019 年 12 月期
FY ended 53 0 0 53
December 2019
（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
2020 年 6 月中間期
SAN ended June 2020 0
2019 年 12 月期
FY ended December 15
2019
注） 日本円への換算は、1 人民元 = 15.42 円（2020 年 8 月 31 日東京時間午後 5 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）により計算されています。
Note: Conversion into Japanese yen has been calculated at the exchange rate of RMB 1.00 = JPY 15.42, which represents
the middle rates for USD-RMB and USD-JPY as of 17:00 Tokyo time on August 31, 2020 as 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
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
CONTENTS
Page
Report of the Manager to the Unitholders 1 -2
Condensed Statement of Financial Position 3
Condensed Statement of Comprehensive Income 4
Condensed Statement of Changes in Net Assets Attributable to Unitholders 5
Condensed Statement of Cash Flows 6
Notes to the Unaudited Condensed Financial Statements 7 - 19
Investment Portfolio (Unaudited) 20 - 22
Statement of Movements in Investment Portfolio (Unaudited) 23 - 26
Details in Respect of Financial Derivative Instruments (Unaudited) 27
Holdings of Collateral (Unaudited) 28
Performance Record (Unaudited) 29
Management and Administration 30
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
REPORT OF THE MANAGER TO THE UNITHOLDERS
Introduction
The CSOP FTSE China A50 ETF (the “CSOP A50 ETF” or the “Sub-Fund”), a sub-fund of the CSOP ETF Series, is a
unit trust authorized under the Securities and Futures Ordinance (Cap. 571) of Hong Kong. It was launched on 23
August 2012 and commenced trading in RMB under the stock code 82822 on The Stock Exchange of Hong Kong
Limited (the “SEHK”) on 28 August 2012; following the SEHK’s dual counter model, the CSOP A50 ETF started
trading in HKD under the stock code 02822 on the SEHK on 8 November 2012. The CSOP A50 ETF is benchmarked
against the FTSE China A50 Index (the “A50 Index”) and adopts the full-replication strategy. The Manager and
RQFII Holder of the CSOP A50 ETF is CSOP Asset Management Limited (the “Manager”). The trustee is HSBC
Institutional Trust Services (Asia) Limited (the “Trustee”).
The CSOP A50 ETF is a physical ETF which invests directly in the A50 Index securities through the RQFII quotas of
the Manager, Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect. Under current
regulations in the PRC, foreign investors can invest in the domestic securities market through certain qualified foreign
institutional investors that have obtained status as a QFII or a RQFII from the CSRC and have been granted quota(s)
by SAFE to remit foreign freely convertible currencies (in the case of a QFII) and RMB (in the case of a RQFII) into
the PRC for the purpose of investing in the PRC’s domestic securities markets. Meanwhile, from November 17, 2014,
foreign investors can trade eligible stocks listed in Shanghai Stock Exchange through Shanghai-Hong Kong Stock
Connect. And from December 5, 2016, foreign investors can trade eligible stocks listed in Shenzhen Stock Exchange
through Shenzhen-Hong Kong Stock Connect. The Manager has obtained RQFII status and the total RQFII quotas
obtained by the Manager amount to RMB 46.1 billion as of 30 June 2020.
The FTSE China A50 Index (the “Index”) is compiled and published by FTSE International Limited. It comprises the
top 50 A-Share companies from both the Shanghai and Shenzhen markets by market capitalisation. The Index operates
under clearly defined rules published by the index provider and is a tradable index.
Capital Gains Tax (“CGT”) Treatment
Rules governing taxes on capital gains derived by QFIIs or RQFIIs from the trading of PRC Securities (including
China A-Shares) were announced on 14 November 2014. According to the rules, investors are not required to pay
capital gain tax from 17 November 2014. Therefore, the Manager did not make provision for any withholding tax after
November 17, 2014.
Change to the type of the Underlying Index
The Sub-Fund has been using FTSE China A50 price return index as its Underlying Index since its inception in
August 2012. Price return index does not include the reinvestment of dividends from the constituent securities of the
index. Price return index only considers price movements of the constituent securities of the index but the net total
return index assumes that dividends paid by the constituent securities of the index, net of any withholding taxes, are
reinvested in additional shares of such index’s constituents. As such, an index’s net total return is usually considered
to be a more accurate measurement of the actual investment return and performance. Therefore, it is proposed that the
type of the Underlying Index of the Sub-Fund will change from price return index to net total return index with effect
from 27 February 2015.
The Manager believes that the change to the type of the Underlying Index will not only reduce the cash dragging but
also its tracking error of the Sub-Fund. The Manager considers that the change made to the type of the Sub-Fund’s
Underlying Index would not materially prejudice unitholders’ rights or interests and does not anticipate adverse
impact to the operation of the Sub-Fund.
1
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
REPORT OF THE MANAGER TO THE UNITHOLDERS (CONTINUED)
The Sub-Fund Performance
The CSOP A50 ETF seeks to provide investment results, before fees and expenses, which closely correspond to the
performance of the Index. As of 30 June 2020, the dealing Net Asset Value (“NAV”) per unit of the CSOP A50 ETF
was RMB 13.3610 and there were 814,500,000 units outstanding. The total asset under management was
approximately RMB 10.9 billion.
For the period ended 30 June 2020, the FTSE China A50 net return index decreased by 1.79% while the dealing NAV
decreased by 2.43%. The difference in performance between the NAV of the CSOP A50 ETF and the Index is mainly
attributed to dividends, fees and expenses including tax on dividends. YTD Net total return of the RMB counter (stock
code 82822) was -2.71%.
Exchange Liquidity
Since inception, the CSOP A50 ETF has attracted great investor attention from investors across the globe. The trading
value of the RMB counter (stock code: 82822) remained steadily at an average daily turnover of RMB 10.9 million in
June 2020. The trading value of the HKD counter (stock code: 02822) remained steadily at an average daily turnover
of HKD 323.8 million in June 2020. The Sub-Fund’s high liquidity often placed it in the most actively traded ETFs on
the HKEx. The trading volume for the CSOP A50 ETF reflected strong interest in the CSOP A50 ETF.
Portfolio Rebalance
The CSOP A50 ETF adopts a full-replication strategy to track the Index. Since inception, the Sub-Fund has
experienced thirty one quarterly index rebalances.
2
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
CONDENSED STATEMENT OF FINANCIAL POSITION
As at 30 June 2020
30 June 2020 31 December 2019
(Unaudited) (Audited)
Notes RMB RMB
ASSETS
NON-CURRENT ASSETS
Deposit reserve 1,383,200 1,383,200
----------------------- -----------------------
CURRENT ASSETS
Investments 7(c), 8(a), 8(d) 10,692,048,593 15,497,514,898
Derivative financial instruments 8(a), 8(b), 8(d) 119,900,000 -
Interest receivable from bank deposits 1,479 7,375
Interest receivable from derivative financial
instruments 26,720 -
Bank balances 7(c) 88,176,914 121,318,541
───────────── ─────────────
10,900,153,706 15,618,840,814
----------------------- -----------------------
Total assets 10,901,536,906 15,620,224,014
----------------------- -----------------------
LIABILITIES
CURRENT LIABILITIES
Management fee payable 7(a) 8,699,300 12,076,568
Trustee fee payable 7(b) 351,487 487,942
License fee payable 9,350,048 3,421,534
Other accounts payable 570,797 916,694
───────────── ─────────────
Total liabilities 18,971,632 16,902,738
----------------------- -----------------------
EQUITY
Net assets attributable to unitholders 4 10,882,565,274 15,603,321,276
═════════════ ═════════════
Note: Interim reports have applied the same accounting policies and methods of computation as are applied in the
annual reports of the Sub-Fund.
The accompanying notes form an integral part of these unaudited condensed financial statements.
3
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
CONDENSED STATEMENT OF COMPREHENSIVE INCOME
For the period ended 30 June 2020
Period from Period from
1 January 2020 1 January 2019
to 30 June 2020 to 30 June 2019
(Unaudited) (Unaudited)
Notes RMB RMB
INCOME
Dividend income 138,105,054 219,708,749
Interest income from bank deposits 7(c) 343,896 413,280
Interest income from derivative financial instruments 26,720 -
Net (loss)/gain on investments and derivative financial
instruments 5 (549,093,656) 4,563,193,921
Other income 17,894,682 7,977,944
────────────── ──────────────
Total net (loss)/income (392,723,304) 4,791,293,894
------------------------- -------------------------
EXPENSES
Management fee 7(a) (59,285,142) (86,707,376)
Trustee fee 7(b) (2,395,359) (3,503,329)
Transaction costs of investments (19,223,300) (18,372,883)
Audit fee (463,572) (510,760)
Safe custody and bank charges 7(d) (1,463,998) (2,485,480)
Legal and other professional fee (62,344) (149,766)
License fee (5,928,769) (8,695,701)
Other operating expenses 7(d) (923,936) (439,271)
────────────── ──────────────
Total operating expenses (89,746,420) (120,864,566)
------------------------- -------------------------
Operating (loss)/profit (482,469,724) 4,670,429,328
------------------------- -------------------------
Taxation 6 (13,897,628) (22,111,280)
------------------------- -------------------------
Total comprehensive (loss)/income (496,367,352) 4,648,318,048
══════════════ ══════════════
The accompanying notes form an integral part of these unaudited condensed financial statements
4
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
CONDENSED STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO UNITHOLDERS
For the period ended 30 June 2020
Period from Period from
1 January 2020 1 January 2019
to 30 June 2020 to 30 June 2019
(Unaudited) (Unaudited)
Notes RMB RMB
Net assets attributable to unitholders at the beginning
of the period 15,603,321,276 15,698,178,722
------------------------- -------------------------
Proceeds on issue of units 4 1,434,605,700 449,936,900
Payments on redemption of units 4 (5,658,994,350) (5,615,997,500)
────────────── ──────────────
Net decrease from unit transactions (4,224,388,650) (5,166,060,600)
------------------------- -------------------------
Total comprehensive (loss)/income for the period (496,367,352) 4,648,318,048
------------------------- -------------------------
Net assets attributable to unitholders at the end of
the period 10,882,565,274 15,180,436,170
══════════════ ══════════════
The accompanying notes form an integral part of these unaudited condensed financial statements.
5
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
CONDENSED STATEMENT OF CASH FLOWS
For the period ended 30 June 2020
Period from Period from
1 January 2020 1 January 2019
to 30 June 2020 to 30 June 2019
(Unaudited) (Unaudited)
RMB RMB
OPERATING ACTIVITIES
Payments for purchase of investments (4,083,866,492) (3,225,292,022)
Proceeds from sale of investments 8,220,339,141 8,376,577,970
Dividend income received 138,105,054 219,708,749
Interest income from bank deposits received 349,792 411,930
Other income received 17,894,682 7,977,944
Management fee paid (62,662,410) (88,060,578)
Trustee fee paid (2,531,814) (3,558,004)
Transaction costs paid (19,223,300) (18,372,883)
Taxation paid (13,897,628) (22,111,280)
Other operating expenses paid (3,260,002) (15,379,485)
─────────────── ───────────────
Net cash generated from operating activities 4,191,247,023 5,231,902,341
--------------------------- ---------------------------
FINANCING ACTIVITIES
Proceeds on issue of units 1,434,605,700 449,936,900
Payments on redemption of units (5,658,994,350) (5,615,997,500)
─────────────── ───────────────
Net cash used in financing activities (4,224,388,650) (5,166,060,600)
--------------------------- ---------------------------
Net (decrease)/increase in cash and cash equivalents (33,141,627) 65,841,741
Cash and cash equivalents at the beginning of the period 121,318,541 136,222,741
─────────────── ───────────────
Cash and cash equivalents at the end of the period 88,176,914 202,064,482
═══════════════ ═══════════════
Analysis of balances of cash and cash equivalents
Bank balances 88,176,914 202,064,482
═══════════════ ═══════════════
The accompanying notes form an integral part of these unaudited condensed financial statements.
6
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
NOTES TO THE UNAUDITED CONDENSED FINANCIAL STATEMENTS
1. GENERAL INFORMATION
CSOP ETF Series (the “Trust”) is an umbrella unit trust governed by its trust deed dated 25 July 2012, as
amended, (the “Trust Deed”) and authorised by the Securities and Futures Commission of Hong Kong (the
“SFC”) pursuant to Section 104(1) of the Securities and Futures Ordinance. The terms of the Trust Deed are
governed by the laws of Hong Kong. As at 30 June 2020, the Trust has seven sub-funds which are CSOP
FTSE China A50 ETF (the “Sub-Fund”), CSOP SZSE ChiNext ETF, CSOP MSCI China A Inclusion Index
ETF, ICBC CSOP S&P New China Sectors ETF, CSOP Hong Kong Dollar Money Market ETF, CSOP US
Dollar Money Market ETF and CSOP CSI 500 ETF. The CSOP CSI 500 ETF was launched on 18 March
2020. The date of inception of the Sub-Fund was 23 August 2012. The Sub-Fund is listed on The Stock
Exchange of Hong Kong Limited. CSOP Asset Management Limited, the manager of the Sub-Fund, applied
and obtained approval to list Japan Depository Receipt (“JDR”) which represents units of the Sub-Fund on the
Tokyo Stock Exchange (“TSE”). The JDR which represents units of the Sub-Fund was listed on the TSE on
27 February 2013.
The manager and the trustee of the Sub-Fund are CSOP Asset Management Limited (the “Manager”) and
HSBC Institutional Trust Services (Asia) Limited (the “Trustee”) respectively.
The investment objective of the Sub-Fund is to provide investment results that, before deduction of fees and
expenses, closely correspond to the performance of the Underlying Index, namely, FTSE China A50 Index
(the “Underlying Index”). In order to achieve the investment objective of the Sub-Fund, the Manager will
adopt a full replication strategy by directly investing all, or substantially all, of the assets of the Sub-Fund in
index securities constituting the Underlying Index in substantially the same weightings (i.e. proportions) as
these index securities have in the Underlying Index. The Manager may also use a representative sampling
strategy in exceptional circumstances.
The Sub-Fund has been using FTSE China A50 net total return index as its underlying index.
Under current regulations in the People’s Republic of China (“PRC”), generally foreign investors can invest in
the domestic securities market through certain qualified foreign institutional investors that have obtained
status as a Qualified Foreign Institutional Investor (“QFII”) or a Renminbi Qualified Foreign Institutional
Investor (“RQFII”) from the China Securities Regulatory Commission (“CSRC”) and have been granted
quota(s) by the State Administration of Foreign Exchange (“SAFE”) of the PRC to remit foreign freely
convertible currencies (in the case of a QFII) and Chinese Renminbi (“RMB”) (in the case of a RQFII) into
the PRC for the purpose of investing in the PRC’s domestic securities markets. Foreign investors can also
invest in the domestic securities market through Shanghai/Shenzhen – Hong Kong Stock Connect Program
(“Stock Connect”).
The Sub-Fund obtains exposure to securities issued within the PRC through the RQFII quotas of the Manager
and Stock Connect. The Manager has obtained RQFII status in the PRC and the RQFII quotas have been
granted, on behalf of the Sub-Fund. To the extent that the Manager has, on behalf of the Sub-Fund, utilised its
entire RQFII quota, the Manager may, subject to any applicable requirements, apply for an increase of the
RQFII quota. On the other hand, the Manager actively manages the RQFII quota obtained and may impose
limits on creation applications as it considers appropriate.
These condensed semi-annual financial statements are prepared for the Sub-Fund only. The condensed
financial statements for CSOP SZSE ChiNext ETF, CSOP MSCI China A Inclusion Index ETF, ICBC CSOP
S&P New China Sectors ETF, CSOP Hong Kong Dollar Money Market ETF, CSOP US Dollar Money
Market ETF and CSOP CSI 500 ETF have been prepared separately.
7
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
NOTES TO THE UNAUDITED CONDENSED FINANCIAL STATEMENTS
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The principal accounting policies applied in the preparation of these condensed financial statements are set out
below. These policies have been consistently applied to all the periods presented, unless otherwise stated.
These condensed semi-annual financial statements for the six months ended 30 June 2020 have been prepared
in accordance with Hong Kong Accounting Standard (“HKAS”) 34 “Interim Financial Reporting”. The
condensed semi-annual financial statements should be read in conjunction with the annual financial statements
for the year ended 31 December 2019, which have been prepared in accordance with Hong Kong Financial
Reporting Standards (“HKFRS”).
The accounting policies applied are consistent with those of the annual financial statements for the year ended
31 December 2019, as described in the annual financial statements.
Standards and amendments to existing standards effective 1 January 2020
There are no standards, amendments to standards or interpretations that are effective for annual periods
beginning on 1 January 2020 that have a material effect on the financial statements of the Sub-Fund.
New standards and amendments to standards effective after 1 January 2020 that are relevant to the Sub-Fund
but are not yet effective and have not been early adopted by the Sub-Fund
A number of new standards, amendments to standards and interpretations are effective for annual periods
beginning after 1 January 2020, and have not been applied in preparing these financial statements. None of
these are expected to have a material effect on the financial statements of the Sub-Fund.
8
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
NOTES TO THE UNAUDITED CONDENSED FINANCIAL STATEMENTS
3. CRITICAL ACCOUNTING ESTIMATES AND ASSUMPTIONS
The Manager makes estimates and assumptions concerning the future. The resulting accounting estimates will,
by definition, seldom equal the related actual results. Estimates are continually evaluated and are based on
historical experience and other factors, including expectations of future events that are believed to be
reasonable under the circumstances. The estimates and assumptions that have a significant risk of causing a
material adjustment to the carrying amounts of assets and liabilities within the next financial year are outlined
below.
In preparing these financial statements, the Manager has made certain assumptions and used various estimates
concerning the fair value of the securities that are suspended from trading which is dependent on what might
happen in the future. The resulting accounting estimates may not equal the related actual results.
Fair value of securities that are suspended from trading
As at 30 June 2020 and 31 December 2019, there was no investment held by the Sub-Fund which has been
suspended for trading.
4. NUMBER OF UNI TS IN ISSUE AND NET ASSETS ATTRIBUTABLE TO UNITHOLDERS PER
UNIT
The Sub Fund’s capital is represented by the units in the Sub-Fund, and shown as “net assets attributable to
unitholders” in the condensed statement of financial position. Subscriptions and redemptions of units during
the period are shown in the condensed statement of changes in net assets attributable to unitholders. In order to
achieve the investment objectives, the Sub-Fund endeavors to invest its capital in accordance with the
investment policies, whilst maintaining sufficient liquidity to meet redemption requests.
In accordance with the provisions of the Trust Deed dated 25 July 2012, as amended, and the Prospectus of the
Sub-Fund, investments are stated at the last traded price on the valuation day for the purpose of determining
net asset value per unit for subscriptions and redemptions and for various fee calculations.
Redeemable units of the Sub-Fund are classified as equity and they are carried at the redemption amount that
would be payable at the reporting date if the unitholder exercised the right to redeem the units in the Sub-Fund.
9
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
NOTES TO THE UNAUDITED CONDENSED FINANCIAL STATEMENTS
4. NUMBER OF UNI TS IN ISSUE AND NET ASSETS ATTRIBUTABLE TO UNITHOLDERS PER
UNIT (Continued)
The movements of the redeemable units for the period ended 30 June 2020 and 30 June 2019 are as follows:
Period from Period from
1 January 2020 1 January 2019
to 30 June 2020 to 30 June 2019
(Unaudited) (Unaudited)
units units
Number of units in issue at the beginning of the period 1,139,500,000 1,564,000,000
Units issued 117,500,000 36,000,000
Units redeemed (442,500,000) (448,000,000)
───────────── ─────────────
Number of units in issue at the end of the period 814,500,000 1,152,000,000
═════════════ ═════════════
As at As at
30 June 2020 31 December 2019
(Unaudited) (Audited)
RMB RMB
Net assets attributable to unitholders per unit
(per statement of financial position) 13.3610 13.6931
══════════════ ══════════════
5. NET (LOSS)/GAIN ON INVESTMENTS AND DERIVATIVE FINANCIAL INSTRUMENTS
Period from Period from
1 January 2020 1 January 2019
to 30 June 2020 to 30 June 2019
(Unaudited) (Unaudited)
RMB RMB
Net change in unrealised gain/loss in value of investments
and derivative financial instruments (1,404,690,140) 3,346,146,231
Net realised gain on sale of investments and derivative
financial instruments 855,596,484 1,217,047,690
───────────── ─────────────
(549,093,656) 4,563,193,921
═════════════ ═════════════
6. TAXATION
No provision for Hong Kong profits tax has been made for the Sub-Fund as it is authorised as a collective
investment scheme under Section 104 of the Hong Kong Securities and Futures Ordinance and is therefore
exempt from profits tax under Section 26A(1A) of the Hong Kong Inland Revenue Ordinance.
PRC tax
The Sub-Fund invests in A-Shares listed in the PRC and is subjected to 10% withholding tax on dividend
income derived from A-Shares. Withholding tax was charged on dividend income received from A-Shares
during the period.
10
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
NOTES TO THE UNAUDITED CONDENSED FINANCIAL STATEMENTS
6. TAXATION (Continued)
The taxation of the Sub-Fund for the period ended 30 June 2020 and 30 June 2019 represents:
Period from Period from
1 January 2020 1 January 2019
to 30 June 2020 to 30 June 2019
(Unaudited) (Unaudited)
RMB RMB
Withholding tax on dividend income 13,885,588 22,095,851
Withholding tax on interest income 12,040 15,429
────────────── ──────────────
Taxation 13,897,628 22,111,280
------------------------- -------------------------
7. TRANSACTIONS WITH THE TRUSTEE, MANAGER AND CONNECTED PERSONS
The following is a summary of significant related party transactions and transactions entered into during the
period between the Sub-Fund and the Trustee, the Manager and the Connected Persons of the Manager.
Connected Persons of the Manager are those as defined in the Code on Unit Trusts and Mutual Funds
established by the Securities & Futures Commission of Hong Kong (the “SFC Code”). All transactions entered
into during the period from 1 January 2020 to 30 June 2020, between the Sub-Fund and the Manager and its
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 the Connected
Persons of the Manager except for those disclosed below.
(a) Management fee
The Manager is entitled to receive a management fee, currently at the rate of 0.99% 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.
(b) Trustee fee and Registrar’s fee
The Trustee is entitled to receive a trustee fee of up to 0.08% per annum of the net asset value of the
Sub-Fund, which accrued daily and calculated as at each dealing day and payable monthly in arrears.
The Trustee fee is inclusive of fees payable to The Hongkong and Shanghai Banking Corporation
Limited (the “Custodian”) and HSBC Bank (China) Company Limited (the “PRC Custodian”).
11
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
NOTES TO THE UNAUDITED CONDENSED FINANCIAL STATEMENTS
7. TRANSACTIONS WITH THE TRUSTEE, MANAGER AND CONNECTED PERSONS (Continued)
(b) Trustee fee and Registrar’s fee (Continued)
The Trustee, acting as the Registrar, is also entitled to a fee of RMB100 per participating dealer per
transaction.
The Trustee shall also be entitled to be reimbursed from the Sub-Fund for all out-of-pocket expenses
incurred.
(c) Financial assets
The investments and bank balances of the Sub-Fund held with related parties of the Trustee are:
As at As at
30 June 2020 31 December 2019
(Unaudited) (Audited)
RMB RMB
Investments
The Hongkong and Shanghai Banking Corporation Limited 8,686,647,481 12,622,214,674
HSBC Bank (China) Company Limited 2,005,401,112 2,875,300,224
─────────── ───────────
10,692,048,593 15,497,514,898
═══════════ ═══════════
Bank balances
The Hongkong and Shanghai Banking Corporation Limited 51,410,010 89,544,243
HSBC Bank (China) Company Limited 36,766,904 31,774,298
─────────── ───────────
88,176,914 121,318,541
═══════════ ═══════════
Deposit reserve
HSBC Bank (China) Company Limited 1,383,200 1,383,200
═══════════ ═══════════
Interest income amounting to RMB343,896 (for the period from 1 January 2019 to 30 June 2019:
RMB413,280) was earned on these bank balances for the period ended 30 June 2020.
(d) Other respective amounts paid to the Trustee and its connected persons
The other respective amounts paid to the Trustee and its connected persons for the period ended
30 June 2020 and 2019 were as follows:
Period from Period from
1 January 2020 1 January 2019
to 30 June 2020 to 30 June 2019
(Unaudited) (Unaudited)
RMB RMB
Safe custody and bank charges 1,463,998 2,485,480
Other operating expenses 502,874 331,706
12
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
NOTES TO THE UNAUDITED CONDENSED FINANCIAL STATEMENTS
8. FINANCIAL RISK MANAGEMENT
The objective of the Sub-Fund is to provide investment results that, before deduction of fees and expenses,
closely correspond to the performance of the FTSE China A50 Index. The Sub-Fund’s activities may expose it
to a variety of risks including but not limited to: market risk (including market price risk, interest rate risk and
currency risk), credit and counterparty risk and liquidity risk which are associated with the markets in which
the Sub-Fund invests.
The following is a summary of the main risks and risk management policies.
(a) Market risk
(i) Market price risk
Market price risk is the risk that the value of a financial instrument will fluctuate as a result of
changes in market prices (other than those arising from interest rate risk or currency risk), whether
those changes are caused by factors specific to the individual instrument or factors affecting all
instruments in the market.
The Sub-Fund is designated to track the performance of the FTSE China A50 Index, therefore the
exposures to market risk in the Sub-Fund will be substantially the same as the tracked index. The
Manager manages the Sub-Fund’s exposures to market risk by ensuring that the key characteristics
of the portfolio, such as security weight and industry weight, are closely aligned with the
characteristics of the tracked index.
As at 30 June 2020 and 31 December 2019, the Sub-Fund’s investments and derivative financial
instruments were concentrated in the following industries:
30 June 2020 (Unaudited) 31 December 2019 (Audited)
───────────────────── ────────────────────
Fair value % of net Fair value % of net
RMB asset value RMB asset value
Listed equities in PRC and
funded total return swap *
by industry
Basic materials 52,227,837 0.48 94,150,582 0.60
Consumer goods 3,189,705,381 29.32 4,022,500,080 25.78
Consumer services 250,895,738 2.30 181,100,866 1.16
Financials 5,099,600,213 46.87 8,745,290,441 56.05
Health care 594,514,570 5.46 585,416,264 3.75
Industrials 807,479,246 7.43 1,130,418,192 7.24
Oil & gas 113,678,376 1.04 188,821,650 1.21
Technology 498,329,813 4.57 243,190,388 1.56
Telecommunications 67,674,656 0.62 116,879,788 0.75
Utilities 137,842,763 1.26 189,746,647 1.22
─────────── ────── ─────────── ──────
10,811,948,593 99.35 15,497,514,898 99.32
═══════════ ══════ ═══════════ ══════
*The data of funded total return swap represents their underlying asset.
The Sub-Fund held 50 out of 50 (31 December 2019: 50 out of 50) constituent securities
comprising the FTSE China A50 Index. The Sub-Fund is therefore exposed to substantially the
same market price risk as the FTSE China A50 Index.
13
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
NOTES TO THE UNAUDITED CONDENSED FINANCIAL STATEMENTS
8. FINANCIAL RISK MANAGEMENT (Continued)
(a) Market risk (Continued)
(i) Market price risk (Continued)
Sensitivity analysis in the event of a possible change in the index by 25% as estimated by the
Manager
As at 30 June 2020, if the FTSE China A50 Index were to increase by 25% (31 December 2019:
25%) with all other variables held constant, this would increase the operating profit for the
period/year by approximately RMB2,702,987,148 (31 December 2019: RMB3,737,309,260).
Conversely, if the FTSE China A50 Index were to decrease by 25% (31 December 2019: 25%),
this would decrease the operating profit for the period/year by an equal amount.
(ii) Interest rate risk
Interest rate risk arises from the effects of fluctuations in the prevailing levels of market interest
rates on the fair value of financial assets and liabilities and future cash flow.
As at 30 June 2020 and 31 December 2019, interest rate risk arises only from bank balances. As
the bank balances held by the Sub-Fund is short term in nature and the interest arising from these
interest bearing assets are immaterial, the Manager considers that changes in their fair value and
future cash flows in the event of a change in market interest rates will not be material. As a result,
the Manager considers sensitivity analysis of interest rate risk is not necessary to be presented.
(iii) Currency risk
Currency risk is the risk that the value of financial instruments will fluctuate due to changes in
foreign exchange rates. The Sub-Fund is not exposed to currency risk arising from balances and
transactions in foreign currencies as the majority of its assets and liabilities are denominated in
RMB, the Sub-Fund’s functional and presentation currency. As a result, the Manager considers
sensitivity analysis of currency risk is not necessary to be presented.
(b) Credit and counterparty risk
Credit and counterparty risk is the risk that an issuer or counterparty will be unable or unwilling to
meet a commitment that it has entered into with the Sub-Fund.
The Sub-Fund limits its exposure to credit and counterparty risk by carrying out the majority of its
investment transactions and contractual commitment activities with well-established broker-dealers,
banks and regulated exchanges with high credit ratings.
The Sub-Fund may invest in financial derivative instruments (“FDIs”), which is mainly funded total
return swaps with one or more counterparties. The counterparties are transactions of over-the-counter
FDIs or their guarantors must be substantial financial institutions. Collateral are received from the
counterparty to reduce counterparty risk.
All transactions in listed securities are settled or paid for upon delivery using approved and reputable
brokers. In addition, the Sub-Fund places bank balances with reputable financial institutions. As such,
the Manager does not consider the Sub-Fund to be exposed to significant credit and counterparty risk.
As at 30 June 2020, the Sub-Fund placed bank balances of RMB51,410,010 (31 December 2019:
RMB89,544,243) and investments of RMB8,686,647,481 (31 December 2019: RMB12,622,214,674)
with The Hong Kong and Shanghai Banking Corporation Limited (“HSBC”), which is the custodian of
the Sub-Fund. The S&P credit rating of HSBC is A- (31 December 2019: A).
14
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
NOTES TO THE UNAUDITED CONDENSED FINANCIAL STATEMENTS
8. FINANCIAL RISK MANAGEMENT (Continued)
(b) Credit and counterparty risk (Continued)
As at 30 June 2020, the Sub-Fund placed bank balances of RMB36,766,904 (31 December 2019:
RMB31,774,298) deposit reserve of RMB1,383,200 (2019: RMB1,383,200) and investments of
RMB2,005,401,112 (31 December 2019: RMB2,875,300,224) with HSBC Bank (China) Company
Limited (“HSBC China”), which is the PRC custodian of the Sub-Fund. The Moody’s credit rating of
HSBC China is A1 (31 December 2019: A1).
As at 30 June 2020, the Sub-Fund invested in funded total return swap was as follows:
Counterparty Credit rating Swap value Collateral value Collateral ratio
RMB RMB
UBS AG London A- 119,900,000 119,326,017 99.52%
The Sub-Fund measures credit risk and expected credit losses using probability of default, exposure at
default and loss given default. Management consider both historical analysis and forward looking
information in determining any expected credit loss. As at 30 June 2020 and 31 December 2019,
deposit reserve, interest receivable from bank deposits, interest receivable from derivative financial
instruments and bank balances are held with counterparties with high credit ratings and are due to be
settled within 1 month. Management consider the probability of default to be close to zero as the
counterparties have a strong capacity to meet their contractual obligations in the near term. As a result,
no loss allowance has been recognised based on 12-month expected credit losses as any such
impairment would be wholly insignificant to the Sub-Fund.
The maximum exposure to credit risk as at 30 June 2020 and 31 December 2019 is the carrying
amount of the financial assets as shown on the condensed statement of financial position.
(c) Liquidity risk
Liquidity risk is the risk that the Sub-Fund may not be able to generate sufficient cash resources to
settle its obligations in full as they fall due or can only do so on terms that are materially
disadvantageous.
The Sub-Fund is exposed to daily redemptions of units in the Sub-Fund. The Sub-Fund invests the
majority of its assets in securities that are traded in an active market which can be readily disposed of.
The table below analyses the Sub-Fund’s financial liabilities into relevant maturity groupings based on
the remaining period at the reporting date to the contractual maturity date. The amounts in the table are
the contractual undiscounted cash flows. Balances due within 12 months equal their carrying balances,
as the impact of discounting is not significant.
Less than 1 month to less Over
1 month than 3 months 3 months Total
RMB RMB RMB RMB
As at 30 June 2020
Management fee payable 8,699,300 - - 8,699,300
Trustee fee payable 351,487 - - 351,487
License fee payable - 9,350,048 - 9,350,048
Other accounts payable 7,010 300 563,487 570,797
────────── ───────── ─────── ─────────
Contractual cash outflow 9,057,797 9,350,348 563,487 18,971,632
══════════ ═════════ ═══════ ══════════
15
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
NOTES TO THE UNAUDITED CONDENSED FINANCIAL STATEMENTS
8. FINANCIAL RISK MANAGEMENT (Continued)
(c) Liquidity risk (Continued)
Less than 1 month to less Over
1 month than 3 months 3 months Total
RMB RMB RMB RMB
As at 31 December 2019
Management fee payable 12,076,568 - - 12,076,568
Trustee fee payable 487,942 - - 487,942
License fee payable - 3,421,534 - 3,421,534
Other accounts payable 16,010 2,000 898,684 916,694
────────── ───────── ─────── ──────────
Contractual cash outflow 12,580,520 3,423,534 898,684 16,902,738
══════════ ═════════ ═══════ ══════════
Units are redeemed on demand at the unitholder’s option. As at 30 June 2020, there were 2 (31
December 2019:1) unitholders holding more than 10% of the Sub-Fund’s units.
The Sub-Fund manages its liquidity risk by investing in securities that it expects to be able to liquidate
within 7 days or less. The following table illustrates the expected liquidity of assets held:
Less than 1 to 12 No stated
1 month months maturity Total
RMB RMB RMB RMB
As at 30 June 2020
Total assets 10,900,125,507 28,199 1,383,200 10,901,536,906
═══════════ ═══════ ════════ ═══════════
As at 31 December 2019
Total assets 15,618,833,439 7,375 1,383,200 15,620,224,014
═══════════ ═══════ ════════ ═══════════
(d) Fair value estimation
The Sub-Fund classifies fair value measurements using a fair value hierarchy that reflects the
significance of the inputs used in making the measurements. The fair value hierarchy has the following
levels:
Quoted prices (unadjusted) in active markets for identical assets or liabilities that the Sub-Fund
can access at the measurement date (level 1).
Inputs other than quoted prices included within level 1 that are observable for the asset or liability,
either directly (that is, as prices) or indirectly (that is, derived from prices) (level 2).
Inputs for the asset or liability that are not based on observable market data (that is, unobservable
inputs) (level 3).
16
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
NOTES TO THE UNAUDITED CONDENSED FINANCIAL STATEMENTS
8. FINANCIAL RISK MANAGEMENT (Continued)
(d) Fair value estimation (Continued)
The level in the fair value hierarchy within which the fair value measurement is categorised in its
entirety is determined on the basis of the lowest level input that is significant to the fair value
measurement in its entirety. For this purpose, the significance of an input is assessed against the fair
value measurement in its entirety. If a fair value measurement uses observable inputs that require
significant adjustment based on unobservable inputs, that measurement is a level 3 measurement.
Assessing the significance of a particular input to the fair value measurement in its entirety requires
judgment, considering factors specific to the asset or liability.
The determination of what constitutes “observable” requires significant judgment by the Sub-Fund.
The Sub-Fund considers observable data to be that market data that is readily available, regularly
distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources
that are actively involved in the relevant market.
The following table analyses within the fair value hierarchy the Sub-Fund’s financial assets (by class)
measured at fair value at 30 June 2020 and 31 December 2019:
Level 1 Level 2 Level 3 Total
RMB RMB RMB RMB
As at 30 June 2020
Assets
Investment
- Equity securities 10,692,048,593 - - 10,692,048,593
Derivative financial
instruments
- Funded total return swap 119,900,000 - - 119,900,000
─────────── ───────── ───────── ───────────
Total assets 10,811,948,593 - - 10,811,948,593
═══════════ ═════════ ═════════ ═══════════
As at 31 December 2019
Assets
Investment
- Equity securities 15,497,514,898 - - 15,497,514,898
─────────── ───────── ───────── ───────────
Total assets 15,497,514,898 - - 15,497,514,898
═══════════ ═════════ ═════════ ═══════════
Investments whose values are based on quoted market prices in active markets, and therefore classified
within level 1, include active listed equities and swap. The Sub-Fund does not adjust the quoted price
for these instruments.
Financial instruments that trade in markets that are not considered to be active but are valued based on
quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs
are classified within level 2. As at 30 June 2020 and 31 December 2019, there was no investment
classified within level 2.
As at 30 June 2020 and 31 December 2019, there was no investment held by the Sub-Fund which has
been suspended for trading.
17
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
NOTES TO THE UNAUDITED CONDENSED FINANCIAL STATEMENTS
8. FINANCIAL RISK MANAGEMENT (Continued)
(d) Fair value estimation (Continued)
Investments classified within level 3 have significant unobservable inputs, as they trade infrequently
or do not trade. As at 30 June 2020 and 31 December 2019, the sub fund did not hold any investments
classified in level 3.
During the year ended 31 December 2019, the suspended equity investment of RMB448,585,791 has
been transferred from level 2 to level 1 related to the security which was suspended for trading as at 31
December 2018 and has resumed trading during the year ended 31 December 2019.
Transfer between levels of the fair value hierarchy are deemed to have occurred at the beginning of the
reporting period.
The assets and liabilities included in the condensed statement of financial position, other than
investments and derivative financial instruments, are carried at amortised cost; their carrying value are
approximation of fair value. There are no other assets and liabilities not carried at fair value but for
which fair value is disclosed.
(e) Capital risk management
The Sub-Fund’s capital is represented by the redeemable units outstanding. The Sub-Fund’s objective
is to provide investment results that correspond generally to the performance of the respective index.
The Manager may:
Redeem and issue new units on a daily basis in accordance with the constitutive documents of the
Sub-Fund;
Exercise discretion when determining the amount of distributions of the Sub-Fund to the
unitholders; and
Suspend the creation and redemption of units under certain circumstance as currently disclosed in
the Prospectus of the Sub-Fund.
9. DISTRIBUTION
There was no distribution during the period ended 30 June 2020 and 30 June 2019.
10. FINANCIAL INSTRUMENTS BY CATEGORY
As of 30 June 2020 and 31 December 2019, other than investments and derivative financial instruments as
disclosed in the financial statements which are classified as financial assets at fair value through profit or loss,
all financial assets including deposit reserve, interest receivable from bank deposits, interest receivable from
derivative financial instruments and bank balances are categorised as per IFRS 9 and carried at amortised cost.
All the financial liabilities of the Sub-Fund are carried at amortised cost.
11. INVESTMENT LIMITATION AND PROHIBITIONS UNDER THE SFC CODE
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 the investment is limited to any constituent securities that each
accounts for more than 10% of the weighting of the Index and the Sub -Fund's holding of any such constituent
securities may not exceed their respective weightings in the Index (except as a result of changes in the c omposition
of the Index and the excess is transitional and temporary in nature).
The Manager and the Trustee have confirmed that the Sub-Fund has complied with this limit during the
period/year ended 30 June 2020 and 31 December 2019.
18
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
NOTES TO THE UNAUDITED CONDENSED FINANCIAL STATEMENTS
11. INVESTMENT LIMITATION AND PROHIBITIONS UNDER THE SFC CODE (Continued)
There was no constituent security (31 December 2019: 1) that individually accounted for more than 10% of the
net asset value of the Sub-Fund and their respective weightings of the FTSE China A50 Index as at 30 June
2020.
As at 31 December 2019
Weighting % of net asset
in the Index (%) value
PING AN INSURANCE (GROUP) CO OF CHINA
LTD A SHR ORD CNY1 13.16 12.60
During the period ended 30 June 2020, the FTSE China A50 Net Total Return index decreased by 1.79% (31
December 2019: increased by 42.12%) while the net asset value per unit of the Sub-Fund decreased by 2.43%
(31 December 2019: increased by 36.42%).
12. SOFT COMMISSION ARRANGEMENT
The Manager has entered into soft commission arrangements for the period/year ended 30 June 2020 and 31
December 2019 with some brokers under which certain goods and services used to support investment decision
making are obtained from third parties and are paid for by the brokers in consideration of transactions of the
Sub-Fund directed to the brokers. These may include, for example, research and advisory services; economic
and political analysis; portfolio analysis, including valuation and performance measurement; market analysis,
data and quotation services; clearing, registrar and custodial services and investment-related publication;
computer hardware and software incidental to the above goods and services.
For the period ended 30 June 2020 and 2019, the Manager obtained services through soft dollar arrangements
valued at approximately RMB12,304,206,280 (2019: RMB11,601,870,058). Commission which amounted to
RMB4,949,667 (2019: RMB4,163,474) is paid from the Sub-Fund on these transactions.
13. SEGMENT INFORMATION
The Manager makes the strategic resource allocations on behalf of the Sub-Fund and has determined the
operating segments based on the reports reviewed which are used to make strategic decisions.
The Manager considers that the Sub-Fund has a single operating segment which is investing in securities. The
objectives of the Sub-Fund are to track the performance of the FTSE China A50 Index and invest in
substantially all the index constituents with security weight and industry weight that are closely aligned with
the characteristics of the tracked index.
The internal financial information used by the Manager for the Sub-Fund’s assets, liabilities and performance
is the same as that disclosed in the condensed statement of financial position and condensed statement of
comprehensive income.
The Sub-Fund is domiciled in Hong Kong. The Sub-Fund’s income is derived from investments in PRC
securities which constitute FTSE China A50 Index, the tracked index.
The total of non-current assets of the Sub-Fund located in PRC is RMB1,383,200 (31 December 2019:
RMB1,383,200). The Sub-Fund has no other assets classified as non-current assets. As at 30 June 2020 and 31
December 2019, the Sub-Fund has a diversified portfolio of investments and none of the investment accounts
for more than 10% of the Sub-Fund’s net asset value.
19
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
INVESTMENT PORTFOLIO (Unaudited)
As at 30 June 2020
Fair value % of net
Holdings RMB assets
Investments and derivative financial instruments (99.35%)
Investments (98.25%)
Listed equities (98.25%)
China (98.25%)
AGRICULTURAL BANK OF CHINA A SHS ORD CNY1 70,406,603 237,974,318 2.19
ANHUI CONCH CEMENT COMPANY LTD SHS A ORD
CNY1 3,175,627 168,022,425 1.55
BANK OF CHINA LTD A SHS ORD CNY1 38,735,353 134,799,028 1.24
BANK OF COMMUNICATIONS LTD A SHRS ORD CNY1 36,789,866 188,732,012 1.74
BEIJING-SHANGHAI HIGH SPEED RAILWAY CO LTD ORD
CNY1 CC 4,786,100 29,817,403 0.27
CHINA CITIC BANK CORP A SHRS ORD CNY1 5,006,680 25,784,403 0.24
CHINA CONSTRUCTION BANK A SHS ORD CNY1 16,543,807 104,391,422 0.96
CHINA EVERBRIGHT BANK CO LTD A ORD CNY1 25,608,041 91,676,787 0.84
CHINA LIFE INSURANCE CO A SHS ORD NPV 3,065,282 83,406,323 0.77
CHINA MERCHANTS BANK A SHR ORD CNY1 21,610,305 728,699,484 6.70
CHINA MINSHENG BANKING CO LTD A SHR ORD CNY1 50,822,623 288,164,273 2.65
CHINA PACIFIC INSURANCE GROUP A SHR ORD CNY1 605,522 16,500,474 0.15
CHINA PETROLEUM Sc. CHEMICAL CORP CL A ORD
CNY1 17,562,036 68,667,561 0.63
CHINA SHENHUA ENERGY CO LTD A SHS ORD CNY1 3,637,036 52,227,837 0.48
CHINA STATE CONSTRUCTION ENGINEERING CORP LTD
A SHR ORD CNY1 30,857,897 147,192,168 1.36
CHINA TOURISM GROUP DUTY FREE CORP LTD A SHS
ORD CNY1 1,435,294 221,078,335 2.03
CHINA UNITED NETWORK COMMUNICATIONS LTD A
SHRS ORD CNY1 13,982,367 67,674,656 0.62
CHINA VANKE CO LTD A SHR ORD CNY1 11,884,033 310,648,622 2.86
CHINA YANGTZE POWER CO LTD CL A ORD CNY1 7,277,865 137,842,763 1.26
CITIC SECURITIES CO LTD A SHR ORD CNY1 15,460,458 372,751,642 3.43
CONTEMPORARY AMPEREX TECHNOLOGY CO LTD A
SHS ORD CNY1 405,949 70,781,268 0.65
CRRC CORP LTD A SHR ORD CNY1 13,685,898 76,230,452 0.70
CSC FINANCIAL CO LTD A SHS ORD CNY1 735,100 28,948,238 0.26
FOSHAN HAITIAN FLAVOURING & FOOD COMPANY LTD
A SHS ORD CNY1 595,505 74,080,822 0.68
FOXCONN INDUSTRIAL INTERNET CO LTD A SHRS ORD
CNY1 2,071,167 31,378,180 0.28
GREE ELECTRIC APPLIANCES INC OF ZHUHAI A SHS
ORD CNY1 7,819,074 442,325,017 4.07
GUOTAI JUNAN SECURITIES CO LTD A SHRS ORD NPV 6,077,857 104,903,812 0.96
HANGZHOU HIKVISION DIGITAL TECHNOLOGY CO LTD
A SHS ORD NPV 5,199,956 157,818,665 1.45
INDUSTRIAL AND COMMERCIAL BANK OF CHINA LTD A
SHS ORD CNY1 39,640,483 197,409,606 1.81
INDUSTRIAL BANK CO LTD A SHR ORD CNY1 25,462,575 401,799,434 3.69
20
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
INVESTMENT PORTFOLIO (Unaudited) (Continued)
As at 30 June 2020
Fair value % of net
Holdings RMB assets
Investments and derivative financial instruments (99.35%) (Continued)
Investments (98.25%) (Continued)
Listed equities (98.25%) (Continued)
China (98.25%) (Continued)
INNER MONGILIA YILI INDUSTRIAL GROUP CO LTD A
SHS ORD CNY1 9,141,485 284,574,428 2.62
JIANGSU HENGRUI MEDICINE CO LTD A SHR ORD CNY1 4,485,292 413,992,452 3.80
JIANGSU YANGHE BREWERY JOINT-STOCK CO LTD A
SHS ORD CNY1 809,858 85,148,470 0.78
KWEICHOW MOUTAI CO LTD A SHR ORD CNY1 807,946 1,181,928,045 10.87
LUXSHARE PRECISION INDUSTRY CO LTD A SHS ORD
CNY1 4,783,711 245,643,560 2.26
MIDEA GROUP CO LIMITED A SHR ORD NPV 3,851,535 230,283,278 2.12
MUYUAN FOODSTUFF CO LTD A SHS ORD CNY1 1,834,481 150,427,442 1.38
PETROCHINA CO LTD A SHRS CNY1 10,742,438 45,010,815 0.41
PING AN BANK CO LTD A SHR ORD CNY1 14,979,263 191,734,567 1.76
PING AN INSURANCE (GROUP) CO OF CHINA LTD A SHR
ORD CNY1 16,690,695 1,191,715,623 10.95
POLY DEVELOPMENTS AND HOLDINGS GROUP CO LTD A
SHR ORD CNY1 12,635,380 186,750,916 1.71
S F HOLDING CO LTD A SHRS ORD CNY1 1,306,483 71,464,620 0.66
SAIC MOTOR CORP LTD A SHR ORD CNY1 4,979,765 84,606,207 0.78
SHANGHAI PUDONG DEVELOPMENT BANK CO LTD A
SHR ORD CNY1 26,432,906 279,660,145 2.57
SHENZHEN MINDRAY BIO MEDICAL ELECTRONICS CO
LTD A SHS ORD CNY1 470,126 143,717,518 1.32
WENS FOODSTUFF GROUP CO LTD A SHRS ORD CNY1 937,063 20,427,973 0.18
WILL SEMICONDUCTOR LTD A SHS ORD CNY1 310,600 62,725,670 0.57
WULIANGYE YIBIN CO LTD A SHS ORD CNY1 3,302,492 565,122,431 5.19
WUXI APPTEC CO LTD A SHS ORD CNY1 381,000 36,804,600 0.34
ZTE CORPORATION A SHR ORD CNY1 3,951,717 158,582,403 1.46
─────────── ─────
Total listed equities 10,692,048,593 98.25
─────────── ─────
21
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
INVESTMENT PORTFOLIO (Unaudited) (Continued)
As at 30 June 2020
Fair value % of net
Holdings RMB assets
Investments and derivative financial instruments (99.35%) (Continued)
Derivative financial instruments (1.10%)
Unlisted funded total return swap (1.10%)
CHINA PACIFIC INSURANCE GR-A (FUNDED TOTAL
RETURN SWAP) 4,400,000 119,900,000 1.10
─────────── ─────
Total unlisted funded total return swap 119,900,000 1.10
─────────── ─────
Total investments and derivative financial instruments 10,811,948,593 99.35
Other net assets 70,616,681 0.65
─────────── ─────
Net assets attributable to unitholders at 30 June 2020 10,882,565,274 100.00
═══════════ ═════
Total investments and derivative financial instruments, at cost 9,195,903,603
═══════════
22
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
STATEMENT OF MOVEMENTS IN INVESTMENT PORTFOLIO (Unaudited)
For the period ended 30 June 2020
Holdings
Corporate
1 January 2020 Additions actions Disposals 30 June 2020
Investments and derivative financial instruments
Investments
Listed equities
360 SECURITY
TECHNOLOGY INC A
SHRS ORD CNY 1,035,450 231,363 - 1,266,813 -
AGRICULTURAL BANK
OF CHINA A SHS ORD
CNY1 99,870,603 26,443,600 - 55,907,600 70,406,603
ANHUI CONCH CEMENT
COMPANY LTD SHS A
ORD CNY1 4,504,446 636,181 - 1,965,000 3,175,627
BANK OF CHINA LTD A
SHS ORD CNY1 54,945,653 6,233,300 - 22,443,600 38,735,353
BANK OF
COMMUNICATIONS
LTD A SHRS ORD CNY1 52,185,859 12,724,507 - 28,120,500 36,789,866
BEIJING-SHANGHAI
HIGH SPEED RAILWAY
CO LTD ORD CNY1 CC - 5,743,300 - 957,200 4,786,100
BOE TECHNOLOGY GR
CO LTD A SHS ORD
CNY1 - 79,901,300 - 79,901,300 -
CHINA CITIC BANK CORP
A SHRS ORD CNY1 7,101,880 791,600 - 2,886,800 5,006,680
CHINA CONSTRUCTION
BANK A SHS ORD CNY1 23,467,107 3,686,800 - 10,610,100 16,543,807
CHINA EVERBRIGHT
BANK CO LTD A ORD
CNY1 36,324,441 5,720,900 - 16,437,300 25,608,041
CHINA LIFE INSURANCE
CO A SHS ORD NPV 3,799,982 810,500 - 1,545,200 3,065,282
CHINA MERCHANTS
BANK A SHR ORD
CNY1 30,653,821 6,453,284 - 15,496,800 21,610,305
CHINA MERCHANTS
SHEKOU INDUSTRIAL
ZONE CO LTD A SHRS
ORD CNY1 5,357,442 3,256,519 - 8,613,961 -
CHINA MINSHENG
BANKING CO LTD A
SHR ORD CNY1 72,091,103 13,695,420 - 34,963,900 50,822,623
CHINA PACIFIC
INSURANCE GROUP A
SHR ORD CNY1 6,555,632 2,132,990 - 8,083,100 605,522
CHINA PETROLEUM Sc.
CHEMICAL CORP CL A
ORD CNY1 24,911,436 4,228,600 - 11,578,000 17,562,036
23
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
STATEMENT OF MOVEMENTS IN INVESTMENT PORTFOLIO (Unaudited) (Continued)
For the period ended 30 June 2020
Holdings
Corporate
1 January 2020 Additions actions Disposals 30 June 2020
Investments and derivative financial instruments (Continued)
Investments (Continued)
Listed equities (Continued)
CHINA SHENHUA
ENERGY CO LTD A SHS
ORD CNY1 5,158,936 583,700 - 2,105,600 3,637,036
CHINA STATE
CONSTRUCTION
ENGINEERING CORP
LTD A SHR ORD CNY1 43,777,297 7,232,500 - 20,151,900 30,857,897
CHINA TOURISM GROUP
DUTY FREE CORP LTD
A SHS ORD CNY1 2,035,985 343,309 - 944,000 1,435,294
CHINA UNITED
NETWORK
COMMUNICATIONS
LTD A SHRS ORD CNY1 19,843,767 2,240,200 - 8,101,600 13,982,367
CHINA VANKE CO LTD A
SHR ORD CNY1 16,857,234 4,294,099 - 9,267,300 11,884,033
CHINA YANGTZE POWER
CO LTD CL A ORD CNY1 10,323,539 1,780,826 - 4,826,500 7,277,865
CITIC SECURITIES CO
LTD A SHR ORD CNY1 20,262,415 4,824,643 - 9,626,600 15,460,458
CONTEMPORARY
AMPEREX
TECHNOLOGY CO LTD
A SHS ORD CNY1 572,211 87,938 - 254,200 405,949
CRRC CORP LTD A SHR
ORD CNY1 19,413,198 2,193,100 - 7,920,400 13,685,898
CSC FINANCIAL CO LTD
A SHS ORD CNY1 - 1,431,500 - 696,400 735,100
FOSHAN HAITIAN
FLAVOURING & FOOD
COMPANY LTD A SHS
ORD CNY1 703,991 84,713 103,801 297,000 595,505
FOXCONN INDUSTRIAL
INTERNET CO LTD A
SHRS ORD CNY1 2,914,267 337,100 - 1,180,200 2,071,167
GREE ELECTRIC
APPLIANCES INC OF
ZHUHAI A SHS ORD
CNY1 11,091,245 2,300,029 - 5,572,200 7,819,074
GUOTAI JUNAN
SECURITIES CO LTD A
SHRS ORD NPV 8,621,457 979,700 - 3,523,300 6,077,857
HANGZHOU HIKVISION
DIGITAL TECHNOLOGY
CO LTD A SHS ORD NPV 7,378,804 1,123,252 - 3,302,100 5,199,956
24
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
STATEMENT OF MOVEMENTS IN INVESTMENT PORTFOLIO (Unaudited) (Continued)
For the period ended 30 June 2020
Holdings
Corporate
1 January 2020 Additions actions Disposals 30 June 2020
Investments and derivative financial instruments (Continued)
Investments (Continued)
Listed equities (Continued)
INDUSTRIAL AND
COMMERCIAL BANK OF
CHINA LTD A SHS ORD
CNY1 56,229,383 15,260,100 - 31,849,000 39,640,483
INDUSTRIAL BANK CO
LTD A SHR ORD CNY1 36,118,303 6,453,172 - 17,108,900 25,462,575
INNER MONGILIA YILI
INDUSTRIAL GROUP CO
LTD A SHS ORD CNY1 13,032,830 2,913,655 - 6,805,000 9,141,485
JIANGSU HENGRUI
MEDICINE CO LTD A
SHR ORD CNY1 5,302,905 1,049,562 750,825 2,618,000 4,485,292
JIANGSU YANGHE
BREWERY JOINT-STOCK
CO LTD A SHS ORD
CNY1 1,148,767 132,191 - 471,100 809,858
KWEICHOW MOUTAI CO
LTD A SHR ORD CNY1 1,152,446 205,600 - 550,100 807,946
LUXSHARE PRECISION
INDUSTRY CO LTD A
SHS ORD CNY1 5,204,020 1,088,600 1,082,991 2,591,900 4,783,711
MIDEA GROUP CO
LIMITED A SHR ORD
NPV 5,419,480 1,169,555 - 2,737,500 3,851,535
MUYUAN FOODSTUFF CO
LTD A SHS ORD CNY1 1,500,996 462,858 742,527 871,900 1,834,481
NEW CHINA LIFE
INSURANCE CO LTD A
SHRS ORD NPV 1,709,058 1,083,370 - 2,792,428 -
PETROCHINA CO LTD A
SHRS CNY1 10,553,038 5,582,000 - 5,392,600 10,742,438
PING AN BANK CO LTD A
SHR ORD CNY1 21,247,966 4,050,797 - 10,319,500 14,979,263
PING AN INSURANCE
(GROUP) CO OF CHINA
LTD A SHR ORD CNY1 23,004,246 5,811,249 - 12,124,800 16,690,695
POLY DEVELOPMENTS
AND HOLDINGS GROUP
CO LTD A SHR ORD
CNY1 17,866,497 3,419,383 - 8,650,500 12,635,380
S F HOLDING CO LTD A
SHRS ORD CNY1 1,854,883 289,700 - 838,100 1,306,483
SAIC MOTOR CORP LTD A
SHR ORD CNY1 7,063,783 1,675,082 - 3,759,100 4,979,765
25
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
STATEMENT OF MOVEMENTS IN INVESTMENT PORTFOLIO (Unaudited) (Continued)
For the period ended 30 June 2020
Holdings
Corporate
1 January 2020 Additions actions Disposals 30 June 2020
Investments and derivative financial instruments (Continued)
Investments (Continued)
Listed equities (Continued)
SHANGHAI
INTERNATIONAL
AIRPORT CO LTD A SHR
ORD CNY1 1,507,011 892,100 - 2,399,111 -
SHANGHAI
INTERNATIONAL PORT
GR LTD A SHR ORD CNY
1 7,859,657 5,015,099 - 12,874,756 -
SHANGHAI PUDONG
DEVELOPMENT BANK
CO LTD A SHR ORD
CNY1 37,494,613 7,286,093 - 18,347,800 26,432,906
SHENZHEN MINDRAY BIO
MEDICAL
ELECTRONICS CO LTD
A SHS ORD CNY1 666,883 436,643 - 633,400 470,126
WENS FOODSTUFF
GROUP CO LTD A SHRS
ORD CNY1 1,108,111 136,925 153,727 461,700 937,063
WILL SEMICONDUCTOR
LTD A SHS ORD CNY1 - 610,400 - 299,800 310,600
WULIANGYE YIBIN CO
LTD A SHS ORD CNY1 4,589,030 979,462 - 2,266,000 3,302,492
WUXI APPTEC CO LTD A
SHS ORD CNY1 - 457,200 - 76,200 381,000
ZTE CORPORATION A
SHR ORD CNY1 - 7,728,817 - 3,777,100 3,951,717
Derivative financial instruments
Unlisted funded total return swap
CHINA PACIFIC
INSURANCE GR-A
(FUNDED TOTAL
RETURN SWAP) - 4,400,000 - - 4,400,000
26
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
DETAILS IN RESPECT OF FINANCIAL DERIVATIVE INSTRUMENTS (Unaudited)
As at 30 June 2020
Unlisted funded total return swap (1.10%)
The details of unlisted funded total return swap held by the Sub-Fund as at 30 June 2020 are as follows.
Underlying
assets Counterparty Fair value
RMB
Financial assets:
China Pacific
CHINA PACIFIC INSURANCE GR-A Insurance
(FUNDED TOTAL RETURN SWAP) Group A UBS AG London 119,900,000
27
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
HOLDINGS OF COLLATERAL (Unaudited)
As at 30 June 2020
% of net Value of
Nature of asset value the
Collateral the Credit Rating Currency covered by collateral
provider collateral rating agencies Maturity tenor denomination collateral RMB
Government
UBS bond Aaa Moody’s 31 Oct 2021 USD 0.46% 50,506,376
Government
UBS bond Aaa Moody’s 30 Nov 2022 USD 0.63% 68,819,641
_________ __________
1.09% 119,326,017
======== =========
Custody/safe-keeping arrangement
Amount of Proportion of
collateral collateral posted
received/held by the sub- fund
30 June 2020 30 June 2020
RMB %
Custodians of collateral
Pooled accounts
The Hongkong and Shanghai Banking Corporation Limited, Hong Kong 119,326,017 100.00
========= =========
28
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
PERFORMANCE RECORD (Unaudited)
Net asset value
Dealing net asset value Dealing net asset value
of the Sub-Fund * per unit
RMB RMB
At the end of financial period/year dated
30 June 2020 10,882,565,274 13.3610
31 December 2019 15,603,321,276 13.6931
31 December 2018 15,698,178,722 10.0372
Highest and lowest net asset value per unit
Highest net asset value Lowest net asset value
per unit per unit
RMB RMB
Financial period/year ended
30 June 2020 13.8983 11.3679
31 December 2019 13.9976 9.9063
31 December 2018 14.5348 9.9521
31 December 2017 13.9003 9.9773
31 December 2016 10.8850 8.5007
31 December 2015 15.0028 8.6763
31 December 2014 11.3976 6.3961
31 December 2013 9.1469 6.8307
31 December 2012 (since 23 August 2012 (date of
inception)) 8.2890 6.9571
*The dealing net asset value of the Sub-Fund disclosed is calculated in accordance with the Trust's Prospectus.
29
CSOP FTSE CHINA A50 ETF
(A SUB-FUND OF CSOP ETF SERIES)
MANAGEMENT AND ADMINISTRATION
Manager and RQFII Holder Directors of the Manager
CSOP Asset Management Limited Chen Ding
Suite 2801 - 2803, Two Exchange Square Gaobo Zhang
8 Connaught Place Xiaosong Yang
Central Xiuyan Liu
Hong Kong Yi Zhou
Zhiwei Liu
Trustee and Registrar Zhongping Cai
HSBC Institutional Trust Services (Asia) Limited
1 Queen’s Road Central
Hong Kong
Legal Adviser to the Manager
Adviser Simmons & Simmons
China Southern Fund Management Co. Limited 30th Floor, One Taikoo Place
33rd Floor, Duty-Free Business Building, 979 King’s Road
6 Fuhua 1st Rd, Futian CBD, Hong Kong
Shenzhen, China 518048
Custodian Auditor
The Hongkong and Shanghai Banking Corporation PricewaterhouseCoopers
Limited Certified Public Accountants
1 Queen’s Road Central Registered Public Interest Entity Auditor
Hong Kong 22/F Prince’s Building
Central
PRC Custodian Hong Kong
HSBC Bank (China) Company Limited
33rd Floor, HSBC Building,
Shanghai ifc, 8 Century Avenue,
Pudong, Shanghai, China 200120
Service Agent
HK Conversion Agency Services Limited
1st Floor, One & Two Exchange Square
8 Connaught Place
Central, Hong Kong
Listing Agent
Altus Capital Limited,
21 Wing Wo Street,
Central,
Hong Kong
30
www.csopasset.com
Telephone: (852) 3406 5688
2801-2803, Two Exchange Square, 8 Connaught Place, Central, Hong Kong