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CSOP FTSE US Treasury 20+ Years Index ETF (3433) 2024 Year-End Analysis

• Financial Performance

  • Total assets: US$78.9 million
  • Listed Class: Deals NAV/Unit: HKD$8.8633 / USD$9.3551, Down ~6.4%
  • AUM: 8.35M HKD-counter units, 524.248K class A units

• Key Numbers
  $$
  \begin{array}{|c|c|c|}
  \hline
  \text{Metric} & \text{Listed Class} & \text{Unlisted Class A} \
  \hline
  \text{NAV per unit} & \text{USD }8.8633 & \text{USD }9.3551 \
  \hline
  \text{Total units} & \text{} & \text{524,248} \
  \hline
  \text{Since inception (1/9/24)} & \Downarrow & \Downarrow \
  \text{NAV change} & \text{-5.88%} & \text{-5.86%} \
  \text{ } & \text{ } & \text{ } \
  \hline
  \end{array}
  $$

• Operations

  • Tracking error: Caused by fees (est. ~0.28pp)
  • Annual effective duration: 16.10
  • Net asset value movements: Adjustments for establishment costs may impact yield assumptions

• Structure

  • Under CSOP ETF Series II UCITS fund with listing on HKEX
  • Manager: CSOP Asset Management, Trustee: HSBC IFS (Asia)

• Noted Items

  1. Fee structure incurs quarterly dividends offsetting gains
  2. Unlisted class trades at about 5% premium (pricing inertia till 2025)
  3. Regulation-compliant under Hong Kong SFC Code
  4. Primarily US Treasury 20+yr bond replication (98.5% allocation to quoted debt)

• Risk Profile

  • Interest rate risk: Sensitivity to 50bp curve changes (-/+~USD6.3M impact)
  • Cash flow stability strengthened by portfolio liquidity reserves
  • Counterparty exposure low due to HSBC custodian predominance

• Actions/Disclosure

  • Unlisted class redemption capped at 10% daily
  • Class A offers higher NAV due to secondary market dynamics
  • No soft commissions detected in brokerage
  • Professional accountant audits completed (PWC final statement 23 Apr 2025)