2023-08-31-港交所-Ａ南方美元_Ａ南方美元－Ｕ_截至二零二三年六月三十日止的未经审核中期报告_29页_655kb

报告摘要

Fund Name: CSOP US Dollar Money Market ETF
Sub-Fund of: CSOP ETF Series* (*This includes synthetic ETFs)
Established: 23 January 2019
Listing: Listed on The Stock Exchange of Hong Kong Limited (SEHK) with stock codes 9096 (USD counter) and 3096 (HKD counter), and unlisted class A launched on 8 March 2019
Manager: CSOP Asset Management Limited
Trustee: HSBC Institutional Trust Services (Asia) Limited
Investment Objective: To invest in short-term deposits and high-quality money market investments, aiming to achieve returns in US Dollars aligned with prevailing money market rates

The fund primarily invests in US Dollar-denominated and settled short-term deposits and money market instruments issued by Eligible Financial Institutions (including their group companies) and debt securities issued by governments, quasi-governments, international organizations, and financial institutions.
At least 70% of the fund’s assets are allocated to USD-denominated short-term deposits and money market instruments.
No more than 30% of the fund’s net asset value (NAV) is invested in non-USD-denominated short-term deposits and money market instruments.
The fund may hedge non-USD investments into USD to manage currency risk.
The fund may invest up to 10% in Hong Kong-authorized money market funds or equivalents in other jurisdictions.
The fund may also invest up to 15% in asset-backed commercial papers (ABCP).
The fund may engage in reverse repurchase transactions up to 20% of its NAV, with a maximum of 15% in any single counterparty.
The fund does not invest in instruments with loss-absorption features such as contingent convertible bonds.
The fund may invest in emerging markets, but not more than 30% of its NAV.

Dealing NAV per unit (USD) as of 30 June 2023:
- Listed class: 107.2244
- Unlisted class A: 1.0723
Total assets under management (AUM) as of 30 June 2023: ~USD439 million
Performance for the period ended 30 June 2023:
- Listed class: 2.57%
- Unlisted class A: 2.56%
Performance for the period ended 30 June 2022:
- Listed class: ~2.56%
- Unlisted class A: ~2.56%

Listed class units:
- Outstanding at 30 June 2023: 1,076,000 units
- Outstanding at 30 June 2022: 1,075,000 units
Unlisted class A units:
- Outstanding at 30 June 2023: 302,065,596 units
- Outstanding at 30 June 2022: 110,218,530 units
Net increase in units for the period ended 30 June 2023:
- Listed class: +121,287,417 USD
- Unlisted class A: +9,537,515 USD

Total assets (USD) as of 30 June 2023: 439,418,630
Total liabilities (USD) as of 30 June 2023: 134,584
Net assets attributable to unitholders (USD) as of 30 June 2023: 439,284,046
Total assets (USD) as of 31 December 2022: 308,561,967
Total liabilities (USD) as of 31 December 2022: 102,853
Net assets attributable to unitholders (USD) as of 31 December 2022: 308,459,114

Condensed Statement of Comprehensive Income:
- Total net income for the period ended 30 June 2023: USD10,200,195
- Total operating expenses: USD662,680
- Increase in net assets attributable to unitholders: USD9,537,515
Condensed Statement of Cash Flows:
- Net cash generated from operating activities: USD(92,370,718)
- Net cash generated from financing activities: USD121,287,417
- Net increase in cash and cash equivalents: USD28,916,699
- Cash and cash equivalents at the end of the period: USD188,267,559

The fund is exposed to market risk, interest rate risk, credit risk, and liquidity risk.
Market price risk is the risk of fluctuation in the value of financial instruments due to market changes.
Interest rate risk arises from fluctuations in market interest rates, affecting the fair value of the fund’s assets and future cash flows.
Credit and counterparty risk is managed by investing in high-quality instruments and limiting exposure to a single counterparty.
The fund’s interest rate sensitivity gap is summarized by maturity periods:
- Maturity less than 1 month: USD135,665,473
- Maturity between 1-3 months: USD74,600,000
- Maturity over 3 months: USD226,000,000
- Non-interest bearing: USD3,153,157

Management fee: 0.35% per annum of the net asset value, payable monthly in arrears.
Trustee fee and Registrar’s fee: Included in the management fee.
Investments with related parties:
- As of 30 June 2023: USD31,997,914 in debt securities issued by Huatai International Financial Limited (a connected person of the Manager).
Bank balances with related parties:
- As of 30 June 2023: USD475,273 with HSBC.
Interest income from related parties:
- For the period ended 30 June 2023: USD1,627,732
- For the period ended 30 June 2022: USD8

The fund is exempt from Hong Kong profits tax under Section 26A(1A) of the Hong Kong Inland Revenue Ordinance.
No tax expenses were incurred for the periods ended 30 June 2023 and 2022.

The fund is a synthetic ETF and unit trust authorized under Hong Kong law.
It focuses on short-term, high-quality USD-denominated investments.
The fund has two classes of units: listed class (stock codes 9096 and 3096) and unlisted class A.
The fund's NAV increased by 2.57% and 2.56% for the periods ended 30 June 2023.
The fund is subject to interest rate risk, market risk, and liquidity risk, with risk management strategies in place.
The fund maintains a high level of liquidity and adheres to strict investment policies.
The fund has a significant portion of its assets held with the Trustee and connected persons.