2022-04-29-港交所-Ａ南方人民币_Ａ南方人民币－Ｒ_截至二零二一年十二月三十一日止的经审核账目_42页_1mb

CSOP RMB Money Market ETF Summary

Core Information

• Fund Name: CSOP RMB Money Market ETF
• Series: CSOP ETF Series II
• Type: Passive Exchange Traded Fund (ETF)
• Benchmark: 7-Day Fixing Repo Rate (FR007)
• Inception Date: 16 January 2015
• Stock Codes:
  • RMB Counter: 83122
  • HKD Counter: 03122
• Report Period: Year ended 31 December 2021
• Auditor: PricewaterhouseCoopers
• Audit Date: 28 April 2022

Investment Objective

The Sub-Fund aims to provide investment results that closely correspond to the performance of the Benchmark (FR007) before deduction of fees and expenses. It invests in RMB-denominated and settled short-term deposits and high-quality money market instruments, including onshore and offshore debt securities, Treasury Bonds, Policy Bank Bonds, and commercial papers.

Key Financial Performance

• Dealing NAV per unit (as of 31 December 2021): RMB 157.3663
• Total Units Outstanding: 1,065,000
• Total Assets Under Management (AUM): Approximately RMB 171.8 million
• Performance for the Year: 2.04%
• Performance Difference: Mainly due to fees and expenses

Key Audit Matters

• Existence of Short-Term Deposits:
  • As of 31 December 2021, the Sub-Fund held short-term deposits totaling RMB 171,500,000, which are classified as "Cash and cash equivalents" and measured at amortised cost.
  • The auditor confirmed the existence of these deposits through direct confirmations from banks.
  • No material exceptions were found during testing.

Financial Statements Overview

Statement of Financial Position (As at 31 December 2021)

Statement of Comprehensive Income

Statement of Changes in Net Assets Attributable to Unitholders

Statement of Cash Flows

Notes to Financial Statements

1. General Information

• The Sub-Fund is a sub-fund of CSOP ETF Series II, an umbrella unit trust.
• It is governed by the Trust Deed dated 20 January 2014, as amended.
• The Trust is authorised by the Hong Kong Securities and Futures Commission (SFC).
• The Sub-Fund is listed on The Stock Exchange of Hong Kong Limited.

2. Significant Accounting Policies

• Basis of Preparation: Financial statements are prepared in accordance with IFRS.
• Investments:
  • Classified based on the Sub-Fund’s business model and the contractual cash flow characteristics of the financial assets.
  • All investments are measured at fair value through profit or loss.
  • Transaction costs are expensed as incurred.
  • Fair value is based on quoted market prices for active market instruments.
• Changes in Investment Strategy:
  • In early 2020, the Sub-Fund shifted from onshore negotiable certificates of deposit (NCDs) to offshore RMB time deposits due to increased volatility in onshore NCDs and operational difficulties during the pandemic.
  • This change represents a deviation from the investment strategy disclosed in the offering documents.

Audit and Management Responsibilities

• The Manager is responsible for preparing financial statements that give a true and fair view in accordance with IFRS.
• The Trustee ensures the Sub-Fund is managed in accordance with the Trust Deed and is responsible for safeguarding the Sub-Fund’s assets.
• The auditor confirmed that the financial statements are free from material misstatement and give a true and fair view.
• The auditor focused on the existence of short-term deposits, which form the principal element of the Sub-Fund’s net asset value.
• The auditor found no material exceptions during testing.

Summary of Key Audit Matters

• Existence of Short-Term Deposits:
  • The auditor confirmed the existence of short-term deposits through direct bank confirmations.
  • These deposits are classified as "Cash and cash equivalents" and measured at amortised cost.

Conclusion

The CSOP RMB Money Market ETF performed well in the year ended 31 December 2021, with a dealing NAV increase of 2.04%. The financial statements were approved and signed by the Manager and Trustee on 28 April 2022, and the auditor confirmed their accuracy and compliance with IFRS. The Sub-Fund’s investment strategy was adjusted in early 2020 due to market volatility and operational constraints, leading to a shift to offshore RMB time deposits.