2024-08-30-港交所-工银南方国债_工银南方国债－Ｒ_截至二零二四年六月三十日止的未经审核中期报告_18页_489kb

ICBC CSOP FTSE Chinese Government and Policy Bank Bond Index ETF (Sub-Fund II) Analysis

1. Fund Objective & Strategy:

   • This ETF tracks the performance of the FTSE Chinese Government and Policy Bank Bond Index before fees and expenses.
   • Investment targets RMB-denominated fixed-rate bonds issued by the Ministry of Finance and China’s policy banks (Agricultural Development Bank of China, China Development Bank, Export-Import Bank of China) via QFI status or Bond Connect.

2. Performance:

   • For the period ended June 28, 2024：
     • Listed class NAV: RMB 105.4996 (up 3.37%).
     • Index performance was 3.48%. The difference is attributed to fees and expenses.
     • 1-Year Rolling Tracking Error: 0.07%.
   • YTD (2024): Listed Class NAV increased by 3.37% before dividends.

3. Assets Under Management:

   • Total assets of the Sub-Fund were ~RMB 4.7 billion.
   • Outstanding units: 44.26m (listed), 0.116m (Unlisted A), 4.35m (Unlisted P).

4. Investment Portfolio:

   • Allocation: Primarily consists of bonds with maturities ranging from short-term (e.g., 2025) to 30 years (e.g., 2030–2051). The portfolio predominantly holds bonds issued by China’s policy banks and government bonds.
   • Key Holdings (as of June 30, 2024):
     • Agricultural Development Bank of China: ~30 bonds, RMB 300 million aggregate value.
     • China Development Bank: ~30 bonds, RMB 750 million.
     • Export-Import Bank of China: ~10 bonds, RMB 150 million.
     • Government Bonds: Over 20 issues tracked, with varying maturities.

5. Financial Highlights:

   • June 30, 2024 NAV：
     • Listed Class: RMB 105.4996.
     • Unlisted Class A: RMB 7.6054.
     • Unlisted Class P: RMB 7.6198.
   • NAV Fluctuations:
     • June:NAV ranged from RMB 103.13 (lowest) for listed class to RMB7.353 (lowest for unlisted A).
     • Performance vs. Index: The Portfolio consistently underperformed the index marginally due to fees/expenses.

6. Dividends (Distributions):

   • In January/April 2024, the listed class paid distributions totaling RMB 0.90 per unit each (2 payments).

7. Cost Summary:

   • Management Fee: Charged by the Manager (typically standard industry rates not detailed here).
   • Tracking Gap: Performance gap is minimal (0.11%), but fees (management fees, custody fees) continue to impact returns.

8. Portfolio Turnover:

   • High-frequency trading indicated by turnover ratio (Revenue in bond sales was high, reflecting frequent rebalancing).

In summary, the portfolio maintains a diversified position across government and policy bank bonds with moderate duration exposure. Performance is in-line with the index, though factors like taxes and fees slightly detract from returns.