ABF Malaysia Bond Index Fund

Transcription

Annual Report for
31 December 2015
Annual Report
31 December 2015
TRUST DIRECTORY
Manager
AmFunds Management Berhad
(formerly known as AmInvestment Services Berhad)
9th & 10th Floor, Bangunan AmBank Group
55 Jalan Raja Chulan
50200 Kuala Lumpur
Board of Directors
Pushparani a/p Moothathamby
Mustafa Mohd Nor
Tai Terk Lin
Datin Maznah Mahbob
Sum Leng Kuang
Investment Committee
Sum Leng Kuang
Tai Terk Lin
Mustafa Mohd Nor
Dr. Frank Richard Ashe
Datin Maznah Mahbob
Trustee
HSBC (Malaysia) Trustee Berhad
Auditors and Reporting Accountants
Ernst & Young
Taxation Adviser
Deloitte Tax Services Sdn Bhd
CORPORATE DIRECTORY
Registered Office
22nd Floor, Bangunan AmBank Group
55, Jalan Raja Chulan, 50200 Kuala Lumpur
Tel:03-2036 2633 Fax: 03-2032 1914
Head Office
9th & 10th Floor, Bangunan AmBank Group
Tel:03-2036 2888 Fax: 03-2031 5210
Secretary
Koh Suet Peng (MAICSA 7019861)
Hafidzah Binti Zakaria (MAICSA 7052802)
HSBC (Malaysia) Trustee Berhad
Business/Registered Office/Head Office
Fund Services, Bangunan HSBC, 13th Floor, South Tower
No.2, Leboh Ampang, 50100 Kuala Lumpur
Tel: 03-2075 7800 Fax: 03-2026 1273
CONTENTS
1
Manager‟s Report
14
Additional Information
27
Independent Auditor‟s Report to the Unitholders
29
Statement of Financial Position
30
Statement of Comprehensive Income
31
Statement of Changes in Equity
32
Statement of Cash Flows
33
Notes to the Financial Statements
55
Statement by Manager
56
Trustee‟s Report
57
Directory
MANAGER’S REPORT
Dear Unitholders,
We are pleased to present you the Manager‟s report and the audited accounts of ABF Malaysia Bond
Index Fund (“Fund”) for the financial year ended 31 December 2015.
Salient Information of the Fund
Name
ABF Malaysia Bond Index Fund (“Fund”)
Category/
Type
Fixed Income ETF/ Income
Objective
A listed bond fund that is passively managed against the given benchmark and the
returns will be expected to correspond closely to the performance of the benchmark
index.
Note : Any material change to the Fund’s investment objective will require the
unitholders’ approval by way of special resolution.
Index
Component
Details of the index component as at 30 September 2015 are as follows:
Code
UI120008
UN070014
MN070002
MG140002
GN070008
VJ110196
GJ120009
ML100002
UK100107
MJ120005
GH140001
VK110024
Coupon
%
Issuer
The ExportImport Bank of
Korea
Asian
Development
Bank
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Pengurusan Air
SPV Berhad
Government of
Malaysia
Government of
Malaysia
Cagamas Berhad
Government of
Malaysia
Government of
Malaysia
GovCo Holdings
Berhad
(Forward)
1
Final
Maturity
Notional
Amount (RM)
4.070
02 February 2017
500,000,000
4.000
08 February 2017
500,000,000
3.814
15 February 2017
8,750,000,000
3.394
15 March 2017
10,500,000,000
3.941
15 June 2017
3,000,000,000
3.980
16 June 2017
1,500,000,000
3.309
30 August 2017
9,500,000,000
4.012 15 September 2017
3.980
20 October 2017
14,000,000,000
1,000,000,000
3.314
31 October 2017
13,500,000,000
3.678
23 November 2017
7,500,000,000
4.070
23 February 2018
1,500,000,000
Code
MI130002
UN080007
GG150005
VK110197
GL110001
MK110005
GN080031
GJ130055
VI140030
VI140036
MH150005
GJ130070
MS04003H
GO090001
GL120021
MJ140004
MO090002
ML120006
GO090061
GL120098
GN100021
MK130006
GJ150002
Coupon
%
Issuer
Government of
Malaysia
The Export-Import
Bank of Korea
Government of
Malaysia
Pengurusan Air
SPV Berhad
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Pengurusan Air
SPV Berhad
Syarikat Prasarana
Negara Berhad
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
(Forward)
2
Final
Maturity
Notional
Amount (RM)
3.260
1 March 2018
8,786,560,000
4.500
12 March 2018
500,000,000
3.508
15 May 2018
7,500,000,000
4.040
15 June 2018
1,500,000,000
3.872
30 August 2018
6,500,000,000
3.580
28 September 2018
11,440,000,000
4.295
31 October 2018
7,500,000,000
3.399
30 November 2018
4,000,000,000
4.160
7 February 2019
1,000,000,000
4.080
12 March 2019
1,500,000,000
3.759
15 March 2019
4,177,897,000
3.558
30 April 2019
10,000,000,000
5.734
30 July 2019
7,315,545,000
3.910
13 August 2019
3,500,000,000
3.704
30 September 2019
8,000,000,000
3.654
31 October 2019
11,800,000,000
4.378
29 November 2019
17,119,000,000
3.492
31 March 2020
11,000,000,000
4.492
30 April 2020
3,500,000,000
3.576
15 May 2020
11,000,000,000
4.284
15 June 2020
5,500,000,000
3.889
31 July 2020
7,973,060,000
3.799
27 August 2020
10,000,000,000
Code
VI150192
MJ150003
GN100060
VK110023
DK140001
GL130069
GN110025
MO110001
VK140222
ML140003
VN120202
GL150001
MO120001
DN120017
ML150002
GO120037
VN130068
MN130003
DS081080
GO130033
DS090052
VN140090
Coupon
%
Issuer
Pengurusan Air SPV
Berhad
Government of
Malaysia
Government of
Malaysia
GovCo Holdings
Berhad
Khazanah Nasional
Berhad
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Bank Pembangunan
Malaysia Berhad
Government of
Malaysia
Perbadanan Tabung
Pendidikan Tinggi
Nasional
Government of
Malaysia
Government of
Malaysia
Khazanah Nasional
Berhad
Government of
Malaysia
Government of
Malaysia
Turus Pesawat Sdn
Bhd
Government of
Malaysia
Khazanah Nasional
Berhad
Government of
Malaysia
Khazanah Nasional
Berhad
Perbadanan Tabung
Pendidikan Tinggi
Nasional
(Forward)
3
Final
Maturity
4.280 28 September 2020
3.659
15 October 2020
Notional
Amount (RM)
700,000,000
11,742,134,000
3.998 30 November 2020
3,000,000,000
4.450
23 February 2021
1,500,000,000
-
24 February 2021
1,300,000,000
3.716
23 March 2021
9,500,000,000
4.170
30 April 2021
10,000,000,000
4.160
15 July 2021
10,500,000,000
4.190 10 September 2021
700,000,000
4.048 30 September 2021
11,700,000,000
3.850
15 June 2022
2,500,000,000
4.194
15 July 2022
10,000,000,000
3.418
15 August 2022
10,500,000,000
2 September 2022
1,500,000,000
3.795 30 September 2022
11,000,000,000
3.699 15 November 2022
8,500,000,000
-
3.770
3 February 2023
500,000,000
3.480
15 March 2023
11,420,000,000
0.000
14 August 2023
2,000,000,000
3.493
31 October 2023
4,000,000,000
-
20 March 2024
1,500,000,000
4.670
28 March 2024
1,800,000,000
Code
Issuer
GO130071
Government of
Malaysia
Government of
Malaysia
Bank Pembangunan
Malaysia Berhad
Perbadanan Tabung
Pendidikan Tinggi
Nasional
Jambatan Kedua Sdn
Bhd
Government of
Malaysia
Government of
Malaysia
Pengurusan Air SPV
Berhad
Government of
Malaysia
Bank Pembangunan
Malaysia Berhad
Government of
Malaysia
Syarikat Prasarana
Negara Berhad
Perbadanan Tabung
Pendidikan Tinggi
Nasional
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Syarikat Prasarana
Negara Berhad
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Government of
Malaysia
Bank Pembangunan
Malaysia Berhad
MO140001
VN140223
VN140396
VN150103
MY050003
MO150001
VN150193
GO150004
PZ00197S
MS110003
VS110260
VP140207
MX060002
MS120002
MX070003
GS120059
PS120074
MS130005
GT130001
MX080003
GS130072
VS140224
(Forward)
4
Coupon
%
Final
Maturity
Notional
Amount (RM)
4.444
22 May 2024
12,500,000,000
4.181
15 July 2024
11,020,000,000
4.380 12 September 2024
500,000,000
4.550
20 December 2024
700,000,000
4.300
28 May 2025
1,300,000,000
4.837
15 July 2025
3,000,000,000
3.955 15 September 2025
13,672,200,000
4.630 26 September 2025
860,000,000
3.990
15 October 2025
10,500,000,000
7.500
30 October 2025
500,000,000
4.392
15 April 2026
10,574,330,000
4.350
4 August 2026
1,200,000,000
4.530
27 August 2026
500,000,000
4.709 15 September 2026
3,110,000,000
3.892
15 March 2027
5,500,000,000
3.502
31 May 2027
6,000,000,000
3.899
15 June 2027
5,000,000,000
4.000
6 September 2027
1,000,000,000
3.733
15 June 2028
5,000,000,000
3.871
8 August 2028
3,000,000,000
5.248 15 September 2028
5,040,000,000
4.943
5,000,000,000
6 December 2028
4.750 12 September 2029
900,000,000
Coupon
%
Code
Issuer
VX090825
Syarikat Prasarana
Negara Berhad
Perbadanan Tabung
Pendidikan Tinggi
Nasional
Syarikat Prasarana
Negara Berhad
Malaysia
Government Bond
Jambatan Kedua Sdn
Bhd
Malaysia
Government Bond
Malaysia
Government Bond
Khazanah Nasional
Berhad
Malaysia
Government Bond
Malaysia
Government
Investment Issue
DanaInfra Nasional
Berhad
Bank Pembangunan
Malaysia Berhad
Malaysia
Government Bond
1Malaysia
Development Bhd
1Malaysia
Development Bhd
1Malaysia
Development Bhd
1Malaysia
Development Bhd
1Malaysia
Development Bhd
DanaInfra Nasional
Berhad
DanaInfra Nasional
Berhad
Malaysia
Government Bond
DanaInfra Nasional
Berhad
DanaInfra Nasional
Berhad
VS150025
VS150043
MX100003
VS150043
MX110004
MX120004
DX120016
MX130004
GX130068
VX130278
VX140225
MY150004
VZ090248
VZ090241
VZ090245
VZ090246
VZ090247
VZ150047
VZ150257
MZ130007
VZ150046
VZ150258
(Source: Markit Indices Limited)
5
Final
Maturity
5.070 28 September 2029
Notional
Amount (RM)
1,500,000,000
4.630
12 February 2030
4.640
22 March 2030
1,100,000,000
4.498
15 April 2030
12,770,000,000
4.520
28 May 2030
700,000,000
4.232
30 June 2031
3,750,000,000
4.127
15 April 2032
5,500,000,000
3 September 2032
1,000,000,000
3.844
15 April 2033
4,500,000,000
4.582
30 August 2033
4,000,000,000
4.800
31 October 2033
900,000,000
-
4.850 12 September 2034
500,000,000
900,000,000
4.254
31 May 2035
2,661,000,000
5.750
27 May 2039
650,000,000
5.750
27 May 2039
600,000,000
5.750
27 May 2039
650,000,000
5.750
27 May 2039
650,000,000
5.750
27 May 2039
650,000,000
4.950
6 April 2040
1,000,000,000
5.040 12 November 2040
800,000,000
4.935 30 September 2043
6,500,000,000
5.050
1,000,000,000
6 April 2045
5.150 10 November 2045
800,000,000
Duration
The Fund was established on 12 July 2005 and shall exist for as long as it appears to
the Manager and the Trustee that it is in the interests of the unitholders for it to
continue. In some circumstances, the unitholders can resolve at a meeting to terminate
the Fund.
Performance iBoxx® ABF Malaysia Bond Index
Benchmark
Income
Distribution
Policy
Income distribution (if any) will be paid semi-annually.
Breakdown
of Unit
Holdings by
Size
For the financial year under review, the size of the Fund stood at 1,265,421,800 units.
Size of holding
Less than 100
100 – 1,000
1,001 -10,000
10,001 – 100,000
100,001 to less than
5% of issue units
5% and above of
issue units
As at
31 December 2015
No of
Number of
units held
unitholders
200
5
8,400
21
43,100
11
38,500
3
As at
31 December 2014
No of
Number of
units held
unitholders
200
5
7,900
17
32,200
8
27,000
2
5,158,730
5
6,096,630
6
1,260,172,870
3
654,257,870
1
Fund Performance Data
Details of portfolio composition of the Fund for the financial years as at 31 December
Portfolio
Composition are as follows:
FY
2015*
%
Corporate bonds
Malaysian Government
Securities
Quasi-Government bonds
Cash and others
Total
FY
2014*
%
FY
2013*
%
0.76
1.48
-
90.57
6.46
2.21
100.00
78.21
20.77
(0.46)
100.00
92.21
8.49
(0.70)
100.00
Note:
*The abovementioned percentages are calculated based on total net asset value.
Previously, the percentages were calculated based on total investment market value
plus cash. In line with this change, the abovementioned percentages for FY2013 and
FY2014 have been restated accordingly.
6
Performance Performance details of the Fund for the for the financial years ended 31 December are
as follows:
Details
FY
2015
Net asset value
(RM)
Units in circulation
Net asset value per
unit (RM)
Highest net asset
value per unit
(RM)
Lowest net asset
value per unit
(RM)
Closing quoted
price (RM/unit)
Highest quoted
price (RM/unit)
Lowest quoted
price (RM/unit)
Benchmark
performance (%)
Total return (%)(1)
- Capital growth
(%)
- Income
distribution (%)
Gross distribution
(sen per unit)
Net distribution
(sen per unit)
Distribution yield
(%)(2)
Management
expense ratio
(%)(3)
Portfolio turnover
ratio (times)(4)
FY
2014
FY
2013
1,341,876,193
1,265,421,800
685,894,438
660,421,800
684,340,987
647,421,800
1.0604
1.0386
1.0570
1.0655
1.0841
1.1136
1.0323
1.0355
1.0553
1.0520
1.0350
1.0970
1.0680
1.0840
1.1030
1.0300
1.0350
1.0840
4.12
3.74
3.79
3.98
0.85
0.36
2.12
-1.70
-2.86
1.62
5.68
3.22
1.68
6.00
3.50
1.68
6.00
3.50
1.60
5.80
3.19
0.16
0.18
0.19
0.74
0.66
0.23
* Above price and net asset value per unit are not shown as ex-distribution.
Note:
(1) Total return is the actual/annualised return of the Fund for the respective financial
years computed based on the net asset value per unit and net of all fees.
(2) Distribution yield is calculated based on the total distribution for the respective
financial years divided by the closing quoted price.
(3) Management expense ratio (“MER”) is calculated based on the total fees and
expenses incurred by the Fund divided by the average fund size calculated on a
daily basis. The MER decreased by 0.02% as compared to 0.18% per annum for
the financial year ended 31 December 2014 mainly due to decrease in expense.
7
(4) Portfolio turnover ratio (“PTR”) is calculated based on the average of the total
acquisitions and total disposals of investment securities of the Fund divided by the
average fund size calculated on a daily basis. The PTR increased by 0.08 times
(12.12%) as compared to 0.66 times for the financial year ended 31 December
2014 mainly due to increase in investing activities.
Average Total Return (as at 31 December 2015)
One year
Three years
Five years
Ten years
ABFMY1(a)
%
3.74
2.68
3.28
3.63
iBoxx Index(b)
%
4.12
2.91
3.55
3.83
ABFMY1(a)
%
3.74
3.98
0.36
3.80
4.57
iBoxx Index(b)
%
4.12
3.79
0.85
4.18
4.85
Annual Total Return
Financial Years Ended
(31 December)
2015
2014
2013
2012
2011
(a) Independently verified by Novagni Analytics and Advisory Sdn Bhd.
(b) iBoxx ABF Malaysia Index (“iBoxx Index”) (Obtainable from www.aminvest.com)
The Fund performance is calculated based on the net asset value per unit of the Fund.
Average total return of the Fund and its benchmark for a period is computed based on
the absolute return for that period annualised over one year.
Note: Past performance is not necessarily indicative of future performance and
that unit prices and investment returns may go down, as well as up.
For the financial year under review, the Fund registered a return of 3.74% comprising
Fund
Performance of 2.12% capital growth and 1.62% income distribution.
Thus, the Fund‟s return of 3.74% has underperformed the benchmark‟s return of 4.12%
by 0.38%.
As compared with the financial year ended 31 December 2014, the net asset value
(“NAV”) per unit of the Fund increased by 2.10% from RM1.0386 to RM1.0604, while
units in circulation while units in circulations increased by 91.61% from 660,421,800
units to 1,265,421,800 units.
The closing price quoted at Bursa Malaysia of the Fund increased by 1.64% from
RM1.0350 to RM1.0520.
(Forward)
8
The line chart below shows the comparison between the annual performance of
ABFMY1 and its benchmark, iBoxx® Index, for the financial years ended 31
December.
Note: Past performance is not necessarily indicative of future performance and
that unit prices and investment returns may go down, as well as up.
Has the Fund For the financial year under review, the Fund has met its objective of tracking the
achieved its performance of the given benchmark through passive management.
objective?
Strategies
and Policies
Employed
For the financial year under review, the Fund used a passive strategy whereby the
Manager aims, by way of representative sampling, to achieve a return on the Fund
Assets that closely tracks the returns of the benchmark index.
Portfolio
Structure
This table below is the asset allocation of the Fund for the financial years under review.
As at
31-12-2015
%
Corporate bonds (low risk asset as
accorded by Bank Negara Malaysia)
Malaysian Government Securities
Quasi-Government bonds (low risk asset
as accorded by Bank Negara Malaysia)
Cash and others
Total
As at
31-12-2014
%
Changes
%
0.76
90.57
1.48
78.21
-0.72
12.36
6.46
2.21
100.00
20.77
(0.46)
100.00
-14.31
2.67
For the financial year under review, the fund invested 97.79% in fixed income
securities while the balance of 2.21% was held in cash.
9
Distribution/ During the financial year under review, the Fund declared income distributions,
detailed as follows:
unit splits
1.68 sen per
unit income
distribution
Change in the unit
price prior and
subsequent to the
income distribution
Net asset value per unit
Before income
distribution on
15 June 2015
(RM)
1.0616
After income
distribution on
15 June 2015
(RM)
1.0448
There was no unit split declared for the financial year under review.
State of
Affairs of
the Fund
There has been neither significant change to the state of affairs of the Fund nor any
circumstances that materially affect any interests of the unit holders during the
financial year under review.
Rebates
and Soft
Commission
It is our policy to pay all rebates to the Fund. Soft commission received from
brokers/dealers are retained by the Manager only if the goods and services provided are
of demonstrable benefit to unitholders of the Fund.
During the financial year under review, the Manager had received on behalf of the
Fund, soft commissions in the form of fundamental database, financial wire services,
technical analysis software and stock quotation system incidental to investment
management of the Fund. These soft commissions received by the Manager are deem
to be beneficial to the unitholders of the Fund.
Market
Review
In January 2015, despite lingering concerns over declining oil price, the MGS yield
curve bullish flattened during the month of January as MGS yields recovered to close
to pre-selloff levels in November. This was mainly driven by three factors, namely 1)
announcement of its own quantitative easing programme by the European Central
Bank, 2) reiteration by US FOMC on its stance to remain patient on hiking interest rate
and 3) negligible impact arising from wider fiscal deficit target. As at end January
2014, trading volume in the MGS/GII market jumped to RM84.8b from RM39.1b in
the previous month. Overall, the yields on the 3-year, 5-year, 7-year, 10-year, 15-year,
20-year and 30-year close at 3.42%, 3.68%, 3.77%, 3.82%, 4.11%, 4.34% and 4.65%.
In the primary market, the three government securities auctions held during the month
was well received by market participants with bid-to-cover ratios of above 2.0 times
and generally reflecting the overall bullish sentiment in the market.
In February, the MGS curve steepened slightly. With the exception of the 5-year MGS,
yields across the curve edged marginally higher. As of end February 2015, trading
volume in the MGS/GII market dropped to RM56.2b compared to RM84.8b in the
previous month. Overall, the yields on the 3-year, 5-year, 7-year, 10-year, 15-year and
20-year close at 3.44%, 3.65%, 3.79%, 3.91%, 4.13%, and 4.35% respectively while
the 30-year MGS yield closed higher at 4.63%. In the primary market, only two tenders
were offered, the RM2b 7-year SPK reopening which drew a strong bid-to-cover
(“BTC”) ratio of 2.4 times with an average yield of 4.103% and the new RM4b 5.5year GII 8/20 which drew a very strong BTC ratio of 3.01 times with an average yield
of 3.799%. The strong demand has been attributed to the inclusion of GII in Barclay's
Global Aggregate Bond Index as soon as March 2015 as well as the positive market
sentiment.
In March, the MGS yield curve continued its steepening stance as yields at short end of
the curve came down by up to 7bps compared to the long end which was relatively
stable. Trading volume in the MGS/GII market rose to RM79.3b compared to
10
RM56.2b in the previous month. Overall, the yields on the 3-year, 5-year, 7-year, 10year, 15-year and 20-year close at 3.37%, 3.60%, 3.74%, 3.87%, 4.13%, and 4.34%
respectively while the 30-year MGS yield closed at 4.61%. In the primary market, a
total of RM9.5b government bond supply came to the market in March and was
generally well absorbed especially for the new MGS 9/25 and GII 9/30 tenders which
garnered bid-to-cover (“BTC”) ratios of 2.227 times and 3.433 times at average yield
of 3.955% and 4.245% respectively. Meanwhile, the MGS 9/22 tender drew BTC ratio
of 1.802 times at average yield of 3.795%.
In April, the MGS curve flattened, as yields across the curve rallied on the back of
dovish sentiments amid the still low inflation readings. As of end April 2015, trading
volume in the MGS/GII market held steady at RM72.0b compared to RM79.4b in the
previous month. Overall, the yields on the 3-year, 5-year, 7-year, 10-year, 15-year and
20-year close at 3.33%, 3.55%, 3.72%, 3.84%, 4.04%, and 4.22% respectively while
the 30-year MGS yield inched lower at 4.60% (Mar: 4.61%). In the primary market,
three tenders were offered, the new RM4b 10.5y GII 10/25 which drew a strong bid-tocover (“BTC”) ratio of 2.75 times with an average yield of 3.990%, the new RM4b 5.5year MGS 10/20 which drew a moderate BTC ratio of 1.78 times with an average yield
of 3.659% and finally the RM2b 7y SPK 7/22 which drew a decent BTC ratio of 2.315
times with an average yield of 4.038%. We note the strong demand for the new 10y
GII benchmark as investors continue to favor GII papers due to the inclusion of GII in
Barclay's Global Aggregate Bond Index back in March 2015.
In May, the MGS yield curve steepened, as yields inched up especially on the long end
on the back of the weakness seen in Ringgit. As of end May 2015, trading volume in
the MGS/GII market drop substantially to RM43.7b compared to RM73.0b in the
previous month. Overall, the yields on the 3-year, 5-year, 7-year, 10-year, 15-year, 20year and 30-year close at 3.40%, 3.57%, 3.79%, 3.90%, 4.14%, 4.27% and 4.71%
respectively. In the primary market, a total of RM9.0b government bond supply came
to market in May and was fairly well received with all tenders garnering bid-to-cover
(“BTC”) ratio of above 2 times. The new GII 05/18 and new MGS 5/35 tenders closed
at average yield of 3.508% and 4.254% with BTC ratio at 2.60 times and 2.724x
respectively while the GII 7/22 reopening tender closed at 2.914% at BTC of 2.087
times.
In June, the MGS yield curve bear steepened, with the 7Y and 10Y pressured by
persistent selling on the back of rising global volatility, Ringgit weakness and the
threat of a Fitch downgrade. As of end June 2015, trading volume in the MGS/GII
market rebounded to RM58.8b compared to RM43.7b in the previous month. Overall,
the yields on the 3-year, 5-year, 7-year, 10-year, 15-year, 20-year and 30-year close at
3.31%, 3.56%, 3.91%, 4.01%, 4.18%, 4.26% and 4.78% respectively. In the primary
market, three tenders were offered, the RM3b 10-year MGS 9/25 reopening which
drew a weak bid-to-cover (“BTC”) ratio of 1.67 times with an average yield of 4.037%,
the RM3.5b 7-year MGS 9/22 which drew a moderate BTC ratio of 1.95 times with an
average yield of 4.002% and finally the RM3b 5-year GII 8/20 which drew a stronger
BTC ratio of 2.207 times with an average yield of 3.743%. We note the lackluster
demand for the 10-year as well as 7-year MGS as investors stayed on the sidelines
amidst volatility in global rates as well as an impending decision by Fitch on
Malaysia‟s credit rating.
In July, the MGS yield curve bear steepened as short end (< 3 years) yields came down
by up to 15 bps while long end yields inched higher on the back of the continued
weakness seen in Ringgit. The demand on the short end of the curve was mainly
attributed to the short supply of BNM bills/notes. As of end July 2015, trading volume
11
in the MGS/GII market rose to RM79.9b compared to RM58.8b in the previous month.
Overall, the yields on the 3-year, 5-year, 7-year, 10-year, 15-year, 20-year and 30-year
close at 3.31%, 3.60%, 3.94%, 4.06%, 4.28%, 4.34% and 4.75% respectively. In the
primary market, there was two tenders held namely the 30-year reopening of MGS
09/43 and 10-year reopening of GII 10/25 which drew lukewarm bid-to-cover ratio of
2.025 times and 1.854 times with an average yield of 4.725% and 4.105% respectively
as many investors stayed on the sideline and remain cautious.
In August, there was a clear spike in volatility as the MGS yield curve bear steepened
across the curve. Throughout the month, we saw persistent selling on the back of an
emerging market selloff across all asset classes and especially the Ringgit. As of end
August 2015, trading volume in the MGS/GII market plunged to RM56.8b compared
to RM79.2b in the previous month. Overall, the yields on the 3-year, 5-year, 7-year,
10-year, 15-year, 20-year and 30-year close at 3.49%, 3.91%, 4.31%, 4.35%, 4.66%,
4.72% and 5.00% respectively. In the primary market, two tenders were offered, the
new RM0.5b 5y SPK 2/19 which drew a healthy bid/cover of 4.3x (due to the small
issuance size) with an average yield of 4.119% and the RM3.0b 10y MGS 9/25
reopening which drew a better than expected bid/cover of 2.033x. Successful yields
average 4.453%, slightly higher than the pre-auction WI of around 4.44/42%.
Similar to the previous month, market volatility remain elevated in September as yields
across the board went up by around 5 – 15ps with the 10-year MGS yield hitting a high
of 4.41% as MYR reached new highs again (USDMYR at 4.46 at one point) before
window dressing activities towards the end of the month saw the MGS market being
supported resulting in the flattening of the yield curve. Overall, the yields on the 3year, 5-year, 7-year, 10-year, 15-year, 20-year and 30-year close at 3.65%, 3.79%,
4.10%, 4.15%, 4.59%, 4.65% and 4.76% respectively. In the primary market, the new
3.5-year MGS 03/19 tender garnered a bid-to-cover ratio of 1.528 times at an average
yield of 3.759% while the 7-year GII 07/22 garnered bid-to-cover ratio of 1.915 times
at an average yield of 4.222%. Meanwhile, the long dated 15-year MGS 04/30 auction
drew bid-to-cover ratio of 2.170 times at average yield of 4.791%.
After a period of heightened volatility in the previous two months, the MGS market
returned to some semblance of stability in October, as investors bargain hunted
throughout the month on the back of a firmer Ringgit as well as dovish data from the
US. As of end October 2015, trading volume in the MGS/GII market remained steady
at RM61.3b compared to RM59.1b in the previous month. Overall, the yields on the 3year, 5-year, 7-year, 10-year, 15-year, 20-year and 30-year closed at 3.51%, 3.74%,
4.08%, 4.12%, 4.39%, 4.51% and 4.75% respectively. In the primary market, three
tenders were offered; (1) RM3.0b 5y GII 8/20 reopening, which drew a bid/cover of
1.843x with an average yield of 3.989; (2) RM3.5b 7y MGS 9/22 reopening, which
drew a weaker than expected bid/cover of 1.667x with an average yield of 4.081% and;
(3) RM1.5b new GII 10/35 auction, which drew a good bid/cover of 2.441x with an
average yield of 4.786%.
In November, the MGS yield curve bearish steepened as yields on the long end rose by
around 9bps month-on-month while yields on the short end came down (more
specifically the 3-year MGS benchmark). Overall, bargain hunting activities continue
to be seen during the month on the back of the strengthening and stabilization of the
Ringgit against the US Dollar to around 4.22 at time of writing. As at end November
2015, trading volume in the MGS/GII market softened to RM 47.9b compared to RM
61.3b in the previous month. Overall, the yields on the 3-year, 5-year, 7-year, 10-year,
15-year, 20-year and 30-year closed at 3.35%, 3.73%, 4.11%, 4.21%, 4.47%, 4.56%
and 4.79% respectively. In the primary market, two tenders were held during the
12
month. Both the 10-year MGS re-opening of MGS 9/25 and 3-year re-opening GII 5/18
drew relatively subdued demand with bid-to-cover ratio of 1.503 times and 1.860 times
at average yield of 4.363% and 3.584% respectively.
With the Fed rate hike out of the way, investor‟s focus was on the 2016 auction
calendar which denotes a shift to higher supply of duration, with less front-end
auctions but more long-end supply. In total, there will be 29 auctions: 15 MGSs and 14
GIIs. Unsurprisingly, the market‟s initial reaction was to sell duration, hence the
steepening at the long end. Overall, the yields on the 3-year, 5-year, 7-year, 10-year,
15-year, 20-year and 30-year close at 3.24%, 3.49%, 4.08%, 4.20%, 4.60%, 4.68% and
4.90% respectively. In the primary market, two tenders were offered; (1) RM4.0b 5y
MGS 10/20 reopening, which drew a bid/cover of 2.469x with an average yield of
3.873 and; (2) RM2.5b 10y GII 10/25 reopening, which drew a decent bid/cover of
1.822x with an average yield of 4.514. This last auction for the year brings gross MGS
and GII issuance in 2015 to a total of RM92.5b.
Market
Outlook
The financial market turbulence in the first two weeks of the year caused by the plunge
in China‟s equities market sent investors flocking to safe haven assets. Despite the US
Federal Reserve‟s (“Fed”) guidance of another 100 bps interest rate hike in 2016,
market participants are still largely taking the view that US growth will remain
relatively modest while inflation expectation is unlikely to reach the Fed‟s expectations
of 2.0%. Given as such, market is expecting the pace of US Fed interest rate tightening
to be slow and gradual, resulting in the strong performance of US Treasuries (“UST”)
with the 10-year UST closing at 1.92% as at end January.
Over in the domestic market, the announcement of the „recalibrated‟ budget for 2016
was relatively well received by both onshore and offshore investors as the fiscal deficit
target of 3.1% to GDP was maintained despite the incorporation of a lower oil price
assumption of USD30-35/bbl in the budget revision. Nevertheless, the downward
revision of the 2016 growth forecast to 4.0% - 4.5% continues to highlight the ongoing
challenges that the country is facing with the prospects of lower domestic demand and
tighter fiscal spending likely to weigh on growth outlook in the near term.
Amid the current economic headwinds, the recent cut in SRR by BNM has been
perceived by some research analysts as a change in monetary policy stance. This is
further supported by the relatively more dovish MPC statement compared to previous
statement in November 2015, with BNM highlighting increased downside risks in
terms of both global and domestic growth. With inflationary pressures widely expected
to be well contained this year coupled with a moderate growth outlook, BNM appeared
to have kept the door open for a rate cut sometime this year should the economy slows
down significantly especially if there is further moderation in both domestic demand
and deterioration in global economic outlook, especially in China and ASEAN.
With the festive holidays and short working week in February, we expect trading
activities to be softer in the coming weeks. Even though MGS yields have come down
significantly in January especially on the long end in response to the SRR cut and a
relatively stronger oil price which hovers above USD30/bbl at time of writing
(USD32.4/bbl) and its corresponding impact on Ringgit, volatility in bond yields is still
likely to persist in the coming months depending on investor sentiment.
Kuala Lumpur, Malaysia
29 January 2016
13
ADDITIONAL INFORMATION
Board of Directors of the Manager
The Board of Directors, of which one-third are independent members, exercise ultimate control over
the operations of the Manager. For the financial year ended 31 December 2015 (1 January 2015 to 31
December 2015), there were five (5) Board of Directors meetings held by the Manager.
Details of the Directors of the Manager are set out as below:
Name
Age
Nationality
Qualification
Executive/Non-Executive
Director
Independent/Non-Independent
Director
Working Experience
:
:
:
:
:
Harinder Pal Singh a/l Joga Singh
53 years old
Malaysian
Bachelor Degree in Accounting, University of Malaya
Executive Director
:
Non-Independent Director
:
i) Bank Negara Malaysia
Senior Administrative Officer, Insurance Inspection
Department (1986 – 1993)
ii) Securities Commission Malaysia
Assistant Manager, Market Surveillance Department
(1993 – 1995)
iii) Arab-Malaysian Securities Sdn Bhd
Seconded to PT Arab-Malaysian Capital Indonesia as
Director of Operations (1995 – 1998)
iv) AmMerchant Bank Berhad
Manager, Corporate Services (1998 – 2000)
v) AmFunds Management Berhad
 Manager, Client Service & Operations (July 2001 – June
2002)
 Senior Manager, Client Service & Operations (July 2002 –
2003)
 Head, Sales Services (2003-December 2006)
 Principal Officer / Senior Vice President of Operations
Occupation
:
Date of appointment
Directorship of other public
companies
Number of Board meeting
attended for the financial year
ended 31 December 2015
Member of any other Board
Committee
:
:
Senior Vice President, Operations of AmFunds Management
Berhad (formerly known as AmInvestment Services Berhad)
22 September 2008
Federation of Investment Managers Malaysia
:
Five (5)
:
Investment Committee (Non-Independent)
14
Date of appointment to the
Number of Investment
Committee meeting attended for
the financial year ended 31
December 2015
Family relationship with any
director
Conflict of interest with the
Fund
List of convictions for offences
within the past 10 years (if any)
:
12 July 2005
:
Ten (10)
:
None
:
None
:
None
Name
Age
Nationality
Qualification
:
:
:
:
Kok Tuck Cheong
59 years old
Malaysian
i) Bachelor of Science (Honours) in Commerce and
Accountancy
ii) Master of Science in Financial Managerial Controls,
University of Southampton.
Director
Director
Working Experience
:
Non-Executive Director
:
:
He started his career with AmMerchant Bank Berhad in the
Treasury Department before joining the Banking and
Corporate Finance Department and later the Investment
Department where he served in various positions. He was
appointed as General Manager, Banking in January 1989 and
later served as Senior General Manager until his appointment
as Executive Director in September 2000.
Occupation
Date of appointment
companies
Committee
Committee meetings attended
for the financial year ended 31
December 2015
director
:
:
:
Chief Executive Officer of AmInvestment Bank Berhad
9 November 2001
None
:
Third (3)
:
[Resigned as Director with effect from 2 November 2015]
Audit Committee of Directors
:
Not applicable
:
Not applicable
:
None
15
Fund
:
None
:
None
Name
Age
Nationality
Qualification
:
:
:
:
Pushparani a/p A Moothathamby
57 years old
Malaysian
i) Fellow Member of the Chartered Association of Certified
Accountants, United Kingdom
Director
Director
Working Experience
:
ii) Member of the Malaysian Institute of Accountants,
Malaysia
:
:
i) Sri Alam Group
Group Accountant (Dec 1983 – Apr 1986)
ii) Coopers & Lybrand
(now known as PricewaterhouseCoopers Malaysia)
Consultant (May 1986 – Apr 1989)
iii) AmMerchant Bank Berhad
(now known as AmInvestment Bank Berhad)
Last post as the Head of Corporate Finance
(May 1989 – Dec 2004)
iv) AmMerchant Bank Berhad
(now known as AmInvestment Bank Berhad)
Executive Director (Jan 2005 – July 2008)
v) AmInvestment Bank Berhad
Managing Director, Relationship Banking & Regional
Business
(July 2008 – Oct 2009)
vi) AmInvestment Bank Berhad
Managing Director, Corporate & Institutional Banking
(Oct 2009 – Oct 2013)
vii) AmInvestment Bank Berhad
Managing Director, Wholesale Banking Coverage
(Oct 2013 – May 2014)
Occupation
:
Date of appointment
companies
:
:
viii) AmBank (M) Berhad
Managing Director, Wholesale Banking Coverage
(May 2014 – Present)
Acting Chief Executive Officer of AmInvestment Bank
Berhad
2 November 2015
i) AmTrustee Berhad
ii)
FIDE FORUM
16
Committee
December 2015
director
Fund
:
One (1)
:
Audit Committee of Directors
:
Not applicable
:
Not applicable
:
None
:
None
:
None
Name
Age
Nationality
Qualification
: Datin Maznah binti Mahbob
: 56 years old
: Malaysian
: i) Degree, The Institute of Chartered Secretaries and
Administrators (UK)
Director
Director
Working Experience
ii) Capital Markets Services Representative‟s Licence holder
: Executive Director
: Non-Independent Director
: She has been in the funds management industry since Year
1987, in a fund management role, before assuming the
responsibility as the Chief Executive Officer of Funds
Management Divison, AmInvestment Bank Group in Year
2002. Prior to this, she was in the Corporate Finance
Department of AmFunds Management Berhad (formerly
known as AmInvestment Services Berhad) for 3 years.
Occupation
: Chief Executive Officer of Funds Management Division and
Chief Executive Officer/Executive Director of AmFunds
Management Berhad (formerly known as AmInvestment
Services Berhad)
Date of appointment
companies
Committee
: 29 December 2005
: None
: Five (5)
: Investment Committee (Non-Independent)
: 17 August 2015
17
: Four (4)
December 2015
director
Fund
Name
Age
Nationality
Qualification
Director
Director
Working Experience
: None
: None
: None
:
:
:
:
Mustafa bin Mohd Nor
64 years old
Malaysian
Masters of Arts (Economic Policy), Boston University
Bachelor of Economics (Analytical), University of Malaya
: Non-Executive Director
: Independent Director
:
i) 1975-1988 : Ministry of Finance-various positions, last as
Head, Macroeconomic Section, Economic and International
Division
ii) 1988-1990 : Manager, Treasury Department, Development
& Commercial Bank Berhad.
iii) March 1990-August 1992 : Chief Economist, Arab
Malaysian Securities Sdn Bhd
iv) September 1992-December 2001 : Executive
Director/Chief Economist, AmSecurities Sdn Bhd
v) January 2002-December 2005 : Managing Director,
AmSecurities Sdn Bhd
vi) January 2006-May 2009 (Retirement) : Economic Advisor,
AmInvestment Bank Berhad Group
vii) September 2009-August 2012 (Contract) : Senior Vice
President/Head, Research Division of Permodalan Nasional
Berhad
Occupation
Date of appointment
companies
Committee
: Director
: 3 March 2014
: KUISAS Berhad
: Five (5)
: Investment Committee and Audit Committee of Directors
(Independent)
18
: 3 March 2014
December 2015
director
Fund
within the past 10 years (if
any)
: Ten (10)
: None
: None
: None
Name
:
Mohd Fauzi bin Mohd Tahir
Age
:
48 years old
Nationality
:
Malaysian
Qualification
:
i) The Chartered Association of Certified Accountants, Emile
Woolf College of Accountancy, England.
ii) Bachelor of Arts (Hons) in Accounting & Finance, Leeds
Metropolitan University, England.
iii) General Certificate of Education Examination – Advanced
Level of University of London, MARA Institute of
Technology
Director
:
iv) Capital Markets Services Representative‟s Licence holder
Independent/NonIndependent Director
:
Working Experience
:
i) March 2009 – Present
Senior Vice President, Islamic Equities, AmIslamic Funds
Management Sdn Bhd
ii) August 2005 – February 2009
Head of Islamic Equities, AmInvestment Management
Sdn Bhd
iii) February 2004 – August 2005
Senior Manager, Investment – Fund Management,
American International Assurance Company, Limited
iv) December 1996 – January 2004
Assistant Vice President, Investment – Equities, Great
Eastern Life Assurance (Malaysia) Berhad
v) October 1994 – November 1996
Investment Executive, Aseanbankers Malaysia Berhad
19
vi) April 1993 – September 1994
Internal Audit Executive, Oriental Bank Berhad
Occupation
:
Executive Director/Senior Vice President, Islamic Equities,
AmIslamic Funds Management Sdn Bhd
Date of appointment
:
1 December 2014
companies
:
Nil
:
Five (5)
Committee
:
Nil
:
Not applicable
:
Committee meeting attended
December 2015
:
director
Not applicable
Fund
:
None
List of convictions for
offences within the past 10
years (if any)
:
None
Name
Age
Nationality
Qualification
:
:
:
:
None
Tai Terk Lin
55 years old
Malaysian
i) Master of Business Administration (School of
Management), Cranfield Institute of Technology, United
Kingdom.
ii) Bachelor of Science with Education, Mathematics &
Physics, University of Malaya, Malaysia.
iii) Certified Financial Planner Board of Standard, Inc, USA
Certified Financial Planner
iv) Financial Industry Certified Professional, FICP, Institute
of Banking & Finance (IBF), Singapore
Director
:
Independent/NonIndependent Director
:
Independent Director
20
Working Experience
:
i) October 2009 – September 2012 (Oct 2012 with ICB
Indonesia)
Group Chief Executive Officer of ICB Financial Group
Holdings AG, ICB Banking Group
ii) January 2009 – August 2009
Executive Director/Head of Business Development (Asia)
of Platinum Capital Management (Asia) Pte Ltd,
Singapore
iii) January 2007 – November 2008
Senior Vice President/Head – Malaysia Coverage, Private
Banking of DBS Bank, Singapore
iv) March 2002 – December 2006
Director/Head, Private Banking, of AmInvestment Bank
Berhad
v) April 1995 – December 2001
Chief Executive Officer, of HLB Unit Trust Management
Bhd
vi) April 1994 – March 1995
Chief Project Manager/Credit Manager of Hong Leong
Bank Berhad (Ex-Hong Leong Finance)
vii) January 1994 – April 1994
Special Assistant to Executive Chairman, United
Merchant Finance Berhad
viii) June 1992 – December 1993
Senior Analyst (Executive Chairman‟s Office), Hong
Leong Management Company Sdn Bhd
Occupation
Date of appointment
companies
Committee
December 2015
director
:
:
:
ix) January 1991 – June 1992
Consulting Manager, Corporate
PricewaterhouseCoopers
Director
15 December 2014
Nil
:
Five (5)
:
:
Investment Committee and Audit Committee of Directors
(Independent)
15 December 2014
:
Ten (10)
:
None
21
Care
Division
of
Fund
any)
:
None
:
None
The Investment Committee, of which one-third are independent members, exercise ultimate select
appropriate strategies and efficiently implemented to achieve the proper performance, actively
monitor, measure and evaluate the fund management performance of the Manager. For the financial
year ended 31 December 2015 (from 1 January 2015 to 31 December 2015), there were eleven (11)
Investment Committee meetings held by the Manager.






Encik Mustafa bin Mohd Nor (profile as mentioned above)
Mr Tai Terk Lin (profile as mentioned above)
Dr Frank Richard Ashe (profile as mentioned below)
Y Bhg Datin Maznah binti Mahbob (profile as mentioned above)
Mr Harinder Pal Singh a/l Joga Singh (profile as mentioned above)
Y Bhg Dato‟ Mohd Effendi bin Abdullah (profile as mentioned below)
Name
Age
Nationality
Qualification
:
:
:
:
Director
Director
Working Experience
:
Dato‟ Mohd Effendi bin Abdullah
54
Malaysian
Bachelor of Economics (major in Accounting and Financial
Management), Macquarie University, Australia
Not applicable
:
Not applicable
:
AmInvestment Bank Berhad

Corporate Banking (1985 – 1993)

Islamic Markets (1993 - present)
Occupation
:
companies
Committee
December 2015
director
Fund
any)
:
Senior Vice President, Islamic Markets of AmInvestment Bank
Berhad
Islamic Banking and Finance Institute Malaysia (IBFIM)
:
None
:
2 September 2013
:
Seven (7)
:
None
:
None
:
None
22
Name
Age
Nationality
Qualification
:
:
:
:
Dr. Frank Richard Ashe
62 years old
Australian
i) Doctor of Philosophy in Operations Research, University
of New South Wales, Australia
ii) Bachelor of Arts, (First Class Honours), majoring in
Actuarial Studies, Statistics, Pure Mathematics and
Applied Mathematics, Macquarie University, Australia
AIMR (now the CFA Institute) Investment Management
Workshop (Princeton University)
Director
Director
Working Experience
:
Not applicable
:
Not applicable
:
i)
Independent Consultant
January 2007 – ongoing
ii) Executive Education
iii) Macquarie University
Associate Professor – Applied Finance Centre
(Full Time : January 2002 – December 2006)
(Part Time : January 2007 – December 2014)
iv) Manulife Financial - Elliott & Page Asset Management
Senior Advisor, Market Risk Management
September 1999 – December 2001
v) Freelance Consulting
May 1999 – September 1999
vi) Structured Investments Group
Portfolio Manager, County Investment Management
August 1996 – May 1999
vii) Macquarie University
Visiting Fellow, Macquarie Applied Finance Centre
1997 – 2001
viii) University of Technology, Sydney : School of Economics
Visiting Lecturer, Master of Business in Finance
1997
ix) Condell Vann & Co.
Executive Director
April 1995 – July 1996
x) Quantitative Strategist Legal & General
Management, Australia
Executive Director (October 1993 – 1995)
July 1989 – April 1995
23
Asset
xi) IFTC and related subsidiary companies :
Equity Systems Limited (ESL), Giltnet, (software
companies)
Australian Gilt Options, (futures option market makers)
Australian Gilt Securities (now Rand Merchant Bank,
fixed interest dealers),
Australian Gilt Funds Management
September 1986 – June 1989
xii) Mercer Campbell Cook and Knight, formerly E.S. Knight
& Co.
Consultant and earlier as technical assistant
1980
– 1986
xiii) Macquarie and New South Wales Universities
Part time tutor in Statistics, Mathematics, and Mechanical
Engineering
1975 – 1980
Occupation
companies
Committee
December 2015
director
Fund
any)
:
:
Independent Consultant
None
:
None
:
16 February 2015
:
Nine (9)
:
None
:
None
:
None
24
Material Litigation
For the financial period under review, neither the Directors of the management company nor the
Manager of the Fund were engaged in any material litigation and arbitration, including those pending
or threatened, and any facts likely to give any proceedings, which might materially affect the
business/financial position of the Manager and of its delegates. The Fund has also not engaged in any
material litigation and arbitration, including those pending or threatened, and any facts likely to give
any proceedings, which might materially affect the Fund.
Manager
Previously, AmInvestment Management Sdn Bhd (“AIM”) was appointed to implement the Fund‟s
investment strategy on behalf of the Manager to achieve the objectives of the Fund. However,
following the consolidation of business of AmFunds Management Berhad (formerly known as
AmInvestment Services Berhad) (“AFM”) AIM into on 1 December 2014, AFM had
acquired/assumed the obligations, undertaking, commitments and contingencies of AIM. Effective 1
December 2014, AFM is a licensed fund manager approved by Securities Commission Malaysia to
manage the Fund.
The Investment Committee reviews the Fund‟s investment objective and guidelines; and to ensure
that the Fund is invested appropriately. For the financial year ended 31 December 2015, there were
eleven (11) Investment Committee meetings held by the Manager.
25
Unitholders
List of the unit holders having the largest number of units:
Number of
Unit Held
NAME
Unit Held
(%)
HSBC NOMINEES (ASING) SDN BHD
689257870
54.46863%
HSBC NOMINEES (ASING) SDN BHD
391198500
30.91447%
AMSEC NOMINEES (TEMPATAN) SDN BHD
179716000
14.20206%
DB (MALAYSIA) NOMINEE (ASING) SDN BHD
2300000
0.18176%
AMINVESTMENT BANK BERHAD
2104230
0.16629%
CITIGROUP NOMINEES (ASING) SDN BHD
400000
0.03161%
AFFIN HWANG NOMINEES (ASING) SDN. BHD.
215000
0.01699%
CITIGROUP NOMINEES (ASING) SDN BHD
140000
0.01106%
PUBLIC NOMINEES (TEMPATAN) SDN BHD
15000
0.00119%
MAYBANK NOMINEES (ASING) SDN BHD
13000
0.00103%
TEE KAR YONG
10500
0.00083%
JAY SURIAR A/L RAJASURIAR
9600
0.00076%
MALACCA EQUITY NOMINEES (TEMPATAN) SDN BHD
6000
0.00047%
MELVIN WON SOON LOONG
5000
0.00040%
WONG SOOK YEE
3600
0.00028%
JOHN MELVILLE KAYES NEWMAN
3500
0.00028%
WONG SOOK KENG
3100
0.00024%
CHA KAR HUEI
3000
0.00024%
LAU KAI CHONG
3000
0.00024%
GRACE CHRYSTAL GOH YEE HING
2300
0.00018%
AFFIN HWANG NOMINEES (ASING) SDN. BHD.
2000
0.00016%
HO YEEN FEY
2000
0.00016%
CHONG YAM SONG
1000
0.00008%
CIMSEC NOMINEES (TEMPATAN) SDN BHD
1000
0.00008%
K.VIJAYAN A/L G.KERISNAN
1000
0.00008%
KOH AH KOW @ KOH BOON KWEE
1000
0.00008%
MAYBANK NOMINEES (TEMPATAN) SDN BHD
1000
0.00008%
GARY CHEW KIEW SENG
700
0.00006%
CHOK SIEW KWONG
500
0.00004%
MAYBANK NOMINEES (TEMPATAN) SDN BHD
300
0.00002%
26
Independent auditors’ report to the unitholders of
Report on the financial statements
We have audited the financial statements of ABF Malaysia Bond Index Fund (“the Fund”), which
comprise the statement of financial position as at 31 December 2015, the statement of
comprehensive income, statement of changes in equity and statement of cash flows for the financial
year then ended, and a summary of significant accounting policies and other explanatory notes, as
set out on pages 29 to 54.
Manager’s and Trustee’s responsibilities for the financial statements
The Manager of the Fund is responsible for the preparation of these financial statements that give a
true and fair view in accordance with Malaysian Financial Reporting Standards and International
Financial Reporting Standards. The Manager is also responsible for such internal control as the
Manager determines is necessary to enable the preparation of financial statements that are free from
material misstatement, whether due to fraud or error. The Trustee is responsible for ensuring that the
Manager maintains proper accounting and other records as are necessary to enable true and fair
presentation of these financial statements.
Auditors’ responsibility
Our responsibility is to express an opinion on these financial statements based on our audit. We
conducted our audit in accordance with approved standards on auditing in Malaysia. Those
standards require that we comply with ethical requirements and plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free from material misstatement.
An audit involves performing procedures to obtain audit evidence about the amounts and
disclosures in the financial statements. The procedures selected depend on our judgment, including
the assessment of risks of material misstatement of the financial statements, whether due to fraud or
error. In making those risk assessments, we consider internal control relevant to the Fund‟s
preparation of the financial statements that give a true and fair view in order to design audit
procedures that are appropriate in the circumstances, but not for the purpose of expressing an
opinion on the effectiveness of the Fund‟s internal control. An audit also includes evaluating the
appropriateness of the accounting policies used and the reasonableness of accounting estimates
made by the Manager, as well as evaluating the overall presentation of the financial statements.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis
for our audit opinion.
27
Independent auditors’ report to the unitholders of
ABF Malaysia Bond Index Fund (cont’d.)
Opinion
In our opinion, the financial statements give a true and fair view of the financial position of the
Fund as at 31 December 2015 and of its financial performance and cash flows for the financial year
then ended in accordance with Malaysian Financial Reporting Standards and International Financial
Reporting Standards.
Other matters
This report is made solely to the unitholders of the Fund, as a body, and for no other purpose. We do
not assume responsibility to any other person for the content of this report.
Ernst & Young
AF: 0039
Chartered Accountants
Wan Daneena Liza Bt Wan Abdul Rahman
No. 2978/03/16(J)
Chartered Accountant
29 January 2016
28
STATEMENT OF FINANCIAL POSITION
AS AT 31 DECEMBER 2015
2015
RM
Note
ASSETS
Investments
Deposits with financial institutions
Amount due from Manager
Cash at banks
4
5
6
1,312,223,284
29,527,721
358,332
1,340
689,082,951
23,528,449
2,212
1,342,110,677
712,613,612
46,389
91,581
96,514
63,008
31,504
62,568
26,416,872
145,222
234,484
26,719,174
11(a)
11(b)(c)
1,325,924,353
15,951,840
693,348,293
(7,453,855)
11
1,341,876,193
685,894,438
1,342,110,677
712,613,612
1,265,421,800
660,421,800
106.04 sen
103.86 sen
TOTAL ASSETS
LIABILITIES
Amount due to Manager
Amount due to Trustee
Amount due to index provider
Distribution payable
Sundry payables and accrued expenses
6
7
8
TOTAL LIABILITIES
EQUITY
Unitholders‟ capital
Retained earnings/(accumulated loss)
TOTAL EQUITY
TOTAL EQUITY AND LIABILITIES
11(a)
UNITS IN CIRCULATION
NET ASSET VALUE PER UNIT
− EX DISTRIBUTION
The accompanying notes form an integral part of the financial statements.
29
2014
RM
STATEMENT OF COMPREHENSIVE INCOME
FOR THE FINANCIAL YEAR ENDED 31 DECEMBER 2015
Note
INVESTMENT INCOME
Interest income
Net gain from investments:
− Financial assets at fair value through profit or
loss (“FVTPL”)
2015
RM
2014
RM
29,282,421
24,418,984
1,004,959
3,759,693
30,287,380
28,178,677
774,837
387,419
108,582
7,700
(3,300)
3,000
61,923
(55,372)
693,742
450,393
102,757
7,700
4,000
8,192
-
1,284,789
1,266,784
29,002,591
-
26,911,893
-
29,002,591
26,911,893
OTHER COMPREHENSIVE INCOME
-
-
TOTAL COMPREHENSIVE INCOME
FOR THE FINANCIAL YEAR
29,002,591
26,911,893
Total comprehensive income comprises the following:
Realised income
Unrealised gain
27,006,629
1,995,962
18,851,602
8,060,291
29,002,591
26,911,893
9
Gross Income
EXPENDITURE
6
Manager‟s fee
7
Trustee‟s fee
Licence fee
Auditors‟ remuneration − current financial year
Auditors‟ remuneration - over provision in prior financial year
Tax agent‟s fee
10
Other expenses − current financial year
Other expenses − over provision in prior financial year
Total Expenditure
NET INCOME BEFORE TAX
LESS: INCOME TAX
13
NET INCOME AFTER TAX
Distributions for the financial year:
Net distributions
14
11,557,086
39,365,308
Gross/net distributions per unit (sen)
14
1.68
6.00
30
STATEMENT OF CHANGES IN EQUITY
Unitholders’
capital
RM
Note
At 1 January 2014
Total comprehensive income
for the financial year
Creation/adjustment
Distributions
Retained
earnings/
(accumulated
loss)
RM
Total
equity
RM
680,157,976
4,183,011
684,340,987
14,006,866
(816,549)
26,911,893
(38,548,759)
26,911,893
14,006,866
(39,365,308)
Balance at 31 December 2014
693,348,293
(7,453,855)
685,894,438
At 1 January 2015
Total comprehensive income
for the financial year
Creation of units
Distributions
693,348,293
(7,453,855)
685,894,438
638,536,250
(5,960,190)
29,002,591
(5,596,896)
29,002,591
638,536,250
(11,557,086)
1,325,924,353
15,951,840
1,341,876,193
11(a)
14
11(a)
14
Balance at 31 December 2015
31
STATEMENT OF CASH FLOWS
2015
RM
2014
RM
CASH FLOWS FROM OPERATING AND
INVESTING ACTIVITIES
Proceeds from sale of investments
Interest received
Manager‟s fee paid
Trustee‟s fee paid
Licence fee paid
Tax agent‟s fee paid
Payments for other expenses
Purchase of investments
259,991,838
23,498,459
(745,067)
(372,534)
(79,569)
(4,000)
(58,659)
(876,343,250)
451,367,902
28,202,212
(691,549)
(461,459)
(99,217)
(4,000)
(17,605)
(451,374,948)
Net cash (used in)/generated from operating and
investing activities
(594,112,782)
26,921,336
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from creation/adjustment
Distributions paid
638,085,140
(37,973,958)
14,006,866
(24,278,318)
Net cash generated from/(used in) financing
activities
600,111,182
(10,271,452)
Note
NET INCREASE IN CASH AND CASH
EQUIVALENTS
CASH AND CASH EQUIVALENTS AT
BEGINNING OF FINANCIAL YEAR
5,998,400
16,649,884
23,530,661
6,880,777
CASH AND CASH EQUIVALENTS AT
END OF FINANCIAL YEAR
29,529,061
23,530,661
29,527,721
1,340
23,528,449
2,212
29,529,061
23,530,661
Cash and cash equivalents comprise:
Cash at banks
5
32
NOTES TO THE FINANCIAL STATEMENTS
1.
GENERAL INFORMATION
ABF Malaysia Bond Index Fund (“the Fund”) was established pursuant to a Deed dated 12 July
2005 as amended by Deeds Supplemental thereto (“the Deed”), between AmFunds Management
Berhad (formerly known as AmInvestment Services Berhad) as the Manager, HSBC (Malaysia)
Trustee Berhad as the Trustee and all unitholders.
The Fund was set up with the objective for investors who seek an “index-based” approach to
investing in a portfolio of Ringgit Malaysia denominated Government and quasi-Government debt
securities. As provided in the Deeds, the “accrual period” or financial year shall end on 31
December and the units in the Fund were first offered for sale on 13 July 2005.
2.
BASIS OF PREPARATION OF FINANCIAL STATEMENTS
The financial statements of the Fund have been prepared in accordance with Malaysian Financial
Reporting Standards (“MFRS”) as issued by the Malaysian Accounting Standards Board (“MASB”)
and are in compliance with International Financial Reporting Standards.
The financial statements of the Fund have been prepared under the historical cost convention, unless
otherwise stated in the accounting policies.
Standards effective during the financial year
The adoption of MFRS which have been effective during the financial year did not have any
material financial impact to the financial statements.
Standards issued but not yet effective
As at the date of authorisation of these financial statements, the following Standards and
Amendments have been issued by MASB but are not yet effective and have not been adopted by
the Fund.
Effective for
financial periods
beginning on or after
Annual Improvements to MFRSs 2012 – 2014 Cycle
Amendments to MFRS 10 and MFRS 128: Sale or Contribution
of Assets between an Investor and its Associate or Joint Venture
Amendments to MFRS 101: Disclosure Initiatives
Amendments to MFRS 10, MFRS 12 and MFRS 128: Investment
Entities: Applying the Consolidation Exception
MFRS 9: Financial Instruments
MFRS 15: Revenue from contracts with Customers
33
1 January 2016
1 January 2016
1 January 2016
1 January 2016
1 January 2018
1 January 2018
The Fund plans to adopt the above pronouncements when they become effective in the respective
financial periods. These pronouncements are expected to have no significant impact to the financial
statements of the Fund upon their initial application except as described below:
MFRS 9 Financial Instruments
MFRS 9 reflects International Accounting Standards Board‟s (“IASB”) work on the replacement of
MFRS 139 Financial Instruments: Recognition and Measurement (“MFRS 139”). MFRS 9 has a
mandatory effective date of 1 January 2018 and early adoption is allowed. The Fund is in the
process of quantifying the impact of the first adoption of MFRS 9.
Goods and Services Tax
The Goods and Services Tax (“GST”) was implemented in Malaysia effective 1 April 2015. The
Fund is classified under “Exempt Supply” and is therefore not required to register for GST.
Effective from 1 April 2015, fees and expenses incurred by the Fund, where relevant, are recognised
in the Statement of Comprehensive Income excluding 6% GST charged by the respective suppliers
of services. The 6% GST incurred will be recognised as other expenses in the Statement of
Comprehensive Income.
3.
SIGNIFICANT ACCOUNTING POLICIES
Income recognition
Income is recognised to the extent that it is probable that the economic benefits will flow to the
Fund and the income can be reliably measured. Income is measured at the fair value of
consideration received or receivable.
Interest income on fixed income securities and short-term deposits are recognised on an accrual
basis using the effective interest method, which includes the accretion of discounts and amortisation
of premiums.
Income tax
Current tax assets and liabilities are measured at the amount expected to be recovered from or paid
to the tax authorities. The tax rates and tax laws used to compute the amount are those that are
enacted or substantively enacted at the reporting date.
Current taxes are recognised in profit or loss except to the extent that the tax relates to items
recognised outside profit or loss, either in other comprehensive income or directly in equity.
Functional and presentation currency
Functional currency is the currency of the primary economic environment in which the Fund
operates that most faithfully represents the economic effects of the underlying transactions. The
functional currency of the Fund is Ringgit Malaysia which reflects the currency in which the Fund
competes for funds, issues and redeems units. The Fund has also adopted Ringgit Malaysia as its
presentation currency.
34
Statement of cash flows
The Fund adopts the direct method in the preparation of the statement of cash flows.
Cash equivalents are short-term, highly liquid investments that are readily convertible to cash with
insignificant risk of changes in value.
Distribution
Distributions are at the discretion of the Fund. A distribution to the Fund‟s unitholders is accounted
for as a deduction from realised reserves except where distribution is sourced out of
distribution/loss equalisation which is accounted for as a deduction from/addition to unitholders‟
capital. A proposed distribution is recognised as a liability in the period in which it is approved.
Unitholders’ capital
The unitholders‟ capital of the Fund meets the definition of puttable instruments and is classified as
equity instruments under MFRS 132 Financial Instruments: Presentation (“MFRS 132”).
Distribution/loss equalisation
Distribution/loss equalisation represents the average distributable amount included in the creation
and cancellation prices of units. This amount is either refunded to unitholders by way of distribution
and/or adjusted accordingly when units are cancelled.
Financial assets
Financial assets are recognised in the statement of financial position when, and only when, the Fund
becomes a party to the contractual provisions of the financial instrument.
When financial assets are recognised initially, they are measured at fair value, plus, in the case of
financial assets not at fair value through profit or loss, directly attributable transaction costs.
The Fund determines the classification of its financial assets at initial recognition, and the categories
applicable to the Fund include financial assets at fair value through profit or loss (“FVTPL”) and
loans and receivables.
(i) Financial assets at FVTPL
Financial assets are classified as financial assets at FVTPL if they are held for trading or are
designated as such upon initial recognition. Financial assets held for trading by the Fund include
fixed income securities acquired principally for the purpose of selling in the near term.
Subsequent to initial recognition, financial assets at FVTPL are measured at fair value. Changes
in the fair value of those financial instruments are recorded in „Net gain or loss on financial
assets at fair value through profit or loss‟. Interest earned element of such instrument is recorded
separately in „Interest income‟.
35
Investments are stated at fair value on a portfolio basis in accordance with the provisions of the
Deed, fair value is determined based on prices provided by the index provider, Markit Indices
Limited, plus accrued interest. Adjusted cost of investments relates to the purchase cost plus
accrued interest, adjusted for amortisation of premium and accretion of discount, if any,
calculated over the period from the date of acquisition to the date of maturity of the respective
securities as approved by the Manager and the Trustee. Unrealised gain or loss recognised in
profit or loss is not distributable in nature.
On disposal of investments, the net realised gain or loss on disposal is measured as the
difference between the net disposal proceeds and the carrying amount of the investments. The
net realised gain or loss is recognised in profit or loss.
(ii) Loans and receivables
Financial assets with fixed or determinable payments that are not quoted in an active market are
classified as loans and receivables.
Subsequent to initial recognition, loans and receivables are measured at amortised cost using the
effective interest method. Gains and losses are recognised in profit or loss when the loans and
receivables are derecognised or impaired, and through the amortisation process.
Impairment of financial assets
The Fund assesses at each reporting date whether there is any objective evidence that a financial
asset is impaired.
(i) Loans and receivables carried at amortised cost
To determine whether there is objective evidence that an impairment loss on financial assets has
been incurred, the Fund considers factors such as the probability of insolvency or significant
financial difficulties of the debtor and default or significant delay in payments.
If any such evidence exists, the amount of impairment loss is measured as the difference
between the asset‟s carrying amount and the present value of estimated future cash flows
discounted at the financial asset‟s original effective interest rate. The impairment loss is
recognised in profit or loss.
The carrying amount of the financial asset is reduced through the use of an allowance account.
When loans and receivables become uncollectible, they are written off against the allowance
account.
If in a subsequent period, the amount of the impairment loss decreases and the decrease can be
related objectively to an event occurring after the impairment was recognised, the previously
recognised impairment loss is reversed to the extent that the carrying amount of the asset does
not exceed its amortised cost at the reversal date. The amount of reversal is recognised in profit
or loss.
36
Financial liabilities
Financial liabilities are classified according to the substance of the contractual arrangements entered
into and the definitions of a financial liability.
Financial liabilities, within the scope of MFRS 139, are recognised in the statement of financial
position when, and only when, the Fund becomes a party to the contractual provisions of the
financial instrument.
The Fund‟s financial liabilities are recognised initially at fair value plus directly attributable
transaction costs and subsequently measured at amortised cost using the effective interest method.
A financial liability is derecognised when the obligation under the liability is extinguished. Gains
and losses are recognised in profit or loss when the liabilities are derecognised, and through the
amortisation process.
Classification of realised and unrealised gains and losses
Unrealised gains and losses comprise changes in the fair value of financial instruments for the
period and from reversal of prior period‟s unrealised gains and losses for financial instruments
which were realised (i.e. sold, redeemed or matured) during the reporting period.
Realised gains and losses on disposals of financial instruments classified at fair value through profit
or loss are calculated using the weighted average method. They represent the difference between an
instrument‟s initial carrying amount and disposal amount.
Significant accounting estimates and judgments
The preparation of the Fund‟s financial statements requires the Manager to make judgments,
estimates and assumptions that affect the reported amounts of revenues, expenses, assets and
liabilities, and the disclosure of contingent liabilities at the reporting date. However, uncertainty
about these assumptions and estimates could result in outcomes that could require a material
adjustment to the carrying amount of the asset or liability in the future.
The Fund classifies its investments as financial assets at FVTPL as the Fund may sell its
investments in the short-term for profit-taking or to meet unitholders‟ cancellation of units.
No major judgments have been made by the Manager in applying the Fund‟s accounting policies.
There are no key assumptions concerning the future and other key sources of estimation uncertainty
at the reporting date, that have a significant risk of causing a material adjustment to the carrying
amounts of assets and liabilities within the next financial year.
37
4.
INVESTMENTS
2015
RM
2014
RM
Financial assets at FVTPL
At nominal value:
Corporate bonds (low risk asset as accorded by Bank
Negara Malaysia)
Quasi-Government Bonds (low risk asset as accorded
by Bank Negara Malaysia)
Government Investment Issues
At fair value:
Corporate bonds (low risk asset as accorded by Bank
Negara Malaysia)
Quasi-Government Bonds (low risk asset as accorded
10,000,000
10,000,000
85,000,000
777,500,000
435,000,000
140,000,000
390,800,000
148,460,000
1,307,500,000
689,260,000
10,175,375
86,703,608
781,786,072
433,558,229
10,165,260
142,470,529
390,131,162
146,316,000
1,312,223,284
689,082,951
Details of investments as at 31 December 2015 are as follows:
Maturity
date
Issuer
Credit
rating
Nominal
value
RM
Fair
value
RM
Adjusted
cost
RM
Fair
value as a
percentage of
net asset
value
%
Corporate bond (low risk asset as accorded by Bank Negara Malaysia)
02.02.2017 The Export Import
Bank of
Korea
AAA
10,000,000
10,175,375
10,177,464
0.76
Quasi-Government Bonds (low risk asset as accorded by Bank Negara Malaysia)
14.06.2022 Johor
Corporation NR
27.05.2039 1Malaysia
Development
Berhad
NR
50,000,000
48,369,685
50,364,732
3.60
35,000,000
38,333,923
38,912,590
2.86
85,000,000
86,703,608
89,277,322
6.46
(Forward)
38
Maturity
date
Issuer
Credit
rating
Nominal
value
RM
Fair
value
RM
Adjusted
cost
RM
Fair
value as a
percentage of
net asset
value
%
15.02.2017 Government
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
NR
20,000,000
20,533,977
20,311,383
1.53
NR
40,000,000
40,666,804
40,407,990
3.03
NR
20,000,000
20,310,656
20,119,810
1.51
NR
40,000,000
40,517,055
40,178,724
3.02
NR
65,000,000
66,667,450
66,537,400
4.97
NR
10,000,000
10,990,639
10,918,682
0.82
NR
50,000,000
50,629,508
50,228,366
3.77
NR
20,000,000
20,722,976
20,653,498
1.54
NR
40,000,000
40,194,925
40,719,292
3.00
NR
10,000,000
10,261,996
10,306,445
0.76
NR
95,000,000
96,576,798
95,953,457
7.20
NR
30,000,000
30,365,577
30,595,361
2.26
NR
52,500,000
52,203,009
52,452,857
3.89
NR
70,000,000
71,009,008
71,698,643
5.29
NR
72,500,000
72,053,010
71,943,546
5.37
NR
25,000,000
25,264,000
26,383,841
1.88
NR
10,000,000
9,593,477
10,266,340
0.72
NR
45,000,000
41,613,026
42,194,424
3.10
NR
52,500,000
52,520,260
52,900,019
3.92
NR
10,000,000
9,091,921
9,930,911
0.68
777,500,000
781,786,072
784,700,989
58.26
(Forward)
39
Maturity
date
Issuer
Credit
rating
Nominal
value
RM
Fair
value
RM
Adjusted
cost
RM
Fair
value as a
percentage of
net asset
value
%
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
of Malaysia
NR
5,000,000
5,064,153
5,020,499
0.38
NR
30,000,000
30,379,556
30,250,367
2.26
NR
20,000,000
20,208,814
20,156,121
1.51
NR
52,500,000
52,902,670
52,745,008
3.94
NR
10,000,000
10,220,903
10,204,730
0.76
NR
30,000,000
29,991,900
30,001,015
2.24
NR
20,000,000
19,804,382
20,151,578
1.48
NR
95,000,000
95,930,941
95,624,740
7.15
NR
30,000,000
29,574,264
29,826,015
2.20
NR
10,000,000
10,024,361
10,369,101
0.75
NR
30,000,000
30,344,234
30,537,640
2.25
NR
10,000,000
9,400,577
9,598,575
0.70
NR
20,000,000
19,972,450
20,425,179
1.49
NR
52,500,000
50,786,804
51,522,795
3.78
NR
20,000,000
18,952,220
20,273,731
1.42
435,000,000
433,558,229
436,707,094
32.31
1,312,223,284 1,320,862,869
97.79
Total financial assets at FVTPL 1,307,500,000
(8,639,585)
Shortfall of fair value over cost
40
The weighted average effective yield on unquoted investments are as follows:
Effective yield*
2015
2014
%
%
Corporate bond
Quasi-Government Bonds
3.95
4.72
3.68
3.85
4.07
4.71
3.80
3.92
* As provided by Markit Indices Limited.
Analyses of the remaining maturity of unquoted investments as at 31 December 2015 and 31
December 2014 are as follows:
5.
1 year to
5 years
RM
More than
5 years
RM
2015
At nominal value:
Corporate bond
10,000,000
410,000,000
262,500,000
85,000,000
367,500,000
172,500,000
2014
At nominal value:
Corporate bond
10,000,000
240,800,000
78,460,000
140,000,000
150,000,000
70,000,000
DEPOSITS WITH FINANCIAL INSTITUTIONS
2015
RM
2014
RM
At nominal value:
Short-term deposits with licensed banks
29,524,000
23,526,000
At carrying value:
Short-term deposits with licensed banks
29,527,721
23,528,449
41
Details of deposit with financial institution as at 31 December 2015 are as follows:
Maturity
date
Bank
Nominal
value
RM
Carrying
value
RM
Purchase
cost
RM
Carrying
value as a
percentage of
net asset
value
%
Short-term deposit with a licensed bank
04.01.2016 Public Bank
Berhad
29,524,000
29,527,721
2.20
29,524,000
The weighted average effective interest rate and average remaining maturity of short-term deposits
are as follows:
Weighted average effective
interest rate
2015
2014
%
%
Short-term deposits with
licensed banks
6.
4.60
3.80
Remaining
maturity
2014
2015
Days
Days
4
2
2015
RM
2014
RM
AMOUNT DUE FROM/(TO) MANAGER
Creation of units*
Manager‟s fee payable
451,110
(92,778)
(63,008)
358,332
(63,008)
* The amount represents amount receivable from the Manager for units created.
Manager‟s fee was charged at a rate of 0.10% (2014: 0.10%) per annum on the net asset value of the
Fund, calculated on a daily basis.
The normal credit period in the previous and current financial years for creation of units is three
business days.
The normal credit period in the previous and current financial years for Manager‟s fee payable is
one month.
7.
AMOUNT DUE TO TRUSTEE
Up until 30 September 2014, Trustee‟s fee was charged at a rate of 0.07% (2014: 0.07%) per annum
on the net asset value of the Fund, calculated on a daily basis.
Effective from 1 October 2014, the Trustee‟s fee was charged at a rate of 0.05% per annum on the
net asset value of the Fund, calculated on a daily basis.
The normal credit period in the previous and current financial years for Trustee‟s fee payable is one
month.
42
8.
AMOUNT DUE TO INDEX PROVIDER
Amount due to index provider is the licence fee payable to Markit Indices Limited, the provider of
the benchmark index.
Licence fee is calculated on a daily basis at the following rate:
Fund Size
% p.a.
From 1 July 2008 onwards
For amount equal to or less than Initial Funding
For amount above Initial Funding, but equal to or less than 275%
of Initial Funding
For amount above 275% of Initial Funding
0.0175
0.01
No charge
Subject to a minimum annual fee of USD21,234
* Initial Funding for the Fund was USD115,400,000.
9.
NET GAIN FROM INVESTMENTS
2015
RM
Net gain on financial assets at FVTPL comprised:
− Net realised loss on sale of investments
− Net unrealised gain on changes in fair values of
investments
2014
RM
(991,003)
(4,300,598)
1,995,962
8,060,291
1,004,959
3,759,693
10. OTHER EXPENSES
Included in other expenses is Goods and Services Tax incurred by the Fund during the financial year
amouting to RM54,405 (2014: nil).
11. TOTAL EQUITY
Total equity is represented by:
Unitholders‟ capital
Retained earnings/(accumulated loss)
− Realised income
− Unrealised loss
43
Note
2015
RM
2014
RM
(a)
1,325,924,353
693,348,293
(b)
(c)
24,591,425
(8,639,585)
3,181,692
(10,635,547)
1,341,876,193
685,894,438
(a) UNITHOLDERS’ CAPITAL/UNITS IN CIRCULATION
2015
2014
Number of
units
At beginning of the
financial year
Creation/adjustment during
the financial year
Distributions out of
distribution/loss
equalisation (Note 14)
At end of the financial year
RM
Number of
units
RM
660,421,800
693,348,293
647,421,800
680,157,976
605,000,000
638,536,250
13,000,000
14,006,866
-
(5,960,190)
-
(816,549)
1,265,421,800
1,325,924,353
660,421,800
693,348,293
(b) REALISED – DISTRIBUTABLE
2015
RM
At beginning of the financial year
2014
RM
3,181,692
22,878,849
Total comprehensive income for the financial year
Net unrealised gain attributable to investments
held transferred to unrealised reserve [Note 11(c)]
Distributions out of realised reserve (Note 14)
29,002,591
26,911,893
(1,995,962)
(5,596,896)
(8,060,291)
(38,548,759)
Net increase/(decrease) in realised reserve for the
financial year
21,409,733
(19,697,157)
24,591,425
3,181,692
(c) UNREALISED – NON-DISTRIBUTABLE
2015
RM
At beginning of the financial year
Net unrealised gain attributable to investments
held transferred from realised reserve [Note 11(b)]
2014
RM
(10,635,547)
(18,695,838)
1,995,962
8,060,291
(8,639,585)
(10,635,547)
12. UNITS HELD BY RELATED PARTIES
2015
Number of
units
Parties related to the Manager*
181,833,330
44
2014
RM
191,288,663
Number of
units
2,425,730
RM
2,510,631
*
The parties related to the Manager are the legal and beneficial owners of the units. The Manager
did not hold any units in the Fund as at 31 December 2015 and 31 December 2014.
13. INCOME TAX
Income tax payable is calculated on investment income less deduction for permitted expenses as
provided for under Section 63B of the Income Tax Act, 1967.
Pursuant to Schedule 6 of the Income Tax Act, 1967, local interest income derived by the Fund is
exempted from tax.
A reconciliation of income tax expense applicable to net income before tax at the statutory income
tax rate to income tax expense at the effective income tax rate of the Fund is as follows:
2015
RM
Net income before tax
Taxation at Malaysian statutory rate of 25%
Tax effects of:
Income not subject to tax
Loss not deductible for tax purposes
Restriction on tax deductible expenses for Exchange Traded
Funds
Non-permitted expenses for tax purposes
Permitted expenses not used and not available for future
financial years
2014
RM
29,002,591
26,911,893
7,250,600
6,728,000
(7,819,600)
247,800
(8,119,800)
1,075,200
162,900
140,200
157,800
141,300
18,100
17,500
-
-
Tax expense for the financial year
14. DISTRIBUTIONS
Distributions to unitholders declared on 15 Jun 2015 (declared on 4 July 2014 and 22 December
2014 for the previous financial year) are from the following sources:
2015
RM
2014
RM
6,881,685
5,960,190
19,395,628
20,419,915
816,549
Less: Expenses
12,841,875
(1,284,789)
40,632,092
(1,266,784)
Total amount of distributions
11,557,086
39,365,308
1.68
6.00
Undistributed net income brought forward
Interest income
Distribution/loss equalisation
Gross/net distributions per unit (sen)
(Forward)
45
2015
RM
Distributions made out of:
− Realised reserve [Note 11(b)]
− Distribution/loss equalisation [Note 11(a)]
Comprising:
Cash distributions
2014
RM
5,596,896
5,960,190
38,548,759
816,549
11,557,086
39,365,308
11,557,086
39,365,308
Included in the distribution for the financial year ended 31 December 2014 was an amount of
RM19,395,628 distributed from previous financial years‟ realised income.
The above distribution has been proposed before taking into account the net realised loss of
RM991,003 (2014: RM4,300,598) and net unrealised loss of RM8,639,585 (2014: RM10,635,547)
which are carried forward to the next financial year.
15. MANAGEMENT EXPENSE RATIO (“MER”)
The Fund‟s MER is as follows:
2015
% p.a.
2014
% p.a.
Manager‟s fee
Trustee‟s fee
Licence fee
Fund‟s other expenses
0.10
0.05
0.01
-*
0.10
0.07
0.01
-*
Total MER
0.16
0.18
* represents less than 0.01%
The MER of the Fund is the ratio of the sum of annualised fees and expenses incurred by the Fund
to the average net asset value of the Fund calculated on a daily basis.
16. PORTFOLIO TURNOVER RATIO (“PTR”)
The PTR of the Fund, which is the ratio of average total acquisitions and disposals of investments
to the average net asset value of the Fund calculated on a daily basis, is 0.74 times (2014: 0.66
times).
17. SEGMENTAL REPORTING
In accordance with the objective of the Fund, substantially all of the Fund‟s investments are made in
the form of fixed income instruments in Malaysia. The Manager is of the opinion that the risk and
rewards from these investments are not individually or segmentally distinct and hence the Fund does
not have a separately identifiable business or geographical segments.
46
18. TRANSACTIONS WITH FINANCIAL INSTITUTIONS
Details of transactions with financial institutions for the financial year ended 31 December 2015 are as follows:
Financial institutions
Transaction value
RM
%
CIMB Bank Berhad
Public Bank Berhad
AmBank (M) Berhad*
Standard Chartered Bank Malaysia Berhad
RHB Bank Berhad
Malayan Banking Berhad
Citibank Berhad
Bank of America
Bank Islam Malaysia Berhad
RHB Investment Bank Berhad
Other financial institutions
1,753,145,302
1,546,504,600
468,874,189
385,424,423
279,098,000
137,793,400
71,936,383
69,882,689
60,890,575
36,089,066
20,069,281
36.30
32.02
9.71
7.98
5.78
2.85
1.49
1.44
1.26
0.75
0.42
Total
4,829,707,908
100.00
*
A financial institution related to the Manager. The Manager and the Trustee are of the opinion that the
above transactions have been entered in the normal course of business and have been established under terms
that are no less favourable than those arranged with independent third parties.
The above transactions were in respect of fixed income instruments and money market deposits. Transactions in
these investments do not involve any commission or brokerage.
19. FINANCIAL INSTRUMENTS
(a) Classification of financial instruments
The significant accounting policies in Note 3 describe how the classes of financial instruments are measured,
and how income and expenses, including fair value gains and losses, are recognised. The following table
analyses the financial assets and liabilities of the Fund in the statement of financial position by the class of
financial instrument to which they are assigned, and therefore by the measurement basis.
Loans and
receivables
at amortised
cost
RM
Financial
assets
at FVTPL
RM
2015
Assets
Investments
Deposits with financial
institutions
Amount due from Manager
Cash at banks
Total financial assets
Financial
liabilities at
amortised
cost
RM
Total
RM
1,312,223,284
-
-
1,312,223,284
-
29,527,721
358,332
1,340
-
29,527,721
358,332
1,340
1,312,223,284
29,887,393
-
1,342,110,677
(Forward)
47
Loans and
receivables
at amortised
cost
RM
Financial
assets
at FVTPL
RM
Financial
liabilities at
amortised
cost
RM
Total
RM
2015
Liabilities
Sundry payables and accrued
expenses
-
-
46,389
91,581
46,389
91,581
-
-
96,514
96,514
Total financial liabilities
-
-
234,484
234,484
689,082,951
-
-
689,082,951
-
23,528,449
2,212
-
23,528,449
2,212
689,082,951
23,530,661
-
712,613,612
-
-
63,008
31,504
62,568
26,416,872
63,008
31,504
62,568
26,416,872
-
-
145,222
145,222
-
-
26,719,174
26,719,174
2014
Assets
Investments
Deposits with financial
institutions
Cash at banks
Total financial assets
Liabilities
Amount due to Manager
Distributions payable
Sundry payables and accrued
expenses
Total financial liabilities
Income, expense, gains
and losses
2015
2014
RM
RM
Net gain from financial assets at FVTPL
Income, of which derived from:
– Interest income from financial assets at FVTPL
- Interest income from loans and receivables
1,004,959
3,759,693
28,762,187
520,234
23,886,548
532,436
(b) Financial instruments that are carried at fair value
The Fund‟s financial assets and liabilities at FVTPL are carried at fair value.
The Fund uses the following hierarchy for determining and disclosing the fair value of financial instruments
by valuation technique:
Level 1:
quoted (unadjusted) prices in active markets for identical assets or liabilities;
Level 2:
other techniques for which all inputs which have a significant effect on the recorded fair values
are observable; either directly or indirectly; or
Level 3:
techniques which use inputs which have a significant effect on the recorded fair value that are
not based on observable market data.
48
The following table shows an analysis of financial instruments recorded at fair value by the level of the fair
value hierarchy:
Level 1
RM
Level 2
RM
Level 3
RM
Total
RM
2015
-
1,312,223,284
-
1,312,223,284
2014
-
689,082,951
-
689,082,951
(c) Financial instruments that are not carried at fair value and whose carrying amounts are reasonable
approximation of fair value
The following are classes of financial instruments that are not carried at fair value and whose carrying
amounts are reasonable approximation of fair value due to their short period to maturity or short credit
period:







Amount due from/(to) Manager
Cash at banks
Distribution payable
Sundry payables and accrued expenses
There were no financial instruments which are not carried at fair values and whose carrying amounts are not
reasonable approximation of their respective fair values.
20. RISK MANAGEMENT POLICIES
The Fund is exposed to a variety of risks that include market risk, credit risk, liquidity risk, single issuer risk,
regulatory risk, management risk and non-compliance risk.
Risk management is carried out by closely monitoring, measuring and mitigating the above said risks, careful
selection of investments coupled with stringent compliance to investment restrictions as stipulated by the Capital
Market and Services Act 2007, Securities Commission‟s Guidelines on Exchange Traded Funds and the Deed as
the backbone of risk management of the Fund.
Market risk
Market risk is the risk that the value of a portfolio would decrease due to changes in market risk factors such as
equity prices, foreign exchange rates, interest rates and commodity prices.
49
(a) Objectives and limitations of the Value at Risk ("VaR") methodology
The Fund models the Value-at-Risk based on Gaussian distribution to assess possible changes in the market
value of the portfolio. Based on 180 weekly historical data points, the potential loss at the 99% confidence
level is estimated. The VaR model is designed to measure market risk during normal market conditions. Due
to the fact that VaR relies on historical data to provide information and that there is no prediction of the
future change in the risk factors, the probability of large market movement may be underestimated. VaR may
also be under- or over-estimated due to the interdependence between the market risk factors. Even though
positions may change throughout the day, the VaR only represents the risk of the portfolio at the close of
each business day.
In practice, the actual portfolio results will differ from the VaR calculation. In particular, the calculation does
not provide a meaningful indication of losses under stressed market conditions.
(b) VaR assumptions
The VaR that the Fund measures is an estimate, using a confidence level of 99%, of the potential loss that is
not expected to be exceeded if the current market risk positions were to be held unchanged for one day. The
use of a 99% confidence level means that, within a one day horizon, losses exceeding the VaR figure should
occur, on average under normal market conditions, not more than once every hundred days.
Value-at-Risk (%)
Interest
Total
rate risk
VaR
2015
Average daily
Highest
Lowest
0.46
0.50
0.52
0.46
0.46
0.50
0.52
0.46
2014
Average daily
Highest
Lowest
0.44
0.30
0.44
0.23
0.44
0.30
0.44
0.23
Based on Gaussian VaR, using historical weekly data for the past 180 weeks, the Fund‟s portfolio had a daily
1% Value-at-Risk (VaR) of approximately 0.46% (2014: 0.44%). This implies that not more than 1 out of
100 trading days the Fund would record a daily loss exceeding 0.46% (2014: 0.44%) of the net asset value.
Credit risk
Credit risk is the risk that the counterparty to a financial instrument will cause a financial loss to the Fund by
failing to discharge an obligation. The Fund invests in fixed income instruments. As such the Fund would be
exposed to the risk of bond issuers and financial institutions defaulting on its repayment obligations which in turn
would affect the net asset value of the Fund. This risk is mitigated by performing continuous fundamental credit
research and analysis to ascertain the creditworthiness of the relevant counterparties.
50
(a) Credit quality of financial assets
The following table analyses the Fund‟s portfolio of debt securities by rating category as at 31 December
2015 and 31 December 2014:
As a % of
As a % of
debt
net asset
Credit rating
RM
securities
value
2015
AAA
NR*
2014
AAA
NR*
10,175,375
1,302,047,909
0.78
99.22
0.76
97.03
1,312,223,284
100.00
97.79
10,165,260
678,917,691
1.48
98.52
1.48
98.98
689,082,951
100.00
100.46
* Non-rated
For deposits with financial institutions, the Fund only makes placements with financial institutions with
sound rating. The following table presents the Fund‟s portfolio of deposits by rating category as at 31
December 2015 and 31 December 2014:
As a % of
As a % of
net asset
Credit rating
RM
deposits
value
2015
P1/MARC-1
29,527,721
100.00
2.20
2014
P1/MARC-1
23,528,449
100.00
3.43
Cash at banks are held for liquidity purposes and are not exposed to significant credit risk.
(b) Credit risk concentration
Concentration of risk is monitored and managed based on sectorial distribution. The table below analyses the
Fund‟s portfolio of debt securities by sectorial distribution as at 31 December 2015 and 31 December 2014:
Sector
RM
2015
Financial services
Public Finance
(Forward)
51
As a % of
debt
securities
As a % of
net asset
value
10,175,375
1,302,047,909
0.78
99.22
0.76
97.03
1,312,223,284
100.00
97.79
Sector
RM
2014
Financial services
Public Finance
As a % of
debt
securities
As a % of
net asset
value
65,274,883
623,808,068
9.47
90.53
9.51
90.95
689,082,951
100.00
100.46
There is no geographical risk as the Fund invests only in investments in Malaysia.
Liquidity risk
Liquidity risk is defined as the risk of being unable to raise funds or borrowing to meet payment obligations as
they fall due. The Fund maintains sufficient level of liquid assets, after consultation with the Trustee, to meet
anticipated payments and cancellations of units by unitholders. Liquid assets comprise of deposits with licensed
financial institutions and other instruments, which are capable of being converted into cash within 5 to 7 days.
The Fund‟s policy is to always maintain a prudent level of liquid assets so as to reduce liquidity risk.
Objectives and assumptions
For each security in the Fund, the cash flows are projected according to its asset class. Each asset class, if
any, follows the calculation method as below:
(i) For bonds
(a)
For zero-coupon bonds, the nominal amount will be returned at maturity date.
(b)
For non-zero coupon bonds, the coupons could be paid on annual, bi-annual or quarterly basis.
Cash received from bonds are calculated as follows:
$ = cash received
R = annual coupon rate
F = coupon frequency

For zero coupon bonds, F = 0
At maturity: $ = Nominal

For F > 0
Before maturity: coupon payment, $ = Nominal * (R/F)
At maturity: maturity payment, $ = Nominal + (Nominal * R/F)
(ii) For money market instruments and deposits
The nominal amount and interest will be paid at maturity date. Cash received are calculated as follows:
$ = cash received
R = annual interest/profit rate
F = time to maturity (days)
At maturity: $ = Nominal + (Nominal*R*d/365)
52
The following table presents the undiscounted contractual cash flows from different asset and liability classes in
the Fund:
0–1
year
2015
Financial assets
Investments
50,770,100
Deposits
with financial
institutions
29,538,883
1,340
Cash at banks
358,332
Other assets
Contractual cash flows (undiscounted)
2–3
3–4
4–5
years
years
years
1–2
years
More than
5 years
194,407,875
146,581,700
215,366,275
294,278,900
767,743,975
-
-
-
-
-
-
-
-
-
-
80,668,655
194,407,875
146,581,700
215,366,275
294,278,900
767,743,975
234,484
Other liabilities
-
-
-
-
-
130,859,012
156,306,475
57,467,550
66,459,750
483,450,225
-
-
-
-
-
50,349,838
130,859,012
156,306,475
57,467,550
66,459,750
483,450,225
Other liabilities 26,719,174
-
-
-
-
-
Total assets
2014
Financial assets
26,816,727
Investments
Deposits
with financial
23,530,899
institutions
2,212
Cash at banks
Total assets
Single issuer risk
Internal policy restricts the Fund from investing in securities issued by any issuer of not more than a certain
percentage of its net asset value. Under such restriction, the risk exposure to the securities of any single issuer is
diversified and managed based on internal/external ratings.
Regulatory risk
Any changes in national policies and regulations may have effects on the capital market and the net asset value of
the Fund.
Management risk
Poor management of the Fund may cause considerable losses to the Fund that in turn may affect the net asset
value of the Fund.
Non-compliance risk
This is the risk of the Manager, the Trustee or the Fund not complying with internal policies, the Deed of the
Fund, securities law or guidelines issued by the regulators. Non-compliance risk may adversely affect the
investments of the Fund when the Fund is forced to rectify the non-compliance.
53
This is the risk of the Manager, the Trustee or the Fund not complying with internal policies, the Deed of the
Fund, securities law or guidelines issued by the regulators. Non-compliance risk may adversely affect the
investments of the Fund when the Fund is forced to rectify the non-compliance.
21. CAPITAL MANAGEMENT
The primary objective of the Fund‟s capital management is to ensure that it maximises unitholders‟ value by
expanding its fund size to benefit from economies of scale and achieving growth in net asset value from the
performance of its investments.
The Fund manages its capital structure and makes adjustments to it, in light of changes in economic conditions.
To maintain or adjust the capital structure, the Fund may issue new or bonus units, make distribution payment, or
return capital to unitholders by way of redemption of units.
No changes were made in the objective, policies or processes during the financial years ended 31 December 2015
and 31 December 2014.
54
STATEMENT BY THE MANAGER
I, DATIN MAZNAH MAHBOB, for and on behalf of the Manager, AmFunds Management
Berhad (formerly known as AmInvestment Services Berhad), for ABF Malaysia Bond Index
Fund do hereby state that in the opinion of the Manager, the accompanying statement of financial
position, statement of comprehensive income, statement of changes in equity, statement of cash
flows and the accompanying notes are drawn up in accordance with Malaysian Financial Reporting
Standards and International Financial Reporting Standards so as to give a true and fair view of the
financial position of the Fund as at 31 December 2015 and the comprehensive income, the changes
in equity and cash flows of the Fund for the financial year then ended.
DATIN MAZNAH MAHBOB
For and on behalf of the Manager
29 January 2016
55
TRUSTEE’S REPORT
29 January 2016
56
DIRECTORY
Head Office
9th Floor, Bangunan AmBank Group
Tel: (03) 2032 2888 Facsimile: (03) 2031 5210
Email: enquiries@aminvest.com
Postal Address
P.O Box 13611, 50816 Kuala Lumpur
Related Institutional Unit Trust Agent
AmBank (M) Berhad
Company No. 8515-D
Head Office
31st Floor, Menara AmBank
No. 8 Jalan Yap Kwan Seng, 50450 Kuala Lumpur
AmInvestment Bank Berhad
Company No. 23742-V
Head Office
55 Jalan Raja Chulan, 50200 Kuala Lumpur
For more details on the list of IUTAs, please contact the Manager.
For enquiries about this or any of the other Funds offered by AmFunds Management Berhad
please call 2032 2888 between 8.45 a.m. to 5.45 p.m. (Monday - Thursday),
Friday (8.45 a.m. to 5.00 p.m.)
57
Semi-Annual Report
28 February 2015
03 2132 2888 | aminvest.com | enquiries@aminvest.com
AmFunds Management Berhad (formerly known as AmInvestment Services Berhad)
(154432-A)

ABF Malaysia Bond Index Fund

Transcription

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