2025-08-19-港交所-ＦＬ二华夏纳一百_2025_半年度未经审核报告页_20页_554kb

ChinaAMC Leveraged/Inverse Series Summary

Core Content Overview

The document provides an unaudited semi-annual report for two products within the ChinaAMC Leveraged/Inverse Series for the period from 1 January 2025 to 30 June 2025. These products are:

• ChinaAMC NASDAQ-100 Index Daily (2x) Leveraged Product (NDL) – Stock Code: 07261 (USD counter)
• ChinaAMC NASDAQ-100 Index Daily (-2x) Inverse Product (NDI2X) – Stock Code: 7522 (USD counter)

Both products are structured as futures-based and are designed to reflect twice the daily performance of the NASDAQ-100 Index, with NDL tracking the positive direction and NDI2X tracking the negative direction.

Key Information

1. Product Structure

• NDL is a leveraged product that seeks to deliver twice the daily performance of the NASDAQ-100 Index.
• NDI2X is an inverse product that seeks to deliver twice the inverse of the daily performance of the NASDAQ-100 Index.
• Both products are denominated in USD and use E-mini NASDAQ 100 Futures traded on the Chicago Mercantile Exchange (CME).
• Units are traded on the Stock Exchange of Hong Kong Limited (SEHK) like stocks.

2. Investment Strategy

• The Manager uses a futures-based replication strategy to achieve the investment objective.
• Under normal circumstances, 60% of the Net Asset Value (NAV) is invested in cash and other USD-denominated products.
• The leverage exposure is 200% of the NAV, unless in extreme circumstances, where it will be at least 170%.
• The products do not engage in securities lending, repurchase agreements, or other over-the-counter transactions.

3. Performance Overview

4. Trading Activity

• NDL had an average daily trading volume of ~20,264 units during the reporting period.
• NDI2X had an average daily trading volume of ~5,131,251 units.
• As of 30 June 2025, NDL had 2,700,000 units outstanding, while NDI2X had 393,800,000 units outstanding.

5. Key Entities Involved

• Manager: China Asset Management (Hong Kong) Limited
• Trustee & Registrar: HSBC Institutional Trust Services (Asia) Limited
• Service Agent: HK Conversion Agency Services Limited
• Legal Counsel: Simmons & Simmons
• Auditor: Ernst & Young
• Listing Agent: Altus Capital Limited
• Participating Dealers:
  • ABN AMRO Clearing Hong Kong Limited
  • AP Capital Management (Hong Kong) Limited
  • BNP Paribas
  • China International Capital Corporation Hong Kong Securities Limited
  • China Merchants Securities (HK) Co., Limited
  • Citigroup Global Markets Asia Limited
  • Credit Suisse Securities (Hong Kong) Limited
  • DBS Vickers (Hong Kong) Limited
  • Guotai Junan Securities (Hong Kong) Limited
  • Haitong International Securities Company Limited
  • J.P. Morgan Broking (Hong Kong) Limited
  • KGI Asia Limited
  • Korea Investment & Securities Asia Limited
  • Merrill Lynch Far East Limited
  • Mirae Asset Securities (HK) Limited
  • Morgan Stanley Hong Kong Securities Limited
  • UBS Securities Hong Kong Limited
  • Yue Xiu Securities Company Limited

6. Financial Position (As at 30 June 2025)

7. Profit or Loss and Comprehensive Income

8. Cash Flow Summary

9. Investment Portfolio (Unaudited)

• NDL:

  • Unlisted collective investment schemes (25.69% of NAV):
    • ChinaAMC Select USD Money Market Fund (19.11%)
    • UBS (IRL) Select Money Market Fund (4.35%)
  • Futures contracts (8.63% of NAV):
    • NASDAQ 100 E-MINI SEP 19/09/2025 (54 contracts, fair value: US$1,072,007)
  • Total investments at fair value: US$4,260,410

• NDI2X:

  • Unlisted collective investment schemes (35.01% of NAV):
    • ChinaAMC Select Money Market Fund (9.30%)
    • ChinaAMC Select USD Money Market Fund (13.26%)
    • UBS (IRL) Select Money Market Fund (12.45%)
  • Futures contracts (8.43% of NAV):
    • NASDAQ 100 E-MINI SEP 19/09/2025 (133 contracts, fair value: US$2,598,484)
  • Total investments at fair value: US$8,188,058

10. Portfolio Movements (Unaudited)

• NDL:

  • ChinaAMC Select USD Money Market Fund: Holdings increased by 8,688 (from 20,646 to 20,574)
  • UBS (IRL) Select Money Market Fund: Holdings increased by 4,200 (from 8,655 to 4,455)
  • Futures contracts: Positions rolled from MAR 2025 to SEP 2025, with 55 contracts held as of 30 June 2025.

• NDI2X:

  • ChinaAMC Select Money Market Fund: Holdings remained unchanged.
  • Futures contracts: Positions rolled from MAR 2025 to SEP 2025, with 133 contracts held as of 30 June 2025.

Main Points

• The products are leveraged/inverse ETFs that track the NASDAQ-100 Index with a 2x or -2x daily exposure.
• They are futures-based, and the Manager maintains a leverage ratio of 200% of the NAV under normal conditions.
• NDL has shown positive performance (e.g., 826.94% since launch), while NDI2X has shown negative performance (e.g., -94.82% since launch).
• The products do not engage in securities lending, repurchase agreements, or other OTC transactions.
• The financial position and performance of both products have been affected by market volatility, interest income, and transaction fees.
• NDL has a lower number of outstanding units compared to NDI2X, but a higher net asset value per unit.
• The portfolio movements reflect a rolling strategy to maintain exposure to the E-mini NASDAQ 100 Futures.

Key Risks and Notes

• The products are not suitable for long-term investment as they are designed for daily performance tracking.
• Performance is subject to market fluctuations, and the leverage may amplify losses.
• Margin requirements and trading halts may affect the exposure ratio.
• NDL and NDI2X are subject to the same accounting policies as the annual financial statements.
• The report is for informational purposes only, and investors should not rely solely on it for investment decisions.