2022-08-31-港交所-ＦＩ二南方恒指_截至二零二二年六月三十日止的未经审核中期报告_17页_340kb

CSOP Hang Seng Index Daily (-2X) Inverse Product Summary

Core Information

• Fund Name: CSOP Hang Seng Index Daily (-2X) Inverse Product
• Sub-fund of: CSOP Leveraged and Inverse Series
• Established: 24 May 2019
• Trading Code: 7500
• Trading Exchange: Stock Exchange of Hong Kong Limited (SEHK)
• NAV (Dealing) as of 30 June 2022: HKD 5.2056
• Units Outstanding: 464,800,000
• Total Assets Under Management (TAUM): Approximately HKD 2.4 billion
• Performance:
  • Sub-Fund Performance: -8.16% (vs. Hang Seng Index -6.57%)
  • YTD Price Return (HKD counter): -8.45%
• Index Provider: Hang Seng Indexes Company Limited
• Index Type: Free float-adjusted market capitalization weighted index
• Index Composition: Tracks blue chip companies listed on the SEHK

Investment Strategy

• Replication Strategy: Combines futures-based replication and swap-based synthetic replication to track the Hang Seng Index.
• Futures Roll: Monthly roll on the Hang Seng Index Futures shortly before expiration.
• Total Monthly Futures Rolls: 37 since inception.

Financial Position (As of 30 June 2022)

• Total Assets: HKD 2,473,685,683
• Total Liabilities: HKD 54,725,603
• Net Assets Attributable to Unitholders: HKD 2,418,960,080
• NAV per Unit: HKD 5.2043

Comprehensive Income (For the Period Ended 30 June 2022)

• Total Net Income: HKD 412,697,362
• Total Comprehensive Income: HKD 383,482,830
• Net Assets Attributable to Unitholders at the End of the Period: HKD 2,418,960,080

Cash Flows (For the Period Ended 30 June 2022)

• Net Cash Generated from Operating Activities: HKD 640,426,787
• Net Increase in Cash and Cash Equivalents: HKD 82,950,087
• Cash and Cash Equivalents at the End of the Period: HKD 1,342,750,187

Investment Portfolio (Unaudited)

• Investments and Derivative Financial Instruments: 25.81% of net assets
  • Listed Investment Funds: 27.90%
    • CSOP Hong Kong Dollar Money Market ETF - Unlisted Share Class A: HKD 44,706,737
    • CSOP US Dollar Money Market ETF - Unlisted Share Class A: HKD 26,220,159
  • Listed Futures Contracts: -0.87%
    • Hang Seng Index Future (28 July 2022): Contracts = -2,932, Fair Value = HKD -21,164,660
  • Unlisted Swap Futures Contracts: -1.22%
    • Hang Seng Index Future (28 July 2022, SWAP): Contracts = -1,500, Fair Value = HKD -29,419,935
• Other Net Assets: HKD 1,794,627,394

Performance Record

• Hang Seng Index Performance (30 June 2022): -6.57%
• Sub-Fund Performance (30 June 2022): -8.16%
• YTD Price Return (HKD counter): -8.45%
• Net Asset Value Trends:
  • 30 June 2022: HKD 5.2056
  • 31 December 2021: HKD 5.6664
  • 31 December 2020: HKD 5.1192
  • 31 December 2019 (Inception): HKD 6.1870
• Highest and Lowest NAV per Unit:
  • 30 June 2022: Highest = HKD 8.6702, Lowest = HKD 4.8803
  • 31 December 2021: Highest = HKD 6.0370, Lowest = HKD 3.8853
  • 31 December 2020: Highest = HKD 10.0115, Lowest = HKD 5.0943

Underlying Index Constituent Stock Disclosure

• Top Security (Collective Investment Scheme): CSOP Hong Kong Dollar Money Market ETF - Unlisted Class A
  • 30 June 2022: HKD 463,251,207 (19.15% of net assets)
  • 31 December 2021: HKD 700,078,746 (27.00% of net assets)
• Government Securities: None accounted for more than 10% but less than 30% of net assets.

Key Financial Instruments

• Futures Contracts:
  • Hang Seng Index Future (28 July 2022):
    • Financial Assets: Short position, Fair Value = HKD 1,990,690
    • Financial Liabilities: Short position, Fair Value = HKD -23,155,350
• Swap Futures Contracts:
  • Hang Seng Index Future (28 July 2022, SWAP):
    • J.P. Morgan Securities plc: Fair Value = HKD -20,176,335
    • Societe Generale: Fair Value = HKD -9,243,600

Collateral Holdings

• Collateral Held: None as of 30 June 2022.

Key Entities

• Manager: CSOP Asset Management Limited
• Trustee: HSBC Institutional Trust Services (Asia) Limited
• Custodian: The Hongkong and Shanghai Banking Corporation Limited
• Service Agent: HK Conversion Agency Services Limited
• Listing Agent: Altus Capital Limited
• Legal Counsel: Simmons & Simmons
• Auditor: PricewaterhouseCoopers

Management Team

• Directors of the Manager:
  • Chen Ding
  • Gaobo Zhang
  • Xiaosong Yang
  • Xiuyan Liu (resigned on 17 June 2022)
  • Yi Zhou
  • Yundong Zhu (appointed on 17 June 2022)
  • Zhiwei Liu
  • Zhongping Cai

Notes

• Accounting Policies: Same as those used in annual reports.
• Fees and Expenses:
  • Management Fee: Paid to the Manager, no other payments to the Manager or connected persons in 2022.
  • Transaction Costs: HKD -9,693,268
  • Other Operating Expenses: HKD -187,840
  • Total Operating Expenses: HKD -29,214,532

Conclusion

The CSOP Hang Seng Index Daily (-2X) Inverse Product is designed to provide daily returns that closely mirror -2 times the performance of the Hang Seng Index. As of 30 June 2022, it reported a -8.16% return compared to the Index's -6.57%, with a net asset value of HKD 5.2056 and 464.8 million units outstanding. The fund employs a hybrid strategy of futures and swap replication, and its portfolio is dominated by investment funds and futures contracts. The fund has shown volatility in its NAV, with significant fluctuations in both high and low values over the reporting period.