2022-08-30-港交所-ＸＩ南方Ａ５０_截至二零二二年六月三十日止的未经审核中期报告_13页_380kb

CSOP FTSE China A50 Index Daily (-1X) Inverse Product Summary

Core Content

This document presents the unaudited semi-annual report for the CSOP FTSE China A50 Index Daily (-1X) Inverse Product, a sub-fund of the CSOP Leveraged and Inverse Series II, as of 30 June 2022. It provides an overview of the fund’s financial position, comprehensive income, changes in net assets, cash flows, investment portfolio, performance record, and management and administration details.

Key Financial Highlights

Condensed Statement of Financial Position (As at 30 June 2022)

• Total Assets: US$8,767,751
• Total Liabilities: US$419,967
• Net Assets Attributable to Unitholders: US$8,347,784
• Net Asset Value per Unit: US$1.0435
• Number of Units in Issue: 8,000,000 units

Compared to the end of 2021 (US$22,905,976), the net assets decreased significantly, and the net asset value per unit also declined.

Main Viewpoints

Condensed Statement of Comprehensive Income

• Total Net Income for the Period (1 Jan 2022 – 30 Jun 2022): US$1,181,446
• Total Operating Expenses: US$173,237
• Total Comprehensive Income/(Loss): US$1,181,446

This represents a positive comprehensive income for the period, driven by net gains on financial assets, rebate income, and interest income. However, the expenses include management fees, collateral management fees, and other operational costs.

Condensed Statement of Changes in Net Assets Attributable to Unitholders

• Net Assets at the Beginning of the Period: US$22,905,976
• Net Assets at the End of the Period: US$8,347,784
• Net Decrease from Unit Transactions: US$15,739,638
• Units Redeemed: 13,600,000 units
• Units in Issue at the End of the Period: 8,000,000 units

The net assets have decreased due to a significant number of unit redemptions.

Key Information

Condensed Statement of Cash Flows

• Net Cash Flows from Operating Activities: US$7,821,761
• Net Cash Flows from Financing Activities: US$-15,739,638
• Net Decrease in Cash and Cash Equivalents: US$7,917,877
• Cash and Cash Equivalents at the End of the Period: US$4,019,091

The fund experienced a net cash outflow from financing activities due to unit redemptions, while operating activities generated a positive cash flow.

Investment Portfolio Overview

• Financial Assets at Fair Value Through Profit or Loss: US$4,271,797 (51.17% of net assets)
• Main Holdings:
  • CSOP Hong Kong Dollar Money Market ETF: 16,000 units, fair value US$2,111,947 (25.30% of net assets)
  • CSOP US Dollar Money Market ETF: 21,000 units, fair value US$2,159,850 (25.87% of net assets)
• Total Investments at Fair Value: US$4,271,797
• Total Investments at Cost: US$4,289,264

The investment portfolio consists mainly of ETFs, and the fund has no direct exposure to individual stocks. Instead, it tracks the FTSE China A50 Index through total return swap contracts.

Total Return Swap Contracts

• Counterparties: Citigroup Global Markets Limited, JPMorgan Securities plc, Societe Generale
• Contracts: 91 (CGML), 218 (JPM), 250 (SocGen)
• Fair Value:
  • CGML: US$-31,540 (0.38% of net assets)
  • JPM: US$-131,190 (1.57% of net assets)
  • SocGen: US$-4,197 (0.05% of net assets)
• Total Financial Liabilities at Fair Value: US$-166,927 (2.00% of net assets)

These swaps are used to replicate the inverse performance of the FTSE China A50 Index.

Performance Record

• Net Asset Value (NAV) at 30 June 2022: US$8,379,235
• NAV per Unit at 30 June 2022: US$1.0474
• NAV per Unit at 31 December 2021: US$1.0605
• FTSE China A50 Index Performance:
  • Decreased by 4.61% (from 31 December 2021: 14.53% decrease)
  • NAV per unit decreased by 1.60% (from 31 December 2021: 6.05% increase)

The inverse product's performance reflects the inverse movement of the underlying index.

Underlying Index Constituent Stock Disclosure

• Constituent Securities:
  • CSOP Hong Kong Dollar Money Market ETF
  • CSOP US Dollar Money Market ETF
• Constituent Percentage:
  • CSOP HKD Money Market ETF: 25.30%
  • CSOP USD Money Market ETF: 25.87%
• Total: 51.17% of net assets

These ETFs are the only significant holdings, and they collectively represent more than $10% but less than $30% of the fund’s net assets.

Management and Administration

• Manager: CSOP Asset Management Limited

• 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

• Registrar: Computershare Hong Kong Investor Services Limited

• Legal Counsel: Simmons & Simmons

• Auditor: Ernst & Young

• Administrator and Custodian: Citibank, N.A, Hong Kong Branch

• Trustee: Cititrust Limited

• Service Agent: HK Conversion Agency Services Limited

• Listing Agent: Altus Capital Limited

The fund is managed and administered by a well-established set of service providers in Hong Kong.

Conclusion

The CSOP FTSE China A50 Index Daily (-1X) Inverse Product experienced a decline in net assets and NAV per unit during the period ended 30 June 2022, primarily due to unit redemptions and the negative performance of the underlying index. The fund uses total return swaps to achieve its inverse tracking objective and is structured as an umbrella unit trust with clear roles assigned to various service providers. The fund’s financial position and performance are closely aligned with the inverse movement of the FTSE China A50 Index.