2022-04-29-港交所-ＸＩ二南方恒科_截至二零二一年十二月三十一日止的经审核账目_47页_791kb

报告摘要

CSOP Hang Seng TECH Index Daily (-2x) Inverse Product Overview

Product Type: A sub-fund of CSOP Leveraged and Inverse Series, a HK-based umbrella unit trust.
Trading Details: Inception date 8 Dec 2020; listed on SEHK under stock code 07552 (Note: In the content, stock code 07552 is mentioned, but in financials it's referenced as 7226, likely a typo—it's 07552).
Listed Stock Code: 07552 (Trading currency is HKD).

Key Financials

At 31 Dec 2021:
- Total Assets: HKD 439.1M, Net Assets: HKD 380.5M.
- Maximum Exposure via Drop: HKD 380.5M if units redeemed fully.
Performance:
- Dealing NAV 1Y: +39.24% (vs index -32.70%).
- NAV/YTD price return HKD 9.8578 per unit.

Investment Structure and Default Risks

Strategy: Swap-based synthetic replication linked to Hang Seng TECH Index, using:
- Designated Hedge Instruments: List holds ETF in HKD & USD money markets.
- Total Return Swaps: Short positions totaling ~HKD 5.49M.
Counterparty Risk Management:
- Traded with BNP Paribas, Citigroup, Societe Generale.
- Master netting agreements assumed.
Margin/Collateral:
- Posted ~HKD 10.12M to counterparties.
- Received ~HKD 42.43M in cash collateral.

Manager and Compliance

Manager: CSOP Asset Mgmt Ltd.
Trustee: HSBC Institutional Trust Services Asia Ltd.
Effective Structure:
- Leverage: Target -2x daily index performance.
- Constraints: Only redeemable at holder’s option.
Compliance:
- Audited by PwC under IFRS (HK Code not proportion of overall trust code—use standard accounting framework).
- Regulatory approval per SFC Code.

Fee Structure and Costs

Annual Management Fee: 1.6% (fully amortized over five years, start expensed or upfront).
Expense Coverage: Includes manager, custodian, registrar fees.

Marketing and Target Audience

Investment Objective: High-frequency daily inverse returns.
Target Group: Sophisticated investors OR investors using Put-Call Protection (PCP) to hedge exposure.
Risk Profile: Inverse leveraged ETF style—unsuitable for new or casual investors.

Sales Advisory

First-time purchase requires strict risk assessment. Not appropriate for investors without experience in volatility-prone financial instruments. Consider risk-adjusted palliatives like PCP derivatives to limit drawdown exposure if deploying capital.