2023-04-28-港交所-南方中证五百_南方中证五百－Ｒ_截至二零二二年十二月三十一日止的经审核账目_56页_985kb

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CSOP CSI 500 ETF Summary

Fund Overview: The CSOP CSI 500 ETF is a sub-fund of the CSOP ETF Series, authorized in Hong Kong under the Securities and Futures Ordinance. It tracks the CSI 500 Index using a combination of physical and synthetic sampling strategies and commenced operations on March 19, 2020. As of December 31, 2022, it had a dealing net asset value per unit of RMB15.8137 and outstanding units of 1,200,000.
Financial Performance: For the year ended December 31, 2022, the fund's net asset value decreased by 22.58% to RMB15.8137 per unit, outperforming the CSI 500 Index, which declined 19.05%. Key financial metrics include total assets of RMB19.108 billion, with investments in listed equities and unlisted funded total return swaps totaling RMB18.935 billion (Level 2 fair value). Comprehensive income showed a net loss of RMB8.696 billion, reflecting lower performance due to dividends, fees, and market conditions.
Key Risks and Management: The fund is exposed to market risk (e.g., fluctuations in the CSI 500 Index), credit and counterparty risk from derivative instruments with high-credit counterparties, and liquidity risk due to daily unit redemptions. Management mitigates these risks through diversification, counterparty monitoring, and fair value assessments. The fund uses a master netting arrangement with Société Générale as its derivative counterparty.
Regulatory Compliance: The fund complies with Hong Kong Financial Reporting Standards and SFC regulations. Key parties include:
- Manager: CSOP Asset Management Limited.
- Trustee: HSBC Institutional Trust Services (Asia) Limited.
- Auditor: PricewaterhouseCoopers.
Performance Data:

Date Net Asset Value (RMB) per Unit

Dec 31, 2022 15.8137

Dec 31, 2021 19.8323

Dec 31, 2020 17.5231

(Note: Full non-dealing NAV data can be found in the report.)
Summary Insights: The fund faced market volatility, with a gross exposure to derivatives of up to 98.13% of NAV in 2022. It maintains 50.37% average net exposure and adheres to regulatory limits on single-issuer holdings in its diversified portfolio.

Date	Net Asset Value (RMB) per Unit
Dec 31, 2022	15.8137
Dec 31, 2021	19.8323
Dec 31, 2020	17.5231
(Note: Full non-dealing NAV data can be found in the report.)

### Key Metrics
- Year-End NAV per Unit: RMB15.8137 (Dec 2022)
- Annual Performance: -22.58% (vs. -19.05% Index)
- Largest Asset: Unlisted funded total return swap (RMB9.01 million)
- Management Fee Rate: 0.99% per annum

Conforms to SFC Code and Hong Kong standards, with audited financial statements approved by the trustee and manager in April 2023.

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