2022-08-30-港交所-ＸＩ南方沪深三百_截至二零二二年六月三十日止的未经审核中期报告_13页_383kb

CSOP CSI 300 Index Daily (-1X) Inverse Product - Financial Summary

Key Financial Data

Financial Position (As of 30 June 2022)

• Total Assets: RMB 86.12 million (down from 167.95 million)
• Total Liabilities: RMB 18.79 million (down from 12.39 million)
• Net Assets: RMB 84.24 million (down from 155.56 million)
• Number of Units: 14.4 million (down from 28.0 million)
• NAV per Unit: RMB 5.85 (up from RMB 5.56)

Performance (Period Ended 30 June 2022)

• NAV Change: +5.30% (Rmb 5.85 to Rmb 5.92 at end of prior quarter)
• Index Performance: CSI 300 Index -9.22% (vs. -8.41 positive impact on fund due to inverse correlation)
• Inception High/Low (2020): High RMB 7.12, Low RMB 5.11

Revenue and Expenses

• Income: Primarily driven by index-linked derivative gains (+RMB 13 million) and rebate income (+RMB 0.13 million).
• Expenses: Includes management fee (RMB 0.52 million) and index licensing fee (RMB 0.05 million).

Summary Notes:

• The fund utilizes total return swaps and forward currency contracts to track an inverse daily CSI 300 index performance.
• Cash flows highlight redemption net outflows of RMB 95.2 million and strong utilization of leverage via financial derivatives.
• Top holdings remain money market funds and derivative contracts, contributing ~52% of total assets as of the period.

Additional Information

• Units Issued/Redeemed: Total units decreased from 28 million to 14.4 million during the period.
• Regulatory Oversight: Operated under Hong Kong regulatory frameworks, managed by CSOP Asset Management and Citibank.