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This document provides a compressed summary of the CSOP Synthetic ChiNext ETF's [2024] financial report, extracting key sections such as fund structure and operations, investment strategy execution, financial condition, performance metrics, and risk management protocols.

Summary of CSOP SZSE CHINEXT ETF Financial Report (Year Ended December 31, 2024)

1. Fund Basics:

Ticker Symbols: 03147 (HKD), 83147 (RMB), a synthetic ETF launched in May 2015.
Objective: Tracks the ChiNext Index performance by combining synthetic representative sampling (using funded total return swaps) with physical methods when required.
Custodian: HSBC (regulated by SFC), listed on SEHK.

2. Investment Strategy & Risk:

Primary Strategy: Synthetic replication via funded total return swaps (<100% leverage); physical (<=50%) or hybrid strategies as ancillary.
Counterparty Risk: Mitigated by requiring high-grade collateral as per contractual agreements.
Tail Risk: Swaps may hedge against index-related & liquidity risks.

3. Financial Highlights:

NAV Performance: 13.17% increase in 2024, outperforming ChiNext Index gains due to fees/dividends.
Assets: Investments + Derivatives: RMB300.9M (approx.), Largely concentrated in Chinese tech stocks.
Key Metrics: Unaudited Portfolio Breakdown: Heavy exposure in consumer cyclical and discretionary sectors; Active use of synthetic derivative placement.

4. Risk Assessment:

Disclose Commitments: Synthetic instruments: 79.04% gross exposure at peak.
Credit Counterparty Review: Counterparty credit ratings maintained at 'investment grade+', with substantial liquidity in derivatives.
Liquidity: Adequate 7-day sales capacity with daily redemption options.

5. Operational & Compliance:

Fee Structure: 0.99% fee incl. Trustee costs.
Governing Body: Hong Kong SFC-compliant, with annual financial audits.

6. Rating Summary:

Auditor Opinion: Unqualified Review granted for compliance with HKFRS & transparency in financial statements.
Total Expense Ratio: Included inherent derivative costs (swap fees) subject to ongoing market assessments.

This summary reflects primary findings from the CSOP SZSE CHINEXT ETF [2024] report to aid stakeholder review or further analysis.

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