2022-04-29-港交所-ＦＬ二南方纳指_截至二零二一年十二月三十一日止的经审核账目_53页_422kb

报告摘要

CSOP NASDAQ-100 Index Daily (2X) Leveraged Product Summary

Core Content Overview

The document provides the audited financial statements and reports for CSOP NASDAQ-100 Index Daily (2X) Leveraged Product, a sub-fund of CSOP Leveraged and Inverse Series II, for the year ended 31 December 2021. It includes the statement of net assets, statement of profit or loss and other comprehensive income, statement of changes in net assets attributable to unitholders, statement of cash flows, and notes to the financial statements, which include accounting policies, significant audit matters, and disclosures.

Main Points

1. Trust and Sub-Fund Structure

CSOP Leveraged and Inverse Series II is an umbrella unit trust established under Hong Kong law and governed by the Trust Deed dated 24 April 2020, as amended.
The Sub-Fund is a leveraged product that tracks twice the daily performance of the NASDAQ-100 Index.
The Sub-Fund commenced operations on 15 May 2020 under stock code 7266 on the Stock Exchange of Hong Kong Limited (SEHK).
As of 31 December 2021, the Trust had eight sub-funds, including the NASDAQ-100 Leveraged Product.

2. Investment Strategy

The Sub-Fund uses a futures-based replication strategy to gain exposure to the NASDAQ-100 Index.
It invests directly in E-mini NASDAQ 100 Futures traded on the Chicago Mercantile Exchange (CME).
The rolling strategy is applied to transition from one quarter’s futures contract to the next, with the goal of completing all roll-over activities one business day before the last trading day of the nearest quarter futures contract.
The roll-over occurs within an 8-calendar day period in the last calendar month of each quarter.

3. Financial Position (Statement of Net Assets)

Total assets as of 31 December 2021 amounted to $2,312,667.
Financial assets at fair value through profit or loss were valued at $369,544, representing 16.1% of the net asset value.
Cash and cash equivalents were $1,342,546 as of 31 December 2021.
Total liabilities amounted to $14,338.
Net assets attributable to unitholders at the end of the year were $2,298,329, down from $3,027,283 as of 31 December 2020.

4. Profit and Loss (Statement of Profit or Loss and Other Comprehensive Income)

Total comprehensive income for the year ended 31 December 2021 was $941,327.
Net gains on financial assets at fair value through profit or loss were $982,671.
Total operating expenses were $84,797.
Operating profit was $941,327.

5. Changes in Net Assets (Statement of Changes in Net Assets Attributable to Unitholders)

Net assets attributable to unitholders at the beginning of the year were $1,620,000.
Redemption of units reduced net assets by $800,000.
Net issue of units increased net assets by $820,000.
Total comprehensive income for the year was $941,327.
Net assets attributable to unitholders at the end of the year were $2,298,329.

6. Cash Flow Analysis (Statement of Cash Flows)

Net cash flows generated from operating activities were $2,669,323 for the year ended 31 December 2021.
Net cash flows used in financing activities were $1,670,281 due to redemption of units.
Net increase in cash and cash equivalents was $999,042, resulting in a balance of $1,342,546 at the end of the year.
For the period from 14 May 2020 to 31 December 2020, net cash flows from operating activities were $502,907.

Key Audit Matters

The independence and integrity of the financial statements were confirmed by the auditor.
The audit was conducted in accordance with ISAs, and the audit opinion was that the financial statements gave a true and fair view of the Sub-Fund’s financial position and performance.
The valuation of financial assets at fair value through profit or loss was a key audit matter.
- These assets were valued at $369,544 or 16.1% of the net asset value.
- The assets included futures contracts and a money market fund.
- The auditor confirmed quantities with custodians, tested valuation processes, and compared valuations to third-party sources.
- Disclosures related to these assets were reviewed against IFRS requirements.

Accounting Policies and Standards

The financial statements are prepared in accordance with International Financial Reporting Standards (IFRSs).
The historical cost convention applies, except for financial assets and liabilities at fair value through profit or loss.
The Sub-Fund uses US$ as its reporting currency.
The Sub-Fund applied new IFRS standards effective from 1 January 2021, including:
- Amendments to IFRS 3 and IAS 37.
- Annual improvements to IFRSs such as IFRS 1, IFRS 9, IFRS 16, and IAS 41.
These amendments did not have a material impact on the financial statements.

Other Information

The manager and trustee are responsible for the preparation of financial statements and the other information in the annual report.
The auditor does not express assurance on the other information, only on the financial statements.
The audit process included communication with the manager and trustee on planned audit scope, significant findings, and internal control deficiencies.

Conclusion

The financial statements are audited and true and fair.
The Sub-Fund is not liquidated and continues to operate under the going concern basis.
The investment strategy remains focused on futures-based replication to achieve twice the daily return of the NASDAQ-100 Index.
The audit process was thorough and focused on valuation of FVPL assets, internal controls, and compliance with IFRS and Trust Deed requirements.