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CSOP Hang Seng Index Daily (-2X) Inverse Product Summary

Product Overview

• Product Name: CSOP Hang Seng Index Daily (-2x) Inverse Product
• Structure: Sub-fund of the CSOP Leveraged and Inverse Series (umbrella unit trust established in Hong Kong)
• Investment Objective: Achieve daily returns equivalent to -2× the daily performance of the Hang Seng Index (pre-deduction of fees and expenses).
• Key Strategies: Combines futures-based and swap-based synthetic replication to track the index.
• Listing: Stock Code: 07500, commenced trading on HKSE in May 2019.
• Performance (12 Dec 2021): Dealing NAV at HKD 5.6683/unit, outstanding units: 457.6M, total assets: HKD 2.6B.
• NAV Change: Compared with 2020: Dealing NAV dropped from HKD 10.0115 to HKD 5.6683/unit, representing -43.4%.

Financial Highlights (12 Dec 2021)

• Financial Statements: Prepared under IFRS, auditing by PwC; key reports include Manager's & Trustee's reports.
• Assets:
  • Investments & Derivatives: HKD 909.94 million (futures, swaps, unlisted funds).
  • Bank Interest Receivable: HKD 3,719.
  • Deposits with Broker: HKD 537.44M.
• Liabilities: Derivative financial instruments (HKD 60.34M), cash collateral payable (HKD 48.33M).
• Equity: Net assets attributable to unitholders: HKD 2.59B.

Performance & Risk Management

• Year-End Performance:
  • Sub-Fund NAV: 10.72% increase
  • Hang Seng Index: -14.08% decrease
• NAV Trend: Highest record (HKD 6.0370/unit), lowest (HKD 3.8853/unit) during the year.
• Liquidity: Trading value: Average HKD 265.8M daily in Dec 2021.

Risks

• Market Sensitivity: If Hang Seng Index increases by 10%, Sub-Fund's NAV decreases ~HKD 172 million.
• Counterparty Risk: Pledged collateral with reputable institutions, no impairment recognized.
• Credit/Funding Risk: Exposure to HKD and USD fluctuation, lack of sensitivity analysis for USD risk.

Appendices

• Fields: Independent Auditors' Report, Financial Statements, Appendices.
• Includes: Portfolio details, financial derivatives, holdings of collateral, performance record, and management info.

Summary Notes: High volatility due to leverage. P/E ratio of the index is -2x by design, requiring experts for participation in such products.