2022-08-30-港交所-ＸＬ二南方沪深三_截至二零二二年六月三十日止的未经审核中期报告_13页_381kb

CSOP CSI 300 Index Daily (2X) Leveraged Product (Sub-Fund Analysis)

Fund Overview

This report summarizes the unaudited semi-annual financial performance and position for CSOP CSI 300 Index Daily (2X) Leveraged Product, a sub-fund of the CSOP Leveraged and Inverse Series II trust. It highlights market trends, financial metrics, and risk exposures between July 2020 to March 2022.

Consolidated Financial Highlights

Performance Metrics:

• The fund’s Net Asset Value (NAV) per unit was ¥6.4086 as of June 30, 2022.
• Outside the latest period, on December 31, 2021, the average over daily trading was ¥8.1066, yielding a ~20.95% decline year-over-year (YOY).
• The CSI 300 Index fell 9.22% during the period June 2021–June 2022 (YOY gap).

Financial Position:

• Total Assets: Reduced from ¥274.79M (Dec 21) to ¥265.96M (Jun 22).
• Lower unit sales (units outstanding decreased from 33.2M to 41.2M).
• Equity attributed to unitholders also decreased, total liabilities increased from ¥5.65M to ¥1.93M.

Investment Portfolio Breakdown

Major Asset Classes:

• Listed Investment Funds: Primarily hold two money market ETFs contributing ~21.45% of total assets.
• Total Return Swap Contracts (Overshang): Yield low exposure, ~0.17% of net assets.
• Derivatives: Forward & SWAP positions showed significant losses, particularly the forward contract which led to a negative fair value change.

Key Investment:

• CSOP RMB Money Market ETF: ¥270.13M (10.23% of assets).
• CSOP USD Money Market ETF: ¥29.62M (11.22%).

Risks & Volatility Exposure

The product tracks the CSI 300 Index with double exposure (2X leveraged) on a daily basis. Its decline in NAV closely mirrors but magnifies changes in the underlying index—especially during volatile periods. Unfavorable movement in interest rates, currency fluctuations, or prolonged bearish trends in the CSI 300 could lead to substantial outperformance of losses.

Administrative Details

• Manager: CSOP Asset Management Limited.
• Trustee: Cititrust Limited.
• Registrar: Computershare Hong Kong Investor Services.
• Geographic & Compliance Oversight Network: Hong Kong.

Key Takeaways:

This leveraged product experienced significant losses during the quarter, majorly due to sharp declines in the CSI 300. The product uses hedging instruments and leverage—placing it in a high-risk category.

Caution: The product is volatile and best suited for experienced traders who understand leverage risks; ordinary investors should avoid leveraging strategies.

This summary is based solely on the financial information provided and reflects the product's performance in an unfavorable market environment.