2022-08-30-港交所-ＸＬ二南方Ａ５０_截至二零二二年六月三十日止的未经审核中期报告_14页_385kb

CSOP FTSE China A50 Index Daily (2X) Leveraged Fund Summary (as of 30 June 2022)

Key Financial Metrics

• Net Asset Value (NAV): Decreased from HK$ 0.7116/unit to HK$ 0.6476/unit (8.99% drop).
• Total Net Assets: Reduced from HK$7.116M to HK$6.217M.
• Financial Assets: NAV decreased by 8.97% to HK$2.431M (incl 38.96% concentrated in Money Market ETFs).
• Expenses: Total Comprehensive Loss of HK$1.127M, with management/collateral fees HK$81.2k.

Performance

• NAV Fluctuations: Lowest NAV hit HK$0.460/unit (-55.33% within the period).
• Index Tracking: FTSE China A50 Index dropped 4.61%, while product NAV dropped 8.99% (2x multiple effect).

Portfolio Structure

• Assets: Primarily engaged in Money Market ETFs (19.11% & 19.85% total), and Total Return Swaps (minor exposure).
• Liabilities: Mandatory Collateral of HK$450M secured, managed by Citibank, reflects high leverage.

Risks & Structure Changes

• Debt Exposure: High proportion (12.65% of assets) collateral loans to brokers.
• IPO/Subscriptions: Shares reduced from 10M to 9.6M (suspect redemption/leverage adjustment).
• Cost Pressures: Expenses include ongoing Index licensing, brokerage, and operational fees.

Governance

• Management: CSOP Asset Mgt Ltd., managed by key personnel from Engineer Chen to recently appointed Zhou Yi.
• Custodian: Citibank Hong Kong holds assets and provides Transformation Agency.

Actionable Points

• Keep monitoring leverage and counterparty exposure.
• Compare performance against index to account for leverage erosion and slippage costs.
• Assess redemption patterns and expense pressures during market stress.

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#### Risk Note: The fund uses a 2X leverage, meaning its performance is not straightforward and it is highly sensitive to market volatility. The discrepancies in returns against the underlying index can be attributed to leverage costs and index tracking error.