2023-08-31-港交所-Ｘ南方中创业_Ｘ南方中创业－Ｒ_截至二零二三年六月三十日止的未经审核中期报告_34页_676kb

CSOP SZSE CHINEXT ETF Summary

Core Information

• Fund Name: CSOP SZSE CHINEXT ETF* (*This is a synthetic ETF)
• Type: Synthetic ETF, a sub-fund of the CSOP ETF Series* (*This includes synthetic ETFs)
• Established: 13 May 2015
• Listing: On The Stock Exchange of Hong Kong Limited (SEHK), with stock codes 83147 (RMB counter) and 03147 (HKD counter)
• Manager: CSOP Asset Management Limited
• Trustee: HSBC Institutional Trust Services (Asia) Limited
• Index: ChiNext Index, comprising the top 100 A-Share companies listed on the Shenzhen Stock Exchange, ranked by total market capitalization, free float market capitalization, and turnover
• Investment Strategy: Combination of physical and synthetic representative sampling strategies, with up to 50% of the fund's net asset value (NAV) invested in financial derivative instruments (FDIs), effective from 14 August 2023, the strategy will be primarily synthetic with up to 100% in FDIs and physical as an ancillary strategy up to 50%

Performance Overview

• Dealing NAV (30 June 2023): RMB7.7715
• Units Outstanding (30 June 2023): 41,100,000 units
• Total Assets (30 June 2023): Approximately RMB319.4 million
• Performance (30 June 2023):
  • NAV: -5.48%
  • ChiNext Index: -5.61%
• Performance Difference: Due to dividends, fees, and expenses, including tax on dividends and distributions

Financial Statements (30 June 2023)

Condensed Statement of Financial Position

• Total Assets: RMB333,336,807
• Total Liabilities: RMB13,928,134
• Net Assets Attributable to Unitholders: RMB319,408,673

Condensed Statement of Comprehensive Income

• Total Comprehensive Loss: RMB19,221,186
• Operating Loss: RMB19,074,469

Condensed Statement of Changes in Net Assets

• Net Assets at the Beginning of the Period: RMB342,822,509
• Net Assets at the End of the Period: RMB319,408,673
• Net Decrease from Unit Transactions: RMB4,192,650

Condensed Statement of Cash Flows

• Net Decrease in Cash and Cash Equivalents: RMB15,703,336
• Cash and Cash Equivalents at the End of the Period: RMB14,003,119

Key Accounting Policies

• The financial statements are prepared in accordance with HKAS 34 for the six months ended 30 June 2023 and HKFRS for the annual period ended 31 December 2022
• Investments and derivatives are valued at the last traded price on the valuation day
• No material standards or amendments were adopted for the period
• The fund is exempt from Hong Kong profits tax under Section 26A(1A) of the Inland Revenue Ordinance

Taxation

• Hong Kong Profits Tax: Exempt
• PRC Withholding Tax:
  • Dividend income: 10%
  • Interest income: 10%
• Tax Paid (30 June 2023): RMB146,717
• Tax Paid (31 December 2022): RMB110,504

Related Party Transactions

• Management Fee: 0.99% per annum of the NAV, payable monthly in arrears
• Trustee Fee and Registrar's Fee: Included in the management fee
• Investments Held with Related Parties:
  • Bank Balances: HSBC Group entities (Hongkong and Shanghai Banking Corporation Limited, HSBC Bank (China) Company Limited)
  • Interest Income (30 June 2023): RMB133,762
  • Total Funded Total Return Swaps (30 June 2023): RMB11,901,699
• No Units Held by Trustee, Manager, or Connected Persons (as of 30 June 2023)

Investment Portfolio Overview

• Investments (30 June 2023): RMB198,229,968
• Derivative Financial Instruments (30 June 2023): RMB120,728,361
• Concentration by Industry:
  • Consumer Discretionary: 21.56% (30 June 2023)
  • Health Care: 19.96% (30 June 2023)
  • Industrials: 11.61% (30 June 2023)
  • Technology: 14.45% (30 June 2023)
• Total Exposure to Index Constituents: 100 out of 100, matching the ChiNext Index

Risk Management

• Market Risk:
  • Market Price Risk: The fund's exposure is aligned with the ChiNext Index
  • Sensitivity Analysis: If the index increases by 10%, the fund's NAV would increase by approximately the same percentage, assuming other variables remain constant
• Credit and Counterparty Risk: Associated with the use of FDIs and total return swaps
• Liquidity Risk: Managed through maintaining sufficient liquidity to meet redemption requests

Summary of Unit Transactions

• Units Outstanding (30 June 2023): 41,100,000
• Units Issued (6 months ended 30 June 2023): 2,400,000
• Units Redeemed (6 months ended 30 June 2023): 3,000,000
• Units Outstanding (31 December 2022): 50,700,000
• Units Redeemed (6 months ended 31 December 2022): 11,100,000
• Units Issued (6 months ended 31 December 2022): 4,800,000

Key Financial Metrics

• Net Assets per Unit (30 June 2023): RMB7.7715
• Net Assets per Unit (31 December 2022): RMB8.2212
• Total Assets (30 June 2023): RMB333,336,807
• Total Liabilities (30 June 2023): RMB13,928,134
• Total Assets (31 December 2022): RMB372,611,099
• Total Liabilities (31 December 2022): RMB29,788,590

Conclusion

The CSOP SZSE CHINEXT ETF is a synthetic ETF designed to mirror the performance of the ChiNext Index. It employs a combination of physical and synthetic investment strategies, with a shift towards synthetic strategies effective from 14 August 2023. The fund is subject to PRC withholding taxes on dividend and interest income, and its financial performance for the period ended 30 June 2023 was closely aligned with the ChiNext Index, with minor differences attributed to fees and expenses. The fund maintains sufficient liquidity to meet redemption requests and operates under consistent accounting policies.