2022-04-27-港交所-ＦＬ二富邦台湾_ＦＩ富邦台湾_截至二零二一年十二月三十一日止的经审核账目_47页_544kb

Fubon Leveraged & Inverse Series Overview

• Structure: Umbrella unit trust established in Hong Kong, with two sub-funds:
  • Leveraged Product (7232, HKD): Aims to track 2x daily performance of FTSE Taiwan RIC Capped Index. Invests in SGX FTSE Taiwan Index Futures. Initial NAV: HKD 1.00 per unit.
  • Inverse Product (7332, HKD): Aims to track -1x daily performance of the same index. Same investment approach. Initial NAV: HKD 1.00 per unit.

2021 Performance (Due to HKD fees, does not reflect underlying index performance)

• Leveraged Product: +25.4% NAV (vs +9.6% index). Trading volume: ~23,717 units/day. Outstanding units: 3.5M.
• Inverse Product: -14.5% NAV (vs +9.6% index). Trading volume: ~12,634 units/day. Outstanding units: 2.4M.

Annual Financial Highlights (as at Dec 31, 2021)

• Leveraged:
  • Net assets: ~USD 4.33M.
  • Net income: ~USD 1.96M (incl. realized/unrealized gains from futures).
  • Total expenses: ~USD 0.21M (management, trustee fees).
• Inverse:
  • Net assets: ~USD 1.99M.
  • Net loss: ~USD -1.11M.
  • Expenses: ~USD 0.19M.

Risks and Management

• Leverage/Rollover: 2x exposure may amplify losses due to index volatility. Rollovers occur to maintain exposure.
• Counterparty/Market Risks: High liquidity with reputable brokers; futures contracts provide leverage and market exposure.
• Regulatory Compliance: Licensed by Hong Kong SFC; exempt from HK profits tax.

Financial Statements (Audited by PwC)

• Assets/Liabilities: Both sub-funds hold futures contracts (~USD 153k/Leveraged & ~USD -36k/Inverse).
• Fair Value: Statements reflect HKFRS conventions, classified under Level 1 (active markets).
• Margin Usage: Collateral held with brokers to cover derivative obligations.

Notes on Reporting

• Structure: Divided into Financial Statements (unaudited), Auditor’s Report, Notes on Policies, and appendices.
• Auditor Opinion: PwC issued an unqualified opinion.
• Key Audit: Focus on existence/valuation of financial instruments (futures contracts).