2021-08-31-港交所-ＸＬ二南方沪深三_截至二零二一年六月三十日止的未经审核中期报告_22页_538kb

报告摘要

Fund Name: CSOP CSI 300 Index Daily (2X) Leveraged Product
Parent Fund: CSOP Leveraged and Inverse Series II
Establishment Date: 24 July 2020
Reporting Period: 24 July 2020 to 30 June 2021
Stock Code: 07233
Trading Start Date: 27 July 2020 on the Stock Exchange of Hong Kong Limited (SEHK)
Type of Fund: Umbrella unit trust established in Hong Kong
Investment Objective: To provide investment results that closely correspond to twice (2X) the daily performance of the CSI 300 Index, before fees and expenses

Management fee: RMB (8,765,750)
Collateral management fee: RMB (144,378)
Formation fee: RMB (1,532,264)
Audit fee: RMB (67,219)
Bank charges: RMB (14,052)
Interest expenses on swap contracts: RMB (4,137,813)
Index licensing fee: RMB (220,110)
Brokerage and transaction fee: RMB (39,537)
Interest on margin accounts: RMB (8,889)
Legal and other professional fee: RMB (141,802)
Other operating expenses: RMB (252,393)

Units Issued: 91,600,000
Units Redeemed: 52,800,000
Net Increase from Unit Transactions: RMB 128,462,449
Net Assets Attributable to Unitholders at the End of the Period: RMB 357,854,717

The Sub-Fund uses a swap-based synthetic replication strategy to track twice the daily performance of the CSI 300 Index.
The Product enters into swap contracts with multiple counterparties, using a portion of the subscription proceeds as initial margin.
The initial margin is held in a segregated account by the custodian appointed by the Trustee and is only transferred to the swap counterparties upon default.
The Sub-Fund provides exposure to the Index net of transaction costs.

The financial statements are prepared in accordance with International Financial Reporting Standards (IFRSs).
Financial assets and liabilities are classified based on:
- The entity’s business model for managing financial assets
- The contractual cash flow characteristics of the financial assets
Financial assets at FVPL are measured at fair value, with changes in fair value recorded in "Net change in unrealised gain/loss on financial assets at FVPL".
Interest income is recognised using the effective interest method.
Expenses are recognised on an accrual basis.
Cash and cash equivalents are short-term deposits readily convertible to cash with insignificant risk of value change.

The Sub-Fund measures investments at fair value at the end of each reporting period.
Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants.
Financial instruments are categorised into Level 1, Level 2, or Level 3 of the fair value hierarchy, based on the lowest significant input used in valuation.
Derivative financial instruments are recorded on a mark-to-market basis.
Unrealised gains and losses from fair value changes are recognised in profit or loss.

Redeemable units are classified as equity instruments under revised IAS 32.
Units can be redeemed in cash equal to a proportionate share of the Sub-Fund’s net asset value.
Net asset value per unit is calculated by dividing the net assets attributable to unitholders by the total number of outstanding units.
The Sub-Fund continuously assesses the classification of redeemable units.
If the units no longer meet the criteria for equity classification, they are reclassified as financial liabilities and measured at fair value, with any differences from the previous carrying amount recorded in equity.

The Sub-Fund reports operating segments in a manner consistent with the internal reporting used by the chief operating decision-maker, which is the Manager.
The Manager is responsible for allocating resources and assessing performance of operating segments.

Margin accounts are cash deposits held with brokers and custodians as collateral for open swap contracts.
Amounts due to a broker refer to sums payable for securities purchased but not yet delivered.

Impairment allowances are provided under the general approach for financial assets measured at amortised cost.
Impairment is based on expected credit losses in two stages.
For credit exposures without a significant increase in credit risk, the Sub-Fund provides for losses from possible default events within the next 12 months (Stage 1).

The Sub-Fund has not early applied any new or revised IFRSs that are not yet effective for the period ended 30 June 2021.
The amendments to IAS 1 will affect the classification of liabilities as current or non-current, effective for annual periods beginning on or after 1 January 2023.
The Sub-Fund applies historical cost convention for most assets and liabilities, except for FVPL instruments.
Transaction costs for financial instruments are directly charged to profit or loss.

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