2025-04-29-港交所-ＸＬ二南方沪深三_ＦＬ二南方纳指_ＦＬ二南方黄金_截至二零二四年十二月三十一日止的经审核账目_87页_1mb

报告摘要

CSOP Leveraged and Inverse Series II Financial Summary - Year Ended 31 December 2024

Executive Summary

This report provides a summary of CSOP Leveraged and Inverse Series II's financial position and performance for the year ended 31 December 2024, covering three exchange-traded leveraged products tracking the NASDAQ-100 Index (2x), Gold Futures (2x), and CSI 300 Index (2x).

Products Overview

CSOP Leveraged and Inverse Series II offers three (2x) leveraged products as follows:

CSOP NASDAQ-100 Index Daily (2x) Leveraged Product (Stock Code: 7266)
- Investment objective: Twice the daily performance of the NASDAQ-100 Index.
- Strategy: Futures-based replication.
CSOP Gold Futures Daily (2x) Leveraged Product (Stock Code: 7299)
- Investment objective: Twice the daily performance of the Solactive Gold 1-Day Rolling Futures Index.
- Strategy: Combination of futures and synthetic replication via swaps.
CSOP CSI 300 Index Daily (2x) Leveraged Product (Stock Code: 7233)
- Investment objective: Twice the daily performance of the CSI 300 Index.
- Strategy: Swap-based synthetic replication.

Key Financial Highlights (Unless otherwise indicated, figures are in Renminbi or US Dollars)

1. Net Asset Summary

Product	Net Assets (31 Dec 2024)	Net Assets (31 Dec 2023)
NASDAQ-100	US$13,041,148	US$15,327,088
Gold Futures	US$108,997,887	US$164,685,781
CSI 300	RMB 649,802,625	RMB 206,154,469

2. Income Statement Highlights (2024)

Product	Profit/(Loss) (2024)	Profit/(Loss) (2023)
NASDAQ-100	US$3,597,427	US$9,760,665
Gold Futures	US$48,036,070	US$26,187,299
CSI 300	RMB (58,084,662)	RMB (86,358,010)

3. Unit Flows

Product	Net Unit Issuance
NASDAQ-100	Reduction of 5,883,367 units
Gold Futures	Increase of 103,723,964 units
CSI 300	Reduction of 18,750,470 units

Financial Analysis

1. Financial Assets and Liabilities at Fair Value Through Profit or Loss (FVPL)

NASDAQ-100 (2024): Assets: US$1,801,422; Liabilities: US$1,421,734
Gold Futures (2024): Assets: US$16,592,941; Liabilities: US$567,340
CSI 300 (2024): Assets: RMB 162,582,857; Liabilities: RMB 21,253,475

2. Key Risks Addressed

Market Risk

NAV Sensitivity: Holdings reflect 15-30% sensitivity to index fluctuations.
Market Price Risk: Exposures align with the tracked index.

Currency Risk

CSI 300: Net assets exposed to US$ and HKD, with potential impacts from currency fluctuations.

Credit Risk

Manager limits exposure by using high-credit counterparties and monitoring liquidity.

Auditor’s Report

All three sub-funds’ financial statements were audited and found true and fair under the International Financial Reporting Standards (IFRS).
Key audit matters include validation of fair value measurements for assets and liabilities.

Performance Comparison with Index (2024)

Product	Product Return	Index Return
NASDAQ-100	35.88%	24.88%
Gold Futures	41.42%	20.34%
CSI 300	17.07%	14.68%

Conclusion

The three leveraged products demonstrated varying returns relative to their underlying indices in 2024. The audits confirmed the validity of reported financial figures, and risk management measures were effective. Further monitoring and strategic adjustments will continue to align returns with index performance and mitigate counterparty risks.

展开完整摘要