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CSOP Hang Seng China Enterprises Index Daily (2x) Leveraged Product (Sub-Fund) - Summary

Key Information

• Product: Sub-fund of CSOP Leveraged and Inverse Series, established in Hong Kong. Listed as an ETF on SEHK (Stock Code: 07288).
• Objective: Tracks twice (2x) the daily performance of the Hang Seng China Enterprises Index (HSCEI) using a futures-based replication strategy.
• Launch: March 2017.
• Manager: CSOP Asset Management Limited (Manager).
• Trustee: HSBC Institutional Trust Services (Asia) Limited.

Semi-Annual Performance (as at 30 June 2022)

• NAV: HKD 3.6164 per unit.
• Assets Under Management: ~HKD 266.2 million.
• Performance: -19.03% in the period. HSCEI for the same period: -6.91%.

Financial Position

• Assets (Unaudited): Primarily composed of investments (incl. CSOP HKD Money Market ETF) and derivatives (H-shares Index Futures). Total assets: ~HKD 266.46 million.
• Liabilities (Unaudited): Includes management fees due and other account payables. Total liabilities: ~HKD 308,116.
• Equity: Net assets attributable to unitholders: ~HKD 266.15 million.

Investment Strategy

• Replication: Investing directly in the nearest month H-shares Index Futures via a monthly rolling strategy.
• Rolling: Defined as monthly rolling shortly before expiry on the SEHK.

Financial Highlights

• Unaudited Condensed Statements:
  • Income: Significant net loss (~HKD 16.78 million).
  • Expenses: Includes management fees, transaction costs, etc.
  • Changes in Net Assets: Driven by unit transactions and comprehensive income/(loss).
  • Cash Flow: Includes cash flows from investments, financing (unit issues/redemptions), and operating activities. Net increase in cash and cash equivalents.

Portfolio

• Holdings (as at 30 June 2022):
  • Majority (~20.31% of net assets) held in the CSOP HKD Money Market ETF (Unlisted Share Class). Value: ~HKD 54.07 million.
  • ~3.10% in HSCEI Futures contracts set to expire on 28 July 2022. Value: ~HKD 8.24 million.
• Index Performance: Slightly negative (-6.91%) against the product's more significant decline (-19.03%).

Management

• Management Team: Chen Ding (CEO), Gaobo Zhang, Xiaosong Yang (resigned mid-year), Xiuyan Liu (resigned mid-year), Yi Zhou, Yundong Zhu (joined mid-year).
• Trustee: HSBC Institutional Trust Services (Asia) Limited (Trustee & Registrar).
• Custodian: HSBC.
• Auditor: PricewaterhouseCoopers.

This leveraged ETF product tracks the performance of the HSCEI index with a 2x daily leverage intensity using futures. As at 30 June 2022, it had incurred significant losses (-19.03%) but maintains high trading liquidity.