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CSOP NASDAQ-100 INDEX DAILY (2X) LEVERAGED PRODUCT Summary (30 June 2021)

Core Content Overview

This document provides an unaudited semi-annual report for the CSOP NASDAQ-100 Index Daily (2X) Leveraged Product, a sub-fund of the CSOP Leveraged and Inverse Series II, for the period ended 30 June 2021. The report includes financial statements, investment portfolio details, performance records, and information on the fund's management and administrative structure.

Key Financial Highlights

Condensed Statement of Financial Position (As at 30 June 2021)

• Total Assets: US$1,892,780
• Total Liabilities: US$21,572
• Net Assets Attributable to Unitholders: US$1,871,208
• Net Asset Value per Unit: US$2.2820

Comparison with 31 December 2020:

• Total Assets: Decreased from US$3,129,561 to US$1,892,780
• Total Liabilities: Decreased from US$102,278 to US$21,572
• Net Assets Attributable to Unitholders: Decreased from US$3,027,283 to US$1,871,208
• Net Asset Value per Unit: Decreased from US$1.8687 to US$2.2820

Condensed Statement of Changes in Net Assets

• Net Assets at the Beginning of the Period: US$3,027,283

• Net Decrease from Unit Transactions: (US$1,670,281)

• Net Assets at the End of the Period: US$1,871,208

• Units in Issue at the Beginning: 1,620,000

• Units Redeemed: (800,000)

• Units in Issue at the End: 820,000

Condensed Statement of Cash Flows

• Net Cash Flows from Operating Activities: US$1,770,088
• Net Increase in Cash and Cash Equivalents: US$99,807
• Cash and Cash Equivalents at the End of the Period: US$443,311

Investment Portfolio Overview (As at 30 June 2021)

Financial Assets at Fair Value through Profit or Loss

• Total: US$982,358
• Represents 52.50% of net assets

Quoted Debt Securities (US$)

• Treasury Bills:
  • 07/08/21: US$69,999 (3.74%)
  • 07/15/21: US$199,997 (10.69%)
  • 07/29/21: US$31,999 (1.71%)
  • 08/12/21: US$167,991 (8.98%)
  • 08/19/21: US$99,995 (5.34%)
• Total Quoted Debt Securities: US$569,981 (30.46%)

Listed Investment Funds (Hong Kong)

• CSOP USD MONEY MRKT ETF USD:
  • Holdings: 3,000 units
  • Fair Value: US$307,898 (16.46%)

Listed Futures Contracts (United States of America)

• NASDAQ 100 E-MINI 09/17/21:
  • Holdings: 13 units
  • Fair Value: US$104,479 (5.58%)

Performance Record (Unaudited)

• NASDAQ-100 Index Performance:

  • Increased by 12.93% from 1 January 2021 to 30 June 2021
  • Increased by 41.51% from 14 May 2020 (inception) to 31 December 2020

• Sub-Fund Performance:

  • Increased by 22.12% from 1 January 2021 to 30 June 2021
  • Increased by 90.41% from 14 May 2020 (inception) to 31 December 2020

• Net Asset Value (NAV) per Unit:

  • 30 June 2021: US$2.3445
  • 31 December 2020: US$1.9051
  • Highest NAV per Unit (30 June 2021): US$2.3491
  • Lowest NAV per Unit (30 June 2021): US$1.7155

Underlying Index Constituent Stock Disclosure

• Single Security (CSOP USD MONEY MRKT ETF USD):

  • Fair Value: US$307,898
  • Represents 16.46% of net assets

• Single Government Security (Treasury Bill 07/15/21):

  • Fair Value: US$199,997
  • Represents 10.69% of net assets

Management and Administration

Manager

• CSOP Asset Management Limited
• Address: Suite 2801-2803 & 3303-3304, Two Exchange Square, 8 Connaught Place, Central, Hong Kong

Directors of the Manager

• Chen Ding
• Gaobo Zhang
• Xiaosong Yang
• Xiuyan Liu
• Yi Zhou
• Zhiwei Liu
• Zhongping Cai

Registrar

• Computershare Hong Kong Investor Services Limited
• Address: 46/F, Hopewell Centre, 183 Queen's Road East, Wanchai, Hong Kong

Legal Counsel

• Simmons & Simmons
• Address: 30th Floor, One Taikoo Place, 979 King's Road, Hong Kong

Auditor

• Ernst & Young
• Address: 27/F, One Taikoo Place, 979 King's Road, Quarry Bay, Hong Kong

Administrator and Custodian

• Citibank, N.A., Hong Kong Branch
• Address: 50/F., Champion Tower, Three Garden Road, Central, Hong Kong

Trustee

• Cititrust Limited
• Address: 50/F., Champion Tower, Three Garden Road, Central, Hong Kong

Service Agent

• HK Conversion Agency Services Limited
• Address: 1/F, One & Two Exchange Square, 8 Connaught Place, Central, Hong Kong

Listing Agent

• Altus Capital Limited
• Address: 21 Wing Wo Street, Central, Hong Kong

Summary of Key Points

• The fund is a leveraged and inverse product designed to track twice the daily performance of the NASDAQ-100 Index.
• The net asset value per unit increased by 22.12% for the period ended 30 June 2021, outperforming the underlying index's 12.93% increase.
• Total assets decreased significantly from US$3,129,561 (31 December 2020) to US$1,892,780 (30 June 2021), primarily due to unit redemptions.
• The investment portfolio is composed mainly of Treasury Bills and listed investment funds, with CSOP USD MONEY MRKT ETF USD and Treasury Bill 07/15/21 being the largest holdings.
• Cash and cash equivalents increased from US$343,504 (31 December 2020) to US$443,311 (30 June 2021), reflecting the net cash flows from operations and financing activities.
• The fund's structure includes a trustee, manager, registrar, auditor, administrator, custodian, service agent, and listing agent, all based in Hong Kong.
• The fund's performance is influenced by the NASDAQ-100 Index, with the NAV per unit fluctuating within a range of US$1.7155 to US$2.3491 during the period.