2022-08-31-港交所-ＦＬ二南方恒指_截至二零二二年六月三十日止的未经审核中期报告_16页_416kb

Summary of CSOP Hang Seng Index Daily (2X) Leveraged Product (Sub-Fund of CSOP Leveraged and Inverse Series)

Core Information

• Product Name: CSOP Hang Seng Index Daily (2X) Leveraged Product
• Stock Code: 07200
• Type: Sub-fund of the CSOP Leveraged and Inverse Series
• Established: 10 March 2017
• Trading Commenced: 14 March 2017
• Benchmark Index: Hang Seng Index (HSI)
• Leverage Factor: 2X
• Investment Objective: To provide investment results that closely correspond to twice the daily performance of the HSI, before fees and expenses.
• Manager: CSOP Asset Management Limited
• Trustee: HSBC Institutional Trust Services (Asia) Limited
• Custodian: The Hongkong and Shanghai Banking Corporation Limited
• Listing Agent: Altus Capital Limited
• Outstanding Units (as of 30 June 2022): 515,200,000
• NAV per Unit (as of 30 June 2022): HKD 5.7938
• Total Assets (as of 30 June 2022): HKD 3,134,109,673
• Total Liabilities (as of 30 June 2022): HKD 149,132,967
• Total Net Assets: HKD 2,984,976,706

Investment Strategy

• The Sub-Fund uses a combination of futures-based replication and swap-based synthetic replication strategies to track the Hang Seng Index.
• Monthly futures roll is conducted shortly before expiration on the SEHK.
• The Hang Seng Index is a free float-adjusted market capitalization-weighted index, tracking the performance of large, liquid Hong Kong securities.

Performance Highlights

• Dealing NAV (as of 30 June 2022): HKD 5.7938
• NAV Performance (as of 30 June 2022): -15.85%
• Hang Seng Index Performance (as of 30 June 2022): -6.57%
• YTD Price Return (2022): -15.44%
• Total Net Income (2022): HKD 62,776,395
• Total Comprehensive Income (2022): HKD 62,776,395
• Total Net Income (2021): HKD 129,264,766

Portfolio Composition

• Investments (23.83% of net assets):
  • CSOP Hong Kong Dollar Money Market ETF - Unlisted Share Class A: HKD 711,207,847
• Derivative Financial Instruments (1.28% of net assets):
  • Listed Futures Contracts: HKD 38,149,089
  • Unlisted Swap Futures Contracts: HKD 18,487,200 (Liabilities: HKD 19,421,952)
• Other Net Assets (74.89% of net assets): HKD 2,235,619,770

Financial Movements

• Net Increase in Net Assets (2022): HKD 305,378,481
• Net Assets at Beginning of Period (2022): HKD 2,616,821,830
• Net Assets at End of Period (2022): HKD 2,984,976,706
• Units Issued (2022): 1,416,000,000
• Units Redeemed (2022): 1,280,800,000

Cash Flow Overview

• Net Cash Generated from Operating Activities (2022): HKD -204,947,303
• Net Cash Generated from Financing Activities (2022): HKD 366,620,087
• Net Increase in Cash and Cash Equivalents (2022): HKD 161,672,784
• Cash and Cash Equivalents at Beginning (2022): HKD 1,297,222,861
• Cash and Cash Equivalents at End (2022): HKD 1,458,895,573

Collateral Holdings

• Collateral Provider: Societe Generale, Paris
• Nature of Collateral: Cash collateral
• Value of Collateral (as of 30 June 2022): HKD 45,786,000
• Proportion Covered by Collateral: 1.53% of net asset value
• Custodian of Collateral: The Hongkong and Shanghai Banking Corporation Limited
• Amount of Collateral Held (as of 30 June 2022): HKD 45,786,000

Key Disclosures

• Underlying Index Constituents: The Sub-Fund holds one collective investment scheme (CSOP Hong Kong Dollar Money Market ETF - Unlisted Share Class A), which accounts for 23.83% of the net assets.
• No Government Securities: No individual government security accounts for more than 10% of the net asset value.
• Index Performance:
  • 30 June 2022: -6.57%
  • 31 December 2021: -14.08%
• Sub-Fund Performance:
  • 30 June 2022: -15.85%
  • 31 December 2021: -25.74%

Management and Administration

• Manager: CSOP Asset Management Limited
• Trustee: HSBC Institutional Trust Services (Asia) Limited
• Custodian: The Hongkong and Shanghai Banking Corporation Limited
• Service Agent: HK Conversion Agency Services Limited
• Listing Agent: Altus Capital Limited
• Directors of the Manager:
  • Chen Ding
  • Gaobo Zhang
  • Xiaosong Yang
  • Xiuyan Liu (resigned on 17 June 2022)
  • Yi Zhou
  • Yundong Zhu (appointed on 17 June 2022)
  • Zhiwei Liu
  • Zhongping Cai
• Legal Counsel: Simmons & Simmons
• Auditor: PricewaterhouseCoopers

Exchange Liquidity

• Average Daily Turnover (June 2022): HKD 418 million
• Strong Trading Interest: Reflects continued investor participation in the product.

Portfolio Rebalance

• Monthly Futures Roll: Conducted on a monthly basis.
• Total Monthly Future Rolls (Since Inception): 64
• Futures Strategy: Tracks the Hang Seng Index through futures contracts.
• Swap Strategy: Used to replicate index performance synthetically.

Summary of Key Financial Metrics