2022-04-29-港交所-ＸＩ南方沪深三百_截至二零二一年十二月三十一日止的经审核账目_49页_405kb

Summary of CSOP CSI 300 Index Daily (-1x) Inverse Product (Sub-Fund of CSOP Leveraged and Inverse Series II)

Core Content

The document provides the audited financial statements and related reports for the CSOP CSI 300 Index Daily (-1x) Inverse Product, a sub-fund of CSOP Leveraged and Inverse Series II, for the period from 24 July 2020 to 31 December 2021. It includes the trustee's report, independent auditor's report, statement of net assets, statement of profit or loss and other comprehensive income, statement of changes in net assets attributable to unitholders, statement of cash flows, and notes to the financial statements.

Main Points

1. Trustee's Report

• The Trustee (Cititrust Limited) confirms that the Sub-Fund has been managed in accordance with the Trust Deed, which was amended multiple times.
• The Sub-Fund commenced operations on 24 July 2020 and was listed under the stock code 7333 on the Stock Exchange of Hong Kong Limited (SEHK) on 27 July 2020.
• The Sub-Fund's investment objective is to provide returns that closely correspond to inverse (-1x) daily performance of the CSI 300 Index before fees and expenses.

2. Independent Auditor's Report

• The independent auditor issued an unqualified opinion, confirming the financial statements give a true and fair view of the Sub-Fund's financial position and performance for the period.
• The audit was conducted in accordance with International Standards on Auditing (ISAs).
• The auditor confirmed that the financial assets and liabilities at fair value through profit or loss were properly valued and disclosed.
• The going concern basis was applied, with no material uncertainty identified regarding the Sub-Fund's ability to continue as a going concern.

3. Statement of Net Assets

• As of 31 December 2021, the total net assets attributable to unitholders were RMB 155,561,135.
• Total assets amounted to RMB 167,946,339, and total liabilities were RMB 12,385,204.
• The major assets include financial assets at fair value through profit or loss (RMB70,503,426) and cash and cash equivalents (RMB65,026,037).
• The major liabilities include financial liabilities at fair value through profit or loss (RMB2,045,136) and amounts due to participating dealers (RMB8,982,408).

4. Statement of Profit or Loss and Other Comprehensive Income

• The operating loss for the period was RMB251,295,236.
• The net loss on financial assets and liabilities at fair value through profit or loss was RMB229,565,473.
• Other income and expenses included interest income from bank deposits (RMB1,438,923), management fees (RMB12,849,469), and foreign exchange losses (RMB8,498,501).

5. Statement of Changes in Net Assets

• The net assets attributable to unitholders increased by RMB406,856,371 during the period.
• Units issued amounted to RMB1,319,202,306, while units redeemed were RMB912,345,935.
• The net assets at the end of the period were RMB155,561,135.

6. Statement of Cash Flows

• Net cash flows used in operating activities were RMB350,810,542.
• Net cash flows generated from financing activities were RMB415,836,579.
• Net increase in cash and cash equivalents was RMB65,026,037, which is consistent with the ending balance of cash and cash equivalents.

7. Notes to the Financial Statements

• The Sub-Fund uses a swap-based synthetic replication strategy to track the inverse performance of the CSI 300 Index.
• Financial assets and liabilities at fair value through profit or loss include money market funds and over-the-counter derivatives.
• The Sub-Fund is governed by the Trust Deed and complies with the relevant disclosure provisions of the SFC Code.
• The financial statements are prepared under the historical cost convention, except for assets and liabilities at fair value.
• The Sub-Fund has not early applied any newly issued but not yet effective IFRSs, and is currently assessing their potential impact.

Key Information

• Investment Objective: To provide returns that closely correspond to inverse (-1x) daily performance of the CSI 300 Index.
• Strategy: Swap-based synthetic replication with exposure to the CSI 300 Index through forward exchange contracts and total return swaps.
• Financial Instruments: Financial assets and liabilities are classified as at fair value through profit or loss (FVPL).
• Valuation: Financial assets and liabilities are valued using independent third-party sources and observable inputs.
• Audit Opinion: Unqualified opinion, indicating the financial statements are free from material misstatement.
• Going Concern: No material uncertainty was identified regarding the ability of the Sub-Fund to continue as a going concern.
• IFRS Compliance: Financial statements are prepared in accordance with International Financial Reporting Standards (IFRSs) and the SFC Code.

Structure and Disclosures

• The notes to the financial statements include:

  • A summary of significant accounting policies.
  • Disclosures on financial instruments, valuation, and key audit matters.
  • Disclosures on the impact of newly issued IFRSs.
  • Disclosures on the Trust Deed and SFC Code.

• The financial statements include:

  • Statement of net assets.
  • Statement of profit or loss and other comprehensive income.
  • Statement of changes in net assets.
  • Statement of cash flows.

• The audited financial statements cover the period from 24 July 2020 to 31 December 2021, and the auditor has confirmed their compliance with IFRSs and ISAs.

• The trustee and manager are responsible for the preparation and disclosure of the financial statements and other information.

Conclusion

The CSOP CSI 300 Index Daily (-1x) Inverse Product is a leveraged and inverse fund designed to track the inverse daily performance of the CSI 300 Index. The financial statements for the period from 24 July 2020 to 31 December 2021 are audited and unqualified, indicating accurate and transparent reporting. The fund uses synthetic replication through swap contracts, and the auditor confirmed the valuation and disclosure of financial instruments at fair value through profit or loss. The net assets at the end of the period were RMB155,561,135, and the audit process was thorough and compliant with international standards.