2022-04-29-港交所-ＸＬ二南方Ａ５０_截至二零二一年十二月三十一日止的经审核账目_List_of_46页_387kb

CSOP FTSE China A50 Index Daily (2x) Leveraged Product Summary:

This report covers the financial performance of the CSOP FTSE China A50 Index Daily (2x) Leveraged Product (Sub-Fund of Series II), from its inception on January 19, 2021, to December 31, 2021.

• Audited Financial Statements:

  • Net assets attributable to unitholders totaled USD 7,116,407 on December 31, 2021, with key assets including USD 3,496,507 in financial assets at fair value through profit or loss, and liabilities of USD 160,077.
  • The Sub-Fund incurred an operating loss of USD 3,130,926, with minimal income (mostly interest and other minor revenues).
  • Unit movements: Net issuance of 10,000,000 units during the period.

• Auditor's Opinion:
  An independent auditor confirmed that the financial statements are prepared in accordance with IFRSs and provide a true and fair view of the Sub-Fund's financial position and transactions. Key audit matters include the valuation of financial assets and liabilities, with emphasis on fair value measurements.

• Key Risks:

  • Market risk: High sensitivity to the FTSE China A50 Index, with potential losses if the index moves against the product's leveraged exposure.
  • Credit and liquidity risks are low due to diversification and short-term instruments.
  • Cash flows show significant use in operations offset by financing activities.

• Manager and Related Expenses:
  Management fees (1.6% of NAV) and other costs totaled USD 244,304. Transactions with related parties (e.g., Citibank, Citigroup) are disclosed, indicating potential conflicts but adherence to commercial terms.

• Performance:
  The Sub-Fund aimed to achieve twice the daily FTSE China A50 Index returns, with a net asset value decrease of ~28.84% over the year compared to the Index's -14.53%. High leverage amplified losses.

• Structural Notes:
  The Sub-Fund uses a swap-based synthetic replication strategy, investing in total return swaps and money market funds. No material breaches of regulatory limits under the SFC Code were reported.

The product experienced significant losses due to market volatility and high leverage, with financial risks carefully managed through hedging and monitoring.