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CSOP Hang Seng China Enterprises Index Daily (-2X) Inverse Product Summary

Core Content

The CSOP Hang Seng China Enterprises Index Daily (-2X) Inverse Product is a sub-fund of the CSOP Leveraged and Inverse Series, an umbrella unit trust established in Hong Kong under the Trust Deed dated 5 July 2016. It was launched on 10 March 2017 and began trading on 14 March 2017 under the stock code 07588. The product is designed to provide investment results that closely correspond to negative two times the daily performance of the Hang Seng China Enterprises Index (HSCEI), before fees and expenses, using a futures-based replication strategy.

The name of the product was changed from CSOP Hang Seng China Enterprises Index Daily (-1x) Inverse Product to CSOP Hang Seng China Enterprises Index Daily (-2x) Inverse Product on 25 June 2019, with the stock code updated to 7588.

Main Features

• Benchmark: Hang Seng China Enterprises Index
• Strategy: Futures-based replication
• Leverage: -2X (two times inverse)
• Trading Currency: HKD
• Index Provider: Hang Seng Indexes Company Limited
• Index Type: Free float-adjusted market capitalization weighted index tracking blue chip China enterprises with H-shares on the SEHK
• Rolling Strategy: Monthly roll of H-shares Index Futures on the SEHK shortly before expiration

Key Information

Performance

• As of 30 June 2021, the dealing NAV per unit was HKD 3.9460, with 18,400,000 units outstanding and total assets of approximately HKD 72.6 million.
• From 31 December 2020 to 30 June 2021, the Sub-Fund's dealing NAV decreased by -8.85%, while the HSCEI decreased by -0.7%.
• Price return of the HKD counter (7588) for the same period was -8.77%.

Portfolio Overview

• Total assets as of 30 June 2021: HKD 72,780,486
• Net assets attributable to unitholders: HKD 72,431,340
• Number of units in issue: 18,400,000
• Net asset value per unit: HKD 3.9365

Investment Portfolio (Unaudited)

• Investments and derivative financial instruments (45.26%):
  • Listed investment funds (21.42%):
    • CSOP Hong Kong Dollar Money Market ETF - Unlisted Share Class A: HKD 15,516,000 (21.42% of net assets)
  • Quoted debt securities (23.47%):
    • Various Hong Kong Treasury Bills (ZCP) totaling HKD 17,000,116
• Listed futures contracts (0.37%):
  • HSCEI Futures 29 July 2021: Fair value HKD 263,800
• Other net assets: HKD 39,651,424 (54.74% of net assets)

Portfolio Movements (Unaudited)

• Units issued: 4,000,000
• Units redeemed: 10,400,000
• Net change in units: -24,166,516
• Net assets at the end of the period: HKD 72,431,340

Cash Flow (Unaudited)

• Net cash generated from operating activities: HKD 28,440,729
• Net cash used in financing activities: HKD (24,166,516)
• Net increase in cash and cash equivalents: HKD 4,274,213
• Cash and cash equivalents at the end of the period: HKD 24,718,370

Financial Derivative Instruments

• Futures contracts:
  • HSCEI Futures 29 July 2021: Short position, counterparty BNP Paribas, fair value HKD 263,800

Significant Holdings

• One security (CSOP Hong Kong Dollar Money Market ETF - Unlisted Share Class A) accounted for 21.42% of the net assets as of 30 June 2021.
• No government securities accounted for more than 10% of the 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

• Trustee: HSBC Institutional Trust Services (Asia) Limited

  • Address: 1 Queen's Road Central, Hong Kong

• Custodian: The Hongkong and Shanghai Banking Corporation Limited

  • Address: 1 Queen's Road Central, Hong Kong

• Service Agent: HK Conversion Agency Services Limited

  • Address: 1st Floor, One & Two Exchange Square, 8 Connaught Place, Central, Hong Kong

• Listing Agent: Altus Capital Limited

  • Address: 21 Wing Wo Street, Central, Hong Kong

• Directors of the Manager:

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

• Legal Counsel: Simmons & Simmons

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

• Auditor: PricewaterhouseCoopers

  • Address: 21st Floor Edinburgh Tower, 15 Queen's Road Central, Hong Kong

Summary of Key Performance Metrics

Notes

• The product does not follow a predetermined roll-over schedule due to the Index not being a futures index.
• The Manager performs monthly futures roll operations.
• The product has experienced 52 future rolls since inception.
• The average daily trading turnover for the HKD counter (7588) in June 2021 was HKD 1.9 million.