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Summary of ICBC CSOP Bloomberg China Treasury + Policy Bank Bond Index ETF Annual Report 2021

Fund Overview

• A sub-fund of the CSOP ETF Series II umbrella unit trust established in Hong Kong.
• Tracks the Bloomberg China Treasury + Policy Bank Index through a sampling strategy.
• Closed on August 24, 2021 (name change from Barclays to Bloomberg Index), and further renamed on February 7, 2022.
• Inception date: February 17, 2014.

Key Performance

• Total assets: Approximately RMB 5.1 billion (as of December 31, 2021).
• NAV performance:
  • RMB counter: +5.16% for the year (2021), vs. Index +5.72%.
  • Modified duration: 5.83 years (Sub-fund) vs. 5.76 years (Index).
  • Dividend yield: RMB 0.90 per unit distributed quarterly.
• Tracking error: 0.38% for the year.
• Units outstanding: 49 million (RMB counter).

Portfolio Composition

• Investments in RMB-denominated government bonds and policy bank bonds.
• Holdings include bonds with maturities ranging from 1 day to over 30 years, weighted by issuer and maturity.
• Portfolio features representative sampling to align with the Index.

Financial Highlights

• Total net assets attributable to unitholders: RMB 5.09 billion (December 31, 2021).
• Profit: Operating profit of RMB 80.27 million, with comprehensive income of RMB 80.26 million.
• Cash flows: Net increase in cash equivalents from financing activities outpaced operating outflows.
• Segment: Single operating segment focused on fixed-income investments.

Governance and Oversight

• Manager: CSOP Asset Management Limited, appointed ICBC Asset Management as investment advisor from September 24, 2021.
• Trustee: HSBC Institutional Trust Services (Asia) Limited, ensuring compliance with trust deed provisions.
• Independent auditors: PricewaterhouseCoopers issued an unqualified opinion.

Risk Management

• Market risk: Exposed to interest rate, currency, and credit risks, with sensitivity analysis showing a direct correlation with the Index.
• Credit risk: Managed through diversification, with counterparties including HSBC and its Chinese subsidiary rated highly.
• Liquidity risk: Maintains sufficient cash and active market liquid assets to handle redemptions.

Regulatory Compliance

• Adheres to the Hong Kong SFC Code and IFRS standards.
• Limited investments to avoid concentration with no individual bond exceeding 10% of NAV.
• Ongoing reviews for tax provisions, particularly on withholding taxes in China's debt securities.

Appendices

• Financial statements and fund holdings provided for detailed review.
• Performance record shows consistent alignment with Index tracking over multiple years.