HFT (HK) China Investment Series II HFT (HK) …...Investment Portfolio (Unaudited) 11 HFT (HK)...

HFT (HK) China Investment Series II HFT (HK)-Orient Sun Rise China High Yield Bond Fund

INTERIM REPORT (UNAUDITED) FOR THE PERIOD ENDED 30 June 2019

HFT (HK) China Investment Series II - HFT (HK)-Orient Sun Rise China High Yield Bond Fu nd

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MANAGER HFT Investment Management (HK) Limited ("HFT HK")

HFT HK is the Hong Kong-based subsidiary and international arm of HFT Investment Management Co., Ltd. HFT HK offers a wide range of China and Greater China investment strategies. HFT Investment Management Co., Ltd. (“HFT”) Shanghai-based HFT is the only Chinese-based Asset Manager that has Fitch rating “Highest standards (CHN)” (February 2018). HFT is an asset management company in mainland China; a joint-venture between Haitong Securities and BNP PARIBAS ASSET MANAGEMENT Asia Limited. Its domestic activities span mutual funds, investment advisory and enterprise annuities & segregated accounts. Its investment team covers equity, fixed income and money market instruments. HFT’s Fixed Income capabilities include domestic mutual funds, enterprise annuities & mandates and QFII products. Bond management at HFT started in 2003 and has expanded steadily over the years to reach RMB 127.92 billion as of June 2019. FUND INFORMATION Manager: HFT Investment Management (HK) Limited Trustee: BNP Paribas Trust Services (Hong Kong) Limited Custodian: BNP Paribas Securities Services, operating through its Singapore Branch Dealing frequency: Daily Base currency: RMB Financial year end: 31 December


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CONTENTS Page(s) Administration 3 - 4 Report of Manager 5 Statement of Assets and Liabilities (Unaudited) 6 Statement of Comprehensive Income (Unaudited) 7 Statement of Changes in Net Assets Attributable to Unitholders (Unaudited) 8 Units in Issue (Unaudited) 9 Statement of Movements in Portfolio Holdings (Unaudited) 10 Investment Portfolio (Unaudited) 11


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Administration Manager HFT Investment Management (HK) Limited Suite 4004, 40/F, Two Exchange Square 8 Connaught Road Central Hong Kong Directors of the Manager Mr. DING Yuchao (Resigned on 11 July 2019) Mr. MENG Ning Mr. TAO Wangxiong Mr. XI Wanrong Mr. REN Zhiqiang (Appointed on 18 February 2019) Mr. YU Tao (Appointed on 18 February 2019)

Trustee BNP Paribas Trust Services (Hong Kong) Limited 21/F, PCCW Tower Taikoo Place 979 King’s Road Quarry Bay Hong Kong Registrar BNP Paribas Securities Services, operating through its Hong Kong Branch 21/F, PCCW Tower Taikoo Place 979 King’s Road Quarry Bay Hong Kong Global Custodian and Administrator BNP Paribas Securities Services, operating through its Singapore Branch 20 Collyer Quay #01-01 Singapore 049319


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Administration (continued) RQFII Custodian Industrial and Commercial Bank of China Limited No. 55 Fuxingmennei Street Xicheng District Beijing People's Republic of China Auditors KPMG 8th Floor, Prince's Building 10 Chater Road Central Hong Kong Legal Counsel to the Manager Deacons 5/F, Alexandra House 18 Chater Road Central Hong Kong

HFT (HK) China Investment Series II - HFT (HK) China High Yield Bond Fund

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REPORT OF MANAGER Economic growth displayed a downward trending in the first quarter of 2019. In terms of industrial production, industrial added value and industrial enterprises' profits were both relatively weak. On the demand side, consumption slightly slowed down and export started to fall. Growth in Fixed asset investment growth was stable, especially the infrastructure investment continued to increase and real estate investment was resilient with related policy support. In terms of monetary policy, the PBOC conducted twice targeted RRR cuts in January and the monetary supply remained adequate in general. Although increasing pressures on the overseas economy led to a relaxing monetary environment, which was favorable for the domestic bond market, Sino-US trade negotiation progress boosted risk preferences, suppressing the bond market to some extent. Therefore, the overall interest rate displayed volatilities. Yields of the 1Y and 10Y China Development Bank Bonds fell 20bp and 6bp respectively and term spreads slightly widened.

In Q2, bond yields picked up first and then dropped down. The solid GDP growth in Q1 enhanced expectations of resilient economic development in the first half. Doubled with increasing CPI in March, concerns about inflation occurred. Under anticipation of steady economy and increasing inflation level, the PBOC started to tighten money supply since April. However, Sino-US trade disputes escalated again in May, and domestic data turned relatively weak. The PBOC implemented targeted RRR cuts and injected liquidity by open-market operations, eliminating impacts of the BaoShang Bank event in the short term. Seeing from the whole quarter, yields of the 1Y and 10Y China Development Bank Bonds gained 17bp and 3bp respectively and term spreads slightly narrowed. China’s effort to deleverage the economy and supply side reform to reduce industrial overcapacity raised fear of credit events in China corporate bond market. Bond defaults continue to rise in China and recent cases primarily involved private sector companies. Private companies which have had limited access to traditional bank loans, were particular hard hit and struggle to refinance their maturing bonds. We are mindful of further credit events in the rest of the year. In terms of our portfolio, the focus is more on government related bonds. HFT Investment Management (HK) Limited 31 August 2019


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STATEMENT OF ASSETS AND LIABILITIES (Unaudited) As at at 30 June 2019 As at 30 June

2019As at 31 December

2018

RMB

RMB

Assets Cash and cash equivalents 247,286 43,946,684 Financial assets at fair value through profit or loss 6,003,772 9,440,574 Interest receivable 99,422 178,639 Prepayment and other receivables - 132 Total assets 6,350,480 53,566,029 Liabilities Amounts due to brokers - 3,371,657 Accrued expenses and other payables 147,768 245,965 Tax payables 17,606 12,246 Total liabilities 165,374 3,629,868 Net assets attributable to unitholders* 6,185,106 49,936,161 Number of units in issue - Class A units 68,578 68,578 - Class B units - 20,557 - Class I units - 273,050 Net asset value per unit - Class A units 90.19 90.33 - Class B units - 669.29 - Class I units - 109.81 * The difference between net assets attributable to unitholders and recalculated

net assets (number of units in issues times net asset value per unit) is due to rounding.


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STATEMENT OF COMPREHENSIVE INCOME (Unaudited) For the period ended 30 June 2019 Period from

01 January 2019 to 30 June 2019

Period from01 January 2018 to

30 June 2018

RMB

RMB

Income Interest income 239,776 426,395Net (loss)/gain from financial assets at fair value

through profit or loss (6,412) 10,218Net foreign exchange (loss)/gain (378,573) 17Other income 251,649 250,524 Total revenue 106,440 687,154 Management fee 71,833 98,850Trustee fee 5,048 4,736Custodian fee 17,500 13,086Auditors' remuneration 76,773 56,942Transaction costs 9,148 3,783Other operating expenses 225,929 210,261 Total operating expenses 406,231 387,658 (Loss)/income before distributions to

unitholders (299,791) 299,496 Distributions to unitholders - (364,199) Decreases in net assets attributable to

unitholders before tax (299,791) (64,703) Taxation (18,052) (53,615) Decrease s in net assets attributable to

unitholders and total comprehensive income for the period (317,843) (118,318)


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STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO UNITHOLDERS (Unaudited) For the period ended 30 June 2019 Period from

01 January 2019 to 30 June 2019

Period from 01 January 2018 to

30 June 2018

RMB

RMB Unitholders net assets at the beginning

of the period 49,936,161 16,022,857 Transactions with unitholders Subscriptions of units 6,870,240 94,013 Redemption of units (50,303,452) (135,255)

(43,433,212) (41,242) Decreases in net assets attributable to

unitholders and total comprehensive income for the period (317,843) (118,318)

Unitholders net assets at the end of the period 6,185,106

15,863,297


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UNITS IN ISSUE (Unaudited) For the period ended 30 June 2019 Class A Class B Class I Balance at 01 January 2019 68,578 20,557 273,050 Subscriptions of units during the period

-

10,247

-

Redemption of units during the period

- (30,804) (273,050)

Balance at 30 June 2019 68,578 - - Class A Class D Balance at 01 January 2018 173,381 888 Subscriptions of units during the period

1,025

-

Redemption of units during the period

(1,471) -

Balance at 30 June 2018 172,935 888


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STATEMENT OF MOVEMENTS IN POTFOLIO HOLDINGS (Unaudi ted) For the period ended 30 June 2019

% of net asset value as at 30 June

2019

% of net asset value as at 31 December

2018 Debt securities - listed bonds 97.07 18.91 Other net assets 2.93 81.09 Total net assets 100.00 100.00

HFT (HK) China Investment Series II - HFT (HK)-Orient Sun Rise China High Yield Bond Fu nd INVESTMENT PORTFOLIO (Unaudited) As at 30 June 2019 Debt Securities Bonds

Nominal Value

Market value

% of net assets

China RMB Listed/Quoted debt securities

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China Agricultural Development Bank of China

3.36% due 06/11/2020 800,000 804,400 13.01China Development Bank 3.49% due

01/08/2020 1,100,000 1,109,570 17.94China Development Bank 3.89% due

18/04/2020 1,400,000 1,414,168 22.86China Development Bank 3.91% due

06/04/2022 1,200,000 1,225,200 19.81China Government Bond 3.4% due

17/04/2023 10,000 10,114 0.16China Government Bond 4.26% due

31/07/2021 1,400,000 1,440,320 23.29 Total Listed/Quoted debt securities 6,003,772 97.07 OTHER NET ASSETS 181,334 2.93 NET ASSETS AS AT 30 JUNE 2019 6,185,106 100.00 TOTAL INVESTMENTS, AT COST 5,996,556


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DISCLAIMER HFT (HK)-Orient Sun Rise China High Yield Bond Fund (“the sub-fund”), a sub-Fund of the HFT (HK) China Investment Series II, has been authorized by the SFC; however, such authorization is not an official recommendation or endorsement of the Fund nor does it guarantee the commercial merits of the sub-fund or its performance. It does not mean the sub-fund is suitable for all investors nor is it an endorsement of its suitability for any particular investor or class of investors. This material has not been reviewed by the SFC. This publication does not constitute an offer or solicitation of any transaction in any securities referred to herein. The content of this publication does not constitute investment advice to any person. Any recommendation contained herein may not be suitable for all investors. Although the information contained herein has been obtained from sources believed to be reliable, its accuracy and completeness cannot be guaranteed. This HFT Investment Management (HK) Limited publication and any recommendation contained herein speak only as of the date hereof and are subject to change without notice. HFT Investment Management (HK) Limited has no obligation to update or amend any information contained herein. This publication is being furnished to you for informational purposes only and on the condition that it will not form a primary basis for any investment decision. Investors must make their own determination of the appropriateness of an investment in any securities referred to herein based on the legal, tax and accounting considerations applicable to such investors and their own investment strategy. By virtue of this publication, neither HFT Investment Management Co., Ltd or HFT Investment Management (HK) Limited, nor any of their employees shall be responsible for any investment decision.


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HFT Investment Management (HK) Limited Suite 4004, 40/F, Two Exchange Square 8 Connaught Road Central Hong Kong T:+852 2923 0700 F:+852 2923 0701 E:[email protected] Visit our website www.hftfund.com.hk

kpmg

HFT (HK) China Investment Series II - HFT (HK)-Orient Sun Rise China

High Yield Bond Fund (Formerly known as HFT (HK) China High Yield

Bond Fund)

31 December 2018

HFT (HK) China Investment Series II - HFT (HK)-Orient Sun Rise China High Yield Bond Fund

(Formerly known as HFT (HK) China High Yield Bond Fund) Year ended 31 December 2018

Contents Page(s) Investment Manager’s report 1 Trustee’s Report 2 Statement of responsibilities of the Manager and the Trustee 3 Independent auditor’s report 4 - 7 Statement of assets and liabilities 8 Statement of comprehensive income 9 Statement of changes in net assets attributable to unitholders 10 Cash flow statement 11 Distribution statement 12 - 16 Notes to the financial statements 17 - 41 Portfolio statement (unaudited) 42 Statement of movements in portfolio holdings (unaudited) 43 Performance record (unaudited) 44 - 46 Administration 47 - 48



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Investment Manager’s report HFT (HK) China Investment Series II - HFT (HK)-Orient Sun Rise China High Yield Bond Fund (Formerly known as HFT (HK) China High Yield Bond Fund) (“the sub fund”)

As the economy generally slowed down in 2018, the inflation trend also headed downward. From the production perspective, the industrial value-add continued to fall, industrial sector profits started to decrease after short rebound. From the demand perspective, consumption turned weak in general while export stayed resilient, the infrastructure investment slid due to tightening financing channels and regulations on local government debts, although investment in real estate and manufacturing displayed high growth, total fixed asset investment still declined.

The People’s Bank of China cut targeted RRR four times and created a targeted medium-term lending facility (TMLF) to guide the descending interest rates in 2018. All these indicated the independence of monetary policy under the situation of Fed’s interest rate hike. Stance on the policy was shifted from “tight credit” to “loose credit” since the second half, related policies were announced to support infrastructure investment. The overall interest rate displayed a downward trend through the year. Triggered by relatively loose monetary policy and China-US trade friction, bond yields significantly dropped from January to mid-July. Later with “loose credit” policy and acceleration of local government bond issuance, the interest rate slightly rebounded for a short period. Since the fourth quarter, bond yields went down again as the downward pressure on the economy still existed and overseas influence factors diminished to some extent. Seeing from the whole year, yields of 10Y Treasury Bond and China Development Bank Bond lost 65bp and 118bp respectively. In terms of credit bonds, credit risks arouse frequently in 2018 mainly due to limited financing sources, the number of bond defaults and default entities hit historical high. Although yields of credit bonds generally went down with the declining interest rates, performance of credit bonds with different grades differentiated.

Bond defaults continued to rise in China this year amid higher borrowing cost and Beijing’s campaign against excessive debt. Private sector companies were particularly hard hit as they had limited access to traditional bank loans and struggled to refinance their maturing bonds. There are issuers which have defaulted their onshore bonds in China also have USD bonds outstanding. Whether they will serve their interest and principal payment for offshore bonds are under close scrutiny. The central government rolled out various policy initiatives to support financing of private sector companies. Whether these policy can help relieve liquidity pressure of the private sector remains to be seen. In terms of our portfolio, the focus is more on government related bonds for the time being.

) ) For and on behalf of ) HFT Investment Management (HK) Limited )



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Trustee’s Report HFT (HK) China Investment Series II - HFT (HK)-Orient Sun Rise China High Yield Bond Fund (Formerly known as HFT (HK) China High Yield Bond Fund) (“the sub fund”) (continued)

We hereby confirm that, in our opinion, the Manager of the sub fund has, in all material respects, managed the sub fund in accordance with the provisions of the Trust Deed dated 17 October 2013, 25 February 2014 and 12 July 2016 (collectively the “Trust Deed”), for the 31 December 2018.

) ) For and on behalf of ) BNP Paribas Trust Services (Hong Kong) Limited ) )



3

Statement of responsibilities of the Manager and the Trustee

Manager’s responsibilities

The Manager of HFT (HK) China Investment Series II – HFT (HK)-Orient Sun Rise China High Yield Bond Fund (Formerly known as HFT (HK) China High Yield Bond Fund) (“the sub fund”) is required by the Code of Unit Trusts and Mutual Funds issued by the Hong Kong Securities and Futures Commission and the Trust Deed dated 17 October 2013, as amended by Supplemental Trust Deeds dated 17 October 2013, 25 February 2014 and 12 July 2016 (collectively the “Trust Deed”) to prepare financial statements for each annual accounting period which give a true and fair view of the financial position of the sub fund at the end of that period and of the transactions for the period then ended. In preparing these financial statements the Manager is required to:

• select suitable accounting policies and then apply them consistently;

• make judgements and estimates that are reasonable and appropriate; and

• prepare the financial statements on the on going and continuity basis that the sub fund will continue in operations unless it is inappropriate to presume this.

The Manager is also required to manage the sub fund in accordance with the Trust Deed and take reasonable steps for prevention and detection of fraud and other irregularities.

HFT (HK) China Investment Series II (“the Trust”) is an open ended umbrella unit trust governed by its Trust Deed. As at 31 December 2018, the Trust has established two sub funds, namely HFT (HK)-Orient Sun Rise China High Yield Bond Fund (Formerly known as HFT (HK) China High Yield Bond Fund) and HFT (HK) China RMB Money Market Fund.

Trustee’s responsibilities

The Trustee of the sub fund is required to:

• ensure that the sub fund is managed by the Manager in accordance with the Trust Deed and that the investment and borrowing powers are complied with;

• safeguard the property of the sub fund and rights attached thereto;

• satisfy itself that sufficient accounting and other records have been maintained; and

• report to the unitholders for each annual accounting period on the conduct of the Manager in the management of the sub fund.

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4

Independent auditors’ report to the unitholders of HFT (HK) China Investment Series II - HFT (HK)-Orient Sun Rise China High Yield Bond Fund (Formerly known as HFT (HK) China High Yield Bond Fund) (“the sub fund”)

Report on the audit of financial statements

Opinion

We have audited the financial statements of HFT (HK) China Investment Series II - HFT (HK)-Orient Sun Rise China High Yield Bond Fund (Formerly known as HFT (HK) China High Yield Bond Fund) (“the sub fund”) set out on pages 8 to 41, which comprise the statement of assets and liabilities as at 31 December 2018, the statement of comprehensive income, the statement of changes in net assets attributable to unitholders, cash flow statement and distribution statement for the year then ended and notes to the financial statements, including a summary of significant accounting policies.

In our opinion, the financial statements give a true and fair view of the financial disposition of the sub fund as at 31 December 2018 and of its financial performance and its cash flows for the year then ended in accordance with International Financial Reporting Standards (“IFRSs”) issued by the International Accounting Standards Board (“IASB”).

Basis for opinion

We conducted our audit in accordance with International Standards on Auditing (“ISAs”) issued by the International Auditing and Assurance Standards Board. Our responsibilities under those standards are further described in the Auditor’s responsibilities for the audit of the financial statements section of our report. We are independent of the sub fund in accordance with International Ethics Standards Board for Accountants Code of Ethics for Professional Accountants (“the Code”) and we have fulfilled our other ethical responsibilities in accordance with the Code. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Information other than the financial statements and auditor’s report thereon

The Manager and the Trustee of the sub fund are responsible for the other information. The other information comprises all the information included in the annual report, other than the financial statements and our auditor’s report thereon.

Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated.

If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.

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Independent auditors’ report to the unitholders of HFT (HK) China Investment Series II - HFT (HK)-Orient Sun Rise China High Yield Bond Fund (Formerly known as HFT (HK) China High Yield Bond Fund) (“the sub fund”) (continued)

Report on the audit of financial statements (continued)

Responsibilities of the Manager and the Trustee of the sub fund for the financial statements

The Manager and the Trustee of the sub fund are responsible for the preparation of the financial statements that give a true and fair view in accordance with IFRSs issued by the IASB and for such internal control as the Manager and the Trustee of the sub fund determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the Manager and the Trustee of the sub fund are responsible for assessing the sub fund’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Manager and the Trustee of the sub fund either intend to liquidate the sub fund or to cease operations, or have no realistic alternative but to do so.

In addition, the Manager and the Trustee of the sub fund are required to ensure that the financial statements have been properly prepared in accordance with the relevant provisions of the Trust Deed dated 17 October 2013, as amended by supplemental Trust Deeds dated 17 October 2013, 25 February 2014 and 12 July 2016 collectively “the Trust Deed”, and the relevant disclosure provisions of Appendix E of the Code on Unit Trusts and Mutual Funds (“the SFC Code”) issued by the Hong Kong Securities and Futures Commission.

Auditor’s responsibilities for the audit of the financial statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. This report is made solely to you, as a body, and for no other purpose. We do not assume responsibility towards or accept liability to any other person for the contents of this report.

Reasonable assurance is a high level of assurance but is not a guarantee that an audit conducted in accordance with ISAs will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. In addition, we are required to assess whether the financial statements of the sub fund have been properly prepared, in all material respects, in accordance with the relevant provisions of the Trust Deed and the relevant disclosure provisions of Appendix E of the SFC Code.

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Auditor’s responsibilities for the audit of the financial statements (continued)

As part of an audit in accordance with ISAs, we exercise professional judgement and maintain professional scepticism throughout the audit. We also:

• Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations or the override of internal control.

• Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances but not for the purpose of expressing an opinion on the effectiveness of the sub fund’s internal control.

• Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Manager and the Trustee of the sub fund.

• Conclude on the appropriateness of the Manager’s and the Trustee’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the sub fund’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause the sub fund to cease to continue as a going concern.

• Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with the Manager and the Trustee of the sub fund regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

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Report on matters under the relevant provisions of the Trust Deed and the relevant disclosure provisions of Appendix E of the SFC Code

In our opinion, the financial statements have been properly prepared, in all material respects, in accordance with the relevant provisions of the Trust Deed and the relevant disclosure provisions of Appendix E of the SFC Code.

Certified Public Accountants 8th Floor, Prince's Building 10 Chater Road Central, Hong Kong


(Formerly known as HFT (HK) China High Yield Bond Fund) Financial statement for the year ended 31 December 2018

8

Statement of assets and liabilities at 31 December 2018 (Expressed in Renminbi) Note 2018 2017 Assets Cash and cash equivalents 7 ¥ 43,946,684 ¥ 578,192 Financial assets at fair value through

profit or loss 6, 10(a) 9,440,574 15,382,070 Interest receivable 178,639 489,418 Prepayment and other receivables 132 133,414

¥ 53,566,029 ¥ 16,583,094 ------------------- ------------------- Liabilities Amounts due to brokers ¥ 3,371,657 ¥ - Redemption payable - 89,345 Accrued expenses and other payables 7 245,965 424,287 Tax payables 12,246 46,605

¥ 3,629,868 ¥ 560,237 ------------------- ------------------- Net assets attributable to unitholders 8 ¥ 49,936,161 ¥ 16,022,857

Number of units in issue - Class A units 8(a) 68,578 173,381 - Class B units 20,557 - - Class D units - 888 - Class I units 273,050 -

Net assets value per unit 8(b) - Class A units ¥ 90.33 ¥ 92.05 - Class B units 669.29 - - Class D units - 71.17 - Class I units 109.81 -

Approved by the Trustee and the Manager on ) ) For and on behalf of ) BNP Paribas Trust Services (Hong Kong) Limited ) ) ) For and on behalf of ) HFT Investment Management (HK) Limited )

The notes on pages 17 to 41 form part of these financial statements



9

Statement of comprehensive income for the year ended 31 December 2018 (Expressed in Renminbi)

Note 2018 2017 Interest income calculated using the effective

interest rate method arising from financial assets at fair value through profit or loss 5 ¥ 525,092 ¥ 840,942

Net gain/(loss) from financial assets at fair value through profit or loss 3 63,187 (554,584)

Net foreign exchange losses (25,207) (1,863) Other income 588,161 542,104

Total revenue ¥ 1,151,233 ¥ 826,599 ------------------- ------------------- Management fees 7 ¥ 151,139 ¥ 213,886 Trustee’s fees 7 10,383 9,953 Custodian fees 7 33,132 21,609 Auditors’ remuneration 122,292 130,628 Transaction costs 8,144 5,683 Other operating expenses 452,463 455,323

Total operating expenses ¥ 777,553 ¥ 837,082 ------------------- ------------------- Income before distributions to unitholders ¥ 373,680 ¥ (10,483) Distributions to unitholders 12 (553,692) (762,109)

Decreases in net assets attributable to unitholders before tax ¥ (180,012) ¥ (772,592)

Taxation 4 (20,956) (110,112)

Decreases in net assets attributable to unitholders and total comprehensive income for the year ¥ (200,968) ¥ (882,704)




10

Statement of changes in net assets attributable to unitholders for the year ended 31 December 2018 (Expressed in Renminbi)

Note 2018 2017 Unitholders net assets at 1 January ¥ 16,022,857 ¥ 18,263,491 ------------------- ------------------- Transactions with unitholders Subscriptions of units 8(a) ¥ 44,054,793 ¥ 182,262 Redemption of units 8(a) (9,940,521) (1,540,192)

Total transactions with unitholders ¥ 34,114,272 ¥ (1,357,930) ------------------- ------------------- Decrease in net assets attributable to

unitholders and total comprehensive income for the year ¥ (200,968) ¥ (882,704)

Unitholders net assets at 31 December ¥ 49,936,161 ¥ 16,022,857




11

Cash flow statement for the year ended 31 December 2018 (Expressed in Renminbi)

2018 2017 Operating activities Decreases in net assets attributable to unitholders ¥ (200,968) ¥ (882,704) Adjustments for:

Net (gain)/loss from financial assets at fair value through profit or loss (63,187) 554,584

Payments for purchase of investments (14,150,057) (12,902,799) Proceeds from sale of investments 23,495,452 13,623,839 Distributions to unitholders 553,692 762,109 Taxation 20,956 110,112 Tax paid (55,315) (105,255)

Changes in working capital

Decrease/(increase) in interest receivable 341,724 (55,763) Decrease/(increase) in prepayment and other receivables 133,282 (85,464) (Decrease)/increase in accrued expenses and other payables (178,322) 90,783

Cash generated from operating activities ¥ 9,897,257 ¥ 1,109,442 -------------------- -------------------- Financing activities Proceeds from issue of units ¥ 44,054,793 ¥ 182,262 Payments of redemption of units (10,029,866) (1,450,847) Payments for distributions to unitholders (553,692) (762,109)

Cash generated from/(used in) financing activities ¥ 33,471,235 ¥ (2,030,694) -------------------- -------------------- Net increase/(decrease) in cash and cash

equivalents ¥ 43,368,492 ¥ (921,252) Cash and cash equivalents at 1 January 578,192 1,499,444

Cash and cash equivalents at 31 December ¥ 43,946,684 ¥ 578,192




12

Distribution statement for the year ended 31 December 2018 (Expressed in Renminbi)

Note 2018 2017 Undistributed income brought forward ¥ 16,022,857 ¥ 18,263,491 Net received and receivable/(paid and payable)

on subscriptions and redemptions of units 34,114,272 (1,357,930) Income before distributions to unitholders after

taxation 352,724 (120,595)

Amount available for distributions to unitholders ¥ 50,489,853 ¥ 16,784,966

Distributions to unitholders 12 (553,692) (762,109)

Undistributed income carried forward ¥ 49,936,161 ¥ 16,022,857




13

Distribution statement for the year ended 31 December 2018 (continued) (Expressed in Renminbi)

Note 2018 2017 Distribution history Class A units First distribution per unit 12 ¥ 0.35 ¥ 0.35

Date of distribution 16/01/2018 17/01/2017 Second distribution per unit 12 ¥ 0.35 ¥ 0.35

Date of distribution 23/02/2018 16/02/2017 Third distribution per unit 12 ¥ 0.35 ¥ 0.35

Date of distribution 16/03/2018 16/03/2017 Fourth distribution per unit 12 ¥ 0.35 ¥ 0.35

Date of distribution 17/04/2018 19/04/2017 Fifth distribution per unit 12 ¥ 0.35 ¥ 0.35

Date of distribution 16/05/2018 16/05/2017 Sixth distribution per unit 12 ¥ 0.35 ¥ 0.35

Date of distribution 19/06/2018 16/06/2017




14


2018 2017 Distribution history (continued) Note Class A units Seventh distribution per unit 12 ¥ 0.35 ¥ 0.35

Date of distribution 17/07/2018 18/07/2017 Eighth distribution per unit 12 ¥ 0.35 ¥ 0.35

Date of distribution 16/08/2018 16/08/2017 Ninth distribution per unit 12 ¥ 0.35 ¥ 0.35

Date of distribution 18/09/2018 18/09/2017 Tenth distribution per unit 12 ¥ 0.35 ¥ 0.35

Date of distribution 16/10/2018 17/10/2017 Eleventh distribution per unit 12 ¥ 0.35 ¥ 0.35

Date of distribution 16/11/2018 16/11/2017 Twelfth distribution per unit 12 ¥ 0.35 ¥ 0.35





15


2018 2017 Distribution history (continued) Note Class D units First distribution per unit 12 ¥ 0.270 ¥ 0.273

Date of distribution 16/01/2018 17/01/2017 Second distribution per unit 12 ¥ 0.270 ¥ 0.274

Date of distribution 23/02/2018 16/02/2017 Third distribution per unit 12 ¥ 0.270 ¥ 0.265

Date of distribution 16/03/2018 16/03/2017 Fourth distribution per unit 12 ¥ 0.270 ¥ 0.274

Date of distribution 17/04/2018 19/04/2017 Fifth distribution per unit 12 ¥ 0.270 ¥ 0.274

Date of distribution 16/05/2018 16/05/2017 Sixth distribution per unit 12 ¥ 0.270 ¥ 0.271





16


2018 2017 Distribution history (continued) Note Class D units Seventh distribution per unit 12 ¥ 0.270 ¥ 0.268

Date of distribution 17/07/2018 18/07/2017 Eighth distribution per unit 12 ¥ 0.260 ¥ 0.274

Date of distribution 16/08/2018 16/08/2017 Ninth distribution per unit 12 ¥ 0.270 ¥ 0.269

Date of distribution 18/09/2018 15/09/2017 Tenth distribution per unit 12 ¥ 0.270 ¥ 0.271

Date of distribution 16/10/2018 17/10/2017 Eleventh distribution per unit 12 ¥ 0.270 ¥ 0.272

Date of distribution 16/11/2018 16/11/2017 Twelfth distribution per unit 12 ¥ - ¥ 0.271

Date of distribution - 18/12/2017




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Notes to the financial statements (Expressed in Renminbi)

1 The sub fund

HFT (HK)-Orient Sun Rise China High Yield Bond Fund (Formerly known as HFT (HK) China High Yield Bond Fund) (“the sub fund”) is a sub fund of HFT (HK) China Investment Series II which is an open-ended unit trust established as an umbrella fund under the laws of Hong Kong by a trust deed dated 17 October 2013, as amended (“the Trust Deed”), between HFT Investment Management (HK) Limited (“the Manager”) as manager and BNP Paribas Trust Services (Hong Kong) Limited (“the Trustee”) as trustee.

The sub fund seeks to achieve income generation and long-term capital appreciation by investing primarily in fixed income securities in China, including (a) RMB-denominated debt instruments issued and distributed in the PRC and (b) debt instruments issued and distributed in Hong Kong.

There can be no assurance that the sub fund will achieve its investment objective.

The Manager of the sub fund is HFT Investment Management (HK) Limited. The Manager is responsible for the management of the sub fund’s assets. The Manager is a company incorporated on 14 April 2010 with limited liability under the laws of Hong Kong. It is licensed by the Securities and Futures Commission in Hong Kong for type 1 (dealing in securities), type 4 (advising on securities) and type 9 (asset management) regulated activities.

The Trustee of the sub fund is BNP Paribas Trust Services (Hong Kong) Limited. Under the Trust Deed, the Trustee is responsible for the safe-keeping of the assets of the sub fund and monitoring the compliance by the Manager with the requirements of the Trust Deed. The registrar of the sub fund is BNP Paribas Securities Services, Hong Kong Branch and is responsible for maintaining the register of unitholders.

With effect from 27 December 2018, the name of the sub fund is changed from HFT (HK) China High Yield Bond Fund to HFT (HK)-Orient Sun Rise China High Yield Bond Fund.

2 Significant accounting policies

(a) Statement of compliance

The financial statements have been prepared in accordance with all applicable International Financial Reporting Standards (“IFRSs”), which collective term includes all applicable individual International Financial Reporting Standards, International Accounting Standards (“IASs”) and Interpretations issued by the International Accounting Standards Board (“IASB”), and the relevant disclosure provisions of the Trust Deed and the relevant disclosure requirements of the Hong Kong Code on Unit Trusts and Mutual Funds (“the SFC Code”) issued by the Hong Kong Securities and Futures Commission (“the SFC”). Significant accounting policies adopted by the sub fund are disclosed below.



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2 Significant accounting policies (continued)

The IASB has issued certain new and revised IFRSs that are first effective or available for early adoption for the current accounting period of the sub fund. Note 2(c) provides information on any changes in accounting policies resulting from initial application of these developments to the extent that they are relevant to the sub fund for the current and prior accounting periods reflected in these financial statements.

(b) Basis of preparation of the financial statements

The functional and presentation currency of the sub fund is Renminbi reflecting the fact that all the underlying investments of the sub fund are denominated in Renminbi.

The financial statements are prepared on a fair value basis for financial assets and financial liabilities at fair value through profit or loss. Other financial assets and financial liabilities are stated at amortised cost or redemption amount (redeemable units).

The preparation of financial statements in conformity with IFRSs requires management to make judgements, estimates and assumptions that affect the application of policies and reported amounts of assets, liabilities, income and expenses. The estimates and associated assumptions are based on historical experience and various other factors that are believed to be reasonable under the circumstances, the results of which form the basis of making the judgements about carrying values of assets and liabilities that are not readily apparent from other sources. Actual results may differ from these estimates.

The estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting estimates are recognised in the year in which the estimate is revised if the revision affects only that year, or in the year of the revision and future years if the revision affects both current and future years.

This is the first set of the sub fund’s annual financial in which IFRS 9 Financial Instruments has been applied. Changes to significant accounting policies are described in note 2(c).

(c) Changes in accounting policies

The sub fund has initially applied IFRS 9 from 1 January 2018. Also, the sub fund early adopted Prepayment Features with Negative Compensation (Amendments to IFRS 9), issued in October 2017. A number of other new standards are also effective from 1 January 2018 but they do not have a material effect on the sub fund’s financial statements.

As permitted by the transition provisions of IFRS 9, comparative information throughout these financial statements has not generally been restated to reflect the requirement of the standard.

Except for the changes below, the sub fund has consistently applied the accounting policies as set out in Note 2.



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IFRS 9 sets out requirements for recognising and measuring financial assets, financial liabilities and some contracts to buy or sell non-financial items. This standard replaces IAS 39 Financial Instruments: Recognition and Measurement.

As a result of the adoption of IFRS 9, the sub fund has adopted consequential amendments to IAS 1 Presentation of Financial Statements, which require:

• impairment of financial assets to be presented in a separate line item in the statement of comprehensive income. Under IAS 39, impairment was recognised when losses were incurred. The sub fund did not previously report any incurred losses; and

• separate presentation in the statement of comprehensive income of interest revenue calculated using the effective interest method.

Additionally, the sub fund has adopted consequential amendments to IFRS 7 Financial Instruments: Disclosures, which are applied to disclosures about 2018 but have not generally been applied to comparative information.

The adoption of IFRS 9 had no material impact on the net assets attributable to unitholders of the sub fund.

(i) Classification and measurement of financial assets and financial liabilities

IFRS 9 contains three principal classification categories for financial assets: measured at amortised cost, fair value through other comprehensive income (“FVOCI”) and fair value through profit or loss (“FVTPL”). The classification of financial assets under IFRS 9 is generally based on the business model in which a financial asset is managed and its contractual cash flow characteristics. IFRS 9 eliminates the previous IAS 39 categories of held to maturity, loans and receivables and available for sale. Under IFRS 9, derivatives embedded in contracts where the host is a financial asset in the scope of the standard are never separated. Instead, the hybrid financial instrument as a whole is assessed for classification.

IFRS 9 largely retains the existing requirements in IAS 39 for the classification and measurement of financial liabilities.

The adoption of IFRS 9 has not had a significant effect on the sub fund’s accounting policies related to financial liabilities.

For an explanation of how the sub fund classifies and measures financial instruments and accounts for related gains and losses under IFRS 9, see Note 2(e).



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The following table and the accompanying notes below explain the original measurement categories under IAS 39 and the new measurement categories under IFRS 9 for each class of the sub fund’s financial assets and financial liabilities as at 1 January 2018.

Original classification under

IAS 39 New classification

under IFRS 9

Original carrying amount under IAS

39 and IFRS 9 Financial assets Cash and cash equivalents Loans and

receivables Amortised cost

¥ 578,192 Debt securities (a) Designated as at

FVTPL Mandatorily at

FVTPL 15,382,070 Interest receivable Loans and


489,418 Prepayment and other receivables Loans and


133,414

¥ 16,583,094

(a) Under IAS 39, these financial assets were designated as at FVTPL because they were managed on a fair value basis and their performance was monitored on this basis. These assets have been classified as mandatorily measured at FVTPL under IFRS 9.

Original classification under

IAS 39 New classification

under IFRS 9

Original carrying amount under IAS

39 and IFRS 9 Financial liabilities Redemption Payable Amortised cost Amortised cost ¥ 89,345 Accrued expenses and other

payables Amortised cost Amortised cost

424,287 Tax payables Amortised cost Amortised cost 46,605

¥ 560,237

There is no change in the carrying amounts of the financial assets under IAS 39 to the carrying amounts under IFRS 9 on transition to IFRS 9 on 1 January 2018.



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(ii) Impairment of financial assets

IFRS 9 replaces the ‘incurred loss’ model in IAS 39 with an “expected credit loss” (“ECL”) model. The new impairment model applies to financial assets measured at amortised cost and debt investments at FVOCI, but not to investments in equity instruments. Under IFRS 9, credit losses are recognised earlier than under IAS 39.

The sub fund has determined that the application of IFRS 9’s impairment requirements at 1 January 2018 does not result to any additional impairment allowance.

(iii) Transition

Changes in accounting policies resulting from the adoption of IFRS 9 have been applied retrospectively, except as described below.

• Comparative periods have not generally been restated. Accordingly, the information presented for 2017 does not reflect the requirements of IFRS 9, but rather those of IAS 39.

The sub fund has used the exemption not to restate comparative periods but considering that the amendments made by IFRS 9 to IAS 1 introduced the requirement to present “interest income calculated using the effective interest rate” as a separate line item in the statement of comprehensive income, the sub fund has reclassified comparative interest income on financial instruments designated as at FVTPL to “net income from financial instruments at FVTPL” and changed the description of the line item from “interest income” reported in 2017 to “interest income calculated using the effective interest method”.

• The following assessments have been made on the basis of the facts and circumstances that existed at the date of initial application.

− The determination of the business model within which a financial asset is held.

− The revocation of previous designations of certain financial assets as measured at FVTPL.

(d) Foreign currency translation

Foreign currency transactions during the year are translated into Renminbi at the exchange rates ruling at the transaction dates. Monetary assets and liabilities denominated in foreign currencies that are stated at fair value are translated into Renminbi at the foreign exchange rates ruling at the date of the statement of assets and liabilities. Foreign currency exchange differences arising on translation and realised gains and losses on disposal or settlement of monetary assets and liabilities are recognised in profit or loss. Non-monetary assets and liabilities denominated in foreign currencies that are measured at fair value are translated to Renminbi at the foreign currency exchange rates ruling at the date that the values were determined. Foreign currency exchange differences relating to financial assets at fair value through profit or loss are included in net gains from financial assets at fair value through profit or loss. All other foreign currency exchange differences relating to monetary items including cash and cash equivalents are presented separately in profit or loss.



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(e) Financial assets and financial liabilities

(i) Recognition and initial measurement

The sub fund initially recognises financial assets and financial liabilities at FVTPL on the trade date, which is the date on which the sub fund becomes a party to the contractual provisions of the instrument. Other financial assets and financial liabilities are recognised on the date on which they are originated.

A financial asset or financial liability is measured initially at fair value plus, for an item not at FVTPL transaction costs that are directly attributable to its acquisition or issue.

(ii) Classification and subsequent measurement

On initial recognition, the sub fund classifies financial assets as measured at amortised cost or FVTPL.

A financial asset is measured at amortised cost if it meets both of the following conditions and is not designated as at FVTPL:

• It is held within a business model whose objective is to hold assets to collect contractual cash flows; and

• Its contractual terms give rise on specified dates to cash flows that are SPPI.

All other financial assets of the sub fund are measured at FVTPL.

Business model assessment

In making an assessment of the objective of the business model in which a financial asset is held the sub fund considers all of the relevant information about how the business Is managed, including:

• The documented investment strategy and the execution of this strategy in practice. This includes whether the investment strategy focuses on earning contractual interest income, maintaining a particular interest rate profile, matching the duration of the financial assets to the duration of any related liabilities or expected cash outflows or realizing cash flows through the sale of the assets;

• How the performance of the portfolio is evaluated and reported to the sub fund’s management;

• The risks that affect the performance of the business model (and the financial assets held within that business model) and how those risks are managed;

• How the investment manager is compensated: e.g. whether compensation is based on the fair value of the assets managed or the contractual cash flows collected; and

• The frequency, volume and timing of sales of financial assets in prior periods, the reasons for such sales and expectations about future sales activity.



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Transfers of financial assets to third parties in transactions that do not qualify for derecognition are not considered sales for this purpose, consistent with the sub fund’s continuing recognition of the assets.

The sub fund has determined it has two business models.

• Held-to-collect business model: this includes cash and cash equivalents, balances due from brokers, interest receivables and prepayments and other receivables. These financial assets are held to collect contractual cash flow.

• Other business model: this includes debt securities, which are financial assets managed and their performance evaluated, on a fair value basis, with frequent sales taking place.

Assessments of contractual cash flows are SPPI

For the purposes of this assessment, ‘principal’ is defined as the fair value of the financial asset on initial recognition. ‘Interest’ is defined as consideration for the time value of money and for the credit risk associated with the principal amount outstanding during a particular period of time and for other risk associated with the principal amount outstanding during a particular period of time and for other basic lending risks and costs (e.g. liquidity risk and administrative costs), as well as a profit margin.

In assessing whether the contractual cash flows are SPPI, the sub fund considers the contractual terms of the instrument. This includes assessing whether the financial asset contains a contractual term that could change the timing or amount of contractual cash flows such that it would not meet this condition. In making this assessment, the sub fund considers:

• contingent events that would change the amount or timing of cash flows;

• leverage features;

• prepayment and extension features;

• terms that limit the sub fund’s claim to cash flows from specified assets (e.g. non-recourse features); and

• features that modify consideration for of the time value of money (e.g. periodical reset of interest rates).

For a reconciliation of line items in the statement of financial position to the categories of financial instruments, as defined by IFRS 9, see Note 2(c)(i).

Reclassifications

Financial assets are not reclassified subsequent to their initial recognition unless the sub fund were to change its business model for managing financial assets, in which case all affected financial assets would be reclassified on the first day of the first reporting period following the change in the business model.



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(iii) Fair value measurement principles

Fair value’ is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date in the principal or, in its absence, the most advantageous market to which the sub fund has access at that date. The fair value of a liability reflects its non-performance risk.

When available, the sub fund measures the fair value of an instrument using the quoted price in an active market for that instrument. A market is regarded as ‘active’ if transactions for the asset or liability take place with sufficient frequency and volume to provide pricing information on an ongoing basis. The sub fund measures instruments quoted in an active market at a quoted market price provided such price is within the bid-ask spread.

If there is no quoted price in an active market, then the sub fund uses valuation techniques that maximise the use of relevant observable inputs and minimise the use of unobservable inputs. The chosen valuation technique incorporates all of the factors that market participants would take into account in pricing a transaction.

The sub fund recognises transfers between levels of the fair value hierarchy as at the end of the reporting period during which the change has occurred.

(iv) Amortised cost measurement

The ‘amortised cost’ of a financial asset or financial liability is the amount at which the financial asset or financial liability is measured on initial recognition minus the principal repayments, plus or minus the cumulative amortisation using the effective interest method of any difference between that initial amount and the maturity amount and, for financial assets, adjusted for any loss allowance.

(v) Impairment

The sub fund recognises loss allowances for ECLs on financial assets measured at amortised cost.

The sub fund measures loss allowances at an amount equal to lifetime ECLs, except for the following, which are measured at 12-months ECLs:

• financial assets that are determined to have low credit risk at the reporting date; and

• other financial assets for which credit risk (i.e. the risk of default occurring over the expected life of the assets) has not increased significantly since initial recognition.

When determining whether the credit risk of a financial asset has increased significantly since initial recognition and when estimating ECLs, the sub fund considers reasonable and supportable information that is relevant and available without undue cost or effort. This includes both quantitative and qualitative information and analysis, based on the sub fund’s historical experience and informed credit assessment and including forward-looking information.

The sub fund assumes that the credit risk on a financial asset has increased significantly if it is more than 30 days past due.



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The sub fund considers a financial asset to be default when:

• the borrower is unlikely to pay its credit obligations to the sub fund in full, without recourse by the sub fund to actions such as realizing security (if any is held); or

• the financial asset is more than 90 days past due.

The sub fund considers a financial asset to have low credit risk when the credit rating of the counterparty is equivalent to the globally understood definition of ‘investment grade’. The sub fund considers this to be BBB- or high per S&P or Baa3 or higher per Moody’s.

Lifetime ECLs are the ECLs that result from all possible default events over the expected life of a financial instrument.

12-month ECLs are the portion of ECLs that result from default events that are possible within the 12 months are the reporting date (or a shorter period if the expected life of the instrument is less than 12 months).

The maximum period considered when estimating ECLs is the maximum contractual period over which the sub fund is exposed to credit risk.

Measurement of ECLs

ECLs are a probability-weighted estimate of credit losses. Credit losses are measured as the present value of all cash shortfalls (i.e. the difference between the cash flows due to the entity in accordance with the contract and the cash flows that the sub fund expects to receive).

ECLs are discounted at the effective interest rate of the financial asset.

Credit-impaired financial assets

At each reporting date, the sub fund assesses whether financial assets carried at amortised cost are credit-impaired. A financial asset is ‘credit-impaired’ when one or more events that have a detrimental impact on the estimated future cash flows of the financial asset have occurred.

Evidence that a financial asset is credit-impaired includes the following observable data:

• significant financial difficulty of the borrower or issuer;

• a breach of contract such as a default or being more than 90 days past due; or

• it is probable that the borrower will enter bankruptcy or other financial reorganization.



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Presentation of allowance for ECLs in the statement of financial position

Loss allowances for financial assets measured at amortised cost are deducted from the gross carrying amount of the assets.

Write-off

The gross carrying amount of a financial asset is written off when the sub fund has no reasonable expectations of recovering a financial asset in its entirety or a portion thereof.

(vi) Derecognition

The sub fund derecognises a financial asset when the contractual rights to the cash flows from the asset expire, or it transfers the rights to receive the contractual cash flows in a transaction in which substantially all of the risks and rewards of owners of the financial asset are transferred or in which the Sub fund neither transfers nor retains substantially all of the risks and rewards of ownership and does not retain control of the financial asset.

On derecognition of a financial asset, the difference between the carrying amount of the asset (or the carrying amount allocated to the portion of the asset that is derecognised) and the consideration received (including any new asset obtained less any new liability assumed) is recognised in profit or loss. Any interest in such transferred financial assets that is created or retained by the sub fund is recognised as a separate asset or liability.

The sub fund enters into transactions whereby it transfers assets recognised on its statement of financial position, but retains either all or substantially all of the risk and rewards of the transferred assets or a portion of them. If all or substantially all of the risks and rewards include are retained, then the transferred assets are not derecognised. Transfers of assets with retention of all or substantially all of the risks and rewards include sale and repurchase transactions.

The sub fund derecognises a financial liability when its contractual obligations are discharged or cancelled, or expire.

On derecognition of a financial liability, the difference between the carrying amount extinguished and the consideration paid (including any non-cash assets transferred or liabilities assumed) is recognised in profit or loss.

(vii) Offsetting

Financial assets and liabilities are offset and the net amount is reported in the statement of assets and liabilities when, and only when the sub fund has a legally enforceable right to offset the recognised amounts and the transactions are intended to be settled on a net basis or simultaneously, e.g. through a market clearing mechanism.



27


(viii) Specific instruments

Cash and cash equivalents

Cash comprises current deposits with banks. Cash equivalents are short-term highly liquid investments that are readily convertible to known amounts of cash, are subject to an insignificant risk of changes in value, and are held for the purpose of meeting short-term cash commitments rather than for investment or other purposes.

(f) Revenue recognition

Interest income

Interest income is recognised in profit or loss as it accrues, using the effective interest rate method. Interest income on bank deposits and debt securities are classified to interest income within the statement of comprehensive income.

Interest income is recognised on a gross basis, including withholding tax, if any.

(g) Expenses

All expenses are recognised in profit or loss on an accrual basis.

(h) Foreign exchange gains and losses

Foreign exchange gains and losses on financial assets and financial liabilities at fair value through profit or loss are recognised together with other changes in the fair value. Included in profit or loss line item Net foreign exchange gain/(loss) are net foreign exchange gains and losses on monetary financial assets and financial liabilities other than those classified as fair value through profit or loss.



28


(i) Related parties

(a) A person, or a close member of that person’s family, is related to the sub fund if that person:

(i) has control or joint control over the sub fund;

(ii) has significant influence over the sub fund; or

(iii) is a member of the key management personnel of the sub fund or the sub fund’s parent.

(b) An entity is related to the sub fund if any of the following conditions applies:

(i) The entity and the sub fund are members of the same group (which means that each parent, subsidiary and fellow subsidiary is related to the others);

(ii) One entity is an associate or joint venture of the other entity (or an associate or joint venture of a member of a group of which the other entity is a member);

(iii) Both entities are joint ventures of the same third party;

(i) One entity is a joint venture of a third entity and the other entity is an associate of the third entity;

(v) The entity is controlled or jointly controlled by a person identified in (a);

(vi) A person identified in (a)(i) has significant influence over the entity or is a member of the key management personnel of the entity (or of a parent of the entity); or

(vii) The entity, or any member of a group of which it is a part, provides key management personnel services to the sub fund or to the sub fund’s parent.

Close members of the family of a person are those family members who may be expected to influence, or be influenced by, that person in their dealings with the entity.

(j) Subscriptions and redemptions

The sub fund recognises unitholders’ subscriptions and allots units upon receipt of a valid subscription application and derecognises them upon receipt of a valid redemption application.



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(k) Units in issue

The sub fund classifies financial instruments issued as financial liabilities or equity instruments in accordance with the substance of the contractual terms of the instruments.

The sub fund has multiple classes of redeemable units in issue - Class A units, Class B units, Class C units, Class D units, Class E units, Class F units and Class I units. All the classes belong to the most subordinate class of financial instrument in the sub fund. The redeemable units provide unitholders with the right to require redemption for cash at a value proportionate to the unitholders’ share in the sub fund’s net assets at each redeemable date, and also in the event of the sub fund’s liquidation. There is only one class of redeemable units in issue, Class A units. The redeemable units of the sub fund are classified as financial liabilities and are measured at the present value of the redemption amounts.

3 Net gain/(loss) from financial assets and financial liabilities at fair value through profit or loss 2018 2017 Realised losses ¥ (148,325) ¥ (224,409) Unrealised gain/(loss) 211,512 (330,175)

¥ 63,187 ¥ (554,584)

4 Taxation

No provision for Hong Kong Profits Tax has been made in the financial statements as the sub fund is exempted from taxation under section 26A (1A) of the Hong Kong Inland Revenue Ordinance.

Under the current general provisions of the People’s Republic China (“PRC”) Corporate Income Tax Law and published tax circulars, the sub fund would be subject to PRC withholding tax at the rate of 10% in respect of its PRC sourced income earned, including interest income derived from PRC corporate bonds and RMB bank deposits.

The Explanatory Memorandum of the sub fund gives the Manager the right to provide for withholding tax on such gains or income and withhold the tax for the account of the sub fund.

Taxation in statement of comprehensive income represents: 2018 2017 PRC withholding tax charged ¥ (20,956) ¥ (110,112)



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5 Interest income calculated using the effective interest method 2018 2017 Interest income calculated using the effective interest

method arising from financial assets at fair value through profit or loss ¥ 520,766 ¥ 837,051

Cash and cash equivalents 4,326 3,891

¥ 525,092 ¥ 840,942

6 Financial assets at fair value through profit or loss 2018 2017 Debt securities-listed bonds ¥ 9,440,574 ¥ 15,382,070

Investments, at cost ¥ 9,401,678 ¥ 15,554,686 Net unrealised appreciation/(depreciation) in value of

investments 38,896 (172,616)

Investments, at market value ¥ 9,440,574 ¥ 15,382,070



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7 Related party transactions/Transactions with the Trustee, the Manager and their Connected Persons

In addition to the transactions and balances disclosed elsewhere in these financial statements, the sub fund entered into the following significant related party transactions with the Trustee, the Manager and their Connected Persons for the year. Connected Persons are those as defined in the SFC Code issued by the SFC. All transactions during the year between the sub fund and the Trustee, the Manager and their Connected Persons were entered into in the ordinary course of business and under normal commercial terms. To the best of the knowledge of the Trustee and the Manager, the sub fund did not have any other transactions with Connected Persons except for those disclosed below and elsewhere in these financial statements. The relevant receivables and payables are unsecured, interest-free and repayable on demand.

The sub fund appointed HFT Investment Management (HK) Limited, an investment management company incorporated in Hong Kong, to implement the investment strategy as specified in the Trust Deed. The investment manager receives management fee at an annual rate of 1.25% (2017: 1.25%) of the net asset value for Class A, Class B, Class C, Class D, Class E and Class F and 0.5% (2017: 0.5%) of the net asset value for Class I of the sub fund. The management fee is accrued daily and calculated as at each valuation day. The management fees incurred during the year amounted to ¥151,139 (2017: ¥213,886). The management fees payable by the sub fund at 31 December 2018 was ¥24,254 (2017: ¥52,979).

The Trustee of the sub fund is BNP Paribas Trust Services (Hong Kong) Limited, which receives trustee’s fee at an annual rate up to 0.175% of the net asset value of the sub fund, subject to a minimum fee of US$6,000 per annum. The Trustee’s fee is accrued daily and calculated as at each valuation day. The Trustee’s fees incurred during the year amounted to ¥10,383 (2017: ¥9,953). The trustee’s fee payable by the sub fund at 31 December 2018 was ¥4,336 (2017: ¥4,161).

The Administrator and Custodian of the sub fund is BNP Paribas Securities Services, operating through its Singapore Branch, which is a group company of the Trustee. The administration fees and custodian fees incurred during the year amounted to ¥364,337 (2017: ¥374,888) and ¥33,132 (2017: ¥21,609) respectively. The administration fees and custodian fees payable by the sub fund at 31 December 2018 was ¥156,085 (2017: ¥156,717) and ¥1,829 (2017: ¥4,262) respectively.

The Registrar of the sub fund is BNP Paribas Securities Services, Hong Kong Branch, which is a group company of the Trustee. The registrar fees incurred during the year amounted to ¥54,926 (2017: ¥50,523). The registrar fees payable by the sub fund at 31 December 2018 was ¥14,713 (2017: ¥13,870).

The sub fund maintained bank accounts and placed bank deposits of ¥43,789,132 (2017: ¥468,688) as at 31 December 2018 with BNP Paribas Securities Services, operating through its Singapore Branch, which is a group company of the Trustee. Interest income earned from these bank accounts during the year amounted to ¥4,325 (2017: ¥2,226).

The investment manager has agreed to reimburse expenses of the sub fund with effect from 25 January 2016 if the before tax expenses and charges of the sub fund exceeds 2.25% per annum of the net asset value of the relevant class of the sub fund. The rebate received during the year amounted to ¥588,161 (2017: ¥542,104). The rebate receivable by the sub fund at 31 December 2018 was ¥194,187 (2017: ¥130,449).



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8 Units issued and redeemed

(a) Number of units in issues

2018 Class A Class B Class D Class I Balance at 1 January 2018 173,381 - 888 - Subscriptions of units during

the year 3,156 20,557 - 273,050 Redemptions of units during

the year (107,959) - (888) -

Balance at 31 December 2018 68,578 20,557 - 273,050

2017 Class A Class D Balance at 1 January 2017 187,078 1,685 Subscriptions of units during

the year 1,931 - Redemptions of units during

the year (15,628) (797)

Balance at 31 December 2017 173,381 888

(b) Net assets value per unit

According to the Explanatory Memorandum of the sub fund, some of the classes are denominated in EUR, HKD, JPY, SGD and USD for dealing, which are different from the presentation currency of the sub fund. The net asset value per unit for each class of the sub fund in their respective denomination currencies at the date of statement of assets and liabilities is as follows:

Denomination

currency 2018 2017 Net asset value per unit − Class A units RMB 90.33 92.05 − Class B units USD 97.42 - − Class D units HKD - 85.44 − Class I units RMB 109.81 -



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9 Reconciliation of net asset values

The net asset value presented in the financial statements and that quoted for pricing purposes at the year end (“Dealing NAV”) are different as the principles for calculating the Dealing NAV as set out in the sub fund’s Explanatory Memorandum are different from those required for financial reporting purposes under IFRSs. The following reconciliation provides details of the differences: 2018 2017 Net asset value as reported in the financial statements

as at 31 December ¥ 49,936,161 ¥ 16,022,857 Adjustments for different basis adopted by the sub

fund in arriving at the Dealing NAV: - Formation cost 4,304 74,413

Dealing NAV as at 31 December ¥ 49,940,465 ¥ 16,097,270

10 Financial risks

The sub fund maintains an investment portfolio in a variety of listed financial instruments as dictated by its investment management strategies. The objective is to achieve income generation and long-term capital appreciation by investing primarily in fixed income securities in China, including (a) RMB-denominated debt instruments issued and distributed in the PRC and (b) debt instruments issued and distributed in Hong Kong.

The sub fund’s investing activities expose it to various types of risks that are associated with the financial instruments and markets in which it invests. The Manager and the Trustee have set out below the most important types of financial risks inherent in each type of financial instruments. The Manager and the Trustee would like to highlight that the following list of associated risks only sets out some of the risks but does not purport to constitute an exhaustive list of all the risks inherent in an investment in the sub fund. Unitholders should note that additional information in respect of risks associated with financial instruments in the sub fund can be found in the sub fund’s Explanatory Memorandum.

The nature and extent of the financial instruments outstanding at the date of the statement of assets and liabilities and the risk management policies employed by the sub fund are discussed below.

(a) Price risk

Price risk is the risk that value of the instrument will fluctuate as a result of changes in market prices, whether caused by factors specific to an individual investment, its issuer or all factors affecting all instruments traded in the market.

The sub fund is exposed to price risk arising from changes in market price. Price risk is managed by investing in a portfolio of different investments in accordance with the investments objectives of the sub fund.



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10 Financial risks (continued)

Price sensitivity

The impact of a 5% increase in value of the investments at 31 December 2018 and 2017, with all other variables held constant, is shown below. An equal change in the opposite direction would have reduced the net asset value by an equal amount.

Market

exposures

Change in net assets if

investment value increased

by 5% As at 31 December 2018 Debt securities ¥ 9,440,574 ¥ 472,029

As at 31 December 2017 Debt securities ¥ 15,382,070 ¥ 769,104

(b) Interest risk

Interest rate risk arises from changes in interest rates which may affect the value of debt instruments and therefore result in potential gain or loss to the sub fund. The sub fund’s interest rate risk is managed on an ongoing basis by the Manager.

The following table indicates the year in which the interest-bearing assets and liabilities mature at the date of statement of assets and liabilities. As at 31 December 2018

1 Year or

less Over 1 year

to 5 years Over 5

years Total Assets Financial assets at fair value

through profit or loss ¥ 1,506,600 ¥ 7,933,974 ¥ - ¥ 9,440,574 Cash and cash equivalents 43,946,684 - - 43,946,684

Total interest sensitivity gap ¥ 45,453,284 ¥ 7,933,974 ¥ -



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10 Financial risks (continued) As at 31 December 2017

1 Year or

less Over 1 year

to 5 years Over 5

years Total Assets Financial assets at fair value

through profit or loss ¥ 2,500,750 ¥ 12,881,320 ¥ - ¥ 15,382,070 Cash and cash equivalents 578,192 - - 578,192

Total interest sensitivity gap ¥ 3,078,942 ¥ 12,881,320 ¥ -

Interest rate sensitivity

At the date of the statement of assets and liabilities, assuming all other factors unchanged, it is estimated that an increase in interest rate of 100 basis points (2017: 100 basis points) would result in an decrease in the net assets attributable to the unitholders and the profit for the year by ¥993,815 (2017: ¥318,855); an equal change in the opposite direction would result in an increase in the net assets attributable to unitholders by an equal amount.

At the reporting date, the net open positions in individual foreign currencies, expressed in RMB and as a percentage of its net assets, were as follows: Net asset value % of net assets Currency HKD ¥ 3,341,765 6.69 USD 13,742,732 27.52

The above amounts are based on the currency of denomination for debt securities.

Sensitivity analysis

The table below sets out the effect of the net assets/increase in net assets attributable to unitholders of redeemable units of a reasonably possible weakening of the RMB against the US dollar by 5% at 31 December 2018:

Increase in net asset

attributable to unitholder

Increase in net asset

attributable to unitholder

Currency ¥ % USD 687,187 1.38

A strengthening of the RMB against the above currencies would have resulted in an equal but opposite effect to the amounts shown above.

The sub fund’s financial assets and financial liabilities are mainly denominated in RMB with a limited number of transactions denominated in Hong Kong dollars (“HKD”) and United States dollars (“USD”). During the year ended 31 December 2018 and 2017, transactions denominated in HKD and USD are not considered material. The Manager monitors the sub fund’s currency exposure on an ongoing basis.



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(c) Credit risk

Credit risk is the risk that counterparty to a financial instrument will fail to discharge an obligation or commitment that it has entered into with the sub fund resulting in a financial loss to the sub funds. The sub fund’s exposure to credit risk is monitored by the Manager on an ongoing basis.

At 31 December 2018 and 2017, all of the sub fund’s financial assets were exposed to credit risk. These include investments and cash and cash equivalents placed with banks and the custodian.

The majority of the cash held by the sub fund is deposited with the BNP Paribas Securities Services, operating through its Singapore Branch and the Industrial and Commercial Bank of China Limited. Bankruptcy or insolvency of the bank may cause the sub fund’s rights with respect to the cash held by the bank to be delayed or limited. The manager monitors the credit rating and financial position of the bank on an ongoing basis.

Substantially all the assets of the sub fund are held by the custodian. Bankruptcy or insolvency of the custodian may cause the sub fund’s right with respect to securities held by the custodian to be delayed or limited. The Manager monitors the credit rating and financial position of the custodian on a ongoing basis.

The major domestic credit rating agencies in China include Dagong Global Credit Rating Co., Ltd; China Chengxin International Credit Rating Co., Ltd (in partnership with Moody’s); China Chengxin Security Rating Co., Ltd; China Lianhe Credit Rating Co., Ltd (in partnership with Fitch Ratings); Pengyuan Credit Rating Co., Ltd; Shanghai Brilliance Credit Rating & Investors Service Co., Ltd.

At the date of statement of assets and liabilities, the sub fund invested in debt securities with the following credit quality expressed as a percentage of debt securities:

As at 31 December 2018

Rating % of debt securities

NR (debt issued by government and policies bank) 100.00

As at 31 December 2017

Rating % of debt securities

AAA 19.40 AA+ 35.67 AA 36.45 NR (debt issued by government and policies bank) 8.48

100.00



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Credit risk arising from the sub fund’s investment in debt securities is managed by the reviewing and monitoring of the credit quality of debt securities or the issuers of the debt securities held by the sub fund on an ongoing basis. The sub fund also invested in debt securities issued by government which is considered as low credit risk product.

Credit risk arising from transactions with brokers relates to transactions awaiting settlement. Risk relating to unsettled transactions is considered small due to the short settlement period involved and the high credit quality of the brokers used.

The carrying amounts of financial assets best represent the maximum credit risk exposure at the date of statement of assets and liabilities.

As at 31 December 2018 and 2017, there were no significant concentrations of credit risk to counterparties except to the custodian.

(d) Liquidity risk

Liquidity risk arises from the risk that Manager may not be able to convert investments into cash to meet liquidity needs in a timely manner. The sub fund is exposed to daily liquidity risk on redemption of units.

The sub fund’s policy is to regularly monitor current and expected liquidity requirements to ensure that it maintains sufficient reserves of cash and readily realisable marketable securities to meet its liquidity requirements in the short and longer term.

The sub fund’s listed investments are considered to have insignificant exposures to liquidity risk as they are all readily realisable under normal market conditions.

The sub fund’s redemption policy allows redemptions on any business day in Hong Kong and the PRC, subject to a minimum redemption amount of RMB10,000 for Class A, USD10,000 for Class B, SGD10,000 for Class C, HKD10,000 for Class D, EUR10,000 for Class E, JPY1,000,000 for Class F and RMB1,000,000 for Class I.

As at 31 December 2018 and 2017, the sub fund’s financial liabilities are due within one year.

(e) Capital management

The sub fund’s capital as at the year end date is represented by its redeemable units.

The sub fund’s objective in managing the capital is to ensure a stable and strong base to achieve long-term capital growth, and to manage liquidity risk arising from the redemptions. The Manager manages the capital of the sub fund in accordance with the sub fund’s investment objectives and policies stated in the sub fund’s Explanatory Memorandum.

There were no changes in the policies and procedures during the year with respect to the sub fund’s approach to its capital management.



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The amount and the movement of net assets attributable to unitholders are stated in the statement of changes in net assets attributable to unitholders. As the redeemable units are redeemed on demand at the unitholders’ option, the actual level of redemption may differ significantly from historic experience.

11 Fair value information

The sub fund’s financial instruments are measured at fair value on the date of statement of assets and liabilities. Fair value estimates are made at a specified point in time, based on market conditions and information about the financial instruments. Usually, fair values can be reliably determined within a reasonable range of estimates. For certain other financial instruments including interest receivable and other payables, the carrying amounts approximate fair values due to the immediate or short-term nature of these financial instruments.

Valuation of financial instruments

The sub fund’s accounting policy on fair value measurements is detailed in significant accounting policy in note 2(e)(iii).

The sub fund measures fair values using the following fair value hierarchy that reflects the significance of the inputs used in making the measurements.

− Level 1: Inputs that are quoted market prices (unadjusted) in active markets for identical instruments.

− Level 2: Inputs other than quoted prices included within Level 1 that are observable either directly (i.e. as prices) or indirectly (i.e. derived from prices). This category includes instruments valued using: quoted market prices in active markets for similar instruments; quoted prices for identical or similar instruments in markets that are considered less than active; or other valuation techniques in which all significant inputs are directly or indirectly observable from market data.

− Level 3: Inputs that are unobservable. This category includes all instruments for which the valuation technique includes inputs not based on observable data and the unobservable inputs have a significant effect on the instrument’s valuation. This category includes instruments that are valued based on quoted prices for similar instruments but for which significant unobservable adjustments or assumptions are required to reflect differences between the instruments.

For debt securities which are listed on exchanges or those with daily dealer price quotations, the fair value is based on quoted market prices in active markets that are considered less than active. For all other financial instruments, the sub fund determines fair value using valuation techniques.

The following analyses financial instruments at fair value at the date of the statement of assets and liabilities, by the level in the fair value hierarchy into which the fair value measurement is categorised.



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11 Fair value information (continued) 2018 2018 Level 1 Level 2 Total Debt securities ¥ 7,989,192 ¥ 1,451,382 ¥ 9,440,574

2017 2017 Level Level 2 Total Debt securities ¥ - ¥ 15,382,070 ¥ 15,382,070

During the year ended 31 December 2018 and 2017, there were no transfers between Level 1 and Level 2, or transfers into or out of Level 3.

12 Distributions 2018 2017 Class A units Distributions declared and paid during the year RMB 0.35 per unit on 173,381 units ¥ 60,683 ¥ - RMB 0.35 per unit on 173,070 units 60,574 - RMB 0.35 per unit on 172,249 units 60,286 - RMB 0.35 per unit on 172,420 units 60,346 - RMB 0.35 per unit on 172,591 units 60,406 - RMB 0.35 per unit on 172,762 units 60,467 - RMB 0.35 per unit on 172,935 units 60,526 - RMB 0.35 per unit on 74,509 units 26,077 - RMB 0.35 per unit on 74,684 units 26,138 - RMB 0.35 per unit on 74,165 units 25,957 - RMB 0.35 per unit on 73,275 units 25,646 - RMB 0.35 per unit on 68,399 units 23,939 - RMB 0.35 per unit on 187,078 units - 65,476 RMB 0.35 per unit on 183,623 units - 64,266 RMB 0.35 per unit on 183,778 units - 64,322 RMB 0.35 per unit on 180,060 units 63,021 RMB 0.35 per unit on 180,218 units - 63,075 RMB 0.35 per unit on 180,378 units - 63,131 RMB 0.35 per unit on 180,037 units - 63,012 RMB 0.35 per unit on 180,199 units - 63,069 RMB 0.35 per unit on 180,361 units - 63,126 RMB 0.35 per unit on 178,909 units - 62,617 RMB 0.35 per unit on 175,530 units - 61,434 RMB 0.35 per unit on 174,181 units - 60,962

¥ 551,045 ¥ 757,511



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12 Distributions (continued) 2018 2017 Class D units Distributions declared and paid during the year HKD 0.27 per unit on 888 units ¥ 240 ¥ - HKD 0.27 per unit on 888 units 238 - HKD 0.27 per unit on 888 units 237 - HKD 0.27 per unit on 888 units 243 - HKD 0.27 per unit on 888 units 238 - HKD 0.27 per unit on 888 units 243 - HKD 0.27 per unit on 888 units 247 - HKD 0.26 per unit on 888 units 232 - HKD 0.27 per unit on 888 units 242 - HKD 0.27 per unit on 888 units 244 - HKD 0.27 per unit on 888 units 243 - HKD 0.31 per unit on 1,685 units - 459 HKD 0.31 per unit on 1,685 units - 462 HKD 0.30 per unit on 1,685 units - 447 HKD 0.31 per unit on 1,685 units - 462 HKD 0.31 per unit on 1,685 units - 461 HKD 0.31 per unit on 1,685 units - 458 HKD 0.31 per unit on 1,391 units - 373 HKD 0.32 per unit on 1,391 units - 379 HKD 0.32 per unit on 1,391 units - 375 HKD 0.32 per unit on 888 units - 242 HKD 0.32 per unit on 888 units - 240 HKD 0.32 per unit on 888 units - 240

¥ 2,647 ¥ 4,598



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13 Soft dollar commission

As regards to the sub fund, the Manager has not entered into any soft dollar commission arrangements during the year.

14 Possible impact of amendments, new standards and interpretations issued but not yet effective for the year ended 31 December 2018

Up to the date of issue of these financial statements, the IASB has issued a number of amendments, new standards and interpretations which are not yet effective for the year ended 31 December 2018, and which have not been adopted in these financial statements.

Effective for accounting periods

beginning on or after Annual Improvements to IFRSs 2015 – 2017 Cycle 1 January 2019

The sub fund is in the process of making an assessment of what the impact of these amendments is expected to be in the period of initial application. So far it has concluded that the adoption of them is unlikely to have a significant impact on the sub fund's financial statements.



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Portfolio statement as at 31 December 2018 (unaudited) (Expressed in Renminbi)

Holdings Market value % of net

assets value Debt Securities Bonds Listed investments British Virgin Islands First FZ Bond Limited 6.9% due 16/11/2020 500,000 3,340,712 6.69

3,340,712 6.69

China China Development Bank 3.49% due 01/08/2020 500,000 503,100 1.01

China Development Bank 3.78% due 06/04/2019 1,500,000 1,506,600 3.02



China Government Bond 3.4% due 17/04/2023 10,000 10,082 0.02

China Government Bond 4.26% due 31/07/2021 1,400,000 1,441,300 2.89

6,099,862 12.22

Total listed investments ¥ 9,440,574 18.91 Other net assets 40,495,587 81.09

Total net assets as at 31 December

2018 ¥ 49,936,161 100.00

Total investments, at cost ¥ 9,401,678



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Statement of movements in portfolio holdings (unaudited) For the year ended 31 December 2017 % of net asset value 2018 2017 Debt securities-listed bonds 18.91 96.00 Other net assets 81.09 4.00

Total net assets 100.00 100.00



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Performance record (unaudited)

(a) Net asset value (calculated in accordance with IFRS) 2018 2017 2016 Net asset value − Class A units ¥ 6,194,656 ¥ 15,959,660 ¥ 18,137,181 − Class B units 13,758,594 - - − Class D units - 63,197 126,310 − Class I units 29,982,911 - -

2015 2014 Net asset value − Class A units ¥ 19,466,099 ¥ 22,010,090 − Class B units - 13,326,237 − Class C units - 50,443 − Class D units 804,698 4,448,520 − Class E units - 89,002 − Class F units - 63,133 − Class I units - 4,225,963

(b) Net asset value per unit (calculated in accordance with IFRS)

Denomination

currency 2018 2017 2016 Net asset value − Class A units RMB 99.33 92.05 96.95 − Class B units USD - - - − Class C units SGD - - - − Class D units HKD 97.42 85.44 83.43 − Class E units EUR - - - − Class F units JPY - - - − Class I units RMB 109.81 - -

Denomination

currency 2015 2014 Net asset value − Class A units RMB 98.50 99.64 − Class B units USD - 96.64 − Class C units SGD - 103.56 − Class D units HKD 90.18 96.52 − Class E units EUR - 113.79 − Class F units JPY - 11,687.22 − Class I units RMB - 104.34



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Performance record (unaudited) (continued)

(c) Highest and lowest price record (dealing net asset value per unit)

Year ended 31 December

2018

Denomination

currency

Highest net asset value

per unit

Lowest net asset value

per unit Net asset value − Class A units RMB 99.33 92.05 − Class D units HKD 97.42 85.44 − Class I units RMB 109.81 109.81


2017

Denomination

currency


per unit


per unit Net asset value − Class A units RMB 97.95 92.16 − Class D units HKD 87.28 82.37


2016

Denomination

currency


per unit


per unit Net asset value − Class A units RMB 99.92 97.05 − Class D units HKD 92.62 83.47


2015

Denomination

currency


per unit


per unit Net asset value − Class A units RMB 101.28 99.56 − Class B units USD 98.37 96.31 − Class C units SGD 109.66 104.08 − Class D units HKD 98.29 91.22 − Class E units EUR 131.41 116.22 − Class F units JPY 12,423.76 11,427.72 − Class I units RMB 110.00 105.06



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Performance record (unaudited) (continued)

(c) Highest and lowest price record (dealing net asset value per unit) (continued)

Period from 24 January 2014 (Commencement of operation)

to 31 December 2014

Denomination

currency


per unit


per unit Net asset value − Class A units RMB 102.88 99.61 − Class B units USD 101.28 96.67 − Class C units SGD 106.56 97.84 − Class D units HKD 101.15 96.58 − Class E units EUR 115.89 99.32 − Class F units JPY 12,204.76 9,915.84 − Class I units RMB 106.67 99.95



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Administration

Manager

HFT Investment Management (HK) Limited Suite 4004, 40/F, Two Exchange Square 8 Connaught Road Central Hong Kong

Directors of the Manager Mr. DING Yuchao (appointed on 1 February 2018) Mr. MENG Ning Mr. TAO Wangxiong Mr. VERVOORN Jelle (resigned on 15 April 2018) Mr. XI Wanrong Ms. ZHANG Ming (resigned on 18 February 2019) Mr. ZHANG Wenwei (resigned on 18 February 2019) Mr. Ren Zhiqiang (appointed on 18 February 2019) Mr. Yu Tao (appointed on 18 February 2019)

Trustee

BNP Paribas Trust Services (Hong Kong) Limited 21/F, PCCW Tower Taikoo Place 979 King’s Road Quarry Bay Hong Kong

Registrar

BNP Paribas Securities Services, operating through its Hong Kong Branch 21/F, PCCW Tower Taikoo Place 979 King’s Road Quarry Bay Hong Kong



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Administration (continued)

Global Custodian and Administrator

BNP Paribas Securities Services, operating through its Singapore Branch 20 Collyer Quay #01-01 Singapore 049319

RQFII Custodian

Industrial and Commercial Bank of China Limited No. 55 Fuxingmennei Street Xicheng District Beijing People's Republic of China

Auditors

KPMG 8th Floor, Prince's Building 10 Chater Road Central Hong Kong

Legal Counsel to the Manager

Deacons 5/F, Alexandra House 18 Chater Road Central Hong Kong

HFT (HK) China Investment Series II HFT (HK) …...Investment Portfolio (Unaudited) 11 HFT (HK)...

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