product key facts citi investment trust (bermuda)
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PRODUCT KEY FACTSCiti Investment Trust (Bermuda)
China Stormriders Fund
June 2011
Issuer: Citigroup First Investment Management Limited
• This statement provides you with key information about the ChinaStormriders Fund (the “Fund”).
• This statement is a part of the Fund’s Explanatory Memorandum.• You should not invest in this product based on this statement alone.
Quick facts
Manager: Citigroup First Investment Management Limited
Trustee, Registrar andCustodian:
HSBC Institutional Trust Services (Bermuda) Limited
Administrator andSub-Custodian:
HSBC Institutional Trust Services (Asia) Limited
Dealing frequency: Daily
Base currency: US Dollars (USD)
Dividend policy: Nil
Financial year end ofthe Fund:
31 December
Minimum investment: USD3,000 initial, USD1,000 subsequent (applications forless than 100 units will not be accepted)
What is this product?
The Fund is a sub-fund of Citi Investment Trust (Bermuda) which is trust established asan umbrella fund under the laws of Bermuda.
The Fund invests approximately 60% of its portfolio in access products, which arefinancial derivative instruments, to obtain indirect exposure to A Shares. The Fund doesnot invest in A Shares directly.
This Fund is a fund falling within Chapter 8.9 of the SFC’s Code on Unit Trusts and MutualFunds which may extensively invest in financial derivative instruments.
Objective and Investment Strategy
Objective
To provide unitholders with exposure to returns from companies with large or mid-sizemarket capitalisation and listed on The Stock Exchange of Hong Kong Limited, theShanghai Stock Exchange, the Shenzhen Stock Exchange or the Taiwan Stock Exchange(each an Eligible Exchange).
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Strategy
The investment strategy of the Fund seeks to take investment exposure to a portfolio oflisted stocks which had positive or above benchmark performance during the most recentperiod over which the relevant benchmark index lost more than 30% of its value from peakto trough (a “crash period”). The Fund’s stock selection strategy seeks to identify stockswhich have performed well in extremely distressed historical market conditions and alsoshow potential to be among the best performing stocks in stronger markets.
The Fund uses financial derivative instruments (i.e. access products) extensively forinvestment purposes.
The Fund’s portfolio will generally be invested in approximately the following proportions:60% PRC (exposure to A Share via access products — the Fund does not invest directlyin A Shares), 30% Hong Kong and 10% Taiwan. However, investors should note that theactual stocks in the portfolio, the absolute number of stocks and/or the countryproportions may be adjusted on any rebalancing date in order to address market liquidityissues, investability issues, and/or legal or regulatory restrictions. At least 70% of theFund’s net asset value will comprise (directly or indirectly) stocks listed on an EligibleExchange. Under normal market conditions the portfolio is generally rebalanced on aquarterly basis, and in extreme or unusual market conditions the portfolio will also berebalanced if at least one benchmark establishes a new crash period.
As direct investment in A Shares is restricted by applicable PRC law, the Fund will gainexposure to the A Share market by investing in access products. An access product is aform of financial derivative instrument, in respect of which the issuer is obliged to pay tothe Fund an economic return equivalent to holding the underlying A Shares or basket ofA Shares (net of fees, charges and indirect costs), without providing any equitableentitlement or interest in the relevant A Shares.
The Fund’s portfolio may, if the Manager considers it appropriate, include cash, cashbased instruments and fixed income instruments.
The Manager is required to manage the Fund with a single counterparty net exposure ofno more than 10% of the net asset value of the Fund. Where the gross exposure to anaccess product issuer exceeds 10% by the end of each trading day, the relevant accessproduct issuer or its affiliated collateral provider(s) has to procure collateral to bedelivered to the Fund to limit the Fund’s net exposure to the counterparty risk of therelevant access product issuer to no more than 10% of the net asset value of the Fund.
The Fund will not invest in any structured products or financial derivative instrumentsother than the access products. Except for the purpose of provision of collateral for thebenefit of the Fund where securities and lending arrangements may be used, the Fundwill not enter into any repurchase agreements, stock lending transactions or any othersimilar over-the-counter transactions.
China Select Fund
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Collateral
To limit the Fund’s net counterparty exposure to each access product issuer to no morethan 10% of the net asset value Fund, either cash or constituent stocks of the Hang SengIndex and/or the Hang Seng China Enterprise Index may be posted as collateral on adaily mark-to-market basis. This may change in light of prevailing market conditions, butthe collateral will take the form of listed equity securities and the collateral will not includeany structured products.
Where at any time the aggregate value of all collateral held by the Fund represents 30%or more of its net asset value, a description of holdings of collateral will be disclosed inthe Fund’s annual and interim reports for the relevant period.
Access product issuers
The Manager screens access product issuers according to a number of factors, and eachaccess product issuer must meet the following criteria: (i) it must be a qualified foreigninstitutional investor under PRC regulations (“QFII”) or an affiliate of a QFII; (ii) it must bea substantial financial institution which is (A) a banking entity which is, on an ongoingbasis, subject to prudential and regulatory supervision acceptable to the SFC and has aminimum paid up capital of HK$150,000,000 or its equivalent in foreign currency, or (B)an entity considered acceptable to the SFC on a case-by-case basis taking into accountfactors such as the regulatory status of the entity or the group to which it belongs and thenet asset value of the entity; and (iii) it must have a credit rating in respect of senior debtof at least A- from Standard & Poor’s or an equivalent rating given by Moody’s or by Fitch.
The value of access products and collateral is marked to market on a daily basis. TheManager will seek to ensure the net exposure to each access product issuer will notexceed 10% of the net asset value of the Fund.
The Fund’s gross and net exposure to each access product issuer at any given time willbe provided to investors upon a written request to the Manager.
What are the key risks?
Investment involves risks. Please refer to the Explanatory Memorandum for detailsincluding the risk factors.
1. Synthetic investment, counterparty and liquidity risk of extensiveinvestment in access products
• The Fund does not invest in or hold A Shares directly. The Fund investsprimarily in derivative instruments which do not have an active secondarymarket. These derivative instruments, collectively referred to as accessproducts, are issued by access product issuers and are intended to providethe Fund an exposure to the economic gain/loss in the performance of the AShares or basket of A Shares net of fees, charges and indirect costs.
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• The Fund is subject to counterparty risk associated with each access productissuer and may suffer losses equal to the full value of the access productissued by an access product issuer net of any collateral provided if suchaccess product issuer fails to perform its obligations under the accessproduct. Any loss would result in a reduction in the net asset value of theFund and impair the ability to achieve its investment objective.
• The issuers of access products are predominantly financial institutions andthis, in itself, may pose a concentration risk. Any adverse event affecting theperformance of a particular access product issuer may also have a negativeeffect on the performance of other access product issuers due to contagioneffect.
• While the Fund holds, or has recourse to, collateral to mitigate its exposureto each access product issuer, this is subject to the risk of the access productissuer or collateral provider not fulfilling its obligations. Furthermore, thevalue of any collateral is subject to fluctuations on any trading day.Accordingly, if the Fund needs to exercise its rights over the collateral uponany default of an access product issuer, there is a risk that the value of thecollateral may be substantially lower than the amount secured and so theFund may suffer significant losses.
• Where there has been a credit event of an issuer of access products, theManager will take necessary steps to find one or more alternative issuers toreplace the relevant investment exposure. However, there is no guaranteethat the Manager will be successful, and if the manager fails to find suchalternative issuers of access products, as a result of which the Fund is notable to achieve its investment, the Fund may have to be terminated.
2. Concentration risk
• The concentration of the Fund’s investments in China, Hong Kong andTaiwan may result in greater volatility than portfolios which comprisebroad-based global investments.
3. China market risk
• Investing in Chinese markets (i.e. indirect exposure to A Shares via accessproducts, as the Fund does not invest directly in A Shares) involves certainrisks and special considerations not typically associated with investment inmore developed economies or markets, such as greater political, tax,economic, foreign exchange, liquidity and regulatory risk.
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4. Risk of limited access products
• The availability of access products is limited by applicable regulations inChina, and as a result the cost of investing in access products is subject tomarket supply and demand forces. Where the market supply is low relativeto market demand, acquiring further access products may involve a relativelyhigher cost or a premium, which may adversely affect the Fund’s overallperformance.
5. Risk associated with the QFII system
• The current QFII policy and rules are subject to change and any such changecould adversely impact the Fund’s investments in access products. It ispossible that such changes could lead to access products not being issuedand, in the worst case scenario, the Fund being terminated where it can nolonger pursue its investment strategy.
6. PRC tax risk
• There are risks and uncertainties associated with the current PRC tax laws,regulations and practice in respect of capital gains realised by QFIIs onselling of A Shares (which may have retrospective effect).
• Certain issuers of access products may, in general, withhold approximately10% of any capital gains on the underlying A Shares. The Fund will establisha reserve equal to 10% of any capital gains to the extent that such amountis not otherwise withheld by the relevant issuer of access products, if in theopinion of the Manager a reserve is warranted.
• In case the amount withheld or reserved is insufficient to settle the actual taxliability, the shortfall will be met out of the assets of the Fund and its netasset value may decrease as a result.
7. Investment strategy risk
• In constructing the Fund’s portfolio, the Manager selects securities whichhad positive or above benchmark performance during the most recent periodover which the relevant benchmark index lost more than 30% of its valuefrom peak to trough. However, there can be no assurance that the securitiesselected will continue to out-perform the relevant benchmark index on anon-going basis through different economic cycles. Past performance is notindicative of further performance.
8. Multi-currency conversion risk
• The Fund will hold investments denominated in currencies different to thebase currency of the Fund, meaning the Fund will be at risk to adversemovements in the foreign currency rates.
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Is there any guarantee?
The Fund does not have any guarantees. You may not get back the full amount of moneyyou invest.
What are the fees and charges?
Charges which may be payable by you
You may have to pay the following fees when dealing in the units of the Fund.
Fee What you pay
Subscription fee (i.e.preliminary charge)
Up to 5% of the amount you buy
Switching fee (i.e.conversion charge)
Up to 2% of the unit realisation price for each unitconverted
Redemption fee (i.e.realisation charge)
Nil*
Ongoing fees payable by the Fund
The following expenses will be paid out of the Fund. They affect you because they reducethe return you get on your investments.
Annual rate (as a % of the Fund’s value)Management fee 1.75%*Trustee fee Fixed fee of USD1,000 per annum*Performance fee NilAdministrator fee Up to 0.125%* (subject to a minimum of USD75,000 per
annum)
Other fees
You may have to pay other fees when dealing in the units of the Fund.
* You should note that some fees may be increased, up to a specified permittedmaximum, by giving affected unitholders at least one month’s or three months’ (as thecase may be) prior notice. For details please refer to the section headed “Expensesand Charges” of the Explanatory Memorandum.
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Additional information
• You generally buy and realise units at the Fund’s net asset value (NAV) which isdetermined on the dealing day following the dealing day on which the Administratorreceives your request in good order at or before 5:00 pm (Hong Kong time), beingthe Fund’s dealing cut-off time. Before placing your subscription or realisationorders, please check with your distributor for the distributor’s internal dealingcut-off time (which may be earlier than the Fund’s dealing cut-off time).
• The net asset value of the Fund is calculated and the price of units published oneach business day in the South China Morning Post and the Hong Kong EconomicTimes.
• Investors may obtain information on the distributor(s) appointed in respect of theFund by making a telephone enquiry with the Manager on 2868 8811.
Important
If you are in doubt, you should seek professional advice.
The SFC takes no responsibility for the contents of this statement and makes norepresentation as to its accuracy or completeness.
China Select Fund
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CHINA STORMRIDERS FUND
a Sub-Fund of
CITI INVESTMENT TRUST (BERMUDA)
EXPLANATORY MEMORANDUM
June 2011
CONTENTS
IMPORTANT INFORMATION FOR INVESTORS . . . . . . . . . . . . . . . . . . . . . . [●]
DIRECTORY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
DEFINITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
INTRODUCTION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
MANAGEMENT OF THE FUND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]The Management Company . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]The Trustee, Registrar and Custodian . . . . . . . . . . . . . . . . . . . . . . . . [●]The Administrator and Sub-Custodian . . . . . . . . . . . . . . . . . . . . . . . . [●]
INVESTMENT OBJECTIVE, STRATEGY AND RESTRICTIONS . . . . . . . . . . . . [●]Investment objective . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Investment strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Investment and borrowing restrictions . . . . . . . . . . . . . . . . . . . . . . . . [●]
PURCHASE OF UNITS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Initial issue of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Subsequent issue of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Application Procedure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Payment Procedure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]General . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
REALISATION OF UNITS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Realisation Procedure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Payment of Realisation Proceeds . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Restrictions on realisation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
CONVERSION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
VALUATION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Suspension of Calculation of Net Asset Value . . . . . . . . . . . . . . . . . . . [●]Publication of Net Asset Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
EXPENSES AND CHARGES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Fees Payable by the Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Fees Payable to the Manager . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Fees Payable to the Trustee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Fees Payable to the Administrator . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Fees and Charges relating to Access Products . . . . . . . . . . . . . . . . . . [●]Other Charges and Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Cash Rebates and Soft Commissions . . . . . . . . . . . . . . . . . . . . . . . . [●]
RISK FACTORS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
TAXATION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Bermuda Taxation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Hong Kong Taxation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]PRC Taxation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]Taiwan Taxation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
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GENERAL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
Reports and Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
Distribution Policy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
Meetings of Unitholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
Transfer of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
Trust Deed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
Auditors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
Termination of the Trust or any Sub-Fund . . . . . . . . . . . . . . . . . . . . . [●]
Documents available for inspection . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
Anti-Money Laundering Regulations . . . . . . . . . . . . . . . . . . . . . . . . . [●]
Conflicts of Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
Regulation of the Trust in Bermuda . . . . . . . . . . . . . . . . . . . . . . . . . . [●]
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IMPORTANT INFORMATION FOR INVESTORS
Important - If you are in any doubt about the contents of this ExplanatoryMemorandum, you should consult your stockbroker, bank manager, accountant,solicitor or other independent financial adviser.
Citi Investment Trust (Bermuda) (the “Trust”) is an umbrella unit trust established underthe laws of Bermuda by a trust deed dated 17 August 2007 between Citigroup FirstInvestment Management Limited as manager (the “Manager”) and HSBC InstitutionalTrust Services (Bermuda) Limited as trustee (the “Trustee”), as amended from time totime. This Explanatory Memorandum comprises information relating to the Trust andChina StormRiders Fund, a Sub-Fund of the Trust.
The Manager and its directors accept full responsibility for the information contained inthis Explanatory Memorandum as being accurate at the date of publication. However,neither the delivery of this Explanatory Memorandum nor the offer or issue of Units shallunder any circumstances constitute a representation that the information contained in thisExplanatory Memorandum is correct as of any time subsequent to such date. ThisExplanatory Memorandum may from time to time be updated.
Any information given or representations made by any dealer, salesman or other personand (in either case) not contained in this Explanatory Memorandum should be regardedas unauthorised and accordingly must not be relied upon.
China StormRiders Fund (the “Fund”) has been authorised by the Securities and FuturesCommission in Hong Kong (the “SFC”) under Section 104 of the Securities and FuturesOrdinance of Hong Kong. This Fund is a fund falling within Chapter 8.9 of the SFC’s Codeon Unit Trusts and Mutual Funds which may extensively invest in financial derivativeinstruments. SFC authorisation is not a recommendation or endorsement of the Fund nordoes it guarantee the commercial merits of the Fund or its performance. It does not meanthe Fund is suitable for all investors nor is it an endorsement of its suitability for anyparticular investor or class of investors.
The offer or invitation of the Units in the Fund, which is the subject of this ExplanatoryMemorandum, does not relate to a collective investment scheme which is authorisedunder section 286 of the Securities and Futures Act, Chapter 289 of Singapore (the“SFA”) or recognised under section 287 of the SFA. The Fund is not authorised orrecognised by the Monetary Authority of Singapore (the “MAS”) and Units are not allowedto be offered to the retail public in Singapore. This Explanatory Memorandum is not aprospectus as defined in the SFA. Accordingly, statutory liability under the SFA in relationto the content of prospectuses would not apply. You should consider carefully whether theinvestment is suitable for you.
This Explanatory Memorandum has not been registered as a prospectus with the MAS.Accordingly, pursuant to section 305A of the SFA, this Explanatory Memorandum and anyother document or material in connection with the offer or sale, or invitation forsubscription or purchase, of Units may not be circulated or distributed, nor may Units beoffered or sold, or be made the subject of an invitation for subscription or purchase,whether directly or indirectly, to persons in Singapore other than (i) to an institutionalinvestor under section 304 of the SFA, (ii) to a relevant person as defined in section
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305(5) of the SFA or any person pursuant to an offer referred to in section 305(2) of theSFA, and in accordance with the conditions specified in section 305 of the SFA or (iii)otherwise pursuant to, and in accordance with the conditions of any other applicableprovision of the SFA.
Where Units are subscribed or purchased under section 305 of the SFA by a relevantperson which is:
(a) a corporation (which is not an accredited investor (as defined in section 4A of theSFA)) the sole business of which is to hold investments and the entire share capitalof which is owned by one or more individuals, each of whom is an accreditedinvestor; or
(b) a trust (where the trustee is not an accredited investor) whose sole purpose is tohold investments and each beneficiary of the trust is an individual who is anaccredited investor,
securities (as defined in section 239(1) of the SFA) of that corporation or thebeneficiaries’ rights and interest (howsoever described) in that trust shall not betransferred within 6 months after that corporation or that trust has acquired the Unitspursuant to an offer made under section 305 of the SFA except:
(1) to an institutional investor or to a relevant person defined in section 305(5) of theSFA, or to any person pursuant to an offer referred to in section 275(1A) or section305(A)(3)(i)(B) of the SFA;
(2) where no consideration is or will be given for the transfer;
(3) where the transfer is by operation of law; or
(4) as specified in section 305(A)(5) of the SFA.
Investment products are not deposits and are not subject to the provision of the “DepositInsurance Act (Cap 77A)” of the republic of Singapore nor eligible for deposit insurancecoverage under the deposit insurance scheme.
The offer of Units is regulated by Bermuda Monetary Authority under the InvestmentFunds Act 2006 of Bermuda. The Bermuda Monetary Authority can be contacted at BMAHouse, 43 Victoria Street, Hamilton, HM12, Bermuda.
The Manager of the Trust and the Fund is Citigroup First Investment ManagementLimited, a company incorporated in Hong Kong. Citigroup First Investment ManagementLimited is regulated by the Securities and Futures Commission of Hong Kong. TheSecurities and Futures Commission can be contacted at 8th Floor, Chater House, 8Connaught Road, Central, Hong Kong.
The Trustee of the Trust and the Fund is HSBC Institutional Trust Services (Bermuda)Limited, a company incorporated in Bermuda and regulated by the Bermuda MonetaryAuthority.
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No action has been taken in any jurisdiction (other than Hong Kong and Singapore) thatwould permit an offering of the Units or the possession, circulation or distribution of thisExplanatory Memorandum or any other offering or publicity material relating to theoffering of Units in any other country or jurisdiction where action for the purpose isrequired. This Explanatory Memorandum does not constitute an offer or solicitation to anyperson in any jurisdiction in which such offer or solicitation is not authorised or to anyperson to whom it would be unlawful to make such offer or solicitation.
In particular:
(a) the Units have not been registered under the United States Securities Act of 1933(as amended) and, except in a transaction which does not violate such Act, may notbe directly or indirectly offered or sold in the United States of America, or any of itsterritories or possessions or areas subject to its jurisdiction, or for the benefit of aU.S. Person (as defined in Regulation S under such Act);
(b) the Fund has not been and will not be registered under the United StatesInvestment Company Act of 1940 (as amended);
(c) the Units may not be offered or sold, directly or indirectly, to holders of an identitycard or a resident card issued by the People’s Republic of China, regardless of thecurrent residence or domicile of such individuals, or to entities which areestablished under the laws of the People’s Republic of China unless such entity isan approved qualified domestic institutional investor (“QDII”) and the purchase ofthe Units is permitted under the rules issued by the relevant QDII’s regulator andapplicable foreign exchange rules;
(d) the Units may not be offered or sold in Taiwan.
Permission under the Exchange Control Act 1972 of Bermuda (and regulations madethereunder) has been received from the Bermuda Monetary Authority (the “Authority”) forthe issuance of the Units.
Approvals, permissions or authorisations received from the Authority do not constitute aguarantee by the Authority as to the performance or creditworthiness of the Trust.Furthermore, in giving such approvals, permissions or authorisations, the Authority willnot be liable for the performance of the Trust or the default of its operators or serviceproviders or for the correctness of any opinions or statements expressed herein. A copyof this document has been filed as a prospectus with the Registrar of Companies inBermuda (the “Companies Registrar”) pursuant to the Companies Act 1981 of Bermuda.It must be distinctly understood that in filing this document with the Companies Registrar,the Companies Registrar accepts no responsibility for the financial soundness of anyproposal or for the correctness of any of the statements made or opinions expressed withregard to them.
The Trust is authorised as a standard fund pursuant to the Investment Funds Act 2006 ofBermuda.
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Prospective applicants for the Units should inform themselves as to the relevant legalrequirements of applying and any applicable exchange control regulations and applicabletaxes in the countries of their respective citizenship, residence or domicile.
This Explanatory Memorandum may refer to information and materials included inwebsites. Such information and materials do not form part of this ExplanatoryMemorandum and they have not been reviewed by the SFC.
Enquiries or complaints
Any investor enquiries or complaints should be submitted in writing to the Manager’soffice (50/F Citibank Tower, Citibank Plaza, 3 Garden Road, Central, Hong Kong) and theManager will issue a response within 14 Business Days of receipt of the enquiry orcomplaint.
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DIRECTORY
Manager Citigroup First Investment Management Limited50/F Citibank TowerCitibank Plaza3 Garden RoadCentralHong Kong
Telephone No. : +852 2868 8811Fax No.: +852 3018 7322
Directors of the Manager Harold Ho Young KIMJeremy David COLLARD
Trustee, Registrar andCustodian
HSBC Institutional Trust Services (Bermuda) Limited6 Front StreetHamilton HM 11Bermuda
Administrator andSub-Custodian
HSBC Institutional Trust Services (Asia) Limited1 Queen’s Road CentralHong Kong
Legal Counsel to the Manager as to matters of Hong Kong lawSimmons & Simmons13th Floor, One Pacific Place88 QueenswayHong Kong
as to matters of Bermuda lawApplebyCanon’s Court22 Victoria StreetHamilton HM EXBermuda
Auditors KPMG8th Floor, Prince’s Building10 Chater RoadCentralHong Kong
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DEFINITIONS
The defined terms used in this Explanatory Memorandum have the following meanings:
“Access Product” means an A Share access product, being a security (suchas a note, warrant, option or participation certificate)linked to A Shares or portfolios of A Shares which aim tosynthetically replicate the economic benefit of therelevant A Shares or portfolios of A Shares;
“Administrator” means HSBC Institutional Trust Services (Asia) Limited,acting in its capacity as administrator of the Trust and theFund;
“A Shares” means shares issued by companies incorporated in thePRC and listed on the Shanghai Stock Exchange or theShenzhen Stock Exchange, traded in RMB and availablefor investment by domestic investors and QFIIs;
“AP Issuer” means an issuer of an Access Product in which the Fundinvests;
“Base Currency” means, in respect of the Fund, the US Dollar;
“Business Day” means a day (other than a Saturday or Sunday) on whichbanks in Hong Kong are open for normal bankingbusiness or such other day or days as the Manager andthe Trustee may agree from time to time, provided thatwhere as a result of a number 8 typhoon signal, blackrainstorm warning or other similar event, the period duringwhich banks in Hong Kong are open on any day isreduced, such day will not be a Business Day unless theManager and the Trustee determine otherwise;
“Connected Person” in relation to a company means:
(a) any person or company beneficially owning, directlyor indirectly, 20% or more of the ordinary sharecapital of that company or able to exercise directlyor indirectly, 20% or more of the total votes in thatcompany; or
(b) any person or company controlled by a person whoor which meets one or both of the descriptionsgiven in (a); or
(c) any member of the group of which that companyforms part; or
(d) any director or officer of that company or of any ofits connected persons as defined in (a), (b) or (c);
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“CSRC” means the China Securities Regulatory Commission;
“Custodian” means HSBC Institutional Trust Services (Bermuda)Limited, acting in its capacity as custodian of theinvestments and uninvested cash of the Trust and theFund;
“Dealing Day” means:
(a) each Business Day, except any Business Day,determined at the Manager’s discretion, on whichany exchange or market on which a substantialportion of the Fund’s investments is traded isclosed or on which dealings are restricted orsuspended; or
(b) such other day as the Manager may determine fromtime to time with the approval of the Trustee;
“Dealing Deadline” means 5:00 pm (Hong Kong time) on the Business Daypreceding the scheduled Dealing Day;
“Fund” means China StormRiders Fund, a Sub-Fund of the Trust;
“Hong Kong” means the Hong Kong Special Administrative Region ofthe People’s Republic of China;
“Initial Offer Period” means the period from 11 January 2010 to 5 February2010 during which Units were offered for subscription at afixed price;
“InvestmentRegulations”
means (i) the QFII Measures; (ii) the “Notice on RelevantIssues in relation to the Implementation of the Measuresfor the Administration of Investment in DomesticSecurities by Qualified Foreign Institutional Investors”issued by CSRC on 24 August 2006, effective 1September 2006; (iii) the “Provisional Regulations forForeign Exchange Control of Investment in DomesticSecurities by Qualified Foreign Institutional Investors”issued by SAFE on 28 November 2002, effective 1December 2002, and such other regulations governing theestablishment and operation of the qualified foreigninstitutional investors regime in the PRC, as may beissued or amended from time to time;
“Manager” means Citigroup First Investment Management Limited;
“Net Asset Value” means the net asset value of the Fund or of a Unit, as thecontext may require, calculated in accordance with theprovisions of the Trust Deed as summarised below underthe section headed “Valuation” below;
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“PRC” or “China” means the People’s Republic of China, excluding for thepurposes of interpretation only, Hong Kong and Taiwan;
“QFII” means a qualified foreign institutional investor approvedunder the QFII Measures;
“QFII Measures” means the “Measures for the Administration of Investmentin Domestic Securities by Qualified Foreign InstitutionalInvestors” issued by CSRC, People’s Bank of China andSAFE on 24 August 2006, effective 1 September 2006, asmay be amended from time to time;
“RMB” means Renminbi Yuan, the currency of the PRC;
“SAFE” means the State Administration of Foreign Exchange ofthe PRC;
“SFC” means the Securities and Futures Commission of HongKong;
“SFO” means the Securities and Futures Ordinance, Chapter571 of the Laws of Hong Kong;
“Sub-Fund” means a sub-fund of the Trust, being a separate trustwhich is established pursuant to a supplemental deed andis maintained in accordance with the provisions of theTrust Deed and such supplemental deed;
“Subscription Price” means the price at which Units will be issued as describedin the section headed “Purchase of Units” below;
“Trust” means Citi Investment Trust (Bermuda);
“Trust Deed” means the trust deed establishing the Trust entered intoby the Manager and the Trustee dated 17 August 2007,and as amended from time to time;
“Trustee” and“Registrar”
means HSBC Institutional Trust Services (Bermuda)Limited;
“Unit” means a unit in the Fund;
“Unitholder” means a person registered as a holder of a Unit;
“Unit RealisationPrice”
means the price at which Units will be realised asdescribed in the section headed “Payment of RealisationProceeds” below;
“US Dollars” or “US$” means the currency of the United States of America;
“Valuation Day” means each Dealing Day;
“Valuation Point” means such time on the relevant Valuation Day as theManager with the approval of the Trustee may from time totime determine to calculate the Net Asset Value;
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INTRODUCTION
Citi Investment Trust (Bermuda) is an open-ended unit trust established under the lawsof Bermuda pursuant to a Trust Deed dated 17 August 2007 between the Trustee and theManager, as amended from time to time. All Unitholders are entitled to the benefit of, arebound by and are deemed to have notice of, the provisions of the Trust Deed.
The Trust has been established as an umbrella fund and the assets of the Trust areseparated into different Sub-Funds. More than one class of units may be offered inrelation to a particular Sub-Fund, which may have different terms, including differentcurrencies of denomination. Each Sub-Fund has its own investment objective andpolicies. Additional classes of Units and/or additional Sub-Funds may be created in thefuture.
Information relating to the Fund, including the latest versions of the Fund’s offeringdocumentation, circulars, notices, announcements, financial reports and the latestavailable Net Asset Value will be available on the website www.funds.citi.com.
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MANAGEMENT OF THE FUND
The Management Company
The Manager of the Trust is Citigroup First Investment Management Limited.
The Manager is incorporated in Hong Kong and is wholly owned by Citigroup GlobalMarkets Hong Kong Holdings Limited, an indirect wholly owned subsidiary of CitigroupInc.
The Manager is licensed by the SFC for type 4 (advising on securities) and type 9 (assetmanagement) regulated activities under the SFO.
Under the Trust Deed, the Manager is responsible for the management of the assets ofthe Trust and each Sub-Fund. The Manager is also responsible, in conjunction with theTrustee, for the maintenance of the accounts and records of the Trust as well as certainother administrative matters relating to the Trust.
The Manager may appoint sub-managers or investment advisers in relation to specificSub-Funds, subject to the approval of the SFC. The Manager is not intending to appointa sub-manager or investment adviser in relation to the Fund.
The directors of the Manager are Harold Ho Young Kim and Jeremy David Collard.
The Trustee, Registrar and Custodian
The Trustee of the Trust is HSBC Institutional Trust Services (Bermuda) Limited.
HSBC Institutional Trust Services (Bermuda) Limited was incorporated on 22 February2006 under the laws of Bermuda and holds a trust business licence issued by theBermuda Monetary Authority pursuant to the Trusts (Regulation of Trust Business) Act2001.
Under the Trust Deed, the Trustee is responsible for the safe-keeping of the assets of theTrust. The Trustee may, however, appoint any person or persons to also be custodian ofsuch assets. Notwithstanding any such appointment, in accordance with the terms of theTrust Deed, the Trustee will remain liable for any act or omission of any custodianappointed by the Trustee as if the same were the act or omission of the Trustee.
HSBC Institutional Trust Services (Asia) Limited has been appointed by the Trustee,pursuant to an internal arrangement, as the sub-custodian of the investments anduninvested cash of the Trust and the Fund.
The Trustee also acts as the registrar of the Trust.
The Trustee is not responsible for the preparation of this Explanatory Memorandum andtherefore accepts no responsibility for the information contained in it, other thaninformation relating specifically to the Trustee and its affiliates.
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HSBC group has adopted a policy of compliance with the sanctions issued by The Officeof Foreign Assets Control of the US Department of the Treasury. The Trustee will notparticipate in transactions and activities, or make any payments denominated in USdollars, which, if carried out by a US person, would be subject to sanctions by The Officeof Foreign Assets Control of the US Department of the Treasury.
The Administrator and Sub-Custodian
Pursuant to an internal arrangement, the Trustee has delegated certain of its functions toHSBC Institutional Trust Services (Asia) Limited. HSBC Institutional Trust Services (Asia)Limited has agreed that it will discharge and perform such functions, including withoutlimitation, the duties and functions set out in chapter 4.5 of the Code on Unit Trusts andMutual Funds issued by the SFC, at all times while the Fund is authorised by the SFCpursuant to Section 104 of the SFO. The register of Unitholders will, however, bemaintained by the Trustee in Bermuda.
HSBC Institutional Trust Services (Asia) Limited is responsible for the generaladministration of the Trust and the Fund, which includes arranging for the issue andredemption of units, the calculation of the Net Asset Value, the calculation of fees payableout of the assets of the Fund and the administration of uninvested cash of the Trust andthe Fund.
HSBC Institutional Trust Services (Asia) Limited is a member of the HSBC Group. TheAdministrator was incorporated in Hong Kong in 1974 and is registered as a trustcompany under the Trustee Ordinance in Hong Kong, and approved by the MandatoryProvident Funds Authority to provide trustee services. The HSBC Group has majorcommercial and investment banking businesses in the Asia Pacific region, Europe, theAmericas, the Middle East and Africa.
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INVESTMENT OBJECTIVE, STRATEGY AND RESTRICTIONS
Investment objective
The investment objective of the Fund is to provide Unitholders with exposure to returnsfrom companies with large or mid-size market capitalisation whose securities are listed onThe Stock Exchange of Hong Kong, the Shanghai Stock Exchange, the Shenzhen StockExchange or the Taiwan Stock Exchange (each an “Eligible Exchange”).
Investment strategy
Introduction
The investment strategy of the Fund is a proprietary rule-driven stock selection strategythat aims, on a quarterly basis, to identify and select a portfolio of equity securities thatare both proven to have performed well in extremely distressed historical marketconditions and also show potential to be among the best performing stocks in strongermarkets.
Selection of portfolio stocks
On each rebalancing date, the Manager will establish a qualifying investment universe inrespect of the PRC, Hong Kong and Taiwan comprised of securities listed on the relevantEligible Exchange that, as at the relevant date, demonstrate positive earnings and meetthe following market capitalization criteria:
• PRC : higher than US$400m equivalent
• Hong Kong : higher than US$200m equivalent
• Taiwan : higher than US$200m equivalent
Each investment universe will then be further filtered to screen out securities that did notperform positively (either absolutely or, in some circumstances, relative to the relevantbenchmark) in the most recent “crash period” applicable to the relevant country. For thispurpose, a “crash period” is defined as being a period over which the relevant benchmarklost more than 30% of its value from peak to trough. By way of example, the crash periodsprior to the Fund’s inception on 5 February 2010 are 31 August 2008 to 4 November 2008in respect of the PRC, 15 October 2008 to 27 October 2008 in respect of Hong Kong and29 September 2008 to 20 November 2008 in respect of Taiwan. The relevant benchmarksare the CSI 300 Index, Hang Seng Index and Taiwan Stock Exchange CapitalizationWeighted Stock Index for, respectively, the PRC (A Shares), Hong Kong and Taiwan.
The Fund’s portfolio will then be established by constructing a combined portfolio madeup of individual PRC, Hong Kong and Taiwan portfolios, approximately in the proportions60% PRC, 30% Hong Kong, and 10% Taiwan. Securities will be selected from theinvestment universe according to whether or not the relevant country’s equity market isdeemed to still be in recovery. For this purpose, if the performance of the relevantbenchmark from the end of the most recent crash period to the rebalancing date is equal
7
to or less than 14.28%, the relevant country’s equity market is deemed to still be inrecovery. If the performance of the relevant benchmark from the end of the most recentcrash period to the rebalancing date is greater than 14.28%, the relevant country’s equitymarket is deemed to be out of recovery.
If the relevant country’s equity market is deemed to still be in recovery, the Manager willseek to invest in the top securities ranked according to market capitalization as at therebalancing date. If the relevant country’s equity market is deemed to be out of recovery,the Manager will seek to invest in the top securities ranked by individual priceperformance between the end of the most recent crash period and the rebalancing date.
The actual stocks in the portfolio, absolute number of stocks and/or the countryproportions may be adjusted on any rebalancing date in order to address market liquidityissues, investability issues and/or legal or regulatory restrictions. There is no time limit forholding a position and there is no upper cap on the number of securities that may be heldin the portfolio.
Under normal market conditions, the portfolio is rebalanced on a quarterly basis. Inextreme or unusual market conditions, the portfolio will also be rebalanced if at least onebenchmark establishes a new crash period.
Access Products generally account for approximately 60% of the Fund’s portfolio,although the actual proportion at any time will depend on, amongst other things, theavailability of appropriate investment opportunities. The remainder of the portfolioincludes securities listed on The Stock Exchange of Hong Kong and the Taiwan StockExchange. The Fund’s portfolio may, if the Manager considers it appropriate, includecash, cash based instruments and fixed income instruments.
At least 70% of the Net Asset Value comprises (directly or indirectly) securities listed onan Eligible Exchange.
The Fund will not invest in any structured products or financial derivative instrumentsother than the Access Products. Except for the purpose of provision of collateral for thebenefit of the Fund where securities and lending arrangements may be used, the Fundwill not enter into any repurchase agreements, stock lending transactions or any othersimilar over-the-counter transactions.
Access Products and counterparty risk management procedures
As direct investment in A Shares is restricted by applicable PRC law, the Fund gainsaccess to the A share market by investing into Access Products. An Access Productrepresents only an obligation of the relevant AP Issuer to provide to the Fund theeconomic performance equivalent to holding the underlying A Shares or basket of AShares (net of fees, charges and indirect costs). An Access Product does not provide anybeneficial or equitable entitlement or interest in the A Shares to which the Access Productis linked. Because an Access Product is an obligation of the AP Issuer, rather than a directinvestment in A Shares, the Fund may suffer losses, potentially equal to the full value ofthe Access Product, if the AP Issuer fails to perform its obligations under the AccessProduct.
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The Manager screens potential AP Issuers according to a number of factors includingexecution quality, financial soundness, approach to PRC taxation and pricecompetitiveness. Each AP Issuer must meet the following criteria: (i) it must be a QFII oran affiliate of a QFII; (ii) it must be a substantial financial institution which is (A) a bankingentity which is, on an ongoing basis, subject to prudential and regulatory supervisionacceptable to the SFC and has a minimum paid up capital of HK$150,000,000 or itsequivalent in foreign currency, or (B) an entity considered acceptable to the SFC on acase-by-case basis taking into account factors such as the regulatory status of the entityor the group to which it belongs and the net asset value of the entity; and (iii) it must havea credit rating in respect of senior debt of at least A- from Standard & Poor’s or anequivalent rating given by Moody’s or by Fitch. As at the date of this ExplanatoryMemorandum, there are two AP Issuers. The Fund’s gross and net exposure to eachAccess Product Issuer at any given time will be provided to investors upon a writtenrequest to the Manager.
The Manager seeks to mitigate the credit risk of AP Issuers, subject to normal marketconditions, by diversifying the number of, and the relative exposure of the Fund to, APIssuers such that not more than 10% of the Fund’s Net Asset Value is exposed to thecredit risk of any one AP Issuer. To achieve this the Manager implements measures suchas seeking to obtain credit support or collateral from the relevant AP Issuer or an affiliateof the AP Issuer and/or the orderly disposal of relevant Access Products. The provisionof credit support or collateral is by way of a securities lending and borrowing arrangementor in such other manner as the Manager considers appropriate in the prevailingcircumstances.
Where the collateral arrangement is by way of a securities lending and borrowingarrangement, whenever the Fund’s exposure under Access Products to the relevant APIssuer is over 10% of the Fund’s Net Asset Value, the relevant collateral provider willborrow Access Products from, and post collateral to, the Fund. The market value of theAccess Products borrowed and the collateral posted will be adjusted on a dailymark-to-market basis. In the event of the insolvency or an event of default in respect ofthe relevant AP Issuer or collateral provider, the payment and delivery obligations of theparties under the securities and borrowing arrangements will be accelerated and nettedoff, and replaced by an obligation of one party to pay a single sum to the other based onthe latest mark-to-market valuations. In such circumstances, the relevant collateralprovider will keep the Access Products that it borrowed from the Fund and the Fund willkeep any collateral transferred to it and held under the custody of the Sub-Custodian, andthe parties will calculate whether any cash payment is required to be made after nettingoff.
The Manager accepts cash or constituent stock of the Hang Seng Index and/or the HangSeng China Enterprise Index as collateral. This may change in light of prevailing marketconditions but (a) the collateral will take the form of listed equity securities; and (b) thecollateral will not include any structured products.
In addition, collateral must meet the following requirements:
(i) Liquidity — sufficiently liquid in order that it can be sold quickly at a robust pricethat is close to pre-sale valuation. Collateral should normally trade in a deep andliquid marketplace with transparent pricing;
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(ii) Valuation — mark to market daily;
(iii) Issuer credit quality — of high credit quality; collateral on assets that exhibit highprice volatility may be accepted only if suitably conservative haircuts are in place;
(iv) Diversification — must be appropriately diversified so as to avoid concentratedexposure to any single issuer. The counterparty or other investment limit/exposureof the collateral as a percentage of the Fund’s Net Asset Value must not contravenethe investment restrictions or limitations set out in Chapter 7 of the Code;
(v) Correlation — correlation between the AP Issuer and its group companies and thecollateral received must be avoided (for the avoidance of doubt, collateral will notconsist of securities issued by the AP Issuer and its group companies);
(vi) Management of operational and legal risks — there must be in existenceappropriate systems, operational capabilities and legal expertise for propercollateral management;
(vii) Independent custody — must be held by the Sub-Custodian;
(viii) Enforceability — must be readily accessible/enforceable by the Sub-Custodianwithout further recourse to the AP Issuer; and
(ix) Not available for secondary recourse — collateral cannot be applied for anypurpose except for the purpose of being used as collateral.
Where at any time the aggregate value of all collateral held by the Fund represents 30%or more of its Net Asset Value, a description of holdings of collateral will be disclosed inthe Fund’s annual and interim reports for the relevant period. The identity of anycounterparty providing collateral to the Fund at any given time will be provided toinvestors upon a written request to the Manager.
If the credit rating of an AP Issuer is subsequently downgraded, such that the AP Issuerceases to have a credit rating in respect of senior debt of at least A- from Standard &Poor’s or equivalent, the Fund will dispose of any Access Products issued by the APIssuer which are not fully collateralised and will select alternative AP Issuers who meetthe criteria set above.
Should it become possible under PRC law, and practicable, for the Fund to hold theunderlying A Shares directly, through a segregated sub account or in some other mannerwithout restriction, the Manager may, with the agreement of the Trustee, take steps toenable the Fund to hold or have an equitable interest directly in A Shares instead of, orin addition to investing through Access Products. The Manager will notify Unitholders andseek such approvals as necessary under the constitutive documents of the Fund.
General
Investors should note that although the Fund’s portfolio will always be invested directlyor indirectly in assets that best reflect the Fund’s investment strategy, the views andprocess that influence the selection of assets in the investment strategy could be contraryto other views or opinions contained in research reports or notes published by Citigroupor its affiliates.
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Investment and borrowing restrictions
The Fund is subject to the following principal investment restrictions:
(a) not more than 10% of the Net Asset Value of the Fund may be invested in securities(other than Government and other public securities) issued by any single issuer;
(b) the Fund’s holding of shares of a single class (other than Government and otherpublic securities) when aggregated with other the holdings of the same class ofshares held by all the other Sub-Funds may not exceed 10% of the nominal amountof the securities of the same class in issue;
(c) not more than 15% of the Net Asset Value of the Fund may be invested in securitieswhich are neither listed nor quoted on a stock exchange, over-the-counter marketor other organized securities market which is open to the international public andon which such securities are regularly traded;
(d) notwithstanding (a), (b) and (c) above, up to 30% of the Net Asset Value of the Fundmay be invested in Government and other public securities of the same issue;
(e) subject to (d), the fund may invest all of its assets in Government and other publicsecurities in at least six different issues;
(f) not more than 20% of the Net Asset Value of the Fund may be invested in (i)commodities (including physical commodities, forward and futures contracts inrespect of commodities, options on commodities, options on futures contracts inrespect of commodities, and other commodity-based investments and excluding,for this purpose, securities of companies engaged in the production, processing ortrading of commodities) and (ii) futures contracts on an unhedged basis (byreference to the net aggregate value of contract prices, whether payable to or bythe Fund);
(g) the value of the Fund’s total holding of warrants and options in terms of the totalamount of premium paid (other than for hedging purposes) may not exceed 15% ofits Net Asset Value;
(h) the value of the Fund’s total holding of units or shares in other collective investmentschemes may not exceed 10% of its available Net Asset Value. In addition, theobjective of the underlying collective investment scheme may not be to investprimarily in any investment prohibited by the other investment restrictions, andwhere that underlying collective investment scheme’s objective is to investprimarily in investments restricted by the other investment restrictions, suchholdings may not be in contravention of the relevant limitation. The Manager maynot obtain a rebate on any fees or charges levied by an underlying scheme or itsmanagement company; and
(i) the Fund may not invest in a unit trust, mutual fund corporation or other collectiveinvestment scheme which is managed by the Manager or any of its ConnectedPersons which would result in an increase in the overall total of preliminary
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charges, Manager’s annual fee, or any other costs and charges payable to theManager or any of its Connected Persons borne by the Unitholders or by the Fund,and where the Fund invests in such an underlying scheme, all preliminary chargeson that underlying scheme must be waived.
For the avoidance of doubt, the Fund shall comply with the above investment restrictionsother than those in respect of Access Products, which are aggregated and covered by thefollowing investment restrictions:
(a) the Fund may acquire financial derivative instruments for investment purposesubject to the limit that the Fund’s global exposure relating to these financialderivative instruments does not exceed 100% of the total Net Asset Value of theFund;
(b) for the purpose of calculating global exposure, the commitment approach shall beused, whereby the derivative positions of the Fund are converted into theequivalent position in the underlying assets embedded in those derivatives, takinginto account the prevailing value of the underlying assets, the counterparty risk,future market movements and the time available to liquidate the positions; and
(c) the risk exposure to a counterparty of the Fund in an over-the-counter derivativetransaction may not exceed 10% of its Net Asset Value.
The Manager shall not in respect of the Fund:
(I) invest in a security of any class in any company or body if any director or officer ofthe Manager individually own more than 0.5% of the total nominal amount of all theissued securities of that class or collectively own more than 5% of those securities;
(II) invest in any type of real estate (including buildings) or interests in real estate(including options or rights but excluding shares in real estate companies andinterests in real estate investment trusts (REITs) that are listed on a stockexchange);
(III) make short sales if as a consequence the liability to deliver securities would exceed10% of the Net Asset Value of the Fund (and for this purpose securities sold shortmust be actively traded on a market where short selling is permitted);
(IV) write uncovered options;
(V) write a call option if the aggregate of the exercise prices of all such call optionswritten in respect of the Fund would exceed 25% of the Net Asset Value of theFund;
(VI) make a loan out of the assets of the Fund without the prior written consent of theTrustee, except to the extent that the acquisition of an investment or the making ofa deposit might constitute a loan;
(VII) assume, guarantee, endorse or otherwise become directly or contingently liable foror in connection with any obligation or indebtedness of any person without the priorwritten consent of the Trustee;
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(VIII) enter into any obligation in respect of the Fund or acquire any asset for the accountof the Fund which involves the assumption of any liability which is unlimited; or
(IX) apply any part of the assets of the Fund in the acquisition of any investments whichare for the time being nil paid or partly paid in respect of which a call is due to bemade unless such call could be met in full out of cash or near cash forming part ofthe Fund which has not been appropriated and set aside for any other purposes.
The Manager may borrow up to 25% of the latest available Net Asset Value of the Fundto acquire investments. The assets of the Fund may be charged or pledged as securityfor any such borrowings.
The Trust Deed provides that the Trustee may at the request of the Manager enter intoarrangements for the lending/repurchasing of securities held in respect of the Fund.However, other than with regard to the provision of credit support or collateral in respectof the Fund’s exposure to Access Products, it is not the current intention of the Managerthat such arrangements will be made. Should the Manager decide to enter into sucharrangements in the future, this Explanatory Memorandum will be amended to providedetails of the arrangements and Unitholders will be provided with not less than onemonth’s prior written notice of the amendment.
If any of the investment and borrowing restrictions are breached, the Manager shall as apriority objective take all steps necessary within a reasonable period of time to remedythe situation, having due regard to the interests of Unitholders.
Risk management policies and procedures for derivatives
Investors should refer to the risk factors in this Explanatory Memorandum and inparticular the risk factors headed “Credit risk” and “Risk of investing in Access Products”for the risks associated with the use of financial derivative instruments. A summary of therisk management policy and methods employed by the Fund to measure and manage therisks associated with investments in financial derivative instruments (in particular AccessProducts) is set out below.
The Manager has in place risk management policies and methods that cover risksincluding credit, market, liquidity, settlement, operations and legal risks of their businessactivities and the Fund’s investment in financial derivative instruments, and which involveoversight by its respective senior management, prudent risk limits, comprehensivemeasurement processes and information systems, regular monitoring and managementreporting, strict internal control and audit procedures and contingency planning.
In particular, in respect of the Fund’s investment in Access Products, the Fund has inplace detailed counterparty selection criteria, credit exposure monitoring and collateralarrangements, as set out in detail in the above section headed “Investment strategy”.
Information regarding the risk management and control policy, procedures and methodsemployed by the Fund are available to investors upon a written request sent to theManager’s office in Hong Kong.
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PURCHASE OF UNITS
Initial issue of Units
The Initial Offer Period took place between 11 January 2010 and 5 February 2010.
Subsequent issue of Units
Units are available for issue on each Dealing Day at the relevant Subscription Price.
The Subscription Price on any Dealing Day will be the price per Unit ascertained bydividing the Net Asset Value of the Fund as at the Valuation Point in respect of therelevant Dealing Day by the number of Units then in issue rounded to 3 decimal places(0.0005 being rounded up) or in such manner and to such other number of decimal placesas may from time to time be determined by the Manager after consulting the Trustee. Anyrounding adjustment will be retained by the Fund. The Subscription Price will becalculated and quoted in the Base Currency of the Fund, being the US Dollar.
In determining the Subscription Price, the Manager is entitled to add an amount which itconsiders represents an appropriate provision for extraordinary transactional fees orexpenses, including stamp duty, other taxes, brokerage, bank charges, transfer fees andregistration fees, which are likely to be incurred in investing a sum equal to theapplication monies. Any such additional amount will be paid to the Trustee and will formpart of the assets of the Fund.
The minimum initial investment is US$3,000 and the minimum subsequent investment isUS$1,000. Applications for less than 100 Units will not be accepted unless otherwiseagreed by the Manager.
The Manager is entitled to impose a preliminary charge on the Subscription Price of eachUnit. The Manager may retain the benefit of such preliminary charge or may pay all or partof the preliminary charge (and any other fees received) to recognised intermediaries orsuch other persons as the Manager may at its absolute discretion determine. Details ofthe preliminary charge are set out in the section headed “Expenses and Charges” below.
Application Procedure
To purchase Units an applicant should complete the application form supplied with thisExplanatory Memorandum and return the original form, together with the requiredsupporting documents, to the Administrator.
Applications for Units during the Initial Offer Period, together with cleared funds, must bereceived by no later than 5:00 pm (Hong Kong time) on the last day of the Initial OfferPeriod. After the Initial Offer Period, unless otherwise agreed by the Manager,applications and cleared funds must be received by the Dealing Deadline.
Unless otherwise agreed by the Manager, application forms that are faxed to theAdministrator must always be followed by their original. Applicants who choose to sendan application form by fax, bear the risk of the form not being received by the
14
Administrator. Applicants should therefore, for their own benefit, confirm with theAdministrator safe receipt of an application form. Neither the Trustee nor theAdministrator will be responsible to an applicant for any loss resulting from non-receipt orillegibility of any application form sent by facsimile.
Unless otherwise agreed with the Manager, applications will be accepted only if clearedfunds have been received on or prior to the relevant Dealing Deadline in relation to whichUnits are to be issued.
If payment in cleared funds is not received prior to such time as may be agreed with theManager, the application may, at the discretion of the Manager, be considered void andcancelled. In such event the Manager will be entitled to charge the applicant (and retainfor its own account) a cancellation fee or such amount as it may determine to representthe costs involved in processing the application. The Manager may also require theapplicant to pay to the Trustee, for the account of the Fund, in respect of each Unitcancelled, the amount (if any) by which the Subscription Price on the relevant DealingDate exceeds the applicable Unit Realisation Price on the date of cancellation.
Each applicant whose application is accepted will be sent a contract note confirmingdetails of the purchase of Units but no certificates will be issued.
Applicants may apply for Units through a distributor appointed by the Manager.Distributors may have different dealing procedures, including earlier cut-off times forreceipt of applications and/or cleared funds. Applicants who intend to apply for Unitsthrough a distributor should consult the distributor for details of the relevant dealingprocedures.
Where an applicant applies for Units through a distributor, the Manager, the Trustee andthe Administrator will treat the distributor (or its nominee) as the applicant. The distributor(or its nominee) will be registered as holder of the relevant Units. The Manager, theTrustee and the Administrator will treat the distributor (or its nominee) as the Unitholderand shall not be responsible for any arrangements between the relevant applicant and thedistributor regarding the subscription, holding and realisation of Units and any relatedmatters, as well as any costs or losses that may arise therefrom. The Manager will,however, take all reasonable care in the selection and appointment of distributors.
No money should be paid to any intermediary in Hong Kong who is not licensed orregistered to carry on Type 1 (dealing in securities) regulated activity under Part Vof the Securities and Futures Ordinance.
The Manager (upon consultation with the Trustee) has discretion to accept or reject inwhole or in part any application for Units. In the event that an application is rejected,application monies will be returned without interest by cheque through the post or bytelegraphic transfer at the risk of the applicant.
No applications for Units will be dealt with during any periods in which the determinationof the Net Asset Value of the Fund is suspended (for details see “Suspension ofCalculation of Net Asset Value” below).
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Payment Procedure
Subscription monies should be paid in US Dollars. Payment details are set out in theapplication form.
General
All holdings of Units will be in registered form and certificates will not be issued. Evidenceof title of Units will be the entry on the register of Unitholders. Unitholders shouldtherefore be aware of the importance of ensuring that the Administrator is informed of anychange to the registered details. Fractions of Units may be issued calculated to 3 decimalplaces. Subscription monies representing smaller fractions of a Unit will be retained bythe relevant Fund. A maximum of 4 persons may be registered as joint Unitholders.
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REALISATION OF UNITS
Realisation Procedure
Unitholders who wish to realise their Units in the Fund may do so on any Dealing Day bysubmitting a realisation request to the Administrator. Unless otherwise agreed by theManager, any realisation request must be received by the Administrator before theDealing Deadline. Investors realising Units through a distributor or a nominee shouldsubmit their realisation requests to the distributor or nominee in such manner as directedby the distributor or nominee. Distributors and nominees may have different dealingprocedures, including earlier cut-off times for receipt of realisation requests. Where aninvestor holds its investment in Units through a nominee, the investor wishing to realiseUnits must ensure that the nominee, as the registered Unitholder, submits the relevantrealisation request by the Dealing Deadline. Unless otherwise agreed by the Manager,realisation requests submitted after the applicable Dealing Deadline in respect of anyDealing Day will be dealt with on the next Dealing Day.
A realisation request must be given in writing or by facsimile and must specify the nameof the relevant Fund and the value or number of Units to be realised, the name(s) of theregistered holder(s) and give payment instructions for the realisation proceeds. Unlessotherwise agreed by the Trustee, the original of any realisation request given by facsimileshould be forwarded to the Administrator. None of the Manager, the Trustee or theAdministrator will be responsible to a Unitholder for any loss resulting from non-receipt orillegibility of any realisation request sent by facsimile or for any loss caused in respect ofany action taken as a consequence of such facsimile believed in good faith to haveoriginated from properly authorised persons.
Partial realisation of a holding of Units in the Fund may be effected provided that suchrealisation will not result in the Unitholder holding less than the minimum holding of 100Units. The Manager has the right to compulsorily realise any holding of Units which is lessthan such minimum holding. A request for a partial realisation of less than 100 Units willnot be accepted.
Payment of Realisation Proceeds
The Unit Realisation Price on any Dealing Day will be the price per Unit ascertained bydividing the Net Asset Value of the Fund as at the Valuation Point in respect of therelevant Dealing Day by the number of Units of such Fund then in issue rounded to 3decimal places (0.0005 being rounded up) or in such manner and to such other numberof decimal places as may from time to time be determined by the Manager after consultingthe Trustee. Any rounding adjustment will be retained by the Fund. The Unit RealisationPrice will be calculated and quoted in the Base Currency of the Fund.
In determining the Unit Realisation Price, the Manager is entitled to deduct an amountwhich it considers represents an appropriate provision for extraordinary transactionalfees or expenses, including stamp duty, other taxes, brokerage, bank charges, transferfees and registration fees, which are likely to be incurred by the Fund. Any such deductedamount will be retained by the Fund and will form part of the assets of the Fund.
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The Manager may at its option impose a realisation charge in respect of the Units to berealised as described in the section headed “Expenses and Charges” below. TheManager may on any day in its sole and absolute discretion differentiate betweenUnitholders as to the amount of the realisation charge to be imposed (within the permittedlimit provided in the Trust Deed) on each Unitholder.
The amount due to a Unitholder on the realisation of a Unit will be the Unit RealisationPrice, less any realisation charge. The realisation charge will be retained by the Manager.
Realisation proceeds will not be paid to any realising Unitholder until (a) unless otherwiseagreed in writing by the Trustee, the written original of the realisation request duly signedby the Unitholder has been received by the Administrator and (b) the signature of theUnitholder (or each joint Unitholder) has been verified to the satisfaction of the Trustee.
Subject as mentioned above, and save as otherwise agreed by the Manager, and so longas relevant account details have been provided, realisation proceeds will normally bepaid in US Dollars by telegraphic transfer, within 10 Business Days after the relevantDealing Day and in any event within one calendar month of the relevant Dealing Day or(if later) receipt of a properly documented request for realisation of Units. Any bankcharges associated with the payment of realisation proceeds will be borne by the Fund.
Payment will only be made to a bank account in the name of the Unitholder. No third partypayments will be made.
Realisation proceeds can be paid in a currency other than US Dollars at the request andexpense of the Unitholder. In such circumstances, the Trustee will use such currencyexchange rates as it may from time to time determine.
The Trust Deed provides that the redemptions may be made in specie at the discretion ofthe Manager. However, the Manager does not intend to exercise this discretion in respectof the Fund. In any event, redemptions may only be made in specie with the consent ofthe Unitholder requesting the redemption.
Restrictions on realisation
The Manager may suspend the realisation of Units or delay the payment of realisationproceeds during any periods in which the determination of the Net Asset Value of theFund is suspended (for details see “Suspension of Calculation of Net Asset Value” below).
With a view to protecting the interests of Unitholders, the Manager is entitled, with thewritten approval of the Trustee, to limit the number of Units of the Fund realised on anyDealing Day (whether by sale to the Manager or by cancellation by the Trustee) to 10%of the total number of Units of the Fund in issue. In this event, the limitation will apply prorata so that all Unitholders wishing to realise Units of the Fund on that Dealing Day willrealise the same proportion of such Units, and Units not realised (but which wouldotherwise have been realised) will be carried forward for realisation based on the UnitRealisation Price as at the relevant Dealing Day, subject to the same limitation, and willhave priority on the next Dealing Day over subsequent realisation requests received inrespect of such subsequent Dealing Day. If requests for realisation are so carriedforward, the Manager will inform the Unitholders concerned.
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CONVERSION
The Manager may from time to time permit Unitholders to convert some or all of theirUnits of any class (the “Existing Class”) into units of any other class whether in respectof the Fund or any other Sub-Fund which has been authorised by the SFC (the “NewClass”). Unitholders may request such a conversion by giving notice in writing or byfacsimile to the Administrator. None of the Manager, the Trustee or the Administrator shallbe responsible to any Unitholder for any loss resulting from the non-receipt or duplicatereceipt of a request for conversion or any amendment to a request for conversion prior toreceipt. A request for the conversion of part of a holding of Units will not be effected if,as a result, the Unitholder would hold less than the minimum holding specified for theExisting Class or the New Class.
Where a request for conversion is received by the Administrator prior to the DealingDeadline, or such later time as the Manager may agree, in respect of a Dealing Day,conversion will be effected as follows:
● realisation of the Units of the Existing Class will be dealt with by reference to theUnit Realisation Price on that Dealing Day (the “Conversion Realisation Day”);
● where the Existing Class and the New Class have different currencies ofdenomination, the realisation proceeds of Units of the Existing Class, afterdeduction of any conversion charge, shall be converted into the currency ofdenomination of the New Class; and
● the resulting amount will be used to subscribe for units of the New Class at therelevant subscription price on the dealing day for such New Class on which clearedfunds in the relevant currency are received by the Administrator (the “ConversionSubscription Day”).
Subject to the time required to remit Realisation Proceeds in respect of the units of theExisting Class, the Conversion Subscription Day may be later than the ConversionRealisation Day.
The Manager is entitled to impose a conversion charge on the conversion of Units of upto 2% of the Unit Realisation Price of each Unit converted. The conversion charge will bededucted from the amount reinvested in the New Class and will be paid to the Manager.
The Manager may suspend the conversion of Units during any period in which thedetermination of the Net Asset Value of the Fund is suspended (for details see“Suspension of Calculation of Net Asset Value” below).
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VALUATION
The Net Asset Value of the Fund is calculated by valuing the assets of the Fund anddeducting the liabilities attributable to the Fund. These liabilities include, withoutlimitation, any management fee or trustee fee, any taxes, any borrowings and the amountof any interest and expenses thereon, any other costs or expenses expressly authorisedby the Trust Deed, and an appropriate allowance for any contingent liabilities.
The value of the assets of the Fund is determined as at each Valuation Point inaccordance with the Trust Deed. The Trust Deed provides (inter alia) that:
(a) except in the case of any interest in a collective investment scheme to whichparagraph (c) applies and subject as provided in paragraphs (d) and (g) below, allcalculations based on the value of investments quoted, listed, traded or dealt in onany securities market will be made by reference to the last traded price on theprincipal stock exchange for such investments, and in determining such prices theManager and the Trustee will be entitled to use and rely on electronic price feedsfrom such source or sources as they may from time to time determine;
(b) where there is no stock exchange, commodities exchange, futures exchange orover-the-counter market all calculations based on the value of investments quotedby any person, firm or institution making a market in that investment (and if thereis more than one such market maker then such particular market maker as theManager may designate) will be made by reference to the mean of the latest bidand asked price quoted thereon; provided always that if the Manager in theirdiscretion consider that the prices ruling on a stock exchange other than theprincipal stock exchange provide in all the circumstances a fairer criterion of valuein relation to any such investment, they may adopt such prices;
(c) subject as provided in paragraphs (d) and (g) below, the value of each unit, shareor other interest in any collective investment scheme, which is valued as at thesame day as the Fund will be the net asset value per unit, share or other interestin such collective investment scheme calculated as at that day or, if the Managerso determines or if such collective investment scheme is not valued as at the sameday as the Fund, will be the last published net asset value per unit or share or otherinterest in such collective investment scheme (where available) or (if the same isnot available) the last published bid price for such unit or share at or immediatelypreceding the Valuation Point;
(d) if no net asset value, bid and offer prices or price quotations are available asprovided in paragraphs (a), (b) and (c) above, the value of the relevant investmentwill be determined from time to time in such manner as the Manager determines;
(e) the value of any cash in hand or on deposit, bills, demand notes, accountsreceivable, prepaid expenses, cash dividends and interests declared or accruedand not yet received will be deemed to be the full amount thereof unless theManager determines that any such deposit, bill, demand note or account receivableis not worth the full amount thereof in which event the value thereof will be deemedto be such value as the Manager deems to be the reasonable value thereof;
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(f) any bond, note, certificate, swap, option or other over-the-counter instrument maybe valued at the last value reported by the calculation agent, issuer or otherrelevant party for such note, bond, certificate, swap, option or otherover-the-counter instrument;
(g) notwithstanding the foregoing, the Manager may with the consent of the Trusteeadjust the value of any investment or permit some other method of valuation to beused if, having regard to relevant circumstances, the Manager considers that suchadjustment or use of such other method is required to reflect the fair value of theinvestment; and
(h) the value of any investment (whether of a security or cash) in a currency other thanthe Base Currency will be converted into the Base Currency at the rate (whetherofficial or otherwise) which the Manager deems appropriate in the circumstanceshaving regard to any premium or discount which may be relevant and to costs ofexchange.
The term “last traded price” referred to in paragraph (a) above, refers to the last tradedprice reported on the exchange for the day, commonly referred to in the market as the“settlement” or “exchange price”, and represents a price at which members of theexchange settle between them for their outstanding positions. Where a security has nottraded then the last traded price will represent the “exchange close” price as calculatedand published by that exchange in accordance with its local rules and customs.
Suspension of Calculation of Net Asset Value
The Manager or the Trustee may, upon consultation with the other and having regard tothe interests of Unitholders, declare a suspension of the determination of the Net AssetValue of the Fund in exceptional circumstances, being the whole or any part of any periodduring which:
(a) there is a closure of or the restriction or suspension of trading on any commoditiesmarket or any securities market on which a substantial part of the investments ofthe Fund is normally traded or a breakdown in any of the means normally employedby the Manager or the Trustee (as the case may be) in ascertaining the prices ofinvestments or the Net Asset Value of the Fund or the Net Asset Value per Unit inthe Fund; or
(b) for any other reason the prices of investments of the Fund cannot, in the opinionof the Manager, reasonably, promptly and fairly be ascertained; or
(c) circumstances exist as a result of which, in the opinion of the Manager, it is notreasonably practicable to realise any investments of the Fund or it is not possibleto do so without seriously prejudicing the interests of relevant Unitholders; or
(d) the remittance or repatriation of funds which will or may be involved in therealisation of, or in the payment for, the investments of the Fund or the issue orrealisation of Units in the Fund is delayed or cannot, in the opinion of the Manager,be carried out promptly at normal rates of exchange; or
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(e) a breakdown in the systems and/or means of communication usually employed todetermine the Net Asset Value of the Fund or the Subscription Price and UnitRealisation Price or when for any other reason the Net Asset Value or theSubscription Price and Unit Realisation Price cannot be ascertained in a prompt oraccurate manner; or
(f) the business operations of the Manager, the Trustee or the Administrator in respectof the Fund are substantially interrupted or closed as a result of or arising frompestilence, acts of war, terrorism, insurrection, revolution, civil unrest, riot, strikes,or acts of God.
Such suspension will take effect forthwith upon the declaration thereof and thereafterthere will be no determination of the Net Asset Value of the Fund until the Manager or theTrustee (upon consultation with the other) declares the suspension at an end, except thatthe suspension will terminate in any event on the day following the first Business Day onwhich (i) the condition giving rise to the suspension ceases to exist and (ii) no othercondition under which suspension is authorised exists.
Whenever the Manager declares such a suspension it shall, as soon as may bepracticable after any such declaration and at least once a month during the period of suchsuspension, publish a notice in the South China Morning Post and the Hong KongEconomic Times.
No Units in the Fund may be issued or realised during such a period of suspension.
Publication of Net Asset Value
The latest Subscription Price and Unit Realisation Price or Net Asset Value per Unit willbe published at least once every month in the South China Morning Post and the HongKong Economic Times.
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EXPENSES AND CHARGES
Fees Payable by Unitholders
The following fees and charges are payable by Unitholders:
Preliminary Charge
The Manager is entitled to impose a preliminary charge on the issue of units of anySub-Fund of up to 5% of the subscription price of such units.
In relation to the Fund, the Manager imposes a preliminary charge of 5% of the applicableSubscription Price in respect of each Unit. The preliminary charge is payable in additionto the Subscription Price per Unit and will be retained by or paid to the Manager. TheManager may pay to approved distributors a proportion of this preliminary charge, basedon the value of the relevant business introduced to the Fund.
The Manager may, in its absolute discretion, waive or reduce the payment of all or anyportion of the preliminary charge.
Realisation Charge
The Manager is entitled to impose a realisation charge on the redemption of units of anySub-Fund of up to 5% of the unit realisation price of each unit realised. However, inrelation to the Fund, the Manager does not intend to impose any realisation charge.
Conversion Charge
The Manager is entitled to impose a conversion charge on the conversion of units of anySub-Fund of up to 2% of the unit realisation price of each unit converted.
In relation to the Fund, where Unitholders request a conversion of Units, the Managerintends to impose a conversion charge of up to 2% of the Unit Realisation Price of eachUnit converted. The conversion charge will be deducted from the amount reinvested in theNew Class and will be paid to the Manager.
Fees Payable by the Fund
The following fees and charges are payable out of the assets of the Fund:
Fees Payable to the Manager
The Trust Deed provides that the Manager is entitled to a management fee in respect ofeach Sub-Fund it manages, the maximum amount of which is equal to 5% per annum ofthe Net Asset Value of the relevant Sub-Fund.
In relation to the Fund, the Manager charges a management fee of 1.75% per annum ofthe Net Asset Value of the Fund. Any increase in this rate of management fee will only be
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implemented after giving one month’s notice to the affected Unitholders. No increasebeyond the maximum management fee stated in the Trust Deed may occur withoutUnitholder approval. The management fee will be accrued as at each Valuation Day andwill be payable monthly in arrears.
The Manager may appoint investment managers and investment advisers, subject to theprior approval of the SFC, to assist the Manager to manage particular Sub-Funds. TheManager, not the relevant Sub-Fund, will be responsible for the fees of any persons soappointed.
The Manager may share any fees, charges or amounts it is entitled to receive as Managerof a Sub-Fund with any persons who distribute or otherwise procure subscriptions to thatSub-Fund.
Fees Payable to the Trustee
The Trust Deed provides that the Trustee is entitled to a trustee fee in respect of eachSub-Fund, the maximum amount of which is equal to 1% per annum of the Net AssetValue of the relevant Sub-Fund.
In relation to the Fund, the Trustee is paid a fee of US$1,000 per annum. Any increasein this fee will only be implemented after giving three months’ notice (or such shorterperiod of notice as may be approved by the SFC) to the affected Unitholders. No increasebeyond the maximum trustee fee stated in the Trust Deed may occur without Unitholderapproval.
Fees Payable to the Administrator
The Trust Deed provides that the Administrator is entitled to an administration fee inrespect of each Sub-Fund, the maximum amount of which is equal to 1% per annum of theNet Asset Value of the relevant Sub-Fund.
In relation to the Fund, the Administrator is paid a fee of up to 0.125% per annum of theNet Asset Value of the Fund, subject to a minimum fixed fee of up to US$75,000 perannum. Any increase in this rate of fee will only be implemented after giving three months’notice (or such shorter period of notice as may be approved by the SFC) to the affectedUnitholders. No increase beyond the maximum administration fee stated in the TrustDeed may occur without Unitholder approval.
Fees and Charges relating to Access Products
When the Fund buys or sells an Access Product the price payable or receivable, as thecase may be, is net of any commissions and/or fees charged by the AP Issuer. Suchcommissions and fees are therefore an expense borne by the Fund. Any suchcommissions and fees are based on market rates. Please refer to “Tax associated withAccess Products” in the section headed “Taxation” for information regarding the possibletax consequences of the Fund holding Access Products.
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Other Charges and Expenses
Each Sub-Fund will bear the costs set out in the Trust Deed which are directly attributableto it. Where such costs are not directly attributable to a Sub-Fund, each Sub-Fund willbear such costs in proportion to its respective Net Asset Value immediately following thepreceding Valuation Point. Such costs include but are not limited to the costs of investingand realising the investments of the Sub-Fund, the fees and expenses of safekeeping ofthe assets of the Trust, the fees and expenses of the administrators, auditors, valuationcosts, legal fees, the costs incurred in connection with any listing or regulatory approval,the costs of holding meetings of Unitholders and the costs incurred in the preparation andprinting of any explanatory memorandum and preparation and printing of any financialstatements.
Expenses arising out of any advertising or promotional activities in connection with theTrust or a Sub-Fund will not be charged to the Trust or any Sub-Fund.
The costs of establishing this Fund were approximately US$125,000 and were charged tothe Fund. These costs were amortised over the 12 months since inception of the Fund.
Cash Rebates and Soft Commissions
The Manager does not currently receive any cash commissions or other rebates frombrokers or dealers in respect of transactions for the account of any Sub-Fund. However,the Manager and/or any company associated with it reserve the right to effecttransactions by or through the agency of another person (the “Agent”) with whom theManager and/or any company associated with it has such an arrangement.
The Manager and/or any company associated with it further reserves the right to effecttransactions by or through the agency of another person with whom the Manager and/orany company associated with it has an arrangement under which that party will from timeto time provide to or procure for the Manager and/or any company associated with itgoods, services or other benefits (such as research and advisory services, computerhardware associated with specialised software or research services and performancemeasures) the nature of which is such that their provision can reasonably be expected tobenefit the Trust as a whole and may contribute to an improvement in the performance ofthe Trust or of the Manager and/or any company associated with it in providing servicesto the Trust and for which no direct payment is made but instead the Manager and/or anycompany associated with it undertakes to place business with that party. For theavoidance of doubt, such goods and services do not include travel, accommodation,entertainment, general administrative goods or services, general office equipment orpremises, membership fees, employee salaries or direct money payments.
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RISK FACTORS
The nature of the Fund’s investments involves certain risks. An investment in Unitstherefore carries risk and is suitable only for persons which can assume the risk of losingtheir investment. Prospective investors should consider the following factors, as well asthe information in this Explanatory Memorandum, and should consult their financialadvisers before making any investment in the Fund:
Concentration risk
Although there are various investment restrictions with which the Manager has to complywhen managing the investments of the Fund, the concentration of the Fund’s investmentsin the PRC, Hong Kong and Taiwan may subject the Fund’s investments to greatervolatility than portfolios which comprise broad-based global investments.
Credit risk
The Fund is subject to the risk of the inability of any counterparty (including any APIssuer) to perform with respect to any investments or contracts purchased by the Fund.If a counterparty becomes bankrupt or otherwise fails to perform its obligations due tofinancial difficulties, the Fund may experience significant delays in obtaining any recoveryin bankruptcy or other reorganisation proceeding. The Fund is likely to be an unsecuredcreditor in any such proceeding and may obtain only a limited recovery or may obtain norecovery in such circumstances. Where there has been a credit event of any AP Issuer,the Manager will take the necessary steps to find one or more alternative AP Issuers toreplace the Fund’s investment exposure under the Access Products issued by the APIssuer in respect of which a credit event has occurred. However there is no guarantee thatthe Manager will be successful and if the Manager fails to find such alternative APIssuers, as a result of which the Fund is not able to achieve its investment objective, theFund may be terminated.
The Fund faces the risk that an issuer of a security in which the Fund has invested willdefault on its obligations due to insolvency or financial distress, resulting in an adverseeffect on the value of the Fund’s investments.
Please see “Risk of investing in Access Products” below for further discussion regardingthe credit risk of AP Issuers.
Risk of investing in Access Products
Limited liquidity: Any Access Product will be subject to the terms and conditions imposedby its issuer. These terms may lead to delays in implementing the Fund’s investmentstrategy. Access Products typically have no active secondary market and so have limitedliquidity. In order to liquidate investments, the Fund will rely upon the counterparty issuingthe Access Product to quote a price to unwind any part of the Access Product. Accordinglythe Manager’s ability to adjust positions may be restricted which may have an impact onthe performance of the Fund.
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Credit risk: An investment in an Access Product is not an investment directly in theunderlying investments (such as shares) themselves. An investment in the AccessProduct does not entitle the holder to the beneficial interest in the shares nor to make anyclaim against the company issuing the shares.
Access Products constitute direct, general and unsecured contractual obligations of theAP Issuer. Accordingly, the Fund will be subject to credit risk of the issuer of any AccessProduct invested by the Fund and would be exposed to potential losses equal to the fullvalue of the Access Products issued by the AP Issuer if such AP Issuer became bankruptor otherwise failed to perform its obligations due to financial difficulties. Any loss wouldresult in a reduction in the Net Asset Value and impair the ability of the Fund to achieveits investment objective.
However the Manager will mitigate such counterparty risk by putting in place counterpartyrisk management procedures, as described in the sub-section headed “Access Productsand counterparty risk management procedures” in the section entitled “InvestmentObjective, Strategy and Restrictions”.
Risks associated with credit support/collateral: Such counterparty risk managementmeasures may involve risks of their own such as settlement, operational and realisationrisks arising out of credit support. For example, the AP Issuer may default in providingcredit support or collateral, or in case of collateral which comprises listed securities, thesubstantial drop in value of such securities may result in more than 10% of the Fund’s NetAsset Value being exposed to the credit risk of any one AP Issuer on a particular tradingday. In addition, the listing of such securities may be suspended or revoked or the tradingof such securities on the stock exchanges may be suspended, and during the period ofsuspension or upon revocation, it may not be possible to realise the relevant collateralsecurities. The Fund may also incur additional fees, charges and expenses, includingwithout limitation, stamp duty, as a result of the employment of such measures.Accordingly, the value of the collateral realised may not be sufficient to cover the valueof the Access Products secured by such collateral. Investors may therefore suffer asubstantial loss if an AP Issuer becomes bankrupt or otherwise fails to perform itsobligations due to financial difficulties, notwithstanding the measures put in place tomitigate the credit risk of the AP Issuer.
Valuation risk: Access Products, being a type of over-the-counter derivatives, aregenerally subject to the risk of differing valuations arising out of different permittedvaluation methods. Many derivatives, in particular over-the-counter derivatives, arecomplex and often valued subjectively and the valuation can only be provided by a limitednumber of market professionals which often are acting as counterparties to thetransaction to be valued. Inaccurate valuations of Access Products can result inincreased cash payment requirements to counterparties or a loss of value to the Fund.
Volatility risk: Access Products are linked to the performance of the underlying A Sharesor basket of A Shares. The value of an Access Product is therefore subject to marketfluctuations of the underlying security and the underlying security’s currency ofdenomination. In times of general market volatility, the limited liquidity of Access Productscan further increase the volatility of their value, which may in turn adversely affect thevalue of the Fund.
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Cost of Access Products risk: The availability of Access Products is limited by applicablePRC regulations, and as a result the cost of investing in Access Products is subject tomarket supply and demand forces. Where the market supply is low relative to marketdemand, acquiring further Access Products may involve a higher cost or a premium,which may adversely affect the Fund’s overall performance. However, in constructing theFund’s portfolio and deciding whether to use Access Products to gain exposure to acertain company, the Sub-Manager will take into account all relevant considerations,including the cost involved in investing in Access Products.
Limitations posed by QFII restrictions: Under the Investment Regulations, QFIIs aresubject to compliance with certain investment restrictions. In particular, (i) shares held bya QFII in a listed PRC company should not exceed in aggregate 10% of the totaloutstanding share capital of the company (regardless of the fact that the QFII may holdits interest on behalf of a number of different ultimate clients); and (ii) the aggregatedholdings of all QFIIs in any listed PRC company should not exceed 20% of the totaloutstanding share capital of that company. These restrictions may restrict the ability ofthe AP Issuer to issue, and therefore the ability of the Fund to purchase, Access Productslinked to certain A Shares.
Repatriation risk: Repatriation of capital is subject to SAFE’s approval and there arerestrictions imposed on the repatriation amount and interval. Access Products are issuedoutside the PRC and restrictions on or suspension of the ability of QFIIs in general torepatriate US dollars should not affect the operation of the Fund. However, where the APIssuer is also a QFII or the AP Issuer hedges the Access Product with an affiliate whichis a QFII, the inability to repatriate US dollars may give rise to liquidity problems for thatAP Issuer, which may impact the Fund if that AP Issuer is unable to perform its obligationsunder the relevant Access Product.
QFII system risk: The QFII system is relatively new. It is not possible to predict the futuredevelopment of the QFII system and the CSRC may impose restrictions on the operationsof QFIIs. Such restrictions may adversely affect the ability of third parties to issue AccessProducts and therefore the capacity of the Manager to make investments in AccessProducts. The Fund may not be able to fully implement or pursue its investment strategydue to such restrictions and, in the worse case scenario, may have to be terminated.
Contagion effect: AP Issuers are predominantly financial institutions and this, in itself,may pose a concentration risk. Any adverse event affecting the performance of aparticular AP Issuer may also have a negative effect on the performance of other APIssuers due to contagion effect.
Investment risk
Investors should be aware that investment in the Fund is subject to normal marketfluctuations and other risks inherent in the underlying assets into which the Fund mayinvest. There can be no assurance that any appreciation in value of investments willoccur. There is no assurance that the investment objectives of the Fund will actually beachieved, notwithstanding the efforts of the Manager since changes in political, financial,economic, social and/or legal conditions are not within the control of the Manager.
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The Manager will invest the assets of the Fund in investments which it considers willachieve the investment objective of the Fund. Whilst it is the intention of the Manager toimplement strategies which are designed to achieve such objective, no guarantee orrepresentation is made that such strategies will be successful. The Manager may not besuccessful in selecting the best-performing securities or investment techniques.
Accordingly, there is a risk that investors may not recoup the original amount invested inthe Fund or may lose a substantial part or all of their initial investment.
Investment strategy risk
In constructing the Fund’s portfolio, the Manager selects securities which had positive orabove benchmark performance during the most recent period over which the relevantbenchmark index lost more than 30% of its value from peak to trough. However, there canbe no assurance that the securities selected will continue to out-perform the relevantbenchmark index on an on-going basis through different economic cycles. Pastperformance is not indicative of future performance.
Currency risk
The Fund holds investments denominated in currencies different to the denomination ofthe Fund meaning the Fund’s assets are at risk to adverse movements in the foreigncurrency rates. The value of the Fund’s assets, and therefore the Net Asset Value of theUnits, will be affected by, amongst other factors, the relative exchange rates of the USDollar and the currency in which the assets of the Fund are denominated.
The Manager does not intend to hedge any foreign exchange risk in respect of the Fund.
Emerging market risk
Investing in emerging markets such as the PRC and Taiwan subjects the Fund to a higherlevel of market risk than investments in a developed country. This is due to, among otherthings, greater market volatility, lower trading volume, political and economic instability,settlement risk, greater risk of market shut down and more governmental limitations onforeign investment than those typically found in developed markets.
Equity risk
Investing in equity securities may offer a higher rate of return than in short term andlonger term debt securities. However, the risks associated with investing in equitysecurities may also be higher, because the investment performance of equity securitiesdepends upon factors which are difficult to predict. Such factors include the possibility ofsudden or prolonged market declines and risks associated with individual companies. Thefundamental risk associated with any equity portfolio is the risk that the value of theinvestments it holds might decrease in value.
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Lack of majority control over underlying companies
The Fund’s holding of ordinary shares of a single class (other than Government and otherpublic securities) may not exceed 10% of the nominal amount of the ordinary shares ofthe same class in issue. All investments made or to be made in respect of the Fund willtherefore be passive in nature and the Manager will not be able to exert any control overthe relevant underlying companies.
Legal and compliance risk
Domestic and/or international laws or regulations may change in a way that adverselyaffects the Fund. Differences in laws between countries or jurisdictions may make itdifficult for the Trustee or Manager to enforce legal agreements entered into in respect ofthe Fund. The Trustee and the Manager reserve the right to take steps to limit or preventany adverse effects from changes to laws or their interpretation, including alteringinvestments of the Fund or restructuring the Fund.
Market risk
The Net Asset Value of the Units will change as a result of the fluctuations in the marketvalue of the investments of the Fund. As a result, the price of Units may go down as wellas up.
Risks associated with PRC taxation
PRC withholding tax has been enforced on payment of dividends and interest to QFIIsfrom PRC listed companies at the rate of 10%. However, PRC tax authorities havegenerally not sought to collect such withholding tax to date on capital gains realised byQFIIs on selling of A Shares although withholding tax is legally applicable to such capitalgains.
There is a risk the PRC tax authorities would seek to collect this tax on capital gainsrealised by QFIIs on sale of A Shares, on a retrospective basis, without giving any priorwarning. If such tax is collected, the tax liability will be payable by the QFII. In such event,under the terms of the Access Products or as otherwise agreed between the Manager andan AP Issuer, any tax levied on and payable by the QFII in the PRC may be passed onto and borne by the Fund to the extent such tax is indirectly attributable to the Fundthrough its holdings of Access Products. In addition, when the Manager sells an AccessProduct, the sale price may take into account the QFII’s tax liability. In such circumstancethe Net Asset Value per Unit and the value of Access Products held by the Fund may bereduced against the value of the underlying A Shares to which the Access Product islinked because, ultimately, the PRC tax liability, if any, will be borne by the Fund.
Certain AP Issuers have indicated their intention to withhold an amount representing thePRC tax in respect of any capital gains which would be payable on an actual sale of thenotional underlying A share of Access Products. Any amounts withheld may be retainedfor an indefinite period, pending clarification of the tax rules by the PRC authorities. In theevent that the PRC authorities clarify the application of PRC tax laws to QFII’s dealings
30
in A Shares and the amount withheld is greater than the actual capital gains tax liability,the amount withheld (or the excess withholding) will be returned to the Fund. To the extentthat the amount withheld is insufficient to settle the tax liability in full, the remainingliability may be met out of the assets of the Fund.
Depending on the terms of the Access Product, any amounts withheld will typically beretained for a period of at least 5 to 7 years (pending clarification of the tax rules by thePRC authorities), or indefinitely. Some AP Issuers may agree that, at the end of a certainnumber of years, if tax on capital gains has not been enforced against it (or its affiliate),or the amount withheld is greater than the actual capital gains tax liability, the amountwithheld (or the excess withholding) will be returned to the Fund (and in some casesinterest accrued on amounts withheld may be payable to the Fund), although the Fund willstill remain liable for any future tax liability attributable to it. However, even for suchAccess Products, if the Fund is terminated before the expiry of the specified period, thennotwithstanding such terms the Fund will not recover the amounts withheld. Other APIssuers may choose to retain amounts withheld indefinitely, regardless of whether, andthe rate at which, tax on capital gains is chargeable. Still other AP Issuers may imposefurther or different terms in relation to amounts withheld.
The Fund will establish a reserve for any potential PRC tax liabilities which may beincurred when a gain is crystallised if, in the opinion of the Manager, a reserve iswarranted. It is expected that initially, an amount equal to 10% of any capital gains,realised or unrealised, will be reserved to the extent that such amount is not otherwisewithheld by the relevant AP Issuer. However, the actual percentage applicable from timeto time will vary in accordance with market practice. Any such reserve will have the effectof reducing the Net Asset Value per Unit by the pro rata amount of estimated tax liability.In the event that the Fund is required to make payments reflecting tax liabilities for whichno reserves or insufficient reserves have been taken, the Net Asset Value per Unit maydecrease substantially, without notice, by the pro rata amount of the unreserved taxexposure. The amount of any reserve established by the Fund will be disclosed in theFund’s annual and semi-annual reports.
Please see also “Tax associated with Access Products” in the section headed “Taxation”below.
There can be no assurance that the existing tax laws regulations and practice will not berevised or amended or that new tax laws may be promulgated in the future. Any of thesechanges may reduce the income from, and/or value of, the Units.
Risks relating to the PRC
Apart from the usual investment risk, investing in the PRC is also subject to certain otherinherent risks and uncertainties. In addition, investors should note that although the Fundwill not be directly investing in A Shares, it will nevertheless be exposed to the riskassociated with investments in A Shares by virtue of its investments in Access Products.
Accounting and reporting standards: PRC companies are required to follow PRCaccounting standards and practice which follow international accounting standards to acertain extent. However, the accounting, auditing and financial reporting standards andpractices applicable to PRC companies may be less rigorous, and there may be
31
significant differences between financial statements prepared in accordance with thePRC accounting standards and practice and those prepared in accordance withinternational accounting standards. As the disclosure and regulatory standards in thePRC are less stringent than in more developed markets, there might be substantially lesspublicly available information about issuers in the PRC on which the Manager can baseinvestment decisions.
Government control of currency conversion and future movements in exchange rates:Since 1994, the conversion of RMB into US Dollars has been based on rates set by thePeople’s Bank of China, which are set daily based on the previous day’s PRC interbankforeign exchange market rate. On 21 July, 2005, the PRC government introduced amanaged floating exchange rate system to allow the value of RMB to fluctuate within aregulated band based on market supply and demand and by reference to a basket ofcurrencies. There can be no assurance that the RMB exchange rate will not fluctuatewidely against the US Dollar or any other foreign currency in the future. Any appreciationof RMB will increase the value of any dividends that the Fund may receive from its PRCinvestments and the Net Asset Value, which will be quoted in US Dollars, and vice versa.
Developing Legal and regulatory system: The PRC legal system is a codified legal systemcomprising written statutes, regulations, circulars, administrative directives, internalguidelines and their interpretation by the Supreme People’s Court. Since 1979, the PRCgovernment has been developing a comprehensive system of commercial laws, andconsiderable progress has been made in introducing laws and regulations dealing witheconomic matters such as foreign investment, corporate organisation and governance,commerce taxation and trade. However, experience in the implementation, interpretationand enforcement of the laws and regulations and of commercial contracts, undertakingsand commitments entered into is also limited. In particular, the Investment Regulations,which regulate investments by QFIIs in the PRC and the repatriation and currencyconversion, is relatively untested and there is no certainty as to how they will be applied.CSRC and SAFE have been given wide discretions in the Investment Regulations andthere is no precedent or certainty as to how these discretions might be exercised. Therecan be no assurance that revisions to the Investment Regulations will not prejudice QFIIsor Access Products issued by QFIIs, or that the QFII investment quotas, which are subjectto review from time to time by CSRC and SAFE, will not be removed substantially orentirely.
Nationalisation and expropriation: After the formation of the Chinese socialist state in1949, the Chinese government renounced various debt obligations and nationalisedprivate assets without providing any form of compensation. In recent years, PRCgovernment has adopted a more friendly attitude towards foreign investment in the PRC.However, there can be no assurance that the PRC government will not take similaractions in the future.
Political and economic considerations: Prior to 1978, the PRC economy was centrallyplanned, and the PRC government was responsible for formulating five-year plans for thecountry which set forth economic targets. However, since 1978, the PRC hasimplemented a series of economic reform programmes emphasising the utilisation ofmarket forces in the development of the PRC’s economy and a high level of managementautonomy. The economy of the PRC has experienced significant growth in the past twentyyears, but growth has been uneven both geographically and among various sectors of the
32
economy. Economic growth has also been accompanied by periods of high inflation.However, there can be no assurance that the PRC government will continue to pursuesuch economic policies or, if it does, that those policies will continue to be successful.The PRC government may from time to time adopt corrective measures to control inflationand restrain the rate of economic growth, which may also have an adverse impact on thecapital growth and performance of the Fund. Further, political changes, social instabilityand adverse diplomatic developments in the PRC could result in the imposition ofadditional government restrictions including the expropriation of assets, confiscatorytaxes or nationalisation of some or all of the investments held by the underlying securitiesin which the Fund may invest. The above factors could negatively affect the value of theinvestments held by the Fund and consequently the Net Asset Value of the Units.
PRC’s accession to the World Trade Organisation: With PRC’s accession to the WorldTrade Organisation on 11 December 2001 and the gradual opening of the PRC market,companies in which the Fund invests in the PRC may face increased competition as thePRC is required to significantly reduce the trade barriers for imports that have historicallyexisted and that currently exist in the PRC, such as reducing restrictions on trading forcertain kinds of products of foreign companies, lifting prohibitions, quantitativerestrictions or other measures maintained against imports and significantly reducingtariffs. Any present or future increase in foreign competition may have an adverse effecton the Fund’s investments in the PRC.
Securities Markets: The stock exchanges and markets in the PRC have experiencedsignificant fluctuations in the prices of securities, and no assurance can be given thatsuch volatility will not continue in the future. The PRC’s securities markets are undergoinga period of growth and change which may lead to difficulties in the settlement andrecording of transactions and in interpreting and applying the relevant regulations. ThePRC’s regulatory authorities have only recently been given the power and duty to prohibitfraudulent and unfair trade practices relating to securities markets, including insidertrading and market abuse, and to regulate substantial acquisitions of shares andtakeovers of companies.
Risks relating to Taiwan
Foreign investment regulations: Foreign investment made directly into Taiwan ispermitted under the “Regulations Governing Investment in Securities by OverseasChinese and Foreign Nationals” and relevant foreign exchange settlement procedures(the “Regulations”). Foreign institutional investors are required to register with the TaiwanStock Exchange and obtain an investment ID as Foreign Institutional Investors (“FINI”).Investment by a FINI is subject to various restrictions and requirements which may limitthe investments which can be made in respect of the Fund.
Repatriation of funds: The Regulations and relevant foreign exchange settlementprocedures in Taiwan may restrict or delay the repatriation of monies out of Taiwan whichmay impact on the Fund’s ability to meet redemption requests.
Political risks: The Government of the PRC claims to be the only legitimate governmentfor the whole of China. There can be no guarantee that the PRC government will not useforcible means to gain control of Taiwan. Any such action could negatively affect the valueof the investments held by the Fund and consequently the Net Asset Value of the Units.
33
Suspension risk
Under the terms of the Trust Deed, in certain circumstances, the Manager may suspendthe calculation of the Net Asset Value of Units in the Fund as well as suspendsubscriptions and realisations for Units in the Fund. Investors may not be able tosubscribe or realise when such a suspension is invoked. Investors may not be able toobtain a market value of their investment if the unit price is suspended.
Termination of the Trust and/or the Fund
Investor should refer to “Termination of the Trust or any Sub-Fund” in the section headed“General” for circumstances in which the Trust and/or the Fund may be terminated.
34
TAXATION
Prospective Unitholders consult their professional advisers on the consequences to themof acquiring, holding, redeeming, transferring or selling Units under the relevant laws ofthe jurisdictions to which they are subject, including the tax consequences and anyexchange control requirements. These consequences, including the availability of, andthe value of, tax relief to investors, will vary with the law and practice of the investors’country of citizenship, residence, domicile or incorporation and their personalcircumstances. The following statements regarding taxation are based on advice receivedby the Manager regarding the law and practice in force in Hong Kong, the PRC andBermuda at the date of this Explanatory Memorandum.
Bermuda Taxation
There is, at present, no direct taxation in Bermuda on interest, dividends, and gainsreceived by or payable by the Trust or any Sub-Fund and, therefore, such income will bereceived by the Unitholders free of all Bermuda taxes.
Hong Kong Taxation
During such period as the Fund is authorised by the SFC pursuant to Section 104 of theSFO, under present law and practice:
(a) The Fund is not expected to be subject to Hong Kong tax in respect of any of itsinvestment activities;
(b) No tax will be payable by Unitholders in Hong Kong in respect of incomedistributions from the Fund or in respect of any capital gains arising on a sale,realisation or other disposal of Units, except that Hong Kong profits tax may arisewhere such transactions form part of a trade, profession or business carried on inHong Kong.
PRC Taxation
Corporate Income Tax (“CIT”)
The Manager and the Trustee intend to manage and operate the Fund in such a mannerthat the Fund should not be treated as a tax resident enterprise of the PRC or a non-taxresident enterprise with an establishment or place of business in the PRC for CITpurposes. As such, it is expected that the Fund should not be subject to CIT on anassessment basis and would only be subject to CIT on a withholding basis to the extentthe Fund directly derives PRC sourced income.
Tax associated with Access Products
The Fund obtains an economic exposure to A Shares through the Manager acquiring ordisposing Access Products as if these were the relevant A Shares. AP Issuers mayimplement hedging arrangements on the Access Products through one or more QFIIs,which would acquire or dispose of the underlying A Shares to which the relevant AccessProduct is linked. As under PRC law, the relevant QFII is the legal owners of the A Shares,
35
any PRC taxes arising from the QFIIs’ investments in the underlying A Shares would belegally borne by the QFII directly. Given that any PRC tax liabilities accruing to the QFIIin respect of the A Shares to which the Access Products are linked arise because of thetrading activities of the Fund, such tax liabilities may ultimately be recharged to and beborne by the Fund.
Under current PRC tax law, there are no specific rules or regulations governing thetaxation of QFIIs (including taxation of dividends paid and gains realised by a QFII on thedisposal of A Shares). The tax treatment for a QFII investing in A Shares is governed bythe general taxing provisions of the Corporate Income Tax Law (“CIT Law”). Under the CITLaw, a QFII is subject to 10% PRC withholding tax on interest income, dividends andcapital gains from PRC listed securities. This is on the basis that the QFII would bemanaged and operated such that it would not be considered a tax resident enterprise inthe PRC and it would not be considered to have a permanent establishment in the PRC.Any double tax treaty between the PRC and the country of the QFII may further reducethe 10% withholding tax rate.
To date, PRC withholding tax has been enforced on dividend and interest payments fromPRC listed companies to QFIIs. PRC withholding tax has not yet been enforced on anycapital gains realised by QFIIs from dealing in A Shares. However, such gains aretechnically subject to the 10% withholding tax under PRC tax law and it is anticipated thatQFIIs may become liable to PRC withholding tax on any such gains in the future, possiblyretrospectively.
There is a risk the PRC tax authorities would seek to collect this tax on capital gainsrealised by QFIIs on sale of A Shares, on a retrospective basis, without giving any priorwarning. If such tax is collected, the tax liability will be payable by the QFII. In such event,under the terms of the Access Products or as otherwise agreed between the Manager andan AP Issuer, any tax levied on and payable by the QFII in the PRC may be passed onto and borne by the Fund to the extent such tax is indirectly attributable to the Fundthrough its holdings of Access Products. In addition, when the Manager sells an AccessProduct, the sale price may take into account the QFII’s tax liability. In such circumstancethe Net Asset Value per Unit and the value of Access Products held by the Fund may bereduced against the value of the underlying A Shares to which the Access Product islinked because, ultimately, the PRC tax liability, if any, will be borne by the Fund.
Certain AP Issuers have indicated that they intend withholding an amount representingthe PRC tax in respect of any capital gains which would be payable on an actual sale ofthe notional underlying A Shares of any Access Product. Such withholding by AP Issuerswill be reflected in the bid prices they quote for their Access Products and, therefore, inthe Net Asset Value of the Fund on any Valuation Day. Any amounts withheld may beretained indefinitely, pending clarification of the tax rules by the PRC authorities.
Depending on the terms of the Access Product, any amounts withheld will typically beretained for a period of at least 5 to 7 years (pending clarification of the tax rules by thePRC authorities), or indefinitely. Some AP Issuers may agree that, at the end of a certainnumber of years, if tax on capital gains has not been enforced against it (or its affiliate),or the amount withheld is greater than the actual capital gains tax liability, the amountwithheld (or the excess withholding) will be returned to the Fund (and in some casesinterest accrued on amounts withheld may be payable to the Fund), although the Fund will
36
still remain liable for any future tax liability attributable to it. However, even for suchAccess Products, if the Fund is terminated before the expiry of the specified period, thennotwithstanding such terms the Fund will not recover the amounts withheld. Other APIssuers may choose to retain amounts withheld indefinitely, regardless of whether, andthe rate at which, tax on capital gains is chargeable. Still other AP Issuers may imposefurther or different terms in relation to amounts withheld.
The Fund will establish a reserve for any potential PRC tax liabilities which may beincurred when a gain is crystallised if, in the opinion of the Manager, a reserve iswarranted. It is expected that initially, an amount equal to 10% of any capital gains,realised or unrealised, will be reserved to the extent that such amount is not otherwisewithheld by the relevant AP Issuer. However, the actual percentage applicable from timeto time will vary in accordance with market practice. Any such reserve will have the effectof reducing the Net Asset Value per Unit by the pro rata amount of estimated tax liability.In the event that the Fund is required to make payments reflecting tax liabilities for whichno reserves or insufficient reserves have been taken, the Net Asset Value per Unit maydecrease substantially, without notice, by the pro rata amount of the unreserved taxexposure. The amount of any reserve established by the Fund will be disclosed in theFund’s annual and semi-annual reports.
Taiwan Taxation
A Foreign Institutional Investor, such as the Fund, is subject to withholding tax on cash,stock dividends and interest at the rate of 20%. Taiwan does not currently taxnon-residents on capital gains derived from securities transactions. Securitiestransaction tax at the rate of 0.3% is payable on the sale of securities.
37
GENERAL
Reports and Accounts
The Trust’s financial year end is on 31 December in each year. An annual report withaudited accounts in US Dollars will be prepared for each financial year. The first accountsfor the Fund covered the period to 31 December 2010. Unaudited semi-annual reports willalso be prepared. Such reports will contain a statement of the Net Asset Value of the Fundand of the investments comprising its portfolio.
Annual and semi-annual reports and financial statements will be available in English only.
Once financial reports are issued, Unitholders will be notified of where such reports, inprinted and electronic forms, can be obtained. Such notices will be sent to Unitholders assoon as practicable and in any event within four months after the end of the financial yearin the case of annual reports and audited financial statements, and within two monthsafter 30 June in each year in the case of unaudited semi-annual reports. Once issued theannual and semi-annual reports will be available in softcopy from the websitewww.funds.citi.com and in hardcopy for inspection at the Manager’s office free of chargeduring normal working hours.
Any changes to the mode of distribution of financial reports will be implemented only afterproviding Unitholders with at least one month’s prior notice.
Distribution Policy
It is not envisaged that any income or gain derived from investments of the Fund will bedistributed.
Meetings of Unitholders
Meetings of Unitholders may be convened by the Manager or the Trustee. Unitholdersholding 10% or more in value of the Units in issue may require a meeting to be convened.Unitholders will be given not less than 21 days’ notice of any meeting.
The quorum for all meetings is Unitholders present in person or by proxy representing10% of the Units for the time being in issue except for the purpose of passing anextraordinary resolution. The quorum for passing an extraordinary resolution isUnitholders present in person or by proxy representing 25% or more of the Units in issue(“Extraordinary Resolution”). In the case of an adjourned meeting of which separatenotice will be given, such Unitholders as are present in person or by proxy will form aquorum. Every individual Unitholder present in person, by proxy or by representative hasone vote for every Unit of which he is the holder. In the case of joint Unitholders the seniorof those who tenders a vote (in person or by proxy) will be accepted and seniority isdetermined by the order in which the names appear on the Register of Unitholders.
The Trust Deed contains provisions for the holding of separate meetings of Unitholdersholding Units of different classes where only the interests of Unitholders of such class areaffected.
38
Transfer of Units
Units may be transferred by an instrument in writing in common form signed by (or, in thecase of a body corporate, signed on behalf of or sealed by) the transferor and thetransferee. The transferor will be deemed to remain the holder of the Units transferreduntil the name of the transferee is entered in the register of Unitholders in respect of suchUnits.
The Manager or the Trustee may refuse to enter the name of a transferee in the Registeror recognise a transfer of any Units if either of them believe that such will result in or islikely to result in the contravention of any applicable laws or requirements of any country,any governmental authority or any stock exchange on which such Units are listed.
Trust Deed
The Trust was established under the laws of Bermuda by a Trust Deed dated 17 August2007 made between the Manager and the Trustee with an initial trust fund of US$100.
In accordance with the terms of the Trust Deed, the Manager has full power to deal in anyway with or dispose of the assets of any Fund provided that the Manager shall comply atall times with the investment objectives and policies and investment restrictions andguidelines contained in the constitutive documents of the Trust and this ExplanatoryMemorandum.
The Trust Deed contains provisions for the indemnification of the parties and theirexculpation from liability in certain circumstances.
Under the Trust Deed, the Trustee may remove the Manager if: (a) the Manager goes intoliquidation, (b) the Trustee is of the opinion that a change in manager of the Trust isdesirable in the interests of the Unitholders and (c) the Unitholders representing not lessthan 50% by value of all Units outstanding deliver a notice to the Trustee to do so. TheManager may also retire on a voluntary basis under certain other circumstances specifiedin the Trust Deed.
Unitholders and intending applicants are advised to consult the terms of the Trust Deed.
Auditors
The Manager, shall from time to time appoint to be the auditors of the Trust an accountantor accountants being qualified to act as an auditor or auditors (the “Auditors”). Any suchAuditors so appointed will be independent of the Trustee and the Manager. The Auditorsmay voluntarily retire by notice in writing to the Manager, upon which the Manager shallappoint another qualified auditor or auditors in their stead.
KPMG has been appointed by the Manager as the auditors of the Trust.
Termination of the Trust or any Sub-Fund
The Trust shall continue for a period of 100 years from the date of the Trust Deed or untilit is terminated in one of the ways set out below.
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The Trust may be terminated by the Trustee in the following events (provided that theTrustee shall certify that in its opinion, the proposed termination is in the interest ofUnitholders) namely if (a) within 30 days of the Manager leaving office, no new manageris appointed or (b) if in the opinion of the Trustee the Manager is incapable of performingor fails to perform its duties satisfactorily or (c) if the Manager goes into liquidation or (d)if the Trustee desires to retire and the Manager fails to find a new trustee qualified to actas trustee in the place of the retiring Trustee. The Trustee may also terminate the Trustif any law is passed which renders it illegal or in the opinion of the Trustee impracticableor inadvisable to continue the Trust.
The Trust or any Sub-Fund may be terminated by the Manager (a) if on any date, inrelation to any Sub-Fund, the aggregate Net Asset Value of the Units outstanding inrespect of such Fund is less than US$5 million or (b) in the case of a Sub-Fund the soleinvestment objective of which is to track the performance of an index or rules basedinvestment strategy, the relevant index or strategy becomes unavailable for any reasonwhatsoever and no suitable replacement index or strategy can be identified by theManager, such that the investment objective of the relevant Sub-Fund can no longer beachieved in the sole determination of the Manager or (c) if any law is passed whichrenders it illegal or in the opinion of the Manager impracticable or inadvisable to continuethe Trust or such Sub-Fund. At least one month’s written notice of any termination will begiven to Unitholders. Further, at any time the Unitholders of any Sub-Fund may authorisetermination of such Sub-Fund by Extraordinary Resolution.
Upon termination of the Trust or a Sub-Fund, the Trustee will arrange for the sale of allinvestments remaining as part of the assets and discharging all liabilities of the Trust orthe relevant Sub-Fund (as the case may be). Thereafter, the Trustee will distribute to theUnitholders, in proportion to the Units held by them, any net cash proceeds derived fromthe realisation of the assets and available for the purposes of such distribution, providedthat the Trustee may retain out of any moneys as part of the assets full provisions for allcosts, debts, liabilities, charges, expenses, claims and demands properly incurred ormade by the Trustee. Please refer to the Trust Deed for further details.
Documents available for inspection
Copies of the Trust Deed, this Explanatory Memorandum and the latest annual andsemi-annual reports (if any) are available for inspection free of charge at any time duringnormal business hours on any day (excluding Saturdays, Sundays and public holidays) atthe offices of the Trustee in Bermuda and the Manager at 50/F Citibank Tower, CitibankPlaza, 3 Garden Road, Central, Hong Kong. Copies of the Trust Deed can be purchasedfrom the Manager at a nominal amount.
Anti-Money Laundering Regulations
As part of the Trustee’s and the Manager’s responsibility for the prevention of moneylaundering, the Trustee and/or the Manager may require a detailed verification of aninvestor’s identity and the source of payment of application monies. Depending on thecircumstances of each application, a detailed verification might not be required where:
(a) the applicant makes the payment from an account held in the applicant’s name ata recognised financial institution; or
40
(b) the application is made through a recognised intermediary.
These exceptions will only apply if the financial institution or intermediary referred toabove has its head office or is organised within a country that is a member of the FinancialAction Task Force or recognised as having sufficient anti-money laundering regulations.
Each of the Trustee and the Manager reserves the right to request such information as isnecessary to verify the identity of an applicant and the source of the payment. In the eventof delay or failure by the applicant to produce any information required for verificationpurposes, the Trustee and/or the Manager may refuse to accept the application and thesubscription monies relating thereto.
The Trustee and the Manager also reserve the right to refuse to make any realisationpayment to a Unitholder if the Trustee or the Manager suspects or are advised that thepayment of realisation proceeds to such Unitholder might result in a breach of applicableanti-money laundering or other laws or regulations by any person in any relevantjurisdiction, or if such refusal is considered necessary or appropriate to ensure thecompliance by the Fund or the Trustee or the Manager with any such laws or regulationsin any applicable jurisdiction.
If any person in Bermuda involved in the business of the Trust or any Fund (including theTrustee) has a suspicion or belief that any person is involved in money-launderingactivities, that person is required to report such suspicion to a police officer pursuant tothe Proceeds of Crime Act 1997 of Bermuda.
Conflicts of Interest
The Manager and the Trustee may from time to time act as trustee, administrator,registrar, manager, custodian, investment manager or investment adviser, representativeor otherwise as may be required from time to time in relation to, or be otherwise involvedin or with, other funds and clients which have similar investment objectives to those of theFund. It is, therefore, possible that any of them may, in the course of business, havepotential conflicts of interest with the Trust. Each will, at all times, have regard in suchevent to its obligations to the Trust and will endeavour to ensure that such conflicts areresolved fairly. In any event, the Manager will ensure that all investment opportunities willbe fairly allocated.
It is expected that transactions for the Fund may be carried out with or through ConnectedPersons of the Manager. There is no limit on the volume of transactions which may beconducted with or through such Connected Persons but the Manager will ensure that alltransactions are conducted on an arm’s length basis and are consistent with bestexecution standards. The fees or commissions payable to any such Connected Personswill not be greater than those which are payable at the prevailing market rate for suchtransactions.
Regulation of the Trust in Bermuda
Permission under the Exchange Control Act 1972 (and regulations made thereunder) hasbeen received from the Bermuda Monetary Authority (the “Authority”) for the issuance ofthe Units.
41
Approvals, permissions or authorisations received from the Authority do not constitute aguarantee by the Authority as to the performance or creditworthiness of the Trust.Furthermore, in giving such approvals, permissions or authorisations, the Authority willnot be liable for the performance of the Trust or the default of its operators or serviceproviders or for the correctness of any opinions or statements expressed herein. A copyof this document has been filed as a prospectus with the Registrar of Companies inBermuda (the “Companies Registrar”) pursuant to the Companies Act 1981 of Bermuda.It must be distinctly understood that in filing this document with the Companies Registrar,the Companies Registrar accepts no responsibility for the financial soundness of anyproposal or for the correctness of any of the statements made or opinions expressed withregard to them.
The Trust is authorised as a standard fund pursuant to The Investment Funds Act 2006.
42
1
1st Proof 06/08/2011
31010426 (Citi) (S02)
產 品 資 料 概 要花旗投資信託基金（百慕達）
中國風雲基金
2011年6月
發行人：花旗集團基金管理有限公司
‧ 本概要向 閣下提供有關中國風雲基金（「本基金」）的重要資料。
‧ 本概要是本基金註釋備忘錄的一部分。
‧ 閣下請勿單憑本概要作投資於本產品的決定。
資料便覽
經理人： 花旗集團基金管理有限公司
受託人、名冊保管人及託管人： HSBC Institutional Trust Services (Bermuda)Limited
管理人及副託管人： 匯豐機構信託服務（亞洲）有限公司
交易頻率： 每日
基礎貨幣： 美元
派息政策： 無
本基金的財政年度終結日： 12月31日
最低投資額： 首次3,000美元，後續1,000美元（少於100個單位的申請將不獲接納）
本基金是甚麼產品？
本基金是花旗投資信託基金（百慕達）的子基金，花旗投資信託基金（百慕達）是根據百慕達法律而成立的傘子基金。
本基金透過將投資組合約60%投資於多項連接產品（為金融衍生工具）而間接投資於A股。本基金不會直接投資於A股。
本基金為屬於證監會單位信託及互惠基金守則第8.9章下的可廣泛投資於金融衍生工具的基金。
目標及投資策略
目標
為單位持有人提供以投資於香港聯交所、上海證券交易所、深圳證券交易所或台灣證券交易所（各為合資格交易所）上市的大型或中型市值公司的證券獲取回報的機會。
中國風雲基金
2
策略
本基金的投資策略旨在投資於最近期錄得正面或超逾基準表現而相關基準指數於該段期間內的價值從最高位至最低位損失逾30%（「崩盤期」）的上市股票。本基金的選股策略旨在識別不僅在極端惡劣的過往市況中表現良好，而且具有潛力在市場好轉時成為表現最佳的股票之一的股票。
本基金大量運用金融衍生工具（即連接產品）作投資用途。
本基金的投資組合將按以下概約比例投資：中國佔60%（透過連接產品投資於A股 –本基金不會直接投資於A股）、香港佔30%及台灣佔10%。然而，投資者應注意，投資組合中的實際股份、股份的絕對數量及／或各地區所佔比例可於任何調整日期作出調整，以便應對市場流動性問題、投資可行性問題及／或法律或規管限制。至少70%的資產淨值將直接或間接包括於合資格交易所上市的股票。在正常市場情況下，投資組合一般按季度作出調整，在極端或不尋常市場情況下，當至少一項基準進入一個新的崩盤期時，投資組合亦會作出調整。
由於直接投資於A股受適用的中國法律限制，本基金將透過投資於連接產品參與A股市場。連接產品為金融衍生工具的一種形式，就此發行人有責任向本基金支付相等於持有相關A股或一籃子A股的經濟回報（扣除費用、收費及間接成本），而不會提供相關A股的任何衡平法權利或權益。
如經理人認為合適，本基金的投資組合可包含現金、以現金為基礎的工具及固定收益工具。
經理人須確保本基金就任何單一交易對手承受的風險不超過本基金資產淨值的10%。如於任何連接產品發行人的總投資額在每個交易日結束時超過10%，相關連接產品發行人或其聯屬抵押品提供者需促使交付抵押品予本基金，以將本基金承受相關連接產品發行人交易對手風險的淨額限制於本基金資產淨值的10%。
本基金不會投資於連接產品以外的任何結構性產品及金融衍生工具。除為本基金的利益而提供抵押品的情況下可使用證券及借貸安排外，本基金不會訂立任何回購協議、股份借貸交易或任何其他類似場外交易。
抵押品
為將本基金就每個連接產品發行人承受的交易對手風險淨額限制於本基金資產淨值的10%，現金或恆生指數及／或恆生中國企業指數成份股的股份可作為抵押品，並每日按市價計值，而這可能因應當時市況而有所變動，惟抵押品將以上市股本證券的方式提供，及抵押品將不包括任何結構性產品。
倘本基金所持的所有抵押品總值於任何時間佔其資產淨值30%或以上，所持抵押品的說明將於本基金有關期間的年報及中期報告內披露。
中國風雲基金
3
連接產品發行人
經理人根據多項因素篩選連接產品發行人。各連接產品發行人須符合以下標準：(i)其須為屬根據中國法規獲認可的合格境外機構投資者（「QFII」）或QFII的聯屬公司；(ii)其須為屬於以下類別的具規模金融機構：(A)持續受到的審慎監管及監察獲證監會接納且最少擁有1.5億港元或其等值外幣繳足資本的銀行實體，或(B)經考慮如該實體或其所屬集團的監管狀況及該實體的資產淨值後，證監會按個別情況認為屬可予接納的實體；及(iii)其優先債務必須獲標準普爾給予不低於A-級的信貸評級，或由穆迪或惠譽給予的同等評級。
連接產品及抵押品的價值每日按市價計算。經理人將致力確保就各連接產品發行人承受的淨風險不超過本基金資產淨值的10%。
投資者可以書面方式要求經理人提供本基金在任何時間就各連接產品發行人承受的總風險及淨風險。
本基金有哪些主要風險？
投資涉及風險。詳情請參閱註釋備忘錄，以瞭解風險因素等資料。
1. 廣泛投資於連接產品的合成投資、交易對手及流動性風險
‧ 本基金不會直接投資於或持有A股。本基金主要投資於並無活躍第二市場的衍生工具。該等由連接產品發行人發行的衍生工具統稱為連接產品，並擬讓本基金透過參與A股或一籃子A股的表現，獲取經濟收益╱承擔經濟虧損。
‧ 本基金須承受與各連接產品發行人相關的交易對手風險，且倘該連接產品發行人未能履行其根據連接產品的責任，則本基金可能會蒙受損失，金額有可能等於該連接產品發行人所發行之連接產品的全部價值（扣除任何所提供的抵押品）。任何損失均會導致本基金的資產淨值減少，繼而削弱本基金達致其投資目標的能力。
‧ 連接產品發行人主要為金融機構，此情況本身可能產生投資集中度風險。任何影響某一連接產品發行人表現的不利事件，可能因蔓延效應而對其他連接產品發行人的表現構成負面影響。
‧ 雖然本基金持有抵押品或對抵押品擁有追索權，以減輕承擔各連接產品發行人的風險，但仍須承擔連接產品發行人或抵押品提供者未能履行其責任的風險。此外，任何抵押品的價值於任何交易日均會出現波動。因此，倘本基金需要於連接產品發行人違約時行使對抵押品的權利，亦須承擔抵押品的價值可能大幅低於所抵押金額的風險，故本基金可能蒙受重大損失。
‧ 倘連接產品發行人發生信貸事件，經理人會採取必要行動尋找一名或以上替代發行人，代替有關投資。然而不能保證經理人將成功尋找該替代發行人，如經理人未能覓得替代連接產品發行人，以致本基金無法達致其投資目標，本基金或會遭終止。
中國風雲基金
4
2. 投資集中度風險
‧ 本基金的投資項目主要集中於中國、香港及台灣，與覆蓋範圍廣泛的全球投資組合相比，本基金的投資項目可能面對較大波動。
3. 中國市場風險
‧ 投資於中國市場（由於本基金並無直接投資於A股，乃指透過連接產品間接投資於A股）涉及若干與投資於較先進經濟體或市場無關的風險及特殊考慮因素，例如較高的政治、稅務、經濟、外匯、流動性及監管風險。
4. 難以取得產品的風險
‧ 可供運用的連接產品由於受適用的中國法規限制以致數量有限，投資於連接產品的成本因而受制於市場供求。當市場供應相對低於市場需求，可能需以較高成本或溢價購入其他連接產品，以致可能對本基金整體表現構成不利影響。
5. 與QFII制度有關的風險
‧ 現行QFII政策及規定可能有變，而任何該等變化可能會對本基金於連接產品的投資帶來不利影響。該等變化可能會導致連接產品不獲發行，在最差的情況下，可能會導致本基金因無法再遵循其投資策略而被迫終止。
6. 中國稅務風險
‧ 與QFII出售A股時所獲資本收益有關的現行中國稅務法規及慣例涉及風險及不明朗因素（可能具有追溯效力）。
‧ 一般而言，若干連接產品發行人可能會預扣相關A股的任何資本收益約10%。如經理人認為有此需要，本基金將保留任何資本收益10%的金額為撥備，惟以該金額並非被相關連接產品發行人另行預先扣除為限。
‧ 倘若預扣或保留金額不足以全額清償實際稅務責任，則剩餘稅債可能以本基金的資產清償，本基金的資產淨值或會因此減少。
7. 投資策略風險
‧ 在建立本基金的投資組合時，經理人將篩選於最近期錄得正面或超逾基準表現而相關基準指數於該段期間內的價值從最高位至最低位損失逾30%的證券。然而，目前無法保證所篩選證券的表現將在各種經濟週期下繼續優於相關基準指數。過去業績並不代表將來表現。
8. 兌換多種貨幣的風險
‧ 本基金將持有以本基金基礎貨幣以外之貨幣計值的投資，意味著本基金將承受外幣匯率出現不利變動的風險。
中國風雲基金
5
本基金是否提供保證？
本基金並不提供任何保證。閣下未必能取回全部投資本金。
本基金涉及哪些費用及收費？
閣下可能須支付的費用
閣下買賣本基金的單位時可能須支付下列費用。
費用 閣下應支付金額
認購費（即初步收費） 不高於閣下購買金額的5%轉換 不高於各轉換單位的單位變現價格2%贖回費（即變現費） 無*
本基金持續繳付的費用
以下收費將從本基金總值中扣除，閣下的投資回報將會因而減少。
每年收費率（佔基金總值百分比）
管理費 1.75%*
受託人費 定額費用每年1,000美元*
表現費 無
行政費 不高於0.125%*（每年最低收費為75,000美元）
其他費用
閣下買賣本基金的單位時可能須支付其他費用。
* 閣下須注意，部分費用或會在向受影響單位持有人發出最少一個月或三個月（視乎情況而定）事先通知下可增加至准許的上限。詳情請參閱註釋備忘錄「開支及收費」一節。
其他資料
‧ 一般情況下，閣下通常按本基金的資產淨值購買及變現單位。基金的資產淨值在管理人於下午5時正（香港時間）（即本基金的交易截止時間）或之前收到閣下的完整指示後的交易日的下一個交易日釐定。閣下發出認購或變現指示前，請向閣下的分銷商查詢其內部交易截止時間（可能會較本基金的交易截止時間為早）。
‧ 本基金的資產淨值於每個營業日計算，單位價格會在每個營業日登於《南華早報》及《香港經濟日報》。
‧ 投資者可致電2868 8811向經理人查詢本基金所委任的分銷商的資料。
重要提示
閣下如有疑問，應諮詢專業意見。
證監會對本概要的內容概不負責，對其準確性或完整性亦不發表任何陳述。
1st Proof 08/06/2011 ←
31010425 (Stormriders)
中 國 風 雲 基 金
花 旗 投 資 信 託 基 金（百 慕 達 ）的 子 基 金
註 釋 備 忘 錄
2011年6月
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目 錄
給投資者的重要資料 ................................................................................................... 4
名錄 ................................................................................................................................. 6
定義 ................................................................................................................................. 7
序言 ................................................................................................................................. 9
本基金的管理 ................................................................................................................ 10 管理公司 .................................................................................................................... 10 受託人、名冊保管人及託管人 .............................................................................. 10 管理人及副託管人 ................................................................................................... 10
投資目標、策略及限制 ............................................................................................... 11 投資目標 .................................................................................................................... 11 投資策略 .................................................................................................................... 11 投資及借貸限制 ....................................................................................................... 12
單位的認購 .................................................................................................................... 15 單位的首次發行 ....................................................................................................... 15 單位的後續發行 ....................................................................................................... 15 申請程序 .................................................................................................................... 15 付款程序 .................................................................................................................... 16 一般規定 .................................................................................................................... 16
單位的變現 .................................................................................................................... 17 變現程序 .................................................................................................................... 17 變現收益的支付 ....................................................................................................... 17 變現限制 .................................................................................................................... 17
轉換 ................................................................................................................................. 18
估值 ................................................................................................................................. 19 暫停計算資產淨值 ................................................................................................... 19 資產淨值的公佈 ....................................................................................................... 20
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1st Proof 08/06/2011 ←
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開支及收費 .................................................................................................................... 21 本基金應付的費用 ................................................................................................... 21 應支付經理人的費用 ............................................................................................... 21 應支付受託人的費用 ............................................................................................... 21 應支付管理人的費用 ............................................................................................... 21 連接產品的費用及收費 .......................................................................................... 22 其他收費及開支 ....................................................................................................... 22 現金回佣及非金錢佣金 .......................................................................................... 23
風險因素 ........................................................................................................................ 23
稅務 ................................................................................................................................. 27 百慕達稅務 ................................................................................................................ 27 香港稅務 .................................................................................................................... 27 中國稅務 .................................................................................................................... 27 台灣稅務 .................................................................................................................... 28
一般資料 ........................................................................................................................ 29 報告及賬目 ................................................................................................................ 29 分派政策 .................................................................................................................... 29 單位持有人會議 ....................................................................................................... 29 單位的轉讓 ................................................................................................................ 29 信託契據 .................................................................................................................... 29 核數師 ........................................................................................................................ 29 信託基金或任何子基金的終止 .............................................................................. 30 可供查閱的文件 ....................................................................................................... 30 反洗黑錢規例 ........................................................................................................... 30 利益衝突 .................................................................................................................... 30 百慕達的信託規例 ................................................................................................... 31
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給 投 資 者 的 重 要 資 料
重要提示： 閣下如對本註釋備忘錄的內容有任何疑問，應諮詢 閣下的經紀、銀行經理、會計師、律師或其他獨立財務顧問。
花旗投資信託基金（百慕達）（「信託基金」）為按照花旗集團基金管理有限公司（作為經理人，下稱「經理人」）與HSBC Institutional Trust Services (Bermuda) Limited（作為受託人，下稱「受託人」）於2007年8月17日訂立的信託契據（經不時修訂）根據百慕達法例成立的傘子單位信託基金。本註釋備忘錄載有關於信託基金及信託基金的子基金—中國風雲基金的資料。
經理人及其董事對本註釋備忘錄所載資料於刊發日的準確性承擔全部責任。但在任何情況下，分發本註釋備忘錄或發售或發行單位並不表示本註釋備忘錄所載資料於截至上述日期後任何時間仍屬準確。本註釋備忘錄的資料可不時更新。
任何交易商、銷售人員或其他人士所提供或作出但（在各情況下）並未載入本註釋備忘錄的任何資料或陳述應視為未經授權，因此 閣下不可依賴於該等資料或陳述。
中國風雲基金（「本基金」）已獲香港證券及期貨事務監察委員會（「香港證監會」）根據香港《證券及期貨條例》第104條認可。本基金為屬於證監會單位信託及互惠基金守則第8.9章下的可廣泛投資於金融衍生工具的基金。證監會認可不等如對本基金作出推介或認許，亦不是對本基金的商業利弊或表現作出保證，更不代表本基金適合所有投資者，或認許其適合任何個別投資者或任何類別的投資者。
本註釋備忘錄的主旨，即本基金單位的發售或邀約並不涉及任何根據新加坡法例第289章《證券及期貨法》（「《證券及期貨法》」）第286條所批准或根據《證券及期貨法》第287條所認可的集體投資計劃。本基金未經新加坡金融管理局（「新加坡金管局」）認可或承認，及單位不得向新加坡公眾散戶提呈發售。本註釋備忘錄不屬於《證券及期貨法》所界定的發售章程。因此，根據《證券及期貨法》有關發售章程內容的法定責任將不會適用。 閣下應仔細考慮此項投資是否適合 閣下。
本註釋備忘錄並未向新加坡金管局註冊為發售章程。因此，根據《證券及期貨法》第305A條，本註釋備忘錄及與發售或銷售或邀請認購或購買單位有關的任何其他文件或材料不得直接或間接向新加坡人士傳閱或分發、提呈發售或銷售單位或將單位作為所發出認購或購買邀請的主旨，但以下列方式作出者除外：(i)以《證券及期貨法》第304條項下的機構投資者為對象、(ii)以《證券及期貨法》第305(5)條所界定的相關人士，或根據《證券及期貨法》第305(2)條所述發售並符合《證券及期貨法》第305條所述條件的任何人士為對象，或(iii)按照及根據《證券及期貨法》任何其他適用規定的條件的其他方式。
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1st Proof 08/06/2011 ←
31010425 (Stormriders)
倘若根據《證券及期貨法》第305條認購或購買單位的相關人士屬於下列類別：
(a) 唯一業務為持有投資項目的法團（並非認可投資者（定義見《證券及期貨法》第4A條）），及其全部股本由一名或多名屬於認可投資者的個人持有；或
(b) 唯一目的為持有投資項目的信託基金（受託人並非認可投資者），及該信託基金的各受益人均屬於認可投資者的個人，
在該法團或該信託基金已認購根據《證券及期貨法》第305條而按照所作出提呈發售的單位後6個月內，該法團的證券（定義見《證券及期貨法》第239(1)條）或受益人於該信託基金的權利及權益（不論如何表述）均不得轉讓，但下列情況除外：
(1) 轉讓予機構投資者或轉讓予《證券及期貨法》第305(5)條所界定的相關人士，或根據《證券及期貨法》第275(1A)條或第305(A)(3)(i)(B)條所述的提呈發售轉讓予任何人士；
(2) 並無或不會就轉讓支付任何代價；
(3) 轉讓是由於執行法律所致；或
(4) 如《證券及期貨法》第305(A)(5)條所訂明。
投資產品並非存款，因此不受新加坡共和國《存款保險法》（第77A章）規管，亦不符合存款保險計劃的存款保險資格。
根據《2006年百慕達投資基金法》，單位的提呈發售受百慕達金融管理局的監管。百慕達金融管理局的聯絡地址為BMA House, 43 Victoria Street, Hamilton, HM12,Bermuda。
信託基金及本基金的經理人為花旗集團基金管理有限公司，為一家於香港註冊成立的公司。花旗集團基金管理有限公司受香港證券及期貨事務監察委員會的監管。證券及期貨事務監察委員會的聯絡地址為香港中環干諾道中8號遮打大廈8樓。
信託基金及本基金的受託人為HSBC Institutional Trust Services (Bermuda)Limited，為一家於百慕達註冊成立並受百慕達金融管理局監管的公司。
本基金概無在任何司法管轄區（香港及新加坡除外）採取任何行動，以獲准就在該行目的，並有在任何其他國家或司法管轄區提呈發售單位或擁有、傳閱或分發本註釋備忘錄或任何其他有關提呈發售單位的任何其他提呈發售或公開材料。在提呈發售單位或招攬並未獲認可的任何司法管轄區內，或在向任何人士提呈發售單位或招攬即屬違法的情況下，本註釋備忘錄並不構成向任何人士提呈發售單位或招攬。
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尤須注意：
(a) 單位並未根據《1933年美國證券法》（經修訂）註冊，而且除了在沒有違反該證券法的交易中發售或銷售外，單位不可直接或間接地在美國或受其司法管轄的其任何領地或屬地或地區或為美國人士（定義見該證券法規例S）的利益發售或銷售；
(b) 本基金未曾且將不會根據《1940年美國投資公司法》（經修訂）註冊；
(c) 單位不可直接或間接地向持有中華人民共和國簽發的身份證或居留卡的人士（不論該等個人現時居住或定居於何處）或依據中華人民共和國法律成立的實體提呈發售或銷售，除非該實體為經認可的合格境內機構投資者(「QDII」)，且其根據相關的QDII監管機構頒佈的規則及適用外匯規則獲准購買單位；
(d) 單位不可在台灣提呈發售或銷售。
單位的發行已獲百慕達金融管理局（「百慕達金管局」）依據《1972年百慕達外匯管制法》（及根據該外匯管制法設立的規定）授予許可。
百慕達金管局發出的批准、許可或授權並不構成百慕達金管局就信託基金的表現或信用而提供保證。此外，在授予該等批准、許可或授權時，百慕達金管局概不會對信託基金的表現、其營運機構或服務供應商的違約行為或本文所表達的任何意見或陳述的準確性承擔責任。本文件的副本已按照《1981年百慕達公司法》作為發售章程提交百慕達公司註冊處（「公司註冊處」）備存。 閣下須明確了解，在公司註冊處備存本文件時，公司註冊處概不會對任何建議的財務穩健程度或所作出的任何聲明或就該等聲明表達的任何意見的準確性承擔責任。
信託基金根據《2006年百慕達投資基金法》獲認可為標準基金。
擬申請認購單位的人士應了解在其公民身份所屬國、居留國或本籍國與申請相關的法律規定、任何適用外匯管制規例及適用稅項。
本註釋備忘錄可能提述網站所載的資料及資訊。有關資料及資訊並不構成本註釋備忘錄的一部分，且未經證監會審閱。
查詢或投訴
投資者如有任何查詢或投訴，請以書面方式遞交至基金經理的辦事處（地址為香港中環花園道3號花旗銀行廣場花旗銀行大樓50樓），基金經理將於接獲查詢或投訴後14個營業日內回覆。
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名 錄
經理人 花旗集團基金管理有限公司香港中環花園道3號花旗銀行廣場花旗銀行大廈50樓電話號碼： +852 2868 8811傳真號碼： +852 3018 7322
經理人的董事 Harold Ho Young KIMJeremy David COLLARD
受託人，名冊保管人 HSBC Institutional Trust Services (Bermuda) Limited 及託管人 6 Front Street
Hamilton HM 11Bermuda
管理人及副託管人 㶅豐機構信託服務（亞洲）有限公司香港中環皇后大道中1號
經理人的法律顧問 香港法律事務西盟斯律師行香港金鐘道88號太古廣場一期13樓
百慕達法律事務ApplebyCanon’s Court22 Victoria StreetHamilton HM EXBermuda
核數師 畢馬威會計師事務所香港中環遮打道10號太子大廈8樓
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定 義
本註釋備忘錄所用的詞彙具有以下涵義：
「連接產品」 指A股連接產品，即與A股或A股投資組合掛漖，並旨在以綜合方式重複相關A股或A股投資組合的經濟利益的證券（例如票據、認股權證、購股權或參與證書）；
「管理人」 指㶅豐機構信託服務（亞洲）有限公司，作為信託基金及本基金的管理人；
「A股」 指於中國註冊成立的公司所發行，以人民幣買賣並於上海證券交易所或深圳證券交易所上市的股份，並可供境內投資者及QFII投資；
「連接產品發行人」 指本基金所投資連接產品的發行人；
「基準貨幣」 就本基金而言指美元；
「營業日」 指香港銀行開門經營正常銀行業務的日子（星期六或星期日除外），或經理人及受託人可能不時同意的其他日子，但除非經理人及受託人另行決定，否則因懸掛8號颱風訊號、黑色暴雨警告或其他類似事故，導致香港銀行的正常營業時間受到影響，該日將不會為營業日；
「關連人士」 就公司而言指：
(a) 直接或間接實益擁有該公司20%或以上普通股本，或有能力直接或間接行使該公司20%或以上的總投票權的任何人士或公司；或
(b) 受符合(a)條所載一項或全部兩項說明的人士控制的任何人士或公司；或
(c) 該公司所屬集團的任何成員公司；或
(d) 該公司或(a)、(b)或(c)條所界定其任何關連人士的任何董事或行政人員；
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「中國證監會」 指中國證券監督管理委員會；
「託管人」 指HSBC Institutional Trust Services (Bermuda)Limited，作為信託基金及本基金的投資及未投資現金的託管人；
「交易日」 指：
(a) 每個營業日，但不包括買賣本基金大部分投資的任何交易所或市場收市或限制或暫停交易的任何營業日（由經理人全權酌情釐定）；或
(b) 經理人在得到受託人批准後可不時釐定的其他日子；
「交易時限」 指擬定交易日前一個營業日的下午五時正（香港時間）；
「本基金」 指中國風雲基金，信託基金的子基金；
「香港」 指中華人民共和國香港特別行政區；
「首次發售期」 指由2010年1月11日至2010年2月5日止期間，期內單位將提呈發售以供按固定價格認購；
「投資規例」 指(i)QFII辦法；(ii)中國證監會於2006年8月24日頒佈並於2006年9月1日生效的「關於實施《合格境外機構投資者境內證券投資管理辦法》有關問題的通知」；(iii)國家外匯管理局於2002年11月28日頒佈並於2002年12月1日生效的《合格境外機構投資者境內證券投資外匯管理暫行規定》，以及不時頒佈或修訂以規管成立及實施中國合格境外機構投資者業務的其他規定；
「經理人」 指花旗集團基金管理有限公司；
「資產淨值」 本基金或單位的資產淨值（視乎文意而定），根據信託契據的條文計算，詳情概述於下文「估值」一節；
「中國」 指中華人民共和國，僅就詮釋而言不包括香港及台灣；
「合格境外機構 指根據QFII辦法獲認可的合格境外機構投資者； 投資者(QFII)」
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「QFII辦法」 指中國證監會、中國人民銀行及國家外匯管理局於2006年8月24日發佈並於2006年9月1日生效的《合格境外機構投資者境內證券投資管理辦法》（經不時修訂）；
「人民幣」 指中國的貨幣人民幣元；
「國家外匯管理局」 指中國國家外匯管理局；
「香港證監會」 指香港證券及期貨事務監察委員會；
「證券及期貨條例」 指香港法例第571章《證券及期貨條例》；
「子基金」 指信託基金的子基金，即根據補充契據成立並按照信託契據及該補充契據的條文保管的獨立信託基金；
「認購價格」 指單位發行時的價格，詳情載於下文「單位的認購」一節；
「信託基金」 指花旗投資信託基金（百慕達）；
「信託契據」 指經理人與受託人於2007年8月17日訂立以成立信託基金的信託契據（經不時修訂）；
「受託人」及 指HSBC Institutional Trust Services (Bermuda) 「名冊保管人」 Limited；
「單位」 指本基金的單位；
「單位持有人」 指登記成為單位持有人的人士；
「單位變現價格」 指單位將變現的價格，詳情載於下文「變現收益的支付」一節；
「美元」 指美利堅合眾國的貨幣；
「估值日」 指各交易日；
「估值點」 指經理人得到受託人批准可不時釐定以於相關估值日計算資產淨值的時間；
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序 言
花旗投資信託基金（百慕達）為根據百慕達法例，並按照受託人與經理人於2007年8月17日訂立的信託契據（經不時修訂）成立的開放式單位信託基金。所有單位持有人均有權獲得信託契據條文的利益、受到信託契據條文的約束，並被視為已獲告知上述條文。
信託基金已成立為一家傘子基金，而信託基金的資產已劃撥至不同的子基金。就特定子基金可以提呈發售超過一類單位，其條款可能各異，包括不同的計值貨幣。各子基金具有其本身的投資目標及方針。日後可能會設立更多單位類別及／或更多子基金。
有關本基金的資料，包括本基金的銷售文件、通函、通知、公佈、財務報告的最新版本及最近期資產淨值，將於網站www.funds.citi.com登載。
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本 基 金 的 管 理
管理公司
信託基金的經理人為花旗集團基金管理有限公司。
經理人於香港註冊成立，並由Citigroup Global Markets Hong Kong HoldingsLimited全資擁有，而該公司為花旗集團的間接全資附屬公司。
經理人已獲香港證監會發牌從事《證券及期貨條例》下的第4類（就證券提供意見）及第9類（資產管理）受規管活動。
根據信託契據，經理人負責管理信託基金及各子基金的資產。經理人亦與受託人共同負責保存信託基金的賬目及記錄以及若干有關信託基金的其他管理事宜。
經香港證監會批准後，經理人可就特定子基金委任副經理人或投資顧問。經理人目前無意就本基金委任副經理人或投資顧問。
經理人的董事為Harold Ho Young Kim及Jeremy David Collard。
受託人、名冊保管人及託管人
信託基金的受託人為HSBC Institutional Trust Services (Bermuda) Limited。
HSBC Institutional Trust Services (Bermuda) Limited於2006年2月22日根據百慕達法律註冊成立，並持有百慕達金融管理局根據《2001年信託基金（規管信託業務）法》發出的信託業務牌照。
根據信託契據，受託人負責保管信託基金的資產。然而，受託人可委任任何一名或多名人士同時擔任該等資產的託管人。即使存在任何有關委任，根據信託契據的條款，受託人仍須對其所委任的任何託管人的任何行為或缺失承擔責任，猶如該等行為或缺失乃由受託人作出。
受託人已按照內部安排委任㶅豐豐機構信託服務（亞洲）有限公司為信託基金及本基金的投資及未投資現金的副託管人。
受託人亦兼任信託基金的名冊保管人。
受託人並不負責編製本註釋備忘錄，因此概不會對其所載資料（明確有關受託人及其聯屬公司的資料除外）承擔責任。
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㶅豐集團已採取得到美國財政部外國資產管制局批准的合規政策。倘若由美國人士進行的交易及活動或以美元支付任何款項將會受到美國財政部外國資產管制局的制裁，則受託人將不會參與該等交易及活動或以美元支付該等款項。
管理人及副託管人
根據內部安排，受託人已將其若干職能轉授予㶅豐機構信託服務（亞洲）有限公司。㶅豐機構信託服務（亞洲）有限公司已同意，其將在本基金根據證券及期貨條例第104條獲香港證監會認可後，一直履行及執行該等職能，當中包括但不限於香港證監會所刊發《單位信託及互惠基金守則》第4.5章所載的職責及職能。然而，單位持有人的名冊將由受託人於百慕達保存。
㶅豐機構信託服務（亞洲）有限公司負責信託基金及本基金的一般管理，其中包括安排發行及贖回單位、計算資產淨值、計算來自本基金資產的應付費用，以及管理信託基金及本基金未投資現金。
㶅豐機構信託服務（亞洲）有限公司為㶅豐集團的成員公司。管理人於1974年在香港註冊成立，並根據香港《受託人條例》登記為一家信託公司，且獲強制性公積金計劃管理局批准提供受託人服務。㶅豐集團在亞太地區、歐洲、美洲、中東及非洲擁有主要商業及投資銀行業務。
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投 資 目 標 、 策 略 及 限 制
投資目標
本基金的投資目標是為單位持有人提供以投資於香港聯交所、上海證券交易所、深圳證券交易所或台灣證券交易所（各自為「合資格交易所」）上市的大型或中型市值公司的證券獲取回報的機會。
投資策略
緒言
本基金的投資策略是規則驅動型的專有選股策略，旨在按季度識別及甄選股本證券的投資組合，而該等證券不僅在極端惡劣的過往市況中表現良好，而且具有潛力在市場好轉時成為表現最佳的股票之一。
篩選投資組合的股份
在各調整日期，經理人將就中國、香港及台灣設定一個合資格的投資範疇，當中包括於相關合資格交易所上市、於有關日期顯示盈利且符合下列市值標準的證券：
‧ 中國：高於4億美元的等值貨幣
‧ 香港：高於2億美元的等值貨幣
‧ 台灣：高於2億美元的等值貨幣
各投資範疇隨後將作進一步篩選，剔除在有關地區適用的最近「崩盤期」中並無錄得正面表現（在絕對值上或在某些情況下相對於相關基準而言）的證券。就此而言，「崩盤期」定義為相關基準的價值從最高位至最低位損失逾30%的一段期間。舉例而言，在本基金於2010年2月5日成立之前，中國、香港及台灣的崩盤期分別為2008年8月31日至2008年11月4日、2008年10月15日至2008年10月27日及2008年9月29日至2008年11月20日。中國（A股）、香港及台灣的相關基準分別為滬深300指數、囱生指數及台灣證券交易所發行量加權股價指數。
本基金的投資組合將以中國、香港及台灣各自的投資組合，按中國佔60%、香港佔30%及台灣佔10%的概約比例設立。證券將視乎相關地區的股市是否仍處於復甦階段從投資範疇中選出。就此而言，倘相關基準由最近崩盤期結束時至調整日期期間的表現等於或低於14.28%，則相關地區的股市被視為仍處於復甦階段。倘相關基準由最近崩盤期結束時至調整日期期間的表現高於14.28%，則相關地區的股市被視為已完全復甦。
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1st Proof 08/06/2011 ←
31010425 (Stormriders)
倘相關地區的股市被視為仍處於復甦階段，經理人將尋求投資於在調整日期市值排名最高的證券群。倘相關地區的股市被視為已完全復甦，經理人將尋求投資於在最近崩盤期期末與調整日期之間個別價格表現最佳的證券群。
投資組合中的實際股份、股份的絕對數量及／或各地區所佔比例可於任何調整日期作出調整，以便應對市場流動性問題、投資可行性問題及／或法律或規管限制。此策略不設持倉時限，投資組合可持有的證券數目亦無上限。
在正常市場情況下，投資組合預計按季度作出調整。在極端或不尋常市場情況下，當至少一項基準進入一個新的崩盤期時，投資組合亦會作出調整。
連接產品通常佔本基金投資組合約60%，儘管其實際比例於任何時間將取決於（其中包括）是否有合適投資機會。投資組合的其餘部分包括在香港聯合交易所及台灣證券交易所上市的證券。如經理人認為合適，本基金的投資組合可包含現金、以現金為基礎的工具及固定收益工具。
資產淨值至少70%直接或間接投資於在合資格交易所上市的證券。
本基金不會投資於連接產品以外的任何結構性產品及金融衍生工具。除為本基金的利益而提供抵押品的情況下可使用證券及借貸安排外，本基金不會訂立任何回購協議、股份借貸交易或任何其他類似場外交易。
連接產品及交易對手風險管理程序
由於直接投資於A股受適用的中國法律限制，本基金透過投資於連接產品參與A股市場。連接產品僅代表相關連接產品發行人提供本基金相等於持有相關A股或一籃子A股（扣除費用、收費及間接成本）經濟表現的責任。連接產品並無提供其與之掛漖的A股的任何實益或衡平法權利或權益。由於連接產品為連接產品發行人的責任，卻並非直接投資於A股，倘若連接產品發行人未能履行其於連接產品下的責任，則本基金可能會蒙受損失，潛在損失可等於連接產品全部價值。
經理人根據多項因素，包括執行質素、財政穩健程度、處程中國稅務的方式及價格競爭力，從而篩選具備潛力的連接產品發行人。各連接產品發行人須符合以下標準：(i)其須為屬QFII或QFII的聯屬公司；(ii)其須為屬於以下類別的具規模金融機構：(A)持續受到的審慎監管及監察獲證監會接納且最少擁有1.5億港元或其等值外幣繳足資本的銀行實體，或(B)經考慮如該實體或其所屬集團的監管狀況及該實體的資產淨值後，證監會按個別情況認為屬可予接納的實體；及(iii)其優先債務必須獲標準普爾給予不低於A-級的信貸評級，或由穆迪或惠譽給予的同等評級。截止於本註釋備忘錄刊發日期，發行人有兩家。投資者可以書面方式要求經理人提供本基金在任何時間於每個連接產品發行人的投資總額及淨額。
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1st Proof 08/06/2011 ←
31010425 (Stormriders)
經理人視乎正常市場狀況，透過分散投資於更多連接產品發行人及本基金的有關風險，令本基金從任一連接產品發行人承受的信貸風險不會高於其資產淨值的10%，藉此尋求減輕連接產品發行人的信貸風險。為達致上述目的，經理人採取多項措施，例如自相關連接產品發行人或連接產品發行人的聯屬公司獲取信貸支持或抵押品及／或有秩序出售相關連接產品。信貸支持的提供將通過證券借貸安排的形式，或在當時情況下基金經理認為合適的其他方式進行。
倘若抵押品安排乃透過證券借貸安排作出，每當本基金就連接產品承受相關連接產品發行人的風險超過本基金資產淨值的10%，相關抵押品提供者將向本基金借取連接產品及向本基金提供抵押品。借取的連接產品及提供的抵押品的市場價值將按每日市價基準調整。倘相關連接產品發行人或抵押品提供者無力償債或出現違約情況，證券及借貸安排項下各方的付款及交付責任將加速及抵銷，並根據最新的市價基準估值以其中一方向另一方支付單一款項的責任替代。於該等情況下，相關抵押品提供者將保留其向本基金借取的連接產品，而本基金將保留其獲轉讓的任何抵押品並由副託管人保管，各方則將計算於抵銷後是否須作出任何現金付款。
經理人接受現金或囱生指數及／或囱生中國企業指數成份股的股份作為抵押品。情況可能因應當時市況而有所變動，惟(a)抵押品將以上市股本證券的方式提供，及(b)抵押品將不包括任何結構性產品。
此外，抵押品必須符合下列要求：
(i) 流通性－具備充足的流通性，可以接近售前估值的穩健價格迅速售出。抵押品應通常在具備深度、流通量高並享有定價透明度的市場上買賣；
(ii) 估值－每日按市價計算；
(iii) 發行人信貸質素－具備高信貸質素；只在具備適當而保守的扣減率下，方可接納價格波幅較高的資產作為抵押品；
(iv) 多元化－必須適當地多元化，避免將所承擔的風險集中於任何單一發行人。抵押品的對手方或其他投資限制／風險承擔佔計劃資產淨值的比率，不得違反第7章所載的投資規限或限制；
(v) 關連性－金融衍生工具發行人及其集團公司與所收取的抵押品之間必須避免存在關連性（為免生疑問,抵押品不會包括金融衍生工具發行人及其集團公司所發行的證券）；
(vi) 管理運作及法律風險－必須具備適當的系統、運作能力及專業法律知識，以便妥善管理抵押品；
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1st Proof 08/06/2011 ←
31010425 (Stormriders)
(vii) 獨立保管－必須由計劃的受託人或保管人持有；
(viii) 強制執行－計劃的受託人／保管人無須對金融衍生工具發行人進一步追索，即可隨時取用／執行抵押品；及
(ix) 不設第二追索權－除作為抵押品的用途外，抵押品不可用作任何其他用途。
如計劃所持全部抵押品的總值佔本身的資產淨值30%或以上，所持抵押品的詳情將於本基金有關期間的年報及中期報告內披露。投資者可以書面方式要求經理人提供於任何特定時間向本基金提供抵押品的任何交易對手的身分。
如連接產品發行人的信貸評級其後被下調，以致該連接產品發行人不再獲標準普爾就優先債務而給予不低於A-的信貸評級或同等評級，本基金將出售由該連接產品發行人發行且未備有全額抵押的任何連接產品，並將甄選符合上文所載標準的替代連接產品發行人。
倘若根據中國法律為可能及可行的情況下容許本基金透過獨立子賬戶或以若干其他不受限制方式直接持有相關A股，經理人可在受託人的同意下，採取措施致使本基金能夠直接持有或擁有A股的衡平法權益，以代替透過連接產品投資或進行透過連接產品投資以外的投資。經理人將通知單位持有人並尋求根據本基金組織章程文件下的必須批准。
一般事項
投資者應注意，儘管本基金的投資組合通常直接或間接投資於最能反映本基金投資策略的資產，投資策略中影響資產篩選的觀點及過程，可能與花旗集團或其聯屬公司刊發的研究報告或註釋所載的其他觀點或意見相反。
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1st Proof 08/06/2011 ←
31010425 (Stormriders)
投資及借貸限制
本基金須遵守下列主要投資限制：
(a) 本基金不得將10%以上的資產淨值投資於由任何單一發行人發行的證券（政府及其他公共證券除外）；
(b) 本基金所持的單一類別股份（政府及其他公共證券除外）與所有其他子基金所持其他同類股份一併計算時，不得超逾已發行同類證券面值的10%；
(c) 本基金不得將15%以上的資產淨值投資於並未在證券交易所、場外市場或其他對國際公眾開放而經常買賣該等證券的規範化證券市場上市或掛牌的證券；
(d) 儘管上文第(a)、(b)及(c)條有所規定，本基金最多可將資產淨值的30%投資於同一批次發行的政府及其他公共證券；
(e) 在不抵觸第(d)條的規定下，本基金可將其全部資產投資於至少六個不同批次發行的政府及其他公共證券；
(f) 本基金不得將20%以上的資產淨值投資於(i)商品（包括實物商品、與商品有關的遠期及期貨合約、商品期權、與商品有關的期貨合約期權及其他以商品為基礎的投資，就此而言不包括從事商品生產、處理或交易的公司證券）及(ii)按非對沖基準訂立的期貨合約（參照合約價格的總值淨額，不論該金額是應付予本基金或本基金應支付）；
(g) 按所付期權價總額計算（用作對沖者除外），本基金所持全部認股權證及期權的價值不得超逾其資產淨值的15%；
(h) 本基金於其他集體投資計劃所持全部單位或股份的價值不得超逾其現有資產淨值的10%。此外，相關集體投資計劃的目標未必為主要投資於其他投資限制所禁止的任何投資項目，而倘該相關集體投資計劃的目標是主要投資於其他投資限制所限制的投資項目，則持有該等單位或股份未必是違反相關限制。經理人可能不會取得相關計劃或其管理公司徵收的任何費用或收費的回扣；及
(i) 倘若某單位信託基金、互惠基金法團或其他集體投資計劃由經理人或其任何關連人士管理，並將會導致初步收費總額，經理人的年度費用，以及單位持有人或本基金所承擔而應支付經理人或其任何關連人士的任何其他費用或開支的增加，本基金不可投資於該有關的單位信託基金、互惠基金法團或其他集體投資計劃，倘本基金投資於該相關計劃，該相關計劃的所有初步收費必須獲得豁免。
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1st Proof 08/06/2011 ←
31010425 (Stormriders)
為免生疑問，本基金須遵守上述投資限制，但與連接產品有關並已彙集及載於以下投資限制則除外：
(a) 本基金可為投資目的而取得金融衍生工具，但與該等金融衍生工具有關的整體風險承擔不得超逾本基金的總資產淨值的100%；
(b) 在計算整體風險承擔時，須採用按承諾額計算的方法，將本基金的衍生工具持倉換算成衍生工具包含的相關資產的對應持倉，在計算時須考慮相關資產的當前價值、對手風險、未來市場動向及可供變現持倉的時間；及
(c) 本基金就場外衍生工具交易所承擔的對手方風險不可超逾計劃資產淨值的10%。
經理人不得就本基金進行下列各項事宜：
(I) 倘若經理人的任何董事或行政人員個人擁有任何公司或機構任何類別的全部已發行證券面值總額0.5%以上，或共同擁有該等證券5%以上，則經理人不可投資於上述公司或機構的該等證券；
(II) 投資於任何類別的房地產項目（包括樓宇）或房地產項目權益（包括期權或權利，但不包括房地產公司的股份及在證券交易所上市的房地產投資信託基金的權益）；
(III) 倘若沽空會引致交付證券的責任超逾本基金資產淨值10%（就此而言，所沽空的證券在准許沽空的市場上必須成交活躍），則經理人不可沽空；
(IV) 發行無備兌期權；
(V) 倘若就本基金出售的所有認購期權的行使價合共超逾本基金資產淨值的25%，則經理人不可出售該等認購期權；
(VI) 在未取得受託人事先書面同意之前，經理人不可自本基金的資產撥出貸款，惟因應收購某項投資或作出存款而構成貸款的情況除外；
(VII) 在未取得受託人事先書面同意之前，經理人不可承擔、擔保、背書或以其他方式直接或偶然地為任何人士任何的責任而承擔或債項而負責；
(VIII) 倘若就本基金承擔任何責任或為本基金的利益購入任何資產，以至本基金須承擔無限責任，經理人不可就承擔有關責任或購入有關資產；或
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1st Proof 08/06/2011 ←
31010425 (Stormriders)
(IX) 經理人不可將本基金資產的任何部分用於收購當時全部未付或部分未付而須應催繳通知支付的投資，除非該催繳款項可由構成本基金一部分的現金或現金類同資產全數支付則除外，而該等現金或現金類同資產並非劃撥或預留作任何其他用途。
經理人可借入本基金最近期可動用資產淨值最多25%的款項以收購投資項目。本基金的資產可予以抵押或質押，作為上述任何借款的擔保。
信託契據規定，受託人可應經理人的要求，訂立安排以貸出／購回就本基金持有的證券。然而，除就本基金於連接產品的投資提供信貸支持或抵押品外，經理人現時無意作出該等安排。倘若經理人日後決定訂立該等安排，則將會修訂本註釋備忘錄以提供該等安排的詳情，並將會向單位持有人發出不少於一個月的事先書面修訂通知。
倘若違反上述任何投資及借貸限制，則經理人必須於合理期間內，在充分考慮單位持有人的利益後，將採取一切必要措施以補救有關情況列為優先目標。
衍生工具的風險管理政策及程序
投資者應參閱本註釋備忘錄所載的風險因素，尤其是「信貸風險」及「投資於連接產品的風險」兩節所載的風險因素，以知悉使用金融衍生工具涉及的風險。本基金用以量度及管理投資金融衍生工具（尤其是連接產品）所涉及風險的風險管理政策及措施概述如下。
經理人已制定風險管理政策及措施，涵蓋包括其業務活動涉及的信貸、市場、流動性、結算、營運及法律風險在內的風險，以及本基金於金融衍生工具的投資；該等政策及措施包括由其各有關高級管理人員進行監察、審慎風險限額、完善的量度程序及資訊系統、定期監控及管理匯報、嚴格的內部控制、審核程序及應變計劃。
本基金已特別就本基金於連接產品的投資，制定詳細的交易對手篩選條件、信貸風險監控及抵押品安排，詳情載於上文「投資策略」一節。
投資者可致函經理人於香港的辦事處，要求提供有關本基金所採用的風險管理及控制政策、程序和措施。
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1st Proof 08/06/2011 ←
31010425 (Stormriders)
單 位 的 認 購
單位的首次發行
首次發售期由2010年1月11日至2010年2月5日止。
單位的後續發行
單位將於每個交易日按相關認購價格可供發行。
於任何交易日的認購價格，將為本基金於相關交易日估值點的資產淨值，除以當時已發行單位數目所計算得出的每單位價格，有關價格將調整至小數點後三個位（0.0005則向上調整），或由經理人經諮詢受託人後不時決定的調整方式及調整至其他小數位。任何調整餘額將撥歸本基金所有。認購價格將以本基金的基準貨幣（即美元）計算及報價。
在釐定認購價格時，經理人有權加入其認為於投資相等於申請款項的金額時，相當於很可能產生的非慣常交易費用或開支（包括印花稅、其他稅項、經紀佣金、銀行收費、過戶費用及登記費用）的適當撥備。任何該等額外款項將支付予受託人，並將成為本基金資產的一部分。
首次投資最低金額為3,000美元，而後續投資最低金額為1,000美元。除非經理人另行同意，否則少於100個單位的認購申請將不獲接納。
經理人有權就每個單位的認購價格收取首次認購費用。經理人可保留該等首次認購費用的利益，或可將全部或部分首次認購費用（及已收取的任何其他費用）支付予被承認的中介人或經理人可按其絕對酌情決定的其他人士。首次認購費用的詳情載於下文「收費及開支」一節。
申請程序
申請人在認購單位時須填妥本註釋備忘錄提供的申請表格，並將表格正本連同所須的憑證文件交回管理人。
於首次發售期內的單位申請文件連同已過戶款項，最遲須於首次發售期最後一日下午五時正（香港時間）前收訖。於首次發售期結束後，除非經理人另行同意，申請文件及已過戶款項須於交易時限前收訖。
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31010425 (Stormriders)
除非經理人另行同意，申請表格以傳真方式交回管理人後，申請表格正本亦必須於隨後交回。選擇以傳真方式遞交申請表格的申請人，須承擔管理人未能收到申請表格的風險。因此，申請人為保障本身利益，應向管理人確認收妥申請表格。如因未能收到或無法辨認以傳真方式遞交的任何申請表格而引致任何損失，受託人及管理人概不會就此對申請人負責。
除非經理人另行同意，否則只有在單位將予發行的相關交易時限或之前收到已過戶款項後，申請方會獲接納。
倘於經理人同意的時間前仍未收到已過戶款項，經理人可酌情決定視有關申請為無效且已被撤銷。在此情況下，經理人將有權向申請人收取（並為其本身利益保留）撤銷費用或其可釐定以相當於處理有關申請所涉費用的款項。經理人亦可要求申請人就每個被撤銷的單位，向受託人（代本基金收取）支付於相關交易日期認購價格超逾於撤銷日期適用單位變現價格的金額（如有）。
每名申請人在其申請獲接納後將獲發買賣單據，確定所認購單位的詳情，但不會獲發證書。
申請人可以透過由經理人委任的分銷商申請認購單位。分銷商可能設定不同的交易程序，包括有關接受申請及／或已過戶款項的提早截止時間。擬透過分銷商申請認購單位的申請人，應諮詢分銷商相關交易程序的詳情。
倘若申請人透過分銷商申請認購單位，經理人、受託人及管理人將視分銷商（或其代理人）為申請人。分銷商（或其代理人）將被登記成為相關單位的持有人。經理人、受託人及管理人將視分銷商（或其代理人）為單位持有人，且概不會就相關申請人與分銷商就認購、持有及變現單位及任何有關事宜訂立的任何安排負責，亦不會就該等安排可能產生的任何費用或損失負責。然而，經理人將會以全面審慎合理的方式挑選及委任分銷商。
任何款項均不應支付予並未獲發牌或註冊進行《證券及期貨條例》第V部分下第1類（證券交易）受規管活動的香港中介人。
經理人（經諮詢受託人後）可酌情接納或拒絕任何申請全部或部分認購單位。倘申請遭拒絕，申請款項將透過郵遞方式以支票或透過電匯方式不計利息退還，風險概由申請人承擔。
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在暫停計算本基金資產淨值的任何期間內，任何單位的認購申請均不獲處理（詳情請參閱下文「暫停計算資產淨值」一節）。
付款程序
認購款項須以美元支付。付款詳情載於申請表格。
一般規定
所有持有的單位將以記名方式發行，而不會發出證書。名列單位持有人名冊即為單位的所有權證明。因此，單位持有人應留意，倘若其註冊資料有任何更改，必須確保通知管理人。零碎單位可按計算至小數點後三個位發行。相當於一個單位零碎部分的認購款項將撥歸相關的本基金所有。聯名單位持有人最多可由四人登記組成。
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單 位 的 變 現
變現程序
單位持有人如有意變現其於本基金的單位，可向管理人遞交變現要求，以便在任何交易日變現單位。除經理人另行同意外，任何變現要求必須於交易時限前由管理人收悉。投資者如有意透過分銷商或代理人變現單位，則應按該分銷商或代理人的指示以同樣方式向分銷商或代理人遞交其變現要求。分銷商及代理人或有不同的交易程序，包括有關接收變現要求的提早截止時間。倘若投資者透過代理人持有其於單位的投資，則有意變現單位的投資者須確保代理人（作為登記單位持有人）於交易時限前遞交相關變現要求。除經理人另行同意外，就任何交易日而言，於適用的交易時限後遞交的變現要求將順延至下一個交易日處理。
變現要求須以書面或傳真方式提交，並須註明相關的本基金名稱、將變現單位的價值或數目、登記持有人的姓名及提供變現收益的付款指示。除非受託人另行同意，否則以傳真方式發出的任何變現要求正本須送交管理人。經理人、受託人或管理人概毋須就因未能收到任何變現要求或無法辨認以傳真方式發出的任何變現要求而引致的任何損失負責，亦毋須因真誠相信由正式授權人士發出的上述傳真而採取的任何行動所引致任何損失向單位持有人負責。
倘若部分變現不會導致單位持有人持有少於100個單位的最低持有量，則可部分變現於本基金所持基金單位。經理人有權強制變現低於上述最低持有量的任何所持單位。少於100個單位的部分變現要求將不獲受理。
變現收益的支付
任何交易日的單位變現價格，將為本基金於相關交易日估值點的資產淨值，除以當時已發行單位數目所計算得出的每單位價格，有關價格將調整至小數點後三個位（0.0005則向上調整），或經理人經諮詢受託人後不時釐定的調整方式及調整至的其他小數位。任可調整餘額將撥歸本基金所有。單位變現價格將以本基金的基準貨幣計算及報價。
在釐定單位變現價格時，經理人有權扣減其認為相當於本基金很可能產生的非慣常交易費用或開支（包括印花稅、其他稅項、經紀佣金、銀行收費、過戶費用及登記費用）適當撥備的款項。任何上述扣減款項將撥歸本基金所有並成為本基金資產的一部分。
經理人可按其選擇就將變現的單位收取變現費用（請參閱下文「收費及開支」一節）。經理人可按其全權絕對酌情決定於任何日子，就向每名單位持有人將收取的變現費用在單位持有人之間收取不同金額（惟不得超出信託契據設定的限額）。
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應付予單位持有人的單位變現款項將為單位變現價格減去任何變現費用。變現費用將撥歸經理人所有。
變現收益將不會支付予任何變現單位持有人，直至(a)管理人已收取單位持有人正式簽署的書面變現要求正本（惟受託人另行書面同意除外）及(b)單位持有人（或各聯名單位持有人）的簽署已獲受託人核實及接納。
在遵照上文所述及除經理人另行同意外，倘若已提供相關賬戶的詳細資料，變現收益一般將以美元並透過電匯支付，付款時間為相關交易日後十個營業日內，惟無論如何須於相關交易日或（如較後）接獲變現單位的正式書面要求後一個曆月內支付。與支付變現收益有關的任何銀行費用概由本基金承擔。
支付款項將僅會轉入單位持有人名下的銀行賬戶。本基金將不會向任何第三方付款。
在單位持有人要求及由單位持有人承擔費用的情況下，變現收益可以美元以外的貨幣支付。在此情況下，受託人可使用按其不時釐定的匯率。
信託契據規定，贖回可由經理人酌情決定以實物形式作出。但經理人無意就本基金行使有關酌情權。無論如何，在要求贖回的單位持有人同意下，贖回方才可以以實物形式作出。
變現限制
在暫停計算本基金資產淨值的任何期間內，經理人可暫停變現單位或延遲支付變現收益（詳情參閱下文「暫停計算資產淨值」一節）。
為保障單位持有人的權益，經理人在獲得受託人書面批准後，有權將在任何交易日變現的本基金單位數目（無論為透過出售予經理人或由受託人註銷的方式變現）限制於本基金已發行單位總數的10%內。在此情況下，該項限制將按比例實施，致使所有擬在相關交易日變現本基金單位的單位持有人，均會以相同的比例將該等單位變現，而未變現（但原應已變現）的單位將根據於相關交易日的單位變現價格，順延至下一個交易日並較於隨後交易日收到的變現要求獲優先處理，惟須受相同限制。倘若變現要求因此須順延處理，經理人將通知有關的單位持有人。
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轉 換
經理人可不時批准單位持有人將其全部或部分任何類別單位（「現有類別」），轉換為本基金或經香港證監會批准的任何其他子基金的任何其他類別單位（「新類別」）。單位持有人可以書面或傳真方式向管理人遞交轉換要求。由於未能收到或重複收到轉換要求或於接獲有關轉換要求前所作出的任何修訂而引致的任何損失，經理人、受託人或管理人一概毋須就此向任何單位持有人負責。倘若轉換部分所持單位後導致單位持有人持有少於就現有類別或新類別指明的最低持有量，則有關轉換要求將不獲接納。
管理人於交易日的交易時限（或經理人可能同意的較後時間）前收到的要求將按以下方式處理：
‧ 現有類別單位的變現將參考於該交易日（「轉換變現日」）的單位變現價格處理；
‧ 倘現有類別及新類別採用不同計值貨幣，現有類別單位的變現收益經扣除任何轉換費後，將兌換為新類別的計值貨幣；及
‧ 該計算所得的款項，將用於按該新類別交易日（管理人於該日收到以相關貨幣計值的已過戶資金）（「轉換認購日」）的相關認購價格認購新類別單位。
視乎匯付現有類別單位的變現收益所需的時間，轉換認購日可能較轉換變現日為遲。
經理人有權就轉換事項收取不高於各轉換單位的單位變現價格2%的轉換費用。有關轉換費用將從再投資於新類別金額中扣除及將支付予經理人。
在暫停計算本基金資產淨值的任何期間內，經理人可暫停轉換單位（詳情參閱下文「暫停計算資產淨值」一節）。
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估 值
本基金的資產淨值按本基金的資產估值並扣除本基金的應佔負債計算。該等負債包括（但不限於）任何管理費或信託費、任何稅項、任何借款及其所產生任何利息和開支、信託契據明確批准的任何其他費用或開支，以及就任何或然負債作出的適當撥備。
本基金的資產淨值根據信託契據於每個估值點釐定。信託契據規定（其中包括）：
(a) 除(c)段適用及遵照下文(d)及(g)段所規定情況下的集體投資計劃內的任何權益外，在任何證券市場掛牌、上市、買賣或交易的投資項目價值進行的所有計算，將參照該等投資項目於估值點在主要證券交易所的最後成交價。在釐定上述價格時，經理人及受託人將有權使用及依賴彼等可能不時決定的一個或多個資料來源所提供的電子報價資料；
(b) 倘若並無證券交易所、商品交易所、期貨交易所或場外交易市場，於計算作為該投資的市場莊家的任何人士、公司或機構（及倘若有超過一名有關市場莊家，則為經理人可能指定的該名特定市場莊家）所報的投資項目價值時，均將參考對由此所報的最後買入價及賣出價的平均價；惟倘若經理人酌情認為某證券交易所（並非主要證券交易所）的主要價格，在任何情況下就任何該等投資項目提供更公平的價值標準，則可採納該等價格；
(c) 除遵照下文(d)及(g)段所規定外，於任何集體投資計劃內的各單位、股份或其他權益的價值，若與本基金於同日估值，則為於該日計算的該集體投資計劃內各單位、股份或其他權益的資產淨值，或倘經理人據此釐定或倘若該集體投資計劃並非與本基金同日估值，則為該集體投資計劃內各單位或股份或其他權益的最近期公布的資產淨值（如有），或（如無上述資產淨值）該單位或股份於估值點或緊接之前的最近期公布買入價；
(d) 倘若無法如上文(a)、(b)及(c)段所規定獲得資產淨值、買入價及賣出價或報價，則相關投資的價值將按經理人決定的方式不時釐定；
(e) 任何手頭現金、存款、票據、即期票據、應收賬款、預付費用、已宣派或已累計但尚未收到的現金股息及利息的價值，將被視為其全部價值，惟倘若經理人認為任何該等存款、票據、即期票據或應收賬款的價值並不等於其全部價值，則該等存款、票據、即期票據或應收賬款的價值將被視為經理人認為合理的價值；
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(f) 任何債券、票據、憑證、掉期、期權或其他場外工具的價值，可為該票據、債券、憑證、掉期、期權或其他場外工具的計算代理人、發行人或其他相關人士報告的最後價值；
(g) 儘管上文所載，但倘若經理人於考慮相關狀況後，認為須作出調整或採用其他估值方法方可反映投資項目的公平價值，則經理人可在受託人同意下調整任何投資項目的價值或允許採用其他估值方法；及
(h) 任何投資項目（不論是證券或現金）的價值若以基礎貨幣以外的貨幣計算，均須兌換為基礎貨幣，折算匯率為經理人在考慮可能相關的任何溢價或折讓以及匯兌費用後認為適當之匯率（無論為官方匯率或其他匯率）。
上文(a)段所述的「最後成交價」一詞指交易所於該日所報的最後成交價，市場一般稱為「結算價格」或「交易所價格」，並相當於0交易所成員之間為未平倉結算的價格。倘若證券尚未交易，則最後成交價將相當於交易所根據其內部規則及慣例而計算及刊發的「交易所收市價」。
暫停計算資產淨值
經理人或受託人可於諮詢其他人士及已考慮到單位持有人的利益後，宣布在出現下列例外情況的任何整段或部分期間暫停釐定本基金的資產淨值：
(a) 於一般情況下買賣本基金的大部分投資項目的任何商品市場或任何證券市場停市或限制或暫停買賣，或經理人或受託人（視乎情況而定）一般用以釐定投資項目價格或本基金資產淨值或本基金每單位資產淨值的任何方式失效；或
(b) 出於任何其他原因，經理人認為本基金投資項目的價格不能合理、迅速及公平地釐定；或
(c) 出現某些情況以致經理人認為變現本基金的任何投資項目並不可行，或將該等投資項目變現將無可避免地嚴重損害相關單位持有人的利益；或
(d) 變現本基金的投資項目或就本基金的投資項目支付款項，或發行或變現本基金的單位時將會或可能涉及的資金匯出或匯入受到延誤或經理人認為無法按正常匯率迅速進行；或
(e) 通常用以釐定本基金的資產淨值或認購價格及單位變現價格的系統及／或通訊途徑故障，或因任何其他原因導致無法以迅速或準確方式確定資產淨值或認購價格及單位變現價格；或
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(f) 由於傳染病、戰爭活動、恐怖活動、叛亂、革命、內亂、暴亂、罷工或天災，導致經理人、受託人或管理人對本基金的業務營運受到重大干擾或終止。
該項暫停將在宣布後即時生效，其後將不再釐定本基金的資產淨值，直至經理人或受託人（於諮詢其他人士後）宣布該項暫停結束為止，惟在任何情況下該項暫停在首個營業日翌日如出現下列情況便須終止：(i)引致暫停的情況不再存在，及(ii)引致須要實行暫停的其他情況並不存在。
不論經理人何時宣布有關暫停決定，則須在宣布任何有關暫停後，在實際可行情況下盡快及在暫停期間內至少每月一次在《南華早報》及《香港經濟日報》刊登通告。
在有關暫停期間內，不得發行或變現本基金的單位。
資產淨值的公佈
每單位的最近認購價格及單位變現價格或資產淨值將在《南華早報》及《香港經濟日報》每月至少刊登一次。
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開 支 及 收 費
由單位持有人應付的費用
下列費用及開支由單位持有人支付：
首次認購費用
經理人有權就發行任何子基金單位收取首次認購費用，最高為有關單位認購價格的5%。
就本基金而言，經理人收取各單位適用認購價格5%的首次認購費用。除應付每單位認購價格外，須另支付首次認購費用，並將由經理人保留或向其支付。經理人可根據認可分銷商向本基金引入相關業務的價值，向其支付該首次認購費用的一定比例。
經理人可全權酌情豁免或減少支付全部或任何部分的首次費用。
變現費
經理人有權就贖回任何子基金單位收取變現費，最高為已變現各單位的單位變現價格的5%。然而，就本基金而言，經理人不擬收取任何變現費。
轉換費
經理人有權就轉換任何子基金單位收取轉換費，最高為已轉換各單位的單位變現價格的2%。
就本基金而言，倘單位持有人要求轉換單位，經理人擬收取已轉換各單位的單位變現價格的2%。轉換費將從再投資於新類別的金額中扣除並將支付予經理人。
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31010425 (Stormriders)
本基金應支付的費用
下列費用及開支應自本基金的資金中支付：
應支付經理人的費用
信託契據規定經理人有權就其管理的各子基金收取管理費，最高金額為每年收取相等於相關子基金資產淨值的5%。
就本基金而言，經理人每年收取本基金資產淨值1.75%的管理費。倘提高上述管理費率，必須向受影響的單位持有人發出一個月通知後，方可實施。未經單位持有人批准，管理費不會提高至超過信託契據規定的上限。管理費將於各估值日累計，並將按月到期支付。
經香港證監會事先批准，經理人可委任投資經理及投資顧問，協助經理人管理特定子基金。經理人（並非相關子基金）將負責所委任任何人士的費用。
經理人可與任何分銷或以其他方式促成認購該子基金的人士，分享其作為子基金經理人有權收取的任何費用、收費或款項。
應支付受託人的費用
信託契據規定受託人有權就各子基金收取受託人費用，最高金額為每年收取相等於相關子基金資產淨值的1%。
就本基金而言，受託人每年獲支付1,000美元的費用。倘提高此費用，必須在向受影響的單位持有人發出三個月通知（或香港證監會可能批准的其他較短期間）後，方可實施。未經單位持有人批准，受託人費用不會提高至超過信託契據規定的上限。
應支付管理人的費用
信託契據規定管理人有權就各子基金收取行政費用，最高限額為每年收取相等於相關子基金資產淨值的1%。
就本基金而言，管理人每年獲支付上限為本基金資產淨值0.125%的費用，視乎最低固定收費上限為每年75,000美元而定。倘提高此費用，必須在向受影響的單位持有人發出三個月通知（或香港證監會可能批准的其他較短期間）後，方可實施。未經單位持有人批准，行政費用不會提高至超過信託契據規定的上限。
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31010425 (Stormriders)
連接產品的費用及收費
當本基金買入或出售連接產品時，應支付或應收取的價格（視乎情況而定），扣除連接產品發行人收取的任何佣金及／或費用。故該等佣金及費用由本基金承擔。任何該等佣金及費用按市場費率計算。請參閱「稅務」一節的「有關連接產品的稅項」，以了解有關本基金持有連接產品的可能稅務後果。
其他收費及開支
各子基金將承擔信託契據規定其直接產生之有關費用。倘有關費用並非因應某子基金直接產生，各子基金將根據其緊隨先前估值點的各自資產淨值按比例分攤。有關費用包括（但不限於）投資於子基金及變現有關投資的費用、保管信託基金資產的費用及開支、管理人及核數師的費用及開支、估值費、法律費用、取得任何上市或規管機構批准所須的費用、舉行單位持有人會議的費用以及編製及印刷任何註釋備忘錄及編製及印刷任何財務報表所須的費用。
就信託基金或子基金產生的任何廣告或推廣費用，將不會由信託基金或任何子基金承擔。
設立本基金的費用約為125,000美元，並計入本基金。上述成本自本基金成立起於12個月期間予以攤銷。
現金回佣及非金錢佣金
經理人目前未有就任何子基金進行的交易向經紀或交易商收取任何現金佣金或其他回佣。然而，經理人及／或任何與其有關連的公司保留由他人或透過他人的代理（「代理人」）代為執行交易的權利，而經理人及／或任何與其有關連的公司與該代理人妥為安排。
經理人及／或任何與其有關連的公司進一步保留由他人或透過他人的代理代為執行交易之權利，而經理人及／或任何與其有關連的公司已與該方妥為安排，根據有關安排，該方會不時向經理人及／或任何與其有關連的公司提供或促使其取得貨品、服務或其他利益（例如研究及顧問服務、與聯結有特定軟件的電腦硬件或研究服務及績效評估等），而基於其性質，提供該等貨品、服務或利益可合理地預期將符合本信託基金的整體利益，並可提升本信託基金的表現或經理人及／或任何與其有關連的公司在向本信託基金提供服務時的表現，但經理人及／或任何與其有關連的公司不會為此直接付款，而會承諾將業務交予該方。為免產生疑問，有關貨品及服務並不包括旅遊、住宿、娛樂、一般行政貨品或服務、一般辦公室器材或場所、會費、僱員薪金或直接金錢付款。
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風 險 因 素
本基金的投資性質涉及若干風險。因此，投資於基金單位帶有風險，僅適合能夠承受失去投資的風險的人士。有意投資者應考慮以下因素，以及本註釋備忘錄所載的資料，並應於投資本基金前諮詢投資顧問的意見：
投資集中度風險
儘管經理人於管理本基金的投資項目時，須遵守多項投資限制，但本基金的投資項目主要集中於中國、香港及台灣，相對於覆蓋範圍廣泛的全球投資組合，本基金的投資項目可能面對較大波動。
信貸風險
本基金承受任何對手方（包括任何連接產品發行人）無能力履行本基金所購買的任何投資項目或合約的風險。倘若對手方破產或因財務困難而無法履行其責任，本基金可能在破產或其他架構重組的法律程序中提出任何追討時受到重大延誤。本基金很可能成為任何該等程序中的無擔保債權人，在該等情況下，本基金或許只能追討有限部份或甚至無法追討。倘任何連接產品發行人發生信貸事件，經理人會採取必要行動尋找一名或以上替代連接產品發行人，代替本基金於發生信貸事件的連接產品發行人所發行連接產品的投資。然而不能保證經理人將成功尋找該代替經發行人，如經理人未能覓得替代連接產品發行人，以致本基金無法達致其投資目標，本基金或會遭終止。
本基金須面對以下風險：本基金所投資證券的發行人如因無力償債或財務緊絀而未能履行責任，本基金投資的價值將遭受不利影響。
請參閱下文「投資於連接產品的風險」，以了解有關連接產品發行人信貸風險的進一步論述。
投資於連接產品的風險
流動性有限：任何連接產品將須受其發行人施加的條款及條件規限。該等條款或會導致實施本基金投資策略時出現延誤。連接產品一般並無活躍第二市場，因此其流動性有限。為變現投資項目，本基金將依賴發行連接產品的交易對手報價，以為任何部分的連接產品平倉。經理人調整倉盤的能力可能因而受到限制，從而影響本基金的表現。
信貸風險：於連接產品的投資項目本身並非直接投資於相關投資項目（例如股份）。於連接產品的投資項目並不賦予持有人擁有股份的實益權益，亦無對發行股份的公司提出任何索償的權利。
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連接產品構成連接產品發行人的直接、一般及無抵押合約責任。因此，本基金將承受本基金所投資任何連接產品發行人的信貸風險。倘若連接產品發行人破產或因財務困難而未能履行其責任，則本基金將會蒙受相等於該連接產品發行人所發行連接產品全部價值的潛在損失。任何損失會導致資產淨值減少，並削弱本基金實現其投資目標的能力。
然而，經理人將透過制定交易對手風險管理程序（如「投資目標、策略及限制」一節下「連接產品及交易對手風險管理程序」分節所述），藉此尋求減低該等交易對手風險。
與信貸支持／抵押品有關的風險：該等交易對手風險管理措施或會涉及其本身的風險，例如於信貸支持產生的結算、營運及變現風險。例如，連接產品發行人可能未能提供信貸支持或抵押品，或如抵押品包括上市證券，則於某一特定交易日內該等證券價值暴跌可能導致本基金逾10%的資產淨值須承受任何一名連接產品發行人的信貸風險。此外，該等證券的上市地位可能暫停或撤銷或該等證券可能暫停在證券交易所買賣，以及在暫停期間內或撤銷後，或許無法變現相關抵押品證券。本基金亦可能會由於採取該等措施而引致額外費用、收費及開支（包括但不限於印花稅）。因此，抵押品所變現的價值可能不足以抵償以該抵押品擔保的連接產品價值。因此，縱使本基金採取適當措施以減低連接產品發行人的信貸風險，惟倘若連接產品發行人破產或因財務困難而無法履行其責任，投資者可能蒙受重大損失。
估值風險：連接產品為場外衍生工具的一種，一般須承受由不同許可估值方法所引致的估值偏差風險。大部分衍生工具（尤以場外衍生工具而言）結構複雜及估值偏向主觀，且僅由少數市場專業人士提供估值服務，該等人士通常擔任將予估值交易的交易對手。連接產品估值失準，可導致須向交易對手支付的現金款項增加或本基金價值受損。
波動風險：連接產品與相關A股或一籃子A股的表現掛漖。連接產品的價值因而受到相關證券及相關證券的計值貨幣的市場波動影響。倘整體市場波動，連接產品的有限流動性可進一步加劇其價值波動，從而對本基金價值造成不利影響。
連接產品成本風險：可供運用的連接產品由於受適用的中國法規限制以致數量有限，投資於連接產品的成本因而受制於市場供求。當市場供應相對低於市場需求，可能需以較高成本或溢價購入其他連接產品，以致可能對本基金整體表現構成不利影響。然而，建構本基金的投資組合及決定是否使用連接產品以投資於某公司時，副經理人將會考慮所有相關因素，包括投資於連接產品涉及的成本。
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QFII規定設置的限制：根據投資規例，QFII須遵循若干投資限制。尤其是，(i)QFII於一家中國上市公司持有的股份合計不得超逾該公司已發行股本總額的10%（即使QFII事實上可能代表多名不同最終客戶持有其權益）；及(ii)所有QFII於任何中國上市公司持有的股份合計不得超逾該公司已發行股本總額的20%。該等限制或會限制連接產品發行人發行與若干A股掛漖的連接產品的能力，從而限制本基金購買該等產品的能力。
資金匯回風險：匯回資金須經國家外匯管理局批准，且匯回資金數額及相距時間設有限制。連接產品乃於中國以外地方發行，一般而言，限制或暫停QFII匯回美元資金的能力應不會影響本基金的運作。然而，倘若連接產品發行人亦為QFII或連接產品發行人將連接產品與屬於QFII的聯屬公司進行對沖，無法匯回美元資金或會對連接產品發行人造成流動資金問題，倘若連接產品發行人因此無法履行其於相關連接產品項下的責任，本基金可能會受到影響。
QFII制度風險：QFII制度相對較新。QFII制度的未來發展狀況無法預知，而中國證監會或會對QFII的運作施加限制。該等限制或會對第三方發行連接產品的能力造成不利影響，從而對經理人投資連接產品的能力造成不利影響。本基金可能因該等限制而無法完全落實或執行其投資策略。在最差的情況下，本基金可能會被迫終止。
蔓延效應：連接產品發行人主要為金融機構，此情況本身可能產生投資集中度風險。任何影響某一連接產品發行人表現的不利事件，可能因蔓延效應而對其他連接產品發行人的表現構成負面影響。
投資風險
投資者應注意，投資於本基金會受到正常的市場波動所影響，並須承受本基金可能投資的相關資產的其他既有風險，故不能保證投資項目的價值必定上升。儘管經理人會盡力處理，但由於政治、金融、經濟、社會及／或法律狀況的變化並非經理人所能控制，故不能保證本基金定會實現投資目標。
經理人將把本基金的資產投資於其認為將實現本基金投資目標的投資項目。縱然經理人有意執行旨在實現該目標的策略，但無法保證或聲明該等策略將會成功。經理人可能無法成功甄選具有最佳表現的證券或投資技術。
因此，投資者未必可收回投資於本基金的原先金額，亦可能損失其大部份或全部的初步投資。
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31010425 (Stormriders)
投資策略風險
在建立本基金的投資組合時，經理人將篩選於最近期錄得正面或超逾基準表現而相關基準指數於該段期間內的價值從最高位至最低位損失逾30%的證券。然而，目前無法保證所篩選證券的表現將在各種經濟週期下繼續優於相關基準指數。過去業績並不代表將來表現。
貨幣風險
本基金持有以本基金面值貨幣以外之貨幣計值的投資，意味著本基金的資產承受外幣匯率出現不利變動的風險。因此，本基金資產的價值連同單位的資產淨值將受（其中包括）美元與本基金資產結算貨幣的相對匯率所影響。
經理人無意就本基金進行任何外匯風險對沖。
新興市場風險
投資於中國及台灣等新興市場導致本基金承受較投資於發達國家更高的市場風險，主要由於（其中包括）與一般發達市場比較，新興市場的波動較大、交投量較低、政治和經濟不穩定、結算風險和市場關閉的風險較大及政府對外國投資的限制亦較多。
股票風險
投資於股本證券所提供的回報率可能較投資於短期及長期債務證券的回報率為高。然而，投資於股本證券所附帶的風險亦可能較高，因為股本證券的投資表現取決於難以預測的因素。該等因素包括市場可能突然或長期下挫及涉及個別公司的風險。與任何股本投資組合相關的基本風險為其所持有投資項目的價值可能下跌的風險。
對相關公司缺乏多數控股權
本基金持有的單一類別普通股（政府及其他公共證券除外）不得超過同一類別已發行普通股面值的10%。因此，就本基金已作出或將作出的所有投資將屬被動性質，且經理人將不能對相關公司施加任何控制。
法律及合規風險
國內及／或國際法律或法規或會出現對本基金不利之變動。國家或司法權區間之法律差異可能令受託人或經理人難以強制執行就本基金簽訂之法律協議。受託人及經理人保留權利以採取措施以限制或防止法律或其詮釋變動所帶來任何負面影響，包括變更本基金之投資項目或重組本基金。
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1st Proof 08/06/2011 ←
31010425 (Stormriders)
市場風險
單位的資產淨值將會因本基金之投資項目市值波動而改變。因此，單位的價格可升可跌。
有關中國稅項的風險
中國上市公司向QFII派付股息及利息按10%稅率繳納中國預扣稅的規定已經實施。然而，中國稅務當局迄今為止普遍尚未就QFII出售A股實現的資本收益尋求徵收預扣稅，儘管預扣稅在法律上適用於該等資本收益。
中國稅務當局有可能不經任何事先警告，將會就QFII出售A股實現的資本收益，按追溯基準徵收中國預扣稅。倘若徵收該稅項，該稅務責任將由QFII支付。於該情況下，根據連接產品或經理人與連接產品發行人另行議定的條款，向中國的QFII徵收或由QFII應付的任何稅項可轉移至本基金及由本基金承擔，惟以本基金透過其持有的連接產品而間接應繳該稅項為限。此外，當經理人出售連接產品時，售價可計及QFII的稅務責任。於該情況下，每單位資產淨值及本基金持有的連接產品的價值，可能隨與連接產品掛漖的相關A股的價值扣減，因為最終中國所得稅務責任（如有）將由本基金承擔。
若干連接產品發行人已表明，有意預扣相等於實際出售連接產品的名義相關A股時就任何資本收益應付的中國稅項。任何預扣金額可能被無限期保留，以待中國當局澄清有關稅務規則。倘若中國當局澄清中國稅務法例適用於QFII的A股交易，而預扣金額高於實際的資本收益稅務責任，則預扣金額（或超額預扣）將退還本基金。倘若預扣金額不足以全額清償稅務責任，則剩餘稅債可能以本基金的資產清償。
視乎連接產品的條款，任何預扣金額一般將予保留最少5至7年（以待中國當局澄清有關稅務規則）或無限期保留。倘於若干年期滿時，並無向連接產品發行人（或其聯屬公司）強制徵收資本收益稅，或預扣金額超出實際資本收益稅務責任，則儘管本基金將仍須繳納任何應佔未來稅務責任，部分連接產品發行人或會同意將預扣金額（或超出的預扣金額）退還予本基金（在部分情況下，應計利息須就預扣金額支付予本基金）。然而，即使就該等連接產品而言，倘本基金於指定期間屆滿前遭終止，則儘管有該等條款規定，本基金將不會收回預扣金額。其他連接產品發行人可能選擇無限期保留預扣金額，而不論是否須繳納資本收益稅及有關稅率。亦有其他連接產品發行人可能會就預扣金額施加額外或不同條款。
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1st Proof 08/06/2011 ←
31010425 (Stormriders)
本基金將保留任何資本收益（已變現或未變現）10%的金額為撥備，以作倘實現收益時可能產生的任何潛在中國稅務責任的備付款項，惟以該金額並非被相關連接產品發行人另行預先扣除為限。任何該等撥備產生的影響將為以估計稅務責任金額按比例降低每單位資產淨值。倘若本基金須作出反映稅務責任的支付，惟未就此撥出儲備或儲備不足，則在不作通知的情況下，每單位資產淨值可能以未設立儲備的稅項金額按比例顯著降低。本基金設立之任何儲備的金額均將於本基金的年度及半年度報告內披露。
請參閱「稅務」一節的「有關連接產品的稅項」。
本基金無法保證現行稅務法規及慣例將不會於日後修訂或修改或日後不會頒佈新稅法。任何上述改變均可能降低來自單位的收入及／或單位的價值。
中國相關風險
除一般投資風險外，投資於中國亦涉及若干其他既有風險和不明朗因素。投資者亦須注意，儘管本基金不會直接投資於A股，惟其因投資於連接產品然而會承受與投資A股有關的風險。
會計和報告準則：中國公司必須遵循中國會計準則和常規，而該準則和常規在某程度上亦追隨國際會計準則。然而，適用於中國公司的會計、核數和財務報告準則和常規可能嚴謹程度較低，而按照中國會計準則和常規擬備的財務報表，與根據國際會計準則擬備的財務報表可能存在重大差異。由於中國的披露和監管準則的嚴謹程度不及發達市場，因此，可供經理人據以作出投資決策的有關中國發行人的公開資料可能顯著較少。
政府管制外幣兌換及未來的匯率走勢：自1994年起，人民幣兌換為美元的匯率由中國人民銀行每天根據上一日的中國銀行同業外匯市場匯率訂定。於2005年7月21日，中國政府推行管理浮動匯率制度，容許人民幣匯率根據市場供求和參考一籃子貨幣而在受規管的範圍內波動。目前無法保證人民幣兌美元或任何其他外幣的匯率不會在日後大幅波動。倘若人民幣升值，將導致本基金從其中國投資項目收取的任何股息及本基金資產淨值的美元報價上升，反之亦然。
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1st Proof 08/06/2011 ←
31010425 (Stormriders)
發展中的法律及監管制度：中國法律制度是一個法典化的法律制度，包括書面法令、法規、通告、行政指令、內部指引及最高人民法院對其作出的解釋。自1979年起，中國政府一直致力發展完善的商業法律制度，並且在制定有關經濟事務（如外商投資、公司組織與管治、商業稅務及貿易）的法律法規方面取得重大發展。然而，中國在實施、詮釋及執行法律和法規以及所訂立的商業合約、承諾和承擔的經驗亦有限。尤其是，規管QFIIs在中國的投資以及資金匯回和外幣兌換的投資規例相對未經測試，故無法確定其實際應用情況。中國證監會和外匯管理局對投資規例的實施擁有廣泛酌情權，但至於當局將如何行使有關酌情權，則無先例可循，亦無明確說明。本基金無法保證投資規例的修訂不會有損QFIIs或QFIIs所發行的連接產品，亦無法保證QFII的投資配額（須由中國證監會和外匯管理局不時檢討）不會被大幅度或全部撤銷。
國有化和徵用：中國於1949年成立為社會主義國家後，中國政府拒絕承認多項債務責任，並將私有資產國有化而並無提供任何賠償。近年來，中國政府對在中國的外國投資採取較友善態度。然而，無法保證中國政府不會在未來採取類似行動。
政治及經濟考慮因素：在1978年前，中國經濟由中央計劃，中國政府負責制定以闡明經濟目標的國家五年計劃，但自1978年起，中國已實施一連串經濟改革計劃，強調利用市場力量以發展中國經濟，並賦予企業高度的管理自主權。中國經濟在過去20年顯著增長，但在不同地區及不同各業的經濟增長情況並不一致。隨著經濟增長，亦不時出現高通脹情況。然而，目前無法保證中國政府將繼續推行有關經濟政策，或即使繼續推行有關政策會否繼續成功。中國政府可能不時採取更正措施，以遏抑通脹和限制經濟增長步伐，因而亦可能對本基金的資本增長和表現構成不利影響。此外，中國的政治轉變、社會不穩和不利的外交發展可能導致政府施加額外的限制，包括徵用資產、實施充公性稅款或把本基金可能投資的相關證券所持的部份或全部投資項目國有化。上述因素可能對本基金所持投資項目的價值及繼而對單位的資產淨值造成負面影響。
中國加入世界貿易組織：隨著中國於2001年12月11日加入世界貿易組織及中國市場的逐步開放，本基金於中國投資的公司可能面對更劇烈的競爭，因為中國必須大幅撤銷中國以往及目前對進口設立的貿易壁壘，例如減少對外國公司的若干產品類別的貿易限制、撤銷對進口實施的禁制、量化限制或其他措施，以及顯著降低關稅。倘若在目前或日後增加外來競爭，可能對本基金於中國的投資項目造成不利影響。
證券市場：中國的證券交易所及市場曾經面對證券價格大幅波動，本基金不能保證未來不會繼續出現該等波動情況。中國證券市場正處於發展及轉變階段，或會導致在結算及記錄交易以及詮釋及應用有關法規方面出現困難。中國監管當局最近才獲賦予權力及職務以禁止有關證券市場的欺詐及不公平交易做法，其中包括內幕交易及市場操縱，以及規管大型股份購入活動及公司收購活動。
33
1st Proof 08/06/2011 ←
31010425 (Stormriders)
台灣相關風險
外國投資規例：對台灣的直接外國投資按「華僑及外國人投資證券管理辦法」及相關的外匯結算程序（「規例」）獲准進行。外國機構投資者必須在台灣證券交易所登記並獲得外國機構投資者的投資身份（「FINI」）。FINI的投資須受各種限制及規定的約束，從而可能限制就本基金能夠作出的投資。
資金匯回：台灣的規例及相關的外匯結算程序可能限制或拖延將款項匯出台灣，從而可能影響本基金應對贖回要求的能力。
政治風險：中國政府宣稱是整個中國的唯一合法政府。目前無法保證中國政府不會使用武力取回台灣的控制權。任何此類行動可能對本基金所持投資項目的價值及繼而單位的資產淨值造成負面影響。
暫停風險
根據信託契據的條款，於若干情況下，經理人可能暫停計算本基金單位的資產淨值，同時暫停認購及變現本基金單位。當啟動上述暫停時，投資者可能無法辦理認購或變現事項。倘若並無提供單位價格，則投資者可能無法得知其投資項目的市場價值。
信託基金及／或本基金的終止
投資者應參閱「一般資料」一節的「信託基金或任何子基金的終止」，以了解可能令信託基金及／或本基金終止的情況。
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1st Proof 08/06/2011 ←
31010425 (Stormriders)
稅 務
潛在單位持有人應就購買、持有、贖回、轉讓或出售單位而根據其所屬司法管轄區的相關法律引起的後果（包括稅務負擔及任何外匯管制規定）諮詢其專業顧問。此等後果（包括投資者是否享有稅務減免及其價值）會根據投資者的國籍、居住、所在或登記註冊的國家的法律和慣例及其個人情況而各有不同。以下有關稅務及稅項的陳述乃經理人就本註釋備忘錄刊發日期根據香港、中國及百慕達現行的法律及慣例所獲得的意見。
百慕達稅務
信託基金或任何子基金現時於百慕達並無就利息、股息及收益收取或應付任何直接稅項，故單位持有人將收取的有關收入毋須繳納所有百慕達稅項。
香港稅務
在本基金獲證監會認可的期間內，根據香港現行法律及慣例，按照證券及期貨條例第104條：
(a) 預期本基金毋須就其任何投資活動繳納香港稅項。
(b) 香港的單位持有人毋須就本基金的收益分派或有關出售、變現或以其他方式處置單位所產生的任何資本收益繳納香港稅項，惟倘若該等交易構成在香港從事貿易、行業或業務的一部分，則可能須繳納香港利得稅。
中國稅務
企業所得稅
管理人及受託人有意以特定方式管理及運作本基金，致使本基金不應被視作就企業所得稅而言的中國稅務居民企業或於擁有機構或業務地點的非稅務居民企業。因此，預期本基金毋須按計徵基準繳納企業所得稅，而僅須按預扣基準繳納企業所得稅，惟以本基金直接產生來自中國的收入為限。
有關連接產品的稅項
本基金透過管理人收購或出售連接產品（猶如其為相關A股）以獲得參與A股市場的經濟機遇。連接產品發行人可以透過一家或多家QFIIs就連接產品落實對沖安排，而QFIIs將收購或出售與相關連接產品掛漖的相關A股。由於根據中國法律，相關QFII為A股的法定擁有人，來自QFIIs投資於相關A股的任何中國稅項將由該QFII根據法律直接承擔。由於任何就與連接產品掛漖A股而言的QFII應計中國稅務責任是由本基金買賣活動中產生，因此，該等稅務責任最終或會向本基金重新徵收及由本基金承擔。
35
1st Proof 08/06/2011 ←
31010425 (Stormriders)
根據現行中國稅法，並無特定規則或規例規管QFIIs的稅項（包括已付股息及QFII出售A股已變現收益的稅項）。QFII投資A股的稅務待遇乃受企業所得稅法的一般稅務條文規管。根據企業所得稅法，QFII須就來自中國上市證券的利息收入、股息及資本增益繳納10%的中國預扣稅。此稅法乃基於QFIIs將以非中國稅務企業居民的形式管理及營運，其亦不會被視為於中國擁有常設機構。中國及QFII的國家之間的雙重稅務條約將可進一步減少10%的預扣稅項。
至今，中國已就由QFII所得來自中國上市公司的股息及利息款項而實施預扣稅。中國預扣稅仍未就由QFII所得來自買賣A股而變現的任何資本收益予以實施，然而，根據中國稅法，該等收益在技術上而言須繳付10%預扣稅，預計日後QFIIs可能須就任何此類收益繳納中國預扣稅，且可能具有追溯效力。
中國稅務當局有可能不經任何事先警告，將會就QFII出售A股實現的資本收益，按追溯基準徵收中國預扣稅。倘若徵收該稅項，該稅務責任將由QFII支付。於該情況下，根據連接產品或經理人與連接產品發行人另行議定的條款，向中國的QFII徵收或由QFII應付的任何稅項可轉移至本基金及由本基金承擔，惟以本基金透過其持有的連接產品而間接應繳該稅項為限。此外，當經理人出售連接產品時，售價可計及QFII的稅務責任。於該情況下，每單位資產淨值及本基金持有的連接產品的價值，可能隨與連接產品掛漖的相關A股的價值扣減，因為最終中國所得稅務責任（如有）將由本基金承擔。
若干連接產品發行人已表明其有意就任何資本收益預扣相當於中國稅項的金額，有關金額將於實際出售任何連接產品的名義相關A股時支付。連接產品發行人作出的有關預扣將反映在其就連接產品所提供的報價，以致於任何估值日的本基金資產淨值中反映。所預扣的任何金額可被無限期保留，以待中國當局就稅務規則作出澄清。
視乎連接產品的條款，任何預扣金額一般將予保留最少5至7年（以待中國當局澄清有關稅務規則）或無限期保留。倘於若干年期滿時，並無向連接產品發行人（或其聯屬公司）強制徵收資本收益稅，或預扣金額超出實際資本收益稅務責任，則儘管本基金將仍須繳納任何應佔未來稅務責任，部分連接產品發行人或會同意將預扣金額（或超出的預扣金額）退還予本基金（在部分情況下，應計利息須就預扣金額支付予本基金）。然而，即使就該等連接產品而言，倘本基金於指定期間屆滿前遭終止，則儘管有該等條款規定，本基金將不會收回預扣金額。其他連接產品發行人可能選擇無限期保留預扣金額，而不論是否須繳納資本收益稅及有關稅率。另有其他連接產品發行人可能會就預扣金額施加額外或不同條款。
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本基金將保留任何資本收益（已變現或未變現）10%的金額為撥備，以作倘實現收益時可能產生的任何潛在中國稅務責任的備付款項，惟以該金額並非被相關連接產品發行人另行預先扣除為限。任何該等撥備產生的影響將為以估計稅務責任金額按比例降低每單位資產淨值。倘若本基金須作出反映稅務責任的支付，惟未就此撥出儲備或儲備不足，則在不作通知的情況下，每單位資產淨值可能以未設立儲備的稅項金額按比例顯著降低。本基金設立之任何儲備的金額均將於本基金的年度及半年度報告內披露。
台灣稅務
外國機構投資者，例如本基金，須就現金、股息及利息按20%的稅率繳納預扣稅。台灣現時並無就非居民進行證券交易而獲得的資本收益徵稅。出售證券須按0.3%的稅率繳納證券交易稅。
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一 般 資 料
報告及賬目
信託基金的財務年結日為每年12月31日。會就每個財政年度編製年報連同經審核賬目（以美元計算）。本基金的首次賬目覆蓋截至2010年12月31日止期間。
未經審核的半年度報告亦將予編製。該等報告包括載明本基金資產淨值及組成其投資組合的投資項目報表。
年報、半年度報告及財務報表只會提供英文版。
財務報告一經刊發，單位持有人將獲通知在何處可取得財務報告的印刷本及電子版本。該等通知將於可行情況下盡快寄發予單位持有人，且無論如何將於財政年度結束後四個月內（如為年報及經審核財務報表）及每年6月30日後兩個月內（如為未經審核的半年度報告）寄發。年報及半年度報告一經刊發，將於網站www.funds.citi.com可供下載及於一般辦公時間內在經理人的辦事處可供免費查閱。
財務報告的發佈方式如有更改，須向單位持有人發出最少一個月事先通知後方予施行。
分派政策
預計來自本基金投資項目的任何收入或收益將不會予以分派。
單位持有人會議
經理人或受託人可召開單位持有人會議。持有已發行單位總價值10%或以上的單位持有人亦可要求召開單位持有人會議。單位持有人將於最少21日前獲發任何會議的通知。
所有單位持有人會議的法定最低人數為持有當時已發行單位10%的單位持有人（親身或由受委代表出席），惟就通過特別決議案的會議除外。就通過特別決議案的法定最低人數為持有已發行單位25%或以上的單位持有人（親身或由受委代表出席）（「特別決議案」）。倘若須舉行續會，有關通知將另行寄發。在續會上，親身或由受委代表出席大會的單位持有人將構成法定最低人數。親身或由受委代表或委派代表出席的每名單位持有人，均可就其所持有的每一個單位享有一票投票權。倘若為聯名單位持有人，則排名首位及有投票的單位持有人（親身或由受委代表）所提交的表決將獲接納，而單位持有人的排名順序乃按單位持有人登記冊內所載的排名次序釐定。
信託契據載有規定，當只有某類別的單位持有人的權益受到影響時，持有該類別基金單位的持有人可舉行獨立會議。
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單位的轉讓
單位可透過經轉讓人及受讓人簽署（或倘若屬法團，則由法團代表簽署或蓋章）的通用形式文據予以轉讓。在受讓人名稱登記入有關單位的單位持有人名冊之前，轉讓人仍被視作所轉讓單位的持有人。
倘若經理人或受託人任何一方相信將受讓人名稱登記入持有人名冊或確認任何單位的轉讓，將導致或可能導致違反任何國家、任何政府機關或有關單位上市的證券交易所的任何適用法律或規定，則經理人或受託人可拒絕進行有關事項。
信託契據
信託基金是根據百慕達法律，按照經理人與受託人於2007年8月17日訂立的信託契據而成立，初步信託基金為100美元。
根據信託契據的條款，經理人有全權以任何方式處理或出售任何本基金的資產，惟經理人須始終遵循信託基金的章程文件及本註釋備忘錄所載的投資目標及政策，以及投資限制及指引。
信託契據載有各訂約方的彌償保證及在若干情況下的免責條文。
根據信託契據，信託人於下列情況可撤換經理人，倘若：(a)經理人清盤，(b)受託人認為更換信託基金的經理人符合單位持有人的利益，及(c)持有不少於全部已發行單位價值50%的單位持有人向受託人送交有關通知。經理人亦可於信託契據所註明的若干其他情況下自願退任。
單位持有人及有意申請認購單位的人士應細閱信託契據的條款。
核數師
經理人須不時委聘一名或多名符合核數師任職資格的會計師擔任信託基金的核數師（「核數師」），據此獲聘的核數師將獨立於受託人及經理人。核數師可向經理人發出書面通知以自願退任，其後經理人須重新委聘一名或多名核數師接任。
經理人已委聘畢馬威會計師事務所作為信託基金的核數師。
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信託基金或任何子基金的終止
信託基金須自信託契據生效日期起存續100年或直至其以下列一種方式終止。
倘若出現以下情況，則受託人可終止本基金，惟受託人須證明其建議的終止決定符合單位持有人的利益：(a)於經理人離職後30日內，並無新經理人獲委任，或(b)倘若受託人認為經理人無能力或未能以令人滿意的方式履行其職責，或(c)倘若經理人清盤，或(d)倘若受託人有意退任及經理人未能物色合資格的新受託人以接替退任的受託人。倘若通過任何法律，令繼續運作信託基金為非法或受託人認為繼續運作信託基金並非切實可行或為不智之舉，受託人亦可終止信託基金。
倘若出現以下情況，則經理人可終止信託基金或任何子基金：(a)倘若就任何子基金而言，就任何本基金於任何日期的已發行單位資產淨值總額不足500萬美元，或(b)倘若為單一子基金，其唯一投資目標是追蹤某一指數或基於規定的投資策略表現，而相關指數或策略因任何原因而無法使用且經理人未能發現適當的替代指數或策略，以致經理人無法再以其自主決定而達至相關子基金的投資目標，或(c)倘若通過任何法律，令繼續運作信託基金或子基金為非法或經理人認為繼續運作信託基金或該子基金並非切實可行或為不智之舉。任何終止決定均將至少提前一個月以書面方式通知單位持有人。此外，任何子基金的單位持有人均可隨時以特別決議案方式授權終止該子基金。
於終止信託基金或子基金後，受託人將安排出售作為資產剩餘部份的所有投資項目，並清償信託基金或相關子基金的所有債務（視情況而定）。其後，受託人將按單位持有人所持單位的比例，向其分派變現資產所得及就該分派而言可用的任何凈現金款項，惟受託人將保留作為資產部份任何款項用作準備金，以支付受託人適當產生或作出的一切費用、債項、債務、收費、開支、索償及要求的全額款項。請參閱信託契據以了解更多詳情。
可供查閱的文件
信託契據、本註釋備忘錄以及最近期的年度及半年度報告（如有）的副本可在任何一日（星期六、星期日及公眾假期除外）的一般辦公時間內，在受託人於百慕達的辦事處及經理人的辦事處（地址為香港中環花園道3號花旗銀行廣場花旗銀行大廈50樓）供免費查閱。信託契據的副本亦可按象徵式金額向經理人購買。
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反洗黑錢規例
作為受託人及經理人防止洗黑錢活動的職責所在，受託人及／或經理人可能會要求投資者提供有關其身份及認購款項來源的詳細證明。視乎各項認購申請的具體情況而定，在下列情況下可能無須提供有關詳細證明：
(a) 申請人透過在認可金融機構以其本人名義開立的賬戶付款；或
(b) 透過認可中介作出認購申請。
只有在上述金融機構或中介人的總部或成立地點所在的國家為財務行動特別小組(Financial Action Task Force)成員之一或被公認為擁有足夠的反洗黑錢規例的情況下，上述豁免方可適用。
受託人及經理人各自保留權利於必要時要求提供上述資料，以核實申請人身份及款項來源。倘若申請人延遲或未能出示任何所須資料以供核證，則受託人及／或經理人可能會拒絕接納申請及其有關申請認購款項。
倘若受託人或經理人懷疑或被告知向單位持有人支付已變現收入可能導致任何人士違反任何相關司法權區的適用反洗錢法或其他法律或規例，或倘有關拒絕被認為就確保本基金或受託人或經理人遵守任何適用司法權區的任何此類法律或規例而言屬必要或適當之舉，則受託人及經理人亦保留權利以拒絕向該單位持有人支付已變現收入。
倘涉及信託基金或任何本基金的若任何百慕達人士（包括受託人）懷疑或相信任何人士涉及洗錢活動，則該名人士須根據《1997年百慕達犯罪收入法》向警方報告有關懷疑情況。
利益衝突
經理人及受託人可不時按要求為與任何本基金具有類似投資目標的其他基金及客戶擔任受託人、管理人、登記人、經理人、託管人、投資經理或投資顧問、代表或在其他角色。因此，彼等任何一位在業務經營過程中可能與信託基金產生潛在利益衝突。在此情況下，每位均會考慮到其對信託基金的責任，並會盡力確保公正地解決上述衝突。在任何情況下，經理人將確保所有投資機會均獲得公平分配。
預期本基金的交易可能與或透過關連人土進行。可能與或透過該等關連人土進行的交易量並沒有上限，但經理人將確保所有交易以正常商業關係並符合按最佳條件執行的原則下進行。應付予該等關連人土的費用或佣金將不會高於該等交易以現行市場價格下進行所產生的費用或佣金。
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百慕達的信託規例
單位的發行已獲百慕達金融管理局（「百慕達金管局」）依據《1972年百慕達外匯管控法》授予許可。
自百慕達金管局獲得批准、許可或授權並不構成百慕達金管局就信託基金的表現或信用而提供保證。此外，在授予該等批准、許可或授權時，百慕達金管局概不會對信託基金的表現、其營運機構或服務供應商的違約行為或本文件所表達的任何意見或陳述的準確性承擔責任。本文件的副本已按照《1981年百慕達公司法》作為發售章程而提交百慕達公司註冊處（「公司註冊處」）備存。 閣下須明確了解，在公司註冊處備存本文件時，公司註冊處概不會對任何建議的財務穩健程度或所作出的任何聲明或就該等聲明表達的任何意見的準確性承擔責任。
信託基金乃根據《2006年投資基金法》獲認可為標準基金。