CSOP0196_A4_Cover_01_op

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1 CSOP0196_A4_Cover_01_op.pdf 3 5/5/16 6:00 PM C M Y CM MY CY CMY K

2 WTI ER ETF CSOP ETF WTI ER ETF CSOP Asset Management Limited CSOP ETF

3 CSOP ETF CSOP Asset Management Limited A I 104 i

4 1933 S 1940 (i) 1974 ERISA 3(3) ERISA I (ii) (e)(1) 4975 (iii) ERISA 4975 (iv) ERISA 4975 ERISA 4975 ( ) ii

5 CSOP Asset Management Limited * Bluefin HK Limited Commerz Securities Hong Kong Limited * * iii

6 iv

7 XV v

8 (a)(i) (ii) (iii) (b) 8 (a) 20% 20% 1

9 (b) (c) (d) (a) (a) (b) (c) (A) (B) (i)(ii) (a) (b) 2

10 (a) (b) (a) (c) (d) (c) (d) (e) (i) (ii) (iii) (iv) extra CLA 3

11 Merrill Lynch, Pierce, Fenner & Smith Incorporated (i) (ii) (iii) (iv) (v) (a) (b) 4

12 (a) (b) 5

13 (c) (d) (e) 571 WTI ER ETF CSOP ETF

14 7

15 CSOP Asset Management Limited ETF extra CLA Merrill Lynch, Pierce, Fenner & Smith Incorporated F 100 8

16 12 100, % # 0.99% # 12 WTI 12 WTI WTI

17 WTI WTI WTI 12 WTI WTI WTIWTI WTI 20% WTI 80% WTI WTI WTI 100% 10

18 (i) (ii) (iii) (i) WTI (ii) (iii) WTI WTI WTI WTI WTI WTI WTI WTI WTI WTI 11

19 OPEC ,100 45%

20 阿爾及利亞均向 O P E C 施壓要求減產以穩定價格伊拉克及伊朗繼續增產於 2016 年 2 月 O P E C 成員國沙地阿拉伯委內瑞拉及卡塔爾連同俄羅斯宣佈一項計劃以控制產量於當前水平然而沙地阿拉伯中 OPEC領先生產商在油價急劇下跌的情況下仍提高產量圖表 1 前期月份原油 WTI 期貨紐約商交所價格以美元計自 1986 年 4 月 16 日至 2016 年 4 月 8 日上一價格最高06/30/08 平均最近07/31/86 資料來源彭博原油需求受多個因素影響 (a) 經濟活動能源消耗與經濟活動息息相關因此經濟活動或主要石油進口國發展以及預期發展對原油價格會產生巨大影響經合組織及非經合組織國家的經濟活動及經濟結構對原油需求具有不同影響詳情載列如下於 2010 年經合組織國家包括美國歐洲大部分國家及其他發達國家消耗 53% 的世界石油較非經合組織國家消耗更多石油發達國家往往擁有更高的人均汽車擁有量因此經合組織國家交通運輸部門佔石油消耗總量較非經合組織國家為高因此影響貨運及客運的經濟條件及政策對經合組織國家石油消耗總量具有重大影響在高燃油稅及提高新汽車的燃油經濟政策之驅使下若干經合組織國家逐漸增加使用生物燃料令該等國家石油消耗增長放緩即使在經濟增長強勁時期此外經合組織國家傾向於設立與製造業相關的更大服務部門因此該等國家經濟強勢增長對石油消耗的影響與非經合組織國家的影響不盡相同 13

21 % % % % 25 14

22 19,150,000 9,400,000 4,452,000 3,182,000 2,643,000 2,495,000 2,209,000 2,199,000 2,195,000 2,073,000 CIA World Factbook (b) (a) OPECOPEC 13 OPEC 30% OPEC 60% OPEC OPEC OPEC OPECOPEC OPEC OPEC OPEC OPEC 15

23 (b) OPECOPEC70% OPEC OPEC OPEC OPEC OPEC OPEC OPEC OPEC (OPEC) 11,730,000 11,110,000 10,440,000 4,197,000 3,856,000 (OPEC) 3,594,000 (OPEC) 3,213,000 (OPEC) 2,979,000 2,936,000 (OPEC) 2,797,000 CIA World Factbook (c) (d)

24 (e) 25 17

25 WTI WTI WTI CME Group Inc. CME WTI 850,000 WTI WTI (a) (b) (c) (d) (e) (f) (g) WTI 1, WTI CME Globex CME WTI 60 CME Clearing CME Clearing WTI WTI 3,300 3,630 3,300 CME Clearing 18

26 (h) (i) (j) (k) (l) CME Clearing WTI VWAP 2 2 VWAP 3,000 WTI ,000 20,000 CME CME 350 WTI CME

27 CME CME CME extra CLAeXtra MLCX WTI CLA (i) WTI WTI CLWTI (light) (crude) (ii) (annual) CLA 12 WTI WTI 12 WTI WTI WTI WTI 20

28 WTI WTI WTI 12 WTI 12 WTI 12 WTI (a) (b) WTI WTI WTI WTI 10 12WTI 12 WTI WTI (WTI) Z Z Z Z Z Z Z Z Z Z Z+ Z+ 12 = Z + 21

29 12 D(N) N 100.0% 93.3% 86.7% 80.0% 73.3% 66.7% 60.0% 53.3% 46.7% 40.0% 33.3% 26.7% 20.0% 13.3% 6.7% D(1) D(2) D(3) D(4) D(5) D(6) D(7) D(8) D(9) D(10) D(11) D(12) D(13) D(14) D(15) 10 D(1) D(2) D(3) D(4) D(5) D(6) D(7) D(8) D(9) D(10) D(11) D(12) D(13) D(14) D(15) 100% 93% 87% 80% 73% 67% 60% 53% 47% 40% 33% 27% 20% 13% 7% 0% 0% 7% 13% 20% 27% 33% 40% 47% 53% 60% 67% 73% 80% 87% 93% 100% WTI 0% 7% 7% 7% 7% 7% 7% 7% 7% 7% 7% 7% 7% 7% 7% 7% Merrill Lynch, Pierce, Fenner & Smith Incorporated BofA Merrill Lynch Global Research BofA Merrill Lynch Global Research BofA Merrill Lynch Global Research 22

30 ER t = ER t 1 (1 + DCR t ) ER to = 100 ER = t = DCR = (DCR) t-1 t WTI DCR DCR t = F C m(t),t F C m(t),t 1 1 DCR DCR t = TDWP m(t),t + TDWP m(t)+1,t 1 TDW m(t),t 1 + TDW m(t) + 1,t 1 TDWP m(t),t = W c t 1 F c m(t),t TDWP m(t) + 1,t = (1 W c t 1 ) F c m(t) + 1,t TDW m(t),t 1 = W c t 1 F c m(t),t 1 TDW m(t) + 1,t 1 = (1 W c t 1 ) Fc m(t) + 1,t 1 TDWP = *WTI TDW = *WTI W c = 12 WTI F c = 12 WTI MLCXCLAE 23

32 25

33 , (a) (b) 26

34 2 27

35 100, ,

36 (a) * * (b) * * (c) 29

37 * 100,000 30

38 * ,000 * 31

39 (i) (ii) (iii) (iv) 32

40 (a) (i)(ii) (iii) (b) (c) (d) (e) 100,000 33

41 11 (a) (b) (c) (a) (i)(ii) (iii) (b) (c) (d) (e) 34

42 (f) (g) (i) (ii) (i) (ii) 35

43 (a) (b) 36

44 (a) (b) (c) (d) (i) (ii) (iii) (iv) 37

45 (a) (i)(ii) (iii) (b) (c) (d) (e) 38

46 11 (a) (b) (c) (a) (i)(ii) (iii) (b) (c) (d) 39

47 (e) (f) (i) (ii)

48 (a) (b) 41

49 (a) (b) (c) (d) 10% 10% 10% 42

50 (a) (b) (c) (d) (e) (f) (g) (h) (i) 10% 10% 43

51 (a) (b)(i)(ii) (a) (b) 44

52 45

54 (a) (i) (ii) (iii) (iv) (b) (c) (i) (ii) (d) (a)(iii) (b) 47

55 (e) (f) (a) (b) (c) (d) (e) (f) 48

56 (i) (ii) (1) (2)

57 (a) 2, , , ,200 3 (b) (i) 4 (ii) % % 6 V 1 50

58 (c) % 1 2,000 1, % % 7 WTI 51

59 (a) (b) WTI % 0.06% 1.08% 52

60 150 53

61 WTI WTI (a) (b) (c) (d) OPEC (e) / 54

62 (f) / (g) WTI WTI WTI WTI WTI WTI WTI WTI WTI WTI WTI WTI 55

63 WTI WTI WTI CME Group Inc. WTI WTI 100% WTI WTI 56

64 WTI WTI 5.36% 1.79% 3.57% WTI WTI WTI OPEC OPEC OPEC WTI 57

65 WTI WTI WTI WTI WTI WTI WTI WTI WTI 8 12 WTI WTI 12WTI WTI WTI 12 WTI 12 WTI 12 WTI WTI 58

66 WTI WTI WTI WTIWTI WTI WTI WTI 59

67 WTI 60

68 12 WTI WTI WTIWTI 61

69 WTI (i) 1 5,000 2,000 (ii) (iii) (iv) (v) 62

70 WTI WTI 10% 63

71 10% 80% 64

72 65

73 WTI WTI WTI WTI WTI WTI

74 67

75 FATCA 30% % FATCA FATCA FATCA 30% 68

76 (i) 30% (ii) FATCA FATCA FATCA / FATCA / (i) (ii) FATCA 69

77 CSOP Asset Management Limited ARN , QDII

78 ML Stern & Co Vimetco N.V.( 71

79 OP Investment Management Limited OPIM OPIM OPIM Lombard Odier (Asia) Limited Indocam Asset Management (Emory University) 72

80 (A) (B) (C) (D) (a) (b) (a) (b) 73

81 (i) Euro-clear Clearing System Limited Clearstream Banking S.A. (ii) OFAC OFAC OFAC OFAC OFAC OFAC OFAC 74

82 75

83 6 ABD082 (a) (b) (c) (d) 76

84 77

85 % (i) (ii) 78

86 (i) (ii) (iii) 10%

87 25% 75% 10% 50% (i) 60(ii) (iii) (iv) (v) 30 (vi) 60 (i) 150,000,000 20,000,000(ii) (iii) (i) 150,000,000 20,000,000(i i) (iii) (iv) (v) 80

88 (i) (i i) (iii) 12 (d) (a) (b) (c) (d) XV XV 81

89 (a) (b) Merrill Lynch, Pierce Fenner & Smith Incorporated (a) (b) (c) 82

90 (d) (e) WTI (f) (g) (h) (i) (ii) (a) (b) (c) (d) (e) 15 (f) (g) WTI (h) 83

91 (i) (j) (k) (i) (ii) (l) CSOP Asset Management Limited

92 FATCA (i) (a) FATCA (b) (ii) (iii) 85

93 FATCA 86

94 % 15%

95 (a) 10% 8.6(h) I 11 (b) 10% (c) 15% (d) 8.6(i) 30% (e) (d) 8.6(i) (f) (g) 20% (i) (ii) 88

96 (h) 15% (i) (i) 10% (ii) 30% (1) 7 7 (2) (3) (j) 30% (k) 70% (l) 5% 89

97 (a) 0.5% 5% (b) REIT (c) 10% (d) (e) 25% (f) (g) (h) (i) (j) 20% (k) (l) 90

98 10% 8.6(h) 10% 10% 8.6(h) 30% I ETF ETF 10% WTI 5% 12 WTI 10% 20% 8.4A(e) WTI 5% WTI 91

99 WTI 100% 92

100 WTI ER ETF Merrill Lynch Pierce Fenner & Smith Incorporated extra CLA extra CLA Merrill Lynch Pierce Fenner & Smith Incorporated 93

101

ETF 100A ETF A ETF i

ETF 100A ETF A ETF i ETF 100 A ETF ETF ETF 571 104 83100 03100 2012 11 2 ETF 100A ETF 2012 7 25 100 A ETF 8.6 104 i 1933 1940 (i) 1974 ERISA 1 ERISA 3(3) (ii) 19864975 4975(e)(1) (iii) ERISA4975 (iii) ERISA4975 ERISA 4975