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RMB Fund Commentary 04 2022

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Eurizon SLJ Bond Aggregate RMB (Renminbi) Fund Monthly Commentary April 2022

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For professional investors only Report Contents Performance and portfolio update ................................................................................... 2 Chart one: Strategy performance since inception .......................................................... 2 Fund characteristics ........................................................................................................... 2 Asset Allocation .................................................................................................................. 3 Chart three: Asset allocation since inception .................................................... 3 Duration ............................................................................................................................... 4 Chart two: Duration & Maturity profile since inception .................................................... 4 Currency .............................................................................................................................. 5 Chart four: Relative FX overlay since inception ................................................ 5 Rising headwinds both domestically and abroad may urge Beijing to act more aggressively to support the economy. ............................................................................. 6 Fiscal stimulus will do the heavy lifting.............................................................................. 7 The Omicron wave in Shanghai has turned; the cases in Beijing are under control .... 8 RMB is under pressure in the short term, but structurally positive in the long term ........ 9 Bottom line ........................................................................................................................ 10 Strategy overview ............................................................................................................. 12 Key Risks ............................................................................................................................ 13

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For professional investors only Performance and portfolio update The fund performance in March was +0.12% net of fees, while the since inception return reached 17.33% on a net basis. Currency returns have driven performanc e during the month , with curve and duration strategies contributing to a lesser extent. Chart one: Strategy performance since inception Sourc e: Euri z on S LJ a nd Morni ngstar Dir ec t, t ot a l re tur n n e t of fee s i n GB P ter ms a s at 30 Ap r i l 202 2. Th e f un d’ s i nc e pti on da te i s 2 2 Feb rua ry 20 21 and benchmar k the Bl oomberg B a r clays Chin a Tre as u ry In de x . P e r fo r m an ce pri or to 2 2 February 20 21 i s exten de d p erf orm ance bas ed on th e p erformanc e of Euri zon F un d Bo n d Aggr ega te RMB Fun d Z EU R Acc , adju st e d for c urr en c y and fee s. Track r ec ord extensi on p e r for me d b y M orn ing sta r. Fund characteristics Fund Benchmark Characteristics Duration 7.24 years 7.16 years Close to neutral duration # of Bonds 23 140 Focused on Liquidity Average Yield 3.02% 2.70% Higher Yield Average Rating A+ A+ Focused on Quality 30.8219.68-505101520253035Jan 18Mar 18May 18Jul 18Sep 18Nov 18Jan 19Mar 19May 19Jul 19Sep 19Nov 19Jan 20Mar 20May 20Jul 20Sep 20Nov 20Jan 21Mar 21May 21Jul 21Sep 21Nov 21Jan 22Mar 22% Total Return, GBP, Net of feesRelative Eurizon SLJ Bond Agg RMB I6 WS GBP Acc EAA Fund RMB Bond - Onshore

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For professional investors only Asset Allocation From an asset allocation perspective, we maintain ed our strategy of investing in the most liquid and highly rated part of the China onshore bond market. During the month our asset allocation was largely unchanged. Government bond allocation decreased from 22.4% to 20.3%, Policy Bank bonds increased from 49.4% to 49.9% and Corporate Bonds decreased from 26.3% to 26.7% as we further enhanced the liquidity of the portfolio . Key views: • We like Policy Bank bonds due to their tax advantage for foreign investors and their high credit worthiness. • We like Central ‘State Owned Enterprises’, within Corporate Bonds, due to their structural importance to the Chinese economy and their ownership s tructure. • We do not like Local Government Bonds due to their illiquidity. Chart thr e e: Ass et a ll oc a ti on si nc e in cep t ion Sourc e: Euri z on S LJ C ap ital & Black rock Solutio n s a s a t 30 April 20 2 2. P ortfoli o characteri sti c s an d h oldi ng s a re s ub jec t t o chan ge wi th out n oti ce . This d oe s not c on stitute an inv es tm en t r ec om m e nd ati on . F or inf orm a ti on purpo se s onl y , m et hodology a va i l a b le on r eq ue st. 20.30%49.90%26.70%0.0%10.0%20.0%30.0%40.0%50.0%60.0%70.0%80.0%90.0%100.0%Mar21Apr21May21Jun21Jul21Aug21Sep21Oct21Nov21Dec21Jan22Feb22Mar22Apr22Government Policy Bank Corporate Bond

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For professional investors only Duration In April, bond yields exhibited a shallow “V” -shaped trajectory, with a slight steepening curve. Unmet expectations of monetary easing mainly drove this market move: the initial strong expectations of monetary easing was underwhelmed by a lower -than-expectation RRR cut. We maintained a neutral duration to guard against the risk of a more aggressive fiscal simulative effort from the government. During the month our long duration increased marginally in line with the benchmark to 7.24yrs from 7.19yrs, compared to 7. 16yrs for the benchmark. Key view: • We will maintain a closer to benchmark duration to guard against the risk of a more aggressive simulative effort from the government and the People’s Bank of China. Chart two: Duration & Maturity profile since inception Sourc e: Euri z on S LJ C ap ital & Black rock Solutio n s a s a t 30 April 20 2 2. P ortfoli o characteri sti c s an d h oldi ng s a re s ub jec t t o chan ge wi th out n oti ce . This d oe s not c on stitute an inv es tm en t r ec om m e nd ati on . F or inf orm a ti on purpo se s onl y , m et hodology a va i l a b l e on r eq ue st 66.577.588.50.0%20.0%40.0%60.0%80.0%100.0%Mar 21Apr 21 May21Jun 21 Jul 21 Aug21Sep 21Oct 21 Nov21Dec21Jan 22Feb 22Mar 22Apr 220 to 1 1 to 3 3 to 55 to 7 7 to 10 10 to 1520 to 30 30 plus Fund (LH, yrs)Benchmark (LH, yrs)

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For professional investors only Currency Within our currency overlay, we flattened the short USDCNH position as we believe RMB could indeed be under pressure in the short term from a broad dollar ra lly, and also unwound the long EURUSD position, which was established as a hedge against an early resolution of the war in Ukraine and a prospective victory by Macron in France . Key view: • We believe that the economy and policies in China will diverge from much of the rest of the world, and the CNY will remain strong. Chart four: Relative F X ov erl ay si n c e in ception Sourc e: Euri z on S LJ C ap ital & Black rock Solutio n s a s a t 30 April 20 2 2. P ortfoli o characteri sti c s an d h oldi ng s a re s ub jec t t o chan ge wi th out n oti ce . This d oe s not c on stitute an inv es tm en t r ec om m e nd ati on . F or inf orm a ti on purpo se s onl y , a meth od ol o gy is av ail a b l e on req ues t. -25.0%-20.0%-15.0%-10.0%-5.0%0.0%5.0%10.0%15.0%20.0%25.0%30.0%Feb 21Mar 21Apr 21 May21Jun 21 Jul 21 Aug21Sep 21Oct 21 Nov21Dec21Jan 22 Feb 22Mar 22Apr 22EUR CNY&CNH USD

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For professional investors only Rising headwinds both domestically and abroad may urge Beijing to act more aggressively to support the economy. In March, reacting to the most serious wave of the resurgence of COVID infections in Shanghai, the strict lockdown has posed heavy headwinds on consumption and production. Already, the impact is starting to come through in the upcoming data. Since the start of the Pandemic, exports have served as a primary pillar of demand growth in China. However, with weakening exte rnal demand and normaliza tion of manufactur ing capacity in other Asian countries, China’s export growth is expected to decelerate somewhat in the months ahead. At the same time, despite the relaxed mortgage lending rules and terms, the housing markets have not yet stabilised as buyers’ confidence remains frayed. To reach the GDP growth target of 5.5% for 2022, Beijing will need to act more agg ressively to support the economy, in our view. And with the year almos t half -way over (any new measure will take a bit of time to start having measurable effects on data), simulative measures (either financial or regulatory) need to be announced soon. I ndeed, the recent Politburo meeting pledged to strengthen macro policy adjustments to achieve the ambitious economic target. The authorities are expected to accelerate the implementa tion of existing policies, roll out tax rebates, tax and fee cuts, make good use of various monetary policy tools, and investigate new policy tools. The meeting suggested a more cooperative stance toward the loca l governments’ supportive efforts in the property sector. The Politburo meeting also mentioned demand expansion, new infrastructure construction, relaxation of platform company regulation, enhanced financial market stability, improved logistics, and a rejuvenated supply chain.

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For professional investors only Fiscal stimulus will do the heavy lifting. Fiscal stimulus will do the heavy lifting this year. Spending will be focussed on infrastructure investment, support for SMEs, and protecting household income and employment. The local government special bonds issuance quota will likely be completed/filled by the end of June. On monetar y policy, in April, the PBOC cut the RRR by 25bps again following the RRR cut last December. Although the size of the cut disappointed the markets, the PBOC has, in several ways, injected more abundant liquidity since last year. But given the hawkish Fed and the downward pressures on the RMB, the PBOC may be averse to further aggressive easing. However, a sufficient and friendly liquidity environment will be maintained in coordination with fiscal support .

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For professional investors only The Omicron wave in Shanghai has turned; the cases in Beijing are under control. Due to the most se vere wave of Covid infections since Wuhan 2020, Shanghai entered a city -wide lockdown in April, causing pessimistic and panic investor sentiments. Growth stocks were hit the m ost, owing to fears of a rapid economic slowdown. However, reported new cases in Shanghai peaked around mid-Apr il with more than 20k cases a day and have been declining in recent weeks to less than 10k a day. Lockdown and restriction measures have been g radually relaxed with reopening offices and factories. We expect to see full normalization in 2-3 weeks and factories are expected to catch up on the accumulated unfilled orders. Jilin, another region that saw a spike in Covid cases has also started to r eturn to normal. An incipient Covid outbreak in Beijing has raised further concerns and attracted market’s attention. But with the experience of fighting Covid in Shanghai, we believe the situation in Beijing should be under control, due to Beijing’s swi ft reaction and effective testing and lockdown measures. Other local governments have also taken actions more swiftly to control the spread of the virus and minimize the economic impact. In general, although we believe China’s dynamic Zero-Covid polic y will not be relaxed in the near term, we expect Chinese equities to stab ilize in the short term and better performances in the second half of the year .

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For professional investors only RMB is under pressure in the short term, but structurally positive in the long term. Reflecting the increasingly hawkis h Fed, the peak projected FFR rose from 2.50% in March to 3.30% in late April. In turn, this has raised the entire US yield curve, supporting the dollar. The dollar rally has now accelerated against G10 currencies and sp illed over to many EM currencies, including RMB. Until now, we have had a constructive view of RMB. While RMB has indeed outperformed most major currencies so far this year, it has also joined others in depreciating against USD. Other reasons have been cited for having caused the weakening in RMB, including decelerating exports, risks of financ ial sanctions by the US, and PBOC resorting to devaluing RMB in order to counter the economic slowdown due to COVID lockdowns. We find risks of financial sanctions more compelling, in addition to the hawkish Fed, and believe the point on exports and PBOC unpersuasive. China’s structural economic fundamentals remain robust, though the ‘deltas’ on various fronts have indeed been negative in recent weeks. We are revising our outlook for RMB and concede that RMB could weaken further against USD, but such a prospective move will likely be modest in magnitude and temporary in duration .

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For professional investors only Bottom line In April, Chinese bond yields exhibited a “V”-shaped trajectory, with a slight steepening. More aggressive fiscal policies are expected in the period ahead to offset the negative impact of the resurgence of COVID. We may consider reducing our duration further to guard against large stimulus initiatives. We turned slightly cons ervative on currencies in the short term and intend to maintain a low level of currency overlay for now. Long term speaking, we are still optimistic on RMB local bonds as the global monetary policy divergence continues, this share class is likely to keep outperforming .

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For professional investors only Further information Useful links Visit our website for more insights & details about our strategies www.eurizoncapital.com/UK Further information Useful links Sales & Business Development Matt Jones, Head of Distribution Email: matthew.jones@eurizonslj.com Mobile: 07716 639835 Business address Eurizon SLJ Asset Management 90 Queen Street London EC4N 1SA Fund Information Umbrella Name Eurizon Funds ICVC Fund Name Eurizon SLJ Bond Aggregate RMB (Renminbi) Objective The objective of the Sub-fund is to provide capital growth by achieving a return after fees in excess of the return of the Bloomberg Barclays China Treasury Total Return Index over any five-year period. Benchmark Bloomberg Barclays China Treasury Total Return Index. The Sub-fund’s investment process is not constrained by the Index and the composition of the Sub-fund’s portfolio may deviate from the Index in a significant way. Accordingly, the Sub-fund’s returns could be similar to or different from the Index. Regulatory Status UK UCITS Fund Managers Monica Wang, Stephen Jen Share Class Information ISIN Currency Acc/Inc OCF Minimum Investment Wholesale GB00BMY78T53 GBP Acc 0.65% £1,000,000 Institutional GB00BLN8SH09 GBP Acc 0.50% £10,000,000 Founder GB00BMY78V75 GBP Acc 0.40% £1,000,000 Founder GB00BMY78W82 EUR Acc 0.40% £1,000,000

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For professional investors only Strategy overview The fund offers exposure to the world’s second largest bond market. It invests in a divers ified set of Renminbi -denominated debt instruments traded on the China Interbank Bond Market or in other regulated markets in China and Hong Kong. Key points: We focus on the most liquid and highly rated bonds in our universe. Our risk aware approach aims to deliver growth over the medium to long term. Our diverse team have a deep understanding of the culture, policies and market they invest in. All team members, whilst based in London, are Mandarin speakers having lived and w orked in China. We have a research led approach which is based on our original macroeconomic research. Our understanding of economic mega trends, currencies and the place China has in global markets is complimented by our active bottom up analys is. The RMB Strategies team The Investment, Advisory & Research team share a strong collaboration ethic. This allows a constant stream of information on macro, economic and monetary themes leading to interesting investment ideas and opportunities. Based in London, our team is extremely diverse in terms of cultural and professiona l background. Most of our portfolio managers are originally from the emerging markets and speak local languages, having lived and worked in these countries. This provides us with th e unique combination of being able to understand the local culture, whilst also applying the globa l context of how the outside world views these markets.

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For professional investors only Key Risks Charges from capital The fund charges are taken from capital invested. Taking charges from capital has the effect of increasing the yield, whilst also negatively effecting the growth potential of the investment. Chinese securities The fund invests in financial instruments dealt in on the local Chinese markets, including on the CIBM, and denominated in Renminbi may imply specific regulatory, exchange rate, repatriation and tax risks are detailed in section 5.40 of the Prospectus. Counterparty risk The fund carries the risk that a third-party with which the Sub-fund entered into contracts in order to perform some operations may default on its obligations. Credit risk The risk that the issuer of debt instruments fails to pay to the Sub-fund interests and principal, even only in part. Liquidity risk The risk that the sale of the financial instruments in which the Sub-fund invests may be difficult depending on the features of these instruments themselves and/or on the market conditions when the sale is to be executed or on the lack of a sufficient number of potential buyers. The selling price may then be less than the value of a financial instrument. Geopolitical risk The risk related to the investments in geographic areas that may be sensitive to any event of economic, geopolitical or regulatory nature or any other events beyond the control of the Management Company that could expose the Sub-fund to losses. Exchange rate risk Changes in currency exchange rates may affect the value of your investment. Concentration risk The price of funds that invest in a reduced number of holdings, sectors, or geographical areas may be more heavily affected by events that influence markets and increase volatility. Past performance is not a reliable indicator of future returns. The value of investments and any income from them may go down as well as up and is not guaranteed. Investors may not get back the amount invested. For professional clients only. This is a financial promotion and is not investment advice. The Eurizon SLJ Bond Aggregate RMB (Renminbi) fund is a sub-fund of Eurizon Funds ICVC, an open-ended investment company with variable capital with segregated liability between sub-funds. The Company is an investment company with variable capital incorporated with limited liability and registered in England and Wales under registered number IC027300. It is a UCITS scheme as defined in COLL and an umbrella company for the purposes of the OEIC Regulations. The Authorised Corporate Director (ACD) is Eurizon SLJ Capital Limited, authorised and regulated by the Financial Conduct Authority, with firm reference 736926. For more information on the fund, or the risks of investing, please refer to the Prospectus or Key Investor Information Document (KIID), available via the relevant fund information page on www.eurizonsljcapital.com/rmb-bond-fund/ Issued in May 2021 by Eurizon SLJ Capital Limited, 90 Queen Street, London, EC4N 1SA. Authorised and regulated by the Financial Conduct Authority, with firm reference 736926. ESLJ-160522-FC1

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For professional investors only

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For professional investors only