Carbon Credit ETF Overview | KRBN & KCCA | KraneShares

KraneShares Carbon Suite: Investing in the Global Carbon Allowance Markets info@kraneshares.com KRBN KCCA 6/30/2026

2 Introduction to KraneShares About KraneShares Krane Funds Advisors, LLC
is a specialist investment manager focused on China, Carbon, Climate, and other uncorrelated assets. KraneShares
seeks to provide innovative, high conviction, and first to market strategies. The firm was founded in 2013 and manages for institutions and individuals globally. In 2017, KraneShares
formed a strategic partnership with China International Capital Corporation (CICC) when they acquired a majority ownership stake. The firm is a signatory of the United Nations

supported Principles for Responsible Investment (UN PRI). ERON BLOOMGARDEN CLIFI Sign up to our weekly carbon market blog www.climatemarketnow.com

3 KRBN KraneShares Global Carbon Strategy ETF KraneShares California Carbon Allowance Strategy ETF KCCAInvestment Thesis • Carbon portfolio historically provides annualized returns above the S&P 500 1 • Structurally designed for long

term price appreciation due to the markets’ increasing supply scarcity 2 • Low correlations to major asset classes, including 0.3 to US large cap 1 • Provides alternative return profile with potential inflation and climate risk hedging • Standardized, liquid market valued at $900B 3 across the five largest markets • Benefits from structured demand from the program’s government

mandated participation for high

emitting sectors Impact • Provides potential impact by supporting price discovery and liquidity in carbon markets 4 while counterbalancing a portfolio’s emissions exposure and energy transition/climate risk • Cap and trade supports fuel switching and capital directed toward innovation in renewable technology 4 Executive Summary 1. Data from Bloomberg and S&P Dow Jones Indices as of 12 /31/2025 . See slide 23 for supporting data. The performance data quoted represents past performance, and current returns may be higher or lower. Past performance does not guarantee future results. For additional performance and information, please see slide 26. 2. European Commission, “What is the EU ETS?” retrieved 6/30/2026 . 3. Data from Bloomberg as of 12/31/2025. Based on the 5 largest carbon markets. (See slide 22). 4. International Swaps and Derivatives Association, “Role of Derivatives in Carbon Markets,” Sep 2021. Case for Carbon

Growing Institutional Interest 4 CFA Institute Research & Policy Center Cambridge Associates #1 New release in Sustainable Business Development

Cap

and

Trade/Emission Trading System (ETS) Carbon Offset Unit Type Permit to emit one metric ton of CO2 Verified reduction of one metric ton of CO2 Purpose Reduce emissions over time for specified regions/industries through a declining annual cap and additional supply adjustment mechanisms Balance an entity’s carbon footprint by investing in projects that reduce or remove emissions Examples EU ETS, California Cap

and

Trade, Regional Greenhouse Gas Initiative (RGGI), UK ETS, Washington state C&T, New Zealand ETS Building wind turbines or solar farms, supporting methane reduction projects, reforestation, preserving mangroves, carbon capture and storage technology Participation Mandatory (Compliance) Voluntary Issuer/Oversight Central governments and states, government agencies, non

profit corporation Issuers are project developers. Oversight is provided by NGOs/independent verification entities. Market Size $900 billion 1 $1.4 billion 2 Project -based No Yes Credit Sale Purchased at auction or (if an entity qualifies) allocated for free Bought directly from project developers or broker/intermediary Compliance vs. Offset Carbon Credits 5 Source: International Carbon Action Partnershi p, retrieved 12/31/2025. 1. Data from Bloomberg as of 12/31/2025. Based on the 5 largest carbon markets. (See slide 22) . 2. MSCI, “Carbon Credits Come of Age in 2025,” January 6, 2026. Case for Carbon

Inflection Point 6 Emissions Trading System (ETS), or Cap

and

invest, is a government mandated & regulated, standardized, liquid market valued at $ 900B in 2025, 1 while the offsets market consists of non

standardized carbon reduction/removal projects collectively worth $1.4B. 2 Emissions Trading System: Capped Emissions (Compliance Market) Emissions Cap Where we are today* Actual Emissions Emission Target Allowance Deficit Allowance Surplus Where we are headingCompliance entity examples: Case for Carbon Transparent Supply with Mandated Demand Mandatory participation for specified industries *KraneShares/ CliFi
models show that 2026

27 is the year we see allowance surpluses going into deficit in certain defined markets. 1. Data from Bloomberg as of 12/31/2025. Based on the 5 largest carbon markets. (See slide 22). 2. MSCI, “Carbon Credits Come of Age in 2025,” January 6, 2026.

Global Expansion: Compliance carbon a dynamic market expected rapidly expand across regions UPDATE 7 Expansion of Carbon Pricing is Critical to Achieve Emissions Targets 70+ carbon pricing programs worldwide, covering ~25% of global emissions The share of global greenhouse gases (GHGs) under an ETS more than tripled since 2005 On ave rage, c arbon pro grams cover just 30% of a country’s total emissions at a price of $25/MtCO2e Case for Carbon Source: ICAP and Morgan Stanley, “ CBAM and the Path to a Global Carbon Price,” May 8, 2024.
20230926 -3096986 -9939554

Potential Benefits of Carbon Pricing Auction Revenue Fuel Switching Accelerating Innovation How carbon allowances can reduce emissions 8 CARBON ALLOWANCE COST Cost per unit of energy Cost per unit of energySwitch to natural gasSwitch to solar / windContinue switch to natural gas C oal→ N atural Gas → Re newables
Energy Intensive Industries Renewable Technology Energy Storage Carbon Capture Use & Storage Fusion & Modular Nuclear Aviation Redesign Sustainable Communities & Clean Transportation Wetlands & Watershed Restoration Case for Carbon Modernization Fund

9 Source: Goldman Sachs, “ Carbonomics
2025, Updated cost curve shows diverging trends between power and transport,” February 25, 2025. Marginal abatement cost curve (MACC) Low end: Fuel switching, power generation, and renewable technologies already developed at scale Middle end: Improved
agricultural land and crop management practices, buildings’ energy efficiency and energy and material efficiency in industry High end: Heavy industry de

carbonization Case for Carbon High Cost
Decarbonization Low Cost
Decarbonization

High Level Overview 10 European Union ETS California Carbon Allowance (CCA) Market United Kingdom ETS Regional Greenhouse Gas Initiative (RGGI) Northeast US Power Washington State Carbon Allowance (WCA) Market Start of Operation 2005 2012 2021 2009 2023 Region EU + Iceland, Liechtenstein & Norway California linked with Quebec United Kingdom 10 Northeastern US states Washington State Regional Emissions Coverage 45% 80% 25% 14% 70% Sector Coverage Cap 1,185.4 MtCO2e 254.0
MtCO2e 77.4 MtCO2e 60.0 MtCO2e 49.0 MtCO2e Annual Cap Reduction Rate 4.3% (2024

27), 4.4% (2028

~4% (2021

Consistent with net zero by 2050 ~3% of the 2020 cap (2021

7% (2023

Annual Traded Volume (2025) $782.1B $57.5B $53.4B $11.8B $2.2B Total Revenue (Cumulative 2024) $206.0B $27.0B $18.7B $7.1B $2B Market Comparisons Source: International Carbon Action Partnershi p, retrieved 6/30/2026.

European Carbon Policy Objectives 11• New target: 55% reduction in greenhouse gases from 1990 levels by 2030, up from previous policy targets of a
40% cut. • Impact : 20% total EU ETS Cap balance decrease in 2024

Fit

for

55 Policy Highlights CBAM CO2 tax on imports Starting in 2026 Accelerates annual allowance cap reduction rate to 4.3% in 2024, and 4.4% in 2028, up from current 2.2% Cut to emissions cap

90 million in 2024 &

27 million in 2026Overall, 62% drop in the allowance limit from 2005 levels by the end 2030 CO 2Phase -out of free allowances incrementally
starting in 2026, 48.5% phased out by 2030 and complete phase

out by 2034“ETS 2”: new, separate market for building heating & road transport starting in 2027 Social Climate Fund starting in 2026, funded primarily from the ETS 2 and 25% from participating EU countries Lowered price -hike mechanism to automatically release 75 million allowances from the reserve if, for over six months, the average EUA price is higher than 2.4 times the preceding 2 years. (previously had been 3x) Provides protection from an excessive rise in the price EUAs over a short period of time REPowerEU €20B initiative funded from frontloading EUAs & Innovation Fund •40% will be from frontloaded allowances from auctions in 2023 -26, meaning allowances set aside for future auctions will be sold earlier • 60% will come from the Innovation Fund, which finances projects developing innovative, emissions reduction technologies. REPowerEU: accelerates Europe’s transition away from Russian fossil fuels to low

carbon energy sources Inclusion of maritime emissions : gradual emissions coverage of shipping sector: 40% by 2024 70% by 2025 100% by 2026 Source: European Commission, Bloomber g 4/18/2023. EU ETS

EUA Policy Watch 12 EU ETS Source: BloombergNEF , European Commission. Note: MSR refers to Market Stability Reserve; SF refers to sustainable aviation fuel; CBAM refers to Carbon Border Adjustment Mechanism; Corsia refers to Carbon Offsetting and Reduction Scheme for International Aviation; MEV i s m onitoring, reporting and verification framework; GT is gross tonnage; MW is megawatts • REPowerEU volumes recede: 57Mt of allowances are expected to be withheld from auctions each year from 2027 through 2030, reducing supply by 6%. • CBAM phase

in driving hedging demand • Potential inclusion of international aviation could increase the projected 2027 emissions by 4% 1 • MSR review and possible tweaks to the 24% intake rate and thresholds • Expanding scope to potentially include carbon removals, municipal waste incineration, lower

size threshold for installations • Linkage with UK ETS • EU ETS2 in 2028

1. Clear Blue Markets, retrieved Jul 2025. EU ETS Planned Scope Expansion / Timeline

-500 0 500 1000 1500 2000 2500 Carbon Allowances, MtCO2e Annual Net Supply / Demand EU ETS Cap Cumulative Surplus Revised REPowerEU tightening path Proprietary CLIFI Model. Last updated 12/31/2025. Forward

looking scenarios/forecasts are hypothetical and not guarantees of future results. Actual prices may differ significantl y due to market and regulatory risks. Supply/Demand Modeling: European Union Allowances (EUAs) EU ETS 13 First Compliance Period 2008

2012 Period of increasing excess supply Start of Compliance Phase 2013

2020
Initial supply reduction measures implemented"Fit for 55" reform proposed, established and implemented
EU ETS changes to be implemented over Compliance Phase 2021

2030 Market Stability Reserve (MSR) implemented in Jan 2019

EUA Carbon Forecasts
14 EUA Price Forecasts, €/t Source: Carbon Pulse, “POLL: EU carbon prices brace for structural squeeze following speculative rally,” October 7, 2025, retrieved on 6 /30/2026
; Macquarie, “Carbon Compendium, From Global Wave to Local Trade,” January 28, 2026. Price forecasts are estimates from the sources indicated. Forward

looking scenarios/forecasts are hypothetical and not guarantees of future results. Actual prices may differ significantly due to market and regulatory risks. EU ETS “[The EU ETS] is the jewel and the workhorse of our climate strategy” "We are not too worried about the ETS price … not long ago people on this panel were worried it was too high”

Kurt Vandenberghe, Director

General of European Commission's climate arm 2027 2028 2030 BNEF €104 €112 €147 Macquarie €100 €100 €105 Energy Aspects €113 €115 €116 Morgan Stanley* €116 €121 €124020406080100120140160 €/t BloombergNEF Energy Aspects Macquarie Morgan Stanley*

Proprietary CLIFI Model. Last updated 12/31/2025. Cumulative Surplus – Black Line EU ETS 15 EUA Price Data from Bloomberg as of 12/31/2025. Price forecast from Macquarie as of August 2025.
Forward

looking scenarios/forecasts are hypothetical and not guarantees of future results. Actual prices may differ significantly due to market and regulatory risks.Return to Tightening Ukraine Invasion/
REPowerEU Policy Tightening SupplyCOVID VolReturn to TighteningUkraine Invasion/
REPowerEU PolicyTightening Supply COVID Vol MSR ImplementationMSR Implementation 0 20 40 60 80 100 120 140 160 Price (EUR) EUA EUA Forecast Supply Imbalance Drives Prices – EU’s New Tightening PhaseLO -500 0 500 1000 1500 2000 2500 Carbon Allowances, MtCO2e Annual Net Supply / Demand EU ETS Cap Cumulative Surplus

1927 52 -486086 2155 49 838 10 -248 -22-34 -66-57 -90 -96-71 -111-91 -300-200-1000100200300400500Carbon Allowances, MtCO2e Annual Net Supply / Demand WCI Cap Cumulative Surplus Supply & Demand Model: California 16 California Cap and Invest 1stCompliance Period2ndCompliance Period3rdCompliance Period4thCompliance Period & Beyond Added Fuel Distribution Proprietary CLIFI Model. Last updated 6/30/2026. California operates under the Western Climate Initiative (WCI), which admini ste rs the shared emissions trading market between California and Québec. Forward

looking scenarios/forecasts are hypothetical and not guarantees of future results. Actual prices may differ significantl y due to market and regulatory risks.

Data
from
Bloomberg and CARB as of 6 /30/2026 . Past performance does not guarantee future results.
CCA Performance Recent price weakness has reflected policy uncertainty and delayed reform timelines. With the program now extended through 20 45 and supply tightening proposals advancing, the market is entering a period of improved long

term visibility while prices remain near reserve

supported
levels. 17 California Cap and Invest Wildfires start, Pres. Trump takes office Rajinder: release of ISOR not imminent Q1 auction sub

$30, lowest in 2 years CARB delays timing of ISOR EO targeting state climate policy Newsom joint PR to extend program Q2 auction clears at the reserve price EO review period ends, no action taken Q3 auction clears 11% higher CA legislature passes long

awaited extension to 2045 bill Newsom signs bill Oct 29 CARB workshop Weaker Q4 auction, muted response Alpha Inception rumor ISOR released, starts 45

day comment period Q1 Auction results, clears at reserve price Modified 15

day ISOR released CARB approves rulemaking at 2

day Board meeting 20 22 24 26 28 30 32 34 36 38 40 Price (USD) CCA Dec Futures Auction Reserve Price Auction Settlement

2026 CCA Market Reform Highlights 18 Accelerated Cap Trajectory Cap declines by 11% annually out to 2030 and by 7% from 2031

2045 Offsets Under the Cap Industrial and Utility Allocation Manufacturing Decarbonization Initiative (MDI) 2027

2035 Max 6% of compliance obligation BUT removes the equivalent number of offsets surrendered from next year’s supply Introduced new MDI reserve (118Mt supply) that selectively awards “allowances” to compliance entities that invest in eligible decarbonization projects to support industrial competitiveness Industrial free allocations increased to 18% of total allowance budget from previous 12% to address affordability concerns Previous ~4% annual cap reductions vs Previous max 4% in 2021

2025, offsets added to overall annual supply vs 4% 11% 2020 -2030 2027 -2030 7% 2031 -2045 AB 398 (Current) AB 1207 (2025) Market Reform (2026) Recent price weakness has reflected policy uncertainty and delayed reform timelines. With the program now extended through 20 45 and supply tightening proposals advancing, the market is entering a period of improved long

term visibility while prices remain near reserve

supported
levels. 1 50% projects must have direct environmental benefits (DEB) in state Safeguards: • Mandatory evaluation and public workshop before credit issuance • Any future modifications proceed through a separate rulemaking process. Utility allocations, which are returned to customers through utility bill rebates, increased to ~45% of the allowance budget under the reform, up from ~42% previously 50% Refineries 50% Non

refining industries Industrial free allocations Utility allocations (California Climate Credit) Source: CARB as of 6/16/2026. California Cap and Invest

020406080100120140 2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030CCA Price Trajectories CCA Futures Current Auction Settlement Price Auction Reserve Price / Floor Price Ceiling Tier 1 Tier 2 Data
from
Bloomberg and KraneShares
analysis, as of 6/30/2026 .The price floor and ceiling levels shape the California carbon allowance (CCA) investment opportunity 19CCA Price Forecasts California’s Asymmetric Regime Source: Bloomberg New Energy Finance (BNEF), Sep 2025; ; Macquarie, “Carbon Compendium, From Global Wave to Local Trade,” 28/Jan/2026; Veyt , “California’s new climate package bullish for carbon prices,“ 25 September,
2025; Clear Blue forecasts retrieved 31/Mar/2026. Price forecasts are estimates from the sources indicated. Forward

looking scenarios/forecasts are hypothetical and not guarantees of future results. Actual prices may differ significantly due to market and regulatory risks.LO California Cap and Trade BNEF $68 by 2030 Based on their base case scenario, $74 in high emissions scenario Veyt $87 by 2030 Based on program’s extension and the incorporation of the new way of structuring offsets that makes for tighter emission caps in the long run. Clear Blue Markets$86 by 2030 Based on the assumption that prices will hit the Tier 1 level Macquarie $71 by 2030 Based on market tightness is expected from 2027 onwards, with deeper inventory draws occurring later in the decade due to backloaded Annual Cap cutsA D M A S T E R

S T A M P ! 2 0 2 3 0 9 2 6

3 0 9 6 9 8 6

9 9 3 9 5 5 4 Tier 1 Floor priceCurrent price $32.96+319% +205% +14%

$32.96 $108.05 $45.26 0 50 100 150 200 250 300 350 400 450 20 40 60 80 100 120 140 160 180 200 2025 2026 2027 2028 2029 2030 2031 2032 2033 2034 2035 Cumulative Surplus Price ($) Auction Reserve Price Price Ceiling Tier 1 Tier 2 2033 Deficit 2045 Discounted Reserve CCA Futures Price Cumulative Supply Balance California cap

and

invest market price structure Data from
Bloomberg, CARB, KraneShares as of 6/30 /2026. Reserve and tier prices are based on the market’s 5% plus inflation annual step up, using Deloitte inflation projectio ns.

Forward

looking scenarios/forecasts are hypothetical and not guarantees of future results. Actual prices may differ significantly due to market and regulatory risks.
Re ferences to policy

driven price levels or market mechanisms are not guarantees of price support or investment performance and may not prevent losses. This material may include forward

looking statements based on current expecta tions and assumptions. Actual results may differ materially due to market, regulatory, and economic conditions. 2026 Reserve Price : Current Price: Projected 2027 Reserve Price: Discounted 2045 Reserve: Current Tier 1: Projected 2033 Tier 1: Est. depletion of surplus $27.94 $32.96 $30.23 $45.26 $65.25 $108.05 Floor Price that rises 5% plus CPI annually Upper -bound price stability mechanisms that release additional allowances from a reserve if triggered, each rising 5% plus CPI annually Est. depletion of surplus Market expected to shift from cumulative surplus to deficit in 2033 Current price is ~40% below long

term downside levels, i.e., discounted 2045 reserve Significant Long

Term Price Runway California Cap and Invest 20 Path to Tier 1 at Deficit

$104.10$381.98 $76.11$87.95$100.98$115.61$132.36$151.54$173.50$198.64$227.42$243.34$312.37 $ 32.96 0 50 100 150 200 250 300 350 400 Price ($) CCA Price Trajectories Auction Reserve Price Price Ceiling Tier 1 Tier 2 Current Price 21Data from Bloomberg and KraneShares analysis, as of 6/30/2026 . Forward -looking scenarios/forecasts are hypothetical and not guarantees of future results. Actual prices may differ significan tly due to market and regulatory risks. California Cap and Trade $45.29

Supply/Demand Modeling: United Kingdom, Northeast US Power (RGGI), Washington State Proprietary CLIFI Model. Source for model data: cCarbon. Last updated 12 / 31 /2025. Forward

looking scenarios/forecasts are hypothetical and not guarantees of future results. Actual prices may differ significantl y due to market and regulatory risks. UK & RGGI 22 -40 -20 0 20 40 60 80 100 120 140 160 180 Carbon Allowances, MtCO2e UKA Supply / Demand Balance of Allowances Annual Net Supply / Demand UK ETS Cap Cumulative Surplus -200 -150 -100 -50 0 50 100 150 200 250 Carbon Allowances, MtCO2e RGGI Supply / Demand Balance of Allowances Annual Net Supply / Demand RGGI Cap Cumulative Surplus -60 -40 -20 0 20 40 60 80 Carbon Allowances, MtCO2e Washington Supply / Demand Balance of Allowances Annual Net Supply / Demand WA ETS Cap Cumulative Surplus

Virginia’s structural advantages: • Internet's backbone runs through Virginia, including an extensive network of subsea trans

Atlantic cables • Historically competitive commercial electricity rates • Data centers receive a sales tax exemption worth roughly $1.6 billion per year 4 • Temperate climate with low exposure to extreme weather events • Proximity to the dense concentration of federal agencies and defense contractors in the D.C. corridor • Deep, specialized labor pool built over decades of government technology employment RGGI Example: Carbon as a Price Mechanism for Nat Gas & AI Power Usage
23• Virginia dominates planned RGGI

region data center buildout, with nearly 5x more facilities in the pipeline than New York (RGGI’ s highest emitting state), anchoring long

term electricity and compliance demand growth 1 • When Virginia's return was confirmed on April 29, 2026, RGAs jumped over 20% on the day, climbing to an ATH of $52.47 on May 4 2 • Net investment fund positioning increased by 72% (3.2 million allowances) over the last two months on Virginia’s re

entry news 3 July 1, 2026, re

entry into RGGI 11.48M allowance cap for H2 2026 5 $827M Revenue from prior membership 6 629 Planned Data Centers1

RGGI 1. Data Center Map, retrieved 6/24/2026 2. Data from Bloomberg as of 6/15/2026. 3. BNEF, AI Demand Bets Fuel Record US Carbon Price Gap, 6/8/2026. 4. NPR, “Virginia's business reputation at the center of state budget impasse,” June 10, 2026. Based on total in 2025. 5. Virginia Department of Environmental Quality, “Carbon Trading,” retrieved 6/30/2026. 6. WHRO, “Virginia's return to Regional Greenhouse Gas Initiative picks up steam,” February 27, 2026

RGGI 2027 Restructuring The market is reducing the available supply of carbon allowances sold over the next decade from 69.8 million short tons in 20 27 to just 9 million by 2037, with an annual cap reduction of ~10.5% relative to the 2025 cap 24 $0.00 $10.00 $20.00 $30.00 $40.00 $50.00 $60.00 2016 2018 2020 2022 2024 2026 2028 2030 2032 2034 2036 Price / Ton CO2 RGGI Carbon Allowance Price Structure Vintage Futures Price Auction Price Minimum Reserve Price ECR Trigger Price CCR Tier 1 CCR Tier 2 Withheld allowances if triggered, removed starting in 2027 and replaced with higher MMR floor Minimum auction price (floor) raised to $9.00 in 2027, increasing by 7% annually Upper

bound price stability mechanisms (speed bumps) that release additional allowances from separate reserve if triggered, rises 7% annually 2025 Model Rule adds new Tier 2 starting in 2027 All time high of $52.47 in May after Virginia announced official reentry in July Data from Bloomberg as of 5/29/2026, on monthly basis. Past performance does not guarantee future results. Forward

looking scena rios/forecasts post

2026 are hypothetical and not guarantees of future results. Actual prices may differ significantly due to market and regulatory risks. (Quarterly) RGGI

Why carbon allowance futures? Liquidity and market size 25 Carbon allowance futures markets annual trading volume and market growth 1 * July 31, 2014 – December 31, 2025 1. Data
from
Bloomberg as of 12/31/2025. 2. Data
from
S&P Dow Jones Indices . Weightings as
of annual rebalance
on 12/2/2025. *See
end of presentation
for definitions. Portfolio Impact YearEUA volume (billions)UKA volume (billions)CCA volume (billions)RGGI volume (billions)WCA volume (billions)Total volumeEUA YoY growthUKA YoY growthCCA YoY growthRGGI YoY growthWCA YoY growthTotal growth 2025 782.1 53.4 57.5 11.8 2.2 907.0 13% 77%

21%

14% 42% 12% 2024 690.4 30.2 72.8 13.6 1.6 808.5 2% 6% 40% 142%

5% 2023 680.0 28.5 52.1 5.6 0.8 766.3 8%

13% 17%

3% 8% 2022 628.9 32.8 44.5 5.8 712.1

4% 88% 1% 77%

1% 2021 652.0 17.5 43.9 3.3 716.7 159%

108% 120% 161% 2020 251.8

21.1 1.5 274.4 23%

44% 10% 24% 2019 205.0

14.7 1.4 221.0 36%

116% 35% 39% 2018 150.8

6.8 1.0 158.6 354%

31% 81% 307% 2017 33.2

5.2 0.6 39.0 11%

56%

57% 13% 2016 30.0

3.3 1.3 34.6

31%

12%

1%

28% 2015 43.2

3.8 1.3 48.2

2014 44

0.3

44.3

European Union Allowance (EUA) 60% California Carbon Allowance (CCA) 25% Regional Greenhouse Gas Initiative (RGGI) 5% UK Allowance (UKA) 5% Washington Carbon Allowance (WCA) 5% S&P Global
Carbon
Credit
Index Weighting 2

1. Data from Bloomberg and S&P Indices as of 8/31/2014

6/30/2026 .* Carbon allowances: top five carbon allowance markets (weighted by volume) versus major asset classes. See end of presentation
fo r material differences between asset types and definitions; Equities: S&P 500 ; Bonds: The Agg ; Commodities: The S&P GSCI ; Real Estate: MSCI US REIT Index; Gold: LBMA Gold Price PM, Oil; S&P GSCI Crude Oil Index.
Index returns are for illustrative purposes only and do not represent actual Fund performance. Index returns do not reflect any management fee s, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index. Past performance does not guarantee future results. 2. Source: CLIFI and ICE as of 12/31/2025. Portfolio Impact Performance of carbon allowances versus major asset classes 1 Aug 31, 2014 – Jun 30, 2026 Carbon Allowances* Equities Bonds Commodities Real Estate Annualized Return (%) 18.44% 13.94% 2.00%

0.07% 7.45% Annualized Volatility (%) 26.95% 14.89% 4.77% 22.41% 17.65% Sharpe Ratio 0.69 0.82 0.02 0.02 0.38 Correlation (Monthly) 1 Aug 31, 2014 – Jun 30, 2026 Correlation US Equities Bonds Commodities Real Estate Gold Oil Carbon Allowances* 0.307 0.045 0.251 0.216

0.057 0.228 26 Performance Comparison Correlation (Weekly) 1 Jun 30, 2023 – Jun 30, 2023 EUA CCA RGGI UKA WCA EUA 1 CCA

0.090 1 RGGI 0.052 0.117 1 UKA 0.534 0.075

0.015 1 WCA 0.171 0.089

0.075 0.013 1 1.4% 1.4%1.7% 1.0%0.8% 0.6%4.7%6.1% 2.0% 1.4%1.4%1.7%2.2%2.8% 1.9% 1.1%0.9% 0.5% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 2020 2021 2022 2023 2024 2025 Recent Contango Trends (net of carry) 2

EUA CCA Global Carbon Index0100200300400500600700800900 Jul/14 Nov/14 Mar/15 Jul/15 Nov/15 Mar/16 Jul/16 Nov/16 Mar/17 Jul/17 Nov/17 Mar/18 Jul/18 Nov/18 Mar/19 Jul/19 Nov/19 Mar/20 Jul/20 Nov/20 Mar/21 Jul/21 Nov/21 Mar/22 Jul/22 Nov/22 Mar/23 Jul/23 Nov/23 Mar/24 Jul/24 Nov/24 Mar/25 Jul/25 Nov/25 Mar/26 Jul/26 Carbon allowances* Equities Bonds Commodities Real Estate

27 Portfolio Model Annual Return Volatility (Risk) Sharpe Ratio 100% Bonds 1.97% 4.77% 0.01 100% Stocks 14.03% 14.88% 0.83 100% Carbon 18.11% 26.92% 0.68 60% Stocks, 40% Bonds 9.31% 9.78% 0.76 60% Stocks, 30% Bonds, 10% Carbon 11.21% 10.65% 1.06 50% Stocks, 30% Bonds, 20% Commodities 8.03% 10.29% 0.80 80% Stocks, 20% Carbon 15.47% 14.49% 1.07 Data from Bloomberg and S&P Dow Jones Indices as of 6/30/2026. * Carbon allowances: see end of presentation for material differences between asset types and definitions; Equities: S&P 500 ; Bonds: The Agg; Commodities: The S&P GSCI. Index returns are for illustrative purposes only and do not represent actual Fund performance. Index returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index.
The above chart is purely hypothetical and is not meant to inform any investment decision. Past performance does not guarantee future results. Portfolio Impact Allocating as little as 10% may yield risk -adjusted performance benefits Portfolio Impact 0% 5% 10% 15% 20% 0% 2% 4% 6% 8% 10% 12% 14% 16% Return Volatility Blended Portfolios Return and Volatility (Aug 31, 2014 – Jun 30, 2025) 10% Carbon Blended Stocks/ Bonds 10% Comdty 100% Stocks 60% Stocks, 40% Bonds 100% Bonds 60% Stocks, 30% Bonds, 10% Carbon 50% Stocks, 30% Bonds, 20% Comdty 80% Stocks, 20% Carbon 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 0% 2% 4% 6% 8% 10% 12% 14% 16% Annualized return Annualized volatility KRBN Efficient Frontier (Aug 31, 2014 – Jun 30, 2026)

Global Investment Thesis 28 Data from Bloomberg and S&P Dow Jones Indices as of 6 /30/2026 . Based on the 5 largest carbon markets. Annual traded futures volume across the five largest markets totaled over $900B in 202 5. See slide 22

23 for supporting data. The performance data quoted represents past performance, and current returns may be higher or lower. Past performance does no t g uarantee future results. For additional performance and information, please see slide 26. KRBN KraneShares Global Carbon Strategy ETF KraneShares California Carbon Allowance Strategy ETF KCCA How to Invest: Case for Carbon Competitive Risk/Return Structural Supply Scarcity Low Correlations0.3 to S&P 500 Mandatory Demand for High

Emitters Supports Price Discovery & Liquidity Fast

Growing Asset Class Standard, Liquid Market~$1T in Traded Volume Potential Inflation Hedge

KraneShares Global Carbon Strategy ETF (KRBN) Investment Strategy : The KraneShares Global Carbon Strategy ETF (KRBN) is benchmarked to the S&P Global Carbon Credit Index, which offers broad coverage of cap

and

trade carbon allowances by tracking the most traded carbon credit futures contracts . The index introduces a new measure for hedging risk and going long the price of carbon while supporting responsible investing . Currently, the index covers the major European and North American cap

and

trade programs : European Union Allowances (EUA), California Carbon Allowances (CCA), the Regional Greenhouse Gas Initiative (RGGI), United Kingdom Allowances (UKA) , and Washington
State
Carbon
Allowances
(WCA) . KRBN Partner : Climate Finance Partners serves as the sub

adviser of the Fund . Climate Finance Partners delivers innovative climate finance solutions and investment products to address capital needs for emerging environmental challenges . CLIFI is led by a team of investment professionals with deep experience in the fields of traditional investment and environmental finance . KRBN Performance History as of 6 / 30 / 202 6 :Fund Details Data
as of 6 /30/2026 Primary Exchange NYSE CUSIP 500767678 ISIN US5007676787 Total Annual Fund Operating Expense 0. 90 % Inception Date 07/29/2020 Distribution Frequency Quarterly Index Name S&P Global Carbon Credit Index Cumulative % Average Annualized % 3 Mo YTD Since Inception 1 Yr 3 Yr 5 Yr Since Inception Fund NAV 12.54 %

5.88% 142.48 % 14.42 %

0.04 % 5.81 % 16.13 % Closing Price 11.69 %

6.33% 141.10 % 13.82 %

0.28 % 5.45 % 1 6.02 % Index 12.20 %

6.10% 156.49 % 14.12 % 1.06 % 7.11 % 17.24 % The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investors shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please visit www.kraneshares.com/krbn. Diversification does not ensure a profit or guarantee against a loss. Index returns are for illustrative purposes only. Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index. KRBN 29

Holdings and Exposures of the KraneShares Global Carbon Strategy ETF (KRBN) Carbon Allowance Futures Breakdown Data
as of 6 /30/2026 Currency Exposure Breakdown Data
as of 6 /30/2026 30 KRBN Holdings, carbon allowance exposures, and collateral are subject to change. Includes USD cash deposits & cash in margin accounts ($ 17,199,561 ), and implied short USD exposure from Euro FX futures Carbon
Allowance
Exposures
as of 6/30/2026 Identifier Position Current Exposure($) % NAV European Union Allowance (EUA) 2026 Note US36255HES31 818 75,001,522 54.27% California Carbon Allowance (CCA) Vintage 2026 Future KBCZ26 Comdty 1,122 36,981,120 26.76% European Union Allowance (EUA) 2026 Future MOZ26 Comdty 79 7,240,116 5.24% Regional Greenhouse Gas Initiative (RGGI) Vintage 2026 Future RGYZ26 Comdty 157 6,882,880 4.98% UK Allowances (UKA) 2026 Future UKEZ6 Comdty 89 6,692,955 4.84% Washington
Carbon
Allowance
(WCA)
Vintage
2026
Future WKDZ26 Comdty 106 5,578,780 4.04% 138,377,373 100% Collateral
and Currency
Management
as of 6/30/2026 Identifier Position Current Notional($) % NAV KraneShares Sustainable Ultra Short Duration Index ETF 500767355 3,043,000 76,242,365 55.17% European Union Allowance (EUA) 2026 Note US36255HES31 41,677,000 32,395,699 23.44% Euro FX Futures ECM6 Curncy 113 16,182,306 11.71% State Street Institutional U.S. Government Money Market Fund GVMXX 5,684,673 5,684,672 4.11% BRITISH STERLING POUND GBP 3,825,447 5,077,308 3.67% EURO EUR 1,464,103 1,673,911 1.21% USD Cash & Equivalents USD 1,017,255 1,017,255 0.74% 138,273,516 100%EUA 2026 Note 52.77% CCA 2026 Future 24.95%EUA 2026 Future 7.30%RGGI 2026 Future 4.90%UKA 2026 Future 5.05%WCA 2026 Future 4.92% EUR 0.614USD 0.349GBP 0.037