BNP Paribas L1 sicav. at 31/12/2016. R.C.S. Luxembourg B

Transcription

1 BNP Paribas L1 sicav A at 31/12/2016 R.C.S. Luxembourg B

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3 BNP Paribas L1 Table of contents Page Organisation 3 Information 5 Manager's report 6 Audit report 10 Financial statements at 31/12/ Key figures relating to the last 3 years 24 Bond Euro Corporate 35 Bond Euro High Yield 41 Bond Euro Premium 42 Bond Europe Plus 43 Bond World Emerging Local 47 Bond World Plus 48 Convertible Bond Best Selection Europe 53 Convertible Bond World 54 Diversified World Balanced 55 Diversified World Growth 56 Diversified World Stability 57 Equity Belgium 58 Equity Euro 59 Equity Europe 60 Equity Europe DEFI 61 Equity Europe Low Volatility 63 Equity Italy 64 Equity Netherlands 65 Equity USA Core 66 Equity World Aqua 67 Equity World Emerging 68 Equity World Guru 69 Equity World Quality Focus 70 Japan 71 Multi-Asset Income 72 Patrimoine 89 Safe Aggressive W1 90 Safe Aggressive W4 91 Safe Aggressive W7 92 Safe Aggressive W10 93 Safe Conservative W1 94 Page 1

4 BNP Paribas L1 Table of contents Page Safe Conservative W4 95 Safe Conservative W7 96 Safe Conservative W10 97 Safe Defensive W1 98 Safe Defensive W4 99 Safe Defensive W7 100 Safe Defensive W Safe Dynamic W1 102 Safe Dynamic W4 103 Safe Dynamic W7 104 Safe Dynamic W Safe Neutral W1 106 Safe Neutral W4 107 Safe Neutral W7 108 Safe Neutral W SMaRT Food 110 Sustainable Active Allocation 111 Notes to the financial statements 114 Unaudited appendix 148 No subscription can be received on the basis of the financial statements alone. Subscriptions are only valid if made on the basis of the current prospectus, accompanied by the latest annual report and the most recent semi-annual report, if published thereafter. Page 2

5 BNP Paribas L1 Organisation Registered office Until 24 April 2016: 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg Since 25 April 2016: 10 Rue Edward Steichen, L-2540 Luxembourg, Grand Duchy of Luxembourg Board of Directors Chairman Mr. Philippe MARCHESSAUX, Chief Executive Officer, BNP Paribas Investment Partners, Paris Members Mr. Marnix ARICKX, Chief Executive Officer, BNP Paribas Investment Partners Belgium, Brussels Mr. Christian DARGNAT, Head of Distributors Business Line, BNP Paribas Investment Partners, Paris (until 15 April 2016) Mrs. Marianne DEMARCHI, Head of Group Networks, BNP Paribas Investment Partners, Paris Mr. Anthony FINAN, Deputy-Head of Distributors Business Line, BNP Paribas Investment Partners, Paris Mr. François HULLO, Head of External Distribution, BNP Paribas Investment Partners, Paris Mr. Christian VOLLE, Independent Director, Paris Managing Director Mr. Anthony FINAN, Deputy-Head of Distributors Business Line, BNP Paribas Investment Partners, Paris Company Secretary (non-member of the Board) Mr. Stéphane BRUNET, Chief Executive Officer, BNP Paribas Investment Partners Luxembourg, Luxembourg Management Company BNP Paribas Investment Partners Luxembourg Until 24 April 2016: 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg Since 25 April 2016: 10 Rue Edward Steichen, L-2540 Luxembourg, Grand Duchy of Luxembourg BNP Paribas Investment Partners Luxembourg is a Management Company as defined in chapter 15 of the Luxembourg Law of 17 December 2010, as amended, concerning undertakings for collective investment. In this capacity, the Management Company is responsible for administration, portfolio management and marketing duties. Net asset values calculation, transfer and registrar agent are delegated to: BNP Paribas Securities Services, Luxembourg Branch, 60 Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Page 3

6 Organisation BNP Paribas L1 Portfolio management is delegated to: Effective Investment Managers BNP Paribas Group management entities (generally named BNP Paribas Investment Partners) BNP Paribas Asset Management S.A.S., 1 Boulevard Haussmann, F Paris, France BNP Paribas Investment Partners Asia Ltd., 30/F Three Exchange Square, 8 Connaught Place, Central Hong-Kong BNP Paribas Investment Partners Belgium, 55 Rue du Progrès, B-1210 Brussels, Belgium BNP Paribas Investment Partners Nederland N.V., Herengracht 595, PO box 71770, NL-1008 DG Amsterdam, The Netherlands BNP Paribas Investment Partners UK Ltd., 5 Aldermanbury Square, London EC2V 7BP, United Kingdom Fischer Francis Trees & Watts, Inc., 200 Park Avenue, 11 th floor, New York, NY 10166, USA (until 17 May 2016) THEAM S.A.S., 1 Boulevard Haussmann, F Paris, France Non-group management entities Impax Asset Management Limited, Norfolk House, 31 St James s Square, London, SW1Y 4JR, United Kingdom Fund manager of the Equity World Aqua and SMaRT Food sub-funds River Road Asset Management, LLC, 462 South Fourth Street, Suite 1600 Louisville, Kentucky Fund manager for the US High Dividend equities in the Multi-Asset Income sub-fund The Company may also seek advice from the following investment advisor FundQuest Advisor, 1 Boulevard Haussmann, F Paris, France Advisor for the selection of non-group investment managers Depositary/Paying agent BNP Paribas Securities Services, Luxembourg Branch, 60 Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Auditor PricewaterhouseCoopers, Société coopérative, 2 Rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg, Grand Duchy of Luxembourg Page 4

7 Information BNP Paribas L1 BNP Paribas L1 is an open-ended investment company (Société d Investissement à Capital Variable SICAV) incorporated on 29 November 1989 under the name INTERSELEX WORLD for an indefinite period in accordance with the provisions of Part I of the law of 30 March 1988 on undertakings for collective investment. The name was changed to INTERSELEX EQUITY by an extraordinary general meeting of shareholders on 4 November 1996, and then to INTERSELEX by an extraordinary general meeting of shareholders on 4 May 1998 and to FORTIS L FUND by an extraordinary general meeting of shareholders on 30 September By an extraordinary general meeting of shareholders held on 14 May 2010, the company changed its name to BNP Paribas L1 (abbreviated as BNPP L1) with effect from 1 August The Company is currently subject to Part I of the law of 17 December 2010, as amended, on undertakings for collective investment and to European Directive 2009/65/EC (UCITS IV), as amended by the Directive 2014/91 (UCITS V). The Articles of Association of the Company have been filed with the Registrar of the District Court of Luxembourg, where any interested party may consult them and obtain a copy. They were last modified on 25 April 2016, with publication in the Mémorial on 29 April The Company is registered in the Luxembourg Trade and Companies Register under the number B Net asset values are calculated on each day of the week on which banks are open for business in Luxembourg. As to net asset values and dividends, the Company publishes the legally required information in the Grand Duchy of Luxembourg and in all other countries where the shares are publicly offered. This information is also available on the website: The Articles of Association, the Prospectus, the KIID, and periodic reports may be consulted at the Company s registered office and at the establishments responsible for the Company s financial service. Copies of the Articles of Association and the annual and interim reports are available on request. Except for newspaper publications required by Law, the official media to obtain any notice to shareholders from will be the website Documents and information are also available on the website: Page 5

8 Manager's report BNP Paribas L1 Economic context A large part of the year saw global growth that was still modest (OECD expectations of 2.9% following growth of 3.1% in 2015), fostering uncertainty over the sustainability of growth and doubts about its ability to withstand any external shocks. The sharp fall in oil at the beginning of the year was interpreted as a sign of weak global activity. The price of oil, which was approaching $25 per barrel early in 2016, increased fairly quickly to $50, after the OPEC countries indicated that they were prepared to talk and reached an agreement to reduce production during the Vienna summit at the end of November. The price of WTI ended the year at $54 per barrel, up 45%. Political issues took centre stage. If the British electorate s Brexit decision in June was destabilising, the consequences of the surprise election of Donald Trump in the United States on 8 November were unexpected. The scenario soon unfolded of a president implementing a fiscal stimulus package to support domestic demand, and showing himself to be pragmatic on the more contentious issues (immigration, trade), sparking a resurgence in the confidence of investors and economic stakeholders. United States After a first half-year where GDP growth was below expectations (year-on-year variations of 0.8% and 1.4% for the 1st and 2nd quarters compared to the previous quarter), the US economy returned to a steadier pace (3.5% in the 3rd quarter). In a climate where the labour market is approaching full employment (with an unemployment rate of 4.7% in December), private consumption seems to be anchored at around 3% a solid, sustainable pace for the US economy. The summer was marked by a slight slowing on the industrial front as demonstrated by the fall of the ISM Manufacturing index (survey of purchasing managers) to below 50 in August. It recovered quickly to close at 54.7 in December, the highest since late The prospects of fiscal stimulus after the election of Donald Trump raised hopes for renewed domestic demand, which translated into a spectacular rise in the confidence of consumers and small companies, which by the end of the year were at their highest levels in 15 and 12 years respectively. Although industrial production, and above all productive investment, are still far from achieving such performances, encouraging factors did emerge. Inflation accelerated but remains contained (1.7% year-on-year in November). Europe After standing at 0.5% in the 1st quarter of 2016, GDP growth came in at 0.3% in the 2nd and 3rd quarters, and the available leading indicators suggest a somewhat more sustained increase in the 4th. Growth of 1.6% is on the horizon, a slight reduction compared to 2015 (+2%) but still a substantial rate. European economies showed themselves to be unexpectedly resilient in a year marked by the British electorate s decision to leave the European Union, the drawn-out process of forming a government in Spain and the Italian electorate s rejection of the proposal to reform the Constitution. As in the United States, the results of activity surveys bounced back after the summer and were particularly sound at the end of the year. In December, the composite PMI index, which summarises the opinion of purchasing managers in the manufacturing and services sectors, was at its highest level since May These factors hold out hope for a solid performance from private consumption (with an unemployment rate once again at a 7-year low) and a more marked recovery of investment expenditure. Monetary policy remained accommodating despite the predicted decline in the volume of monthly asset purchases and the maintenance of low rates will encourage increased private sector lending. The confidence of economic stakeholders will remain a crucial factor in 2017 when political uncertainties could cause them to delay purchasing decisions and, especially, investment expenditure. In December, inflation, which had been negative in the spring, reached its highest level since September 2013, at 1.1% year-on-year (preliminary estimate). This is the result of base effects associated with variations in oil prices and is not indicative of an acceleration in underlying inflation (excluding food and energy), which stood at 0.9% in December. Japan The development of the Japanese economy in 2016 was fairly disappointing, and it is expected to result in average growth lower than that achieved in 2015 (1.2%). The momentum at the end of the period seemed a little more satisfactory with an improvement in the Bank of Japan s economic trends survey (Tankan) in the 4th quarter. The rise in the indices remains modest, however, and companies still seem somewhat cautious about their business outlook in the coming months. Furthermore, although it boosts exports, the depreciation of the yen is still such that domestic purchasing power is limited by imported inflation and could thus impact on domestic demand, which already showed signs of slowing in the 3rd quarter and at the beginning of the 4th. Inflation was negative between April and September (when it fell to -0.5% year-on-year), before recovering by the end of the period (0.5% in November), primarily as a result of an increase in the price of fresh produce due to extreme weather conditions. Underlying inflation slowed quite significantly between the start and end of the year. Page 6

9 Manager's report BNP Paribas L1 Despite several initiatives to ease its monetary policy (negative rates, implementation of yield curve controls, adjustment of asset purchases), the Bank of Japan failed to close in on its inflation target (2%) and was forced to push back the timetable by which it expects to achieve this to March Emerging markets With 2015 having seen its lowest growth since the Great Recession of (4% according to the International Monetary Fund), the emerging world continued to record a modest performance which is expected to result in an increase in GDP of 4.2%. The momentum improved, however, towards the end of the period, according to the purchasing managers activity surveys. The aggregated PMI indices once more rose above 50 in the manufacturing and services sectors, reflecting an expansion in economic activity. Growth in China is in line with the government s targets (6.7% in the 3rd quarter), but relies to a great extent on strong credit growth and exceptional measures to support the activity. The authorities repeatedly expressed their intention to provide economic stability and reduce overcapacity. After GDP shrunk by 3.8% in 2015, the deterioration in Brazil came to a halt, but this improvement remained fragile and was to run out of steam by the end of the year. These two examples are a fairly faithful reflection of the rather tentative economic climate in emerging countries, which is affected by specific issues in some cases. The survey of purchasing managers in Mexico is already showing signs of a negative Trump effect, associated with concerns about migration policy and potential protectionist measures. The Indian economy, whose pace of growth was over 7%, was disrupted by the demonetisation of high denomination banknotes, which began in early November and resulted in economic paralysis and a marked decline in confidence indicators. While signs of improvement in global trade are still very tenuous, these events raise doubts about an acceleration in the emerging economies. Monetary policy Expectations of additional easing of the monetary policy of the European Central Bank had been high since the beginning of the year. In March 2016, Mario Draghi announced that monthly asset purchases were being increased from 60 billion to 80 billion and that quantitative easing (QE) was being extended to private bonds issued by high-quality non-bank companies established in the eurozone. Key interest rates were lowered (the main refinancing operations rate to 0%, the marginal lending facility rate to 0.25% and the deposit facility rate to -0.40%). The ECB opted for a holding position in July (after the British referendum) and in September, as the eurozone economy proved rather resilient. During September s press conference, Mario Draghi had indicated that the question of extending QE had not been discussed. In October, he reiterated this idea, this time with regard to a decrease in purchases (or tapering, to adopt the expression used when the Fed gradually reduced its purchases from January 2014). This rumour concerned observers faced with good economic activity and inflation rates that remain low. This is the context in which, on 8 December, the ECB took the markets by surprise by extending the duration of its asset purchase programme by longer than expected ( until the end of December 2017, or beyond, if necessary ) while reducing their monthly purchases from 80 billion to 60 billion from April Furthermore, repayments of maturing securities will be reinvested and technical adjustments offering more flexibility are planned from January: the purchase of shorter-term securities or those with a return below the deposit rate, if necessary. Mario Draghi insisted that the extension of asset purchases allows for a more sustained market presence and, therefore, a more lasting transmission of stimulus measures, and that the decisions taken do not amount to tapering. He specified that the prediction of inflation at 1.7% in 2019 can not really be considered a return to the target of 2%. A significant announcement was that the volume of purchased may be increased if financial conditions become inconsistent with further progress towards a sustained adjustment of the path of inflation. On 16 December 2015, Janet Yellen announced the end of the zero-rate policy in force since It took one year for rates to rise a second time. The target range for the US federal funds rate is now between 0.50% and 0.75%. Expectations had fluctuated for several months in the light of economic indicators and political events. In June, Janet Yellen explicitly stated that the risks associated with the Brexit referendum on the 23rd had affected the decision to maintain the status quo. In hindsight, the verdict of the polls justified such caution. During the summer, differences of opinion emerged between proponents of a rise in interest rates (unemployment rates close to their level of equilibrium and inflation rising gradually towards its target) and those supporting a more cautious approach. The first group seemed to gain ground gradually and a clear line was drawn at the end of August: the case for an increase in the federal funds rate has strengthened. It follows that this diagnosis, supported by solid economic data, resulted in a rise of 25 bps in the key rate on 14 December. In her testimony to Congress on 17 November, the Chair of the Fed confirmed that she plans to remain in post until her term expires in February Some people thought she would resign in the wake of Donald Trump s criticism of her during his campaign. Page 7

10 Manager's report BNP Paribas L1 In December, although the official line and growth and inflation forecasts varied only very slightly, attention was focused on the projections regarding the appropriate level of key interest rates, which now involved 3 increases in 2017 as opposed to 2 previously. Janet Yellen played down the significance of this and indicated that inflation of 2% was a goal and not a limit, suggesting that the Fed could temporarily accept a higher level. Foreign exchange markets Several times in 2016, volatility on the foreign exchange market reached levels not seen since The EUR/USD rate fluctuated within a very broad range ( ). A turbulent rise sent it over 1.16 in early May, despite the easing of monetary policy announced in March, with certain observers hoping that would be the ECB s last rate reduction. Between May and October, however, expectations regarding the Fed s actions were behind the variations in the exchange rate. After the Brexit referendum, there was an upsurge in volatility without any specific trends emerging, except on the pound sterling, which recorded a year-on-year fall of 13.9% against the euro and 16.3% against the dollar. Between June and September, the EUR/USD rate fluctuated around 1.12, while USD/JPY parity varied between 100 and 106. The Bank of Japan did not manage to weaken the yen, despite introducing negative rates and unprecedented measures to control the yield curve. The rate did not drop below the threshold of 100 for any considerable length of time, due to statements from the authorities suggesting that intervention on the foreign exchange market was possible if the yen rose too quickly. The election of Donald Trump changed the game and, after some highly erratic movements following the announcement of the result, there was a marked rise in the dollar against most major currencies, in both developed and emerging markets. The dollar reached its highest level since spring 2003 against a basket of currencies, according to data issued by the Bank of England. The rebound of the dollar reflects expectations of stronger economic growth in the US, which could lead the Fed to normalise its monetary policy more quickly. Emerging currencies were penalised by fears that the future president will implement protectionist measures. Furthermore, the pressure on US interest rates weighed on emerging in general. In December, the EUR/USD rate temporarily dropped below 1.04, for the first time since early It ended the year at (-2.8% over twelve months). The USD/JPY rate exceeded 118 (close to its annual high) at the time of the Fed s monetary policy meeting in December that marked the end of excessively low rates in the United States. After some profit-taking, parity ended up at , which corresponds to a rise of 3.0% in the yen against the dollar. Bond markets In the face of turbulence on the equity markets at the beginning of 2016, the US 10-year T-note yield, which stood at 2.27% at the end of 2015, fell sharply below 1.70% in February. The upturn in oil prices restored a certain amount of calm and the US long rates then fluctuated between 1.60% and around 2% until early June, in the light of highly variable expectations on monetary policy. From 3 June, the 10-year rate eased considerably in the wake of the British referendum and the dissipation of expectations of a rise in the Fed s key rates in the near future. Post-Brexit nervousness resulted in the 10-year T-note yield dropping below 1.40% in early July. Thereafter, government bonds reacted to the economic indicators and to comments made by members of the FOMC, finally convincing investors that there would be a rise in interest rates before the end of The 10-year rate fluctuated between 1.55% and 1.65% in September before tightening significantly, firstly due to tensions on European rates then, especially, after the surprise election of Donald Trump. The 10-year T-note yield rose temporarily to its highest level since September 2014 at more than 2.60% the day after the Fed meeting that culminated in an interest rate hike of 25 bps on 14 December. The possibility that a fiscal stimulus programme could be quickly implemented led certain observers to expect more aggressive action from the Fed, while inflation accelerated and the FOMC raised the appropriate rate for the end of The 10-year rate closed at 2.44%, a rise of 17 bps in twelve months. Monetary policy that was not in line with expectations led to an increase in the 2-year rate, which on 15 December recorded its highest level since August 2009, at nearly 1.30%. The German 10-year Bund yield (0.63% at the end of 2015) entered a downward trend at the start of the year, reflecting the monetary policy of the ECB (expectations and announcements) and the flight to safety in the face of challenging equity markets. The German 10-year rate reached 0.11% on 29 February, which was a low point at that time. From March to May, there were strong movements from the effects of profit-taking, when the rate fell beneath this threshold, and fluctuations in the American market. In June, the British referendum had a decisive impact on government bonds, causing the 10-year Bund yield to fall below 0%. It was under -0.20% during trading in early July, with the confusion in the early days post-brexit strengthening the attraction of the Bund as a safe haven and generating expectations of exceptional measures from the ECB. Until September, the German 10-year rate showed no discernible market trend at around -0.10%. The deterioration of the bond market, a feature of the last quarter, was triggered on 4 October by a press article reporting discussions within the ECB of a forthcoming reduction in asset purchases ( tapering ). Page 8

11 Manager's report BNP Paribas L1 Despite denials from the ECB, the rates moved outside the range within which they had been fluctuating since the Brexit decision and continued to tighten in November, this time in the wake of their US counterparts. In December, the announcements regarding monetary policy (reduction of monthly asset purchases from April 2017) resulted in the German 10-year Bund yield recording its highest level since January (0.40% on the 12th). The easing at the end of the year, despite solid economic data, is probably a reflection of investors repositioning at levels they consider more favourable. The German Bund yield closed at 0.21%, a reduction of 42 bps in twelve months. Equity markets The year started badly, with concerns about global growth and the Chinese economy (with adjustments of the yuan) and falling oil prices leading to a marked fall in equities in January. Initial discussions between Saudi Arabia and other producers, which proved inconclusive but indicative of a willingness to negotiate, allowed for a rapid rise in oil prices (to nearly $50) which caused stock markets to recover in February and March. This upward trend continued in April and May but, despite a rather favourable economic environment, showed signs of slowing. In June, the referendum in the United Kingdom focused attention and resulted in volatility in European markets reaching an all-time high for the year. The British electorate s decision in favour of leaving the European Union, which emerged during the night of 23 to 24 June, was a shock. The major indices fell sharply on 24 June, before recovering. The swift appointment of Theresa May as prime minister calmed the political situation somewhat (although there are still many questions over the course of the negotiations ahead), and as a result equities recovered in July and thereafter remained relatively stable. Volatility rose once more in the autumn reflecting a certain agitation, while equities increased without taking account of economic fundamentals. From October, skittishness increased as the United States presidential election approached. And the winner was Donald Trump! Very soon after the election, the possibility of a more expansionist fiscal policy, as discussed during the election campaign, caused a marked recovery in equities and the dollar and put pressure on longterm rates. This momentum continued relentlessly, whereas before 8 November, most investors had considered the election of Donald Trump as a risk for the financial markets. These trends slowed somewhat in terms of reduced transaction volumes but equities continued to rise in December, helped by the increase in oil prices in the light of the agreement to reduce production. In 2016, global equities rose by 5.6% (MSCI AC World index in dollars) and emerging markets by 8.6% (MSCI Emerging in dollars), despite a more difficult year-end for emerging, confronted by the rising dollar and the pressure on US interest rates and penalised by fears of increased protectionism. In developed markets, American exchanges recorded a clear outperformance (+9.5% for the S&P 500): with reduced exposure to the consequences of Brexit, they have naturally benefited from the prospects of renewed growth and deregulation after the election. Japanese equities, supported in November and December by the decline of the yen after a turbulent performance, managed to end the year close to break-even (+0.4% for the Nikkei 225 index). In Europe, the Eurostoxx 50 rose 0.7%. The figures mentioned above are fluctuations in the price of the indices in local currencies, excluding dividends reinvested. The Board of Directors Luxembourg, 31 January 2017 Note: The information stated in this report is historical and not necessarily indicative of future performance. Page 9

12 Audit report To the Shareholders of BNP Paribas L1 We have audited the accompanying financial statements of BNP Paribas L1 and of each of its sub-funds, which comprise the statement of net and the securities portfolio as at 31 December 2016 and the statement of operations and changes in net for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICAV for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the Réviseur d entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgment of the Réviseur d entreprises agréé, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Réviseur d entreprises agréé considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements. PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T: , F: , Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n ) R.C.S. Luxembourg B TVA LU Page 10

13 _AL pwc We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of BNP Paribas Ll and of each of its sub-funds as of 31 December 2016, and of the results of their operations and changes in their net for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other information The Board of Directors of the SICAV is responsible for the other information. The other information comprises the information included in the annual report but does not include the fmancial statements and our audit report thereon. Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report this fact. We have nothing to report in this regard. Pricewat ecoopers, Societe cooperative Luxembourg, 11 April 2017 Represe Sebastien adzot Page 11

14 BNP Paribas L1 Financial statements at 31/12/2016 Bond Euro Corporate Bond Euro High Yield Bond Euro Premium Bond Europe Plus Expressed in EUR EUR EUR EUR Notes Statement of net Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio ( ) Securities portfolio at market value Options at market value 2, Net Unrealised gain on financial instruments 2,10,11, Cash at banks and time deposits Other Liabilities Options at market value 2, Bank overdrafts Net Unrealised loss on financial instruments 2,10,11, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Transaction fees Distribution fees Total expenses Net result from investments ( ) ( ) Net realised result on: Investments securities ( ) Financial instruments ( ) ( ) Net realised result (69 256) ( ) Movement on net unrealised gain/(loss) on: Investments securities ( ) Financial instruments ( ) 0 ( ) Change in net due to operations ( ) Net subscriptions/(redemptions) ( ) ( ) ( ) Dividends paid 7 ( ) ( ) 0 (250) Increase/(Decrease) in net during the year/period ( ) ( ) ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 12

15 BNP Paribas L1 Bond USA High Yield Bond USD Bond World Emerging Bond World Emerging Local Bond World Plus Convertible Bond Best Selection Europe USD USD USD USD EUR EUR ( ) ( ) (50 891) (50 591) (15 185) ( ) ( ) (59 459) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (32 307) ( ) ( ) (32 692) ( ) ( ) ( ) ( ) ( ) ( ) Page 13

16 BNP Paribas L1 Financial statements at 31/12/2016 Convertible Bond World Diversified Active Click Balanced Diversified Active Click Stability Diversified World Balanced Expressed in EUR EUR EUR EUR Notes Statement of net Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio Securities portfolio at market value Options at market value 2, Net Unrealised gain on financial instruments 2,10,11, Cash at banks and time deposits Other Liabilities Options at market value 2, Bank overdrafts Net Unrealised loss on financial instruments 2,10,11, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Transaction fees Distribution fees Total expenses Net result from investments ( ) ( ) Net realised result on: Investments securities ( ) ( ) Financial instruments ( ) ( ) Net realised result ( ) Movement on net unrealised gain/(loss) on: Investments securities ( ) ( ) Financial instruments Change in net due to operations ( ) ( ) ( ) Net subscriptions/(redemptions) ( ) ( ) ( ) Dividends paid 7 ( ) 0 0 ( ) Increase/(Decrease) in net during the year/period ( ) ( ) ( ) ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 14

17 BNP Paribas L1 Diversified World Growth Diversified World Stability Equity Belgium Equity Euro Equity Europe Equity Europe DEFI EUR EUR EUR EUR EUR EUR ( ) ( ) ( ) (189) ( ) ( ) ( ) ( ) 0 (252) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) 0 ( ) ( ) 0 ( ) ( ) ( ) Page 15

18 BNP Paribas L1 Financial statements at 31/12/2016 Equity Europe Low Volatility Equity Italy Equity Netherlands Equity USA Core Expressed in EUR EUR EUR USD Notes Statement of net Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio Securities portfolio at market value Options at market value 2, Net Unrealised gain on financial instruments 2,10,11, Cash at banks and time deposits Other Liabilities Options at market value 2, Bank overdrafts Net Unrealised loss on financial instruments 2,10,11, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Transaction fees Distribution fees Total expenses Net result from investments Net realised result on: Investments securities 2 ( ) ( ) Financial instruments ( ) (1 961) (3 030) ( ) Net realised result ( ) ( ) Movement on net unrealised gain/(loss) on: Investments securities (72 753) ( ) Financial instruments Change in net due to operations ( ) Net subscriptions/(redemptions) ( ) ( ) ( ) Dividends paid ( ) ( ) Increase/(Decrease) in net during the year/period ( ) ( ) ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 16

19 BNP Paribas L1 Equity World Aqua Equity World Emerging Equity World Guru Equity World Quality Focus Japan Lifecycle 2020 EUR USD USD EUR JPY EUR ( ) ( ) ( ) ( ) ( ) ( ) ( ) (20 332) ( ) ( ) ( ) (2 705) 0 (86 581) (656) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) Page 17

20 BNP Paribas L1 Financial statements at 31/12/2016 Lifecycle 2025 Lifecycle 2030 Lifecycle 2035 Multi-Asset Income Expressed in EUR EUR EUR EUR Notes Statement of net Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio Securities portfolio at market value Options at market value 2, Net Unrealised gain on financial instruments 2,10,11, Cash at banks and time deposits Other Liabilities Options at market value 2, Bank overdrafts Net Unrealised loss on financial instruments 2,10,11, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Transaction fees Distribution fees Total expenses Net result from investments (15 991) (13 977) (13 183) Net realised result on: Investments securities ( ) Financial instruments (1 949) (1 850) (2 888) ( ) Net realised result ( ) Movement on net unrealised gain/(loss) on: Investments securities ( ) ( ) ( ) Financial instruments ( ) Change in net due to operations (25 397) (46 265) (46 033) Net subscriptions/(redemptions) ( ) ( ) ( ) Dividends paid ( ) Increase/(Decrease) in net during the year/period ( ) ( ) ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 18

21 BNP Paribas L1 Opportunities World Patrimoine Real Estate Securities World Safe Aggressive W1 Safe Aggressive W4 Safe Aggressive W7 EUR EUR EUR EUR EUR EUR (17 546) ( ) (36 043) (33 575) (11 413) (24 728) ( ) ( ) (83 894) (6 759) (41 134) ( ) ( ) (23 979) ( ) (15 855) (60 785) (13 624) (235) (109) (210) ( ) (1 311) ( ) (11 697) ( ) ( ) ( ) ( ) ( ) ( ) 0 0 (81 967) ( ) ( ) ( ) ( ) (85 315) ( ) Page 19

22 BNP Paribas L1 Financial statements at 31/12/2016 Safe Aggressive W10 Safe Conservative W1 Safe Conservative W4 Safe Conservative W7 Expressed in EUR EUR EUR EUR Notes Statement of net Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio (9 154) (755) 119 Securities portfolio at market value Options at market value 2, Net Unrealised gain on financial instruments 2,10,11, Cash at banks and time deposits Other Liabilities Options at market value 2, Bank overdrafts Net Unrealised loss on financial instruments 2,10,11, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Transaction fees Distribution fees Total expenses Net result from investments (30 000) (61 457) (25 936) (39 017) Net realised result on: Investments securities Financial instruments Net realised result (5 626) Movement on net unrealised gain/(loss) on: Investments securities (8 417) (1 883) (2 046) Financial instruments (232) Change in net due to operations (7 434) Net subscriptions/(redemptions) ( ) ( ) ( ) ( ) Dividends paid Increase/(Decrease) in net during the year/period ( ) ( ) ( ) ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 20

23 BNP Paribas L1 Safe Conservative W10 Safe Defensive W1 Safe Defensive W4 Safe Defensive W7 Safe Defensive W10 Safe Dynamic W1 EUR EUR EUR EUR EUR EUR (519) (58 502) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (13 653) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (2 907) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) Page 21

24 BNP Paribas L1 Financial statements at 31/12/2016 Safe Dynamic W4 Safe Dynamic W7 Safe Dynamic W10 Safe Neutral W1 Expressed in EUR EUR EUR EUR Notes Statement of net Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio Securities portfolio at market value Options at market value 2, Net Unrealised gain on financial instruments 2,10,11, Cash at banks and time deposits Other Liabilities Options at market value 2, Bank overdrafts Net Unrealised loss on financial instruments 2,10,11, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Transaction fees Distribution fees Total expenses Net result from investments ( ) ( ) ( ) ( ) Net realised result on: Investments securities 2 ( ) ( ) ( ) ( ) Financial instruments Net realised result ( ) ( ) ( ) ( ) Movement on net unrealised gain/(loss) on: Investments securities (14 242) Financial instruments (2 396) (3 140) (3 374) (6 908) Change in net due to operations ( ) ( ) Net subscriptions/(redemptions) ( ) ( ) ( ) ( ) Dividends paid Increase/(Decrease) in net during the year/period ( ) ( ) ( ) ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 22

25 BNP Paribas L1 Safe Neutral W4 Safe Neutral W7 Safe Neutral W10 SMaRT Food Sustainable Active Allocation Consolidated EUR EUR EUR EUR EUR EUR ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (44 861) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (8 215) (10 975) (9 104) ( ) ( ) ( ) ( ) (2 080) ( ) ( ) ( ) ( ) ( ) Page 23

26 BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Bond Euro Corporate EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share N - Capitalisation Bond Euro High Yield EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share N - Capitalisation Bond Euro Premium EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N - Capitalisation Share Privilege - Capitalisation Share Privilege - Distribution Bond Europe Plus EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic New Distri - Distribution Share I - Capitalisation Share N - Capitalisation Share Privilege - Capitalisation Share Privilege - Distribution Bond USA High Yield USD USD USD Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share N - Capitalisation Bond USD USD USD USD Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share N - Capitalisation Page 24

27 BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Bond World Emerging USD USD USD Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share N - Capitalisation Bond World Emerging Local USD USD USD Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share N - Capitalisation Bond World Plus EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic New Distri - Distribution Share Classic RH USD - Capitalisation Share Classic USD - Capitalisation Share Classic USD - Distribution Share I - Capitalisation Share N - Capitalisation Share Privilege - Distribution Share X - Capitalisation Convertible Bond Best Selection Europe EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N - Capitalisation Share Privilege - Capitalisation Share Privilege - Distribution Convertible Bond World EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share N - Capitalisation Page 25

28 BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Diversified Active Click Balanced EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Diversified Active Click Stability EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share N - Capitalisation Diversified World Balanced EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N - Capitalisation Share Privilege - Capitalisation Share Privilege - Distribution Diversified World Growth EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N - Capitalisation Share Privilege - Capitalisation Share Privilege - Distribution Diversified World Stability EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N - Capitalisation Share Privilege - Capitalisation Share Privilege - Distribution Equity Belgium EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share X - Capitalisation Page 26

29 BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Equity Euro EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N - Capitalisation Share Privilege - Capitalisation Share X - Capitalisation Equity Europe EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share I - Capitalisation Share N - Capitalisation Share Privilege - Capitalisation Share Privilege - Distribution Share X - Capitalisation Equity Europe DEFI EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share I - Capitalisation Equity Europe Low Volatility EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share I - Capitalisation Share X - Capitalisation Equity Italy EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share I - Capitalisation Share N - Capitalisation Share Privilege - Capitalisation Share X - Capitalisation Page 27

30 BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Equity Netherlands EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Privilege - Capitalisation Share Privilege - Distribution Share X - Capitalisation Equity USA Core USD USD USD Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic EUR - Distribution Share Classic H EUR - Capitalisation Share I - Capitalisation Share N - Capitalisation Share Privilege - Distribution Share X - Capitalisation Equity World Aqua EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share Classic USD - Distribution Share I - Capitalisation Share Life - Capitalisation Share Privilege - Capitalisation Share Privilege GBP - Capitalisation Share Privilege USD - Capitalisation Share Privilege USD - Distribution Equity World Emerging USD USD USD Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share N - Capitalisation Page 28

31 BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Equity World Guru USD USD USD Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic EUR - Distribution Share I EUR - Capitalisation Share Life EUR - Capitalisation Share N - Capitalisation Share Privilege EUR - Capitalisation Share Privilege EUR - Distribution Equity World Quality Focus EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic HUF - Capitalisation Share I - Capitalisation Share Life - Capitalisation Share N - Capitalisation Share Privilege - Capitalisation Share Privilege - Distribution Share X - Capitalisation Japan JPY JPY JPY Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic EUR - Capitalisation Share I - Capitalisation Lifecycle 2020 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Privilege - Capitalisation Lifecycle 2025 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Privilege - Capitalisation Page 29

32 BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Lifecycle 2030 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Privilege - Capitalisation Lifecycle 2035 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Privilege - Capitalisation Multi-Asset Income EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic MD - Distribution Share Classic RH AUD MD - Distribution Share Classic RH CNH MD - Distribution Share Classic RH HKD MD - Distribution Share Classic RH SGD MD - Distribution Share Classic RH USD - Capitalisation Share Classic RH USD - Distribution Share Classic RH USD MD - Distribution Share I - Capitalisation Share I - Distribution Share N - Capitalisation Share Privilege - Capitalisation Share Privilege - Distribution Share X - Capitalisation Opportunities World EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share N - Capitalisation Patrimoine EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N - Capitalisation Share Privilege - Capitalisation Share Privilege - Distribution Page 30

33 BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Real Estate Securities World EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share N - Capitalisation Safe Aggressive W1 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Distribution Safe Aggressive W4 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Distribution Safe Aggressive W7 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Distribution Safe Aggressive W10 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Distribution Safe Conservative W1 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Distribution Share I - Capitalisation Safe Conservative W4 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Distribution Page 31

34 BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Safe Conservative W7 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Distribution Safe Conservative W10 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Distribution Safe Defensive W1 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Life - Capitalisation Safe Defensive W4 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share Life - Capitalisation Safe Defensive W7 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Life - Capitalisation Safe Defensive W10 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Life - Capitalisation Share Privilege - Capitalisation Page 32

35 BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Safe Dynamic W1 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share Life - Capitalisation Share N - Capitalisation Safe Dynamic W4 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Life - Capitalisation Safe Dynamic W7 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Life - Capitalisation Share N - Capitalisation Safe Dynamic W10 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Life - Capitalisation Safe Neutral W1 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share Life - Capitalisation Safe Neutral W4 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share Life - Capitalisation Page 33

36 BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Safe Neutral W7 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share Life - Capitalisation Safe Neutral W10 EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Life - Capitalisation SMaRT Food EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Sustainable Active Allocation EUR EUR EUR Number of shares 31/12/ /12/ /12/ /12/2016 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic Solidarity - Capitalisation Share Classic Solidarity - Distribution Share I - Capitalisation Share N - Capitalisation Share Privilege - Capitalisation Page 34

37 BNP Paribas L1 Bond Euro Corporate Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds France ACCOR 2.625% 14-05/02/2021 EUR AIR LIQUIDE FIN 0.375% 16-18/04/2022 EUR APRR 1.250% 16-06/01/2027 EUR ARKEMA 1.500% 15-20/01/2025 EUR AUTOROUTES DU SUD 1.000% 16-13/05/2026 EUR AUTOROUTES DU SUD 4.125% 10-13/04/2020 EUR AUTOROUTES PARIS 1.125% 14-15/01/2021 EUR AUTOROUTES PARIS 1.125% 16-09/01/2026 EUR AUTOROUTES PARIS 1.500% /01/2024 EUR AXA SA 1.125% 16-15/05/2028 EUR BANQUE FED CREDIT MUTUEL 0.250% 16-14/06/2019 EUR BANQUE FED CREDIT MUTUEL 1.625% 13-11/01/2018 EUR BANQUE FED CREDIT MUTUEL % 16-04/11/2026 EUR BANQUE FED CREDIT MUTUEL 2.000% 13-19/09/2019 EUR BANQUE FED CREDIT MUTUEL % 16-24/03/2026 EUR BANQUE FED CREDIT MUTUEL 3.000% 14-21/05/2024 EUR BANQUE FED CREDIT MUTUEL 4.000% 10-22/10/2020 EUR BNP PARIBAS 0.750% 16-11/11/2022 EUR BNP PARIBAS 1.125% 16-15/01/2023 EUR BNP PARIBAS 1.500% 13-12/03/2018 EUR BNP PARIBAS 2.250% 16-11/01/2027 EUR BNP PARIBAS 2.375% 15-17/02/2025 EUR BNP PARIBAS 2.750% 15-27/01/2026 EUR BNP PARIBAS 2.875% 12-27/11/2017 EUR BNP PARIBAS 3.750% 10-25/11/2020 EUR BOUYGUES 1.375% 16-07/06/2027 EUR BPCE 0.375% 16-05/10/2023 EUR BPCE 2.875% 16-22/04/2026 EUR BUREAU VERITAS 1.250% 16-07/09/2023 EUR CAP GEMINI SA 1.750% 15-01/07/2020 EUR CARMILA 2.375% 15-18/09/2023 EUR CARMILA 2.375% 16-16/09/2024 EUR CARREFOUR SA 0.750% 16-26/04/2024 EUR CARREFOUR SA 1.750% 13-22/05/2019 EUR CARREFOUR SA 1.750% 14-15/07/2022 EUR CARREFOUR SA 4.000% 10-09/04/2020 EUR CASINO GUICHARD 4.481% /11/2018 EUR CASINO GUICHARD 5.976% 11-26/05/2021 EUR CFCM NORD EUROPE 2.125% /09/2026 EUR CIE DE ST GOBAIN 0.000% /03/2020 EUR CNP ASSURANCES 1.875% /10/2022 EUR COFACE 4.125% 14-27/03/2024 EUR COFIROUTE 0.375% 16-07/02/2025 EUR CREDIT AGRICOLE SA 0.875% 15-19/01/2022 EUR CREDIT AGRICOLE SA 2.625% 15-17/03/2027 EUR CROWN EUROPEAN 2.625% /09/2024 EUR DANONE 0.424% 16-03/11/2022 EUR ELEC DE FRANCE 1.000% /10/2026 EUR ENGIE 2.250% 12-01/06/2018 EUR EUTELSAT SA 2.625% 13-13/01/2020 EUR FAURECIA 3.625% 16-15/06/2023 EUR FONCIERE DES REGIONS 1.875% 16-20/05/2026 EUR GDF SUEZ 6.875% 08-24/01/2019 EUR GECINA 1.000% 16-30/01/2029 EUR GECINA 2.000% 15-17/06/2024 EUR HIT FINANCE BV 5.750% 11-09/03/2018 EUR HOLDING DINFRA 2.250% 14-24/03/2025 EUR HSBC FRANCE 0.625% 15-03/12/2020 EUR ICADE 1.125% 16-17/11/2025 EUR ICADE 1.875% 15-14/09/2022 EUR JCDECAUX SA 1.000% 16-01/06/2023 EUR KERING 0.875% 15-28/03/2022 EUR KERING 1.250% 16-10/05/2026 EUR KLEPIERRE 1.000% 15-17/04/2023 EUR KLEPIERRE 1.250% 16-29/09/2031 EUR KLEPIERRE 1.875% 16-19/02/2026 EUR KLEPIERRE 4.000% 10-13/04/2017 EUR LABEYRIE 5.625% 14-15/03/2021 EUR LOXAM SAS 7.000% 14-23/07/2022 EUR MERCIALYS 1.787% 14-31/03/2023 EUR NUMERICABLE 5.375% 14-15/05/2022 EUR NUMERICABLE 5.625% 14-15/05/2024 EUR ORANGE 0.875% 16-03/02/2027 EUR ORANGE 1.000% 16-12/05/2025 EUR ORANGE 3.125% 13-09/01/2024 EUR PERNOD RICARD SA 1.500% 16-18/05/2026 EUR PERNOD-RICARD SA 2.125% 14-27/09/2024 EUR PEUGEOT 2.375% 16-14/04/2023 EUR PEUGEOT 6.500% 13-18/01/2019 EUR PEUGEOT 7.375% 13-06/03/2018 EUR PUBLICIS GROUPE 1.125% 14-16/12/2021 EUR RCI BANQUE 0.500% 16-15/09/2023 EUR RCI BANQUE 0.625% 15-04/03/2020 EUR RCI BANQUE 0.625% 16-10/11/2021 EUR RENAULT 3.125% 14-05/03/2021 EUR RENAULT 5.625% 10-22/03/2017 EUR REXEL SA 3.250% 15-15/06/2022 EUR RTE RESEAU DE TR 1.000% 16-19/10/2026 EUR SAN 0.950% 16-19/10/2028 EUR SANEF 1.875% 15-16/03/2026 EUR SANOFI 0.000% 16-13/09/2022 EUR SANOFI 0.625% 16-05/04/2024 EUR SCHNEIDER ELEC 0.250% /09/2024 EUR SOCIETE FONCIERE 2.250% 15-16/11/2022 EUR SOCIETE GENERALE 0.125% /10/2021 EUR SOCIETE GENERALE 0.750% 16-19/02/2021 EUR SOCIETE GENERALE 0.750% 16-26/05/2023 EUR SOCIETE GENERALE 1.000% 16-01/04/2022 EUR SOCIETE GENERALE 2.625% 15-27/02/2025 EUR SOCIETE GENERALE 6.125% /08/2018 EUR TDF INFRASTRUCTU 2.500% 16-07/04/2026 EUR TEREOS FIN GROUP 4.125% 16-16/06/2023 EUR TEREOS FIN GROUP 4.250% 13-04/03/2020 EUR Page 35

38 BNP Paribas L1 Bond Euro Corporate Expressed in EUR THALES SA 0.750% 16-07/06/2023 EUR TOTAL CAPITAL 0.250% 16-12/07/2023 EUR TRANSPORT ET INF 2.200% 15-05/08/2025 EUR UNIBAIL-RODAMCO 0.875% /02/2025 EUR UNIBAIL-RODAMCO 1.125% /04/2027 EUR VALEO SA 1.625% 16-18/03/2026 EUR VALEO SA 3.250% 14-22/01/2024 EUR VEOLIA ENVIRONNEMENT 0.314% /10/2023 EUR VEOLIA ENVIRONNEMENT 1.590% 15-10/01/2028 EUR VEOLIA ENVIRONNEMENT 6.750% 09-24/04/2019 EUR WENDEL SA 1.000% 16-20/04/2023 EUR WENDEL SA 2.500% 15-09/02/2027 EUR WENDEL SA 2.750% 14-02/10/2024 EUR The Netherlands ABB FINANCE BV 0.625% /05/2023 EUR ABN AMRO BANK NV 6.375% 11-27/04/2021 EUR ABN AMRO BANK NV 7.125% 12-06/07/2022 EUR ADECCO INT FIN 1.000% 16-02/12/2024 EUR ADRIA BIDCO BV 7.875% 13-15/11/2020 EUR AEGON NV 1.000% 16-08/12/2023 EUR AIRBUS GROUP FINANCE BV 0.875% /05/2026 EUR AIRBUS GROUP FINANCE BV 1.375% /05/2031 EUR AKZO NOBEL NV 1.125% 16-08/04/2026 EUR ALLIANZ FINANCE 0.000% 16-21/04/2020 EUR AMADEUS FINANCE 0.625% 14-02/12/2017 EUR ASML HOLDING NV 0.625% 16-07/07/2022 EUR ASML HOLDING NV 1.625% /05/2027 EUR BASF FIN EUROPNV 0.000% /11/2020 EUR BMW FINANCE NV 0.875% 15-17/11/2020 EUR BMW FINANCE NV 1.000% /02/2022 EUR BUNGE FINANCE EU 1.850% /06/2023 EUR COCA-COLA HBC BV 1.875% /11/2024 EUR DEUTSCHE ANN FIN 3.125% 13-25/07/2019 EUR DEUTSCHE BAHN FIN 0.875% /07/2031 EUR DEUTSCHE TEL FIN 0.250% /04/2021 EUR DEUTSCHE TEL FIN 0.625% /04/2023 EUR DSM NV 0.750% 16-28/09/2026 EUR EDP FINANCE BV 1.125% /02/2024 EUR EDP FINANCE BV 2.375% /03/2023 EUR EDP FINANCE BV 2.625% 14-15/04/2019 EUR EDP FINANCE BV 4.875% 13-14/09/2020 EUR ENEL FINANCE INTL NV 3.625% 12-17/04/2018 EUR ENEL FINANCE INTL NV 5.000% 09-14/09/2022 EUR GAS NAT FENOSA F 1.250% /04/2026 EUR GEN MOTORS FIN 1.168% 16-18/05/2020 EUR HEINEKEN NV 1.000% 16-04/05/2026 EUR HEINEKEN NV 1.250% 15-10/09/2021 EUR IBERDROLA INTL 0.375% /09/2025 EUR IBERDROLA INTL 1.125% 16-21/04/2026 EUR IBERDROLA INTL 1.750% 15-17/09/2023 EUR IBERDROLA INTL 1.875% 14-08/10/2024 EUR IHO VERWALTUNGS 2.750% /09/2021 EUR ING BANK NV 0.750% 16-22/02/2021 EUR KONINKLIJKE KPN 0.625% /04/2025 EUR LEASEPLAN CORP 1.000% 16-24/05/2021 EUR LGE HOLDCO VI 7.125% 14-15/05/2024 EUR LINDE FINANCE BV 1.000% /04/2028 EUR NEDERLANDSE GASU 1.000% /05/2026 EUR NN GROUP NV 1.000% 15-18/03/2022 EUR RABOBANK 1.750% 14-22/01/2019 EUR RABOBANK 3.375% 10-21/04/2017 EUR RABOBANK 3.875% 13-25/07/2023 EUR RABOBANK 4.125% 10-14/01/2020 EUR REN FINANCE BV 1.750% /06/2023 EUR REN FINANCE BV 2.500% 15-12/02/2025 EUR REN FINANCE BV 4.750% 13-16/10/2020 EUR REPSOL INTL FIN 2.625% 13-28/05/2020 EUR ROCHE FINANCE EU 0.500% 16-27/02/2023 EUR SAIPEM FIN INTL 3.000% /03/2021 EUR SHELL INTL FIN 0.750% 16-12/05/2024 EUR SHELL INTL FIN BV 4.375% 09-14/05/2018 EUR SIEMENS FINAN 1.700% 16-15/09/2021 USD TEVA PHARMACEUT FNC 1.250% 15-31/03/2023 EUR VOLKSWAGEN INTFN 3.250% 12-21/01/2019 EUR VONOVIA BV 0.875% 16-10/06/2022 EUR VONOVIA BV 1.250% 16-06/12/2024 EUR VONOVIA BV 1.625% 15-15/12/2020 EUR ZIGGO SECURED FI 4.250% /01/2027 EUR United States of America ABBVIE INC 0.375% 16-18/11/2019 EUR AMERICAN EXPRESS 0.625% /11/2021 EUR BALL CORP 4.375% 15-15/12/2023 EUR BANK OF AMERICA CORP 0.750% /07/2023 EUR CATALENT PHARMA 4.750% /12/2024 EUR CITIGROUP INC 0.750% 16-26/10/2023 EUR CONTL RUBBER 0.500% 15-19/02/2019 EUR ECOLAB INC 1.000% 16-15/01/2024 EUR EXPEDIA INC 2.500% 15-03/06/2022 EUR FEDEX CORP 1.000% 16-11/01/2023 EUR GEN MOTORS FIN 0.955% /09/2023 EUR GOLDMAN SACHS GP 1.250% /05/2025 EUR GOLDMAN SACHS GP 1.625% /07/2026 EUR GOLDMAN SACHS GP 2.125% 14-30/09/2024 EUR IBM CORP 0.500% 16-07/09/2021 EUR JP MORGAN CHASE 0.625% /01/2024 EUR JP MORGAN CHASE 1.500% 15-26/10/2022 EUR Page 36

39 BNP Paribas L1 Bond Euro Corporate Expressed in EUR JP MORGAN CHASE 1.500% 16-29/10/2026 EUR JP MORGAN CHASE 1.875% 12-21/11/2019 EUR JP MORGAN CHASE 2.625% 13-23/04/2021 EUR KELLOGG CO 1.000% 16-17/05/2024 EUR KLOECKNER PENTAPLAST 7.125% 15-01/05/2020 EUR MCDONALDS CORP 1.000% 16-15/11/2023 EUR MORGAN STANLEY 1.000% /12/2022 EUR MORGAN STANLEY 1.375% /10/2026 EUR MORGAN STANLEY 1.750% 16-11/03/2024 EUR MORGAN STANLEY 6.500% 08-28/12/2018 EUR MYLAN NV 1.250% 16-23/11/2020 EUR THERMO FISHER 0.750% 16-12/09/2024 EUR VERIZON COMMUNICATIONS INC % 16-02/06/2022 EUR WELLS FARGO & CO 1.125% 14-29/10/2021 EUR WELLS FARGO & CO 1.375% /10/2026 EUR Spain ABERTIS 1.375% 16-20/05/2026 EUR ABERTIS 2.500% 14-27/02/2025 EUR ABERTIS 3.750% 13-20/06/2023 EUR ABERTIS 5.125% 07-12/06/2017 EUR AMADEUS CAP MKT 0.125% 16-06/10/2020 EUR BANKINTER SA 1.750% 14-10/06/2019 EUR BBVA SENIOR FIN 3.750% 13-17/01/2018 EUR BPE FINANCIACION 2.000% /02/2020 EUR CELLNEX TELECOM 2.375% 16-16/01/2024 EUR CELLNEX TELECOM 3.125% 15-27/07/2022 EUR ENAGAS FIN SA 1.375% 16-05/05/2028 EUR ENAGAS FIN SA 2.500% 14-11/04/2022 EUR FERROVIAL EMISIO 0.375% /09/2022 EUR FERROVIAL EMISIO 3.375% 13-07/06/2021 EUR FERROVIAL EMISIO 3.375% 13-30/01/2018 EUR GAS NATURAL CAP 4.125% 10-26/01/2018 EUR GAS NATURAL CAP 5.125% 09-02/11/2021 EUR GAS NATURAL CAP 5.375% 11-24/05/2019 EUR GAS NATURAL CAP 6.375% 09-09/07/2019 EUR IBERDROLA FIN SA 1.000% /03/2024 EUR MAPFRE 1.625% 16-19/05/2026 EUR MERLIN PROPERTIES 1.875% /11/2026 EUR RED ELECTRICA FI 1.000% 16-21/04/2026 EUR RED ELECTRICA FI 1.125% 15-24/04/2025 EUR RED ELECTRICA FI 2.125% 14-01/07/2023 EUR SANTANDER CONS FIN 0.750% 16-03/04/2019 EUR SANTANDER CONS FIN 1.000% 16-26/05/2021 EUR SANTANDER CONS FIN 1.100% 15-29/07/2018 EUR SANTANDER INTL 1.375% 14-25/03/2017 EUR SANTANDER INTL 1.375% 16-03/03/2021 EUR SANTANDER INTL 4.000% 13-24/01/2020 EUR SANTANDER ISSUAN 3.250% 16-04/04/2026 TELEFONICA EMIS 0.318% 16-17/10/2020 TELEFONICA EMIS 0.750% /04/2022 TELEFONICA EMIS 1.460% 16-13/04/2026 TELEFONICA EMIS 1.477% 15-14/09/2021 EUR EUR EUR EUR EUR United Kingdom ANGLO AMERICAN 1.750% 13-20/11/2017 EUR ANGLO AMERICAN 1.750% 14-03/04/2018 EUR AVIS BUDGET FINA 6.000% 13-01/03/2021 EUR AVIVA PLC 0.625% 16-27/10/2023 EUR BARCLAYS BANK PLC 1.875% /12/2023 EUR BP CAPITAL PLC 0.830% 16-19/09/2024 EUR CREDIT AGRICOLE 0.750% 16-01/12/2022 EUR CREDIT AGRICOLE 1.250% 16-14/04/2026 EUR CREDIT AGRICOLE 1.875% 12-18/10/2017 EUR CREDIT AGRICOLE 1.875% 16-20/12/2026 EUR CREDIT AGRICOLE SA 3.875% 12-13/02/2019 EUR CREDIT SUISSE LD 0.375% /04/2019 EUR CREDIT SUISSE LD 0.500% 15-29/03/2018 EUR CREDIT SUISSE LD 0.625% 14-20/11/2018 EUR CREDIT SUISSE LD 1.000% /06/2023 EUR CREDIT SUISSE LD 1.500% 16-10/04/2026 EUR DELPHI AUTOMTVE 1.600% /09/2028 EUR EASYJET PLC 1.125% 16-18/10/2023 EUR FCE BANK PLC 1.615% 16-11/05/2023 EUR FCE BANK PLC 1.875% 14-24/06/2021 EUR FIAT CHRYSLER AU 3.750% /03/2024 EUR HSBC HOLDINGS PLC 3.125% /06/2028 EUR ITV PLC 2.000% 16-01/12/2023 EUR LLOYDS BANK PLC 1.875% /10/2018 EUR NATIONAL GRID 0.625% 16-22/09/2024 EUR NATIONWIDE BLDG 1.125% 15-03/06/2022 EUR SANTANDER UK GRP 1.125% /09/2023 EUR TA MANUFACTURING 3.625% /04/2023 EUR THOMAS COOK GROUP 6.250% 16-15/06/2022 EUR UNILEVER NV 1.000% 15-03/06/2023 EUR VIRGIN MEDIA FIN 4.500% 15-15/01/2025 EUR Italy I RETE GAS SPA 1.750% 14-16/07/2019 EUR ACEA SPA 1.000% 16-24/10/2026 EUR AEROPORTI ROMA 3.250% 13-20/02/2021 EUR ATLANTIA 3.625% 12-30/11/2018 EUR ENEL (ENTNZENEL) 5.250% 07-20/06/2017 EUR ENI SPA 0.625% 16-19/09/2024 EUR ENI SPA 0.750% 16-17/05/2022 EUR ENI SPA 4.125% 09-16/09/2019 EUR HERA SPA 0.875% 16-14/10/2026 EUR SIAS 3.375% 14-13/02/2024 EUR Page 37

40 BNP Paribas L1 Bond Euro Corporate Expressed in EUR SNAM SPA 0.000% 16-25/10/2020 EUR SNAM SPA 0.875% 16-25/10/2026 EUR SNAM SPA 1.500% 14-21/04/2023 EUR SNAM SPA 1.500% 14-24/04/2019 EUR TELECOM ITALIA 3.000% /09/2025 EUR TELECOM ITALIA 3.625% /05/2026 EUR TERNA SPA 0.875% 15-02/02/2022 EUR TERNA SPA 1.000% 16-11/10/2028 EUR UNICREDIT SPA 3.375% 12-11/01/2018 EUR UNICREDIT SPA 3.625% 13-24/01/2019 EUR Germany ALLIANZ SE 3.875% 16-29/12/2049 USD BASF SE 0.875% 16-06/10/2031 EUR BERTELSMANN SE 1.125% 16-27/04/2026 EUR COMMERZBANK AG 0.500% /09/2023 EUR COMMERZBANK AG 4.000% 16-23/03/2026 EUR CONTINENTAL AG 0.000% /02/2020 EUR DAIMLER AG 0.250% 16-11/05/2020 EUR DAIMLER AG 0.500% 16-09/09/2019 EUR DEUTSCHE BANK AG 2.750% 15-17/02/2025 EUR DEUTSCHE POST AG 0.375% 16-01/04/2021 EUR DEUTSCHE WOHNEN 1.375% /07/2020 EUR EUROGRID GMBH 1.500% 16-18/04/2028 EUR EUROGRID GMBH 1.625% 15-03/11/2023 EUR FAENZA GMBH 8.250% 13-15/08/2021 EUR HEIDELBERGCEMENT 1.500% /02/2025 EUR HEIDELBERGCEMENT 2.250% 16-30/03/2023 EUR HENKEL AG & CO 0.000% /09/2021 EUR KNORR BREMSE AG 0.500% /12/2021 EUR LANXESS 0.250% 16-07/10/2021 EUR METRO AG 1.500% 15-19/03/2025 EUR RAPID HOLDING 6.625% 15-15/11/2020 EUR SAP SE 1.125% 14-20/02/2023 EUR TALANX AG 3.125% 13-13/02/2023 EUR TELFONICA DEUTSC 2.375% /02/2021 EUR THYSSENKRUPP 2.750% 16-08/03/2021 EUR WEPA HYGIENEPROD 3.750% /05/2024 EUR Luxembourg ARCELORMITTAL 3.000% 14-25/03/2019 EUR ARD FINANCE SA 6.625% /09/2023 EUR BMBG BOND FINCE 3.000% 16-15/06/2021 EUR CNH IND FIN 2.875% 16-17/05/2023 EUR HOLCIM FINANCE L 1.375% /05/2023 EUR HOLCIM FINANCE L 2.250% /05/2028 EUR INEOS GROUP HOLD 5.375% /08/2024 EUR MATTERHORN TELE 4.875% 15-01/05/2023 EUR NOVARTIS FINANCE 0.125% /09/2023 EUR PROLOGIS INTL II 1.876% /04/2025 EUR PROLOGIS INTL II 2.875% /04/2022 EUR SIMON INTL FIN S 1.250% /05/2025 EUR SIMON INTL FIN S 1.375% 15-18/11/2022 EUR TELENET FINANCE VI 4.875% 15-15/07/2027 EUR TYCO INTERNATIONAL F 1.375% 15-25/02/2025 EUR WIND ACQUISITION 4.000% 14-15/07/2020 EUR WIND ACQUISITION 7.000% 14-23/04/2021 EUR Ireland ALLIED IRISH BANKS 1.375% 15-16/03/2020 EUR ALLIED IRISH BANKS 2.750% 14-16/04/2019 EUR ARDAGH PKG FIN 4.125% 16-15/05/2023 EUR ARDAGH PKG FIN 4.250% 14-15/01/2022 EUR BANK OF IRELAND 1.250% 15-09/04/2020 EUR BANK OF IRELAND 2.000% /05/2017 EUR CRH FINANCE 1.375% 16-18/10/2028 EUR EATON CAPITAL 0.750% 16-20/09/2024 EUR EIRCOM FINANCE 4.500% /05/2022 EUR FCA CAPITAL IRE 1.250% 16-23/09/2020 EUR FGA CAPITAL IRE 2.000% 14-23/10/2019 EUR FGA CAPITAL IRE 2.625% 14-17/04/2019 EUR PARTNERRE IRELAND 1.250% /09/2026 EUR RYANAIR 1.125% 15-10/03/2023 EUR Sweden HEMSO FASTIGHETS 1.000% 16-09/09/2026 EUR NORDEA BANK AB 4.000% 10-29/03/2021 EUR NORDEA BANK AB 4.500% 10-26/03/2020 EUR SKANDINAVISKA ENSKILDA BANK % 16-24/08/2021 EUR SKANDINAVISKA ENSKILDA BANK % 12-12/09/2022 EUR Belgium ANHEUSER - BUSCH 1.500% /03/2025 EUR BARRY CALLE SVCS 2.375% /05/2024 EUR BNP PARIBAS FORTIS BANK 5.757% 07-04/10/2017 EUR KBC GROEP NV 1.000% 16-26/04/2021 EUR KBC GROUP NV 0.750% 16-18/10/2023 EUR SOLVAY SA 2.750% 15-02/12/2027 EUR Norway DNB BANK ASA 1.125% 16-01/03/2023 EUR SPAREBANK 1 SR 0.375% /02/2022 EUR Denmark DANSKE BANK A/S 0.500% 16-06/05/2021 EUR DANSKE BANK A/S 0.750% /06/2023 EUR ISS GLOBAL A/S 2.125% 14-02/12/2024 EUR JYSKE BANK A/S 0.625% 16-14/04/2021 EUR TDC A/S 1.750% 15-27/02/2027 EUR Canada COTT FINANCE COR 5.500% /07/2024 EUR MAGNA INTERNATIONAL INC 1.900% 15-24/11/2023 EUR Page 38

41 BNP Paribas L1 Bond Euro Corporate Expressed in EUR Jersey Island UBS GROUP FUNDING 1.250% 16-01/09/2026 UBS GROUP FUNDING 1.500% /11/2024 EUR EUR Finland SAMPO OYJ 1.000% 16-18/09/2023 EUR Austria TELEKOM FINANZ 1.500% /12/2026 EUR Mexico AMERICA MOVIL SA 1.500% /03/2024 EUR AMERICA MOVIL SA 3.000% 12-12/07/2021 EUR Portugal BRISA CONCESSAO 2.000% 16-22/03/2023 EUR REN REDES ENERGE 4.125% 13-31/01/2018 EUR Japan SOFTBANK GROUP CORP 4.750% 15-30/07/2025 EUR Poland AUTOSTRADE PER L 1.125% 15-04/11/2021 EUR Floating rate bonds France ARKEMA 14-29/10/2049 FRN EUR AXA SA 10-16/04/2040 FRN EUR AXA SA 13-04/07/2043 FRN EUR AXA SA 14-20/05/2049 FRN EUR AXA SA 16-06/07/2047 FRN EUR BNP PARIBAS 07-29/04/2049 FRN EUR BNP PARIBAS 14-20/03/2026 FRN EUR BNP PARIBAS 16-29/12/2049 FRN USD BNP PARIBAS 16-29/12/2049 FRN USD BPCE 14-08/07/2026 FRN EUR BPCE 15-30/11/2027 FRN EUR CASINO GUICHARD 12-06/08/2019 FRN EUR CNP ASSURANCES 10-14/09/2040 FRN EUR CREDIT AGRICOLE ASSR 15-29/01/2049 FRN EUR CREDIT AGRICOLE ASSR /09/2048 FRN EUR CREDIT AGRICOLE SA /03/2049 FRN EUR ENGIE 13-29/07/2049 FRN EUR ENGIE 14-02/06/2049 FRN EUR LAFARGE SA 10-29/11/2018 FRN EUR ORANGE 14-28/02/2049 FRN EUR ORANGE 14-29/10/2049 FRN EUR SCOR SE 16-27/05/2048 FRN EUR SOCIETE GENERALE 09-29/09/2049 FRN EUR SOCIETE GENERALE /12/2049 FRN USD SOGECAP SA 14-29/12/2049 FRN EUR SUEZ 15-29/12/2049 FRN EUR TOTAL SA 15-29/12/2049 FRN EUR TOTAL SA 16-29/12/2049 FRN EUR TOTAL SA 16-29/12/2049 FRN EUR The Netherlands ACHMEA BV 15-29/12/2049 FRN EUR ALLIANZ FINANCE 05-29/12/2049 SR EUR ALLIANZ FINANCE 11-08/07/2041 FRN EUR ASR NEDERLAND NV 15-29/09/2045 FRN EUR BMW FINANCE NV 16-15/07/2019 FRN EUR DEUTSCHE ANN FIN 14-29/12/2049 FRN EUR DEUTSCHE TEL FIN 16-03/04/2020 FRN EUR IBERDROLA INTL 13-27/02/2049 FRN EUR ING BANK NV 08-29/05/2023 FRN EUR ING BANK NV 13-21/11/2023 FRN EUR ING BANK NV 14-25/02/2026 FRN EUR ING BANK NV 16-11/04/2028 FRN EUR ING GROEP NV 16-29/12/2049 FRN USD ING VERZEKERING 14-08/04/2044 FRN EUR NN GROUP NV 14-15/07/2049 FRN EUR SWISS LIFE 16-29/12/2049 FRN EUR TELEFONICA EUROP /12/2049 FRN EUR VONOVIA FINANCE 14-08/04/2074 FRN EUR Germany ALLIANZ SE 13-29/10/2049 FRN EUR ALLIANZ SE 14-29/09/2049 FRN EUR ALLIANZ SE 15-07/07/2045 FRN EUR BAYER AG 15-02/04/2075 FRN EUR ENERGIE BADEN-WU /04/2077 FRN EUR LANXESS 16-06/12/2076 FRN EUR MERCK 14-12/12/2074 SR EUR MUENCHENER RUECKVERSICHERUNG 07- EUR /06/2049 FRN Spain BANCO BILBAO VIZCAYA /12/2049 FRN EUR BANKIA 14-22/05/2024 FRN EUR CAIXABANK 13-14/11/2023 FRN EUR Sweden NORDEA BANK AB 16-07/09/2026 FRN EUR SKANDINAVISKA ENSKILDA BANK 07-29/12/2049 FRN EUR SKANDINAVISKA ENSKILDA BANK /10/2028 FRN EUR Ireland ALLIED IRISH BANKS 15-26/11/2025 FRN EUR ALLIED IRISH BANKS 15-29/12/2049 FRN EUR BANK OF IRELAND 14-11/06/2024 FRN EUR BANK OF IRELAND 15-29/12/2049 FRN EUR Belgium KBC GROEP NV 14-25/11/2024 FRN EUR KBC GROEP NV 14-29/03/2049 FRN EUR KBC GROEP NV 15-11/03/2027 FRN EUR Norway DNB BANK ASA 16-29/12/2049 FRN USD United Kingdom BARCLAYS BANK PLC /03/2049 SR EUR HBOS PLC 05-18/03/2030 SR EUR Page 39

42 BNP Paribas L1 Bond Euro Corporate Expressed in EUR Luxembourg HANNOVER FINANCE 12-30/06/2043 FRN EUR TALANX FINANZ 12-15/06/2042 FRN EUR United States of America UNITED TECHNOLOGIES CORP 16-22/02/2018 FRN EUR Italy ASSICURAZIONI GENERALI 12-10/07/2042 FRN EUR Switzerland CREDIT SUISSE 13-18/09/2025 FRN EUR Austria UNIQA INSURANCE 15-27/07/2046 FRN EUR Denmark DANSKE BANK A/S 14-19/05/2026 FRN EUR Total securities portfolio Page 40

43 BNP Paribas L1 Bond Euro High Yield Expressed in EUR Shares/Units in investment funds Luxembourg PARVEST BOND EURO HIGH YIELD X - CAP EUR Total securities portfolio Page 41

44 BNP Paribas L1 Bond Euro Premium Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares France ACCOR SA EUR AIR LIQUIDE SA EUR AIRBUS SE EUR BNP PARIBAS EUR CARREFOUR SA EUR DANONE EUR ESSILOR INTERNATIONAL EUR LOREAL EUR ORANGE EUR RENAULT SA EUR SANOFI AVENTIS EUR SCHNEIDER ELECTRIC SE EUR SOCIETE GENERALE SA EUR TECHNIP SA EUR TOTAL SA EUR Germany ALLIANZ SE - REG EUR BASF SE EUR BAYER AG - REG EUR DAIMLER AG-REGISTERED SHARES EUR DEUTSCHE POST AG - REG EUR SAP SE EUR SIEMENS AG - REG EUR Belgium ANHEUSER - BUSCH INBEV SA/NV EUR United Kingdom UNILEVER NV - CVA EUR Shares/Units in investment funds France BNP PARIBAS AM KLE EONIA PRIME FCP - DIS EUR Total securities portfolio Page 42

45 BNP Paribas L1 Bond Europe Plus Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds United States of America ABBVIE INC 0.375% 16-18/11/2019 EUR AIR PROD & CHEM 0.375% /06/2021 EUR ALBEMARLE CORP 1.875% 14-08/12/2021 EUR AMERICAN TOWER 3.500% /01/2023 USD BANK OF AMERICA CORP 0.750% /07/2023 EUR BANK OF AMERICA CORP 1.375% /03/2025 EUR BANK OF AMERICA CORP 3.875% /08/2025 USD BERKSHIRE HATHAWAY 0.500% 16-13/03/2020 EUR BMW US CAP LLC 2.000% 14-20/11/2019 GBP CITIGROUP INC 0.750% 16-26/10/2023 EUR CITIGROUP INC 1.375% 14-27/10/2021 EUR CONOCOPHILLIPS CO 2.400% /12/2022 USD FHS 303 C % 13-15/12/2040 USD GEN MOTORS FIN 0.955% /09/2023 EUR GEN MOTORS FIN 4.375% /09/2021 USD GOLDMAN SACHS GP 1.250% /05/2025 EUR GOLDMAN SACHS GP 2.000% 15-27/07/2023 EUR GOLDMAN SACHS GP 2.500% 14-18/10/2021 EUR GOLDMAN SACHS GP 4.000% /03/2024 USD GOLDMAN SACHS GP 4.750% 06-12/10/2021 EUR GOLDMAN SACHS GP 5.500% /10/2021 GBP HP ENTERPRISE 3.600% 15-15/10/2020 USD INTL LEASE FIN 7.125% 10-01/09/2018 USD JP MORGAN CHASE 0.625% /01/2024 EUR JP MORGAN CHASE 1.500% 15-26/10/2022 EUR MCDONALDS CORP 1.000% 16-15/11/2023 EUR MET LIFE GLOB 1.250% 14-17/09/2021 EUR MET LIFE GLOB 2.625% 15-05/12/2022 GBP MORGAN STANLEY 1.000% /12/2022 EUR MORGAN STANLEY 1.375% /10/2026 EUR MORGAN STANLEY 2.375% 14-31/03/2021 EUR MORGAN STANLEY 5.000% /11/2025 USD MYLAN NV 1.250% 16-23/11/2020 EUR PHILIP MORRIS INTERNATIONAL % 14-03/03/2021 EUR PROLOGIS LP 1.375% 14-07/10/2020 EUR THERMO FISHER 0.750% 16-12/09/2024 EUR US TREASURY N/B 0.750% /08/2018 USD US TREASURY N/B 3.375% /05/2044 USD US TSY INFL IX N/B 0.625% /07/2021 USD US TSY INFL IX N/B 1.000% /02/2046 USD VERIZON COMMUNICATIONS INC % 16-02/06/2022 VERIZON COMMUNICATIONS INC % 13-15/09/2023 WELLS FARGO & CO 1.500% 15-12/09/2022 EUR USD EUR United Kingdom ABBEY NATIONAL TREASURY 1.875% 15-17/02/2020 GBP AVIVA PLC 0.625% 16-27/10/2023 EUR BARCLAYS BANK PLC 1.875% /12/2023 EUR BARCLAYS BANK PLC 1.875% /03/2021 EUR BARCLAYS BANK PLC 6.000% /01/2021 EUR BAT INTL FINANCE 2.250% 16-09/09/2052 GBP BAT INTL FINANCE 6.000% /06/2022 GBP BP CAPITAL PLC 0.830% 16-19/09/2024 EUR BP CAPITAL PLC 1.109% 15-16/02/2023 EUR BP CAPITAL PLC 1.373% 16-03/03/2022 EUR BRITISH SKY BROADCASTING 1.500% 14-15/09/2021 EUR BRITISH SKY BROADCASTING 2.875% 14-24/11/2020 GBP BRITISH TEL PLC 0.625% 16-10/03/2021 EUR CREDIT AGRICOLE 1.250% 16-14/04/2026 EUR CREDIT AGRICOLE 1.875% 16-20/12/2026 EUR CREDIT SUISSE LD 0.375% /04/2019 EUR DS SMITH PLC 2.250% 15-16/09/2022 EUR EASYJET PLC 1.125% 16-18/10/2023 EUR FCE BANK PLC 1.528% 15-09/11/2020 EUR FCE BANK PLC 1.615% 16-11/05/2023 EUR FCE BANK PLC 3.250% 13-19/11/2020 GBP HAMMERSON PLC 3.500% /10/2025 GBP HEATHROW FUNDING 1.875% /05/2022 EUR HSBC HOLDINGS PLC 1.500% 16-15/03/2022 EUR HSBC HOLDINGS PLC 6.500% 09-20/05/2024 GBP IMPERIAL TOBACCO FINANCE 9.000% 09-17/02/2022 GBP ITV PLC 2.000% 16-01/12/2023 EUR LLOYDS BANK PLC 1.000% 14-19/11/2021 EUR LLOYDS BANK PLC 1.375% /09/2022 EUR LLOYDS TSB BANK 6.500% 10-24/03/2020 EUR MOTABILITY OPER 5.375% 10-28/06/2022 GBP MOTABILITY OPS 3.625% /03/2036 GBP NATIONAL GRID 0.625% 16-22/09/2024 EUR NATIONWIDE BLDG 0.500% 16-29/10/2019 EUR NATIONWIDE BLDG 5.625% 09-09/09/2019 GBP NATIONWIDE BLDG 6.750% /07/2020 EUR SMITHS GROUP PLC 1.250% /04/2023 EUR UK TREASURY 1.500% 15-22/01/2021 GBP UK TREASURY 2.250% 13-07/09/2023 GBP UK TREASURY 3.750% 10-07/09/2020 GBP UK TSY GILT 4.500% 08-07/03/2019 GBP UK TSY I/L GILT 0.125% 15-22/03/2026 GBP VODAFONE GROUP 5.625% 03-04/12/2025 GBP VODAFONE GROUP 8.125% 08-26/11/2018 GBP Page 43

46 BNP Paribas L1 Bond Europe Plus Expressed in EUR The Netherlands ABN AMRO BANK NV 2.250% /09/2017 GBP ABN AMRO BANK NV 6.375% /04/2021 EUR ADECCO INT FIN 1.000% 16-02/12/2024 EUR ALLIANZ FINANCE 0.000% 16-21/04/2020 EUR ASML HOLDING NV 0.625% 16-07/07/2022 EUR ASML HOLDING NV 1.625% /05/2027 EUR BASF FIN EUROPNV 0.000% /11/2020 EUR BMW FINANCE NV 0.875% /08/2022 GBP BMW FINANCE NV 2.375% 15-01/12/2021 GBP COOPERATIEVE RAB 0.125% 16-11/10/2021 EUR DEUTSCHE ANN FIN 3.125% 13-25/07/2019 EUR DEUTSCHE TEL FIN 0.250% 16-19/04/2021 EUR DEUTSCHE TEL FIN 0.625% /04/2023 EUR EDP FINANCE BV 1.125% /02/2024 EUR EDP FINANCE BV 2.375% /03/2023 EUR EDP FINANCE BV 4.875% 13-14/09/2020 EUR ENEL FINANCE INTL NV 4.875% 12-11/03/2020 EUR ENEL FINANCE INTL NV 4.875% /04/2023 EUR ENEL FINANCE INTL NV 5.625% /08/2024 GBP GAS NAT FENOSA F 1.250% 16-19/04/2026 EUR HEINEKEN NV 1.000% 16-04/05/2026 EUR IBERDROLA INTL 1.125% 16-21/04/2026 EUR IBERDROLA INTL 2.875% /11/2020 EUR ING BANK NV 0.750% 16-22/02/2021 EUR ING BANK NV 5.375% 11-15/04/2021 GBP KONINKLIJKE KPN 0.625% /04/2025 EUR NETHERLANDS GOVERNMENT % 12-15/07/2022 EUR NN GROUP NV 1.000% 15-18/03/2022 EUR RABOBANK 3.750% 10-09/11/2020 EUR RABOBANK 4.875% 06-10/01/2023 GBP RED ELE FIN BV 3.875% 13-25/01/2022 EUR REDEXIS GAS FIN 2.750% 14-08/04/2021 EUR REN FINANCE BV 1.750% /06/2023 EUR REN FINANCE BV 4.750% /10/2020 EUR REPSOL INTL FIN 4.375% 12-20/02/2018 EUR RWE FINANCE BV 6.500% 09-10/08/2021 EUR SHELL INTL FIN 0.750% 16-12/05/2024 EUR SHELL INTL FIN 1.250% 15-15/03/2022 EUR VONOVIA BV 1.250% 16-06/12/2024 EUR VONOVIA BV 1.625% 15-15/12/2020 EUR WOLTERS KLUWER 2.875% 13-21/03/2023 EUR Italy AEROPORTI ROMA 3.250% /02/2021 EUR ENI SPA 0.750% 16-17/05/2022 EUR ENI SPA 4.250% 12-03/02/2020 EUR INTESA SANPAOLO 1.125% /01/2020 EUR ITALY BTPS 0.700% 15-01/05/2020 EUR ITALY BTPS 2.700% 16-01/03/2047 EUR SNAM SPA 0.000% 16-25/10/2020 EUR SNAM SPA 0.875% 16-25/10/2026 EUR TERNA SPA 0.875% 15-02/02/2022 EUR TERNA SPA 1.000% 16-11/10/2028 EUR UNICREDIT SPA 2.000% 16-04/03/2023 EUR UNICREDIT SPA 3.250% 14-14/01/2021 EUR France AIR LIQUIDE FIN 0.375% 16-18/04/2022 EUR APRR 1.250% 16-06/01/2027 EUR AUTOROUTES DU SUD 1.000% 16-13/05/2026 EUR AUTOROUTES DU SUD 4.125% 10-13/04/2020 EUR AUTOROUTES PARIS 1.125% 14-15/01/2021 EUR AUTOROUTES PARIS 1.500% 15-15/01/2024 EUR AUTOROUTES PARIS 4.875% 11-21/01/2019 EUR BANQUE FED CREDIT MUTUEL % 16-19/01/2026 EUR BANQUE FED CREDIT MUTUEL 3.000% 15-11/09/2025 EUR BANQUE FED CREDIT MUTUEL 4.000% 10-22/10/2020 EUR BNP PARIBAS 0.750% 16-11/11/2022 EUR BNP PARIBAS 1.125% 16-15/01/2023 EUR BNP PARIBAS 2.250% 16-11/01/2027 EUR BOUYGUES 1.375% 16-07/06/2027 EUR BPCE 0.375% 16-05/10/2023 EUR BPCE 0.625% 16-20/04/2020 EUR BPCE 2.875% 16-22/04/2026 EUR CAP GEMINI SA 0.500% 16-09/11/2021 EUR CAP GEMINI SA 1.750% 15-01/07/2020 EUR CARMILA 2.375% 15-18/09/2023 EUR CARREFOUR SA 0.750% 16-26/04/2024 EUR CARREFOUR SA 1.750% 14-15/07/2022 EUR CIE DE ST GOBAIN 0.000% /03/2020 EUR CNP ASSURANCES 1.875% 16-20/10/2022 EUR CREDIT AGRICOLE SA 2.625% 15-17/03/2027 EUR DANONE 0.424% 16-03/11/2022 EUR FONCIERE DES REGIONS 1.875% 16-20/05/2026 EUR FRANCE O.A.T % 09-25/10/2019 EUR GECINA 2.000% 15-17/06/2024 EUR HIT FINANCE BV 4.875% 06-27/10/2021 EUR HOLDING DINFRA 2.250% /03/2025 EUR ICADE 1.125% 16-17/11/2025 EUR KERING 0.875% 15-28/03/2022 EUR KERING 1.250% 16-10/05/2026 EUR KLEPIERRE 1.875% 16-19/02/2026 EUR ORANGE 0.875% 16-03/02/2027 EUR ORANGE 1.000% 16-12/05/2025 EUR ORANGE 3.125% 13-09/01/2024 EUR ORANGE 8.000% 02-20/12/2017 GBP PERNOD RICARD SA 1.500% /05/2026 EUR RCI BANQUE 0.500% 16-15/09/2023 EUR RCI BANQUE 1.250% 15-08/06/2022 EUR RCI BANQUE 1.375% 15-17/11/2020 EUR RENAULT 3.625% 13-19/09/2018 EUR SAN 0.950% 16-19/10/2028 EUR SANOFI 0.000% 16-13/09/2022 EUR SANOFI 0.625% 16-05/04/2024 EUR Page 44

47 BNP Paribas L1 Bond Europe Plus Expressed in EUR SCHNEIDER ELEC 0.250% /09/2024 EUR SOCIETE FONCIERE 2.250% /11/2022 EUR SOCIETE GENERALE 0.750% 16-19/02/2021 EUR SOCIETE GENERALE 0.750% /05/2023 EUR SOCIETE GENERALE 1.000% 16-01/04/2022 EUR ST GOBAIN 5.625% 06-15/11/2024 GBP TDF INFRASTRUCTU 2.500% 16-07/04/2026 EUR THALES SA 0.750% 16-07/06/2023 EUR TOTAL CAPITAL 0.250% 16-12/07/2023 EUR UNIBAIL-RODAMCO 1.125% /04/2027 EUR VEOLIA ENVIRONNEMENT 0.314% /10/2023 EUR VEOLIA ENVIRONNEMENT 5.125% /05/2022 EUR WENDEL SA 1.000% 16-20/04/2023 EUR WPP FINANCE 6.375% 07-06/11/2020 GBP Spain ABERTIS 1.375% 16-20/05/2026 EUR AMADEUS CAP MKT 0.125% 16-06/10/2020 EUR BANCO BILBAO VIZCAYA 3.500% /12/2017 EUR BBVA SENIOR FIN 2.375% 14-22/01/2019 EUR ENAGAS FIN SA 1.375% 16-05/05/2028 EUR FERROVIAL EMISIO 0.375% /09/2022 EUR GAS NATURAL CAP 5.125% /11/2021 EUR IBERDROLA FIN SA 1.000% 16-07/03/2024 EUR MAPFRE 1.625% 16-19/05/2026 EUR MERLIN PROPERTIES 1.875% /11/2026 EUR RED ELECTRICA FI 1.000% 16-21/04/2026 EUR SANTANDER CONS FIN 1.100% 15-29/07/2018 EUR SANTANDER INTL 1.375% /03/2021 EUR SANTANDER ISSUAN 3.250% 16-04/04/2026 EUR SPANISH GOVT 5.400% 13-31/01/2023 EUR TELEFONICA EMIS 0.318% 16-17/10/2020 EUR TELEFONICA EMIS 0.750% /04/2022 EUR TELEFONICA EMIS 5.289% 09-09/12/2022 GBP Germany BASF SE 1.375% 14-15/12/2017 GBP BERTELSMANN SE 1.125% 16-27/04/2026 EUR BUNDESREPUBLIK DEUTSCHLAND % 10-04/07/2020 EUR BUNDESREPUBLIK DEUTSCHLAND % 10-04/07/2042 EUR COMMERZBANK AG 0.500% /09/2023 EUR COVESTRO AG 1.000% 16-07/10/2021 EUR DAIMLER AG 0.250% 16-11/05/2020 EUR DAIMLER AG 2.750% 14-04/12/2020 GBP EUROGRID GMBH 1.625% 15-03/11/2023 EUR KNORR BREMSE AG 0.500% /12/2021 EUR LANXESS 0.250% 16-07/10/2021 EUR METRO AG 1.375% 14-28/10/2021 EUR METRO AG 1.500% 15-19/03/2025 EUR TALANX AG 3.125% 13-13/02/2023 EUR Norway DNB BANK 4.250% 12-18/01/2022 EUR NORWEGIAN GOVT 1.750% /03/2025 NOK SANTANDER CONSUMER 1.000% 16-25/02/2019 EUR SPAREBANK 1 SR 0.375% /02/2022 EUR Ireland CRH FINANCE 1.375% 16-18/10/2028 EUR FCA CAPITAL IRELAND 1.625% /09/2021 GBP IRISH GOVT 5.400% 09-13/03/2025 EUR PARTNERRE IRELAND 1.250% /09/2026 EUR RYANAIR 1.875% 14-17/06/2021 EUR Mexico AMERICA MOVIL SA 1.500% 16-10/03/2024 EUR MEXICAN BONOS % /12/2024 MXN Belgium ANHEUSER - BUSCH 0.625% 16-17/03/2020 EUR ANHEUSER - BUSCH 1.500% /03/2025 EUR KBC GROUP NV 0.750% 16-18/10/2023 EUR SOLVAY SA 1.625% 15-02/12/2022 EUR SOLVAY SA 2.750% 15-02/12/2027 EUR Sweden ATLAS COPCO 0.625% 16-30/08/2026 EUR HEMSO FASTIGHETS 1.000% 16-09/09/2026 EUR NORDEA BANK AB 1.000% 16-22/02/2023 EUR SKF AB 1.625% 15-02/12/2022 EUR SVENSKA HANDELSBANKEN 1.125% /12/2022 EUR SVENSKA HANDELSBANKEN 2.750% 12-05/12/2022 GBP SWEDBANK AB 0.625% 15-04/01/2021 EUR Denmark ISS GLOBAL A/S 1.125% 14-09/01/2020 EUR ISS GLOBAL A/S 2.125% 14-02/12/2024 EUR JYSKE BANK A/S 0.625% 16-14/04/2021 EUR Jersey Island UBS GROUP FUNDING 1.500% /11/2024 UBS GROUP FUNDING 1.750% 15-16/11/2022 EUR EUR Finland SAMPO OYJ 1.000% 16-18/09/2023 EUR Austria TELEKOM FINANZ 1.500% 16-07/12/2026 EUR TELEKOM FINANZ 3.125% 13-03/12/2021 EUR Guernsey Island CREDIT SUISSE GP FUN 1.250% /04/2022 EUR Luxembourg HOLCIM FINANCE L 1.375% 16-26/05/2023 EUR PROLOGIS INTL II 1.876% /04/2025 EUR Poland AUTOSTRADE PER L 1.750% 15-26/06/2026 EUR Page 45

48 BNP Paribas L1 Bond Europe Plus Expressed in EUR Australia BHP BILLITON FIN 2.250% /09/2020 EUR Portugal BRISA CONCESSAO 2.000% 16-22/03/2023 EUR Floating rate bonds United States of America CAS 2015-C04 2M /04/2028 FRN USD CAS 2016-C03 2M /10/2028 FRN USD FHR 4092 HS 12-15/08/2042 FRN USD FNR S 12-25/01/2043 FRN USD FNR SD 12-25/09/2042 FRN USD FNR CS 13-25/10/2040 FRN USD FNR SY 13-25/07/2043 FRN USD FREMF 2012-K23 C 12-25/10/2045 FRN USD FREMF 2013-K24 C 13-25/11/2045 FRN USD GAHR 2015-NRF CFX /12/2034 FRN USD GNR 2010-H19 JI 10-20/08/2060 FRN USD GNR 2011-H03 HI 11-20/01/2061 FRN USD GNR 2011-H05 HI 11-20/01/2061 FRN USD GNR SC 12-20/08/2042 FRN USD GNR 2012-H02 AI 12-20/01/2062 FRN USD GNR 2013-H01 FI 13-20/01/2063 FRN USD GNR 2013-H04 BI 13-20/02/2063 FRN USD STACR 2015-DNA2 M /12/2027 FRN USD Cayman Islands AMMC A BR 16-30/10/2023 FRN USD ANCHC A B 16-15/01/2029 FRN USD BABSN 2014-IIA A 14-17/10/2026 FRN USD BLUEM A BR 16-20/11/2028 FRN USD CGMS A A /10/2027 FRN USD DRSLF A BR 16-15/10/2028 FRN USD LCM 17A BR 16-15/10/2026 FRN USD MAGNE A BR 16-15/04/2026 FRN USD OZLMF A A1R /07/2027 FRN USD France AXA SA 07-29/10/2049 FRN GBP AXA SA 10-16/04/2040 FRN EUR AXA SA 16-06/07/2047 FRN EUR BNP PARIBAS 14-31/12/2049 FRN EUR BNP PARIBAS 15-29/12/2049 FRN EUR CNP ASSURANCES 15-10/06/2047 FRN EUR CREDIT AGRICOLE 09-29/10/2049 FRN EUR CREDIT AGRICOLE ASSR 15-29/01/2049 FRN EUR CREDIT AGRICOLE ASSR /09/2048 FRN EUR ENGIE OPEN 14-02/06/2049 FRN EUR SCOR SE 16-27/05/2048 FRN EUR SUEZ 15-29/12/2049 FRN EUR TOTAL SA 15-29/12/2049 FRN EUR TOTAL SA 16-29/12/2049 FRN EUR Ireland DORPK A A 15-20/01/2027 FRN USD The Netherlands ALLIANZ FINANCE 11-08/07/2041 FRN EUR ASR NEDERLAND NV 15-29/09/2045 FRN EUR ING BANK NV 14-25/02/2026 FRN EUR SWISS LIFE 16-29/12/2049 FRN EUR TELEFONICA EUROP 16-31/12/2049 FRN EUR Sweden NORDEA BANK AB 16-07/09/2026 FRN EUR SKANDINAVISKA ENSKILDA BANK /10/2028 FRN EUR Germany ALLIANZ SE 12-17/10/2042 FRN EUR ENERGIE BADEN-WU /04/2077 FRN EUR MERCK 14-12/12/2074 FRN EUR United Kingdom AVIVA PLC 11-03/06/2041 FRN GBP AVIVA PLC 16-12/09/2049 FRN GBP Italy ASSICURAZIONI GENERALI 12-12/12/2042 FRN EUR Austria UNIQA INSURANCE 15-27/07/2046 FRN EUR Total securities portfolio Page 46

49 BNP Paribas L1 Bond World Emerging Local Expressed in USD Shares/Units in investment funds Luxembourg PARVEST BOND WORLD EMERGING LOCAL - X - CAP USD Total securities portfolio Page 47

50 BNP Paribas L1 Bond World Plus Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds United States of America ABBVIE INC 0.375% 16-18/11/2019 EUR ACTIVISION BLIZZ 2.300% /09/2021 USD AIR LEASE CORP 2.625% 15-04/09/2018 USD AIR LEASE CORP 3.875% 14-01/04/2021 USD ALEXANDRIA REAL 4.600% 12-01/04/2022 USD ALLY FINANCIAL 2.750% /01/2017 USD AMERICAN TOWER 3.375% /10/2026 USD AMERICAN TOWER 3.500% /01/2023 USD AMGEN INC 2.600% 16-19/08/2026 USD APACHE CORP 2.625% 12-15/01/2023 USD APPLE INC 4.375% 15-13/05/2045 USD AT&T INC 2.800% 16-17/02/2021 USD AT&T INC 4.125% 16-17/02/2026 USD AUTONATION INC 6.750% 10-15/04/2018 USD BAKER HUGHES INC 5.125% 10-15/09/2040 USD BANK OF AMERICA CORP 2.600% /01/2019 USD BANK OF AMERICA CORP 2.625% /10/2020 USD BANK OF AMERICA CORP 3.248% /10/2027 USD BANK OF AMERICA CORP 3.875% /08/2025 USD BANK OF AMERICA CORP 4.000% /01/2025 USD BANK OF AMERICA CORP 4.200% /08/2024 USD BANK OF AMERICA CORP 5.625% /07/2020 USD BBCMS 2016-ETC C 3.391% /08/2036 USD BORG-WARNER AUTO 3.375% /03/2025 USD BORG-WARNER AUTO 4.375% /03/2045 USD BOSTON PROPERTIES LP 3.650% /02/2026 USD BUNGE LTD FIN CP 3.250% /08/2026 USD BURLINGTON NORTH 4.450% /03/2043 USD CAPITAL ONE FINL 3.750% /07/2026 USD CAPITAL ONE FINL 4.200% /10/2025 USD CARGILL INC 4.307% 11-14/05/2021 USD CF INDUSTRIES IN 3.400% /12/2021 USD CGCMT 2014-GC25 B 4.345% /10/2047 USD CGCMT 2016-GC37 B 4.233% /04/2049 USD CITIGROUP INC 2.050% 15-07/12/2018 USD CITIGROUP INC 4.600% 16-09/03/2026 USD COMCAST CORP 3.375% 15-15/08/2025 USD COMCAST CORP 4.200% 14-15/08/2034 USD COMCAST CORP 4.400% 15-15/08/2035 USD COMCAST CORP 6.450% 06-15/03/2037 USD CONOCOPHILLIPS CO 2.400% /12/2022 USD CONOCOPHILLIPS CO 6.500% /02/2039 USD CONSTELLATION BR 3.700% /12/2026 USD CROWN CASTLE INTL 3.400% /02/2021 USD CSX CORP 3.350% 15-01/11/2025 USD CVS HEALTH CORP 3.500% /07/2022 USD DEERE & CO 5.375% 09-16/10/2029 USD DIAMOND 1 FIN/DI 4.420% /06/2021 USD DISCOVER BANK 7.000% /04/2020 USD DISCOVER FINANCIAL SERVICES 3.750% 15-04/03/2025 USD DOMINION RESOURCES 5.250% /08/2033 USD DOMINION RESOURCES 6.300% 03-15/03/2033 USD DOW CHEMICAL CO 4.375% /11/2042 USD DUKE ENERGY CORP 1.625% 12-15/08/2017 USD ENERGY TRAN PTNR 6.700% /07/2018 USD ENTERPRISE OP LLC 6.500% /01/2019 USD ENTERPRISE PRODU 4.450% 12-15/02/2043 USD EXELON CORP 4.950% 16-15/06/2035 USD FCAT C 6.220% 16-15/06/2022 USD FEDEX CORP 0.500% 16-09/04/2020 EUR FEDEX CORP 3.200% 15-01/02/2025 USD FEDEX CORP 4.900% 14-15/01/2034 USD FG G % 16-01/05/2046 USD FG G % 16-01/01/2032 USD FG Q % 16-01/04/2046 USD FHR 4187 CI 3.000% 13-15/04/2033 USD FHS 303 C % 13-15/01/2043 USD FHS 303 C % 13-15/01/2043 USD FHS 303 C % 13-15/12/2040 USD FHS 324 C % 14-15/08/2033 USD FHS 324 C % 14-15/12/2033 USD FIVE COR FND TRS 4.419% /11/2023 USD FN AL % 16-01/03/2040 USD FN AL % 16-01/09/2041 USD FN AL % 16-01/10/2046 USD FN AS % 16-01/05/2046 USD FN AS % 16-01/05/2046 USD FN AY % 15-01/11/2045 USD FN AZ % 15-01/09/2045 USD FN BA % 16-01/04/2046 USD FN BC % 16-01/03/2046 USD FN BC % 16-01/06/2046 USD FN BC % 16-01/06/2046 USD FNR DB 6.000% 02-25/01/2033 USD FNR BI 3.000% 13-25/04/2033 USD FNR IO 4.000% 16-25/05/2046 USD FNS 418 C % 13-25/08/2033 USD FORD MOTOR CO 6.625% /10/2028 USD FORD MOTOR CRED 2.240% /06/2018 USD FORD MOTOR CRED 3.664% /09/2024 USD FORD MOTOR CRED 8.125% /01/2020 USD FORD MOTOR CREDIT 4.389% /01/2026 USD FORTUNE BRANDS 3.000% /06/2020 USD G % 98-20/10/2028 USD G % 99-20/06/2029 USD G2 MA % 16-20/09/2046 USD Page 48

51 BNP Paribas L1 Bond World Plus Expressed in EUR G2 MA % 16-20/09/2046 USD G2 MA % 16-20/10/2046 USD G2 MA % 16-20/12/2046 USD GEN ELECTRIC CO 4.500% 14-11/03/2044 USD GEN MOTORS FIN 0.955% /09/2023 EUR GEN MOTORS FIN 3.200% /07/2020 USD GEN MOTORS FIN 4.000% /01/2025 USD GEN MOTORS FIN 4.375% /09/2021 USD GENERAL MOTORS CO 3.500% /10/2018 USD GENERAL MOTORS CO 5.200% /04/2045 USD GEORGIA POWER 4.300% /03/2042 USD GILEAD SCIENCES 5.650% /12/2041 USD GOLDMAN SACHS GP 2.350% /11/2021 USD GOLDMAN SACHS GP 2.600% /04/2020 USD GOLDMAN SACHS GP 2.875% /02/2021 USD GOLDMAN SACHS GP 4.000% /03/2024 USD GOLDMAN SACHS GP 4.250% /10/2025 USD GOLDMAN SACHS GP 4.800% 14-08/07/2044 USD GOLDMAN SACHS GP 5.950% /01/2027 USD GOLDMAN SACHS GP 6.125% /02/2033 USD HP ENTERPRISE 3.600% 15-15/10/2020 USD INGERSOLL-RAND GL 4.250% /06/2023 USD INGREDION INC 3.200% 16-01/10/2026 USD INTL LEASE FIN 7.125% 10-01/09/2018 USD INTL PAPER CO 3.000% 16-15/02/2027 USD JP MORGAN CHASE 0.625% /01/2024 EUR JP MORGAN CHASE 1.700% /03/2018 USD JP MORGAN CHASE 3.125% 15-23/01/2025 USD JP MORGAN CHASE 4.250% /10/2027 USD JP MORGAN CHASE 4.950% /06/2045 USD JP MORGAN CHASE 6.000% /10/2017 USD JP MORGAN CHASE 6.300% 09-23/04/2019 USD KEMPER 4.350% 15-15/02/2025 USD KEYSIGHT TECHNOL 4.550% /10/2024 USD KILROY REALTY LP 4.250% 14-15/08/2029 USD KIMCO REALTY 3.200% 14-01/05/2021 USD KINDER MORGAN 3.050% /12/2019 USD KINDER MORGAN 5.300% /12/2034 USD KRAFT HEINZ FOOD 3.000% /06/2026 USD LENNOX INTERNATIONAL INC % 16-15/11/2023 USD LIBERTY MUTUAL 4.250% /06/2023 USD MAGELLAN MID 3.200% 15-15/03/2025 USD MAGELLAN MID 4.200% 15-15/03/2045 USD MARATHON OIL CORP 3.850% /06/2025 USD MARRIOTT INTL 3.125% 16-15/06/2026 USD MERRILL LYNCH 7.750% 08-14/05/2038 USD MIDAMERICAN ENER HOLDING % 06-01/04/2036 USD MORGAN STANLEY 2.375% /07/2019 USD MORGAN STANLEY 3.125% /08/2021 CAD MORGAN STANLEY 3.700% /10/2024 USD MORGAN STANLEY 4.350% /09/2026 USD MORGAN STANLEY 5.000% /11/2025 USD MORGAN STANLEY 7.300% 09-13/05/2019 USD MSBAM 2015-C20 AS 3.605% /02/2048 USD MSBAM 2015-C22 B 3.883% /04/2048 USD MYLAN NV 1.250% 16-23/11/2020 EUR NBC UNIVERSAL ENT 1.974% /04/2019 USD NEWELL RUBBERMAID 3.150% /04/2021 USD NORTHROP GRUMMAN 3.850% /04/2045 USD NORTHROP GRUMMAN 7.750% 01-15/02/2031 USD NORTHROP GRUMMAN 7.875% 96-01/03/2026 USD NVIDIA CORP 3.200% 16-16/09/2026 USD OMEGA HEALTHCARE 4.375% /08/2023 USD ORACLE CORP 4.300% 14-08/07/2034 USD PACKAGING CORP 3.650% /09/2024 USD PLAINS ALL AMER 5.750% /01/2020 USD PRINCIPAL FINANCIAL 3.100% /11/2026 USD PROG ENER CAR 4.100% 12-15/05/2042 USD PROLOGIS LP 3.750% 15-01/11/2025 USD REGIONS BK ALAB 7.500% /05/2018 USD REGIONS FINL 3.200% 16-08/02/2021 USD REPUBLIC SVCS 2.900% 16-01/07/2026 USD RETAIL PROPERTIE 4.000% /03/2025 USD ROPER TECHNOLOGIES 3.800% /12/2026 USD SCHLUMBERGER HLD 3.000% /12/2020 USD SUNOCO LOGISTICS 3.900% /07/2026 USD SUNTRUST BANKS 2.900% 16-03/03/2021 USD SYNCHRONY FINANCIAL 4.250% /08/2024 USD SYSCO CORP 6.500% 98-01/08/2028 USD TEACHERS INS&ANN 4.900% /09/2044 USD TESORO CORP 5.125% 16-15/12/2026 USD THERMO FISHER 0.750% 16-12/09/2024 EUR TIME WARNER CABLE 6.750% /07/2018 USD TIME WARNER INC 3.800% /02/2027 USD TYSON FOODS INC 4.875% /08/2034 USD UNDER ARMOUR INC 3.250% /06/2026 USD US TREASURY N/B 2.500% /08/2023 USD US TSY INFL IX N/B 0.625% /07/2021 USD US TSY INFL IX N/B 1.000% /02/2046 USD VALERO ENERGY 3.400% /09/2026 USD VALERO ENERGY PA 4.375% /12/2026 USD VERIZON COMMUNICATIONS INC % 15-15/09/2048 USD VERIZON COMMUNICATIONS INC % 11-01/04/2021 USD Page 49

52 BNP Paribas L1 Bond World Plus Expressed in EUR VERIZON COMMUNICATIONS INC % 15-21/08/2046 USD VERIZON COMMUNICATIONS INC % 13-15/09/2023 USD VERIZON COMMUNICATIONS INC 6.550% 13-15/09/2043 USD WALT DISNEY CO 2.300% /02/2021 USD WALT DISNEY CO 4.125% 14-01/06/2044 USD WASTE MANAGEMENT 4.100% 15-01/03/2045 USD WELLS FARGO & CO 2.500% /03/2021 USD WELLS FARGO & CO 3.300% /09/2024 USD WELLS FARGO & CO 4.400% /06/2046 USD WESTLAKE CHEMICAL 3.600% /08/2026 USD WHIRLPOOL CORP 4.000% /03/2024 USD WHIRLPOOL CORP 4.500% /06/2046 USD XYLEM INC 3.250% 16-01/11/2026 USD ZIMMER HOLDINGS 3.550% /04/2025 USD Japan JAPAN GOVT 10-YR 0.800% /09/2023 JPY JAPAN GOVT 20-YR 0.400% /03/2036 JPY JAPAN GOVT 30-YR 0.800% /03/2046 JPY Norway NORWEGIAN GOVT 1.750% /03/2025 NOK United Kingdom BARCLAYS BANK PLC 1.875% /12/2023 EUR BARCLAYS BANK PLC 6.000% /01/2021 EUR BAT INTL FINANCE 2.250% /09/2052 GBP CREDIT AGRICOLE 1.875% /12/2026 EUR EASYJET PLC 1.125% 16-18/10/2023 EUR FCE BANK PLC 1.528% 15-09/11/2020 EUR FCE BANK PLC 1.875% 14-18/04/2019 EUR HAMMERSON PLC 3.500% /10/2025 GBP HEATHROW FUNDING 1.875% 14-23/05/2022 EUR HSBC HOLDINGS PLC 1.500% /03/2022 EUR HSBC HOLDINGS PLC 2.650% /01/2022 USD LLOYDS BANK PLC 1.000% /11/2021 EUR MOTABILITY OPS 3.625% /03/2036 GBP UK TSY I/L GILT 0.125% 15-22/03/2026 GBP UNITED KINGDOM G 3.500% /01/2045 GBP VODAFONE GROUP 5.625% /12/2025 GBP Mexico MEXICAN BONOS % /12/2024 MXN MEXICAN BONOS 6.500% /06/2021 MXN PETROLEOS MEXICA 5.375% /03/2022 USD Italy INTESA SANPAOLO 3.875% /01/2019 USD ITALY BTPS 2.700% 16-01/03/2047 EUR SNAM SPA 0.875% 16-25/10/2026 EUR France AUTOROUTES DU SUD 1.000% 16-13/05/2026 EUR AUTOROUTES PARIS 1.125% 14-15/01/2021 EUR AUTOROUTES PARIS 1.125% /01/2026 EUR AUTOROUTES PARIS 1.500% /01/2024 EUR BANQUE FED CREDIT MUTUEL % 16-04/11/2026 EUR BNP PARIBAS 2.250% 16-11/01/2027 EUR CIE DE ST GOBAIN 0.000% /03/2020 EUR CNP ASSURANCES 1.875% 16-20/10/2022 EUR FRANCE O.A.T % 16-25/05/2036 EUR HOLDING DINFRA 2.250% /03/2025 EUR ORANGE 8.000% 02-20/12/2017 GBP PERNOD RICARD SA 3.250% /06/2026 USD SCHNEIDER ELEC 0.250% /09/2024 EUR SOCIETE GENERALE 1.000% /04/2022 EUR UNIBAIL-RODAMCO 1.125% /04/2027 EUR WENDEL SA 1.000% 16-20/04/2023 EUR The Netherlands ABN AMRO BANK NV 2.250% /09/2017 GBP BMW FINANCE NV 0.875% /08/2022 GBP DEUTSCHE ANN FIN 1.500% 15-31/03/2025 EUR DEUTSCHE ANN FIN 3.125% 13-25/07/2019 EUR EDP FINANCE BV 2.375% /03/2023 EUR GAS NAT FENOSA F 1.250% 16-19/04/2026 EUR IBERDROLA INTL 1.125% 15-27/01/2023 EUR IBERDROLA INTL 1.125% 16-21/04/2026 EUR KONINKLIJKE KPN 0.625% /04/2025 EUR MONDELEZ INTERNATIONAL INC % 16-28/10/2021 USD NXP BV/NXP FUNDI 3.875% /09/2022 USD REN FINANCE BV 1.750% /06/2023 EUR SHELL INTL FIN 4.125% 15-11/05/2035 USD TEVA PHARMACEUT 2.800% /07/2023 USD Spain ENAGAS FIN SA 1.375% 16-05/05/2028 EUR FERROVIAL EMISIO 0.375% /09/2022 EUR GAS NATURAL CAP 4.500% /01/2020 EUR MAPFRE 1.625% 16-19/05/2026 EUR MERLIN PROPERTIES 1.875% /11/2026 EUR SPANISH GOVT 0.750% 16-30/07/2021 EUR TELEFONICA EMIS 4.710% 12-20/01/2020 EUR Canada BROOKFIELD FIN 4.250% /06/2026 USD CANADA GOVT 3.500% 11-01/12/2045 CAD ENBRIDGE INC 4.250% 16-01/12/2026 USD FORTIS INC 3.055% 16-04/10/2026 USD Page 50

53 BNP Paribas L1 Bond World Plus Expressed in EUR ROGERS COMMUNICATIONS INC 3.625% 15-15/12/2025 USD ROGERS COMMUNICATIONS INC % 11-22/03/2021 CAD ROGERS COMMUNICATIONS INC 5.450% 13-01/10/2043 USD Germany BASF SE 0.875% 16-06/10/2031 EUR COMMERZBANK AG 0.500% /09/2023 EUR DT PFANDBRIEFBAN 1.875% /12/2019 GBP Ireland AERCAP IRELAND C 3.950% 16-01/02/2022 USD FCA CAPITAL IRELAND 1.625% /09/2021 GBP PARTNERRE IRELAND 1.250% /09/2026 EUR RZD CAPITAL PLC 9.200% /10/2023 RUB Israel ISRAEL CPI 1.750% /09/2023 FLAT ILS ISRAEL ELECTRIC 6.875% /06/2023 USD Poland REP OF POLAND 3.250% 16-06/04/2026 USD United Arab Emirates DUBAI GOVT 7.750% 10-05/10/2020 USD Malaysia MALAYSIAN GOVT 3.480% /03/2023 MYR Luxembourg ACTAVIS FUNDING 4.550% /03/2035 USD ACTAVIS FUNDING 4.750% /03/2045 USD Jersey Island UBS GROUP FUNDING 1.500% /11/2024 EUR Qatar STATE OF QATAR 9.750% /06/2030 USD Sweden HEMSO FASTIGHETS 1.000% /09/2026 EUR Austria TELEKOM FINANZ 1.500% /12/2026 EUR Belgium KBC GROUP NV 0.750% 16-18/10/2023 EUR Floating rate bonds United States of America CAS 2014-C03 2M /07/2024 FRN USD CAS 2015-C04 2M /04/2028 FRN USD CAS 2016-C03 2M /10/2028 FRN USD CAS 2016-C06 1M /04/2029 FRN USD CAS 2016-C07 2M /04/2029 FRN USD CGCMT 2013-GC17 C /11/2046 FRN USD COMM 2014-CR17 C 14-10/05/2047 FRN USD COMM 2014-CR20 C 14-10/11/2047 FRN USD COMM 2015-CR26 D 15-10/10/2048 FRN USD FH /09/2043 FRN USD FH /11/2042 FRN USD FHR 4120 BS 12-15/10/2032 FRN USD FHR 4480 WS 15-15/06/2045 FRN USD FN AL /09/2043 FRN USD FN BD /08/2046 FRN USD FN BD /11/2044 FRN USD FNR S 12-25/03/2042 FRN USD FNR HS 12-25/03/2042 FRN USD FNR SA 12-25/05/2042 FRN USD FNR SD 12-25/09/2042 FRN USD FNR SK 12-25/09/2042 FRN USD FNR SB 13-25/12/2043 FRN USD FNR SB 13-25/02/2043 FRN USD FNR CS 13-25/10/2040 FRN USD FNR SY 13-25/07/2043 FRN USD FNR JS 13-25/12/2042 FRN USD FNR SC 16-25/10/2046 FRN USD FNR LS 16-25/11/2046 FRN USD GNR 2010-H19 JI 10-20/08/2060 FRN USD GNR 2011-H03 HI 11-20/01/2061 FRN USD GNR 2011-H05 HI 11-20/01/2061 FRN USD GNR SB 12-20/07/2042 FRN USD GNR 2012-H02 AI 12-20/01/2062 FRN USD GNR 2013-H01 FI 13-20/01/2063 FRN USD GNR 2013-H04 BI 13-20/02/2063 FRN USD GNR AS 15-20/09/2045 FRN USD GNR SB 15-20/09/2045 FRN USD GNR IM 15-20/11/2045 FRN USD GNR GS 15-20/02/2045 FRN USD GNR MS 16-20/04/2046 FRN USD GSMS 2013-GC10 C 13-10/02/2046 FRN USD LXS A /07/2035 FRN USD METLIFE INC 06-15/12/2036 FRN USD STACR 2015-DNA2 M /12/2027 FRN USD STACR 2016-HQA3 M /03/2029 FRN USD STACR 2016-HQA4 M /04/2029 FRN USD Cayman Islands AMMC A BR 16-30/10/2023 FRN USD ANCHC A B 16-15/01/2029 FRN USD BABSN 2014-IIA A 14-17/10/2026 FRN USD BLUEM A BR 16-20/11/2028 FRN USD CGMS A A /10/2027 FRN USD DRSLF A BR 16-15/10/2028 FRN USD LCM 17A BR 16-15/10/2026 FRN USD MAGNE A BR 16-15/04/2026 FRN USD OZLMF A A1R /07/2027 FRN USD France AXA SA 16-06/07/2047 FRN EUR BNP PARIBAS 14-31/12/2049 FRN EUR CNP ASSURANCES 10-14/09/2040 FRN EUR CNP ASSURANCES 14-05/06/2045 FRN EUR CREDIT AGRICOLE 09-29/10/2049 FRN EUR CREDIT AGRICOLE ASSR /09/2048 FRN EUR ENGIE OPEN 14-02/06/2049 FRN EUR SUEZ 15-29/12/2049 FRN EUR TOTAL SA 15-29/12/2049 FRN EUR TOTAL SA 16-29/12/2049 FRN EUR Ireland DORPK A A 15-20/01/2027 FRN USD Page 51

54 BNP Paribas L1 Bond World Plus Expressed in EUR Sweden NORDEA BANK AB 16-07/09/2026 FRN EUR SKANDINAVISKA ENSKILDA BANK /10/2028 FRN EUR Germany ALLIANZ SE 14-29/09/2049 FRN EUR ENERGIE BADEN-WU /04/2077 FRN EUR MERCK 14-12/12/2074 FRN EUR Italy ASSICURAZIONI GENERALI 12-10/07/2042 FRN EUR ASSICURAZIONI GENERALI /10/2047 FRN EUR The Netherlands TELEFONICA EUROP 16-31/12/2049 FRN EUR Other transferable securities To be Announced ("TBA") Mortgage Backed Securities United States of America FGLMC 3.5 1/ % 11-15/09/2040 USD (2 ) FGLMC 4 1/ % 11-15/09/2040 USD ( ) (0.39) FNCI 3 1/ % 15-25/06/2029 USD FNCI 3.5 1/ % 12-25/07/2026 USD FNCL 3 1/ % 13-25/10/2042 USD FNCL 3.5 1/ % 12-25/06/2041 USD FNCL 4.000% 10-25/09/2039 USD FNCL 4.5 1/ % 12-25/03/2040 USD FNCL 5 1/ % 11-25/08/2037 USD G2SF 3 1/ % 13-20/05/2042 USD Shares/Units in investment funds Luxembourg BNPP FLEXI I US MORTGAGE - X - CAP USD Total securities portfolio Page 52

55 BNP Paribas L1 Convertible Bond Best Selection Europe Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Convertible bonds France AIRBUS GROUP SE 0.000% /06/2021 CV EUR BIM 2.500% 15-13/11/2020 CV FLAT EUR LVMH MOET HENNES 0.000% /02/2021 CV FLAT USD MICHELIN FRANCE 0.000% /01/2017 CV EUR NEXITY 0.125% 16-01/01/ CV FLAT EUR ORPAR 0.000% 15-15/07/2019 CV EUR ORPEA 1.750% 13-01/01/2020 CV FLAT EUR SUEZ ENVIRONNEMENT 0.000% /02/2020 CV FLAT EUR TECHNIP 0.875% 16-25/01/2021 CV EUR TOTAL SA 0.500% 15-02/12/2022 CV USD VALEO SA 0.000% 16-16/06/2021 CV USD WENDEL SA 0.000% 16-31/07/2019 CV EUR Germany ADIDAS AG 0.250% 12-14/06/2019 CV EUR AURELIUS SE 1.000% 15-01/12/2020 CV EUR DEUTSCHE POST AG 0.600% /12/2019 CV EUR DEUTSCHE WOHNEN 0.875% /09/2021 CV EUR FRESENIUS SE 0.000% /09/2019 CV EUR HANIEL FINANCE 0.000% /05/2020 CV EUR MTU AERO ENGINES 0.125% /05/2023 CV EUR RAG STIFTUNG 0.000% /12/2018 CV EUR United Kingdom BP CAPITAL PLC 1.000% /04/2023 CV GBP INMARSAT 3.875% 16-09/09/2023 CV USD INTL CONSOLIDATED 0.250% /11/2020 CV EUR SUBSEA 7 SA 1.000% 12-05/10/2017 CV USD VODAFONE GROUP 0.000% /11/2020 CV GBP The Netherlands BRENNTAG FINANCE 1.875% /12/2022 CV USD CEZ MH BV 0.000% 14-04/08/2017 CV EUR SIEMENS FINAN 1.050% /08/2017 CV USD Italy BENI STABILI 0.875% /01/2021 CV EUR BUZZI UNICEM 1.375% /07/2019 CV EUR TELECOM ITALIA 1.125% /03/2022 CV EUR Mexico AMERICA MOVIL SA 0.000% /05/2020 CV EUR Austria STEINHOFF FINANC 1.250% /10/2023 CV EUR Norway MARINE HARVEST 0.125% /11/2020 CV EUR TELENOR EAST HOL 0.250% /09/2019 CV USD Portugal PARPUBLICA 5.250% 10-28/09/2017 CV EUR Luxembourg APERAM 0.625% 14-08/07/2021 CV USD Cyprus AROUNDTOWN PROPERTY 3.000% /05/2020 CV EUR Switzerland SWISS LIFE HOLDING 0.000% /12/2020 CV CHF Spain ACCIONA SA 3.000% 14-30/01/2019 CV EUR ACS ACTIVIDADES 1.625% /03/2019 CV EUR Isle of Man PT JERSEY 0.500% 14-19/11/2019 CV EUR Finland OUTOKUMPU OYJ 3.250% /02/2020 CV EUR Other transferable securities Convertible bonds Spain PESCANOVA SA 8.750% 12-17/02/2019 CV DFLT EUR Shares/Units in investment funds France BNP PARIBAS CASH INVEST CLASSIC EUR Luxembourg PARWORLD FLEXIBLE 1.00 CONVERTIBLE BOND FUND - X - CAP USD Total securities portfolio Page 53

56 BNP Paribas L1 Convertible Bond World Expressed in EUR Shares/Units in investment funds Luxembourg PARVEST CONVERTIBLE BOND WORLD - X - CAP USD Total securities portfolio Page 54

57 BNP Paribas L1 Diversified World Balanced Expressed in EUR Shares/Units in investment funds Luxembourg ALPHA UCITS SICAV FAIR OAKS DNMC CRDT FD EUR BLUEBAY - INVESTMENT GRADE AGGREGATE BOND FUND EUR - I EUR BNPP EASY JPM GBI EMU TRACK - I CAP EUR BNPP EASY MSCI EUROPE EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP BNPP EASY MSCI PACIFIC EX JAPAN EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND WORLD HIGH YIELD SHORT DURATION - X - CAP USD PARVEST CONVERTIBLE BOND WORLD - X - CAP EUR PARVEST CONVERTIBLE BOND 0.05 WORLD - X - CAP USD PARVEST EQUITY BEST SELECTION EURO - X - CAP EUR PARVEST EQUITY EUROPE SMALL 0.04 CAP - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR Ireland ACADIAN EMERGING MARKET EQUITY UCITS II - C USD I - ACC USD ISHARES BAR CAP US AGG BOND USD ISHARES CORE MSCI EMERGING MARKETS IMI UCITS ETF USD - ACC USD VANGUARD EURO INV GR IDX-INS EUR France BNP PARIBAS MONEY 3M - IC EUR Total securities portfolio Page 55

58 BNP Paribas L1 Diversified World Growth Expressed in EUR Shares/Units in investment funds Luxembourg ABN AMRO MM ARISTOTLE US EQUITIES - I USD USD ABN AMRO PZENA E - EQ - I EUR ALPHA UCITS SICAV FAIR OAKS DNMC CRDT FD EUR BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR BNP PARIBAS INSTICASH USD - I CAP USD BNPP EASY MSCI EMU EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP BNPP EASY MSCI PACIFIC EX JAPAN EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP EDGEWOOD L SL-US SL G-I USDZ USD PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND WORLD HIGH YIELD SHORT DURATION - X - CAP USD PARVEST CONVERTIBLE BOND WORLD - X - CAP EUR PARVEST CONVERTIBLE BOND 0.03 WORLD - X - CAP USD PARVEST EQUITY BEST SELECTION EURO - X - CAP EUR PARVEST EQUITY EUROPE SMALL 0.01 CAP - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR SCHRODER INTERNATIONAL SELECTION FUND - JAPANESE JPY OPPORTUNITIES - C YEN - ACC Ireland ACADIAN EMERGING MARKET EQUITY UCITS II - C USD I - ACC USD ISHARES BAR CAP US AGG BOND USD ISHARES CORE MSCI EMERGING MARKETS IMI UCITS ETF USD - ACC USD METZLER EUROPEAN GROWTH - C EUR France BNP PARIBAS MONEY 3M - IC EUR Total securities portfolio Page 56

59 BNP Paribas L1 Diversified World Stability Expressed in EUR Shares/Units in investment funds Luxembourg ALPHA UCITS SICAV FAIR OAKS DNMC CRDT FD EUR BLUEBAY - INVESTMENT GRADE AGGREGATE BOND FUND EUR - I EUR BNPP EASY JPM GBI EMU TRACK - I CAP EUR BNPP EASY MSCI EUROPE EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX 6.04 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP BNPP EASY MSCI PACIFIC EX JAPAN 2.00 EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP DB PLATINUM IV SYSTEMATIC ALPHA I 1C - E EUR PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST BOND EURO - X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST CONVERTIBLE BOND WORLD - X - CAP EUR PARVEST CONVERTIBLE BOND 0.01 WORLD - X - CAP USD PARVEST EQUITY BEST SELECTION EURO - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR Ireland ACADIAN EMERGING MARKET EQUITY UCITS II - C USD I - ACC USD ISHARES BAR CAP US AGG BOND USD ISHARES CORE MSCI EMERGING MARKETS IMI UCITS ETF USD - ACC USD VANGUARD EURO INV GR IDX-INS EUR France BNP PARIBAS CASH INVEST CLASSIC EUR BNP PARIBAS MONEY 3M - IC EUR Total securities portfolio Page 57

60 BNP Paribas L1 Equity Belgium Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Belgium ENERGY INVEST SA EUR ABLYNX NV EUR ACKERMANS & VAN HAAREN EUR AEDIFICA EUR AGEAS EUR ANHEUSER - BUSCH INBEV SA/NV EUR ASIT BIOTECH SA EUR BONE THERAPEUTICS SA EUR BPOST SA EUR CELYAD EUR CFE EUR COLRUYT SA EUR DECEUNINCK NV EUR ECONOCOM GROUP SA/NV EUR ELIA SYSTEM OPERATOR SA/NV EUR FAGRON EUR FLUXYS - NEW EUR GALAPAGOS NV EUR GIMV NV EUR GROUPE BRUXELLES LAMBERT SA EUR ION BEAM APPLICATIONS EUR KBC GROEP NV EUR KINEPOLIS EUR LOTUS BAKERIES EUR MDXHEALTH EUR MELEXIS NV EUR MITHRA PHARMACEUTICALS - W/I EUR NYRSTAR NV EUR ONTEX GROUP NV - W/I EUR ORANGE BELGIUM EUR PROXIMUS EUR RECTICEL EUR SOLVAY SA EUR TELENET GROUP HOLDING NV EUR THROMBOGENICS NV EUR TIGENIX NV EUR TINC COMM VA - W/I EUR UCB SA EUR UMICORE EUR WAREHOUSES DE PAUW SCA EUR The Netherlands ABN AMRO GROUP NV - CVA EUR ING GROEP NV EUR KIADIS PHARMA NV - W/I EUR KONINKLIJKE AHOLD DELHAIZE NV EUR France BNP PARIBAS EUR ENGIE EUR Luxembourg BREDERODE EUR RTL GROUP EUR Other transferable securities Shares Belgium FAGRON NV EUR Total securities portfolio Page 58

61 BNP Paribas L1 Equity Euro Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Germany BAYER AG - REG EUR BAYERISCHE MOTOREN WERKE AG EUR CONTINENTAL AG EUR DEUTSCHE BOERSE AG-TENDER EUR DEUTSCHE TELEKOM AG - REG EUR FRESENIUS MEDICAL CARE AG EUR GEA GROUP AG EUR GERRESHEIMER AG EUR INFINEON TECHNOLOGIES AG EUR LINDE AG EUR SAP SE EUR France ADP EUR AIR LIQUIDE SA EUR COMPAGNIE DE SAINT GOBAIN EUR ENGIE EUR LEGRAND SA EUR LVMH MOET HENNESSY LOUIS VUITTON EUR ORANGE EUR PERNOD RICARD SA EUR PUBLICIS GROUPE EUR SCHNEIDER ELECTRIC SE EUR Spain AENA SA EUR AMADEUS IT GROUP SA EUR BANCO BILBAO VIZCAYA ARGENTA EUR BANCO SANTANDER SA EUR GRIFOLS SA EUR GRIFOLS SA - B EUR MEDIASET ESPANA COMUNICACION EUR RED ELECTRICA CORPORACION SA EUR The Netherlands AKZO NOBEL EUR ASML HOLDING NV EUR ING GROEP NV EUR KONINKLIJKE AHOLD DELHAIZE NV EUR RELX N.V. EUR ROYAL DUTCH SHELL PLC - A EUR Italy ATLANTIA SPA EUR ENI SPA EUR LUXOTTICA GROUP SPA EUR SNAM SPA EUR TELECOM ITALIA SPA EUR Belgium ANHEUSER - BUSCH INBEV SA/NV EUR PROXIMUS EUR TELENET GROUP HOLDING NV EUR Ireland BANK OF IRELAND EUR CRH PLC EUR Portugal GALP ENERGIA SGPS SA EUR JERONIMO MARTINS EUR United Kingdom UNILEVER NV - CVA EUR Sweden NORDEA BANK AB - FDR EUR Finland SAMPO OYJ - A EUR Luxembourg TENARIS SA EUR Shares/Units in investment funds France BNP PARIBAS CASH INVEST CLASSIC EUR Total securities portfolio Page 59

62 BNP Paribas L1 Equity Europe Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United Kingdom BT GROUP PLC GBP DIAGEO PLC GBP INMARSAT PLC GBP KINGFISHER PLC GBP LLOYDS BANKING GROUP PLC GBP LONDON STOCK EXCHANGE GROUP GBP PRUDENTIAL PLC GBP RECKITT BENCKISER GROUP PLC GBP RIO TINTO PLC GBP SKY PLC GBP SMITHS GROUP PLC GBP STANDARD CHARTERED PLC GBP UNILEVER NV - CVA EUR Germany BAYER AG - REG EUR CONTINENTAL AG EUR DEUTSCHE BOERSE AG-TENDER EUR DEUTSCHE TELEKOM AG - REG EUR FRESENIUS MEDICAL CARE AG EUR GERRESHEIMER AG EUR INFINEON TECHNOLOGIES AG EUR LINDE AG EUR SAP SE EUR The Netherlands AKZO NOBEL EUR ASML HOLDING NV EUR ING GROEP NV EUR KONINKLIJKE AHOLD DELHAIZE NV EUR ROYAL DUTCH SHELL PLC - A GBP Switzerland NOVARTIS AG - REG CHF ROCHE HOLDING AG GENUSSCHEIN CHF SCHINDLER HOLDING - PART CERT CHF SWATCH GROUP AG/THE - REG CHF Spain AENA SA EUR AMADEUS IT GROUP SA EUR BANCO SANTANDER SA EUR GRIFOLS SA EUR GRIFOLS SA - B EUR MEDIASET ESPANA COMUNICACION EUR RED ELECTRICA CORPORACION SA EUR Ireland BANK OF IRELAND EUR CRH PLC EUR EXPERIAN PLC GBP SHIRE PLC GBP France ADP EUR COMPAGNIE DE SAINT GOBAIN EUR ENGIE EUR LVMH MOET HENNESSY LOUIS VUITTON EUR PUBLICIS GROUPE EUR Sweden ATLAS COPCO AB - A SEK HEXAGON AB - B SEK NORDEA BANK AB SEK Italy ENI SPA EUR LUXOTTICA GROUP SPA EUR SNAM SPA EUR TELECOM ITALIA SPA EUR Norway DNB ASA NOK Portugal JERONIMO MARTINS EUR Belgium ANHEUSER - BUSCH INBEV SA/NV EUR Finland SAMPO OYJ - A EUR Denmark CARLSBERG AS - B DKK Luxembourg TENARIS SA EUR Other transferable securities Shares Belgium FAGRON NV EUR Shares/Units in investment funds France BNP PARIBAS CASH INVEST CLASSIC EUR Total securities portfolio Page 60

63 BNP Paribas L1 Equity Europe DEFI Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United Kingdom I GROUP PLC GBP ANGLO AMERICAN PLC GBP BAE SYSTEMS PLC GBP BARRATT DEVELOPMENTS PLC GBP BRITISH AMERICAN TOBACCO PLC GBP BT GROUP PLC GBP COCA-COLA EUROPEAN PARTNERS EUR COMPASS GROUP PLC GBP DIAGEO PLC GBP DIRECT LINE INSURANCE GROUP PLC GBP GLAXOSMITHKLINE PLC GBP IMPERIAL BRANDS PLC GBP INTL CONSOLIDATED AIRLINE-DI EUR LEGAL & GENERAL GROUP PLC GBP NATIONAL GRID PLC GBP NEXT PLC GBP RECKITT BENCKISER GROUP PLC GBP RELX PLC GBP RIO TINTO PLC GBP ROYAL MAIL PLC - W/I GBP SAGE GROUP PLC/THE GBP SSE PLC GBP UNILEVER PLC GBP WM MORRISON SUPERMARKETS GBP Germany ALLIANZ SE - REG EUR BAYER AG - REG EUR COVESTRO AG EUR DAIMLER AG-REGISTERED SHARES EUR DEUTSCHE LUFTHANSA - REG EUR DEUTSCHE POST AG - REG EUR DEUTSCHE TELEKOM AG - REG EUR E.ON SE EUR FRESENIUS SE & CO KGAA EUR HOCHTIEF AG EUR MUENCHENER RUECKVER AG - REG EUR PROSIEBEN SAT.1 MEDIA SE EUR RWE AG EUR SAP SE EUR SIEMENS AG - REG EUR France ATOS SE EUR AXA SA EUR CHRISTIAN DIOR SE EUR DANONE EUR EDF EUR LVMH MOET HENNESSY LOUIS 175 VUITTON EUR MICHELIN (CGDE) EUR ORANGE EUR PEUGEOT SA EUR RENAULT SA EUR SANOFI AVENTIS EUR SUEZ EUR TOTAL SA EUR VALEO SA EUR VEOLIA ENVIRONNEMENT EUR VINCI SA EUR Switzerland ABB LTD-REG CHF ARYZTA AG CHF BALOISE HOLDING AG - REG CHF PARTNERS GROUP HOLDING AG CHF ROCHE HOLDING AG GENUSSCHEIN CHF SCHINDLER HOLDING - PART CERT CHF SGS SA - REG CHF SIKA AG - BR CHF SWISS RE AG CHF SWISSCOM AG - REG CHF ZURICH INSURANCE GROUP AG CHF Finland ELISA OYJ EUR KONE OYJ - B EUR NESTE OYJ EUR ORION OYJ - B EUR SAMPO OYJ - A EUR UPM-KYMMENE OYJ EUR Spain AMADEUS IT GROUP SA EUR ENAGAS SA EUR REPSOL SA EUR TELEFONICA SA EUR Sweden ATLAS COPCO AB - A SEK BOLIDEN AB SEK ELECTROLUX AB-SER B SEK SWEDISH MATCH AB SEK VOLVO AB - B SEK Norway GJENSIDIGE FORSIKRING ASA NOK MARINE HARVEST NOK ORKLA ASA NOK Austria ANDRITZ AG EUR OMV AG EUR Denmark TRYG A/S DKK VESTAS WIND SYSTEMS A/S DKK Portugal JERONIMO MARTINS EUR The Netherlands AEGON NV EUR AERCAP HOLDINGS NV USD Italy ENEL SPA EUR Belgium COLRUYT SA EUR Mexico FRESNILLO PLC GBP Page 61

64 BNP Paribas L1 Equity Europe DEFI Expressed in EUR Warrants, Rights REPSOL SA RTS 06/01/2017 EUR Total securities portfolio Page 62

65 BNP Paribas L1 Equity Europe Low Volatility Expressed in EUR Shares/Units in investment funds Luxembourg BNPP EASY EQUITY LOW VOL EUROPE UCITS ETF - CAP EUR Total securities portfolio Page 63

66 BNP Paribas L1 Equity Italy Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Italy A2A SPA EUR ASSICURAZIONI GENERALI EUR ATLANTIA SPA EUR AUTOGRILL SPA EUR AZIMUT HOLDING SPA EUR BANCA GENERALI SPA EUR BANCA MEDIOLANUM SPA EUR BANCA POPOLARE DI SONDRIO EUR BPER BANCA EUR BREMBO SPA EUR BUZZI UNICEM SPA EUR CATTOLICA ASSICURAZIONI SCRL EUR DAVIDE CAMPARI-MILANO SPA EUR DIASORIN SPA EUR ENEL SPA EUR ENI SPA EUR HERA SPA EUR INTERPUMP GROUP SPA EUR INTESA SANPAOLO EUR LUXOTTICA GROUP SPA EUR MEDIASET SPA EUR MEDIOBANCA SPA EUR MONCLER SPA EUR PRYSMIAN SPA EUR RECORDATI SPA EUR SAIPEM SPA EUR SALVATORE FERRAGAMO SPA EUR SNAM SPA EUR TELECOM ITALIA SPA EUR TERNA SPA EUR UBI BANCA SPA EUR UNICREDIT SPA EUR UNIPOL GRUPPO FINANZIARIO SP EUR UNIPOLSAI SPA EUR YOOX NET-A-PORTER GROUP EUR The Netherlands EXOR NV EUR FIAT CHRYSLER AUTOMOBILES NV EUR Luxembourg TENARIS SA EUR United Kingdom CNH INDUSTRIAL NV EUR Switzerland STMICROELECTRONICS NV EUR Total securities portfolio Page 64

67 BNP Paribas L1 Equity Netherlands Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares The Netherlands ABN AMRO GROUP NV - CVA EUR AEGON NV EUR AKZO NOBEL EUR ASML HOLDING NV EUR ASR NEDERLAND NV EUR BASIC-FIT NV EUR DELTA LLOYD NV EUR FLOW TRADERS EUR FUGRO NV - CVA EUR GRANDVISION NV- W/I EUR HEIJMANS N.V. - CVA EUR HEINEKEN HOLDING NV EUR ING GROEP NV EUR INTERTRUST NV EUR KONINKLIJKE AHOLD DELHAIZE NV EUR KONINKLIJKE BAM GROEP NV EUR KONINKLIJKE DSM NV EUR KONINKLIJKE KPN NV EUR KONINKLIJKE PHILIPS NV EUR NN GROUP NV - W/I EUR ORDINA NV EUR PHILIPS LIGHTING NV EUR RANDSTAD HOLDING NV EUR REFRESCO GROUP NV EUR RELX N.V. EUR ROYAL DUTCH SHELL PLC - A EUR SBM OFFSHORE NV EUR SIF HOLDING NV EUR TELEGRAAF MEDIA GROEP NV-CVA EUR TOMTOM EUR WERELDHAVE NV EUR France KLEPIERRE EUR UNIBAIL RODAMCO SE EUR United Kingdom UNILEVER NV - CVA EUR Luxembourg ARCELORMITTAL EUR Other transferable securities Shares The Netherlands SRH NV EUR Total securities portfolio Page 65

68 BNP Paribas L1 Equity USA Core Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America ABBVIE INC USD ALLERGAN PLC USD ALPHABET INC - A USD ALPHABET INC - C USD ALTRIA GROUP INC USD AMAZON.COM INC USD AMERICAN ELECTRIC POWER USD AMERICAN WATER WORKS CO INC USD ANALOG DEVICES INC USD APPLE INC USD BANK OF AMERICA CORP USD BANKUNITED INC USD BERRY PLASTICS GROUP INC USD BOSTON PROPERTIES INC USD BOSTON SCIENTIFIC CORP USD CARDINAL HEALTH INC USD CBRE GROUP INC - A USD CELGENE CORP USD CHEVRON CORP USD CIMAREX ENERGY CO USD CISCO SYSTEMS INC USD CMS ENERGY CORP USD COACH INC USD COMCAST CORP - A USD CONCHO RESOURCES INC USD CONOCOPHILLIPS USD CONSTELLATION BRANDS INC - A USD CVS HEALTH CORP USD EBAY INC USD EDWARDS LIFESCIENCES CORP USD ELI LILLY & CO USD ESTEE LAUDER COMPANIES - A USD FACEBOOK INC - A USD FEDEX CORP USD FIDELITY NATIONAL INFO SERV USD GENERAL ELECTRIC CO USD GILEAD SCIENCES INC USD HALLIBURTON CO USD HESS CORP USD HILTON WORLDWIDE HOLDINGS INC USD HOME DEPOT INC USD HONEYWELL INTERNATIONAL INC USD INGERSOLL-RAND PLC USD INTERCONTINENTAL EXCHANGE W/I USD JP MORGAN CHASE AND CO USD LOWES COS INC USD LYONDELLBASELL INDU - A USD MEDTRONIC PLC USD MERCK & CO INC USD MICROSOFT CORP USD NIKE INC - B USD NORTHROP GRUMMAN CORP USD NORWEGIAN CRUISE LINE HOLDING USD OREILLY AUTOMOTIVE INC USD PEPSICO INC USD PRICELINE GROUP INC/THE USD QUALCOMM INC USD RANGE RESOURCES CORP USD RAYTHEON COMPANY USD ROSS STORES INC USD RYDER SYSTEM INC USD SALESFORCE.COM INC USD SCHWAB (CHARLES) CORP USD SIMON PROPERTY GROUP INC USD SYMANTEC CORP USD TIME WARNER INC USD TRAVELERS COS INC/THE USD TWENTY-FIRST CENTURY FOX - A USD UNION PACIFIC CORP USD UNITED TECHNOLOGIES CORP USD UNITEDHEALTH GROUP INC USD UNUM GROUP USD VALERO ENERGY CORP USD VERIZON COMMUNICATIONS INC USD VISA INC - A SHARES USD WALGREENS BOOTS ALLIANCE INC USD WALT DISNEY CO/THE USD WELLS FARGO & CO USD United Kingdom AON PLC USD SHIRE PLC - ADR USD Ireland ALKERMES PLC USD JAZZ PHARMACEUTICALS PLC USD Singapore BROADCOM SHS USD Shares/Units in investment funds Luxembourg BNPP FLEXI I EQUITY USA MID CAP GROWTH - I - CAP USD Total securities portfolio Page 66

69 BNP Paribas L1 Equity World Aqua Expressed in EUR Shares/Units in investment funds France BNP PARIBAS AQUA - X - CAP EUR Total securities portfolio Page 67

70 BNP Paribas L1 Equity World Emerging Expressed in USD Shares/Units in investment funds Luxembourg PARVEST EQUITY WORLD EMERGING - X - CAP USD Total securities portfolio Page 68

71 BNP Paribas L1 Equity World Guru Expressed in USD Shares/Units in investment funds Luxembourg PARWORLD QUANT EQUITY WORLD GURU - X - CAP USD Total securities portfolio Page 69

72 BNP Paribas L1 Equity World Quality Focus Expressed in EUR Shares/Units in investment funds Luxembourg PARVEST EQUITY BEST SELECTION WORLD - X - CAP EUR Total securities portfolio Page 70

73 BNP Paribas L1 Japan Expressed in JPY Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Japan AISIN SEIKI CO LTD JPY ALFRESA HOLDINGS CORP JPY AOZORA BANK LTD JPY ASAHI GLASS CO LTD JPY ASAHI GROUP HOLDINGS LTD JPY ASAHI KASEI CORP JPY ASTELLAS PHARMA INC JPY BANDAI NAMCO HOLDINGS INC JPY BRIDGESTONE CORP JPY CHUBU ELECTRIC POWER CO INC JPY CONCORDIA FINANCIAL GROUP LT JPY DAICEL CORP JPY DAITO TRUST CONSTRUCTION CO LTD JPY DAIWA HOUSE REIT INVESTMENT JPY DENSO CORP JPY EAST JAPAN RAILWAY CO JPY FUJI ELECTRIC HOLDINGS CO LTD JPY FUJI HEAVY INDUSTRIES LTD JPY FUJIFILM HOLDINGS CORP JPY HANKYU HANSHIN HOLDINGS INC JPY HIKARI TSUSHIN INC JPY HITACHI CHEMICAL CO LTD JPY HONDA MOTOR CO LTD JPY IIDA GROUP HOLDINGS CO LTD JPY ISUZU MOTORS LTD JPY ITOCHU CORP JPY JAPAN AIRLINES CO LTD JPY JAPAN RETAIL FUND INVESTMENT JPY JAPAN TOBACCO INC JPY KAJIMA CORP JPY KANSAI ELECTRIC POWER CO INC JPY KANSAI PAINT CO LTD JPY KDDI CORP JPY KIRIN HOLDINGS CO LTD JPY KOITO MANUFACTURING CO LTD JPY KOMATSU LTD JPY LAWSON INC JPY MARUBENI CORP JPY MARUICHI STEEL TUBE LTD JPY MAZDA MOTOR CORP JPY MCDONALDS HOLDINGS CO JAPAN JPY MEBUKI FINANCIAL GROUP INC JPY MEDIPAL HOLDINGS CORP JPY MIRACA HOLDINGS INC JPY MITSUBISHI GAS CHEMICAL CO JPY MITSUBISHI UFJ FINANCIAL GROUP JPY MITSUI CHEMICALS INC JPY MIXI INC JPY MIZUHO FINANCIAL GROUP INC JPY MS&AD INSURANCE GROUP HOLDING JPY NAGOYA RAILROAD CO LTD JPY NEC CORP JPY NIDEC CORP JPY NIKON CORP JPY NIPPON TELEGRAPH & TELEPHONE JPY NISSAN MOTOR CO LTD JPY NTT DATA CORP JPY NTT DOCOMO INC JPY OJI HOLDINGS CORP JPY OSAKA GAS CO LTD JPY OTSUKA HOLDINGS CO LTD JPY RECRUIT HOLDINGS CO LTD JPY RESONA HOLDINGS INC JPY RINNAI CORP JPY SANKYO CO LTD JPY SHIMIZU CORP JPY SHIN-ETSU CHEMICAL CO LTD JPY SOFTBANK GROUP CORP JPY SONY CORP JPY STANLEY ELECTRIC CO LTD JPY SUMITOMO CORP JPY SUMITOMO ELECTRIC INDUSTRIES JPY SUMITOMO MITSUI FINANCIAL GR JPY SUZUKI MOTOR CORP JPY TAIHEIYO CEMENT CORP JPY TAISEI CORP JPY TAKEDA PHARMACEUTICAL CO LTD JPY TOHO GAS CO LTD JPY TOHOKU ELECTRIC POWER CO INC JPY TOKIO MARINE HOLDINGS INC JPY TOYO SUISAN KAISHA LTD JPY TOYODA GOSEI CO LTD JPY TOYOTA MOTOR CORP JPY UNITED URBAN INVESTMENT CORP JPY YOKOGAWA ELECTRIC CORP JPY Total securities portfolio Page 71

74 BNP Paribas L1 Multi-Asset Income Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America ABBOTT LABORATORIES USD AIRCASTLE LTD USD ALPHABET INC - C USD ALTRIA GROUP INC USD AMAZON.COM INC USD AMERIGAS PARTNERS - LP USD AMGEN INC USD ANNALY CAPITAL MANAGEMENT USD ARTHUR J GALLAGHER & CO USD BB&T CORP USD BOSTON PROPERTIES INC USD BRANDYWINE REALTY TRUST USD CARDINAL HEALTH INC USD CEDAR FAIR LP USD CELGENE CORP USD CHEVRON CORP USD CINEMARK HOLDINGS INC USD CISCO SYSTEMS INC USD CITRIX SYSTEMS INC USD CNA FINANCIAL CORP USD COGNIZANT TECH SOLUTIONS - A USD COMCAST CORP - A USD COMMUNICATIONS SALES + LE USD COMPASS MINERALS INTERNATION USD CORESITE REALTY CORP USD CORNING INC USD COSTCO WHOLESALE CORP USD CUMMINS INC USD CYRUSONE INC USD DIAMONDROCK HOSPITALITY CO USD DIGITAL REALTY TRUST INC USD DINEEQUITY INC USD EMERSON ELECTRIC CO USD EQUITY RESIDENTIAL USD EXXON MOBIL CORP USD FASTENAL CO USD GENERAL ELECTRIC CO USD GENERAL GROWTH PROPERTIES USD GEO GROUP INC/THE USD HASBRO INC USD HESS CORP USD HOST HOTELS & RESORTS INC USD INTEL CORP USD IRON MOUNTAIN INC USD JOHNSON & JOHNSON USD JOHNSON CONTROLS INTERNATIONAL USD KIMBERLY-CLARK CORP USD KIMCO REALTY CORP USD KKR & CO LP USD LAS VEGAS SANDS CORP USD LIFE STORAGE INC USD LTC PROPERTIES INC USD LYONDELLBASELL INDU - A USD MACERICH CO / THE USD MAGELLAN MIDSTREAM PARTNERS USD MARSH & MCLENNAN COS USD MASTERCARD INC - A USD MERCK & CO INC USD METLIFE INC USD MICROSOFT CORP USD MID-AMERICA APARTMENT COMM USD MOTOROLA SOLUTIONS INC USD NATIONAL FUEL GAS CO USD OCCIDENTAL PETROLEUM CORP USD OMNICOM GROUP USD OWENS AND MINOR INC USD PARAMOUNT GROUP INC USD PEBBLEBROOK HOTEL TRUST USD PENN REAL ESTATE INVEST TST USD PEPSICO INC USD PNC FINANCIAL SERVICES GROUP USD POLARIS INDUSTRIES INC USD PRAXAIR INC USD PROLOGIS INC USD PUBLIC STORAGE USD QTS REALTY TRUST INC - A USD QUALCOMM INC USD RAMCO-GERSHENSON PROPERTIES USD REGENCY CENTERS CORP USD REYNOLDS AMERICAN INC USD RLJ LODGING TRUST USD RYMAN HOSPITALITY PROPERTIES USD S&P GLOBAL INC USD SABRA HEALTH CARE REIT INC USD SABRE CORP USD SERVICEMASTER GLOBAL HOLDING USD SIMON PROPERTY GROUP INC USD SPECTRA ENERGY PARTNERS LP USD TANGER FACTORY OUTLET CENTERS USD TARGET CORP USD THOMSON REUTERS CORP USD TIME WARNER INC USD UNION PACIFIC CORP USD UNITED PARCEL SERVICE- CL B USD US BANCORP USD VALERO ENERGY CORP USD VECTREN CORP USD VENTAS INC USD VERIZON COMMUNICATIONS INC USD WELLS FARGO & CO USD WELLTOWER INC USD WESTERN UNION CO USD WEYERHAEUSER CO USD WW GRAINGER INC USD ZIMMER BIOMET HOLDINGS INC USD United Kingdom ABERDEEN ASSET MGMT PLC GBP ADMIRAL GROUP PLC GBP AON PLC USD AVIVA PLC GBP BERENDSEN PLC GBP BERKELEY GROUP HOLDINGS/THE GBP BOVIS HOMES GROUP PLC GBP BRITISH AMERICAN TOBACCO PLC GBP BRITVIC PLC GBP Page 72

75 BNP Paribas L1 Multi-Asset Income Expressed in EUR BT GROUP PLC GBP CLOSE BROTHERS GROUP PLC GBP DERWENT LONDON PLC GBP DIAGEO PLC GBP DIRECT LINE INSURANCE GROUP PLC GBP DS SMITH PLC GBP GREGGS PLC GBP HANSTEEN HOLDINGS PLC GBP HOMESERVE SHS GBP HSBC HOLDINGS PLC GBP IG GROUP HOLDINGS PLC GBP IMPERIAL BRANDS PLC GBP INCHCAPE PLC GBP INFORMA PLC GBP INMARSAT PLC GBP INTU PROPERTIES PLC GBP KINGFISHER PLC GBP LAND SECURITIES GROUP PLC GBP LEGAL & GENERAL GROUP PLC GBP LLOYDS BANKING GROUP PLC GBP LONDON STOCK EXCHANGE GROUP GBP MAN GROUP PLC GBP MICRO FOCUS INTERNATIONAL GBP MONEYSUPERMARKET.COM GBP NATIONAL EXPRESS GROUP PLC GBP NATIONAL GRID PLC GBP OLD MUTUAL PLC GBP PROVIDENT FINANCIAL PLC GBP PRUDENTIAL PLC GBP RECKITT BENCKISER GROUP PLC GBP RIO TINTO PLC GBP ROYAL MAIL PLC - W/I GBP SEGRO PLC GBP SKY PLC GBP SMITHS GROUP PLC GBP SPIRAX-SARCO ENGINEERING PLC GBP SSE PLC GBP STANDARD CHARTERED PLC GBP STANDARD LIFE PLC GBP UBM PLC GBP UNILEVER NV - CVA EUR UNILEVER PLC GBP UNILEVER PLC - SPONSORED ADR USD VODAFONE GROUP PLC GBP WH SMITH PLC GBP WOOD GROUP (JOHN) PLC GBP Germany AAREAL BANK AG EUR ALLIANZ SE - REG EUR ALSTRIA OFFICE REIT AG EUR BASF SE EUR BAYER AG - REG EUR BAYERISCHE MOTOREN WERKE AG EUR BAYERISCHE MOTOREN WERKE-PRF EUR BECHTLE AG EUR DAIMLER AG-REGISTERED SHARES EUR DEUTSCHE BOERSE AG-TENDER EUR DEUTSCHE POST AG - REG EUR DEUTSCHE TELEKOM AG - REG EUR DEUTSCHE WOHNEN AG - BR EUR DRILLISCH AG EUR FREENET AG EUR GERRESHEIMER AG EUR HANNOVER RUECK SE EUR HUGO BOSS AG - ORD EUR JUNGHEINRICH - PRFD EUR LEG IMMOBILIEN AG EUR LINDE AG EUR MTU AERO ENGINES AG EUR MUENCHENER RUECKVER AG - REG EUR NORMA GROUP SE EUR PROSIEBEN SAT.1 MEDIA SE EUR SAP SE EUR SIEMENS AG - REG EUR VONOVIA SE EUR France ADP EUR AIR LIQUIDE SA EUR ALSTOM EUR ALTRAN TECHNOLOGIES SA EUR AXA SA EUR COMPAGNIE DE SAINT GOBAIN EUR EDF EUR EUTELSAT COMMUNICATIONS EUR FAURECIA EUR FONCIERE DES REGIONS EUR GECINA SA EUR ICADE EUR IPSEN EUR KLEPIERRE EUR LAGARDERE SCA EUR NATIXIS EUR ORANGE EUR PLASTIC OMNIUM EUR SCHNEIDER ELECTRIC SE EUR SCOR SE EUR SEB SA EUR SUEZ EUR TECHNICOLOR - REGR EUR TELEPERFORMANCE EUR UNIBAIL RODAMCO SE EUR VINCI SA EUR WORLDLINE SA - W/I EUR Switzerland BALOISE HOLDING AG - REG CHF BANQUE CANTONALE VAUDOIS REG CHF FLUGHAFEN ZUERICH AG - REG CHF IMPLENIA AG - REG CHF LOGITECH INTERNATIONAL - REG CHF NOVARTIS AG - REG CHF ROCHE HOLDING AG GENUSSCHEIN CHF STMICROELECTRONICS NV EUR SUNRISE COMMUNICATIONS GROUP CHF SWATCH GROUP AG/THE - BR CHF SWISS RE AG CHF TE CONNECTIVITY LTD USD ZURICH INSURANCE GROUP AG CHF Page 73

76 BNP Paribas L1 Multi-Asset Income Expressed in EUR Japan CANON INC JPY CHUGOKU ELECTRIC POWER CO JPY DAIWA SECURITIES GROUP INC JPY FANUC CORP JPY HOKURIKU ELECTRIC POWER CO JPY INVINCIBLE INVESTMENT CORP JPY ITOCHU CORP JPY JAPAN HOTEL REIT INVESTMENT JPY JX HOLDINGS INC JPY KENEDIX RETAIL REIT CORP JPY LASALLE LOGIPORT REIT JPY LAWSON INC JPY MARUBENI CORP JPY MIRACA HOLDINGS INC JPY MITSUBISHI CORP JPY MIZUHO FINANCIAL GROUP INC JPY MS&AD INSURANCE GROUP HOLDING JPY NIPPON PROLOGIS REIT INC JPY NIPPON TELEGRAPH & TELEPHONE JPY NISSAN MOTOR CO LTD JPY NTT DOCOMO INC JPY RICOH CO LTD JPY SUMITOMO CORP JPY SUMITOMO MITSUI FINANCIAL GR JPY SUMITOMO MITSUI TRUST HOLDINGS JPY TAKEDA PHARMACEUTICAL CO LTD JPY TOYOTA MOTOR CORP JPY Australia AMCOR LTD AUD AMP LTD AUD AUST AND NZ BANKING GROUP AUD AVENTUS RETAIL PROPERTY FUND AUD BHP BILLITON LTD AUD CARSALES.COM LTD AUD COMMONWEALTH BANK OF AUSTRALIA AUD COMPUTERSHARE LTD AUD G8 EDUCATION LTD AUD GOODMAN GROUP AUD MACQUARIE GROUP LTD AUD MIRVAC GROUP AUD NATIONAL AUSTRALIA BANK LTD AUD NATIONAL STORAGE REIT AUD QUBE HOLDINGS LTD AUD SCENTRE GROUP AUD SONIC HEALTHCARE LTD AUD SPARK INFRASTRUCTURE GROUP AUD STOCKLAND AUD SUNCORP GROUP LTD AUD SYDNEY AIRPORT AUD TELSTRA CORP LTD AUD TRANSURBAN GROUP AUD WESTFIELD CORP AUD The Netherlands AKZO NOBEL EUR ASML HOLDING NV EUR BOSKALIS WESTMINSTER EUR CORBION NV EUR DELTA LLOYD NV EUR EUROCOMMERCIAL PROPERTIE NV EUR ING GROEP NV EUR KONINKLIJKE AHOLD DELHAIZE NV EUR KONINKLIJKE KPN NV EUR NSI NV EUR ROYAL DUTCH SHELL PLC - A EUR ROYAL DUTCH SHELL PLC - A GBP ROYAL DUTCH SHELL PLC - B GBP SENSATA TECHNOLOGIES HOLDING USD WERELDHAVE NV EUR Sweden ATLAS COPCO AB - A SEK AXFOOD AB SEK CASTELLUM AB SEK COM HEM HOLDING AB - W/I SEK ERICSSON LM - B SEK FABEGE AB SEK HENNES & MAURITZ AB - B SEK HEXAGON AB - B SEK HEXPOL AB SEK INTRUM JUSTITIA AB SEK JM AB SEK KUNGSLEDEN AB SEK LOOMIS AB - B SEK MODERN TIMES GROUP - B SEK NCC AB - B SEK NCC HOUSING - B SEK NORDEA BANK AB SEK PEAB AB SEK SKANDINAVISKA ENSKILDA BANK A SEK SKANSKA AB - B SEK SWEDBANK AB - A SEK Spain ACERINOX SA EUR ACS ACTIVIDADES CONS Y SERV EUR AENA SA EUR AMADEUS IT GROUP SA EUR BANCO BILBAO VIZCAYA ARGENTA EUR BANCO SANTANDER SA EUR BOLSAS Y MERCADOS ESPANOLES EUR CAIXABANK EUR ENAGAS SA EUR ENDESA SA EUR FERROVIAL SA EUR GAS NATURAL SDG SA EUR GRIFOLS SA EUR MEDIASET ESPANA COMUNICACION EUR MERLIN PROPERTIES SOCIMI SA EUR PROSEGUR COMPANIA DE SEGURIDAD EUR RED ELECTRICA CORPORACION SA EUR TECNICAS REUNIDAS SA EUR Finland CITYCON OYJ EUR ELISA OYJ EUR FORTUM OYJ EUR HUHTAMAKI OYJ EUR KESKO OYJ - B EUR KONE OYJ - B EUR METSA BOARD OYJ EUR Page 74

77 BNP Paribas L1 Multi-Asset Income Expressed in EUR NOKIA OYJ EUR ORION OYJ - B EUR SAMPO OYJ - A EUR TECHNOPOLIS OYJ EUR UPM-KYMMENE OYJ EUR Italy A2A SPA EUR BANCA GENERALI SPA EUR BANCA MEDIOLANUM SPA EUR CERVED INFORMATION SOLUTIONS EUR EI TOWERS SPA EUR ENI SPA EUR HERA SPA EUR ITALGAS SPA EUR LUXOTTICA GROUP SPA EUR RECORDATI SPA EUR SNAM SPA EUR TERNA SPA EUR UNIPOLSAI SPA EUR Norway DNB ASA NOK GJENSIDIGE FORSIKRING ASA NOK TELENOR ASA NOK TGS NOPEC GEOPHYSICAL CO ASA NOK Hong Kong AIA GROUP LTD HKD BOC HONG KONG HOLDINGS LTD HKD CHAMPION REIT HKD CHEUNG KONG INFRASTRUCTURE HKD CHEUNG KONG PROPERTY HOLDING HKD CHINA MOBILE LTD HKD CHINA POWER INTERNATIONAL HKD CLP HOLDINGS LTD HKD HANG SENG BANK LTD HKD MTR CORP HKD PCCW LTD HKD POWER ASSETS HOLDINGS LTD HKD SUN HUNG KAI PROPERTIES HKD China AGRICULTURAL BANK OF CHINA - H HKD ALIBABA GROUP HOLDING-SP ADR USD BAIDU INC - SPON ADR USD BANK OF CHINA LTD - H HKD CHINA COMMUNICATIONS CONST H HKD CHINA COMMUNICATIONS SERVI - H HKD CHINA CONSTRUCTION BANK - H HKD HUANENG POWER INTL INC - H HKD IND & COMM BANK OF CHINA - H HKD JIANGSU EXPRESS CO LTD - H HKD PING AN INSURANCE GROUP CO - H HKD SHENZHEN EXPRESSWAY CO - H HKD SHENZHOU INTERNATIONAL GROUP HKD SICHUAN EXPRESSWAY CO - H HKD TENCENT HOLDINGS LTD HKD Ireland CRH PLC EUR DCC PLC GBP EXPERIAN PLC GBP KINGSPAN GROUP PLC EUR SMURFIT KAPPA GROUP PLC EUR Portugal CTT-CORREIOS DE PORTUGAL EUR EDP-ENERGIAS DE PORTUGAL SA EUR JERONIMO MARTINS EUR Belgium AGEAS EUR ANHEUSER - BUSCH INBEV SA/NV EUR BPOST SA EUR South Korea AMOREPACIFIC CORP KRW HYUNDAI MOTOR CO KRW KT&G CORP KRW LG HOUSEHOLD & HEALTH CARE KRW POSCO KRW SAMSUNG ELECTRONICS CO LTD KRW SHINHAN FINANCIAL GROUP LTD KRW SK INNOVATION CO LTD KRW Canada ALIMENTATION COUCHE-TARD - B CAD RIOCAN REAL ESTATE INVEST TRUST CAD Taiwan CHUNGHWA TELECOM CO LTD TWD CTCI CORP TWD DELTA ELECTRONIC INDUSTRIAL CO TWD FUBON FINANCIAL HOLDING CO TWD MEGA FINANCIAL HOLDING COMPANY TWD NOVATEK MICROELECTRONICS CORP TWD SPORTON INTERNATIONAL INC TWD TAIWAN CEMENT TWD TAIWAN SEMICONDUCTOR - SP ADR USD TAIWAN SEMICONDUCTOR MANUFAC TWD Singapore CACHE LOGISTICS TRUST SGD DBS GROUP HOLDINGS LTD SGD KEPPEL DC REIT SGD RHT HEALTH TRUST SGD Denmark CARLSBERG AS - B DKK ROYAL UNIBREW DKK TRYG A/S DKK India ASIAN PAINTS LTD INR GODREJ CONSUMER PRODUCTS LTD INR HDFC BANK LTD INR ICICI BANK LTD INR KOTAK MAHINDRA BANK LTD INR SUN PHARMACEUTICAL INDUSTRIES INR Page 75

78 BNP Paribas L1 Multi-Asset Income Expressed in EUR TATA CONSULTANCY SVCS LTD INR TATA MOTORS LTD INR YES BANK LTD INR Bermuda AXIS CAPITAL HOLDINGS LTD USD Indonesia BANK RAKYAT INDONESIA PERSER IDR TELEKOMUNIKASI INDONESIA PER IDR Thailand BANGKOK BANK PUBLIC CO-NVDR THB PTT EXPLOR & PROD PCL-NVDR THB PTT PCL/FOREIGN THB New Zealand AUCKLAND INTL AIRPORT LTD NZD FLETCHER BUILDING LTD NZD SPARK NEW ZEALAND LTD NZD Malaysia MALAYAN BANKING BHD MYR PUBLIC BANK BERHAD MYR SIME DARBY BERHAD MYR Philippines ABOITIZ POWER CORP PHP PLDT INC PHP SM INVESTMENTS CORP PHP Jersey Island PHOENIX GROUP HOLDINGS GBP Isle of Man PAYSAFE GROUP PLC GBP Bonds United States of America ST CENTURY FOX AMERICA 5.650% 10-15/08/2020 USD ABBVIE INC 0.375% 16-18/11/2019 EUR ACI WORLDWIDE 6.375% /08/2020 USD ACTIVISION BLIZZ 2.300% /09/2021 USD ADIENT GLOBAL HO 3.500% /08/2024 EUR ADIENT GLOBAL HO 4.875% /08/2026 USD AES CORPORATION 5.500% /03/2024 USD AFLAC INC 3.625% 14-15/11/2024 USD AIR LEASE CORP 2.625% 15-04/09/2018 USD AIR LEASE CORP 3.875% 14-01/04/2021 USD AIR PROD & CHEM 0.375% /06/2021 EUR ALBEMARLE CORP 1.875% /12/2021 EUR ALCOA INC 5.125% 14-01/10/2024 USD ALEXANDRIA REAL 4.600% /04/2022 USD ALTRIA GROUP INC 5.375% /01/2044 USD AMC ENTERTAINMNT 5.875% /02/2022 USD AMER AXLE & MFG 6.250% /03/2021 USD AMER AXLE & MFG 7.750% /11/2019 USD AMER INTL GROUP 3.300% /03/2021 USD AMER INTL GROUP 3.900% /04/2026 USD AMERICAN TOWER 3.375% 16-15/10/2026 USD AMERICAN TOWER 3.500% /01/2023 USD AMERICAN TOWER 4.000% /06/2025 USD AMERIGAS FINANCE 7.000% /05/2022 USD AMERIGAS PARTNER 5.625% /05/2024 USD AMERIGAS PARTNER 5.875% /08/2026 USD AMGEN INC 2.600% 16-19/08/2026 USD AMGEN INC 3.875% 11-15/11/2021 USD AMKOR TECHNOLOGY INC 6.625% /06/2021 USD AMSURG CORP 5.625% 15-15/07/2022 USD ANADARKO PETROLEUM 5.550% 16-15/03/2026 USD ANTERO MIDSTREAM 5.375% /09/2024 USD ANTERO RESOURCES 5.125% /12/2022 USD ANTERO RESOURCES 6.000% /12/2020 USD APACHE CORP 2.625% 12-15/01/2023 USD APPLE INC 1.375% 15-17/01/2024 EUR ARGOS MERGER SUB 7.125% /03/2023 USD AT&T INC 2.450% 15-30/06/2020 USD AT&T INC 2.600% 14-17/12/2029 EUR AT&T INC 3.400% 15-15/05/2025 USD AT&T INC 4.125% 16-17/02/2026 USD AT&T INC 4.300% 13-15/12/2042 USD AUTONATION INC 5.500% 12-01/02/2020 USD AUTONATION INC 6.750% /04/2018 USD AVIS BUDGET CAR 5.125% /06/2022 USD BANK OF AMERICA CORP 0.750% /07/2023 EUR BANK OF AMERICA CORP 1.375% 15-26/03/2025 EUR BANK OF AMERICA CORP 2.600% /01/2019 USD BANK OF AMERICA CORP 2.625% /10/2020 USD BANK OF AMERICA CORP 3.248% /10/2027 USD BANK OF AMERICA CORP 3.875% /08/2025 USD BANK OF AMERICA CORP 4.000% /01/2025 USD BANK OF AMERICA CORP 5.625% /07/2020 USD BANK ONE CORP 7.750% 95-15/07/2025 USD BELDEN INC 4.125% 16-15/10/2026 EUR BELDEN INC 5.500% 13-15/04/2023 EUR BORG-WARNER AUTO 3.375% /03/2025 USD BORG-WARNER AUTO 4.375% 15-15/03/2045 USD BOYD GAMING CORP 6.875% /05/2023 USD BUNGE LTD FIN CP 3.250% /08/2026 USD CABLEVISION SYS 5.875% /09/2022 USD CALPINE CORP 5.375% 14-15/01/2023 USD CALPINE CORP 5.750% 14-15/01/2025 USD CALPINE CORP 5.875% 13-15/01/2024 USD CAPITAL ONE FINL 3.750% 16-28/07/2026 USD CAPITAL ONE FINL 4.200% 15-29/10/2025 USD CARGILL INC 7.350% 09-06/03/2019 USD CARRIZO OIL & GAS 6.250% /04/2023 USD Page 76

79 BNP Paribas L1 Multi-Asset Income Expressed in EUR CBS CORP 4.900% 14-15/08/2044 USD CCO HOLDINGS LLC 5.250% /09/2022 USD CCO HOLDINGS LLC 5.750% /01/2024 USD CCO HOLDINGS LLC 5.750% /09/2023 USD CCO HOLDINGS LLC 5.875% /05/2027 USD CCO HOLDINGS LLC 5.875% /04/2024 USD CEDAR FAIR LP/CA 5.375% /06/2024 USD CELANESE US HOLDINGS 3.250% 14-15/10/2019 EUR CELGENE CORP 5.250% 13-15/08/2043 USD CEMEX FINANCE 4.625% /06/2024 EUR CENTENE CORP 5.625% 16-15/02/2021 USD CENTENE CORP 6.125% 16-15/02/2024 USD CENTURYLINK INC 6.450% /06/2021 USD CENTURYLINK INC 6.750% /12/2023 USD CENTURYLINK INC 7.500% /04/2024 USD CF INDUSTRIES IN 3.400% /12/2021 USD CGCMT 2014-GC25 B 4.345% /10/2047 USD CGCMT 2015-GC27 AS 3.571% /02/2048 USD CHEMOURS CO 6.625% 16-15/05/2023 USD CHENIERE CORP CH 7.000% /06/2024 USD CHESAPEAKE ENRGY 8.000% /12/2022 USD CHEVRON CORP 2.419% 15-17/11/2020 USD CHS/COMMUNITY 5.125% /08/2021 USD CHS/COMMUNITY 6.875% /02/2022 USD CHS/COMMUNITY 8.000% /11/2019 USD CIMAREX ENERGY 4.375% /06/2024 USD CISCO SYSTEMS 2.950% 16-28/02/2026 USD CITIGROUP INC 0.750% 16-26/10/2023 EUR CITIGROUP INC 1.375% 14-27/10/2021 EUR CITIGROUP INC 1.750% 13-01/05/2018 USD CITIGROUP INC 2.550% 14-08/04/2019 USD CITIGROUP INC 2.650% 15-26/10/2020 USD CITIGROUP INC 4.050% 13-30/07/2022 USD CITIGROUP INC 4.600% 16-09/03/2026 USD CLEAR CHNL WORLD 6.500% /11/2022 USD CLEAR CHNL WORLD 7.625% /03/2020 USD COCA-COLA CO/THE 1.125% 14-22/09/2022 EUR COMCAST CORP 4.400% 15-15/08/2035 USD COMCAST CORP 6.950% 07-15/08/2037 USD COMMSCOPE TECH F 6.000% /06/2025 USD CONCHO RES/MIDLA 5.500% /04/2023 USD CONCHO RES/MIDLA 5.500% /10/2022 USD CONOCOPHILLIPS CO 2.400% /12/2022 USD CONSOL ENERGY 5.875% /04/2022 USD CONSTELLATION BR 3.700% /12/2026 USD CONTINENTAL RES 4.500% /04/2023 USD CONTINENTAL RES 4.900% /06/2044 USD CONTINENTAL RES 5.000% /09/2022 USD COTT BEVERAGES 5.375% /07/2022 USD COVANTA HOLDING 6.375% 12-01/10/2022 USD CROWN CASTLE INTL 3.400% /02/2021 USD CRSTWD PART/FIN 6.125% /03/2022 USD CSC HOLDINGS LLC 5.500% /04/2027 USD CSC HOLDINGS LLC 6.750% /11/2021 USD CSX CORP 3.350% 15-01/11/2025 USD CSX CORP 6.150% 07-01/05/2037 USD CVR REF/COFF FIN 6.500% /11/2022 USD CVS HEALTH CORP 3.875% /07/2025 USD CYRUSONE LP/CYRU 6.375% /11/2022 USD DANA HOLDING 5.375% 13-15/09/2021 USD DANA HOLDING 6.000% 13-15/09/2023 USD DAVITA HEALTHCARE 5.125% /07/2024 USD DAVITA INC 5.750% 12-15/08/2022 USD DEAN FOODS CO 6.500% 15-15/03/2023 USD DIAMOND 1 FIN/DI 4.420% /06/2021 USD DIAMOND 1 FIN/DI 7.125% /06/2024 USD DIAMONDBACK ENER 4.750% /11/2024 USD DISCOVER BANK 7.000% /04/2020 USD DISH DBS CORP 5.000% 13-15/03/2023 USD DISH DBS CORP 5.875% 12-15/07/2022 USD DISH DBS CORP 6.750% 11-01/06/2021 USD DISH DBS CORP 7.750% 16-01/07/2026 USD DOLLAR TREE 5.750% 16-01/03/2023 USD DOMINION RESOURCES 5.250% /08/2033 USD DONNELLEY & SONS 7.875% /03/2021 USD DOW CHEMICAL CO 4.375% /11/2042 USD DPL INC 7.250% 12-15/10/2021 USD DYNEGY INC 7.375% 15-01/11/2022 USD ECOLAB INC 4.350% 11-08/12/2021 USD EMERA US FINANCE 3.550% /06/2026 USD ENDO FINANCE LLC 6.000% /07/2023 USD ENDO FINANCE LLC 7.750% /01/2022 USD ENERGIZER SPINCO 5.500% /06/2025 USD ENERGY TRAN PTNR 4.750% /01/2026 USD ENERGY TRAN PTNR 6.700% /07/2018 USD ENERGY TRANSFER 5.875% /01/2024 USD ENERGY TRANSFER 7.500% /10/2020 USD ENLINK MIDSTREAM 4.400% /04/2024 USD ENTERPRISE OP LLC 6.500% /01/2019 USD ENTERPRISE PRODU 4.900% 15-15/05/2046 USD EQUINIX INC 5.375% 14-01/01/2022 USD EQUINIX INC 5.750% 14-01/01/2025 USD FEDEX CORP 3.200% 15-01/02/2025 USD FEDEX CORP 4.900% 14-15/01/2034 USD FHR 4187 CI 3.000% 13-15/04/2033 USD FHS 303 C % 13-15/01/2043 USD FIAT FINANCE NA 5.625% /06/2017 EUR Page 77

80 BNP Paribas L1 Multi-Asset Income Expressed in EUR FIFTH THIRD BANK 2.875% /07/2020 USD FIRST DATA CORP 5.000% /01/2024 USD FIRST DATA CORP 5.375% /08/2023 USD FIRST DATA CORP 7.000% /12/2023 USD FIVE COR FND TRS 4.419% /11/2023 USD FNR CI 3.000% 13-25/07/2033 USD FORD MOTOR CO 6.625% /10/2028 USD FORD MOTOR CRED 3.664% 14-08/09/2024 USD FORTIVE CORP 3.150% 16-15/06/2026 USD FRESENIUS MEDICAL 4.750% /10/2024 USD FRONTIER COMM % /09/2022 USD FRONTIER COMM % /09/2025 USD FRONTIER COMM 6.875% /01/2025 USD FRONTIER COMM 8.500% /04/2020 USD FRONTIER COMM 8.750% /04/2022 USD GAMESTOP CORP 5.500% /10/2019 USD GANNETT CO 6.375% 13-15/10/2023 USD GEN ELEC CAP CRP 5.250% /12/2017 USD GEN ELECTRIC CO 4.500% /03/2044 USD GEN MOTORS FIN 0.955% /09/2023 EUR GEN MOTORS FIN 3.200% /07/2020 USD GEN MOTORS FIN 3.200% /07/2021 USD GEN MOTORS FIN 4.000% /01/2025 USD GEN MOTORS FIN 4.375% /09/2021 USD GENERAL MOTORS CO 5.200% 14-01/04/2045 USD GENESIS ENERGY 6.750% /08/2022 USD GOLDMAN SACHS GP 1.250% /05/2025 EUR GOLDMAN SACHS GP 2.000% /07/2023 EUR GOLDMAN SACHS GP 2.350% 16-15/11/2021 USD GOLDMAN SACHS GP 2.600% /04/2020 USD GOLDMAN SACHS GP 2.625% /01/2019 USD GOLDMAN SACHS GP 2.875% /02/2021 USD GOLDMAN SACHS GP 2.900% /07/2018 USD GOLDMAN SACHS GP 4.000% /03/2024 USD GOLDMAN SACHS GP 4.250% /10/2025 USD GOLDMAN SACHS GP 4.750% 06-12/10/2021 EUR GOLDMAN SACHS GP 4.800% 14-08/07/2044 USD GOLDMAN SACHS GP 5.950% 06-15/01/2027 USD GOODYEAR TIRE 5.125% /11/2023 USD GRAY TELE INC 5.125% 16-15/10/2024 USD GREEKTOWN HLDGS 8.875% /03/2019 USD GULFPORT ENERGY 6.000% /10/2024 USD HCA HOLDINGS INC 6.250% 12-15/02/2021 USD HCA INC 4.500% 16-15/02/2027 USD HCA INC 5.000% 14-15/03/2024 USD HCA INC 5.250% 14-15/04/2025 USD HCA INC 5.375% 15-01/02/2025 USD HCA INC 7.500% 11-15/02/2022 USD HDTFS INC 6.250% 13-15/10/2022 USD HEALTHSOUTH CORP 5.125% /03/2023 USD HERC RENTALS INC 7.500% /06/2022 USD HEWLETT - PACKARD CO 3.750% /12/2020 USD HOME DEPOT INC 4.250% 15-01/04/2046 USD HP ENTERPRISE 3.600% 15-15/10/2020 USD IMS HEALTH INC 3.500% 16-15/10/2024 EUR INCPTN/RCKSPCE 8.625% /11/2024 USD INGERSOLL-RAND GL 4.250% /06/2023 USD INGREDION INC 3.200% 16-01/10/2026 USD INTEL CORP 4.000% 12-15/12/2032 USD INTL LEASE FIN 7.125% 10-01/09/2018 USD INTL PAPER CO 3.000% 16-15/02/2027 USD IRON MOUNTAIN 5.750% /08/2024 USD IRON MOUNTAIN 6.000% /10/2020 USD JP MORGAN CHASE 0.625% /01/2024 EUR JP MORGAN CHASE 1.500% /10/2022 EUR JP MORGAN CHASE 1.700% /03/2018 USD JP MORGAN CHASE 4.250% /10/2027 USD JP MORGAN CHASE 6.400% /05/2038 USD KB HOME 4.750% 14-15/05/2019 USD KB HOME 7.500% 12-15/09/2022 USD KELLOGG CO 1.000% 16-17/05/2024 EUR KEYSIGHT TECHNOL 4.550% /10/2024 USD KILROY REALTY LP 4.375% /10/2025 USD KIMBERLY-CLARK 6.625% 07-01/08/2037 USD KIMCO REALTY 3.200% 14-01/05/2021 USD KINDER MORGAN 4.300% 14-01/06/2025 USD KINDER MORGAN 5.300% 14-01/12/2034 USD KINDRED HEALTHCARE 8.000% /01/2020 USD KLX INC 5.875% 14-01/12/2022 USD KRAFT HEINZ FOOD 1.500% 16-24/05/2024 EUR KRAFT HEINZ FOOD 4.375% /06/2046 USD L BRANDS INC 6.750% 16-01/07/2036 USD LAMAR MEDIA CORP 5.375% /01/2024 USD LEE ENTERPRISES 9.500% /03/2022 USD LENNOX INTERNATIONAL INC % 16-15/11/2023 USD LEVEL 3 COMMUNICATIONS INC % 15-01/12/2022 USD LEVEL 3 FIN INC 5.250% 16-15/03/2026 USD LEVI STRAUSS 5.000% 15-01/05/2025 USD LIBERTY MUTUAL 4.250% /06/2023 USD LIFEPOINT HOSPIT 5.500% /12/2021 USD LIMITED BRANDS 5.625% /02/2022 USD LIMITED BRANDS 6.625% /04/2021 USD LIN TELEVISION 5.875% 15-15/11/2022 USD MARATHON OIL CORP 3.850% /06/2025 USD Page 78

81 BNP Paribas L1 Multi-Asset Income Expressed in EUR MARRIOTT INTL 3.125% 16-15/06/2026 USD MCDONALDS CORP 1.000% 16-15/11/2023 EUR MEDIACOM BROADBAND 6.375% /04/2023 USD MEDTRONIC INC 4.500% 12-15/03/2042 USD MERITOR INC 6.750% 13-15/06/2021 USD MERRILL LYNCH 6.110% /01/2037 USD MET LIFE GLOB 1.250% 14-17/09/2021 EUR MGM RESORTS 6.625% 12-15/12/2021 USD MGM RESORTS 7.750% 12-15/03/2022 USD MGP ESCROW LLC/I 5.625% /05/2024 USD MICRON TECH 5.500% 14-01/02/2025 USD MICRON TECH 7.500% 16-15/09/2023 USD MIDAMERICAN ENER HOLDING % 06-01/04/2036 USD MORGAN STANLEY 1.000% /12/2022 EUR MORGAN STANLEY 1.375% /10/2026 EUR MORGAN STANLEY 2.375% /03/2021 EUR MORGAN STANLEY 3.700% 14-23/10/2024 USD MORGAN STANLEY 4.350% /09/2026 USD MORGAN STANLEY 5.000% /11/2025 USD MORGAN STANLEY 7.300% /05/2019 USD MPT OP PTNR/FINL 5.250% /08/2026 USD MSBAM 2015-C20 AS 3.605% /02/2048 USD MURPHY OIL CORP 4.700% /12/2022 USD MURPHY OIL CORP 6.875% /08/2024 USD MYLAN NV 1.250% 16-23/11/2020 EUR NABORS INDS INC 4.625% /09/2021 USD NABORS INDS INC 5.000% /09/2020 USD NBTY INC 7.625% 16-15/05/2021 USD NCR CORP 5.875% 14-15/12/2021 USD NCR CORP 6.375% 14-15/12/2023 USD NEPTUNE FINCO % /01/2023 USD NEPTUNE FINCO % /10/2025 USD NETFLIX INC 5.375% 13-01/02/2021 USD NETFLIX INC 5.875% 15-15/02/2025 USD NEWELL RUBBERMAID 3.150% 16-01/04/2021 USD NEWELL RUBBERMAID 5.500% 16-01/04/2046 USD NEWFIELD EXPLOR 5.625% /07/2024 USD NEXSTAR BROADCASTING 6.125% /02/2022 USD NEXSTAR ESCROW 5.625% /08/2024 USD NIELSEN FINANCE 5.000% /04/2022 USD NORDSTROM INC 5.000% 14-15/01/2044 USD NORTHROP GRUMMAN 3.500% 10-15/03/2021 USD NOVELIS CORP 5.875% 16-30/09/2026 USD NOVELIS CORP 6.250% 16-15/08/2024 USD NRG ENERGY INC 6.250% /07/2022 USD NRG ENERGY INC 6.625% /03/2023 USD NRG ENERGY INC 7.250% /05/2026 USD NRG ENERGY INC 7.625% /01/2018 USD OASIS PETROLEUM 6.500% /11/2021 USD OCCIDENTAL PETE 3.400% 16-15/04/2026 USD OMEGA HEALTHCARE 4.375% /08/2023 USD OMEGA HEALTHCARE 4.950% 14-01/04/2024 USD ONEOK INC 4.250% 12-01/02/2022 USD ORACLE CORP 4.300% 14-08/07/2034 USD ORACLE CORP 5.375% 11-15/07/2040 USD OUTFRONT MEDIA C 5.250% 15-15/02/2022 USD OUTFRONT MEDIA C 5.625% /02/2024 USD OUTFRONT MEDIA C 5.875% /03/2025 USD PACKAGING CORP 3.650% /09/2024 USD PENN NATL GAMING 5.875% /11/2021 USD PHILIP MORRIS INTERNATIONAL 1.875% 14-03/03/2021 EUR POST HOLDINGS IN 5.000% /08/2026 USD PRIME SEC/FIN 9.250% 16-15/05/2023 USD PRINCIPAL FINANCIAL 3.100% /11/2026 USD PROG ENER CAR 4.100% 12-15/05/2042 USD PROLOGIS LP 1.375% 14-07/10/2020 EUR PROLOGIS LP 3.750% 15-01/11/2025 USD RANGE RESOURCES 5.875% /07/2022 USD REGAL ENTERTAINMENT 5.750% /03/2022 USD REGIONS BK ALAB 7.500% 08-15/05/2018 USD REGIONS FINL 3.200% 16-08/02/2021 USD REPUBLIC SVCS 2.900% 16-01/07/2026 USD REYNOLDS GROUP 5.750% /10/2020 USD ROPER TECHNOLOGIES 3.800% /12/2026 USD ROWAN COS INC 7.375% 16-15/06/2025 USD RR DONNELLEY 6.000% 14-01/04/2024 USD SABINE PASS LIQU 5.750% /05/2024 USD SABINE PASS LIQU 6.250% /03/2022 USD SANMINA CORP 4.375% 14-01/06/2019 USD SBA COMMUNICATIONS 4.875% /07/2022 USD SCHLUMBERGER HLD 3.000% /12/2020 USD SCIENTIFIC GAMES % 15-01/12/2022 USD SCIENTIFIC GAMES 7.000% /01/2022 USD SEALED AIR CORP 4.500% /09/2023 EUR SERVICE CORP 4.500% 12-15/11/2020 USD SERVICE CORP 5.375% 14-15/05/2024 USD SINCLAIR TELE 5.625% 14-01/08/2024 USD SIRIUS XM RADIO 5.375% /07/2026 USD SIRIUS XM RADIO 6.000% /07/2024 USD SM ENERGY CO 5.625% 15-01/06/2025 USD SM ENERGY CO 6.750% 16-15/09/2026 USD SOLERA LLC / FIN % /03/2024 USD SOUTHERN POWER 4.150% /12/2025 USD SOUTHERN POWER 5.150% 11-15/09/2041 USD SOUTHERN STAR 5.125% /07/2022 USD SOUTHWESTERN ENERGY 4.050% /01/2020 USD SPEEDWAY MOTORSP 5.125% /02/2023 USD Page 79

82 BNP Paribas L1 Multi-Asset Income Expressed in EUR SPRINT CAP CORP 6.875% /11/2028 USD SPRINT CAP CORP 8.750% /03/2032 USD SPRINT CORP 7.250% 14-15/09/2021 USD SPRINT CORP 7.875% 14-15/09/2023 USD SPRINT NEXTEL % /11/2021 USD SPRINT NEXTEL 9.000% 11-15/11/2018 USD STEEL DYNAMICS 5.125% /10/2021 USD STEEL DYNAMICS 5.250% /04/2023 USD SUMMIT MID HLD / 5.500% /08/2022 USD SUNOCO LOGISTICS 3.900% /07/2026 USD SUNOCO LP/FIN 6.250% 16-15/04/2021 USD SUNTRUST BANKS 2.900% /03/2021 USD TARGA RES PRTNRS 5.125% /02/2025 USD TARGA RES PRTNRS 6.375% /08/2022 USD TARGA RES PRTNRS 6.750% /03/2024 USD TAYLOR MORRISON 5.250% /04/2021 USD TENET HEALTHCARE 6.000% /10/2020 USD TES LOG LP/CORP 5.875% /10/2020 USD TES LOG LP/CORP 6.125% /10/2021 USD TESORO CORP 5.125% 16-15/12/2026 USD THERMO FISHER 0.750% 16-12/09/2024 EUR TIME INC 5.750% 14-15/04/2022 USD TIME WARNER CABLE 5.000% /02/2020 USD TIME WARNER INC 3.800% 16-15/02/2027 USD T-MOBILE USA INC 6.000% /04/2024 USD T-MOBILE USA INC 6.375% /03/2025 USD T-MOBILE USA INC 6.500% /01/2024 USD T-MOBILE USA INC 6.625% /04/2023 USD TOLL BR FIN CORP 4.875% 15-15/11/2025 USD TREEHOUSE FOODS 4.875% /03/2022 USD UNDER ARMOUR INC 3.250% 16-15/06/2026 USD UNION PACIFIC CORP 4.050% /11/2045 USD UNITED RENTAL NA 4.625% /07/2023 USD UNITED RENTAL NA 5.500% /07/2025 USD UNIVISION COMM 5.125% /02/2025 USD UNIVISION COMM 6.750% /09/2022 USD US CONCRETE 6.375% 16-01/06/2024 USD US TREASURY N/B 0.750% /04/2018 USD US TREASURY N/B 1.125% /06/2018 USD US TREASURY N/B 1.375% /05/2021 USD US TREASURY N/B 1.625% /07/2020 USD US TREASURY N/B 3.000% /05/2045 USD US TREASURY N/B 3.375% /05/2044 USD US TSY INFL IX N/B 1.000% /02/2046 USD VALEANT PHARMA 5.625% /12/2021 USD VALERO ENERGY 3.400% 16-15/09/2026 USD VALERO ENERGY PA 4.375% /12/2026 USD VENTAS REALTY LP 4.750% 11-01/06/2021 USD VERIZON COMMUNICATIONS INC % 16-02/06/2022 EUR VERIZON COMMUNICATIONS INC % 11-01/04/2021 USD VERIZON COMMUNICATIONS INC % 15-21/08/2046 USD VERIZON COMMUNICATIONS INC % 13-15/09/2023 USD WALT DISNEY CO 2.300% /02/2021 USD WALT DISNEY CO 4.125% /06/2044 USD WASTE MANAGEMENT 3.500% 14-15/05/2024 USD WELLS FARGO & CO 1.500% /09/2022 EUR WELLS FARGO & CO 2.500% 16-04/03/2021 USD WELLS FARGO & CO 4.400% 16-14/06/2046 USD WELLTOWER 4.000% 15-01/06/2025 USD WEST CORP 5.375% 14-15/07/2022 USD WESTERN DIGITAL % /04/2024 USD WESTLAKE CHEMICAL 3.600% /08/2026 USD WEYERHAEUSER CO 4.625% /09/2023 USD WFCM 2015-SG1 AS 4.047% /12/2047 USD WHIRLPOOL CORP 4.000% 14-01/03/2024 USD WHIRLPOOL CORP 4.500% 16-01/06/2046 USD WHITING PETROLEUM 5.750% /03/2021 USD WILLIAMS COS INC 4.550% /06/2024 USD WILLIAMS COS INC 5.750% /06/2044 USD WINDSTREAM CORP 7.750% /10/2021 USD WPX ENERGY INC 6.000% /01/2022 USD WYNN LAS VEGAS 5.500% /03/2025 USD XPO LOGISTICS 6.500% 15-15/06/2022 USD XYLEM INC 3.250% 16-01/11/2026 USD ZF NA CAPITAL 2.750% 15-27/04/2023 EUR France AIR LIQUIDE FIN 0.375% 16-18/04/2022 EUR APRR 1.250% 16-06/01/2027 EUR AREVA SA 3.125% 14-20/03/2023 EUR AREVA SA 3.250% 13-04/09/2020 EUR AREVA SA 3.500% 10-22/03/2021 EUR AUTOROUTES DU SUD 1.000% 16-13/05/2026 EUR AUTOROUTES DU SUD 2.950% 14-17/01/2024 EUR AUTOROUTES DU SUD 4.125% /04/2020 EUR AUTOROUTES PARIS 1.125% 14-15/01/2021 EUR AUTOROUTES PARIS 1.500% 15-15/01/2024 EUR AUTOROUTES PARIS 4.875% 11-21/01/2019 EUR BANQUE FED CREDIT MUTUEL % 16-19/01/2026 EUR BANQUE FED CREDIT MUTUEL % 15-15/10/2020 USD BANQUE FED CREDIT MUTUEL 4.000% 10-22/10/2020 EUR BNP PARIBAS 0.750% 16-11/11/2022 EUR BNP PARIBAS 1.125% 16-15/01/2023 EUR BNP PARIBAS 2.250% 16-11/01/2027 EUR Page 80

83 BNP Paribas L1 Multi-Asset Income Expressed in EUR BOUYGUES 1.375% 16-07/06/2027 EUR BPCE 0.375% 16-05/10/2023 EUR BPCE 0.625% 16-20/04/2020 EUR BPCE 2.250% 15-27/01/2020 USD BPCE 2.875% 16-22/04/2026 EUR BPCE 4.625% 13-18/07/2023 EUR CAISSE CENT IMMO 0.250% /11/2018 EUR CAP GEMINI SA 0.500% 16-09/11/2021 EUR CAP GEMINI SA 1.750% 15-01/07/2020 EUR CARMILA 2.375% 15-18/09/2023 EUR CARREFOUR SA 1.750% 14-15/07/2022 EUR CARREFOUR SA 4.000% 10-09/04/2020 EUR CASINO GUICHARD 3.311% /01/2023 EUR CASINO GUICHARD 4.379% /02/2017 EUR CIE DE ST GOBAIN 0.000% /03/2020 EUR CNP ASSURANCES 1.875% 16-20/10/2022 EUR CREDIT AGRICOLE SA 2.625% /03/2027 EUR CROWN EUROPEAN 2.625% /09/2024 EUR CROWN EUROPEAN 3.375% /05/2025 EUR DANONE 0.424% 16-03/11/2022 EUR DEXIA CREDIT LOCAL 0.200% /07/2018 EUR DEXIA CREDIT LOCAL 0.200% /03/2021 EUR DEXIA CREDIT LOCAL 0.250% /03/2020 EUR DEXIA CREDIT LOCAL 0.750% /01/2023 EUR FONCIERE DES REGIONS 1.875% 16-20/05/2026 EUR FRANCE O.A.T % 14-25/05/2019 EUR FRANCE O.A.T % 14-25/11/2024 EUR FRANCE O.A.T % 12-25/10/2022 EUR FRANCE O.A.T % 14-25/05/2030 EUR FRANCE O.A.T % 12-25/04/2022 EUR FRANCE O.A.T % 11-25/10/2021 EUR FRANCE O.A.T % 13-25/05/2045 EUR FRANCE O.A.T % 10-25/04/2026 EUR FRANCE O.A.T % 05-25/04/2021 EUR FRANCE O.A.T % 06-25/10/2038 EUR FRANCE O.A.T % 07-25/10/2023 EUR FRANCE O.A.T.I/L 0.100% /03/2025 EUR GECINA 2.000% 15-17/06/2024 EUR GIE PSA TRESORER 6.000% /09/2033 EUR HOLDING DINFRA 2.250% /03/2025 EUR HOMEVI 6.875% 14-15/08/2021 EUR ICADE 1.125% 16-17/11/2025 EUR JCDECAUX SA 1.000% 16-01/06/2023 EUR KERING 0.875% 15-28/03/2022 EUR KERING 1.250% 16-10/05/2026 EUR KLEPIERRE 1.000% 15-17/04/2023 EUR KLEPIERRE 1.875% 16-19/02/2026 EUR MOBILUX FINANCE 5.500% /11/2024 EUR NEXANS SA 5.750% 07-02/05/2017 EUR NOVALIS SAS 3.000% 15-30/04/2022 EUR NUMERICABLE 5.375% 14-15/05/2022 EUR NUMERICABLE 5.625% 14-15/05/2024 EUR NUMERICABLE 6.000% 14-15/05/2022 USD NUMERICABLE 6.250% 14-15/05/2024 USD NUMERICABLE-SFR 7.375% /05/2026 USD ORANGE 0.875% 16-03/02/2027 EUR ORANGE 1.000% 16-12/05/2025 EUR ORANGE 8.000% 02-20/12/2017 GBP PAPREC HOLDING 7.375% /04/2023 EUR PERNOD RICARD SA 1.500% /05/2026 EUR PERNOD RICARD SA 3.250% 16-08/06/2026 USD RCI BANQUE 0.500% 16-15/09/2023 EUR RCI BANQUE 0.625% 15-04/03/2020 EUR RCI BANQUE 1.125% 14-30/09/2019 EUR SAN 0.950% 16-19/10/2028 EUR SANEF 1.875% 15-16/03/2026 EUR SANOFI 0.000% 16-13/09/2022 EUR SANOFI 0.625% 16-05/04/2024 EUR SCHNEIDER ELEC 0.250% /09/2024 EUR SNCF RESEAU 1.000% 16-09/11/2031 EUR SOCIETE FONCIERE 2.250% 15-16/11/2022 EUR SOCIETE GENERALE 0.750% 16-19/02/2021 EUR SOCIETE GENERALE 0.750% /05/2023 EUR SOCIETE GENERALE 1.000% 16-01/04/2022 EUR SPCM SA 2.875% 15-15/06/2023 EUR ST GOBAIN 3.625% 12-28/03/2022 EUR SUEZ 1.750% 15-10/09/2025 EUR TDF INFRASTRUCTU 2.500% 16-07/04/2026 EUR TEREOS FIN GROUP 4.250% /03/2020 EUR THALES SA 0.750% 16-07/06/2023 EUR THOM EUROPE 7.375% 14-15/07/2019 EUR TOTAL CAPITAL 0.250% 16-12/07/2023 EUR UNIBAIL-RODAMCO 1.125% 16-28/04/2027 EUR VEOLIA ENVIRONNEMENT 0.314% 16-04/10/2023 EUR WENDEL SA 1.000% 16-20/04/2023 EUR WFS GLOBAL HOLDINGS 9.500% /07/2022 EUR Luxembourg ACTAVIS FUNDING 3.800% 15-15/03/2025 USD ACTAVIS FUNDING 4.550% /03/2035 USD ACTAVIS FUNDING 4.750% 15-15/03/2045 USD ALTICE 6.250% 15-15/02/2025 EUR ALTICE 7.250% 14-15/05/2022 EUR ALTICE 7.625% 15-15/02/2025 USD ALTICE 7.750% 14-15/05/2022 USD ALTICE FINANCING 5.250% /02/2023 EUR ALTICE FINANCING 6.500% /01/2022 EUR ALTICE FINANCING 6.625% /02/2023 USD ALTICE FINANCING 7.500% /05/2026 USD ALTICE FINCO SA 8.125% /01/2024 USD ALTICE FINCO SA 9.000% /06/2023 EUR ARCELORMITTAL 3.125% /01/2022 EUR ARCELORMITTAL 5.875% /11/2017 EUR ARCELORMITTAL 6.750% /02/2022 USD ARCELORMITTAL 7.750% /10/2039 USD Page 81

84 BNP Paribas L1 Multi-Asset Income Expressed in EUR ARD FINANCE SA 6.625% /09/2023 EUR CNH IND FIN 6.250% 11-09/03/2018 EUR CONTOURGLOB PWR 5.125% /06/2021 EUR DEA FINANCE SA 7.500% /10/2022 EUR FIAT FIN & TRADE 7.000% /03/2017 EUR FIAT FIN & TRADE 7.375% /07/2018 EUR HEIDELBERGCEMENT 8.000% /01/2017 EUR HEIDELCEMENT FIN 9.500% /12/2018 EUR HOLCIM FINANCE L 1.375% /05/2023 EUR INEOS GROUP HOLD 5.375% /08/2024 EUR INEOS GROUP HOLD 5.875% /02/2019 USD LECTA SA 6.500% 16-01/08/2023 EUR MALLINCKRODT FIN 5.750% /08/2022 USD MATTERHORN TELE 3.875% /05/2022 EUR MATTERHORN TELE 4.875% /05/2023 EUR MILLICOM INTL 6.625% 13-15/10/2021 USD MONITCHEM HOLD % /06/2022 EUR MONITCHEM HOLD % 14-15/06/2021 EUR OLIVETTI FINANCE 7.750% /01/2033 EUR PETROBRAS INTL 5.875% /03/2022 EUR PETROBRAS INTL 6.250% /12/2026 GBP PROLOGIS INTL II 1.876% /04/2025 EUR PROLOGIS INTL II 2.750% /10/2018 EUR TELENET FINANCE VI 4.875% /07/2027 EUR TR OP / TR FIN 6.375% 15-01/05/2022 EUR WIND ACQUISITION 4.000% /07/2020 EUR WIND ACQUISITION 7.000% /04/2021 EUR WIND ACQUISITION 7.375% /04/2021 USD ZINC CAPITAL 8.875% 11-15/05/2018 EUR Italy AEROPORTI ROMA 3.250% 13-20/02/2021 EUR ASSICURAZIONI GENERALI 5.125% 09-16/09/2024 EUR ENI SPA 0.750% 16-17/05/2022 EUR ENI SPA 4.000% 10-29/06/2020 EUR INTESA SANPAOLO 1.125% /01/2020 EUR INTESA SANPAOLO 3.875% /01/2019 USD INTESA SANPAOLO 4.375% 12-15/10/2019 EUR ITALY BTPS 0.250% 15-15/05/2018 EUR ITALY BTPS 1.050% 14-01/12/2019 EUR ITALY BTPS 1.450% 15-15/09/2022 EUR ITALY BTPS 1.500% 15-01/06/2025 EUR ITALY BTPS 1.650% 15-01/03/2032 EUR ITALY BTPS 2.700% 16-01/03/2047 EUR ITALY BTPS 3.500% 13-01/06/2018 EUR ITALY BTPS 3.750% 13-01/05/2021 EUR ITALY BTPS 4.500% 10-01/03/2026 EUR ITALY BTPS 4.750% 08-01/08/2023 EUR ITALY BTPS 5.000% 03-01/08/2034 EUR ITALY BTPS 5.000% 09-01/09/2040 EUR ITALY BTPS 5.500% 12-01/09/2022 EUR ITALY BTPS I/L 1.650% 14-23/04/2020 EUR ITALY BTPS I/L 2.100% 10-15/09/2021 EUR ITALY BTPS I/L 2.350% 08-15/09/2019 EUR SNAM SPA 0.000% 16-25/10/2020 EUR SNAM SPA 0.875% 16-25/10/2026 EUR TELECOM ITALIA 3.250% 15-16/01/2023 EUR TELECOM ITALIA 4.500% /09/2017 EUR TELECOM ITALIA 5.303% /05/2024 USD TELECOM ITALIA 6.125% /12/2018 EUR TELECOM ITALIA 6.375% /06/2019 GBP TELECOM ITALIA 7.375% /12/2017 GBP TERNA SPA 0.875% 15-02/02/2022 EUR TERNA SPA 1.000% 16-11/10/2028 EUR UNICREDIT SPA 2.000% 16-04/03/2023 EUR UNICREDIT SPA 3.250% 14-14/01/2021 EUR United Kingdom ABBEY NATIONAL TREASURY % 13-16/07/2020 EUR ANGLO AMERICAN 1.750% /11/2017 EUR ANGLO AMERICAN 3.250% /04/2023 EUR ANGLO AMERICAN 3.625% /05/2020 USD ANGLO AMERICAN 4.875% /05/2025 USD ANGLO AMERICAN 6.875% /05/2018 GBP ANGLO AMERICAN 9.375% /04/2019 USD ARQIVA BROAD FIN 9.500% /03/2020 GBP AVIS BUDGET FINA 4.125% /11/2024 EUR AVIS BUDGET FINA 6.000% /03/2021 EUR AVIVA PLC 0.625% 16-27/10/2023 EUR BAKKAVOR FIN % /02/2018 GBP BARCLAYS BANK PLC 1.875% /12/2023 EUR BARCLAYS BANK PLC 1.875% /03/2021 EUR BARCLAYS BANK PLC 6.000% /01/2021 EUR BAT INTL FINANCE 0.875% /10/2023 EUR BAT INTL FINANCE 1.000% /05/2022 EUR BP CAPITAL PLC 0.830% 16-19/09/2024 EUR BP CAPITAL PLC 1.109% 15-16/02/2023 EUR BP CAPITAL PLC 1.373% 16-03/03/2022 EUR BRITISH SKY BROADCASTING % 14-15/09/2021 EUR BRITISH TEL PLC 0.625% 16-10/03/2021 EUR CO-OP WHOLESALE 7.500% /07/2026 GBP CREDIT AGRICOLE 1.250% 16-14/04/2026 EUR CREDIT AGRICOLE 1.875% 16-20/12/2026 EUR CREDIT SUISSE LD 0.375% /04/2019 EUR CREDIT SUISSE LD 1.375% /01/2022 EUR DELPHI AUTOMTVE 1.600% /09/2028 EUR DS SMITH PLC 2.250% 15-16/09/2022 EUR EASYJET PLC 1.125% 16-18/10/2023 EUR ENSCO PLC 5.200% 15-15/03/2025 USD ENSCO PLC 5.750% 14-01/10/2044 USD Page 82

85 BNP Paribas L1 Multi-Asset Income Expressed in EUR EPHIOS HOLDCO II 8.250% /07/2023 EUR FCE BANK PLC 1.528% 15-09/11/2020 EUR FCE BANK PLC 1.615% 16-11/05/2023 EUR FCE BANK PLC 1.875% 14-18/04/2019 EUR FIAT CHRYSLER AU 4.500% /04/2020 USD HEATHROW FUNDING 1.875% 14-23/05/2022 EUR HSBC BANK PLC 4.000% 10-15/01/2021 EUR HSBC HOLDINGS PLC 1.500% /03/2022 EUR HSBC HOLDINGS PLC 2.650% /01/2022 USD HSBC HOLDINGS PLC 6.500% /09/2037 USD IHS MARKIT LTD 5.000% 16-01/11/2022 USD INEOS FINANCE PL 4.000% /05/2023 EUR INTL GAME TECH 6.250% /02/2022 USD INVESCO FIN PLC 3.750% 15-15/01/2026 USD IRON MOUNTAIN EU 6.125% /09/2022 GBP ITV PLC 2.000% 16-01/12/2023 EUR LADBROKES GROUP 7.625% /03/2017 GBP LLOYDS BANK PLC 0.625% 15-20/04/2020 EUR LLOYDS TSB BANK 6.500% /03/2020 EUR LYNX I CORP 6.000% 13-15/04/2021 GBP NATIONAL GRID 0.625% 16-22/09/2024 EUR NATIONWIDE BLDG 0.500% /10/2019 EUR NATIONWIDE BLDG 6.750% /07/2020 EUR SANTANDER UK GRP 2.875% 15-16/10/2020 USD SENSATA TECH UK 6.250% 15-15/02/2026 USD SMITHS GROUP PLC 1.250% 15-28/04/2023 EUR STRETFORD 6.250% 14-15/07/2021 GBP TESCO CORP TREAS 1.375% /07/2019 EUR TESCO CORP TREAS 2.500% /07/2024 EUR TESCO PLC 5.000% 06-24/03/2023 GBP TESCO PLC 5.500% 02-13/01/2033 GBP TESCO PLC 5.500% 02-13/12/2019 GBP TESCO PLC 6.000% 99-14/12/2029 GBP UNILEVER NV 0.500% 16-29/04/2024 EUR VIRGIN MEDIA FIN 4.500% /01/2025 EUR VIRGIN MEDIA FIN 6.250% /03/2029 GBP VIRGIN MEDIA SEC 4.875% /01/2027 GBP VIRGIN MEDIA SEC 5.500% /01/2025 USD VIRIDIAN GROUP 7.500% /03/2020 EUR VODAFONE GROUP 1.250% 16-25/08/2021 EUR The Netherlands ABN AMRO BANK NV 0.625% /05/2022 EUR ABN AMRO BANK NV 2.125% 13-26/11/2020 EUR ABN AMRO BANK NV 2.250% /09/2017 GBP ABN AMRO BANK NV 6.375% /04/2021 EUR ADECCO INT FIN 1.000% 16-02/12/2024 EUR ADRIA BIDCO BV 7.875% /11/2020 EUR AKZO NOBEL NV 1.125% 16-08/04/2026 EUR ALLIANZ FINANCE 0.000% 16-21/04/2020 EUR ASML HOLDING NV 0.625% /07/2022 EUR ASML HOLDING NV 1.625% /05/2027 EUR AXALTA COATING 3.750% /01/2025 EUR BASF FIN EUROPNV 0.000% /11/2020 EUR BMW FINANCE NV 1.000% 16-15/02/2022 EUR BMW FINANCE NV 2.000% /09/2020 EUR CABLE & WIRELESS INT 8.625% /03/2019 GBP CABLE COMM SYST 5.000% /10/2023 EUR DEUTSCHE ANN FIN 3.125% 13-25/07/2019 EUR DEUTSCHE TEL FIN 0.250% 16-19/04/2021 EUR DEUTSCHE TEL FIN 0.625% /04/2023 EUR EDP FINANCE BV 1.125% /02/2024 EUR EDP FINANCE BV 2.375% /03/2023 EUR EDP FINANCE BV 4.875% 13-14/09/2020 EUR ENEL FINANCE INTL NV 4.875% /04/2023 EUR FRESENIUS FIN 2.375% 14-01/02/2019 EUR FRESENIUS FIN 2.875% 13-15/07/2020 EUR GAS NAT FENOSA F 1.250% 16-19/04/2026 EUR GAS NAT FENOSA F 3.875% 13-11/04/2022 EUR GEN MOTORS FIN 1.168% 16-18/05/2020 EUR HEINEKEN NV 1.000% 16-04/05/2026 EUR HEINEKEN NV 1.250% 15-10/09/2021 EUR IBERDROLA INTL 1.125% 16-21/04/2026 EUR IBERDROLA INTL 3.500% 13-01/02/2021 EUR ING BANK NV 0.750% 16-22/02/2021 EUR KONINKLIJKE KPN 0.625% 16-09/04/2025 EUR LGE HOLDCO VI 7.125% 14-15/05/2024 EUR MONDELEZ INTERNATIONAL INC % 16-28/10/2021 USD NEDER FINANCIER 0.125% /11/2020 EUR NETHERLANDS GOVERNMENT % 14-15/01/2020 EUR NETHERLANDS GOVERNMENT % 14-15/07/2024 EUR NETHERLANDS GOVERNMENT % 12-15/01/2033 EUR NETHERLANDS GOVERNMENT % 14-15/01/2047 EUR NETHERLANDS GOVERNMENT % 11-15/07/2021 EUR NETHERLANDS GOVERNMENT % 98-15/01/2028 EUR NN GROUP NV 1.000% 15-18/03/2022 EUR NXP BV/NXP FUNDI 3.875% /09/2022 USD NXP BV/NXP FUNDI 4.125% 16-01/06/2021 USD OI EUROPEAN GRP 3.125% /11/2024 EUR PETROBRAS 4.750% 14-14/01/2025 EUR PETROBRAS INTL 3.250% /04/2019 EUR PETROBRAS INTL 4.250% 12-02/10/2023 EUR RABOBANK 3.750% 10-09/11/2020 EUR RABOBANK 4.000% 12-11/01/2022 EUR RED ELE FIN BV 3.875% 13-25/01/2022 EUR REDEXIS GAS FIN 2.750% /04/2021 EUR Page 83

86 BNP Paribas L1 Multi-Asset Income Expressed in EUR REN FINANCE BV 1.750% /06/2023 EUR REN FINANCE BV 4.750% 13-16/10/2020 EUR REPSOL INTL FIN 4.875% 12-19/02/2019 EUR SCHAEFFLER VERWA 3.750% /09/2026 EUR SENSATA TECH BV 4.875% /10/2023 USD SHELL INTL FIN 0.750% 16-12/05/2024 EUR SHELL INTL FIN 1.250% 15-15/03/2022 EUR SHELL INTL FIN 4.125% 15-11/05/2035 USD TEVA PHARMACEUT 2.800% /07/2023 USD UPC HOLDING BV 6.375% /09/2022 EUR VIMPELCOM HLDGS 7.504% /03/2022 USD VONOVIA BV 1.250% 16-06/12/2024 EUR VONOVIA BV 1.625% 15-15/12/2020 EUR WOLTERS KLUWER 2.875% /03/2023 EUR ZIGGO SECURED FI 4.250% /01/2027 EUR Germany BASF SE 1.375% 14-15/12/2017 GBP BERTELSMANN SE 1.125% 16-27/04/2026 EUR BUNDESREPUBLIK DEUTSCHLAND % 16-15/08/2026 EUR BUNDESREPUBLIK DEUTSCHLAND % 16-15/02/2026 EUR BUNDESREPUBLIK DEUTSCHLAND 2.500% 14-15/08/2046 EUR BUNDESREPUBLIK DEUTSCHLAND % 10-04/07/2020 EUR BUNDESREPUBLIK DEUTSCHLAND % 03-04/07/2034 EUR BUNDESREPUBLIK DEUTSCHLAND % 08-04/07/2040 EUR BUNDESREPUBLIK DEUTSCHLAND % 00-04/01/2031 EUR BUNDESREPUBLIK DEUTSCHLAND % 94-04/01/2024 EUR BUNDESREPUBLIK DEUTSCHLAND % 97-04/07/2027 EUR COMMERZBANK AG 0.500% /09/2023 EUR COVESTRO AG 1.000% 16-07/10/2021 EUR DAIMLER AG 0.250% 16-11/05/2020 EUR DAIMLER AG 0.875% 16-12/01/2021 EUR DAIMLER AG 1.400% 16-12/01/2024 EUR EUROGRID GMBH 1.625% 15-03/11/2023 EUR FMC FINANCE VIII 6.500% /09/2018 EUR KFW 0.000% 16-15/09/2023 EUR KFW 0.875% 14-18/03/2019 EUR KNORR BREMSE AG 0.500% /12/2021 EUR LANXESS 0.250% 16-07/10/2021 EUR METRO AG 1.375% 14-28/10/2021 EUR METRO AG 1.500% 15-19/03/2025 EUR NORDRHEIN-WEST 1.000% /10/2046 EUR NORDRHEIN-WEST 2.375% /05/2033 EUR RAPID HOLDING 6.625% 15-15/11/2020 EUR RENTENBANK 0.250% 15-24/11/2022 EUR TALANX AG 3.125% 13-13/02/2023 EUR THYSSENKRUPP 4.375% 12-28/02/2017 EUR UNITYMEDIA 3.500% 15-15/01/2027 EUR UNITYMEDIA 4.000% 14-15/01/2025 EUR UNITYMEDIA 4.625% 15-15/02/2026 EUR UNITYMEDIA 5.125% 13-21/01/2023 EUR UNITYMEDIA 5.750% 12-15/01/2023 EUR UNITYMEDIA KABEL 3.750% /01/2027 EUR WEPA HYGIENEPROD 3.750% /05/2024 EUR Spain ABERTIS 1.375% 16-20/05/2026 EUR AMADEUS CAP MKT 0.125% 16-06/10/2020 EUR BBVA SENIOR FIN 2.375% 14-22/01/2019 EUR CELLNEX TELECOM 2.375% /01/2024 EUR ENAGAS FIN SA 1.375% 16-05/05/2028 EUR FADE 0.850% 15-17/09/2019 EUR FERROVIAL EMISIO 0.375% 16-14/09/2022 EUR GAS NATURAL CAP 6.375% /07/2019 EUR IBERDROLA FIN SA 1.000% 16-07/03/2024 EUR MAPFRE 1.625% 16-19/05/2026 EUR MERLIN PROPERTIES 1.875% /11/2026 EUR RED ELECTRICA FI 1.000% 16-21/04/2026 EUR SANTANDER CONS FIN 1.100% 15-29/07/2018 EUR SANTANDER INTL 1.375% 16-03/03/2021 EUR SANTANDER ISSUAN 3.250% 16-04/04/2026 EUR SPAIN I/L BOND 0.550% 14-30/11/2019 EUR SPANISH GOVT 0.250% 15-30/04/2018 EUR SPANISH GOVT 1.950% 15-30/07/2030 EUR SPANISH GOVT 1.950% 16-30/04/2026 EUR SPANISH GOVT 2.150% 15-31/10/2025 EUR SPANISH GOVT 2.750% 14-31/10/2024 EUR SPANISH GOVT 4.000% 10-30/04/2020 EUR SPANISH GOVT 4.200% 05-31/01/2037 EUR SPANISH GOVT 4.400% 13-31/10/2023 EUR SPANISH GOVT 4.600% 09-30/07/2019 EUR SPANISH GOVT 4.850% 10-31/10/2020 EUR SPANISH GOVT 5.150% 13-31/10/2028 EUR SPANISH GOVT 5.150% 13-31/10/2044 EUR SPANISH GOVT 5.500% 11-30/04/2021 EUR SPANISH GOVT 5.900% 11-30/07/2026 EUR TELEFONICA EMIS 0.318% 16-17/10/2020 EUR TELEFONICA EMIS 0.750% /04/2022 EUR TELEFONICA EMIS 4.710% 12-20/01/2020 EUR Canada BC ULC / 6.000% 14-01/04/2022 USD BOMBARDIER INC 6.000% /10/2022 USD BOMBARDIER INC 7.500% /03/2025 USD BOMBARDIER INC 7.750% /03/2020 USD BOMBARDIER INC 8.750% /12/2021 USD BROOKFIELD FIN 4.250% 16-02/06/2026 USD CASCADES INC 5.500% 14-15/07/2022 USD CENOVUS ENERGY 5.700% /10/2019 USD CENOVUS ENERGY 6.750% /11/2039 USD ENBRIDGE INC 4.250% 16-01/12/2026 USD FIRST QUANTUM 6.750% /02/2020 USD FORTIS INC 3.055% 16-04/10/2026 USD LUNDIN MINING CORP 7.500% /11/2020 USD Page 84

87 BNP Paribas L1 Multi-Asset Income Expressed in EUR MEG ENERGY CORP 6.500% /03/2021 USD ROGERS COMMUNICATIONS INC % 15-15/12/2025 USD ROGERS COMMUNICATIONS INC 5.450% 13-01/10/2043 USD TECK RESOURCES 4.500% /01/2021 USD TECK RESOURCES 6.000% /08/2040 USD TECK RESOURCES 6.250% /07/2041 USD TECK RESOURCES 8.000% /06/2021 USD Ireland AERCAP IRELAND C 3.950% /02/2022 USD ARDAGH PKG FIN 4.125% /05/2023 EUR ARDAGH PKG FIN 6.750% /05/2024 EUR CRH FINANCE 1.375% 16-18/10/2028 EUR EIRCOM FINANCE 4.500% /05/2022 EUR FGA CAPITAL IRE 2.000% 14-23/10/2019 EUR IRISH GOVT 2.400% 14-15/05/2030 EUR IRISH GOVT 4.500% 07-18/10/2018 EUR IRISH GOVT 5.400% 09-13/03/2025 EUR PARTNERRE IRELAND 1.250% /09/2026 EUR RYANAIR 1.875% 14-17/06/2021 EUR Belgium ANHEUSER - BUSCH 0.625% 16-17/03/2020 EUR ANHEUSER - BUSCH 1.500% /03/2025 EUR ANHEUSER - BUSCH 2.000% /03/2028 EUR BARRY CALLE SVCS 5.625% 11-15/06/2021 EUR BARRY CALLE SVCS 6.000% /07/2017 EUR BELGIUM GOVERNMENT 0.200% /10/2023 EUR BELGIUM GOVERNMENT 0.800% /06/2025 EUR BELGIUM GOVERNMENT 1.000% /06/2031 EUR BELGIUM GOVERNMENT 1.000% /06/2026 EUR BELGIUM GOVERNMENT 2.150% /06/2066 EUR KBC GROUP NV 0.750% 16-18/10/2023 EUR SOLVAY SA 1.625% 15-02/12/2022 EUR SOLVAY SA 2.750% 15-02/12/2027 EUR Norway DNB BANK 4.250% 12-18/01/2022 EUR NORWEGIAN GOVT 1.750% /03/2025 NOK SANTANDER CONSUMER 1.000% 16-25/02/2019 EUR SPAREBANK 1 SR 0.375% /02/2022 EUR Cayman Islands NOBLE HLDG INTL 4.625% /03/2021 USD NOBLE HLDG INTL 6.050% /03/2041 USD NOBLE HLDG INTL 6.950% /04/2025 USD TRANSOCEAN INC 6.800% /03/2038 USD TRANSOCEAN INC 7.125% /12/2021 USD TRANSOCEAN INC 9.000% /07/2023 USD UPCB FINANCE IV 4.000% /01/2027 EUR Finland FINNISH GOVT 0.000% 16-15/09/2023 EUR FINNISH GOVT 0.500% 16-15/04/2026 EUR FINNISH GOVT 1.500% 13-15/04/2023 EUR SAMPO OYJ 1.000% 16-18/09/2023 EUR Austria REPUBLIC OF AUSTRIA 1.200% 15-20/10/2025 EUR REPUBLIC OF AUSTRIA 4.150% /03/2037 EUR TELEKOM FINANZ 1.500% 16-07/12/2026 EUR TELEKOM FINANZ 3.125% /12/2021 EUR Australia BHP BILLITON FIN 2.250% 12-25/09/2020 EUR FMG RES AUG % /04/2022 USD FMG RES AUG % /03/2022 USD Singapore SINGAPORE GOVT 1.250% /10/2021 SGD Sweden ATLAS COPCO 0.625% 16-30/08/2026 EUR HEMSO FASTIGHETS 1.000% 16-09/09/2026 EUR NORDEA BANK AB 1.000% 16-22/02/2023 EUR SKF AB 1.625% 15-02/12/2022 EUR SVENSKA HANDELSBANKEN 1.125% /12/2022 EUR Japan SOFTBANK GROUP CORP 4.750% 15-30/07/2025 EUR SOFTBANK GROUP CORP 5.250% /07/2027 EUR Denmark ISS GLOBAL A/S 1.125% 14-09/01/2020 EUR ISS GLOBAL A/S 2.125% 14-02/12/2024 EUR JYSKE BANK A/S 0.625% 16-14/04/2021 EUR Portugal BRISA CONCESSAO 2.000% 16-22/03/2023 EUR PORTUGUESE OTS 5.650% /02/2024 EUR Jersey Island UBS GROUP FUNDING 1.500% /11/2024 EUR UBS GROUP FUNDING 1.750% 15-16/11/2022 EUR Supranational ESM 0.050% 15-17/12/2018 EUR Bermuda WEATHERFORD BERM 7.750% /06/2021 USD WEATHERFORD BERM 8.250% /06/2023 USD Mexico AMERICA MOVIL SA 1.500% /03/2024 EUR CEMEX SAB 4.375% 15-05/03/2023 EUR Slovakia SLOVAK REPUBLIC 1.500% 13-28/11/2018 EUR Latvia REP OF LATVIA 0.375% 16-07/10/2026 EUR Page 85

88 BNP Paribas L1 Multi-Asset Income Expressed in EUR Poland AUTOSTRADE PER L 1.750% /06/2026 EUR Convertible bonds United States of America ADVANCED MICRO 2.125% /09/2026 CV USD AKAMAI TECH 0.000% /02/2019 CV USD BROCADE COM SYS 1.375% /01/2020 CV USD CHESAPEAKE ENRGY 5.500% /09/2026 CV USD CITRIX SYSTEMS 0.500% /04/2019 CV USD CYPRESS SEMICON 4.500% /01/2022 CV USD DISH NETWORK 3.375% /08/2026 CV USD DYCOM INDS 0.750% 15-15/09/2021 CV USD EURONET WORLDWID 1.500% 14-01/10/2044 CV USD EXTRA SPACE STORAGE 3.125% /10/2035 CV USD HOLOGIC INC 2.000% 12-01/03/ CV SR USD ILLUMINA INC 0.000% /06/2019 CV USD INTEL CORP 3.250% 09-01/08/2039 CV USD LIBERTY INTERACT 1.750% /09/2046 CV USD MICRON TECH 3.000% /11/2043 CV USD NUANCE COMMUNIC 1.000% /12/2035 CV USD NUVASIVE INC 2.250% /03/2021 CV USD ON SEMICONDUCTOR 1.000% 15-01/12/2020 CV USD PRICELINE.COM 1.000% /03/2018 CV USD RED HAT INC 0.250% 14-01/10/2019 CV USD SALESFORCE.COM 0.250% /04/2018 CV USD SERVICENOW INC 0.000% /11/2018 CV USD STARWOOD PROP TR 4.550% /03/2018 CV USD SUNPOWER CORP 0.875% /06/2021 CV USD TESLA MOTORS INC 1.250% /03/2021 CV USD YAHOO INC 0.000% 13-01/12/2018 CV USD Japan ASICS CORP 0.000% 14-01/03/2019 CV JPY BANK OF IWATE 0.000% 13-25/07/2018 CV USD CHUGOKU ELEC PWR 0.000% /03/2020 CV JPY JAPAN AIRPORT 0.000% /03/2020 CV JPY KAWASAKI KISEN 0.000% /09/2018 CV JPY LIXIL GROUP CORP 0.000% /03/2022 CV JPY SHIONOGI & CO 0.000% /12/2019 CV JPY SONY CORP 0.000% 15-30/09/2022 CV JPY SUZUKI MOTOR CORP 0.000% /03/2021 CV JPY SUZUKI MOTOR CORP 0.000% /03/2023 CV JPY TAKASHIMAYA CO 0.000% /12/2020 CV JPY TERUMO CORP 0.000% /12/2021 CV JPY TOHOKU ELECTRIC POWER CO % 15-03/12/2020 CV JPY TORAY INDUSTRIES 0.000% /08/2019 CV JPY TORAY INDUSTRIES 0.000% /08/2021 CV JPY UNICHARM CORP 0.000% /09/2020 CV JPY YAMADA DENKI CO 0.000% /06/2019 CV JPY YAMAGUCHI FIN GP 0.000% /12/2018 CV USD France AIRBUS GROUP NV 0.000% /07/2022 CV EUR AIRBUS GROUP SE 0.000% /06/2021 CV EUR FONCIERE DES REGIONS 0.875% /04/2019 CV FLAT EUR LVMH MOET HENNES 0.000% /02/2021 CV FLAT USD SAFRAN SA 0.000% 16-31/12/ CV FLAT EUR SUEZ ENVIRONNEMENT 0.000% /02/2020 CV FLAT EUR TECHNIP 0.875% 16-25/01/2021 CV EUR TOTAL SA 0.500% 15-02/12/2022 CV USD UBISOFT ENTERTAINMENT 0.000% /09/2021 CV EUR VALEO SA 0.000% 16-16/06/2021 CV USD WENDEL SA 0.000% 16-31/07/2019 CV EUR The Netherlands BRENNTAG FINANCE 1.875% /12/2022 CV USD CEZ MH BV 0.000% 14-04/08/2017 CV EUR NXP SEMICONDUCTORS 1.000% /12/2019 CV USD SIEMENS FINAN 1.050% /08/2017 CV USD China CRRC CORP LTD 0.000% /02/2021 CV USD CTRIP.COM INT 1.250% /10/2018 CV USD KINGSOFT CORP LTD 1.250% /04/2019 CV HKD VIPSHOP HOLDING 1.500% /03/2019 CV USD Mexico AMERICA MOVIL SA 0.000% /05/2020 CV EUR CEMEX SAB 3.720% 15-15/03/2020 CV USD CEMEX SAB 3.750% 11-15/03/2018 CV USD Germany FRESENIUS SE 0.000% /09/2019 CV EUR HANIEL FINANCE 0.000% /05/2020 CV EUR MTU AERO ENGINES 0.125% /05/2023 CV EUR RAG STIFTUNG 0.000% /12/2018 CV EUR United Kingdom BP CAPITAL PLC 1.000% 16-28/04/2023 CV GBP INMARSAT 3.875% 16-09/09/2023 CV USD VODAFONE GROUP 0.000% /11/2020 CV GBP Austria STEINHOFF FINANC 1.250% /10/2023 CV EUR Switzerland STMICROELECTRONICS 0.000% /07/2019 CV USD SWISS LIFE HOLDING 0.000% /12/2020 CV CHF Page 86

89 BNP Paribas L1 Multi-Asset Income Expressed in EUR Norway MARINE HARVEST 0.125% 15-05/11/2020 CV EUR TELENOR EAST HOL 0.250% /09/2019 CV USD United Arab Emirates DP WORLD LTD 1.750% /06/2024 CV USD NATIONAL BANK OF ABU DHABI % 13-12/03/2018 CV USD Cyprus AROUNDTOWN PROPERTY 3.000% /05/2020 CV EUR Spain ACS ACTIVIDADES 1.625% /03/2019 CV EUR CO ECONOMICA 1.000% 16-01/12/2023 CV EUR Hungary HUNGARIAN STATE 3.375% /04/2019 CV EUR Portugal PARPUBLICA 5.250% 10-28/09/2017 CV EUR Cayman Islands CHINA OVERSEAS FIN 5.000% 16-05/01/2023 CV USD Hong Kong ASM PACIFIC TECHNOLOGY 2.000% /03/2019 CV HKD CNPC HONG KG LTD 1.625% /07/2019 CV CNY Malaysia INDAH CAPITAL 0.000% /10/2018 CV SGD Jersey Island BRITISH LAND CO 1.500% 12-10/09/2017 CV GBP ENSCO JERSEY 3.000% /01/2024 CV USD Israel TEVA PHARMACEUTICAL 7.000% /12/2018 CV FLAT USD Ireland JAZZ INVT I LTD 1.875% /08/2021 CV USD Taiwan ZHEN DING TECH 0.000% /06/2019 CV USD Belgium BEKAERT SA 0.000% 16-09/06/2021 CV EUR Bermuda WEATHERFORD BERM 5.875% 16-01/07/2021 CV USD India LARSEN & TOUBRO 0.675% 14-22/10/2019 CV USD Floating rate bonds United States of America CAS 2015-C04 2M /04/2028 FRN USD CAS 2016-C03 2M /10/2028 FRN USD FEDEX CORP 16-11/04/2019 FRN EUR FHR 4092 HS 12-15/08/2042 FRN USD FHR 4280 ES 13-15/12/2043 FRN USD FNR S 12-25/03/2042 FRN USD FNR HS 12-25/03/2042 FRN USD FNR SD 12-25/09/2042 FRN USD FNR SK 12-25/09/2042 FRN USD FNR SY 13-25/07/2043 FRN USD FREMF 2012-K23 C 12-25/10/2045 FRN USD FREMF 2013-K24 C 13-25/11/2045 FRN USD FREMF 2013-K29 C 13-25/05/2046 FRN USD FREMF 2014-K37 C 14-25/01/2047 FRN USD FREMF 2014-K41 B 14-25/11/2047 FRN USD FREMF 2015-K49 C 15-25/08/2025 FRN USD GAHR 2015-NRF CFX /12/2034 FRN USD GIBRALTAR INDSTR 13-01/02/2021 FRN USD GNR S 07-16/04/2037 FRN USD GNR SB 12-20/07/2042 FRN USD GNR SC 12-20/08/2042 FRN USD GNR PS 14-20/11/2044 FRN USD GNR SB 15-20/09/2045 FRN USD GNR IM 15-20/11/2045 FRN USD GNR SA 15-20/07/2045 FRN USD LENNAR CORP 13-15/11/2022 FRN USD METLIFE INC 06-15/12/2036 FRN USD SABINE PASS LIQU 14-01/02/2021 FRN USD STACR 2015-DNA2 M /12/2027 FRN USD The Netherlands ABN AMRO BANK NV 15-29/12/2049 FRN EUR ASR NEDERLAND NV /09/2045 FRN EUR GAS NAT FENOSA F /12/2049 FRN EUR ING BANK NV 14-25/02/2026 FRN EUR ING GROEP NV 16-29/12/2049 FRN USD KPN NV 13-29/03/2049 FRN EUR REPSOL INTL FIN 15-25/03/2075 FRN EUR SWISS LIFE 16-29/12/2049 FRN EUR TELEFONICA EUROP 13-29/09/2049 FRN EUR TELEFONICA EUROP /12/2049 FRN EUR TELEFONICA EUROP /03/2049 FRN EUR TELEFONICA EUROP /03/2049 FRN EUR TELEFONICA EUROP /12/2049 FRN EUR VONOVIA FINANCE 14-08/04/2074 FRN EUR Cayman Islands AMMC A BR 16-30/10/2023 FRN USD ANCHC A B 16-15/01/2029 FRN USD BABSN 2014-IIA A 14-17/10/2026 FRN USD BLUEM A BR 16-20/11/2028 FRN USD CGMS A A /10/2027 FRN USD DRSLF A BR 16-15/10/2028 FRN USD LCM 17A BR 16-15/10/2026 FRN USD MAGNE A BR 16-15/04/2026 FRN USD OZLMF A A1R /07/2027 FRN USD France AXA SA 10-16/04/2040 FRN EUR AXA SA 14-20/05/2049 FRN EUR AXA SA 16-06/07/2047 FRN EUR BNP PARIBAS 07-29/04/2049 FRN EUR BNP PARIBAS 15-29/12/2049 FRN EUR BNP PARIBAS 16-29/12/2049 FRN USD Page 87

90 BNP Paribas L1 Multi-Asset Income Expressed in EUR CNP ASSURANCES 10-14/09/2040 FRN EUR CNP ASSURANCES 15-10/06/2047 FRN EUR CREDIT AGRICOLE 09-29/10/2049 FRN EUR CREDIT AGRICOLE ASSR 15-29/01/2049 FRN EUR CREDIT AGRICOLE ASSR 16-27/09/2048 FRN EUR ENGIE OPEN 14-02/06/2049 FRN EUR HOMEVI 16-15/11/2021 FRN EUR ORANGE 14-28/02/2049 FRN EUR ORANGE 14-29/12/2049 FRN EUR PICARD GROUPE 13-01/08/2019 FRN EUR SCOR SE 16-27/05/2048 FRN EUR TOTAL SA 15-29/12/2049 FRN EUR TOTAL SA 15-29/12/2049 FRN EUR TOTAL SA 16-29/12/2049 FRN EUR VEOLIA ENVIRONNEMENT 13-29/01/2049 FRN EUR United Kingdom ARROW GLOBAL FIN /05/2023 FRN EUR CO-OP GRP HLD 11-08/07/2020 SR GBP NEW LOOK SECURED /07/2022 FRN EUR Luxembourg LECTA SA 16-01/08/2022 FRN EUR SES 16-29/12/2049 FRN EUR TALANX FINANZ 12-15/06/2042 FRN EUR WIND ACQUISITION /07/2020 FRN EUR WIND ACQUISITION /07/2020 FRN EUR Germany ALLIANZ SE 12-17/10/2042 FRN EUR ALLIANZ SE 13-29/10/2049 FRN EUR ALLIANZ SE 15-07/07/2045 FRN EUR ENERGIE BADEN-WU /04/2077 FRN EUR LANXESS 16-06/12/2076 FRN EUR MERCK 14-12/12/2074 FRN EUR Ireland BANK OF IRELAND 15-29/12/2049 FRN EUR DORPK A A 15-20/01/2027 FRN USD Sweden NORDEA BANK AB 16-07/09/2026 FRN EUR SKANDINAVISKA ENSKILDA BANK /10/2028 FRN EUR SWEDBANK AB 14-26/02/2024 FRN EUR Belgium KBC GROEP NV 14-25/11/2024 FRN EUR KBC GROEP NV 14-29/03/2049 FRN EUR Denmark DANSKE BANK A/S 14-31/10/2049 FRN EUR DANSKE BANK A/S 15-29/10/2049 FRN EUR Australia ORIGIN ENERGY FIN /09/2074 FRN EUR Italy ASSICURAZIONI GENERALI 12-12/12/2042 FRN EUR ENEL SPA 14-15/01/2075 FRN EUR Austria UNIQA INSURANCE 15-27/07/2046 FRN EUR Other transferable securities Convertible bonds Jersey Island WRIGHT MEDICAL 2.000% NOTES /02/2020 CV USD United States of America ISIS PHARMACEUTICALS 1.000% 14-15/11/2021 CV USD To be Announced ("TBA") Mortgage Backed Securities United States of America FGCI 2.5 1/ % 16-15/07/2030 USD FGLMC 3.5 1/ % 11-15/09/2040 USD FGLMC 4.5 1/ % 11-15/02/2040 USD FNCI 3 1/ % 15-25/06/2029 USD FNCI 3.5 1/ % 12-25/07/2026 USD FNCL 3 1/ % 13-25/10/2042 USD FNCL 3.5 1/ % 12-25/06/2041 USD FNCL 4.000% 10-25/09/2039 USD FNCL 4.5 1/ % 12-25/03/2040 USD FNCL 5 1/ % 11-25/08/2037 USD FNCL 5.5 1/ % 13-25/06/2038 USD G2SF 3 1/ % 13-20/05/2042 USD G2SF 3.5 1/ % 12-20/09/2041 USD G2SF 4 1/ % 11-20/09/2040 USD Shares/Units in investment funds Luxembourg ALPHA UCITS SICAV FAIR OAKS DNMC CRDT FD EUR INVESTEC EM MARKETS DEBT - IA EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD The Netherlands BNPF3 HIGH INCOME PROPERTY FUND XDI EUR Total securities portfolio Page 88

91 BNP Paribas L1 Patrimoine Expressed in EUR Shares/Units in investment funds France ARTY - I EUR BNP PARIBAS CASH INVEST CLASSIC EUR CARMIGNAC PATRIMOINE A EUR EUR EUROSE EUR Luxembourg BGF GLOBAL ALLOCATION HED.A2 EUR BNP PARIBAS INSTICASH EUR - I CAP EUR CAP GR EM TOTAL OPP - ZH EUR EUR DNCA INVEST - EVOLUTIF SCI EUR ETHNA - AKT E UNITS T CAP EUR NORDEA 1 SICAV - STAB RET BI EUR EUR United Kingdom M+G DYNAMIC ALLOCAT - CA EUR EUR M+G OPTIMAL INCOME - C - EURO A EUR Ireland BNY MELLON GLOBAL REAL RETURN E - W EUR Total securities portfolio Page 89

92 BNP Paribas L1 Safe Aggressive W1 Expressed in EUR Shares/Units in investment funds Luxembourg BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP EUR BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR BNPP EASY MSCI EMERGING 0.48 MARKETS EX CONTROVERSIAL USD WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 0.85 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX 0.11 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA 0.99 EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - X - CAP EUR PARVEST EQUITY USA SMALL CAP X - CAP EUR PARVEST EQUITY WORLD EMERGING - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR PARWORLD QUANT EQUITY EUROPE GURU - X - CAP EUR THEAM QUANT EQUITY US GURU X USD USD France LOW CARBON 100 EUROPE THEAM EUR Total securities portfolio Page 90

93 BNP Paribas L1 Safe Aggressive W4 Expressed in EUR Shares/Units in investment funds Luxembourg BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP EUR BNPP EASY MSCI EMERGING 0.59 MARKETS EX CONTROVERSIAL USD WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 0.44 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX 0.05 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA 0.42 EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - X - CAP EUR PARVEST EQUITY USA SMALL CAP X - CAP EUR PARVEST EQUITY WORLD EMERGING - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR PARWORLD QUANT EQUITY EUROPE GURU - X - CAP EUR THEAM QUANT EQUITY US GURU X USD USD France LOW CARBON 100 EUROPE THEAM EUR Total securities portfolio Page 91

94 BNP Paribas L1 Safe Aggressive W7 Expressed in EUR Shares/Units in investment funds Luxembourg BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP EUR BNPP EASY MSCI EMERGING 1.48 MARKETS EX CONTROVERSIAL USD WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 0.88 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX 0.10 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA 0.84 EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - X - CAP EUR PARVEST EQUITY USA SMALL CAP X - CAP EUR PARVEST EQUITY WORLD EMERGING - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR PARWORLD QUANT EQUITY EUROPE GURU - X - CAP EUR THEAM QUANT EQUITY US GURU X USD USD France LOW CARBON 100 EUROPE THEAM EUR Total securities portfolio Page 92

95 BNP Paribas L1 Safe Aggressive W10 Expressed in EUR Shares/Units in investment funds Luxembourg BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP EUR BNPP EASY MSCI EMERGING 0.11 MARKETS EX CONTROVERSIAL USD WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 0.85 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX 0.10 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA 0.89 EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - X - CAP EUR PARVEST EQUITY USA SMALL CAP X - CAP EUR PARVEST EQUITY WORLD EMERGING - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR PARWORLD QUANT EQUITY EUROPE GURU - X - CAP EUR THEAM QUANT EQUITY US GURU X USD USD France LOW CARBON 100 EUROPE THEAM EUR Total securities portfolio Page 93

96 BNP Paribas L1 Safe Conservative W1 Expressed in EUR Shares/Units in investment funds Luxembourg AXA IM FIIS - US CORPORATE BONDS - A H EUR BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR PARVEST BOND EURO - X - CAP EUR PARVEST BOND EURO CORPORATE X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND EURO SHORT TERM X - CAP EUR PARVEST BOND EURO SHORT TERM CORPORATE - X - CAP EUR PARVEST BOND USD - X - CAP USD PARVEST BOND WORLD EMERGING LOCAL - X - CAP EUR PARVEST CONVERTIBLE BOND WORLD - X - CAP EUR France AMUNDI ETF US TREASURY 7-10 USD BNP PARIBAS AM KLE EONIA PRIME 4.00 FCP - DIS EUR BNP PARIBAS MOIS ISR - I - CAP EUR BNP PARIBAS MONEY 3M - IC EUR Ireland VANGUARD US GOV BND IDX-INS EUR Total securities portfolio Page 94

97 BNP Paribas L1 Safe Conservative W4 Expressed in EUR Shares/Units in investment funds Luxembourg AXA IM FIIS - US CORPORATE BONDS - A H EUR BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR PARVEST BOND EURO - X - CAP EUR PARVEST BOND EURO CORPORATE X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND EURO SHORT TERM X - CAP EUR PARVEST BOND EURO SHORT TERM CORPORATE - X - CAP EUR PARVEST BOND USD - X - CAP USD PARVEST BOND WORLD EMERGING LOCAL - X - CAP EUR PARVEST CONVERTIBLE BOND WORLD - X - CAP EUR France AMUNDI ETF US TREASURY 7-10 USD BNP PARIBAS AM KLE EONIA PRIME FCP - DIS EUR BNP PARIBAS MOIS ISR - I - CAP EUR BNP PARIBAS MONEY 3M - IC EUR Ireland VANGUARD US GOV BND IDX-INS EUR Total securities portfolio Page 95

98 BNP Paribas L1 Safe Conservative W7 Expressed in EUR Shares/Units in investment funds France AMUNDI ETF US TREASURY 7-10 USD BNP PARIBAS AM KLE EONIA PRIME FCP - DIS EUR BNP PARIBAS MOIS ISR - I - CAP EUR BNP PARIBAS MONEY 3M - IC EUR Luxembourg AXA IM FIIS - US CORPORATE BONDS - A H EUR BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR PARVEST BOND EURO - X - CAP EUR PARVEST BOND EURO CORPORATE X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND EURO SHORT TERM X - CAP EUR PARVEST BOND EURO SHORT TERM CORPORATE - X - CAP EUR PARVEST BOND USD - X - CAP USD PARVEST BOND WORLD EMERGING LOCAL - X - CAP EUR PARVEST CONVERTIBLE BOND WORLD - X - CAP EUR Ireland VANGUARD US GOV BND IDX-INS EUR Total securities portfolio Page 96

99 BNP Paribas L1 Safe Conservative W10 Expressed in EUR Shares/Units in investment funds France AMUNDI ETF US TREASURY 7-10 USD BNP PARIBAS AM KLE EONIA PRIME FCP - DIS EUR BNP PARIBAS MOIS ISR - I - CAP EUR BNP PARIBAS MONEY 3M - IC EUR Luxembourg AXA IM FIIS - US CORPORATE BONDS - A H EUR BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR PARVEST BOND EURO - X - CAP EUR PARVEST BOND EURO CORPORATE X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND EURO SHORT TERM X - CAP EUR PARVEST BOND EURO SHORT TERM CORPORATE - X - CAP EUR PARVEST BOND USD - X - CAP USD PARVEST BOND WORLD EMERGING LOCAL - X - CAP EUR PARVEST CONVERTIBLE BOND WORLD - X - CAP EUR Ireland VANGUARD US GOV BND IDX-INS EUR Total securities portfolio Page 97

100 BNP Paribas L1 Safe Defensive W1 Expressed in EUR Shares/Units in investment funds Luxembourg AXA IM FIIS - US CORPORATE BONDS - A H EUR BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP EUR BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR BNPP EASY JPM GBI EMU TRACK - X CAP EUR BNPP EASY MSCI EMERGING 6.36 MARKETS EX CONTROVERSIAL USD WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX 1.32 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA 3.49 EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST BOND EURO - X - CAP EUR PARVEST BOND EURO GOVERNMENT - X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND EURO SHORT TERM CORPORATE - X - CAP EUR PARVEST BOND USD - X - CAP USD PARVEST BOND WORLD EMERGING LOCAL - X - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - X - CAP EUR PARVEST EQUITY USA SMALL CAP X - CAP EUR PARVEST EQUITY WORLD EMERGING - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR PARWORLD QUANT EQUITY EUROPE GURU - X - CAP EUR PARWORLD TRACK EMU GOVERNMENT BOND 1-10 YEARS - EUR PRIV - DIS France AMUNDI ETF US TREASURY 7-10 USD BNP PARIBAS AM KLE EONIA PRIME FCP - DIS EUR BNP PARIBAS MOIS ISR - I - CAP EUR BNP PARIBAS MONEY 3M - IC EUR LOW CARBON 100 EUROPE THEAM EUR Ireland VANGUARD US GOV BND IDX-INS EUR Total securities portfolio Page 98

101 BNP Paribas L1 Safe Defensive W4 Expressed in EUR Shares/Units in investment funds Luxembourg AXA IM FIIS - US CORPORATE BONDS - A H EUR BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP EUR BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR BNPP EASY JPM GBI EMU TRACK - X CAP EUR BNPP EASY MSCI EMERGING 6.91 MARKETS EX CONTROVERSIAL USD WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX 1.31 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA 3.44 EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST BOND EURO - X - CAP EUR PARVEST BOND EURO GOVERNMENT - X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND EURO SHORT TERM CORPORATE - X - CAP EUR PARVEST BOND USD - X - CAP USD PARVEST BOND WORLD EMERGING LOCAL - X - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - X - CAP EUR PARVEST EQUITY USA SMALL CAP X - CAP EUR PARVEST EQUITY WORLD EMERGING - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR PARWORLD QUANT EQUITY EUROPE GURU - X - CAP EUR PARWORLD TRACK EMU GOVERNMENT BOND 1-10 YEARS - EUR PRIV - DIS France AMUNDI ETF US TREASURY 7-10 USD BNP PARIBAS MOIS ISR - I - CAP EUR BNP PARIBAS MONEY 3M - IC EUR LOW CARBON 100 EUROPE THEAM EUR Ireland VANGUARD US GOV BND IDX-INS EUR Total securities portfolio Page 99

102 BNP Paribas L1 Safe Defensive W7 Expressed in EUR Shares/Units in investment funds Luxembourg AXA IM FIIS - US CORPORATE BONDS - A H EUR BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP EUR BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR BNPP EASY JPM GBI EMU TRACK - X CAP EUR BNPP EASY MSCI EMERGING 6.89 MARKETS EX CONTROVERSIAL USD WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX 1.49 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA 3.93 EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST BOND EURO - X - CAP EUR PARVEST BOND EURO GOVERNMENT - X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND EURO SHORT TERM CORPORATE - X - CAP EUR PARVEST BOND USD - X - CAP USD PARVEST BOND WORLD EMERGING LOCAL - X - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - X - CAP EUR PARVEST EQUITY USA SMALL CAP X - CAP EUR PARVEST EQUITY WORLD EMERGING - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR PARWORLD QUANT EQUITY EUROPE GURU - X - CAP EUR PARWORLD TRACK EMU GOVERNMENT BOND 1-10 YEARS - EUR PRIV - DIS France AMUNDI ETF US TREASURY 7-10 USD BNP PARIBAS AM KLE EONIA PRIME FCP - DIS EUR BNP PARIBAS MOIS ISR - I - CAP EUR BNP PARIBAS MONEY 3M - IC EUR LOW CARBON 100 EUROPE THEAM EUR Ireland VANGUARD US GOV BND IDX-INS EUR Total securities portfolio Page 100

103 BNP Paribas L1 Safe Defensive W10 Expressed in EUR Shares/Units in investment funds Luxembourg AXA IM FIIS - US CORPORATE BONDS - A H EUR BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP EUR BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR BNPP EASY JPM GBI EMU TRACK - X CAP EUR BNPP EASY MSCI EMERGING 4.25 MARKETS EX CONTROVERSIAL USD WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX 1.33 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA 3.49 EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST BOND EURO - X - CAP EUR PARVEST BOND EURO GOVERNMENT - X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND EURO SHORT TERM CORPORATE - X - CAP EUR PARVEST BOND USD - X - CAP USD PARVEST BOND WORLD EMERGING LOCAL - X - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - X - CAP EUR PARVEST EQUITY USA SMALL CAP X - CAP EUR PARVEST EQUITY WORLD EMERGING - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR PARWORLD QUANT EQUITY EUROPE GURU - X - CAP EUR PARWORLD TRACK EMU GOVERNMENT BOND 1-10 YEARS - EUR PRIV - DIS France AMUNDI ETF US TREASURY 7-10 USD BNP PARIBAS AM KLE EONIA PRIME FCP - DIS EUR BNP PARIBAS MOIS ISR - I - CAP EUR BNP PARIBAS MONEY 3M - IC EUR LOW CARBON 100 EUROPE THEAM EUR Ireland VANGUARD US GOV BND IDX-INS EUR Total securities portfolio Page 101

104 BNP Paribas L1 Safe Dynamic W1 Expressed in EUR Shares/Units in investment funds Luxembourg BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP EUR BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR BNPP EASY MSCI EMERGING 0.52 MARKETS EX CONTROVERSIAL USD WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX 3.21 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST BOND EURO GOVERNMENT - X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND WORLD EMERGING LOCAL - X - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - X - CAP EUR PARVEST EQUITY USA SMALL CAP X - CAP EUR PARVEST EQUITY WORLD EMERGING - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR PARWORLD QUANT EQUITY EUROPE GURU - X - CAP EUR THEAM QUANT EQUITY US GURU X USD USD France AMUNDI ETF US TREASURY 7-10 USD BNP PARIBAS MOIS ISR - I - CAP EUR BNP PARIBAS MONEY 3M - IC EUR Ireland VANGUARD US GOV BND IDX-INS EUR Total securities portfolio Page 102

105 BNP Paribas L1 Safe Dynamic W4 Expressed in EUR Shares/Units in investment funds Luxembourg BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP EUR BNPP EASY JPM GBI EMU TRACK - X CAP EUR BNPP EASY MSCI EMERGING MARKETS EX CONTROVERSIAL USD WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX 3.19 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA 9.60 EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST BOND EURO GOVERNMENT - X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND WORLD EMERGING LOCAL - X - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - X - CAP EUR PARVEST EQUITY USA SMALL CAP X - CAP EUR PARVEST EQUITY WORLD EMERGING - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR PARWORLD QUANT EQUITY EUROPE GURU - X - CAP EUR PARWORLD TRACK EMU GOVERNMENT BOND 1-10 YEARS - EUR PRIV - DIS THEAM QUANT EQUITY US GURU X USD USD France AMUNDI ETF US TREASURY 7-10 USD LOW CARBON 100 EUROPE THEAM EUR Ireland VANGUARD US GOV BND IDX-INS EUR Total securities portfolio Page 103

106 BNP Paribas L1 Safe Dynamic W7 Expressed in EUR Shares/Units in investment funds Luxembourg BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP EUR BNPP EASY JPM GBI EMU TRACK - X CAP EUR BNPP EASY MSCI EMERGING MARKETS EX CONTROVERSIAL USD WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX 3.91 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST BOND EURO GOVERNMENT - X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND WORLD EMERGING LOCAL - X - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - X - CAP EUR PARVEST EQUITY USA SMALL CAP X - CAP EUR PARVEST EQUITY WORLD EMERGING - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR PARWORLD QUANT EQUITY EUROPE GURU - X - CAP EUR PARWORLD TRACK EMU GOVERNMENT BOND 1-10 YEARS - EUR PRIV - DIS THEAM QUANT EQUITY US GURU X USD USD France AMUNDI ETF US TREASURY 7-10 USD LOW CARBON 100 EUROPE THEAM EUR Ireland VANGUARD US GOV BND IDX-INS EUR Total securities portfolio Page 104

107 BNP Paribas L1 Safe Dynamic W10 Expressed in EUR Shares/Units in investment funds Luxembourg BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP EUR BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR BNPP EASY MSCI EMERGING 4.60 MARKETS EX CONTROVERSIAL USD WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX 4.08 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST BOND EURO GOVERNMENT - X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND WORLD EMERGING LOCAL - X - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - X - CAP EUR PARVEST EQUITY USA SMALL CAP X - CAP EUR PARVEST EQUITY WORLD EMERGING - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR PARWORLD QUANT EQUITY EUROPE GURU - X - CAP EUR THEAM QUANT EQUITY US GURU X USD USD France AMUNDI ETF US TREASURY 7-10 USD LOW CARBON 100 EUROPE THEAM EUR Ireland VANGUARD US GOV BND IDX-INS EUR Total securities portfolio Page 105

108 BNP Paribas L1 Safe Neutral W1 Expressed in EUR Shares/Units in investment funds Luxembourg AXA IM FIIS - US CORPORATE BONDS - A H EUR BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP EUR BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR BNPP EASY JPM GBI EMU TRACK - X CAP EUR BNPP EASY MSCI EMERGING 6.48 MARKETS EX CONTROVERSIAL USD WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX 6.41 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST BOND EURO GOVERNMENT - X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND EURO SHORT TERM CORPORATE - X - CAP EUR PARVEST BOND WORLD EMERGING LOCAL - X - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - X - CAP EUR PARVEST EQUITY USA SMALL CAP X - CAP EUR PARVEST EQUITY WORLD EMERGING - X - CAP USD PARVEST EQUITY WORLD EMERGING - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR PARWORLD QUANT EQUITY EUROPE GURU - X - CAP EUR PARWORLD TRACK EMU GOVERNMENT BOND 1-10 YEARS - EUR PRIV - DIS THEAM QUANT EQUITY US GURU X USD USD France AMUNDI ETF US TREASURY 7-10 USD BNP PARIBAS AM KLE EONIA PRIME FCP - DIS EUR BNP PARIBAS MOIS ISR - I - CAP EUR BNP PARIBAS MONEY 3M - IC EUR LOW CARBON 100 EUROPE THEAM EUR Ireland VANGUARD US GOV BND IDX-INS EUR Total securities portfolio Page 106

109 BNP Paribas L1 Safe Neutral W4 Expressed in EUR Shares/Units in investment funds Luxembourg AXA IM FIIS - US CORPORATE BONDS - A H EUR BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP EUR BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR BNPP EASY JPM GBI EMU TRACK - X CAP EUR BNPP EASY MSCI EMERGING MARKETS EX CONTROVERSIAL USD WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX 7.68 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST BOND EURO GOVERNMENT - X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND EURO SHORT TERM CORPORATE - X - CAP EUR PARVEST BOND WORLD EMERGING LOCAL - X - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - X - CAP EUR PARVEST EQUITY USA SMALL CAP X - CAP EUR PARVEST EQUITY WORLD EMERGING - X - CAP USD PARVEST EQUITY WORLD EMERGING - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR PARWORLD QUANT EQUITY EUROPE GURU - X - CAP EUR PARWORLD TRACK EMU GOVERNMENT BOND 1-10 YEARS - EUR PRIV - DIS THEAM QUANT EQUITY US GURU X USD USD France AMUNDI ETF US TREASURY 7-10 USD BNP PARIBAS MONEY 3M - IC EUR LOW CARBON 100 EUROPE THEAM EUR Ireland VANGUARD US GOV BND IDX-INS EUR Total securities portfolio Page 107

110 BNP Paribas L1 Safe Neutral W7 Expressed in EUR Shares/Units in investment funds Luxembourg AXA IM FIIS - US CORPORATE BONDS - A H EUR BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP EUR BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR BNPP EASY JPM GBI EMU TRACK - X CAP EUR BNPP EASY MSCI EMERGING MARKETS EX CONTROVERSIAL USD WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST BOND EURO GOVERNMENT - X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND EURO SHORT TERM CORPORATE - X - CAP EUR PARVEST BOND WORLD EMERGING LOCAL - X - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - X - CAP EUR PARVEST EQUITY USA SMALL CAP X - CAP EUR PARVEST EQUITY WORLD EMERGING - X - CAP USD PARVEST EQUITY WORLD EMERGING - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR PARWORLD QUANT EQUITY EUROPE GURU - X - CAP EUR PARWORLD TRACK EMU GOVERNMENT BOND 1-10 YEARS - EUR PRIV - DIS THEAM QUANT EQUITY US GURU X USD USD France AMUNDI ETF US TREASURY 7-10 USD LOW CARBON 100 EUROPE THEAM EUR Ireland VANGUARD US GOV BND IDX-INS EUR Total securities portfolio Page 108

111 BNP Paribas L1 Safe Neutral W10 Expressed in EUR Shares/Units in investment funds Luxembourg AXA IM FIIS - US CORPORATE BONDS - A H EUR BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP EUR BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR BNPP EASY JPM GBI EMU TRACK - X CAP EUR BNPP EASY MSCI EMERGING 7.25 MARKETS EX CONTROVERSIAL USD WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI JAPAN EX 8.52 CONTROVERSIAL WEAPONS TRACK EUR X - CAP BNPP EASY MSCI NORTH AMERICA EX CONTROVERSIAL WEAPONS EUR TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN V350 - X - CAP EUR PARVEST BOND EURO GOVERNMENT - X - CAP EUR PARVEST BOND EURO HIGH YIELD X - CAP EUR PARVEST BOND EURO SHORT TERM CORPORATE - X - CAP EUR PARVEST BOND WORLD EMERGING LOCAL - X - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - X - CAP EUR PARVEST EQUITY USA SMALL CAP X - CAP EUR PARVEST EQUITY WORLD EMERGING - X - CAP USD PARVEST EQUITY WORLD EMERGING - X - CAP EUR PARVEST MULTI- ASSET INCOME EMERGING - X - CAP USD PARVEST REAL ESTATE SECURITIES WORLD - X - CAP EUR PARWORLD QUANT EQUITY EUROPE GURU - X - CAP EUR PARWORLD TRACK EMU GOVERNMENT BOND 1-10 YEARS - EUR PRIV - DIS THEAM QUANT EQUITY US GURU X USD USD France AMUNDI ETF US TREASURY 7-10 USD BNP PARIBAS MOIS ISR - I - CAP EUR BNP PARIBAS MONEY 3M - IC EUR LOW CARBON 100 EUROPE THEAM EUR Ireland VANGUARD US GOV BND IDX-INS EUR Total securities portfolio Page 109

112 BNP Paribas L1 SMaRT Food Expressed in EUR Shares/Units in investment funds Luxembourg PARVEST SMART FOOD - X - CAP EUR Total securities portfolio Page 110

113 BNP Paribas L1 Sustainable Active Allocation Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds France AIR LIQUIDE FIN 0.125% 16-13/06/2020 EUR AXA BANK EUROPE 0.375% /03/2023 EUR AXA BANK EUROPE 1.875% 12-20/09/2019 EUR AXA BANK EUROPE 2.250% 12-19/04/2017 EUR BANQUE FED CREDIT MUTUEL % 16-24/03/2026 EUR BNP PARIBAS 2.875% 12-27/11/2017 EUR BPCE 0.375% 16-05/10/2023 EUR BPCE 0.625% 16-20/04/2020 EUR BPCE 2.875% 16-22/04/2026 EUR BPCE SFH 0.375% 16-10/02/2023 EUR BPCE SFH 1.500% 12-28/02/2018 EUR BPCE SFH 2.750% 12-16/02/2017 EUR BPIFRANCE 0.100% 16-19/02/2021 EUR CAISSE REFIN HYPOT 4.000% 06-25/04/2018 EUR CIE FINANCEMENT FONCIER 0.125% /06/2018 EUR CIE FINANCEMENT FONCIER 0.250% /03/2022 EUR CIE FINANCEMENT FONCIER 4.375% /04/2019 EUR COFIROUTE 0.375% 16-07/02/2025 EUR CREDIT AGRICOLE HOME 0.375% /10/2021 EUR CREDIT MUTUEL ARKEA 3.250% /06/2026 EUR DEXIA CREDIT LOCAL 0.040% /12/2019 EUR ELEC DE FRANCE 2.250% 13-27/04/2021 EUR ENGIE 1.375% 14-19/05/2020 EUR FRANCE O.A.T % 15-25/05/2020 EUR FRANCE O.A.T % 16-25/05/2022 EUR FRANCE O.A.T % 16-01/03/2021 EUR FRANCE O.A.T % 15-25/11/2020 EUR FRANCE O.A.T % 15-25/05/2025 EUR FRANCE O.A.T % 16-25/05/2026 EUR FRANCE O.A.T % 14-25/05/2019 EUR FRANCE O.A.T % 15-25/11/2025 EUR FRANCE O.A.T % 16-25/05/2036 EUR FRANCE O.A.T % 15-25/05/2031 EUR FRANCE O.A.T % 14-25/11/2024 EUR FRANCE O.A.T % 16-25/05/2066 EUR FRANCE O.A.T % 13-25/05/2024 EUR FRANCE O.A.T % 10-25/10/2020 EUR FRANCE O.A.T % 14-25/05/2030 EUR FRANCE O.A.T % 12-25/10/2027 EUR FRANCE O.A.T % 11-25/10/2021 EUR FRANCE O.A.T % 13-25/05/2045 EUR FRANCE O.A.T % 05-25/04/2021 EUR FRANCE O.A.T % 05-25/04/2055 EUR FRANCE O.A.T % 07-25/10/2023 EUR FRANCE O.A.T % 09-25/04/2041 EUR LA BANQUE POSTALE 0.500% /01/2023 EUR R.A.T.P % 08-28/05/2018 EUR RESEAU FERRE FRANCE 4.500% 09-30/01/2024 EUR RESEAU FERRE FRANCE 5.000% /10/2033 EUR RESEAU FERRE FRANCE I/L 2.450% /02/2023 EUR RTE RESEAU DE TR 1.625% /11/2025 EUR SANOFI 0.000% 16-05/04/2019 EUR SCHLUMBERGER FIN 0.625% /02/2019 EUR SFIL 0.125% 16-18/10/2024 EUR SNCF RESEAU 0.050% 15-23/10/2018 EUR SNCF RESEAU 0.100% 16-27/05/2021 EUR SNCF RESEAU 1.000% 16-09/11/2031 EUR UNEDIC 0.040% 15-25/05/2019 EUR Spain BANCO BILBAO VIZCAYA 3.500% /12/2017 EUR BANCO BILBAO VIZCAYA 3.625% 10-18/01/2017 EUR BANCO SANTANDER 3.625% /04/2017 EUR BANKINTER SA 4.125% 12-22/03/2017 EUR BASQUE GOVT 1.750% 16-16/03/2026 EUR CAIXABANK 3.000% 13-22/03/2018 EUR CAIXABANK 4.000% 12-16/02/2017 EUR CAJA RURAL NAV 0.625% /12/2023 EUR COMUNIDAD MADRID 2.875% /07/2023 EUR FADE 0.850% 15-17/09/2019 EUR INSTIT CRDT OFCL 0.100% /09/2018 EUR SANTANDER ISSUAN 2.500% /03/2025 EUR SPAIN I/L BOND 1.000% 15-30/11/2030 EUR SPANISH GOVT 0.250% 16-31/01/2019 EUR SPANISH GOVT 0.500% 14-31/10/2017 EUR SPANISH GOVT 0.750% 16-30/07/2021 EUR SPANISH GOVT 1.300% 16-31/10/2026 EUR SPANISH GOVT 1.950% 15-30/07/2030 EUR SPANISH GOVT 1.950% 16-30/04/2026 EUR SPANISH GOVT 2.150% 15-31/10/2025 EUR SPANISH GOVT 2.750% 14-31/10/2024 EUR SPANISH GOVT 2.900% 16-31/10/2046 EUR SPANISH GOVT 3.450% 16-30/07/2066 EUR SPANISH GOVT 3.800% 14-30/04/2024 EUR SPANISH GOVT 4.000% 10-30/04/2020 EUR SPANISH GOVT 4.200% 05-31/01/2037 EUR SPANISH GOVT 4.500% 12-31/01/2018 EUR SPANISH GOVT 4.800% 08-31/01/2024 EUR SPANISH GOVT 5.150% 13-31/10/2044 EUR SPANISH GOVT 5.400% 13-31/01/2023 EUR SPANISH GOVT 5.500% 11-30/04/2021 EUR TELEFONICA EMIS 0.318% /10/2020 EUR TELEFONICA EMIS 4.750% 11-07/02/2017 EUR Germany BREMEN FREIE HAN 0.375% /02/2024 EUR BUNDESREPUBLIK DEUTSCHLAND % 16-15/08/2026 EUR BUNDESREPUBLIK DEUTSCHLAND % 15-15/02/2025 EUR BUNDESREPUBLIK DEUTSCHLAND % 16-15/02/2026 EUR BUNDESREPUBLIK DEUTSCHLAND % 15-15/08/2025 EUR BUNDESREPUBLIK DEUTSCHLAND % 13-15/02/2023 EUR BUNDESREPUBLIK DEUTSCHLAND % 13-15/05/2023 EUR BUNDESREPUBLIK DEUTSCHLAND % 10-04/01/2021 EUR BUNDESREPUBLIK DEUTSCHLAND % 12-04/07/2044 EUR Page 111

114 BNP Paribas L1 Sustainable Active Allocation Expressed in EUR BUNDESREPUBLIK DEUTSCHLAND 2.500% 14-15/08/2046 EUR BUNDESREPUBLIK DEUTSCHLAND % 05-04/01/2037 EUR BUNDESREPUBLIK DEUTSCHLAND % 07-04/07/2039 EUR BUNDESREPUBLIK DEUTSCHLAND % 00-04/01/2031 EUR BUNDESREPUBLIK DEUTSCHLAND % 00-04/01/2030 EUR BUNDESREPUBLIK DEUTSCHLAND % 16-08/10/2021 EUR KFW 0.000% 16-15/09/2023 EUR KFW 0.375% 15-23/04/2030 EUR KFW 0.375% 16-09/03/2026 EUR KFW 0.625% 15-04/07/2022 EUR LAND HESSEN 3.500% 10-10/03/2020 EUR LB BADEN-WUERT 1.375% /06/2018 EUR NORDRHEIN-WEST 1.625% /10/2030 EUR RHEINLAND-PFALZ 0.125% /03/2023 EUR The Netherlands ABN AMRO BANK NV 0.625% /05/2022 EUR ABN AMRO BANK NV 2.875% /06/2025 EUR ALLIANZ FINANCE 4.750% /07/2019 EUR BANK NEDERLANDSE GEMEENTEN % 15-03/11/2020 EUR BANK NEDERLANDSE GEMEENTEN % 14-14/10/2019 EUR BANK NEDERLANDSE GEMEENTEN % 14-19/03/2019 EUR BMW FINANCE NV 1.500% /06/2018 EUR COOPERATIEVE RAB 0.125% /10/2021 EUR COOPERATIEVE RAB 1.250% /03/2026 EUR DEUTSCHE BAHN FIN 2.500% /09/2023 EUR DEUTSCHE BAHN FIN 3.000% 12-08/03/2024 EUR ENEL FINANCE INTL NV 1.966% /01/2025 EUR IBERDROLA INTL 0.375% /09/2025 EUR IBERDROLA INTL 3.500% /02/2021 EUR NED WATERSCHAPBK 0.625% /07/2019 EUR NEDER FINANCIER 0.125% /04/2022 EUR NETHERLANDS GOVERNMENT % 14-15/01/2020 EUR NETHERLANDS GOVERNMENT % 15-15/07/2025 EUR NETHERLANDS GOVERNMENT % 16-15/07/2026 EUR NETHERLANDS GOVERNMENT % 14-15/07/2024 EUR NETHERLANDS GOVERNMENT % 12-15/07/2022 EUR NETHERLANDS GOVERNMENT % 12-15/01/2033 EUR NETHERLANDS GOVERNMENT % 11-15/07/2021 EUR NETHERLANDS GOVERNMENT % 06-15/01/2023 EUR NETHERLANDS GOVERNMENT % 98-15/01/2028 EUR RABOBANK 4.250% 07-16/01/2017 EUR Italy EDISON SPA 3.875% 10-10/11/2017 EUR FERROV DEL STATO 3.500% /12/2021 FERROV DEL STATO 4.000% /07/2020 INTESA SANPAOLO 2.000% /06/2021 EUR EUR EUR INTESA SANPAOLO 3.750% 12-25/09/2019 EUR INTESA SANPAOLO 4.375% 12-15/10/2019 EUR POSTE ITALIANE 3.250% 13-18/06/2018 EUR POSTE VITA 2.875% 14-30/05/2019 EUR SNAM SPA 0.000% 16-25/10/2020 EUR SNAM SPA 1.375% 15-19/11/2023 EUR TERNA SPA 0.875% 15-02/02/2022 EUR TERNA SPA 2.875% 12-16/02/2018 EUR TERNA SPA 4.125% 12-17/02/2017 EUR TERNA SPA 4.750% 11-15/03/2021 EUR Belgium BELGIUM GOVERNMENT 0.200% /10/2023 EUR BELGIUM GOVERNMENT 0.800% /06/2025 EUR BELGIUM GOVERNMENT % /03/2041 EUR BELGIUM GOVERNMENT % /09/2021 EUR BELGIUM GOVERNMENT % /09/2019 EUR BELGIUM GOVERNMENT 1.000% /06/2031 EUR BELGIUM GOVERNMENT 1.600% /06/2047 EUR KBC BANK NV 0.375% 16-01/09/2022 EUR KBC BANK NV 1.250% 13-28/05/2020 EUR Supranational EFSF 0.125% 15-04/11/2019 EUR EFSF 0.400% 16-31/05/2026 EUR EIB 0.000% 16-16/10/2023 EUR EIB 0.250% 15-15/10/2020 EUR EIB 0.375% 15-15/03/2022 EUR EIB 0.375% 16-14/04/2026 EUR EIB 1.375% 13-15/11/2019 EUR EIB 1.625% 14-15/03/2023 EUR EIB 2.500% 10-16/09/2019 EUR EUROPEAN UNION 0.750% /04/2031 EUR Finland FINNISH GOVT 0.000% 16-15/09/2023 EUR FINNISH GOVT 1.500% 13-15/04/2023 EUR NORDEA BANK FINLAND 2.375% /07/2017 EUR Austria KA FINANZ 0.375% 15-11/08/2020 EUR REPUBLIC OF AUSTRIA 0.750% /10/2026 EUR REPUBLIC OF AUSTRIA 1.750% /10/2023 EUR REPUBLIC OF AUSTRIA 2.400% /05/2034 EUR United Kingdom ABBEY NATIONAL TREASURY % 15-25/11/2020 EUR ABBEY NATIONAL TREASURY % 13-26/11/2020 EUR CREDIT AGRICOLE 0.750% /12/2022 EUR LLOYDS TSB BANK 3.500% /01/2017 EUR UNILEVER NV 1.000% 15-03/06/2023 EUR Sweden NORDEA HYPOTEK 3.500% /01/2017 EUR SKANDINAVISKA ENSKILDA BANK % 16-24/08/2021 EUR Page 112

115 BNP Paribas L1 Sustainable Active Allocation Expressed in EUR United States of America INT BANK RECON&DEV 3.875% 09-20/05/2019 MCDONALDS CORP 0.500% /01/2021 WHIRLPOOL CORP 0.625% /03/2020 EUR EUR EUR Slovenia REP OF SLOVENIA 1.750% /11/2040 EUR Ireland FGA CAPITAL IRE 2.875% 14-26/01/2018 EUR IRISH GOVT 2.000% 15-18/02/2045 EUR Portugal BANCO SAN TOTTA 1.500% /04/2017 EUR Norway DNB BOLIGKREDITT 2.375% 12-11/04/2017 EUR Australia WESTPAC BANKING 1.375% 13-17/04/2020 EUR Floating rate bonds France BNP PARIBAS 14-20/03/2026 FRN EUR DANONE 15-14/01/2020 FRN EUR ENGIE 13-29/07/2049 FRN EUR LA BANQUE POSTALE 14-23/04/2026 FRN EUR ORANGE 14-28/02/2049 FRN EUR RCI BANQUE 15-16/07/2018 FRN EUR SANOFI 14-10/09/2018 FRN EUR United States of America FEDEX CORP 16-11/04/2019 FRN EUR Belgium SOLVAY SA 15-01/12/2017 FRN EUR Germany SAP SE 14-20/11/2018 FRN EUR Spain BBVA SUB CAP UNI 14-11/04/2024 FRN EUR The Netherlands ING BANK NV 14-25/02/2026 FRN EUR Shares/Units in investment funds Luxembourg PARVEST GLOBAL ENVIRONMENT X - CAP EUR PARVEST HUMAN DEVELOPMENT X - CAP EUR PARVEST SUSTAINABLE BOND EURO CORPORATE - X - CAP EUR France BNP PARIBAS AQUA - X - CAP EUR BNP PARIBAS DEVELOPPEMENT HUMAIN - R EUR BNP PARIBAS MOIS ISR - I - CAP EUR Total securities portfolio Page 113

116 Notes to the financial statements Page 114

117 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Note 1 - General information a) Events that occurred during the financial year ended 31 December 2016 Since January 2016, the Company has decided the following changes: Merged, launched or liquidated sub-funds: Sub-fund Date Events Bond Euro Corporate 15 January 2016 Feederisation cancelled of the sub-fund Bond Euro Corporate of PARVEST Opportunities World 29 January 2016 Absorbed by the sub-fund Equity World Quality Focus Lifecycle May 2016 Liquidation of the sub-fund Lifecycle May 2016 Liquidation of the sub-fund Lifecycle May 2016 Liquidation of the sub-fund Lifecycle May 2016 Liquidation of the sub-fund Bond USA High Yield 1 July 2016 Absorbed by the sub-fund Bond USA High Yield of PARVEST Bond USD 1 July 2016 Absorbed by the sub-fund Bond USD of PARVEST Diversified Active Click Balanced 1 July 2016 Absorbed by the sub-fund Step 90 Euro of PARVEST Diversified Active Click Stability 1 July 2016 Absorbed by the sub-fund Step 90 Euro of PARVEST Real Estate Securities World 1 July 2016 Absorbed by the sub-fund Real Estate Securities World of PARVEST Equity Europe DEFI 13 July 2016 Launch of the sub-fund Bond World Emerging 1 September 2016 Liquidation of the sub-fund Equity Europe Low Volatility 15 November 2016 Became feeder of the sub-fund Equity Low Vol Europe of BNP Paribas Easy Japan 18 November 2016 Launch of the sub-fund by absorption of the French Common Funds BNP Paribas Japaquant and BNP Paribas Actions Japon Equity Belgium 25 November 2016 Launch of the sub-fund by absorption of the sub-fund Equity Belgium of the Belgian SICAV BNP Paribas B Fund I Equity Europe 25 November 2016 absorption of the sub-fund Equity Europe of the Belgian SICAV BNP Paribas B Fund I Merged, activated, liquidated or split share classes: Sub-fund Date Events Equity World Aqua 28 January 2016 Activation of the share class Privilege GBP - Capitalisation Equity USA Core 15 April 2016 Merger of the Classic - Distribution shares valued in EUR into the Classic EUR - Distribution class Safe Defensive W1/W7/W10 13 July 2016 Liquidation of the share class Classic - Capitalisation Safe Dynamic W1/W4/W10 13 July 2016 Liquidation of the share class Classic - Capitalisation Safe Neutral W4/W7/W10 13 July 2016 Liquidation of the share class Classic - Capitalisation Equity Europe Low Volatility 11 November 2016 Liquidation of the share class X - Capitalisation Equity Europe 24 November 2016 The share class Classic - Capitalisation was split by 18, the share class Classic - Distribution was split by 16 b) Sub-funds open All sub-funds whose securities portfolios are detailed in this document were available for subscription as at 31 December Page 115

118 BNP Paribas L1 Notes to the financial statements at 31/12/2016 c) Master-feeder structures The following sub-funds are involved in a master-feeder structure: Master sub-fund Feeder sub-fund Currency BNP PARIBAS AQUA BNP Paribas L1 Equity World Aqua Amount of aggregate charges Aggregate charges in % % of ownership of the Master UCITS EUR % 27.55% PARVEST Bond Euro High Yield PARVEST Bond World Emerging Local PARVEST Convertible Bond World BNP Paribas Easy Equity Low Vol Europe PARVEST Equity World Emerging PARWORLD Quant Equity World Guru PARVEST Equity Best Selection World PARVEST SMaRT Food BNP Paribas L1 Bond Euro High Yield BNP Paribas L1 Bond World Emerging Local BNP Paribas L1 Convertible Bond World BNP Paribas L1 Equity Europe Low Volatility BNP Paribas L1 Equity World Emerging BNP Paribas L1 Equity World Guru BNP Paribas L1 Equity World Quality Focus BNP Paribas L1 SMaRT Food EUR % 16.64% USD % 19.61% EUR % 16.29% EUR % 76.08% USD % 4.08% USD % 62.14% EUR % 52.40% EUR % 35.81% The information regarding the description of the master-feeder structures, the investment objective and policy of the Master UCITS are detailed in the prospectus of Fund. The audited financial statements and the prospectus of the Master UCITS and Feeder UCITS are available on The valuation of the Master sub-funds for the BNP Paribas L1 Feeders is dated 30 December d) Eligibility for the Plan Epargne en Actions (PEA) Owing to their eligibility for French share savings schemes (PEA), the sub-funds of the BNP Paribas L1 SICAV listed below permanently invest at least 75% of their net in shares and rights that are eligible for the PEA and are issued by companies established in France, another Member State of the European Union or in Iceland or Norway and which are subject to corporation tax or an equivalent regime. Equity Euro Equity Europe DEFI Equity Europe Low Volatility Note 2 - Principal accounting methods a) Net asset value This annual report is prepared on the basis of the last unofficial technical net asset value calculated for financial statements purpose as at 31 December b) Presentation of the financial statements The financial statements of the Company are presented in accordance with the legislation in force in Luxembourg on undertakings for collective investment. The consolidation of the Company is the euro (EUR). Page 116

119 BNP Paribas L1 Notes to the financial statements at 31/12/2016 The statement of operations and changes in net covers the financial year from 1 January 2016 to 31 December c) Valuation of the securities portfolio The valuation of all securities listed on a stock exchange or any other regulated market, which functions regularly, is recognised and accessible to the public, is based on the last known closing price on the Valuation Day, and, if the securities concerned are traded on several markets, on the basis of the last known closing price on the major market on which they are traded. If the last known closing price is not a true reflection, the valuation shall be based on the probable sale price estimated by the Board of Directors in a prudent and bona fide manner. The Board of Directors use this possibility for the valuation of the securities listed on East Asia, South Asia, Southeast Asia, and Oceania markets. In these cases, the aforesaid last known closing price is adjusted by using a method monitored by the Management Company to reflect a fair value price of the concerned. Unlisted securities or securities not traded on a stock exchange or another regulated market which functions in a regular manner, is recognised and accessible to the public, shall be valued on the basis of the probable sale price estimated in a prudent and bona fide manner by a qualified professional appointed for this purpose by the Board of Directors. If permitted by market practice, liquid, money market instruments and all other instruments may be valued at their nominal value plus accrued interest or according to the linear amortisation method. Any decision to value the in the portfolio using the linear amortisation method must be approved by the Board of Directors, which will record the reasons for such a decision. The Board of Directors will put in place appropriate checks and controls concerning the valuation of the instruments. Investments in open-ended UCIs are valued on the basis of the last net asset value of the units or shares of such UCIs available on the Valuation Day. d) Net realised result on the securities portfolio The net realised result on investment securities is calculated on the basis of the average cost of the securities sold. e) Conversion of foreign currencies Values expressed in a other than the in which the relevant sub-fund is denominated will be converted on the basis of the exchange rate applicable on the valuation day. f) Valuation of forward foreign exchange contracts Unexpired forward foreign exchange contracts are valued on the basis of the forward exchange rates applicable on the valuation date or the closing date, and the resulting unrealised profits or losses are recorded in the accounts. g) Valuation of futures contracts Unexpired futures contracts are valued at the last price known on the valuation date or closing date and the resulting unrealised profits or losses are accounted for. Margin accounts to guarantee the liabilities on futures contracts are included in the Cash at banks and time deposits account in the statement of net. h) Valuation of options The liquidation value of options traded on stock markets is based on the closing prices published by the stock markets on which the Company traded the contracts in question. The liquidation value of options not traded on stock markets is determined in accordance with the rules defined by the Board of Directors, in accordance with uniform criteria for each category of contract. i) Repurchase agreement Repurchase agreements and reverse repurchase agreements consist of the purchase and sale of securities where the clauses of the agreement require the seller to repurchase from the buyer and the buyer to sell back to the seller the securities sold/bought at a price and for a duration stipulated by the two parties at the time the agreement is entered into. Such repo and reverse repo agreements imply a transfer of ownership. They are valued at the market value. Page 117

120 BNP Paribas L1 Notes to the financial statements at 31/12/2016 j) Income on investments Dividends are recognised as income on the date on which they are declared and to the extent that the information in question is available to the Company. Interest is recognised on a daily basis. k) Valuation of swaps IRS (Interest Rate Swaps) shall be valued on the basis of the difference between the value of all future interest payable by the Company to its counterparty on the valuation date at the zero coupon swap rate corresponding to the maturity of these payments and the value of all future interest payable by the counterparty to the Company on the valuation date at the zero coupon swap rate corresponding to the maturity of these payments. The internal model for valuing CDS (Credit Default Swaps) uses the yield curve of the CDS, the recovery rate and a discount rate (LIBOR or the market swap rate) to calculate the mark-to-market. This internal model also produces the default probability curve. In order to establish the CDS yield curve, data from a number of counterparties active in the CDS market are used. The fund manager compares the valuation of the counterparties CDS to the values obtained via the internal model. The starting point for the construction of the internal model is the equality, at the time the CDS agreement is signed, of the floating leg and the fixed leg of the CDS. A Total Return Swap (TRS) is a bilateral agreement in which each party agrees to exchange payments based on the performance of an underlying instrument represented by a security, commodity, basket or index thereof for a fixed or variable rate. One party pays out the total return of a specific reference asset, and in return, receives a regular stream of payments. The total performance will include gains and losses on the underlying, as well as any interest or dividends during the contract period according to the type of underlying. The cash flows to be exchanged are calculated by reference to an agreed upon notional amount or quantity. Total return swaps are marked to market at each NAV calculation date. The unrealised appreciation/depreciation is disclosed in the Statement of net under Net Unrealised gain/loss on financial instruments. Realised gains/(losses) and change in unrealised appreciation/depreciation as a result thereof are included in the Statement of operations and changes in net respectively under Net realised result on Financial instruments and Movement on net unrealised gain/loss on Financial instruments. Inflation swaps are bilateral agreements which allow investors looking to hedge an investment to secure an inflationlinked return against an inflation index. The inflation buyer (inflation receiver) pays a predetermined fixed or floating rate (minus a spread). In exchange, the inflation buyer receives from the inflation seller (inflation payer) one or more inflation-linked payments. The principal risk associated with an inflation swap lies in its sensitivity to interest rates and inflation: the inflation payer takes on the risk of inflation or, in other words, of changes likely to affect the inflation curve. The payer also bears a risk relating to interest rates or, in other words, to changes in the nominal yield curve. In order to value inflation swaps, a forward zero coupon swap curve (seasonally adjusted for inflation) is constructed, facilitating the calculation of future inflation cash flows. In compliance with the obligations under CSSF circular 11/512, the Company employs the services of an independent pricing agency for the daily valuation of variance swaps. The valuation method consists in using a portfolio of European options to replicate the losses or profits on the variance swaps as they would occur under standard market conditions. The options replicate forward strike prices within a standard deviation range of plus or minus four points of the forward contract price for any given maturity. This valuation method is similar to the Black & Scholes method in that the price is derived from European options prices. The full details on each variance swap agreement are sent to the pricing agency, which in return provides a daily valuation validated by the OTC Pricing team. l) Position on mortgage-backed securities (to be announced) Mortgage-backed securities are subject to current commercial market practices in relation to securities guaranteed by bonds, according to which a security will buy/sell a basket of mortgage loans for a fixed price at a later date. At the time of the purchase/sale, the exact security is not known but its principal features are. Even if a price is agreed at the time of purchase/sale, the final face value will not yet have been fixed. The To be Announced ( TBA ) Mortgage Back Securities positions are shown in the securities portfolios as at 31 December At the closing date, the purchase/sale of these securities had not yet been settled. As a result, the amounts relating to payables/receivables on securities are included under Other liabilities / Other in the Statement of net. Page 118

121 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Note 3 - Management and advisory fees (maximum per annum) The maximum fees are to be split between the fund manager and the distributor, and are payable monthly on the basis of the average net at the following annual rates. The management fees applicable to the Classic category are applicable to all share sub-categories and classes with the word Classic in their denomination. The management fees applicable to the I category are also applicable to all share sub-categories and classes with the word I in their denomination. The management fees applicable to the Life category are also applicable to all share sub-categories and classes with the word Life in their denomination. The management fees applicable to the Privilege category are also applicable to all share sub-categories and classes with the word Privilege in their denomination. No management fee is applied to the X class. Sub-fund Classic I Life N Privilege Bond Euro Corporate 0.75% 0.30% 0.635% 0.75% N/A Bond Euro High Yield 1.20% N/A 1.085% 1.20% N/A Bond Euro Premium 0.75% 0.30% N/A 0.75% 0.40% Bond Europe Plus 0.75% 0.30% N/A 0.75% 0.40% Bond USA High Yield (absorbed on 1 July 2016) 1.20% N/A N/A 1.20% N/A Bond USD (absorbed on 1 July 2016) 0.75% N/A N/A 0.75% N/A Bond World Emerging (liquidated on 1 September 2016) 1.50% 0.60% 1.385% 1.50% N/A Bond World Emerging Local 1.50% N/A 1.385% 1.50% N/A Bond World Plus 0.75% 0.30% 0.635% 0.75% 0.40% Convertible Bond Best Selection Europe 1.20% 0.60% N/A 1.20% 0.65% Convertible Bond World 1.20% N/A 1.085% 1.20% N/A 1.50% until 0.75% until Diversified Active Click Balanced 14 January, 14 January, 1.50% N/A N/A (absorbed on 1 July 2016) N/A since N/A since 15 January 15 January Diversified Active Click Stability (absorbed on 1 July 2016) 1.50% N/A N/A 1.50% 0.75% until 14 January, N/A since 15 January Diversified World Balanced 1.50% 0.50% N/A 1.50% 0.75% Diversified World Growth 1.50% 0.50% N/A 1.50% 0.75% Diversified World Stability 1.50% 0.50% N/A 1.50% 0.75% Equity Belgium (launched on 25 November 2016) 1.25% 0.50% N/A 1.25% 0.60% Equity Euro 1.50% 0.50% 1.385% 1.50% 0.75% Equity Europe 1.50% 0.50% 1.385% 1.50% 0.75% Equity Europe DEFI (launched on 13 July 2016) 1.50% 0.75% N/A 1.50% 0.75% Equity Europe Low Volatility 1.50% 0.60% N/A 1.50% 0.75% Equity Italy 1.50% 0.60% N/A 1.50% 0.75% Equity Netherlands 1.50% 0.60% N/A 1.50% 0.75% Equity USA Core 1.50% 0.50% 1.385% 1.50% 0.75% Equity World Aqua 1.50% 0.60% 1.385% 1.50% 0.75% Equity World Emerging 1.75% N/A 1.635% 1.75% N/A Page 119

122 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Sub-fund Classic I Life N Privilege Equity World Guru 1.40% 0.65% 1.285% 1.40% 0.70% Equity World Quality Focus 1.50% 0.60% 1.385% 1.50% 0.75% Japan (launched on 18 November 2016) 1.50% 0.75% N/A 1.50% 0.75% Lifecycle 2020 (liquidated on 10 May 2016) 0.85% N/A N/A N/A 0.45% Lifecycle 2025 (liquidated on 10 May 2016) 1.10% (1) N/A N/A N/A 0.55% (2) Lifecycle 2030/2035 (liquidated on 10 May 2016) 1.35% (3) N/A N/A N/A 0.70% (4) Multi-Asset Income 1.25% 0.60% 1.235% 1.25% 0.65% Opportunities World (absorbed on 29 January 2016) 1.50% N/A 1.385% 1.50% N/A Patrimoine 1.10% 0.50% N/A 1.10% 0.55% Real Estate Securities World (absorbed on 1 July 2016) 1.50% N/A 1.385% until 14 January, N/A since 15 January 1.50% N/A Safe Aggressive W1/W4/W7/W10 (5) 1.60% N/A N/A N/A N/A Safe Conservative W1/W4/W7/W10 (5) 0.75% N/A N/A N/A N/A Safe Defensive W1/W4/W7/W10 (5) 1.45% N/A 1.635% N/A N/A Safe Dynamic W1/W7 (5) 1.55% N/A 1.635% 1.55% N/A Safe Dynamic W4/W10 (5) 1.55% N/A 1.635% N/A N/A Safe Neutral W1/W4/W7/W10 (5) 1.50% N/A 1.635% N/A N/A SMaRT Food 1.75% 0.70% 1.635% 1.75% 0.90% Sustainable Active Allocation 1.50% (6) 0.50% 1.385% 1.50% 0.75% 1 reduced to 0.85% when the Target Date is less than 7 years away. 2 reduced to 0.45% when the Target Date is less than 7 years away. 3 reduced to 1.10% when the Target Date is between 7 and 14 years away and to 0.85% when it is less than 7 years away. 4 reduced to 0.55% when the Target Date is between 7 and 14 years away and to 0.45% when it is less than 7 years away. 5 reduced to 0.40% for Classic Class, N Class and Life Class when 100% of the are invested in money market instruments. 6 reduced to 1.45% for the share class Classic Solidarity with 0.05% of Charity fee. A maximum advisory fee of 0.15% is applied to all the share classes of the sub-fund Patrimoine, excepted to the X share class. An indirect fee of maximum 0.50% is applied for the sub-funds: Lifecycle 2020 (liquidated on 10 May 2016)/2025 (liquidated on 10 May 2016)/2030 (liquidated on 10 May 2016)/2035 (liquidated on 10 May 2016), Safe Aggressive W1/W4/W7/W10, Safe Conservative W1/W4/W7/W10, Safe Defensive W1/W4/W7/W10, Safe Dynamic W1/W4/W7/W10, Safe Neutral W1/W4/W7/W10, Sustainable Active Allocation An indirect fee of maximum 1.00% is applied for the sub-funds: Diversified World Balanced, Diversified World Growth, Diversified World Stability An indirect fee of maximum 1.50% is applied for the sub-fund: Patrimoine The maximum management fee applied for the underlying sub-funds is as follow: Security Name Management Fee BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP 0.00% BNP PARIBAS AM KLE EONIA PRIME FCP - DIS 0.04% BNP PARIBAS AQUA - X - CAP 0.05% BNP PARIBAS CASH INVEST- CLASSIC 0.239% BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP 0.15% BNP PARIBAS INSTICASH USD - I - CAP 0.15% BNP PARIBAS MOIS ISR PARTS - I - CAP 0.15% BNP PARIBAS MONEY 3M - IC 0.25% Page 120

123 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Security Name Management Fee BNPP EASY EQUITY LOW VOL EUROPE UCITS ETF - CAP 0.18% BNPP EASY MSCI EMERGING MARKETS EX CONTROVERSIAL WEAPONS TRACK - X - CAP 0.00% BNPP EASY MSCI EMU EX CONTROVERSIAL WEAPONS TRACK - X - CAP 0.00% BNPP EASY MSCI EUROPE EX CONTROVERSIAL WEAPONS TRACK - X - CAP 0.00% BNPP EASY MSCI JAPAN EX CONTROVERSAL WEAPONS TRACK - X - CAP 0.00% BNPP EASY MSCI NORTH AMERICA EX CONTROVERSAL WEAPONS TRACK - X - CAP 0.00% BNPP EASY MSCI PACIFIC EX JAPAN EX CONTROVERSAL WEAPONS TRACK - X - CAP 0.00% BNPP EASY JPM GBI EMU TRACK - I - CAP 0.02% BNPP EASY JPM GBI EMU TRACK - X - CAP 0.00% LOW CARBON 100 EUROPE THEAM 0.60% PARVEST BOND ABSOLUTE RETURN V350 - X - CAP 0.00% PARVEST BOND EURO - X - CAP 0.00% PARVEST BOND EURO CORPORATE - X - CAP 0.00% PARVEST BOND EURO GOVERNMENT - X - CAP 0.00% PARVEST BOND EURO HIGH YIELD - X - CAP 0.00% PARVEST BOND EURO SHORT TERM - X - CAP 0.00% PARVEST BOND EURO SHORT TERM CORPORATE - X - CAP 0.00% PARVEST BOND USD - X - CAP 0.00% PARVEST BOND WORLD EMERGING LOCAL - X - CAP 0.00% PARVEST BOND WORLD HIGH YIELD SHORT DURATION - X - CAP 0.00% PARVEST CONVERTIBLE BOND WORLD - X - CAP 0.00% PARVEST EQUITY BEST SELECTION EURO - X - CAP 0.00% PARVEST EQUITY BEST SELECTION EUROPE - X - CAP 0.00% PARVEST EQUITY BEST SELECTION WORLD - X - CAP 0.00% PARVEST EQUITY EUROPE SMALL CAP - X - CAP 0.00% PARVEST EQUITY USA SMALL CAP - X - CAP 0.00% PARVEST EQUITY WORLD EMERGING - X - CAP 0.00% PARVEST MULTI-ASSET INCOME EMERGING - X - CAP 0.00% PARVEST REAL ESTATE SECURITIES WORLD - X - CAP 0.00% PARVEST SMART FOOD - X - CAP 0.00% PARWORLD QUANT EQUITY EUROPE GURU - X - CAP 0.00% PARWORLD QUANT EQUITY WORLD GURU - X - CAP 0.00% PARWORLD TRACK EMU GOVERNMENT BOND 1-10 YEARS - PRIV - DIS 0.05% THEAM QUANT EQUITY US GURU - X - USD 0.40% Page 121

124 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Note 4 - Distribution fees Distribution fees are calculated and deducted monthly from the average net of a sub-fund, share category, or share class, paid to the Management Company and serve to cover remuneration of the distributors, supplemental to the share of the management fee that they receive. Note 5 - Other fees Other fees are calculated and deducted monthly from the average net of a sub-fund, share category, or share class and serve to cover general custody expenses (remuneration of the Depositary) and daily administration expenses (NAV calculation, record and book keeping, notices to the shareholders, providing and printing the documents legally required for the shareholders, domiciliation, auditors cost and fees...), except for brokerage fees, commissions for transactions not related to the deposit, director fees, interest and bank fees, extraordinary expenses, reporting cost in relation with regulation requirements including the European Market Infrastructure Regulation (EMIR), and the taxe d abonnement in force in Luxembourg, as well as any other specific foreign tax and other regulators levy e.g. the tax specific to Belgium. Note 6 - Taxes In the Grand Duchy of Luxembourg, the Company is subject to an annual subscription tax ( taxe d abonnement ) of 0.05% of the value of the net. This rate is reduced to 0.01% for: a) sub-funds with the exclusive objective of collective investment in money market instruments and deposits with credit institutions; b) sub-funds with the exclusive objective of collective investment with credit institutions; c) sub-funds, categories or classes reserved for Institutional Investors, Managers and UCIs. The following are exempt from this taxe d abonnement : a) the value of represented by units or shares in other UCIs, provided that these units, or shares have already been subject to the taxe d abonnement ; b) sub-funds, share categories and/or classes: (i) whose securities are reserved for Institutional Investors, Managers, or UCIs and (ii) whose sole object is the collective investment in money market instruments and the placing of deposits with credit institutions, and (iii) whose weighted residual portfolio maturity does not exceed 90 days, and (iv) that have obtained the highest possible rating from a recognised rating agency; c) sub-funds, categories and/or classes reserved to: (i) institutions for occupational retirement pension or similar investment vehicles, set up at the initiative of one or more employers for the benefit of their employees, and (ii) companies having one or more employers investing funds to provide pension benefits to their employees; d) sub-funds whose main objective is investment in microfinance institutions; e) sub-funds, categories and/or classes: (i) whose securities are listed or traded on at least one stock exchange or another regulated market operating regularly that is recognized and open to the public, and (ii) whose exclusive object is to replicate the performance of one or several indices. When it is due, the taxe d abonnement is payable quarterly on the basis of the relevant net and is calculated at the end of the quarter for which the tax is applicable. In addition, the Company may be subject to foreign UCI s tax, and/or other regulators levy in the country where the subfund is registered for distribution. The value of the represented by units/shares held in other UCIs that have already been subject to the taxe d'abonnement are exempt from the taxe d'abonnement. Page 122

125 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Note 7 - Dividends For the Classic MD - Distribution share classes of the sub-fund Multi-Asset Income, the following dividends were paid: - Payment dates Month Record Date (1) NAV ex-dividend Date (2) Payment Date (3) January February 2016 February February 2016 March March 2016 April May 2016 May May 2016 June June 2016 July August 2016 August August 2016 September September 2016 October October 2016 November November 2016 December January 2017 (1) If this day is not a bank business day in Luxembourg, the record date will be the next following bank business day. (2) Dates are based on a valuation simulation in As a consequence, dates may change depending on the composition of the portfolio at this date. If for a particular reason, the day in question the valuation was not possible, the ex-date would be put off to the valuation day possible immediately afterwards. (3) If this day is not a bank business day in Luxembourg, the payment date will be the next following bank business day. If for a particular reason, the settlement is not possible (e.g. bank holiday on a specific or country), settlement will be made the 1st business day after or any other day communicated by the local agent. - Monthly amount: Sub-fund Class Currency Dividend Multi-Asset Income Classic MD - Distribution EUR 0.34 Multi-Asset Income Classic RH AUD MD - Distribution AUD 0.47 Multi-Asset Income Classic RH CNH MD - Distribution CNH 0.55 Multi-Asset Income Classic RH HKD MD - Distribution HKD 0.35 Multi-Asset Income Classic RH SGD MD - Distribution SGD 0.35 Multi-Asset Income Classic RH USD MD - Distribution USD 0.35 The following dividends were paid on 2 May 2016 for shares outstanding as at 21 April 2016 with an ex-date 22 April 2016: Sub-fund Class Currency Dividend Bond Euro Corporate Classic - Distribution EUR 1.50 Bond Euro High Yield Classic - Distribution EUR 4.21 Bond Europe Plus Privilege - Distribution EUR 1.77 Bond USA High Yield Classic - Distribution USD 7.15 Bond USD Classic - Distribution USD 2.61 Bond World Emerging Classic - Distribution USD 5.70 Bond World Emerging Local Classic - Distribution USD 4.14 Bond World Plus Classic - Distribution EUR 6.87 Bond World Plus Classic New Distri - Distribution EUR 6.87 Bond World Plus Classic USD - Distribution USD 1.57 Bond World Plus Privilege - Distribution EUR 1.78 Diversified World Balanced Classic - Distribution EUR 1.90 Diversified World Balanced Privilege - Distribution EUR 1.75 Diversified World Growth Classic - Distribution EUR 2.67 Diversified World Growth Privilege - Distribution EUR 2.10 Diversified World Stability Classic - Distribution EUR 1.18 Page 123

126 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Sub-fund Class Currency Dividend Diversified World Stability Privilege - Distribution EUR 1.10 Equity Euro Classic - Distribution EUR 6.00 Equity Europe Classic - Distribution EUR 9.93 Equity Europe Privilege - Distribution EUR 4.07 Equity Netherlands Classic - Distribution EUR Equity Netherlands Privilege - Distribution EUR 4.56 Equity USA Core Classic - Distribution USD 2.45 Equity USA Core Classic EUR - Distribution EUR 3.72 Equity USA Core Privilege - Distribution USD 2.66 Equity World Aqua Classic - Distribution EUR 3.29 Equity World Aqua Classic USD - Distribution USD 2.47 Equity World Emerging Classic - Distribution USD 8.65 Equity World Guru Classic - Distribution USD 2.38 Equity World Guru Classic EUR - Distribution EUR 3.84 Equity World Guru Privilege EUR - Distribution EUR 3.21 Equity World Quality Focus Classic - Distribution EUR 2.82 Equity World Quality Focus Privilege - Distribution EUR 3.27 Multi-Asset Income Classic - Distribution EUR 3.89 Multi-Asset Income Classic RH USD - Distribution USD 3.74 Multi-Asset Income Privilege - Distribution EUR 1.85 Multi-Asset Income I - Distribution EUR 3.78 Real Estate Securities World Classic - Distribution EUR 4.65 SMaRT Food Classic - Distribution EUR 2.39 Sustainable Active Allocation Classic - Distribution EUR 3.15 Sustainable Active Allocation Classic Solidarity - Distribution EUR 1.41 The following dividends were paid on 30 June 2016 for shares outstanding as at 16 June 2016 with an ex-date 17 June 2016: Sub-fund Class Currency Dividend Convertible Bond Best Selection Europe Classic - Distribution EUR 0.75 Convertible Bond World Classic - Distribution EUR 1.28 It has been decided not to pay dividends for the following sub-funds this year: Sub-fund Bond Euro Premium Bond Euro Premium Bond Europe Plus Bond Europe Plus Patrimoine Patrimoine Safe Aggressive W1 Safe Aggressive W4 Safe Aggressive W7 Safe Aggressive W10 Safe Conservative W1 Safe Conservative W4 Safe Conservative W7 Safe Conservative W10 Safe Defensive W1 Safe Defensive W4 Safe Defensive W7 Safe Defensive W10 Class Classic - Distribution Privilege - Distribution Classic - Distribution Classic New Distri - Distribution Classic - Distribution Privilege - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Page 124

127 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Sub-fund Safe Dynamic W1 Safe Dynamic W4 Safe Dynamic W7 Safe Dynamic W10 Safe Neutral W1 Safe Neutral W4 Safe Neutral W7 Safe Neutral W10 Class Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Note 8 - Share currencies The net asset value per share is priced in the of the share class and not in the of the sub-fund in the section Key figures relating to the last 3 years. Note 9 - Exchange rates The exchange rates used for consolidation and for the conversion of share classes denominated in a other than the reference of the relevant sub-fund as at 31 December 2016 were the following: EUR 1 = AUD EUR 1 = CNH EUR 1 = GBP EUR 1 = HKD EUR 1 = HUF EUR 1 = JPY EUR 1 = SGD EUR 1 = USD Note 10 - Futures contracts As at 31 December 2016, the following positions were outstanding: Bond Euro Corporate Currency Quantity Net unrealised Purchase/ Commitment Description Maturity gain/(loss) Sale (in EUR) (in EUR) EUR 4 S EURO-BUND FUTURE 08/03/ (400) EUR 30 S EURO-BOBL FUTURE 08/03/ (36 769) USD 4 S US 5YR NOTE FUTURE (CBT) 31/03/ EUR 11 S EURO-BTP FUTURE 08/03/ (17 830) USD 1 S US 10YR NOTE FUTURE (CBT) 22/03/ EUR 4 P EURO BUXL 30Y BOND 08/03/ Total: (39 413) As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to EUR. Page 125

128 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Bond Europe Plus Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/(loss) (in EUR) EUR 255 S EURO-BUND FUTURE 08/03/ ( ) EUR 647 P EURO-SCHATZ FUTURE 08/03/ EUR 815 P EURO-BOBL FUTURE 08/03/ USD 54 S ULTRA LONG TERM US TREASURY BOND FUTURE 22/03/ USD 86 S US 2YR NOTE FUTURE (CBT) 31/03/ USD 798 S US 5YR NOTE FUTURE (CBT) 31/03/ ( ) GBP 97 P LONG GILT FUTURE (LIFFE) 29/03/ EUR 52 S EURO-BTP FUTURE 08/03/ (35 920) EUR 173 P EURO OAT FUTURE FRENCH GOVT BD 10YR 6% 08/03/ CAD 10 S EUR 53 P USD 58 P USD 22 S USD 18 P CAN 10YR BOND FUTURE 22/03/ SHORT TERM EURO BTP 08/03/2017 FUTURE US 10YR NOTE FUTURE (CBT) 22/03/ US LONG BOND FUTURE 22/03/2017 (CBT) (12 325) ULTRA 10 YEAR US TREASURY NOTE 22/03/ FUTURE AUD 31 S AUST 10 YR BOND FUTURE 15/03/ (8 001) AUD 256 P AUST 3 YR BOND 15/03/ (38 092) EUR 49 S EURO BUXL 30Y BOND 08/03/ ( ) Total: As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to EUR. Bond World Plus Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/(loss) (in EUR) EUR 38 S EURO-BUND FUTURE 08/03/ (41 100) EUR 509 P EURO-SCHATZ FUTURE 08/03/ EUR 698 P EURO-BOBL FUTURE 08/03/ USD 261 S ULTRA LONG TERM US TREASURY BOND FUTURE 22/03/ USD 523 P US 2YR NOTE FUTURE (CBT) 31/03/ (31 435) USD S US 5YR NOTE FUTURE (CBT) 31/03/ ( ) GBP 5 P LONG GILT FUTURE (LIFFE) 29/03/ JPY 15 P JPN 10Y BOND (TSE) 13/03/ EUR 247 S EURO-BTP FUTURE 08/03/ ( ) Page 126

129 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Bond World Plus (continued) Currency Quantity Purchase/ Sale EUR 133 P CAD 79 P USD 408 S USD 153 P USD 156 P AUD 141 S Description EURO OAT FUTURE FRENCH GOVT BD 10YR 6% CAN 10YR BOND FUTURE US 10YR NOTE FUTURE (CBT) US LONG BOND FUTURE (CBT) ULTRA 10 YEAR US TREASURY NOTE FUTURE AUST 10 YR BOND FUTURE Maturity Commitment (in EUR) Net unrealised gain/(loss) (in EUR) 08/03/ /03/ (55 371) 22/03/ (21 672) 22/03/ /03/ (13 000) 15/03/ (36 391) AUD P AUST 3 YR BOND 15/03/ ( ) EUR 141 S EURO BUXL 30Y BOND 08/03/ ( ) KOREA 3YR BOND KRW 155 P 21/03/ FUTURE Total: ( ) As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to EUR. Diversified World Balanced Currency Quantity Net unrealised Purchase/ Commitment Description Maturity gain/(loss) Sale (in EUR) (in EUR) USD 146 S S&P 500 E-MINI FUTURE 17/03/ EUR 78 S FTSEMIB INDEX - FTSE / 17/03/2017 MIB INDEX (56 000) EUR 78 P IBEX35 EURO 20/01/ (24 688) JPY 22 S NIKKEI 225 (SGX) 09/03/ USD 260 P RUSSELL 2000 MINI INDEX FUTURE 17/03/ ( ) EUR 600 P STOXX 600 (SXXP) 17/03/ Total: (76 711) As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to EUR. Diversified World Growth Currency Quantity Net unrealised Purchase/ Commitment Description Maturity gain/(loss) Sale (in EUR) (in EUR) USD 20 S S&P 500 E-MINI FUTURE 17/03/ EUR 35 S FTSEMIB INDEX - FTSE / 17/03/2017 MIB INDEX (28 500) EUR 35 P IBEX35 EURO 20/01/ (10 570) JPY 10 S NIKKEI 225 (SGX) 09/03/ USD 110 P RUSSELL 2000 MINI INDEX FUTURE 17/03/ (94 644) Total: ( ) As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to EUR. Page 127

130 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Diversified World Stability Currency Quantity Net unrealised Purchase/ Commitment Description Maturity gain/(loss) Sale (in EUR) (in EUR) EUR 38 S EURO-BUND FUTURE 08/03/ (95 380) GBP 30 P LONG GILT FUTURE (LIFFE) 29/03/ USD 38 S S&P 500 E-MINI FUTURE 17/03/ EUR 13 S FTSEMIB INDEX - FTSE / 17/03/2017 MIB INDEX (10 075) EUR 13 P IBEX35 EURO 20/01/ (4 048) JPY 4 S NIKKEI 225 (SGX) 09/03/ USD 62 P RUSSELL 2000 MINI INDEX FUTURE 17/03/ (53 344) EUR 66 S EURO STOXX 50 - FUTURE 17/03/ (31 500) EUR 65 S STOXX 600 (SXXP) 17/03/ (12 350) Total: (86 504) As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to EUR. Equity Europe DEFI Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/(loss) (in EUR) EUR 24 P MSCI EUROPE NR 17/03/ Total: As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to EUR. Japan Currency Quantity Purchase/ Sale Description Maturity Commitment (in JPY) Net unrealised gain/(loss) (in JPY) JPY 23 P TOPIX INDX FUTURE 09/03/ Total: As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to JPY. Multi-Asset Income Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/(loss) (in EUR) EUR 26 S EURO-BUND FUTURE 08/03/ (39 430) EUR 20 P EURO-SCHATZ FUTURE 08/03/ EUR 5 S EURO-BOBL FUTURE 08/03/ (5 200) USD 32 S ULTRA LONG TERM US TREASURY BOND FUTURE 22/03/ USD 125 P US 2YR NOTE FUTURE (CBT) 31/03/ (9 540) USD 630 P US 5YR NOTE FUTURE (CBT) 31/03/ (83 276) GBP 1 P LONG GILT FUTURE (LIFFE) 29/03/ EUR 19 S EURO-BTP FUTURE 08/03/ (5 890) USD S S&P 500 E-MINI FUTURE 17/03/ EURO OAT FUTURE EUR 6 P FRENCH GOVT BD 10YR 6% 08/03/ Page 128

131 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Multi-Asset Income (continued) Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/(loss) (in EUR) CAD 10 S CAN 10YR BOND FUTURE 22/03/ USD 36 S US 10YR NOTE FUTURE (CBT) 22/03/ (40 975) USD 155 S US LONG BOND FUTURE 22/03/2017 (CBT) GBP 521 S FTSE 100 INDEX 17/03/ ( ) USD 59 P ULTRA 10 YEAR US TREASURY NOTE FUTURE 22/03/ (9 600) AUD 22 S AUST 10 YR BOND FUTURE 15/03/ (5 678) AUD 291 P AUST 3 YR BOND 15/03/ (43 300) EUR 13 S EURO BUXL 30Y BOND 08/03/ (33 500) USD P RUSSELL 2000 MINI INDEX FUTURE 17/03/ ( ) EUR S EURO STOXX 50 - FUTURE 17/03/ ( ) EUR 362 P STOXX 50 - FUTURE 17/03/ Total: ( ) As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to EUR. Broker for Futures contracts: BNP Paribas Paris Note 11 - Forward foreign exchange contracts As at 31 December 2016, the total amount purchased per and the total amount sold per in the context of forward foreign exchange contracts were as follows: Bond Euro Corporate Currency Purchase amount Currency Sale amount EUR USD Net unrealised gain (in EUR) As at 31 December 2016, the latest maturity of all outstanding contracts is 19 January Bond Europe Plus Currency Purchase amount Currency Sale amount AUD AUD BRL BRL CHF CAD CLP CHF EUR CLP GBP EUR INR GBP JPY HKD KRW HUF MXN INR NOK JPY NZD KRW RUB MXN SEK NOK TRY NZD Page 129

132 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Bond Europe Plus (continued) Currency Purchase amount Currency Sale amount USD RUB SEK SGD TRY USD Net unrealised loss (in EUR) ( ) As at 31 December 2016, the latest maturity of all outstanding contracts is 19 January Bond World Plus Currency Purchase amount Currency Sale amount AUD AUD BRL BRL CAD CAD CHF CHF CLP CLP CNH CNH CZK CZK DKK EUR EUR GBP GBP HKD ILS HUF INR ILS JPY INR KRW JPY MXN KRW MYR MXN NOK MYR NZD NOK PLN NZD RUB PLN SEK RUB SGD 1 SEK THB SGD TRY THB TWD TRY USD TWD ZAR USD ZAR Net unrealised loss (in EUR) ( ) As at 31 December 2016, the latest maturity of all outstanding contracts is 6 September Convertible Bond Best Selection Europe Currency Purchase amount Currency Sale amount EUR EUR GBP USD SEK USD Net unrealised loss (in EUR) (16 675) As at 31 December 2016, the latest maturity of all outstanding contracts is 19 January Page 130

133 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Convertible Bond World Currency Purchase amount Currency Sale amount EUR EUR USD USD Net unrealised gain (in EUR) As at 31 December 2016, the latest maturity of all outstanding contracts is 19 January Diversified World Balanced Currency Purchase amount Currency Sale amount EUR EUR USD USD 53 Net unrealised gain (in EUR) As at 31 December 2016, the latest maturity of all outstanding contracts is 19 January Diversified World Growth Currency Purchase amount Currency Sale amount EUR EUR USD USD Net unrealised gain (in EUR) As at 31 December 2016, the latest maturity of all outstanding contracts is 19 January Diversified World Stability Currency Purchase amount Currency Sale amount EUR EUR USD USD Net unrealised gain (in EUR) As at 31 December 2016, the latest maturity of all outstanding contracts is 19 January Equity USA Core Currency Purchase amount Currency Sale amount EUR USD Net unrealised gain (in USD) As at 31 December 2016, the latest maturity of all outstanding contracts is 20 January Multi-Asset Income Currency Purchase amount Currency Sale amount AUD AUD CHF CAD CNH CHF DKK CNY EUR DKK GBP EUR HKD GBP JPY HKD NOK JPY NZD NOK SEK 18 NZD SGD SEK USD SGD USD Net unrealised gain (in EUR) As at 31 December 2016, the latest maturity of all outstanding contracts is 20 January Page 131

134 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Safe Aggressive W1 Currency Purchase amount Currency Sale amount EUR EUR USD JPY Net unrealised loss (in EUR) (235) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Aggressive W4 Currency Purchase amount Currency Sale amount EUR EUR USD JPY Net unrealised loss (in EUR) (109) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Aggressive W7 Currency Purchase amount Currency Sale amount EUR EUR USD JPY Net unrealised loss (in EUR) (210) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Aggressive W10 Currency Purchase amount Currency Sale amount EUR EUR USD JPY Net unrealised loss (in EUR) (232) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Conservative W1 Currency Purchase amount Currency Sale amount EUR EUR USD USD Net unrealised gain (in EUR) 230 As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Conservative W4 Currency Purchase amount Currency Sale amount EUR USD Net unrealised gain (in EUR) 75 As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Conservative W7 Currency Purchase amount Currency Sale amount EUR USD Net unrealised gain (in EUR) 83 As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Conservative W10 Currency Purchase amount Currency Sale amount EUR USD Net unrealised gain (in EUR) 83 As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Page 132

135 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Safe Defensive W1 Currency Purchase amount Currency Sale amount EUR JPY USD Net unrealised gain (in EUR) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Defensive W4 Currency Purchase amount Currency Sale amount EUR JPY USD Net unrealised gain (in EUR) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Defensive W7 Currency Purchase amount Currency Sale amount EUR JPY USD Net unrealised gain (in EUR) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Defensive W10 Currency Purchase amount Currency Sale amount EUR JPY USD Net unrealised gain (in EUR) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Dynamic W1 Currency Purchase amount Currency Sale amount EUR EUR USD JPY Net unrealised loss (in EUR) (2 907) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Dynamic W4 Currency Purchase amount Currency Sale amount EUR EUR USD JPY Net unrealised loss (in EUR) (2 396) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Dynamic W7 Currency Purchase amount Currency Sale amount EUR EUR USD JPY Net unrealised loss (in EUR) (3 140) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Dynamic W10 Currency Purchase amount Currency Sale amount EUR EUR USD JPY Net unrealised loss (in EUR) (3 374) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Page 133

136 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Safe Neutral W1 Currency Purchase amount Currency Sale amount EUR EUR USD JPY Net unrealised loss (in EUR) (6 908) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Neutral W4 Currency Purchase amount Currency Sale amount EUR EUR USD JPY Net unrealised loss (in EUR) (8 215) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Neutral W7 Currency Purchase amount Currency Sale amount EUR EUR USD JPY Net unrealised loss (in EUR) (10 975) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Safe Neutral W10 Currency Purchase amount Currency Sale amount EUR EUR USD JPY Net unrealised loss (in EUR) (9 104) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January Counterparties to Forward foreign exchange contracts: Barclays Bank Plc Wholesale London BNP Paribas Paris BNP Paribas Securities Services Citigroup Global Market Crédit Suisse Deutsche AG Deutsche Bank London Goldman Sachs International London HSBC Bank Plc JP Morgan Securities Ltd Merrill Lynch UK Morgan Stanley And Co. International Société Générale Standard Chartered Bank UBS Ltd London Page 134

137 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Note 12 - Swaps Credit Default Swaps The Company has entered into credit default swap agreements whereby it exchanges fixed income for income linked to changes in credit events, whether with respect to an index or a bond (see details in the tables below), and vice versa. These amounts are calculated and recognised at each calculation of the Net Asset Value; the amount of the unrealised capital gain is stated under Net Unrealised gain on financial instruments in the Statement of net, and the amount of net capital loss is given under Net Unrealised loss on financial instruments in the Statement of net. Bond Euro Corporate Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 20/12/ % ITRX XOVER CDSI S26 5Y V1 20/12/2021 Net unrealised loss (in EUR) ( ) Bond Europe Plus Nominal Currency Maturity Sub-fund paid Sub-fund received USD 20/03/ % PRUDENTIAL FIN 4.5% 03-15/07/ USD 20/03/2017 METLIFE INC 5% 05-15/06/ % USD 20/06/2017 FORD MOTOR CO 6.5% 98-01/08/ % USD 20/06/ % FORD MOTOR CRED 5% 11-15/05/ USD 20/12/2017 METLIFE INC 4.75% 10-08/02/ % 10 EUR 20/12/2021 ITRX XOVER CDSI S26 5Y V1 20/12/ % EUR 20/12/ % ITRX EUR CDSI S26 5Y V1 20/12/ EUR 20/12/2021 MARKIT ITRAXX EUR SNR FIN S26 20/12/ % Net unrealised gain (in EUR) Bond World Plus Nominal Currency Maturity Sub-fund paid Sub-fund received USD 20/03/ % PRUDENTIAL FIN 4.5% 03-15/07/ USD 20/03/2017 METLIFE INC 5% 05-15/06/ % USD 20/06/2017 FORD MOTOR CO 6.5% 98-01/08/ % USD 20/06/ % FORD MOTOR CRED 5% 11-15/05/ USD 20/12/2017 METLIFE INC 4.75% 10-08/02/ % USD 20/03/2020 CITIGROUP INC 6.125% 08-15/05/ % USD 20/03/2020 GOLDMAN SACHS 5.95% 08-18/01/ % USD 20/12/2021 COLOMBIA REP OF % 03-28/01/ % Page 135

138 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Bond World Plus (continued) Nominal Currency Maturity Sub-fund paid Sub-fund received USD 20/12/2021 CHINA (PEOPLES) 7.5% 97-28/10/ % USD 20/12/2021 INDONESIA (REP) 5.875% 10-13/03/ % USD 20/12/2021 MALAYSIA USD CR14 SNRFOR 1.000% USD 20/12/2021 PHILIPPINES (REP) % 00-16/03/ % USD 20/12/2021 CHINA (PEOPLES) 7.5% 97-28/10/ % USD 20/12/2021 UNITED MEXICAN 5.95% 08-19/03/ % USD 20/12/2021 REP OF POLAND 6.375% 09-15/07/ % USD 20/12/2021 CHILE 3.875% 10-05/08/ % USD 20/12/2021 COLOMBIA REP OF % 03-28/01/ % USD 20/12/2021 MALAYSIA USD CR14 SNRFOR 1.000% USD 20/12/2021 PHILIPPINES (REP) % 00-16/03/ % USD 20/12/2021 REP OF POLAND 6.375% 09-15/07/ % 1 USD 20/12/2021 TURKEY REP OF % 00-15/01/ % EUR 20/12/ % ITRX EUR CDSI S26 5Y V1 20/12/ EUR 20/12/2021 MARKIT ITRAXX EUR SNR FIN S26 20/12/ % EUR 20/12/2021 ITRX XOVER CDSI S26 5Y V1 20/12/ % EUR 20/12/2021 ITRX XOVER CDSI S26 5Y V1 20/12/ % Net unrealised gain (in EUR) Multi-Asset Income Nominal Currency Maturity Sub-fund paid Sub-fund received USD 20/06/2021 CDX IG CDSI S26 5Y V1 20/06/ % EUR 20/06/ % ITRX EUR CDSI S25 5Y V1 20/06/2021 Net unrealised gain (in EUR) Interest Rate Swaps The Company has entered into interest rate swap agreements whereby it exchanges fixed income (sum of the notional amount and the fixed rate) for variable income (sum of the notional amount and the floating rate) and vice versa. These amounts are calculated and recognised at each calculation of the Net Asset Value; the receivable amount is stated under Other in the Statement of net, while the payable amount is given under Other liabilities in the Statement of net. Page 136

139 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Bond Europe Plus Nominal Currency Maturity Sub-fund paid Sub-fund received GBP 26/04/2017 LIBOR 6 M GBP 1.662% USD 26/01/ % LIBOR 3 M USD EUR 20/01/ % EURIBOR 6 M AUD 05/12/2019 AUSTRALIAN BK BILL ST 3 M 2.417% SGD 12/05/2020 SGD SWAP 6 M 2.100% JPY 01/07/2021 LIBOR 6 M JPY % USD 25/11/2021 LIBOR 3 M USD 2.239% SEK 13/12/ % STOCKHOLM INTERBK OFFER RATE 3 M 23 EUR 21/01/2024 EURIBOR 6 M 1.017% 14 GBP 16/03/2024 ICE LIBOR GBP 6 M 1.805% EUR 26/02/2026 EURIBOR 6 M 1.061% EUR 05/08/2026 EURIBOR 6 M 0.774% 22 USD 23/11/ % LIBOR 3 M USD USD 06/12/ % LIBOR 3 M USD SEK 13/12/2026 STOCKHOLM INTERBK OFFER RATE 3 M 1.116% 9 EUR 05/07/2032 EURIBOR 6 M 2.770% EUR 05/07/ % EURIBOR 6 M 8 EUR 28/02/ % EURIBOR 6 M GBP 17/03/ % ICE LIBOR GBP 6 M JPY 01/07/ % LIBOR 6 M JPY USD 26/01/ % LIBOR 3 M USD Net unrealised gain (in EUR) Bond World Plus Nominal Currency Maturity Sub-fund paid Sub-fund received USD 26/01/ % LIBOR 3 M USD EUR 20/01/ % EURIBOR 6 M JPY 16/10/2019 LIBOR 6 M JPY 0.243% AUD 05/12/2019 AUSTRALIAN BK BILL ST 3 M 2.417% SGD 12/05/2020 SGD SWAP 6 M 2.100% JPY 01/07/2021 LIBOR 6 M JPY % 14 MXN 30/09/2021 MEXICO MXI TIIE 28 D 6.095% ZAR 05/10/2021 JIBA1M JIBAR 3 M 7.660% 5 CZK 07/10/2021 PRAGUE INTERBK OFFER RATE 6 M 0.390% 1 ILS 07/10/2021 TELBOR 3 M ILS 0.715% PLN 07/10/2021 WARSAW INTERBK OFFER RATE 6 M 1.970% MXN 19/10/2021 MEXICO MXI TIIE 28 D 5.950% ZAR 24/10/2021 JIBA1M JIBAR 3 M 7.790% CZK 26/10/2021 PRAGUE INTERBK OFFER RATE 6 M 0.450% 1 ILS 26/10/2021 TELBOR 3 M ILS 0.730% KRW 26/10/2021 KRW CD 3 M 1.395% USD 25/11/2021 LIBOR 3 M USD 2.239% SEK 13/12/ % STOCKHOLM INTERBK OFFER RATE 3 M MYR 16/12/2021 MALAYSIA IBOR 3 M 4.140% Page 137

140 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Bond World Plus (continued) Nominal Currency Maturity Sub-fund paid Sub-fund received KRW 21/12/2021 KRW CD 3 M 1.695% EUR 21/01/2024 EURIBOR 6 M 1.017% 50 GBP 16/03/2024 ICE LIBOR GBP 6 M 1.805% MXN 05/05/2025 MEXICO MXI TIIE 28 D 6.310% 19 EUR 26/02/2026 EURIBOR 6 M 1.061% EUR 05/08/2026 EURIBOR 6 M 0.774% USD 23/11/ % LIBOR 3 M USD USD 06/12/ % LIBOR 3 M USD SEK 13/12/2026 STOCKHOLM INTERBK OFFER RATE 3 M 1.116% 2 EUR 05/07/2032 EURIBOR 6 M 2.770% JPY 16/10/2034 LIBOR 6 M JPY 1.398% GBP 27/10/2034 LIBOR 6 M GBP 2.670% EUR 05/07/ % EURIBOR 6 M GBP 27/10/2044 LIBOR 6 M GBP 2.726% JPY 29/10/2044 LIBOR 6 M JPY 1.623% EUR 28/02/ % EURIBOR 6 M 14 GBP 17/03/ % ICE LIBOR GBP 6 M JPY 01/07/ % LIBOR 6 M JPY USD 26/01/ % LIBOR 3 M USD Net unrealised gain (in EUR) Inflation Swaps The Company has entered into inflation swap agreements whereby it exchanges fixed income (sum of the notional amount and the fixed rate) for variable income (sum of the notional amount and the floating rate) and vice versa. These amounts are calculated and recognised at each calculation of the Net Asset Value; the receivable amount is stated under Other in the Statement of net, while the payable amount is given under Other liabilities in the Statement of net. Bond Europe Plus Nominal Currency Maturity Sub-fund paid Sub-fund received USD 26/01/2018 US CPI URBAN CONSUMERS NSA 1.150% USD 01/04/ % US CPI URBAN CONSUMERS NSA 5 GBP 20/04/2026 UK RPI NSA 2.960% GBP 02/12/2046 UK RPI NSA 3.492% USD 05/12/ % US CPI URBAN CONSUMERS NSA Net unrealised loss (in EUR) ( ) Bond World Plus Nominal Currency Maturity Sub-fund paid Sub-fund received USD 26/01/2018 US CPI URBAN CONSUMERS NSA 1.150% USD 01/04/ % US CPI URBAN CONSUMERS NSA 12 GBP 20/04/2026 UK RPI NSA 2.960% Page 138

141 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Bond World Plus (continued) Nominal Currency Maturity Sub-fund paid Sub-fund received GBP 02/12/2046 UK RPI NSA 3.492% USD 05/12/ % US CPI URBAN CONSUMERS NSA Net unrealised loss (in EUR) ( ) Total Return Swaps A Total Return Swap (TRS) is an agreement to exchange the total performance of a bond or other underlying asset (share, index, etc.) for a benchmark rate plus a spread. The total performance includes the interest coupons, dividends and profits and losses on the underlying asset over the life of the agreement, depending on the type of underlying concerned. The risk in this type of agreement is linked to the fact that the benefit for each counterparty will depend on how the underlying asset performs over time, which is unknown at the time at which the agreement is entered into. Bond Euro Premium Nominal % Of engaged % % % Counterparty Currency Maturity Sub-fund paid Sub-fund received SOCIETE GENERALE PARIS, FRANCE BNP PARIBAS PARIS, FRANCE BARCLAYS BANK LONDON, UNITED KINGDOM EUR 07/12/2017 EURIBOR 3 M % EUR 07/12/2017 PERFORMANCE OF BASKET SHARES * EUR 07/12/2017 EURIBOR 3 M % Net unrealised loss (in EUR) IBOXX EURO SOVEREIGNS EUROZONE 3-5 TOTAL RETURN EURIBOR 3 M % IBOXX EURO SOVEREIGNS EUROZONE 3-5 TOTAL RETURN * The basket of shares consists of the following: Accor SA Carrefour SA Sanofi Aventis Air Liquide SA Daimler AG-Registered Shares SAP SE Airbus Group SE Danone Schneider Electric SE Allianz SE - Reg Deutsche Post Siemens AG - Reg Anheuser - Busch Inbev SA/NV Essilor International Societe Generale SA BASF SE L'oreal Technip SA Bayer AG - Reg Orange Total SA BNP Paribas Renault SA Unilever NV - CVA Multi-Asset Income Nominal % Of engaged % % % % Counterparty Currency Maturity Sub-fund paid Sub-fund received BNP PARIBAS PARIS, FRANCE BNP PARIBAS PARIS, FRANCE BNP PARIBAS PARIS, FRANCE BNP PARIBAS PARIS, FRANCE EUR 02/08/2017 EURIBOR 3 M 360 DAYS (44 260) BNP PARIBAS LEO EU ER GBP 02/08/2017 LIBOR 3 M GBP BNP PARIBAS LEO UK ER USD 02/08/2017 LIBOR 3 M USD BNP PARIBAS LEO US ER EUR 11/12/2017 EURIBOR 3 M 360 DAYS BNP PARIBAS LEO EU ER Page 139

142 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Multi-Asset Income (continued) Nominal % Of engaged % % Counterparty Currency Maturity Sub-fund paid Sub-fund received BNP PARIBAS PARIS, FRANCE BNP PARIBAS PARIS, FRANCE Counterparties to Swaps contracts: Barclays Bank London, United Kingdom BNP Paribas Paris, France Citigroup Global Market, United Kingdom Crédit Suisse International, United Kingdom Deutsche Bank, United Kingdom Deutsche Bank AG, Germany Goldman Sachs International London, United Kingdom JP Morgan London, United Kingdom Nomura International Plc, United Kingdom Société Générale Paris, France UBS Limited Loc, United Kingdom GBP 11/12/2017 LIBOR 3 M GBP BNP PARIBAS LEO UK ER USD 11/12/2017 LIBOR 3 M USD BNP PARIBAS LEO US ER Net unrealised loss (in EUR) ( ) Note 13 - Options positions For options contracts with the same Description, Currency, Maturity Date, Strike and Counterparty, the positions are consolidated. In this context, the options quantities can be 0. As at 31 December 2016, the following positions on options were outstanding: Bond Europe Plus Currency Quantity Purchase/ Sale USD 474 P USD 200 P EUR 225 P Description PUT EURO$ 1 YEAR MID CUR 16/06/ CALL US 5YR NOTE FUTURE 24/02/ CALL EURO-BUND FUTURE 24/02/ Maturity date Strike Exposure/ Commitment (in EUR) (in EUR) 16/06/ /02/ /02/ Total: As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to EUR. Page 140

143 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Bond World Plus Currency Quantity Purchase/ Sale USD 6 P USD 6 P USD 2 P USD 2 P USD P USD 8 P USD 8 P USD 4 P USD 4 P USD 400 P EUR 352 P Description CALL US 10YR NOTE FUTURE (CBT) 27/01/ CALL US 10YR NOTE FUTURE (CBT) 27/01/ CALL US LONG BOND FUTURE (CBT) 27/01/ CALL US LONG BOND FUTURE (CBT) 27/01/ PUT EURO$ 1 YEAR MID CUR 16/06/ CALL US 10YR NOTE FUTURE (CBT) 24/02/ CALL US 10YR NOTE FUTURE (CBT) 24/02/ CALL US LONG BOND FUTURE (CBT) 24/02/ CALL US LONG BOND FUTURE (CBT) 24/02/ CALL US 5YR NOTE FUTURE 24/02/ CALL EURO-BUND FUTURE 24/02/ Maturity date Strike Exposure/ Commitment (in EUR) (in EUR) 27/01/ /01/ /01/ /01/ /06/ /02/ /02/ /02/ /02/ /02/ /02/ Total: As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to EUR. Multi-Asset Income Currency Quantity Purchase/ Sale USD S USD P EUR 0 P Description CALL USD/JPY 25/01/ CALL JPY/USD 25/01/ CALL EUR/GBP 13/01/ Maturity date Strike Exposure/ Commitment (in EUR) (in EUR) 25/01/ ( ) 25/01/ /01/ Total: 0 As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to EUR. Page 141

144 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Counterparties to Options: BNP Paribas Paris Deutsche Bank JP Morgan London Nomura International Plc Swaptions A type of option between two parties that can be exercised on a swap where the buyer of the swap has the right, but not obligation to, receive an agreed upon fixed interest rate. The buyer pays a premium for the right to swap at this fixed rate. Short for a call swap option, a call swaption can be used as a hedging tool to avoid risk if a bond issuer believes interest rates might decrease. Bond Europe Plus Nominal Currency Type Strike Maturity Cash Flow 20 USD Swaption put on CDS 1.029% 18/01/2017 PUT CDX HY CDSI S27 5Y 18/01/ EUR Swaption call on CDS 3.125% 18/01/2017 CALL ITRX XOVER CDSI S26 5Y V1 18/01/ EUR Swaption put on CDS 4.500% 18/01/2017 PUT ITRX XOVER CDSI S26 5Y V1 18/01/ GBP Swaption put on IRS 3.872% 02/06/2023 PUT 6-M GBP-LIBOR 02/06/ (in EUR) ( ) Bond World Plus Nominal Currency Type Strike Maturity Cash Flow 63 USD Swaption put on CDS 1.029% 18/01/2017 PUT CDX HY CDSI S27 5Y 18/01/ EUR Swaption call on CDS 3.125% 18/01/2017 CALL ITRX XOVER CDSI S26 5Y V1 18/01/ EUR Swaption put on CDS 4.500% 18/01/2017 PUT ITRX XOVER CDSI S26 5Y V1 18/01/ GBP Swaption put on IRS 3.872% 02/06/2023 PUT 6-M GBP-LIBOR 02/06/ (in EUR) ( ) Counterparties to Swaptions: Barclays Bank London Citigroup Global Market Goldman Sachs International London Royal Bank of Scotland Page 142

145 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Note 14 - Securities lending As at 31 December 2016, the Company has not concluded securities lending agreement. Note 15 - Global overview of collateral As at 31 December 2016, the SICAV pledged the following collateral in favour of financial instruments counterparties: Sub-fund Currency OTC collateral Type of collateral Bond Euro Corporate EUR Cash Bond Europe Plus EUR Cash Bond World Plus EUR Cash Convertible Bond World EUR Cash Diversified World Balanced EUR Cash Diversified World Stability EUR Cash Equity USA Core USD Cash Multi-Asset Income EUR Cash As at 31 December 2016, the counterparties to financial instruments pledged the following collateral in favour of the SICAV: Sub-fund Currency OTC collateral Type of collateral Bond Euro Premium EUR Cash Bond Europe Plus EUR Cash Bond World Plus EUR Cash Convertible Bond Best Selection Europe EUR Cash Diversified World Balanced EUR Cash Diversified World Growth EUR Cash Diversified World Stability EUR Cash Multi-Asset Income EUR Cash Note 16 - Change in the composition of the securities portfolio The list of changes to the composition of the securities portfolio during the year is available free of charge at the Management Company s registered office and from local agents. Page 143

146 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Note 17 - List of Investment managers BNP Paribas Asset Management S.A.S., abbreviated to BNPP AM France BNP Paribas Investment Partners Asia Ltd., abbreviated to BNPP IP Asia BNP Paribas Investment Partners Belgium, abbreviated to BNPP IP Belgium BNP Paribas Investment Partners Nederland N.V., abbreviated to BNPP IP Nederland BNP Paribas Investment Partners UK Limited, abbreviated to BNPP IP UK Fischer Francis Trees & Watts US, Inc., abbreviated to FFTW US Impax Asset Management Limited, abbreviated to Impax River Road Asset Management, LLC,, abbreviated River Road THEAM S.A.S. Sub-fund Bond Euro Corporate Convertible Bond Best Selection Europe Convertible Bond World Diversified World Balanced Diversified World Stability Equity Europe Bond Euro Premium Equity Europe DEFI (launched on 13 July 2016) Equity Europe Low Volatility Equity Italy Equity World Guru Japan (launched on 18 November 2016) Bond Euro High Yield Sustainable Active Allocation Equity Netherlands Lifecycle 2020 (liquidated on 10 May 2016) Lifecycle 2025 (liquidated on 10 May 2016) Lifecycle 2030 (liquidated on 10 May 2016) Lifecycle 2035 (liquidated on 10 May 2016) Real Estate Securities World (absorbed on 1 July 2016) Bond World Emerging (liquidated on 1 September 2016) Bond World Emerging Local Equity World Aqua SMaRT Food Bond USA High Yield (absorbed on 1 July 2016) Equity USA Core Equity World Emerging Bond Europe Plus Bond World Plus Diversified Active Click Balanced (absorbed on 1 July 2016) Diversified Active Click Stability (absorbed on 1 July 2016) Investment managers BNPP AM France Subdelegating to BNPP IP UK for the FX management BNPP IP UK (FX Management) BNPP IP UK BNPP AM France Subdelegating to BNPP IP UK for the FX management THEAM S.A.S. BNPP AM France Subdelegating to BNPP IP UK for the FX management BNPP IP UK (inclusive FX Management) BNPP IP Belgium BNPP AM France BNPP IP Nederland FFTW US (until 17 May 2016) BNPP IP UK (inclusive FX Management) Impax Impax BNPP IP UK (FX Management) FFTW US BNPP IP UK (FX Management) FFTW US BNPP IP UK FFTW US BNPP AM France BNPP IP Belgium THEAM S.A.S. BNPP IP UK FFTW US Page 144

147 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Equity Euro Sub-fund Safe Aggressive W1 Safe Aggressive W4 Safe Aggressive W7 Safe Aggressive W10 Safe Conservative W1 Safe Conservative W4 Safe Conservative W7 Safe Conservative W10 Safe Defensive W1 Safe Defensive W4 Safe Defensive W7 Safe Defensive W10 Safe Dynamic W1 Safe Dynamic W4 Safe Dynamic W7 Safe Dynamic W10 Safe Neutral W1 Safe Neutral W4 Safe Neutral W7 Safe Neutral W10 Bond USD (absorbed on 1 July 2016) Equity World Quality Focus Opportunities World (absorbed on 29 January 2016) Multi-Asset Income Diversified World Growth Patrimoine Equity Belgium (launched on 25 November 2016) BNPP IP UK BNPP AM France BNPP IP Belgium THEAM S.A.S. BNPP IP UK FFTW US BNPP IP UK Investment managers BNPP IP Nederland Subdelegating to BNPP IP UK Subdelegating to BNPP IP Asia (sub-sub delegating FX Management to BNPP IP UK) Subdelegating to River Road Subdelegating to FFTW US Subdelegating to BNPP AM France Subdelegating to THEAM S.A.S. BNPP IP UK (co-management including FX Management) BNPP AM France Subdelegating to BNPP IP UK for the FX Management BNPP AM France Subdelegating to BNPP IP UK for the FX Management and exposure management BNPP AM France Note 18 - Transaction fees Transaction fees incurred by the Fund relating to purchase or sale of transferable securities, money market instruments, derivatives or other eligible are mainly composed of standard fees, sundry fees on transaction, stamp fees, brokerage fees, custody fees, VAT fees, stock exchange fees and RTO (Reception and Transmission of Orders) fees. In line with bond market practice, a bid-offer spread is applied when buying and selling these securities. Consequently, in any given transaction, there will be a difference between the purchase and sale prices quoted by the broker, which represents the broker s fee. Page 145

148 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Note 19 - Tax reclaims as part of the Aberdeen/Fokus Bank Project In several European Union member states, community law grants undertakings for collective investments (UCIs) the right to file claims with a view to recovering taxes they have been unjustly forced to pay. When one member state imposes a greater tax burden on a foreign UCI than on a resident UCI, this constitutes discrimination under community law. This principle was confirmed by the ruling of the Court of Justice of the European Union (CJEU) in the Aberdeen case (18 June 2009). This ruling acknowledges that a non-resident UCI can be subject to discriminatory taxation, which constitutes an obstacle to freedom of establishment and/or the free movement of capital. Other CJEU rulings have subsequently confirmed this jurisprudence. Key examples are the rulings in the Santander (10 May 2010) and Emerging Markets (10 April 2014) cases regarding French and Polish tax legislation, respectively. In light of this jurisprudence and in order to safeguard the right of UCIs to receive tax rebates, the management company has decided to file claims with the tax authorities in several member states whose discriminatory legislation fails to comply with community law. Preliminary studies will be carried out to determine whether or not the claims are viable, i.e. for which funds, in which member states and over what period of time it is necessary to request a rebate. To date, there is no European legislation establishing a uniform framework for this type of claim. As a result, the time taken to receive a rebate and the complexity of the procedure vary depending on the member state in question. This means that it is necessary to constantly monitor developments in this regard. Due to the uncertainty of the recoverability of the amounts, no accrual is recorded and it is booked under the caption Income on investments and when received. Note 20 - Subsequent events With effective date 3 February 2017, launch of the USA sub-fund as Master of the French Fund BNP PARIBAS ACTIONS USA by absorption of the French Fund BNP Paribas Quantamerica. With effective date 16 February 2017, Cross Border Merger of the Safe sub-funds into the Belgian sicav BNP PARIBAS B STRATEGY as follows: Merging BNP Paribas L1 sub-funds Receiving BNP PARIBAS B STRATEGY sub-funds Sub-fund Share class Sub-fund Share class Safe Aggressive W1 Classic - Distribution Global Aggressive Classic - Distribution Safe Aggressive W4 Classic - Distribution Global Aggressive Classic - Distribution Safe Aggressive W7 Classic - Distribution Global Aggressive Classic - Distribution Safe Aggressive W10 Classic - Distribution Global Aggressive Classic - Distribution Safe Conservative W1 Classic - Distribution Global Conservative Classic - Distribution Safe Conservative W4 Classic - Distribution Global Conservative Classic - Distribution Safe Conservative W7 Classic - Distribution Global Conservative Classic - Distribution Safe Conservative W10 Classic - Distribution Global Conservative Classic - Distribution Safe Defensive W1 Classic - Distribution Global Defensive Classic - Distribution Safe Defensive W1* Life - Capitalisation Global Defensive Life - Capitalisation Safe Defensive W4 Classic - Capitalisation Global Defensive Classic - Capitalisation Safe Defensive W4 Classic - Distribution Global Defensive Classic - Distribution Safe Defensive W4* Life - Capitalisation Global Defensive Life - Capitalisation Safe Defensive W7 Classic - Distribution Global Defensive Classic - Distribution Safe Defensive W7* Life - Capitalisation Global Defensive Life - Capitalisation Safe Defensive W10 Classic - Distribution Global Defensive Classic - Distribution Safe Defensive W10* Life - Capitalisation Global Defensive Life - Capitalisation Safe Dynamic W1 Classic - Distribution Global Dynamic Classic - Distribution Safe Dynamic W1* Life - Capitalisation Global Dynamic Life - Capitalisation Safe Dynamic W1 N - Capitalisation Global Dynamic N - Capitalisation Safe Dynamic W4 Classic - Distribution Global Dynamic Classic - Distribution Safe Dynamic W4* Life - Capitalisation Global Dynamic Life - Capitalisation Page 146

149 BNP Paribas L1 Notes to the financial statements at 31/12/2016 Merging BNP Paribas L1 sub-funds Receiving BNP PARIBAS B STRATEGY sub-funds Safe Dynamic W7 Classic - Capitalisation Global Dynamic Classic - Capitalisation Safe Dynamic W7 Classic - Distribution Global Dynamic Classic - Distribution Safe Dynamic W7* Life - Capitalisation Global Dynamic Life - Capitalisation Safe Dynamic W7 N - Capitalisation Global Dynamic N - Capitalisation Safe Dynamic W10 Classic - Distribution Global Dynamic Classic - Distribution Safe Dynamic W10* Life - Capitalisation Global Dynamic Life - Capitalisation Safe Neutral W1 Classic - Capitalisation Global Neutral Classic - Capitalisation Safe Neutral W1 Classic - Distribution Global Neutral Classic - Distribution Safe Neutral W1* Life - Capitalisation Global Neutral Life - Capitalisation Safe Neutral W4 Classic - Distribution Global Neutral Classic - Distribution Safe Neutral W4* Life - Capitalisation Global Neutral Life - Capitalisation Safe Neutral W7 Classic - Distribution Global Neutral Classic - Distribution Safe Neutral W7* Life - Capitalisation Global Neutral Life - Capitalisation Safe Neutral W10 Classic - Distribution Global Neutral Classic - Distribution Safe Neutral W10* Life - Capitalisation Global Neutral Life - Capitalisation * No issued shares at the date of the merger. The share class I - Capitalisation of the sub-funds Safe Defensive W4 and Safe Dynamic W1 has been liquidated before the above merger, on 2 February Page 147

150 Unaudited appendix BNP Paribas L1 Voting rights - Governance and voting policy a) Introduction BNP Paribas Investment Partners (BNPP IP) considers the promotion of sound corporate governance practices to be an essential part of its proprietal responsibility. Corporate governance has to do with the system by which a company is managed and controlled. It relates to its management, its supervision and control mechanisms, as well as its relationships with stakeholders. Sound corporate governance establishes the framework which ensures that the company is managed in accordance with the long-term interests of its shareholders. BNPP IP expects all companies in which it invests to conform to best corporate governance practices. Voting at general meetings plays an important role in the dialogue with the companies in which we invest on behalf of our clients and is an integral part of the BNPP IP management processes. BNPP IP ensures that it exercises its voting rights in consideration of the specific circumstances of the company. Our voting policy and guidelines are reviewed annually so as to take into account changes in governance codes and market practices and are approved by BNPP IP s Board of Directors. Our voting policy applies to all of BNPP IP s management activities and to all BNPP IP entities that delegate the exercise of their voting rights to BNPP IP. The entities to which we delegate management duties are obliged to bear in mind our expectations and market practices when exercising their voting rights and to notify us regularly of the results achieved. b) Governance and voting principles The following principles describe BNPP IP s expectations of the listed companies in which it invests. They constitute a code of conduct guiding the execution of tasks on behalf of BNPP IP. i. To act in the long-term interests of shareholders The primary objective for companies should be to achieve long-term value for shareholders. Corporate governance practices should concentrate the attention of the Board of Directors on this objective. A clear strategy must be implemented to fulfill this objective, while considering all key stakeholders. ii. To protect the rights of shareholders All shareholders must be given the opportunity to vote on decisions pertaining to fundamental changes to the Company. Companies must ensure that investors rights are protected and treated on an equal basis, in particular by respecting the principle of one share - one vote - one dividend. Capital increases should be regulated in order to minimise dilution risk for existing shareholders. The mechanisms for averting takeover bids must not be deployed to unburden directors of their responsibilities. iii. To ensure an independent, effective advisory structure The Board of Directors and committees should maintain a strong presence of non-executive directors to ensure that management is effectively supervised. Directors must have the skills and involvement necessary to improve the efficiency of the Board of Directors. Finally, directors must be chosen in light of the need for the Board to be appropriately diverse. iv. To align compensation structures with the long-term interest of shareholders Compensation must be aligned with the Company's long-term performance. Compensation schemes should in no way limit the Company s ability to attract and retain directors. They must be in line with best market practices and be clearly communicated to shareholders in detail. Page 148

151 Unaudited appendix BNP Paribas L1 v. To disclose adequate information in a precise and timely manner Companies should ensure that the financial and operating results as well as information on capital distribution and on environmental, social and governance performance are communicated in a precise and timely manner. Annual audits of the financial statements produced by independent external auditors should exist in all companies. vi. To ensure sound environmental and social performance Companies should behave responsibly towards all their stakeholders and respect best environmental, social and governance practices in order to protect the long-term interest of shareholders. Companies should supply information on their carbon emissions and their commitment to the fight against climate change. c) Practical voting procedures i. The client BNPP IP advises its clients to delegate their voting rights to BNPP IP to allow the Company to preserve the interests of shareholders. BNPP IP votes solely in the interest of its clients and the ultimate beneficiaries of the funds for which it is responsible. BNPP IP must not subordinate the interests of its clients to other objectives. For clients having delegated their voting rights to BNPP IP, BNPP IP will ensure that proxies are received and voted in accordance with BNPP IP guidelines. All BNPP IP clients are made aware that such policies and voting procedures are in place. ii. Voting committee BNPP IP has appointed a proxy voting committee (PVC), which draws up the voting policy and then monitors adherence to this policy and the procedures. As voting is considered an integral part of the investment process, ultimate voting responsibility falls to the fund manager. iii. Voting perimeter The selection of securities over which BNPP IP exercises voting rights is guided by a dual objective: to concentrate our efforts on positions that account for a major proportion of our under management and to attend the general meetings of shareholders of those companies in which our funds hold a significant share of the capital. Our voting perimeter consists of companies in which the aggregated positions meet the following two criteria: They account for 90% of the accumulated total of our equity positions. They account for at least 1% of the company s stock exchange capitalisation. iv. Voting procedure The following points outline the key steps in the voting procedure by mail, from notification of the agenda for ordinary general meetings (OGM) or extraordinary general meetings (EGM) to execution of the vote: The company announces the OGM/EGM and its agenda. The custodian sends the ballot papers to the voting platform. Securities on loan are recalled or lending is restricted where it is deemed that the vote is important for the company or that too many securities are on loan. The SRI team and our voting service provider conduct an analysis of the agenda and make voting recommendations in accordance with our guidelines. Dialogue gets under way with issuers on an ad hoc basis. Voting instructions are issued by the fund manager or PVC and the vote is executed via our platform. Page 149

152 Unaudited appendix BNP Paribas L1 v. Conflicts of interest The free exercise of voting rights by BNPP IP would most likely be put in jeopardy in the following situations: An employee has personal or professional ties with the company whose shares are subject to the vote; Commercial relationships exist between the company concerned by the vote and another entity of the BNP Paribas Group; The voting rights being exercised involve shares of the BNP Paribas Group or significant interests of the Group. A number of mechanisms are aimed at preventing potential conflicts of interest: The voting policy stipulates that voting must be carried out in the exclusive interest of our clients and principals and stresses the independence of BNPP IP from the BNP Paribas Group and its business lines and subsidiaries; The voting guidelines, which provide a decision-making framework in relation to the exercise of the vote, are approved by the BNPP IP Board of Directors; Draft resolutions are assessed on the basis of analyses performed by independent external consultants; Employees have a duty to respect the procedures governing personal gifts and perquisites, and are obliged to declare any other professional activity; The Chinese wall separating BNPP IP from the other entities of the Group guarantees that BNPP IP employees remain independent in the conduct of their missions and responsibilities. Files on all potential conflicts of interest and their resolution will be held with the minutes of the PVC. Unavoidable conflicts of interest are resolved via an escalation mechanism involving the management of BNPP IP, namely: i. The fund manager ii. The compliance and internal audit officers iii. The Chairman vi. Transparency and Reporting BNPP IP is transparent as regards its voting policy and procedures: A copy of this policy can be viewed on the BNPP IP website; An annual report is published, which gives an overview of our voting activities; Details on our voting activity, resolution by resolution, can be obtained by our clients upon request. d) Voting guidelines These voting guidelines supplement the voting policy concerning voting at general meetings of shareholders of BNPP IP listed companies. The main types of resolution on which we are called to vote fall within four categories: i. Approval of financial statements ii. Financial operations iii. Appointment and compensation of directors and corporate officers iv. Other resolutions (e.g. regulated agreements) For each type of resolution, the guidelines propose the best practices and indicate situations that may lead to objections or abstentions during the vote. Voting decisions are taken in view of the following principles: For : the resolution reflects or is based on best practice and is in the long-term interest of shareholders. Abstention : the resolution raises an issue from the shareholders perspective. Against : the resolution is unacceptable and is not in the long-term interest of shareholders. Page 150

153 Unaudited appendix BNP Paribas L1 Consideration of environmental, social and governance (ESG) criteria BNP Paribas Asset Management applies a Responsible Investment Policy which sets out a certain number of ESG criteria applicable to our investment decisions. This policy is based on the criteria of the United Nations Global Compact, an international framework built on international conventions relating to human rights, labour, the environment and anti-corruption. This global initiative is supplemented by criteria aimed at controlling investment in certain business sectors, such as nuclear and coal-fired power stations, and prohibiting investment in controversial products, such as anti-personnel mines and cluster bombs. The investment criteria and implementation principles included in our Responsible Investment Policy can be consulted on our website at Furthermore, with regard to this UCITS, BNP Paribas Asset Management has applied a Sustainable Responsible Investment (SRI) policy, the principles of which are described in the AFG-FIR-Eurosif Transparency Code available on our website at for the following sub-fund: - Equity World Aqua - SMaRT Food - Sustainable Active Allocation Global market risk exposure The Management Company of the Fund, after a risk profile assessment, decides between the commitment approach and the VaR (99%, 1 Month) to determine the global market risk exposure. The VaR limit use (minimum, maximum and average) is calculated by dividing the Daily VaR by the daily VaR limit (20% for absolute return VaR sub-funds and 2 times benchmark VaR for relative VaR sub-funds). The global market risk exposure information for the year ending 31 December 2016, are as follows: Sub-fund Bond Euro High Yield Global Risk calculation Method Relative VaR VaR model Historical VaR Reference Portfolio ML - BB B European Currency Non Financial HY Constrained Index (HP4N) VaR limit 2 times Benchmark VaR Lowest utilisation of VaR limit Highest utilisation of VaR limit Average utilisation of VaR limit Average level of leverage reached during the year 42.47% 74.53% 59.21% 25.64% Bond Europe Plus Relative VaR Historical VaR 80% Barclays Euro Aggregate 1-10 years (RI) + 20% Barclays Sterling Aggregate 1-10 years (RI)* since 17 May times Benchmark VaR 31.33% 71.89% 56.94% % Bond USD (absorbed on 1 July 2016) Relative VaR Historical VaR 100% Barclays US Aggregate 2 times Benchmark VaR 0.00% 74.59% 58.63% % Bond World Emerging (liquidated on 1 September 2016) Relative VaR Historical VaR JPM EMBI Global Diversified 2 times Benchmark VaR 31.73% 53.18% 42.60% 27.00% Bond World Plus Relative VaR Historical VaR Barclays Global Aggregate (EUR) RI 2 times Benchmark VaR 42.23% 70.38% 51.88% % Page 151

154 BNP Paribas L1 Unaudited appendix Sub-fund Global Risk calculation Method VaR model Reference Portfolio VaR limit Lowest utilisation of VaR limit Highest utilisation of VaR limit Average utilisation of VaR limit Average level of leverage reached during the year Convertible Bond Best Selection Europe Relative VaR Historical VaR Thomson Reuters Europe Convertible Bond (EUR)** since 15 January times Benchmark VaR 29.93% 46.11% 37.05% 41.98% Convertible Bond World Relative VaR Historical VaR Thomson Reuters Global Focus Vanilla Hedged (EUR) CB*** since 15 January times Benchmark VaR 17.85% 48.42% 26.38% 98.89% Opportunities World (absorbed on 29 January 2016) Relative VaR Historical VaR MSCI AC World Free (EUR) NR 2 times Benchmark VaR 46.97% 52.06% 49.75% 0.00% The sub-funds not disclosed in the table here above use the commitment approach in order to measure and monitor the global exposure. * The reference portfolio was JPM GBI Europe Gross Return Index until 16 May ** The reference portfolio was UBS Convertible Europe (EUR) RI until 14 January *** The reference portfolio was UBS Convertible Global Focus Vanilla (Hedged in EUR) (EUR) RI until 14 January Information on the remuneration policy in effect within the Management Company Information on remuneration policy, applicable during the financial year 2016, is available on request to the management company BNP Paribas Investment Partners Luxembourg, 10 rue Edward Steichen, L-2540 Luxembourg. In addition, descriptive information on the remuneration policy of the management company can be found on the website Regulation on transparency of Securities Financing Transactions and Reuse of collateral (SFTR) This collateral applies to all OTC activity of this fund. There is no way to distinguish it upon type of instrument it is related to. Bond Euro Premium Counterparty name Type Sub-fund Currency Market Value (absolute value) Maturity Issuers Safekeeping of collateral received Safekeeping of collateral granted Reinvestment SOCIETE GENERALE Cash EUR Open None BP2S N/A No Total (absolute value) EUR Multi-Asset Income Counterparty name DEUTSCHE BANK AKTIENGESELLS CHAFT Market Value Safekeeping Safekeeping Sub-fund Type (absolute Maturity Issuers of collateral of collateral Reinvestment Currency value) received granted Cash EUR Open None BP2S N/A No Page 152

155 BNP Paribas L1 Unaudited appendix Counterparty name JP MORGAN SECURITIES PLC Market Value Safekeeping Safekeeping Sub-fund Type (absolute Maturity Issuers of collateral of collateral Reinvestment Currency value) received granted Cash EUR Open None N/A Pooled N/A HSBC BANK PLC Cash EUR Open None BP2S N/A No MERRIL LYNCH INTERNATIONAL MORGAN STANLEY & CO INTERNATIONAL PLC Cash EUR Open None N/A Pooled N/A Cash EUR Open None BP2S N/A No NOMURA Cash EUR Open None N/A Pooled N/A BNP PARIBAS Cash EUR Open None N/A Pooled N/A CITIGROUP GLOBAL MARKETS LIMITED SOCIETE GENERALE Cash EUR Open None BP2S N/A No Cash EUR Open None BP2S N/A No UBS LIMITED Cash EUR Open None N/A Pooled N/A Total (absolute value) EUR USD/EUR FX rate as of 30/12/2016 in AA Data on cost and return There are no fee sharing arrangements on Total Return Swaps and 100% of the costs/returns generated are recognised in Fund's primary statements. Page 153

156 A global presence Europe Austria Belgium France Germany Greece Italy Luxembourg Portugal Spain Switzerland The Netherlands UK North America Canada USA Latin America Argentina Brazil Chile Colombia Mexico Uruguay Asia Pacific Australia Brunei China Hong Kong India Indonesia Japan Malaysia Singapore South Korea Taiwan Nordics Denmark Finland Norway Sweden EEMEA Bahrain Czech Republic Kuwait Morocco Russia Turkey Office addresses can be found in the About Us section of 14, rue Bergère Paris - France December Design: - P _UK