THEAM EASY ETF STATUTORY AUDITOR S REPORT ON THE FINANCIAL STATEMENTS FOR THE YEAR ENDED DECEMBER 30, 2016

Transcription

1 THEAM EASY ETF STATUTORY AUDITOR S REPORT ON THE FINANCIAL STATEMENTS FOR THE YEAR ENDED DECEMBER 30, 2016

2 THEAM EASY ETF STATUTORY AUDITOR S REPORT ON THE FINANCIAL STATEMENTS FOR THE YEAR ENDED DECEMBER 30, 2016 This is a free translation into English of the statutory auditors report issued in French and is provided solely for the convenience of English speaking users. The statutory auditors report includes information specifically required by French law in such reports, whether modified or not. This information is presented below the opinion on the financial statements and includes an explanatory paragraph discussing the auditors assessments of certain significant accounting and auditing matters. These assessments were considered for the purpose of issuing an audit opinion on the financial statements taken as a whole and not to provide separate assurance on individual account captions or on information taken outside of the financial statements. This report should be read in conjunction with, and construed in accordance with, French law and professional auditing standards applicable in France. THEAM EASY ETF OPCVM CONSTITUE SOUS FORME DE SOCIETE D'INVESTISSEMENT A CAPITAL VARIABLE A COMPARTIMENTS Governed by the Monetary and Finance Code Fund managed by : THEAM 14, rue Bergère PARIS In compliance with the assignment entrusted to us by authorised bodies of the management company, we hereby report to you, for the year ended December 30, 2016, on : the audit of the accompanying financial statements of THEAM EASY ETF; the justification of our assessments; the specific verifications and information required by law. These financial statements have been approved by the management company. Our role is to express an opinion on these financial statements based on our audit. I - Opinion on the financial statements We conducted our audit in accordance with professional standards applicable in France; those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures, using sample techniques or other methods of selection, to obtain audit evidence about the amounts and disclosures in the financial statements. PricewaterhouseCoopers Audit, 63, rue de Villiers, Neuilly-sur-Seine Cedex T: +33 (0) , F: +33 (0) , Société d expertise comptable inscrite au tableau de l ordre de Paris - Ile de France. Société de commissariat aux comptes membre de la compagnie régionale de Versailles. Société par Actions Simplifiée au capital de Siège social : 63, rue de Villiers Neuilly-sur- Seine. RCS Nanterre TVA n FR Siret Code APE 6920 Z. Bureaux : Bordeaux, Grenoble, Lille, Lyon, Marseille, Metz, Nantes, Nice, Paris, Poitiers, Rennes, Rouen, Strasbourg, Toulouse.

3 THEAM EASY ETF An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made, as well as the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. In our opinion, the financial statements give a true and fair view of the assets and liabilities and of the financial position of the fund as at December 30, 2016 and of the results of its operations for the year then ended in accordance with French accounting principles. II - Justification of our assessments In accordance with the requirements of article L of the French Commercial Code (Code de Commerce) relating to the justification of our assessments, we inform you that the assessments we made related in particular to the accounting principles followed and significant estimates adopted. These assessments were made as part of our audit of the financial statements, taken as a whole, and therefore contributed to the opinion we formed which is expressed in the first part of this report. III - Specific verifications and information We have also performed, in accordance with professional standards applicable in France, the specific verifications required by French law. We have no matters to report as to the fair presentation and the consistency with the financial statements of the information given in the report of the management company and in the documents addressed to the unitholders with respect to the financial position and the financial statements. Neuilly sur Seine, The Statutory Auditor PricewaterhouseCoopers Audit Benjamin Moise Partner PricewaterhouseCoopers Audit, 63, rue de Villiers, Neuilly-sur-Seine Cedex T: +33 (0) , F: +33 (0) , Société d expertise comptable inscrite au tableau de l ordre de Paris - Ile de France. Société de commissariat aux comptes membre de la compagnie régionale de Versailles. Société par Actions Simplifiée au capital de Siège social : 63, rue de Villiers Neuilly-sur- Seine. RCS Nanterre TVA n FR Siret Code APE 6920 Z. Bureaux : Bordeaux, Grenoble, Lille, Lyon, Marseille, Metz, Nantes, Nice, Paris, Poitiers, Rennes, Rouen, Strasbourg, Toulouse.

4 BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report 30 December 2016 Management Company: THEAM Registered office: 1, boulevard Haussmann Paris Depositary: BNP Paribas Securities Services RCS PARIS Publication of subscription and redemption prices: available to unitholders at the Management Company

5 Table of Contents BNP Paribas Easy Stoxx Europe 600 UCITS ETF MANAGEMENT REPORT Board of directors... 3 Appropriation of distributable sums Investment strategy... 5 Results and other items Report of the board of directors and investment policy Inventory ANNUAL FINANCIAL STATEMENTS Resolutions Balance sheet Assets Balance sheet Liabilities Off-balance sheet items Income statement ANNUAL FINANCIAL STATEMENTS - NOTES Accounting methods and rules Change in net assets Additional information Additional information Breakdown by type of receivables and payables Breakdown by the legal or economic structure of the instrument 28 Breakdown by type of interest rate for assets, liabilities and off-balance sheet items... Breakdown of assets, liabilities and off-balance sheet items by residual maturity... Breakdown of assets, liabilities and off-balance sheet items by listing currency BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December 2016

6 Board of Directors Management - Administration - Auditor AT 30 DECEMBER 2016 CHAIRMAN Mr Laurent Gaude MANAGING DIRECTOR (Director) Ms Diane Terver-Agazzotti DIRECTORS Ms Marie-Sophie Pastant Mr Sébastien Denry Mr Grégory Guerrand Mr Guido Stucchi STATUTORY AUDITOR PWC, represented by Mr Benjamin Moise BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

7 Board of Directors List of the mandates and positions held in all companies by the corporate officers of the SICAV THEAM EASY ETF during the financial year ended 30 December 2016 Mr Laurent Gaude Name of company SICAV - THEAM EASY ETF LUXEMBOURG SICAV BNP PARIBAS EASY THEAM Mandates/Positions Chairman: Director Deputy Chief Executive Officer Ms Diane Terver-Agazzotti Name of company LUXEMBOURG SICAV PARWORLD LUXEMBOURG SICAV THEAM QUANT SICAV - THEAM EASY ETF Mandates/Positions Director Director Chief Executive Officer Ms Marie-Sophie PASTANT Name of company SICAV - THEAM EASY ETF Director Mandates/Positions Mr Grégory Guerrand Name of company SICAV - THEAM EASY ETF Director Mandates/Positions Mr Guido Stucchi Name of company SICAV - THEAM EASY ETF Director Mandates/Positions Mr Sébastien Denry Name of company SICAV - THEAM EASY ETF Director Mandates/Positions BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

8 Strategy IDENTIFICATION CLASSIFICATION: International Equities INVESTMENT OBJECTIVE: The investment objective of Stoxx Europe 600 THEAM Easy UCITS ETF (the Sub-fund ) is to replicate the performance of the Stoxx Europe 600 index, both to the upside and the downside. As the Sub-fund is a tracker, its objective is to maintain the absolute tracking error between the change in the sub-fund s net asset value and that of the index at a level below 1%. If this tracking error exceeds 1%, it must not under any circumstances exceed 5% of the volatility of the index. BENCHMARK INDEX The benchmark index is the Stoxx Europe 600, published in EUR by Stoxx Limited. The Stoxx Europe 600 index is an index consisting of shares of European companies of all sizes. The index comprises 600 stocks (200 large caps, 200 mid-caps and 200 small caps). Stocks are selected on the basis of their market capitalisation. The index is revised quarterly and includes the dividends paid by the shares that constitute the index. Its Bloomberg ticker is the <SXXR> index. A full description of the index and the publication of its stocks are available on the website Publication of the index: Dow Jones is responsible for calculating and publishing the value of the Stoxx Europe 600 index. The closing value of the Stoxx Europe 600 index is calculated daily using the official closing price of the stock exchange on which the securities constituting the index are listed. The Stoxx Europe 600 index is also calculated in real time on each trading day of the stock exchange on which it is listed. The Stoxx Europe 600 index is published in real time via Reuters and Bloomberg: Reuters: STOXXR Bloomberg: SXXR Disclaimer by Stoxx: The Stoxx Europe 600 index is protected by intellectual property law. Euro Stoxx 600 is a registered trademark of Stoxx Limited and is the subject of a user licence granted to THEAM (the holder). Stoxx and its licensors have no other connection with the holder of the license given in respect of the Stoxx Europe 600 index and its registered trademarks for use in connection with the Sub-fund. Stoxx and its licensors: - Make no warranty as to the suitability of an investment in shares of the Stoxx Europe 600 THEAM Easy UCITS ETF sub-fund, which they also refrain from selling or promoting. - Make no investment recommendation to anyone whatsoever regarding the Stoxx Europe 600 THEAM Easy UCITS ETF sub-fund or any other securities whatsoever. - Disclaim any responsibility or liability regarding the launch date, quantity and pricing of shares of the Stoxx Europe 600 THEAM Easy UCITS ETF sub-fund and make no decisions in this regard. BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

9 Strategy - Disclaim any responsibility or liability regarding the administration, management or marketing of the Stoxx Europe 600 THEAM Easy UCITS ETF sub-fund. - Shall not be bound to take the needs of the Stoxx Europe 600 THEAM Easy UCITS ETF sub-fund or shareholders thereof into consideration when determining, composing or calculating the Stoxx Europe 600 index. Stoxx and its licensors decline all responsibility regarding the Stoxx Europe 600 THEAM Easy UCITS ETF Sub-fund. More specifically: STOXX and its licensors make no warranty, whether express or implied, and disclaim any warranty whatsoever, whether express or implied, regarding: The performance to be achieved by the Stoxx Europe 600 THEAM Easy UCITS ETF Sub-fund, shareholders in the Stoxx Europe 600 THEAM Easy UCITS ETF Sub-fund or any other person involved in the use of the Stoxx Europe 600 index and the data included in the Stoxx Europe 600 index; - The accuracy and completeness of the Stoxx Europe 600 index and the data it contains; - The tradability of the Stoxx Europe 600 index and its data as well as their suitability for a specific use or purpose; STOXX and its licensors shall have no liability for any errors, omissions or interruptions whatsoever in the Stoxx Europe 600 index or the data it contains; Under no circumstances shall STOXX or its licensors be held liable for any loss in earnings whatsoever. The same shall apply to any indirect loss or damage even if STOXX and its licensors have been warned of the existence of such risks. The licensing agreement between THEAM and STOXX has been drawn up in their exclusive interest rather than in that of the shareholders of the Stoxx Europe 600 THEAM Easy UCITS ETF Sub-fund or third parties. INVESTMENT STRATEGY 1. Strategy used to achieve the investment objective To achieve the investment objective of offering investors exposure to the Stoxx Europe 600 index, the Sub-fund shall put in place techniques that synthetically replicate the Stoxx Europe 600 index. These techniques make it possible to swap the performance of the Sub-fund's assets using OTC forward financial instruments (swaps, etc.) against indexation to the benchmark index. Thus, the portfolio's risk characteristics are similar to those of the benchmark index. In accordance with the regulations in force, the Management Company may replace the Stoxx Europe 600 index, in the event of significant events affecting the operation of the index (if it is no longer published, or is withdrawn) or if the conditions of its replication are no longer optimal with regard to achieving the investment objective. 2. Main asset classes used (excluding embedded derivatives) Equities: The Sub-fund is eligible for the French Equity Savings Plan (PEA), so at least 75% of its assets are securities eligible for the PEA. The Sub-fund invests in the shares of large and, where appropriate, mid-cap companies in all sectors, issued on the markets of one or more European countries, and whose performance is intended to be swapped against an indexation to the benchmark index. The Sub-fund may invest, using exemption ratios, in the shares of index-based funds, i.e. up to 20% of its assets in the shares of a single issuing entity subject to the conditions of article R214-22(1) of the French Monetary and Financial Code. Where justified by unusual market conditions, particularly if certain securities are predominant, this 20% limit for a single issuing entity may be raised to 35%. Debt securities and money market instruments: For cash management purposes and/or depending on market conditions, the Sub-fund may invest in money market instruments (French Treasury Bills, certificates of deposit) or in transferable debt securities. BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

10 Strategy These instruments have a minimum credit rating of A-3 (Standard & Poor s) or P-3 (Moody s) at the time of their acquisition or failing that a long term investment grade rating or an internal rating of the Management Company which satisfies equivalent criteria. The issuers selected may be in either the private or the public sector (governments, local government entities, etc.), while private debt may represent up to 100% of debt instrument assets. Foreign bonds and complex or transferable debt securities will be denominated in one of the currencies of the OECD member countries. Units or shares of undertakings for collective investment: The Sub-fund may invest up to 10% of its net assets in units or shares of UCITS, AIFs or investment funds. UCITS, AIFs and investment funds are: - French or foreign UCITS; - French AIFs or foreign AIFs established in other European Union Member States or investment funds incorporated on the basis of a foreign law complying with criteria laid down in article R of the French Monetary and Financial Code. - These UCITS, AIFs and investment funds may be managed by management companies which are part of the BNP PARIBAS Group. Derivatives The Sub-fund may use instruments traded on French and/or foreign regulated futures markets, such as futures and options, in accordance with relevant regulations. The Sub-fund may also enter into OTC financial contracts (swaps). Transactions involving such instruments are carried out within a limit of approximately 100% of the Sub-fund's assets, and will mainly be swap contracts. The forward financial instruments used by the Sub-fund to generate exposure to the investment strategy with the aim of achieving its investment objective will be: - Over-the-counter options; - swap contracts: performance swaps on the benchmark, equity swaps; - forward contracts to hedge currency risk, currency swaps. - These transactions in financial instruments may be concluded with counterparties selected by the Management Company in accordance with its best execution policy; these counterparties may be companies that are connected to the Management Company. In order to achieve its investment objective the Sub-fund may receive or issue the guarantees referred to in article L of the French monetary and financial code in accordance with the Management Company s risk policy. These guarantees may take various forms, including cash, money market instruments, bonds issued or guaranteed by a member of the OECD, shares and daily traded UCITS units, etc. A discount appropriate to the asset category and in line with the risk policy of the Management Company will be applied to each guarantee. Guarantees received in cash may be reinvested in accordance with the applicable regulations. As a guarantee, the Sub-fund may receive up to 100% of its net asset value in securities issued or guaranteed by OECD Member States in accordance with the Management Company s risk policy. The Sub-fund may thus be fully guaranteed by securities issued or guaranteed by a sole eligible OECD Member State. Securities with embedded derivatives The Sub-fund shall not seek to acquire this type of asset directly. Any warrants will be held in the portfolio only as a result of securities transactions involving the allocation of this type of security. Deposits The Sub-fund may deposit up to the equivalent of 100% of the net assets in cash at one or more banks for a maximum period of 12 months. BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

11 Strategy Cash borrowing In the normal course of operations, the Sub-fund may occasionally become overdrawn and need to borrow cash, up to a limit of 10% of its net assets. Temporary purchases and sales of securities Any temporary purchases and sales of securities will be conducted with reference to the French Monetary and Financial Code. They will be carried out as part of the Sub-fund s cash management and/or to optimise income. These operations will consist of securities lending and borrowing and repurchase and reverse repurchase agreements. Such transactions may be carried out to a value of 100% of the Sub-fund s assets. These transactions may be carried out with companies connected to the BNP Paribas Group. All these transactions will be conducted under normal market conditions and any income will belong in full to the Sub-fund. The guarantees received in connection with these transactions will be of the same type as those eligible under the Derivatives heading above, with the exception of units of UCITS. OVERALL RISK: The method used to calculate the overall risk of the Sub-fund is the commitment method. RISK PROFILE: General considerations: The Sub-fund s risk profile is suitable for an investment horizon of five years or more. As with any financial investment, potential investors should be aware that the value of the Sub-fund's assets is exposed to the fluctuations of the assets included in the benchmark index and that it may vary significantly. The Sub-fund is categorised as an international equities UCITS. Investors are therefore exposed to the following risks: Market risks: Shareholders are fully exposed to the Stoxx Europe 600 index. A fall in the shares making up the Stoxx Europe 600 index will lead to a fall in the Fund s net asset value. Risk of capital loss: Investors are advised that the Sub-fund's performance may not meet its objectives and that they may not recover the full amount of the capital invested (less subscription fees). Counterparty risk: The Sub-fund will be exposed to counterparty risk resulting from the use of OTC forward financial instruments or temporary purchases or sales of securities to achieve the investment objective. Counterparty risk is the risk of loss incurred by the Sub-fund with respect to its commitments with a counterparty in the event of default by said counterparty. Counterparty risk is nevertheless reduced by setting up a guarantee in favour of the Sub-fund in accordance with regulations in force. Liquidity risk: As a market s liquidity is reflected in particular in the form of a wide price range, shareholders run the risk of loss due to adjustments in the forward financial instruments held by the Sub-fund when markets are illiquid. As a consequence of such situations, the costs relating to adjustments in the instruments held by the Sub-fund in the event of subscriptions or redemptions may become particularly high and will be reflected in the Sub-fund s net asset value. BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

12 Strategy Liquidity risk on a listing market: The ETF s market price may differ from its indicative net asset value. The liquidity of the Sub-fund s shares on a listing market may be affected by a suspension which could be due in particular to: - calculation of the Stoxx Europe 600 index is suspended or ceases; - suspension of the market(s) on which the components of the Stoxx Europe 600 index are listed; - Inability of the listing market concerned to obtain or calculate the Sub-fund s indicative net asset value; - an infringement by a market maker of the rules in force on the market in question; - a system failure affecting the market s computer or electronic systems in particular. Risk arising from entering into transactions with affiliated counterparties: When entering into financial contracts or temporary sales or purchases of securities, the Management Company may be led to conclude this type of transaction with counterparties affiliated to the group to which the Management Company belongs. In such cases, a potential conflict of interest exists between the interests of clients and those of the group to which the Management Company belongs. The implementation of an effective conflict of interest policy enables the Management Company to prioritise the interests of its clients in such cases. Risk linked to the use of derivatives: To achieve its investment objective, the Sub-fund may use OTC or listed derivative products to hedge and/or optimise the performance of its portfolio. Investors attention is drawn to the fact that the above increases the volatility of the Sub-fund's performance and the use of these instruments may significantly modify the portfolio s exposure compared to a simple, direct investment. The occurrence of this risk could decrease the net asset value of the Sub-fund. Risk of conflict of interest: When entering into financial contracts or temporary sales or purchases of securities, the Management Company may be led to conclude this type of transaction with counterparties affiliated to the group to which the Management Company belongs. In such cases, a potential conflict of interest exists between the interests of clients and those of the group to which the Management Company belongs. The implementation of an effective conflict of interest policy enables the Management Company to prioritise the interests of its clients in such cases. MINIMUM RECOMMENDED INVESTMENT HORIZON: 5 years. BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

13 Management Report MANAGEMENT REPORT OF THE BOARD OF DIRECTORS Dear Sir/Madam, In accordance with the articles of association and the law, we have convened an annual ordinary general meeting in order to: - report to you on the position and the activities of the company during the financial year ended 30 December 2016 and submit the accounts for your approval; - submit for your approval the renewal of the term of office of five directors and the appointment of a director. Accordingly, we invite you to vote on the resolutions to be submitted to you. We hope that all these proposals will receive your approval. The Board of Directors INVESTMENT POLICY ECONOMIC AND FINANCIAL DEVELOPMENTS The year began badly, with equity markets falling sharply in January in light of concerns about global growth, the Chinese economy and the drop in oil prices (USD 26 a barrel in February). Initial discussions between Saudi Arabia and other producers prompted a rapid rise in oil prices (towards USD 50), sparking a stock market rally in February and March. This bull run continued in April and May, but showed signs of running out of steam, despite a fairly favourable economic environment. In June, the UK referendum was the centre of attention, driving volatility on European markets to its highest level of the year. The Brexit victory, announced during the night of 23/24 June, came as a shock. The major indices fell rapidly on 24 June before recovering. Theresa May s rapid appointment as Prime Minister helped make the political situation less confused (even if many questions are yet unanswered). As a result, stocks saw a significant rally in July followed by a phase of relative stability. Volatility began to trend upwards again in the autumn. Oil price changes, uncertainty due to monetary policy and questions about global growth continued to make investors jittery, while stock markets rose without regard for fundamentals. From October, apprehension worsened with the impending US presidential election. Once the election had ended, the possibility of a more expansionary fiscal policy (part of the electoral campaign) quickly led equities and the dollar to bounce back strongly and put pressure on long-term interest rates. This momentum has since been maintained, even if no precise information on the stimulus measures is yet available, and despite the fact that Donald Trump s election was seen by most investors as a threat to financial markets prior to 8 November. The trends slackened a bit in the form of falling transaction volumes, but equity prices continued to rise in December, boosted by a rise in oil prices following the agreement to cut production. In 2016, global equities gained 5.6% (MSCI AC World in dollars) while emerging markets gained 8.6% (MSCI Emerging in dollars), despite a more difficult end of the year for emerging assets due the dollar s rise and pressure on US interest rates combined with the fear of increased protectionism. US markets significantly outperformed other developed markets (+9.5% for the S&P 500): less exposed to the consequences of Brexit, they naturally benefited from the prospect of renewed growth and deregulation after the election of the Republican candidate. Japanese equities, boosted in November and December by the yen s retreat after a chaotic period, managed to close the year virtually flat (+0.4% for the Nikkei 225). In Europe, the Euro Stoxx 50 gained 0.7%. At the beginning of July, concerns about Brexit and the specific situation of some banks had pushed European banking stocks to their lowest level in four years. Despite a Q4 surge, these stocks failed to fully erase their earlier losses. In the UK, the Footsie posted impressive gains (+14.4%), but this rise largely reflects the pound sterling s fall against the euro (-13.9%). The above figures correspond to the changes in index prices in local currencies, excluding reinvested dividends. BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

14 Management Report INVESTMENT POLICY STOXX Europe 600 THEAM Easy UCITS ETF is mainly invested in a total return swap. We have swapped the performance of a basket of European equities against the performance of the STOXX Europe 600 index. This synthetic replication generates a yield very close to the benchmark index. During the year, the STOXX Europe 600 TR index (dividends reinvested), calculated in EUR, gained 1.73%. Over the same period, the net asset value of the EUR accumulation and distribution units rose by 1.63% and 0.81%, respectively. This past performance, calculated from 31 December 2015** to 30 December 2016**, is no guarantee of the Fund s future results. A dividend of EUR 0.92 per unit was distributed for the year under review. After reintegration of the dividend, units posted a gain of 1.56%. The tracking error between the Fund and its benchmark index was 0.06%. This (ex post) tracking error for the period in question is in line with expectations ** ** Change (%) (based on closing prices) (based on closing prices) STOXX Europe , % TR* STOXX Europe 600 THEAM Easy UCITS ETF Distrib %* STOXX Europe 600 THEAM Easy % UCITS ETF Capi. * index including dividends **Technical NAVs at 31/12/2015 and 30/12/2016 Changes during the financial year: 11/02/16: change of name of former STOXX EUROPE 600 THEAM EASY UCITS ETF As of 01/04/2016: BNP Paribas Securities Services merged with BNP Paribas Fund Services France. Reduction: In application of the provisions of article 158 of the French general tax code (Code général des impôts) relating to information concerning the share of income eligible for the 40% reduction and the share not eligible for this reduction, we inform you that the income that the Fund plans to distribute breaks down as follows: A shares: 31/12/ /12/ /12/2016 Profit/(loss) ( ) Capital gains or losses ( ) Profit/(loss) ( ) Capital gains or losses ( ) Profit/(loss) ( ) Capital gains or losses ( ) Dividend per unit (share): units eligible for the 40% reduction: share not eligible for the reduction: BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

15 Management Report PEA The SICAV complies with the ratio of 75% of its assets in PEA-eligible securities or rights. The management company shall confirm the percentage upon request. Information on efficient portfolio management techniques (EPMT) Type of trade Securities repurchase agreements* Securities reverse repurchase agreements* Securities lending Securities borrowing Exposure gained through EPMT * Securities received as a guarantee were not reused Amount in ptf curr. Identity of counterparties, type and amount of financial guarantees received to reduce counterparty risk Name of counterparty Type of guarantee received Valuation in ptf curr. Income from EPMT received during the financial year as well as direct and indirect operating fees and expenses Type of trade Income for the year in ptf curr. Operating fees and/or expenses in ptf curr. Information on derivatives Underlying exposure gained through derivatives Type of trade Counterparty Amount in ptf curr. SWAP BNP PARIBAS ARBITRAGE ISSUANCE B 1,541,122, SWAP SOCIETE GENERALE 635,794, BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

16 Management Report Identity of counterparties, type and amount of financial guarantees received Name of counterparty Type of financial guarantee Valuation in ptf curr. Securities financing transactions pursuant to the SFTR Securities Financing Transactions Regulation Additional annex information according to EU regulation 2015/2365 on transparency of securities financing transactions Fund BNP PARIBAS EASY STOXX EUROPE 600 Assets engaged Type of transactions Additional information Total Return Swaps Note: There were only total return swaps over 2016 Volumes of assets Absolute amount in sub-fund currency EUR 2,176,917, In percentage of AUM of sub-fund 191% Top 10 counterparties descending 1# counterparty name BNP PARIBAS ARBITRAGE SNC Gross volume of outstanding trades with 1# counterparty EUR 1,541,122, Country in which 1# counterparty is established France 2# counterparty name SOCIETE GENERALE Gross volume of outstanding trades with 2# EUR 635,794, Country in which 2# counterparty is established France Settlement and clearing Bilateral Note: All our SFTs and TRS are settled bilaterally Maturity tenor of the SFTs & TRS absolute value Amount with maturity from 3 months to one year EUR 2,176,917, Amount of securities and commodities on loan as % of total lendable asset Type of collateral Collective investment undertaking Note: No securities nor commodities were lent in 2016 Collateral engaged Note: In 2016, no collateral was received or given Data on cost and return Note: Total return swaps did not generate any revenue or cost in 2016 BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

17 Management Report CODE OF ETHICS Group financial instruments invested in the Fund: This information appears in the appendix to the annual report under Additional Information 1. * * * Information on the main changes in the portfolio is available on request from the Management Company. * * * Within the framework of collective investment management, transaction fees are invoiced for trades involving financial instruments (purchase and sale of securities, repurchase agreements, futures, and swaps). * * * ESG APPENDIX: Report pursuant to article 173 of the French law on energy transition for green growth (the LTECV) 1) Implementation of the ESG approach within the Management Company (Art. D II-1 ) (Art. D II-2 ) (Art. D II-5 ) Responsible investment is a strategic thrust for BNP Paribas Investment Partners (BNPP IP) which, for many years, has been integrating Environmental, Social and Governance (ESG) issues in the investment solutions offered to its clients. BNPP IP is a signatory to the United Nations-supported Principles for Responsible Investment (UN PRI) and has adopted, for all its open-end investment products, a responsible investment policy. As part of our responsible investment policy, we take Environmental, Social and Governance (ESG) criteria into account in all our investment decisions for all our open-end funds. Integrating ESG criteria into the choice of the issuers in which we invest generates long-term financial value for our clients and guards against the financial, operational and reputational risks associated with investing in companies that have a poor ESG reputation. In order to contribute positively to energy transition, BNPP IP has initiated a review of our role as an investor committed to promoting a low-carbon economy. We have signed the Montreal Carbon Pledge and the Portfolio Decarbonization Coalition and, in 2016, we adopted a climate strategy. Full information on article 173 of the law on energy transition for green growth and the BNPP IP management company can be found in a specific PDF document available at the following address: 2) Implementation at fund level. ******************************** a) Integration of ESG criteria by the Fund (Art. D II-2 a, b, c, d (Art. D III-2 ) This Fund does not apply ESG criteria. Integration of climate change criteria) (Art. D III-1, 3, 4 5 ) BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

18 Management Report Climate change risk is addressed by the Fund in a way that is fully consistent with the principles of the BNPP IP carbon strategy mentioned in reply to question 1e). On the other hand, no carbon footprint is specifically calculated for this Fund because of a lack of data on the greenhouse gas emissions of issuers. b) Voting and engagement policy (Art. D II-2 d ii and iii) Please refer to the answers provided in the Management Company section 1-f) The Management Company, as a member of BNPP IP, applies the latter s responsible investment policy. * * * INFORMATION ON THE MANAGEMENT COMPANY S REMUNERATION POLICY Information on the remuneration policy applicable for financial year 2016 is available on request from the Management Company: THEAM 14, rue Bergère Paris. Moreover, descriptive information on the Management Company s remuneration policy is available on the following website: * * * INFORMATION ON THE POLICY FOR THE SELECTIONN AND EVALUATION OF INVESTMENT DECISION-MAKING SUPPORT SERVICES AND ORDER EXECUTION In accordance with the provisions of article of the General Regulation of the AMF (the French Financial Market Authority), THEAM's information on the policy for the selection and evaluation of investment decision-making support services and order execution is available online at ( MIFID Policy ). * * * STATEMENT ON INTERMEDIARY FEES In accordance with the provisions of article (UCITS) and article (AIF) of the General Regulation of the AMF, the latest statement on intermediary fees is available online at (Regulatory Information ). * * * BEST SELECTION AND BEST EXECUTION POLICY ADOPTED BY THEAM ACTING AS FINANCIAL MANAGER BY DELEGATION TO THE SICAV Information regarding the Management Company s best selection and best execution policy is available online at ( MIFID Policy ). * * * REPORT ON THE EXERCISE OF VOTING RIGHTS Information regarding voting policy is available on the Management Company s website: BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

19 Management Report Activities of the Board of Directors during the financial year: The Board was convened on 12 February 2016 and voted on the following items: 1. Approval of the minutes of the previous Board meeting 2. Administration of the SICAV 3. Report of the Board of Directors on the SICAV s activities 4. Review and closing of the accounts for the financial year ended 31 December Convening of an Annual Ordinary General Meeting; 6. Proposed merger by absorption of the RUSSELL 1000 THEAM EASY UCITS ETF FCP by the BNP PARIBAS EASY S&P 500 UCITS ETF Sub-fund of the SICAV 7. Miscellaneous The Board was convened on 20 June 2016 and voted on the following items: 1. Approval of the minutes of the Board meeting of 12 February Determination of the exchange parity for the merger by absorption of the RUSSELL 1000 THEAM EASY UCITS ETF FCP by the BNP PARIBAS EASY S&P 500 UCITS ETF Sub-fund of the SICAV 3. Presentation of the proposed liquidation of the BNP PARIBAS EASY VOLATILITY ARBITRAGE US UCITS ETF Sub-fund and of the BNP PARIBAS EASY VOLATILITY US ENHANCED UCITS ETF sub-fund of the SICAV 4. Possibility for the sub-funds of the SICAV to become master sub-funds of French and/or foreign UCITS and/or AIFs and consequent amendment of the SICAV s regulatory documentation Presentation of the proposal Power granted to the Management Company to make all necessary amendments to the regulatory documentation and/or to carry out all relevant actions in this regard 5. Power for the completion of the legal formalities. The Board was convened on 23 November 2016 and voted on the following items: 1. Approval of the minutes of the Board meeting of 20 June Approval of the payment of an interim dividend for the EUR D shares (ISIN code FR ) of the BNP PARIBAS EASY EURO STOXX 50 UCITS ETF Sub-fund of the SICAV; 3. Sundry items BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

20 Annual financial statements Balance Sheet Assets Financial Year Financial Year 30/12/ /12/2015 Net fixed assets - - Deposits - - Financial instruments 1,129,112, ,051,610, Equities and similar securities 1,056,091, ,048,812, Traded on a regulated or similar market 1,056,091, ,048,812, Not traded on a regulated or similar market - - Bonds and similar securities - - Traded on a regulated or similar market - - Not traded on a regulated or similar market - - Debt securities - - Traded on a regulated or similar market - Transferable debt securities - - Traded on a regulated or similar market - Other debt securities - - Not traded on a regulated or similar market - - Units of undertakings for collective investment 70,165, Standard UCITS and AIFs for non-professionals and equivalents from other European Union member states 70,165, Other funds for non-professionals and equivalents from other European Union member states - - Professional standard funds and equivalents from other European Union member states and listed securitisation undertakings Other professional investment funds and equivalents from other European Union member states and non-listed securitisation undertakings Other non-european undertakings - - Temporary transactions on securities - - Receivables on securities received under a repurchase agreement (pension) - - Receivables on securities lent - - Securities borrowed - - Securities transferred under a repurchase agreement (pension) - - Other temporary transactions - - Forward financial instruments 2,855, ,798, Transactions on a regulated or similar market - - Other transactions 2,855, ,798, Other financial instruments - - Receivables Currency forwards Other Financial accounts 17,020, ,043, Cash 17,020, ,043, TOTAL ASSETS 1,146,133, ,114,654, BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

21 Annual financial statements Balance sheet Liabilities Financial Year Financial Year 30/12/ /12/2015 Equity capital Share capital 1,194,264, ,037, Previous net capital gains and losses not distributed (a) 85,379, ,307, Retained earnings (a) 1,549, ,256, Net capital gains and losses for the financial year (a,b) -152,650, ,056, Profit/(loss) for the financial year (a,b) 6,054, , Total equity capital 1,134,596, ,092,876, (= Amount corresponding to the net assets) Financial instruments 11,258, ,494, Sales of financial instruments - - Temporary transactions on securities - - Payables on securities transferred under a repurchase agreement (pension) - - Payables on securities - - borrowed - - Other temporary transactions Forward financial instruments 11,258, ,494, Transactions on a regulated or similar market - - Other transactions 11,258, ,494, Payables 278, , Currency forwards - - Other 278, , Financial accounts - - Short-term bank loans - - Borrowings - - TOTAL LIABILITIES 1,146,133, ,114,654, (a) Including accruals accounts (b) Less interim dividends paid for the financial year BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

22 Annual financial statements Off-balance sheet items Financial Year Financial Year 30/12/ /12/2015 HEDGING TRANSACTIONS Commitments on regulated or similar markets - - OTC commitments Equity swaps EQSJF ,396, EQSJF ,000, EQSK ,000, EQSK ,000, Other commitments OTHER TRANSACTIONS Commitments on regulated or similar markets - - OTC commitments Equity swaps - - EQSJF ,181, EQSJF ,035, EQSK ,122, EQSKB ,794, Other commitments BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

23 Annual financial statements Income statement Financial Year Financial Year 30/12/ /12/2015 Income from financial transactions Income from equities and similar securities 10,306, ,298, Income from bonds and similar securities - - Income from debt securities - - Income from temporary purchases and sales of securities - - Income from forward financial instruments 321, , Income from deposits and financial accounts - - Other financial income - - Total I 10,627, ,529, Payables on financial transactions Payables on temporary purchases and sales of securities - - Payables on forward financial instruments -1,169, , Payables on financial debts -24, , Other payables - - Total II -1,193, , Profit/(loss) on financial transactions (I+II) 9,434, ,258, Other income (III) - - Management fees and depreciation allowance (IV) -3,396, ,990, Net profit/(loss) for the financial year (I+II+III+IV) 6,037, , Income equalisation for the year (V) 16, , Interim dividends paid for the financial year (VI) - - Profit/(loss) (I+II+III+IV+V+VI) 6,054, , BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

24 Accounting methods and rules The undertaking complies with ANC regulation number of 14 January 2014 on the Chart of Accounts for open-ended undertakings for collective investment. The accounting currency is the euro. All the transferable securities comprising the portfolio are recorded using the historical cost method, excluding fees. Securities and financial futures and options held in the portfolio denominated in foreign currencies are converted into the accounting currency on the basis of exchange rates observed in Paris on the valuation day. The portfolio is valued at the time of each net asset value and when the accounts are closed, using the following methods: Transferable securities Listed securities: at the market value - including accrued coupons (closing price) However, transferable securities whose prices have not been determined on the valuation day or quoted by contributors and whose prices have been adjusted, as well as securities that are not admitted for trading on a regulated market, are valued under the Management Company s responsibility (or that of the Board of Directors for a SICAV) at their foreseeable sale prices. Prices are adjusted by the Management Company on the basis of its knowledge of the issuers and/or markets. Undertakings for collective investment: at the last-known net asset value, failing which at the last estimated value. The net asset values of securities of foreign undertakings for collective investment valued on a monthly basis are confirmed by the fund administrators. Valuations are updated weekly on the basis of estimates provided by the administrators of these undertakings for collective investment and validated by the fund manager. Transferable debt securities and equivalent securities not involved in significant trades are measured by applying an actuarial method, the rate used being that applicable to issues of similar securities adjusted, where appropriate, for a deviation representative of intrinsic characteristics of the issuer. In the absence of sensitivity, securities with a residual maturity of three months are valued at the most recent rate until they mature; for those with maturities of less than three months, interest is calculated on a straight-line basis Temporary purchases and sales of securities: - Securities lending: the claim represented by loaned securities is valued at the market value of the said securities. - Securities borrowing: securities borrowed as well as the claim represented by such securities are valued at their market value. - Collateral: the UCI has opted to record securities received as collateral in securities lending transactions in the balance sheet accounts at the amount of the debt corresponding to the obligation to return said securities. - Reverse repurchase agreements with a residual maturity of three months or less: individualisation of the receivable on the basis of the contract price. In such cases, the remuneration is calculated on a straight-line basis. - Long-term repurchase agreements: recorded and valued at their nominal amount, even if their maturity exceeds three months. This amount is increased by the accrued interest attached. However, certain contracts stipulate specific conditions in the event of a request for early redemption to reflect the impact of a rise in the counterparty's financing curve. Accrued interest can then be reduced from this impact, without any minimum value. The impact is proportional to the residual maturity of the repurchase agreement and the difference observed between the contractual margin and the market margin for an identical maturity date. - Repurchase agreements with a residual maturity of three months or less: market value. Debt valued on the basis of the contractual value is recorded as a liability on the balance sheet. In such cases, the remuneration is calculated on a straight-line basis. Financial futures and options Futures: daily settlement price. Off-balance sheet valuations are calculated on the basis of the nominal amount, the settlement price and, where appropriate, the exchange rate. Options: closing price of the day or, if unavailable, the last known price. OTC options: these options are valued at their market value, on the basis of the prices communicated by the counterparties. These valuations are checked by the Management Company. Off-balance sheet valuations are calculated on an underlying-equivalent basis, depending on the delta and the price of the underlying and, where appropriate, the exchange rate. BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

25 Accounting methods and rules Exception: Floors: these options are valued by third-party counterparties using a mark-to-market discount model based on a volatility and a yield curve, both of which are verified by the fund manager, taken at the close of trading every Thursday. Currency forwards: revaluation of currencies committed at the daily price, carry-over/backwardation calculated on the basis of the maturity of the contract. Term deposits: term deposits are recorded and valued at their nominal amount, even if their maturity exceeds three months. This amount is increased by the accrued interest attached. However, certain contracts stipulate specific conditions in the event of a request for early redemption to reflect the impact of a rise in the counterparty's financing curve. Accrued interest can then be reduced from this impact, without being able to be negative. Term deposits are then at least valued at their nominal value. Interest rate swaps: - for swaps maturing in less than three months, interest is calculated on a straight-line basis - swaps maturing in more than three months are revalued at their market value. Synthetic products (combining a security with a swap) are accounted for on an overall basis. Interest on swaps due within the framework of these products is valued on a straight-line basis. Asset swaps and synthetic products are valued on the basis of their market value. Asset swap valuations are based on the valuation of hedged securities less the impact of change in credit spreads. This impact is assessed on the basis of the average of spreads communicated by 4 counterparties questioned on a monthly basis, adjusted by a margin depending on the issuer's credit rating. Off-balance sheet swap commitments correspond to the nominal amount. Structured swaps (swaps with an option-related component) are valued at their market value, on the basis of prices communicated by counterparties. These valuations are checked by the Management Company. The valuation of index swaps, calculated by the THEAM Risk team, is used in the net asset value calculation after being checked for consistency with the counterparty s valuation, if this is received within the relevant deadlines. If the valuation is unavailable or inconsistent, THEAM Risk contacts the counterparty to identify and resolve the issue. Off-balance sheet commitments relating to these swaps correspond to the nominal amount. Administration fees and external administration fees to the management company - Maximum 0.40% p.a. (inclusive of tax) for Classic and A shares The allowance is calculated on the basis of net assets. These fees, which do not include transaction costs, are recorded directly in the Fund s income statement. These fees cover all the costs invoiced directly to the UCIs, except transaction costs. Transaction costs include intermediary fees (brokerage, stock market taxes, etc.) as well as transaction fees, if any, that may be charged by the depositary and the Management Company, in particular. Performance fees: None Refund of management fees None Method for recording interest Interest received method BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

26 Accounting methods and rules Dividend policy Accumulation for Classic shares Accumulation and/or distribution for A shares Allocation of net capital gains realised Accumulation for Classic shares Accumulation and/or distribution for A shares Changes affecting the Fund: None BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

27 Annual financial statements - Notes Change in net assets Financial Year Financial Year 30/12/ /12/2015 Net assets at the beginning of the financial year 1,092,876, ,424, Subscriptions (including subscription fees paid to the Fund) 607,638, ,732, Redemptions (after deduction of fees paid to the Fund) -600,241, ,771, Gains realised on deposits and financial instruments 69,209, ,813, Losses realised on deposits and financial instruments -170,550, ,494, Gains realised on forward financial instruments 902,346, ,730, Losses realised on forward financial instruments -955,045, ,902, Transaction costs - - Foreign exchange differences - - Changes in the valuation differential of deposits and financial instruments 175,944, ,152, Valuation differential for the financial year N 126,960, ,983, Valuation differential for the financial year N-1 48,983, ,168, Changes in the valuation differential of forward financial instruments 10,293, ,223, Valuation differential for the financial year N -8,402, ,696, Valuation differential for the financial year N-1 18,696, ,527, Dividend for the previous financial year on net capital gains and losses -3,550, ,549, Dividend paid in the previous financial year on profit/(loss) - - Net profit/(loss) for the financial year excluding the income equalisation account 6,037, , Interim dividend(s) paid during the financial year on net capital gains or losses - - Interim dividend(s) paid during the financial year paid on profit/(loss) - - Other items (*) -362, Net assets at the end of the financial year 1,134,596, ,092,876, (*) Cancellation of TOTAL dividend payment of 28/09/2015 and 21/12/2015 BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

28 Annual financial statements - Notes Additional information 1 Financial Year 30/12/2016 Non-current assets None Value of non-current assets - Depreciation of non-current assets - Commitments received or given Commitments received or given (capital guarantee or other commitments) (*) - Current value of financial instruments held in the portfolio used as guarantees None Financial instruments received as a guarantee and not recorded on the balance sheet - Financial instruments given as a guarantee and kept as original entry - Financial instruments issued by the service provider or entities belonging to its group held in the portfolio Deposits - Equities 15,639, Interest rate securities - UCIs 70,165, Temporary purchases and sales of securities - Swaps (in nominal) 1,541,122, Current value of financial instruments subject to a temporary purchase transaction None Securities purchased à réméré (with option of repurchase) - Securities received under a repurchase agreement - Securities borrowed - (*) For guaranteed funds, the information is provided in the accounting methods and rules BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

29 Annual financial statements - Notes Additional information 2 Subscriptions and redemptions during the accounting year Financial Year 30/12/2016 Number of securities Class A (Currency: EUR) Number of units subscribed 1,654,000 Number of units redeemed 2,398,758 CLASSIC Class (Currency: EUR) Number of units subscribed 10,246,689 Number of units redeemed 7,617,965 Subscription and/or redemption fees Amount (EUR) Subscription fees payable to the Fund 127, Redemption fees payable to the Fund 168, Subscription fees received and shared - Redemption fees received and shared - Management fees Class A (Currency: EUR) Amount (EUR) % of average net assets Management and administration fees (*) 1,346, Performance fees - - Other fees - - CLASSIC Class (Currency: EUR) Management and administration fees (*) 2,050, Performance fees - - Other fees - - Refund of management fees (all units taken together) - - (*) For funds with a financial year that is shorter or longer than 12 months, the percentage of the average net assets corresponds to the annualised average rate. BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

30 Annual financial statements - Notes Breakdown by type of receivables and payables Financial Year 30/12/2016 Breakdown by type of claims None Deposits in euro - Deposits in other currencies - Cash collateral - Valuation of forward currency purchases - Counter-value of forward sales - Other sundry debtors - Receivable interest - TOTAL CLAIMS - Breakdown by type of debts Deposits in euro - Deposits in other currencies - Cash collateral - Provision for interest expense - Valuation of forward currency sales - Counter-value of forward purchases - Fees and charges not yet paid 278, Other sundry creditors - Provisions for market liquidity risk - TOTAL DEBTS 278, BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

31 Annual financial statements - Notes Breakdown by the legal or economic structure of the instrument Financial Year 30/12/2016 Assets None Bonds and similar securities - Indexed bonds - Convertible bonds - Participation certificates - Other bonds and similar securities - Debt securities - Traded on a regulated market - Treasury bonds - Other transferable debt securities - Other debt securities - Not traded on a regulated market - Liabilities None Sales of financial instruments - Equities - Bonds - Other - Off-balance sheet items Hedging transactions Interest rates - Equities 1,045,000, Other - Other transactions Interest rates - Equities 1,131,917, Other - BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

32 Annual financial statements - Notes Breakdown by type of interest rate for assets, liabilities and off-balance sheet items Fixed interest rate Floating interest rate Revisable interest rate Other Assets None None None Deposits Bonds and similar securities Debt securities Temporary transactions on securities Financial accounts ,020, Liabilities None None None None Temporary transactions on securities Financial accounts Off-balance sheet items None None None None Hedging transactions Other transactions BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

33 Annual financial statements - Notes Breakdown by residual maturity [0-3 months] ]3 months - 1 year] ]1-3 years] ]3-5 years] > 5 years Assets None None None None Deposits Bonds and similar securities Debt securities Temporary transactions on securities Financial accounts 17,020, Liabilities None None None None None Temporary transactions on securities Financial accounts Off-balance sheet items None None None None None Hedging transactions Other transactions BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

34 Annual financial statements - Notes Breakdown by listing currency Currency Assets Deposits Equities and similar securities Bonds and similar securities Debt securities Units of UCIs Temporary transactions on securities Other financial instruments Receivables Financial accounts None Liabilities Sales of financial instruments Temporary transactions on securities Payables Financial accounts None Off-balance sheet items Hedging transactions Other transactions None At 30 December 2016, the portfolio held only financial instruments denominated in the accounting currency. BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

35 Annual financial statements - Notes Appropriation of distributable sums Class: A (Currency: EUR) Table of allocation of distributable income Financial Year Financial Year 30/12/ /12/2015 Amounts to be allocated Retained earnings 1,549, ,256, Profit/(loss) 2,043, , TOTAL 3,592, ,920, Allocation Dividend payments 2,858, Retained earnings for the financial year 734, Accumulation - 1,920, TOTAL 3,592, ,920, Information on securities eligible to receive dividends Number of securities 3,106,885 Dividend per unit Tax credits linked to dividend payments Total tax credits linked to dividend payments: - - for the financial year - - for financial year N for financial year N for financial year N for financial year N BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

36 Table of allocation of distributable income relating to net capital gains or losses Financial Year Financial Year 30/12/ /12/2015 Amounts to be allocated Previous net capital gains and losses not distributed 85,379, ,307, Net capital gains and losses for the financial year -51,684, ,082, Interim dividends paid on net capital gains and losses for the financial year - - TOTAL 33,695, ,389, Allocation Dividend payments - 3,543, Net capital gains and losses not distributed 33,695, ,846, Accumulation - - TOTAL 33,695, ,389, Information on securities eligible to receive dividends Number of securities 3,851, Dividend per unit BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

37 Class: CLASSIC (Currency: EUR) Table of allocation of distributable income Financial Year Financial Year 30/12/ /12/2015 Amounts to be allocated Retained earnings - - Profit/(loss) 4,010, , TOTAL 4,010, , Allocation Dividend payments - - Retained earnings for the financial year - - Accumulation 4,010, , TOTAL 4,010, , Information on securities eligible to receive dividends Number of securities Dividend per unit - - Tax credits linked to dividend payments Total tax credits linked to dividend payments: - - for the financial year - - for financial year N for financial year N for financial year N for financial year N Table of allocation of distributable income relating to net capital gains or losses Financial Year Financial Year 30/12/ /12/2015 Amounts to be allocated Previous net capital gains and losses not distributed - - Net capital gains and losses for the financial year -100,966, ,974, Interim dividends paid on net capital gains and losses for the financial year - - TOTAL -100,966, ,974, Allocation Dividend payments - - Net capital gains and losses not distributed - - Accumulation -100,966, ,974, TOTAL -100,966, ,974, Information on securities eligible to receive dividends Number of securities - - Dividend per unit - - BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

38 Annual financial statements - Notes Table of results and other material items in the last five financial years Class: A (Currency: EUR) Net asset value (in EUR) 16-Sep-2013 (*) 31-Dec Dec Dec.-16 D shares Net assets (in EUR thousands) 293, , , Number of securities D shares ,611, ,851, ,106, Date of payment 31/12/ /12/ /12/2016 Dividend per unit on net capital gains and losses (including interim dividends) (in EUR) Dividend per unit on income (including interim dividends) (in EUR) Tax credit per unit (*) natural persons (EUR) Accumulation per unit on net capital gains and losses Payment date 31/12/ /12/2015 D shares Accumulation per unit on income D shares BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

39 Class: CLASSIC (Currency: EUR) Net asset value (in EUR) 16-Sep-2013 (*) 31-Dec Dec Dec.-16 C shares Net assets (in EUR thousands) 185, , , , Number of securities C shares 5,089, ,570,771 13,942, ,571,059 Date of payment 31/12/ /12/ /12/2016 Dividend per unit on net capital gains and losses (including interim dividends) (in EUR) Dividend per unit on income (including interim dividends) (in EUR) Tax credit per unit (*) natural persons (EUR) Accumulation per unit on net capital gains and losses Date of payment 31/12/ /12/2015 C shares Accumulation per unit on income C shares (*) DATE OF FIRST NAV (*) The tax credit per unit is calculated on the date of payment by applying the fiscal instruction of 04/03/1993 (Inst.4 K-1-93). Theoretical amounts, calculated in accordance with the rules applicable to natural persons, are provided here as an indication. "Instruction 4 J-2-99 of 08/11/1999 also states that beneficiaries of tax credits other than natural persons calculate the amount of the tax credits to which they are entitled under their sole responsibility." BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

40 Annual financial statements - Notes Inventory of financial instruments at 30 December 2016 Asset items and name of securities Quantity Price Listing currency Current value Rounded percentage of the net assets Equities and similar securities 1,056,091, Traded on a regulated market or similar market AENA SA 151, EUR 19,581, AIR LIQUIDE 158, EUR 16,700, AKZO NOBEL 300, EUR 17,817, ALLIANZ SE-REG 270, EUR 42,522, ANHEUSER BUSCH INBEV SA/NV 147, EUR 14,846, AXA 572, EUR 13,742, BANCO SANTANDER 11,814, EUR 58,587, BASF NOM. 539, EUR 47,669, BAYER 147, EUR 14,649, BCO BILBAO VIZCAYA ARGENTARIA 6,790, EUR 43,556, BNP PARIBAS 258, EUR 15,639, BOUYGUES 629, EUR 21,445, CONTINENTAL 146, EUR 26,880, DAIMLER 580, EUR 41,039, DANONE 171, EUR 10,305, DEUTSCHE BANK 2,682, EUR 46,264, DEUTSCHE POST NOM. 998, EUR 31,187, DEUTSCHE TELEKOM 2,410, EUR 39,426, FRESENIUS 630, EUR 46,854, FRESENIUS MEDICAL CARE 341, EUR 27,444, GDF SUEZ 782, EUR 9,487, ING GROEP NV-CVA 2,399, EUR 32,075, KONINKLIJKE AHOLD NV 1,898, EUR 38,032, KON.PHILIPS ELECTRONICS 1,127, EUR 32,683, LVMH MOET HENNESSY VUITTON 217, EUR 39,543, MICHELIN 87, EUR 9,264, MUNCHENER RUCKVERSICHERUNGS 127, EUR 22,902, RENAULT 197, EUR 16,726, ROYAL DUTCH SHELL CL.A 636, EUR 16,526, SAINT-GOBAIN 271, EUR 11,998, SAP 568, EUR 47,115, SCHNEIDER ELECTRIC 479, EUR 31,667, SIEMENS 399, EUR 46,686, SOCIETE GENERALE A 1,606, EUR 75,108, TOTAL 296, EUR 14,466, UNILEVER 400, EUR 15,646, BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

41 Units of UCIs 70,165, Standard UCITS and AIFs for non-professionals and equivalents from other European Union member states 70,165, BNPP CASH INVEST CLASSIC 30, , EUR 70,165, Forward financial instruments -8,402, Margin calls Swaps -8,402, ,402, Receivables Payables -278, Deposits Other financial accounts 17,020, TOTAL NET ASSETS 1,134,596, BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

42 Resolutions WORDING OF THE RESOLUTIONS OF THE ORDINARY ANNUAL GENERAL MEETING OF THE THEAM EASY ETF SICAV FIRST RESOLUTION The Ordinary General Meeting, having taken note of the Board of Directors management report and the Statutory Auditor s report, approves the statement of assets and the annual financial statements, namely the balance sheet, the income statement and the notes, prepared as at 30 December 2016, as they were presented to it, and the transactions reflected in these statements and summarised in these reports. It therefore appears that for: i. THE BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF SUB-FUND: At 30 December 2016: - The number of H Class shares (FR ) outstanding was 3,106,885 versus 3,851,643 at the end of the previous financial year. - The number of FR Class shares outstanding was 16,571,059 versus 13,942,335 at the end of the previous financial year. - Net assets amounted to EUR 1,134,596, versus EUR 1,092,876, at the end of the previous financial year. ii. THE BNP PARIBAS EASY S&P 500 UCITS ETF SUB-FUND: At 30 December 2016: - The number of EUR C Class shares (FR ) outstanding was 5,368,853 versus 3,689,398 at the end of the previous financial year; - The number of USD C Class shares (FR ) outstanding was 5,734,784 versus 2,945,834 at the end of the previous financial year; - The number of H Class shares (FR ) outstanding was 1,337,132 versus 1,463,063 at the end of the previous financial year; - The number of EUR-H Class shares (FR ) outstanding was 868,981 versus 130,000 at the end of the previous financial year (share class created on 28 October 2015); - The Sub-fund s net assets amounted to EUR 1,514,811, versus EUR 825,486, at the end of the previous financial year. iii. BNP PARIBAS EASY EURO STOXX 50 UCITS ETF SUB-FUND (CREATED ON 27 JULY 2015): At 30 December 2016: - The number of EUR C Class shares (FR ) outstanding was 7,714,718 versus 10,901,426 at the end of the previous financial year; - The number of EUR C/D Class shares (FR ) outstanding was 9,043 versus 5,001 at the end of the previous financial year; - The number of EUR D Class shares (FR ) outstanding was 18,664,782 versus 6,837,655 at the end of the previous financial year; - The Sub-fund s net assets amounted to EUR 985,932, versus EUR 736,521, at the end of the previous financial year. iv. BNP PARIBAS EASY NEXT 11 UCITS ETF: At 30 December 2016: - The number of EUR C Class shares (FR ) outstanding was 457,289 versus 559,289 at the end of the previous financial year; - The number of USD C Class shares (FR ) outstanding was 15,435 versus 17,435 at the end of the previous financial year; - The number of EUR C/D Class shares (FR ) outstanding was 364, i.e. the same as at the end of the previous financial year; - The Sub-fund s net assets amounted to EUR 56,226, versus 62,849, at the end of the previous financial year. BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

43 Resolutions The shareholders therefore grant full and unreserved discharge to the directors for their management during the past financial year. Second resolution Firstly the general meeting is advised that in accordance with the articles of association of the SICAV and the legislation in force, the sums distributable are made up of: - The net income plus retained earnings, plus or minus the balance of the income equalisation account; - Realised capital gains, net of fees, less any realised capital losses, net of fees, recognised during the financial year, plus net capital gains of the same kind recognised during previous financial years and not yet distributed or accumulated, plus or minus the balance of the capital gains equalisation account. i. THE BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF SUB-FUND: The shareholders having noted that for the financial year ended 30 December 2016 the net profit is EUR 6,054, and that the sums to be appropriated from the net realised capital gains and losses amount to EUR -152,650,905.63, resolve in accordance with the provisions of the articles of association: - For Class H shares (FR ): To transfer to retained earnings: EUR 734, of the net profit for the financial year; To appropriate EUR 33,695, to the non-distributed net capital gains and losses account To distribute: EUR 2,858, of the net profit for the financial year, i.e. a distribution of EUR 0.92 for each of the 3,106,885 shares comprising the share capital as at 30 December The ex-date has been set at 11 May 2017 and the payment date will be 15 May Lastly, in accordance with legal provisions, it should be noted that during the previous three financial years, the following amounts were distributed in respect of Class H shares: H shares (distribution/accumulation per unit) - Net profit/(loss): n/a - Net capital gains and losses realised: EUR 0.92 (dividend payment) - Net profit/(loss): n/a - Net capital gains and losses realised: EUR 0.90 (dividend payment) n/a (Creation of the SICAV) - For FR Class shares: to appropriate the total net profit, i.e. EUR 4,010,469.14, and the total net realised capital losses, i.e. EUR -100,966,831.81, to the capital account. ii. THE BNP PARIBAS EASY S&P 500 UCITS ETF SUB-FUND The shareholders having noted that for the financial year ended 30 December 2016 the net profit to be appropriated is EUR 11,761, and the sums to be appropriated from the net realised capital gains and losses amount to EUR 25,658,316.44, resolve in accordance with the provisions of the articles of association: BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

44 Resolutions - For H Class shares (FR ): To appropriate to retained earnings: the total net profit, i.e. EUR 2,098, To appropriate to the non-distributed net capital gains and losses account: EUR 104,347, To distribute: EUR 1,310, in respect of the net realised capital gains for the financial year, i.e. a distribution of EUR 0.98 for each of the 1,337,132 shares comprising the share capital at 30 December It should be noted that this distribution will be declared and paid in USD. The date of the EUR/USD conversion is the last day of the financial year. The EUR/USD exchange rate at 30 December 2016 was The capital gains distribution will therefore by USD 1.03 per unit. The ex-date has been set at 11 May 2017 and the payment date will be 15 May Lastly, in accordance with legal provisions, it should be noted that during the previous three financial years, the following amounts were distributed in respect of Class H shares: H Class shares Net profit/(loss): n/a - Net capital gains and losses realised: EUR Net profit/(loss): n/a - Net capital gains and losses realised: EUR NA (Creation of the SICAV) - For C USD Class shares (FR ): to appropriate the total net profit, i.e. EUR 4,965, and the total net realised capital gains, i.e. EUR 15,017, to the capital account - For EUR C Class shares (FR ): to appropriate the total net profit, i.e. EUR 4,653,519.48, and the total net realised capital gains, i.e. EUR 14,073,977.21, to the capital account. - For EUR H Class shares (FR ): to appropriate the total net profit for the financial year, i.e. EUR 788,316.27, and the total net realised capital gains, i.e. EUR 2,243,563.57, to the capital account. iii. BNP PARIBAS EASY EURO STOXX 50 UCITS ETF SUB-FUND: The shareholders having noted that for the financial year ended 30 December 2016 the net profit to be appropriated is EUR 11,572, and the sums to be appropriated from the net realised capital losses amount to EUR -108,996,638.59, resolve in accordance with the provisions of the articles of association: - For EUR C Class shares (FR ): to appropriate the total net profit, i.e. EUR 9,999,402.58, to the capital account, and the total net realised capital losses, i.e. EUR -41,443,737.83, to the net non-distributed capital gains and losses account. - For EUR-C/D Class shares (FR ): to appropriate the total net profit, i.e. EUR 22, to the capital account, and the total net realised capital losses, i.e. EUR -94,693.77, to the net non-distributed capital gains and losses account. - For EUR-D Class shares (FR ): To appropriate all the capital losses, i.e. EUR -67,458,206.99, to the capital account To transfer to retained earnings: EUR 64, of the net profit To distribute EUR 1,493, of the net profit for the financial year, i.e. a distribution of EUR 0.08 for each of the 18,664,782 shares comprising the share capital at 30 December The ex-date has been set at 11 May 2017 and the payment date will be 15 May BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

45 Resolutions Moreover, the meeting is reminded that during the financial year 2016 on 7 December 2016 an interim dividend in respect of the profit of EUR 15,336, was paid to EUR-DEUR Class shareholders, i.e. a distribution per unit of EUR Lastly, in accordance with legal provisions, it should be noted that during the previous three financial years, the following amounts were distributed in respect of EUR D Class shares: EUR D Class shares Net profit/(loss): EUR Net capital gains and losses realised: n/a NA (Creation of the sub-fund) 2013 NA (Creation of the SICAV) iv. BNP PARIBAS EASY NEXT 11 UCITS ETF: The shareholders having noted that for the financial year ended 30 December 2016 the net loss to be appropriated is EUR -344, and the sums to be appropriated from the net realised capital losses amount to EUR -1,176,686.58, resolve in accordance with the provisions of the articles of association: - For EUR C Class shares (FR ): to appropriate the total net loss, i.e. EUR -332,542.10, and the total net realised capital losses, i.e. EUR -1,137,478.10, to the capital account. - For USD C Class shares (FR ): to appropriate the total net loss, i.e. EUR -11,235.18, and the total net realised capital losses, i.e. EUR -38,432.98, to the capital account. - For EUR-C/D Class shares (FR ): to appropriate the net loss, i.e. EUR , and all the net realised capital losses, i.e. EUR , to the capital account. THIRD RESOLUTION The General Meeting acknowledges the special report of the Statutory Auditors on the agreements specified in article L of the Commercial Code, and approves the conclusions thereof. FOURTH RESOLUTION On a proposal from the Board of Directors, the general meeting, having noted the expiry of the term of office as a director of Ms Diane TERVER-AGAZZOTTI, resolves to renew it for a term of six years. This term of office will therefore expire at the end of the annual general meeting convened to approve the financial statements for the financial year ended on the last trading day of the month of December FIFTH RESOLUTION On a proposal from the Board of Directors, the general meeting, having noted the expiry of the term of office as a director of Ms Marie-Sophie PASTANT, resolves to renew it for a term of six years. This term of office will therefore expire at the end of the annual general meeting convened to approve the financial statements for the financial year ended on the last trading day of the month of December SIXTH RESOLUTION On a proposal from the Board of Directors, the general meeting, having noted the expiry of the term of office as a director of Mr Laurent GAUDE, resolves to renew it for a term of six years. BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

46 Resolutions This term of office will therefore expire at the end of the annual general meeting convened to approve the financial statements for the financial year ended on the last trading day of the month of December SEVENTH RESOLUTION On a proposal from the Board of Directors, the general meeting, having noted the expiry of the term of office as a director of Mr Grégory GUERRAND, resolves to renew it for a term of six years. This term of office will therefore expire at the end of the annual general meeting convened to approve the financial statements for the financial year ended on the last trading day of the month of December EIGHTH RESOLUTION On a proposal from the Board of Directors, the general meeting, having noted the expiry of the term of office as a director of Mr Guido STUCCHI, resolves to renew it for a term of six years. This term of office will therefore expire at the end of the annual general meeting convened to approve the financial statements for the financial year ended on the last trading day of the month of December NINTH RESOLUTION On a proposal from the Board of Directors, the general meeting, having noted the expiry of the term of office as a director of Ms Isabelle RICHARD-BOURSIER, resolves to renew it for a term of six years. This term of office will therefore expire at the end of the annual general meeting convened to approve the financial statements for the financial year ended on the last trading day of the month of December TENTH RESOLUTION The annual general meeting grants full powers to the bearer of a copy or an extract hereof to make any filings and publications required by law. BNP Paribas Easy Stoxx Europe 600 UCITS ETF Annual report at 30 December

47 BNP Paribas Easy S&P 500 UCITS ETF Annual report 30 December 2016 Management Company: THEAM Registered office: 1, boulevard Haussmann Paris Depositary: BNP Paribas Securities Services RCS PARIS Publication of subscription and redemption prices: available to unitholders at the Management Company

48 Table of Contents BNP Paribas Easy S&P 500 UCITS ETF MANAGEMENT REPORT Board of directors... 3 Appropriation of distributable sums Investment strategy... 5 Results and other items Report of the board of directors and investment policy Inventory ANNUAL FINANCIAL STATEMENTS Resolutions Balance sheet Assets Balance sheet Liabilities Off-balance sheet items Income statement ANNUAL FINANCIAL STATEMENTS - NOTES Accounting methods and rules Change in net assets Additional information Additional information Breakdown by type of receivables and payables Breakdown by the legal or economic structure of the instrument 31 Breakdown by type of interest rate for assets, liabilities and off-balance sheet items... Breakdown of assets, liabilities and off-balance sheet items by residual maturity... Breakdown of assets, liabilities and off-balance sheet items by listing currency BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December 2016

49 Board of Directors Management - Administration - Auditor AT 30 DECEMBER 2016 CHAIRMAN Mr Laurent Gaude MANAGING DIRECTOR (Director) Ms Diane Terver-Agazzotti DIRECTORS Ms Marie-Sophie Pastant Mr Sébastien Denry Mr Grégory Guerrand Mr Guido Stucchi STATUTORY AUDITOR PWC, represented by Mr Benjamin Moise BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

50 Board of Directors List of the mandates and positions held in all companies by the corporate officers of the SICAV THEAM EASY ETF during the financial year ended 30 December 2016 Mr Laurent GAUDE Name of company SICAV - THEAM EASY ETF LUXEMBOURG SICAV BNP PARIBAS EASY THEAM Mandates/Positions Chairman: Director Deputy Chief Executive Officer Ms Diane Terver-Agazzotti Name of company LUXEMBOURG SICAV PARWORLD LUXEMBOURG SICAV THEAM QUANT SICAV - THEAM EASY ETF Mandates/Positions Director Director Chief Executive Officer Ms Marie-Sophie PASTANT Name of company SICAV - THEAM EASY ETF Director Mandates/Positions Mr Grégory Guerrand Name of company SICAV - THEAM EASY ETF Director Mandates/Positions Mr Guido Stucchi Name of company SICAV - THEAM EASY ETF Director Mandates/Positions Mr Sébastien Denry Name of company SICAV - THEAM EASY ETF Director Mandates/Positions BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

51 Strategy IDENTIFICATION CLASSIFICATION: International Equities INVESTMENT OBJECTIVE: The investment objective of the BNP PARIBAS EASY S&P 500 UCITS ETF (the Sub-fund ) is to replicate the performance of the S&P 500 index, both to the upside and the downside. As the Sub-fund is a tracker, its objective is to maintain the absolute tracking error between the change in the sub-fund s net asset value and that of the index at a level below 1%. If this tracking error exceeds 1%, it must not under any circumstances exceed 5% of the volatility of the index. BENCHMARK INDEX The benchmark is the S&P 500 index, published in USD by Standard & Poor s. The S&P 500 is an index composed of the 500 biggest American companies. The selected stocks represent the largest market caps accounting for approximately 75% of US company shares. The index was created by S&P in 1957 and includes the dividends paid by the shares making up the index. Its Bloomberg ticker is the <SPTR500N> Index. A full description of the index and the publication of its stocks are available online at Publication of the index: Standard & Poor's is responsible for calculating and publishing the value of the S&P 500 index. The closing value of the S&P 500 index is calculated daily using the official closing price of the stock exchange on which the securities constituting the index are listed. The S&P 500 index is also calculated in real time on each trading day of the stock exchange on which it is listed. The S&P 500 index is published in real time via Reuters and Bloomberg: Reuters: SPXNTR Bloomberg: SPTR500N Index Standard & Poor s disclaimer: Standard & Poor's does not sponsor, market or promote any investment product linked to an S&P index. INVESTMENT STRATEGY 1. STRATEGY USED TO ACHIEVE THE INVESTMENT OBJECTIVE To achieve the investment objective of offering investors exposure to the S&P 500 index, the Sub-fund will implement techniques that synthetically replicate the S&P 500 index. These techniques make it possible to swap the performance of the Sub-fund's assets, using OTC forward financial instruments (swaps, etc.), against indexation to the benchmark index. Thus, the portfolio's risk characteristics are similar to those of the benchmark index. BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

52 Strategy In accordance with regulations in force, the Management Company may replace the S&P 500 index, in the event of significant events affecting the operation of the index (if it is no longer published, or is withdrawn) or if the conditions of its replication are no longer optimal with regard to achieving the investment objective. 2. MAIN CATEGORIES OF ASSETS USED (EXCLUDING EMBEDDED DERIVATIVES) Equities: The Sub-fund is eligible for the French Equity Savings Plan (PEA), so at least 75% of its assets are securities eligible for the PEA. The Sub-fund invests in the shares of large and, where appropriate, mid-cap companies in all sectors, issued on the markets of one or more European countries, and whose performance is intended to be swapped against an indexation to the benchmark index. The Sub-fund may invest in shares in accordance with the exemption ratios of tracker UCITS, i.e. up to 20% of its net assets in the shares of a single issuing entity, subject to the conditions laid down in article R of the French monetary and financial code. Where justified by unusual market conditions, particularly if certain securities are predominant, this 20% limit for a single issuing entity may be raised to 35%. Debt securities and money market instruments: For cash management purposes and/or depending on market conditions, the Sub-fund may invest in money market instruments (French Treasury Bills, certificates of deposit) or in transferable debt securities. These instruments have a minimum credit rating of A-3 (Standard & Poor s) or P-3 (Moody s) at the time of their acquisition or failing that a long term investment grade rating or an internal rating of the Management Company which satisfies equivalent criteria. The issuers selected may be in either the private or the public sector (governments, local government entities, etc.), while private debt may represent up to 100% of debt instrument assets. Foreign bonds and complex or transferable debt securities will be denominated in one of the currencies of the OECD member countries. Units or shares of undertakings for collective investment: The Sub-fund may invest up to 10% of its net assets in units or shares of UCITS, AIFs and investment funds. UCITS, AIFs and investment funds are: - French or foreign UCITS; - French or foreign AIFs established in other European Union Member States or investment funds incorporated on the basis of a foreign law complying with the criteria laid down in article R of the French monetary and financial code. These UCITS, AIFs and investment funds may be managed by management companies which are part of the BNP PARIBAS Group. Derivatives The Sub-fund may use instruments traded on French and/or foreign regulated futures markets, such as futures and options, in accordance with relevant regulations. The Sub-fund may also enter into OTC financial contracts (swaps). Transactions involving such instruments are carried out within a limit of approximately 100% of the Sub-fund's assets, and will mainly be swap contracts. BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

53 Strategy The forward financial instruments used by the Sub-fund to generate exposure to the investment strategy with the aim of achieving its investment objective will be: - over-the-counter options; - swap contracts: performance swaps on the benchmark, equity swaps; - forward contracts to hedge currency risk, currency swaps. These transactions in financial instruments may be concluded with counterparties selected by the Management Company in accordance with its best execution policy; these counterparties may be companies that are connected to the Management Company. In order to achieve its investment objective the Sub-fund may receive or issue the guarantees referred to in article L of the French monetary and financial code in accordance with the Management Company s risk policy. These guarantees may take various forms, including cash, money market instruments, bonds issued or guaranteed by a member of the OECD, shares and daily traded UCITS units, etc. A discount appropriate to the asset category and in line with the risk policy of the Management Company will be applied to each guarantee. Guarantees received in cash may be reinvested in accordance with the applicable regulations. As a guarantee, the Sub-fund may receive up to 100% of its net asset value in securities issued or guaranteed by OECD Member States in accordance with the Management Company s risk policy. The Sub-fund may thus be fully guaranteed by securities issued or guaranteed by a sole eligible OECD Member State. Securities with embedded derivatives The Sub-fund shall not seek to acquire this type of asset directly. Any warrants will be held in the portfolio only as a result of securities transactions involving the allocation of this type of security. Deposits The Sub-fund may deposit up to the equivalent of 100% of the net assets in cash at one or more banks for a maximum period of 12 months. Cash borrowing In the normal course of operations, the Sub-fund may occasionally become overdrawn and need to borrow cash, up to a limit of 10% of its net assets. Temporary purchases and sales of securities Any temporary purchases and sales of securities will be conducted with reference to the French Monetary and Financial Code. They will be carried out as part of the Sub-fund s cash management and/or to optimise income. These operations will consist of securities lending and borrowing and repurchase and reverse repurchase agreements. Such transactions may represent up to 100% of the sub-fund s assets. These transactions may be carried out with companies connected to the BNP Paribas Group. All these transactions will be conducted under normal market conditions and any income will belong in full to the Sub-fund. The guarantees received in connection with these transactions will be of the same type as those eligible under the Derivatives heading below, with the exception of units of UCITS. BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

54 Strategy OVERALL RISK The method used to calculate the overall risk of the Sub-fund is the commitment method. RISK PROFILE: General considerations: The Sub-fund s risk profile is suitable for an investment horizon of five years or more. As with any financial investment, potential investors should be aware that the value of the Sub-fund's assets is exposed to the fluctuations of the assets included in the benchmark index and that it may vary significantly. The Sub-fund is categorised as an international equities UCITS. Investors are therefore exposed to the following risks: - Market risk: Shareholders are fully exposed to the S&P 500 index. A fall in the shares making up the S&P 500 index will lead to a fall in the Sub-fund s net asset value. - Risk of capital loss: Investors are advised that the Sub-fund's performance may not meet its objectives and that they may not recover the full amount of the capital invested (less subscription fees). - Counterparty risk: The Sub-fund will be exposed to counterparty risk resulting from the use of OTC forward financial instruments or temporary purchases or sales of securities to achieve the investment objective. Counterparty risk is the risk of loss incurred by the Sub-fund with respect to its commitments with a counterparty in the event of default by said counterparty. Counterparty risk is nevertheless reduced by setting up a guarantee in favour of the Sub-fund in accordance with regulations in force. - Liquidity risk: As a market s liquidity is reflected in particular in the form of a wide price range, shareholders run the risk of loss due to adjustments in the forward financial instruments held by the Sub-fund when markets are illiquid. As a consequence of such situations, the costs relating to adjustments in the instruments held by the Sub-fund in the event of subscriptions or redemptions may become particularly high and will be reflected in the Sub-fund s net asset value. - Liquidity risk on a listing market: The ETF s market price may differ from its indicative net asset value. The liquidity of the Sub-fund s shares on a listing market may be affected by a suspension which could be due in particular to: - calculation of the S&P 500 index is suspended or ceases; - suspension of the market(s) on which the components of the S&P 500 index are listed; - Inability of a listing market concerned to obtain or calculate the Sub-fund s indicative net asset value; - an infringement by a market maker of the rules in force on the market in question; - a system failure affecting the market s computer or electronic systems in particular. - Risk arising from entering into transactions with affiliated counterparties: When entering into financial contracts or temporary sales or purchases of securities, the Management Company may be led to conclude this type of transaction with counterparties affiliated to the group to which the Management Company belongs. In such cases, a potential conflict of interest exists between the interests of clients and those of the group to which the Management Company belongs. The implementation of an effective conflict of interest policy enables the Management Company to prioritise the interests of its clients in such cases. BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

55 Strategy - Risk linked to the use of derivatives: To achieve its investment objective, the Sub-fund may use OTC or listed derivative products to hedge and/or optimise the performance of its portfolio and/or to hedge foreign exchange risk. Investors attention is drawn to the fact that the above increases the volatility of the Sub-fund's performance and the use of these instruments may significantly modify the portfolio s exposure compared to a simple, direct investment. The occurrence of this risk could decrease the net asset value of the Sub-fund. - Currency risk: Investors are exposed to currency risk due to the currency of the components of the index. The index being denominated in USD, holders of EUR-denominated shares are subject to the currency risk associated with a weakening of the EUR/USD parity. - Risk of conflict of interest: When entering into financial contracts or temporary sales or purchases of securities, the Management Company may be led to conclude this type of transaction with counterparties affiliated to the group to which the Management Company belongs. In such cases, a potential conflict of interest exists between the interests of clients and those of the group to which the Management Company belongs. The implementation of an effective conflict of interest policy enables the Management Company to prioritise the interests of its clients in such cases. MINIMUM RECOMMENDED INVESTMENT HORIZON: 5 years BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

56 Management Report MANAGEMENT REPORT OF THE BOARD OF DIRECTORS Dear Sir/Madam, In accordance with the articles of association and the law, we have convened an annual ordinary general meeting in order to: - report to you on the position and the activities of the company during the financial year ended 30 December 2016 and submit the accounts for your approval; - submit for your approval the renewal of the term of office of five directors and the appointment of a director. Accordingly, we invite you to vote on the resolutions to be submitted to you. We hope that all these proposals will receive your approval. The Board of Directors INVESTMENT POLICY ECONOMIC AND FINANCIAL DEVELOPMENTS The year began badly, with equity markets falling sharply in January because of concerns about global growth, the Chinese economy and falling oil prices (USD 26 a barrel in February). Initial discussions between Saudi Arabia and other producers prompted a rapid rise in oil prices (towards USD 50) which sparked a stock market recovery in February and March. This bull run continued in April and May, but showed signs of running out of steam, despite a fairly favourable economic environment. In June, the UK referendum was the centre of attention, driving volatility on European markets to its highest level of the year. The Brexit victory, announced during the night of 23/24 June, came as a shock. The major indices fell rapidly on 24 June before recovering. Theresa May s rapid appointment as Prime Minister helped make the political situation less confused (even if many questions about the development of future negotiations are yet unanswered). As a result, stocks saw a significant rally in July followed by a phase of relative stability. Volatility began to trend upwards again in the autumn. Oil price changes, uncertainty due to monetary policy and questions about global growth continued to make investors jittery, while stock markets rose without regard for fundamentals. From October, apprehension worsened with the impending US presidential election. Moreover, Theresa May announced that article 50 of the Lisbon Treaty would be activated before the end of the first quarter of 2017 and, in Italy, it became clear fairly quickly that the President of the Council would be disavowed by the outcome of the referendum of 4 December. And then came Donald Trump! Once the election had ended, the possibility of a more expansionary fiscal policy (part of the electoral campaign) quickly led equities and the dollar to bounce back strongly and put pressure on long-term interest rates. This momentum has since been maintained, even if no precise information on the stimulus measures is yet available, and despite the fact that Donald Trump s election was seen by most investors as a threat to financial markets prior to 8 November. The trends slackened a bit in the form of falling transaction volumes, but equity prices continued to rise in December, boosted by a rise in oil prices following the agreement to cut production. In 2016, global equities gained 5.6% (MSCI AC World in dollars) while emerging markets gained 8.6% (MSCI Emerging in dollars), despite a more difficult end of the year for emerging assets due the dollar s rise and pressure on US interest rates combined with the fear of increased protectionism. US markets significantly outperformed other developed markets (+9.5% for the S&P 500): less exposed to the consequences of Brexit, they naturally benefited from the prospect of renewed growth and deregulation after the election of the Republican candidate. Japanese equities, boosted in November and December by the yen s retreat after a chaotic period, managed to close the year virtually flat (+0.4% for the Nikkei 225). BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

57 Management Report In Europe, the Euro Stoxx 50 gained 0.7%. At the beginning of July, concerns about Brexit and the specific situation of some banks had pushed European banking stocks to their lowest level in four years. Despite a Q4 surge, these stocks failed to fully erase their earlier losses. In the UK, the Footsie posted impressive gains (+14.4%), but this rise largely reflects the pound sterling s fall against the euro (-13.9%). The above figures correspond to the changes in index prices in local currencies, excluding reinvested dividends. INVESTMENT POLICY BNP Paribas Easy S&P 500 UCITS ETF is mainly invested in a total return swap. We have swapped the performance of a basket of European equities against the performance of the S&P 500 TR index. This synthetic replication generates a yield very close to the benchmark index. During the period under review, the S&P 500 TR index (dividends reinvested), calculated in EUR, gained 14.55%. Over the same period, the net asset value of the EUR units rose by 15.35%. This past performance, calculated from 31 December 2015 to 30 December 2016, is no guarantee of the Fund's future results. Over the same period, the S&P 500 TR index (dividends reinvested), calculated in USD, gained 11.23%. Over the same period, the net asset value of the USD accumulation and distribution units rose by 12.00% and 11.21% respectively. This past performance, calculated from 31 December 2015 to 30 December 2016, is no guarantee of the Fund's future results. Between 31 December 2015 and 30 December 2016, the S&P 500 Euro Hedged TR index (dividends reinvested), calculated in EUR, gained 9.69%. Over the same period, the net asset value of the EUR Hedged units rose by 10.21%. This past performance, over the period under review, is no guarantee of the Fund's future results. The tracking error between the Fund and its benchmark index was 0.03% (EUR and USD accumulation units, based on annualised weekly data). This (ex post) tracking error for the period in question is in line with expectations. The performance gap between the fund and its reference index can be explained by enhanced replication methods. 31/12/15 (based on closing prices) 30/12/16 (based on closing prices) Change (%) EUR Accumulation Units* % USD Accumulation Units* % USD Distribution Units* %** Price Return Index EUR % Total Return Index EUR** % Price Return Index USD % Total Return Index USD** % * Technical NAVs at 31/12/2015 ** index reinvesting dividends BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

58 Management Report 31/12/15 (based on closing prices) 30/12/16 (based on closing prices) Change (%) EUR Hedged Units* % EUR Hedged Total Return Index** % * Technical NAVs at 31/12/2015 ** index reinvesting dividends Changes during the financial year: 11/02/16: change of name of former S&P 500 THEAM EASY UCITS ETF As of 01/04/16: BNP Paribas Securities Services merged with BNP Paribas Fund Services France. Reduction: In application of the provisions of article 158 of the French general tax code (Code général des impôts) relating to information concerning the share of income eligible for the 40% reduction and the share not eligible for this reduction, we inform you that the income that the Fund plans to distribute breaks down as follows: H shares: 31/12/ /12/ /12/2016 Profit/(loss) ( ) Capital gains or losses ( ) Profit/(loss) ( ) Capital gains or losses ( ) Profit/(loss) ( ) Capital gains or losses ( ) Dividend per unit (share): units eligible for the 40% reduction: share not eligible for the reduction: PEA The SICAV complies with the ratio of 75% of its assets in PEA-eligible securities or rights. The management company shall confirm the percentage upon request. Information on efficient portfolio management techniques (EPMT) Exposure gained through EPMT Type of trade Amount in ptf curr. Securities repurchase agreements* Securities reverse repurchase agreements* Securities lending Securities borrowing * Securities received as a guarantee were not reused BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

59 Management Report Identity of counterparties, type and amount of financial guarantees received to reduce counterparty risk Name of counterparty Type of guarantee received Valuation in ptf curr. Income from EPMT received during the financial year as well as direct and indirect operating fees and expenses Type of trade Income for the year in ptf curr. Operating fees and/or expenses in ptf curr. Information on derivatives Underlying exposure gained through derivatives Type of trade Counterparty Amount in ptf curr. SWAP BNP PARIBAS ARBITRAGE ISSUANCE B 320,000, SWAP HSBC FRANCE 1,057,024, SWAP MORGAN STANLEY INTERNATIONAL L 400,744, SWAP SOCIETE GENERALE 1,130,593, Identity of counterparties, type and amount of financial guarantees received Name of counterparty Type of financial guarantee Valuation in ptf curr. HSBC BANK P.L.C. Cash collateral 1,530, BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

60 Management Report Securities financing transactions pursuant to the SFTR Securities Financing Transactions Regulation Additional annex information according to EU regulation 2015/2365 on transparency of securities financing transactions Fund BNP PARIBAS EASY S&P 500 UCITS ETF Assets engaged Type of transactions Additional information Total Return Swaps Note: There were only total return swaps over 2016 Volumes of assets Absolute amount in sub-fund currency EUR 2,908,362, In percentage of AUM of sub-fund 192% Top 10 counterparties descending 1# counterparty name SOCIETE GENERALE Gross volume of outstanding trades with 1# counterparty EUR 1,130,593, Country in which 1# counterparty is established France 2# counterparty name HSBC CCF FINANCIAL PRODUCTS Gross volume of outstanding trades with 2# counterparty EUR 1,057,024, Country in which 2# counterparty is established France 3# counterparty name MORGAN STANLEY AND CO. INTERNATIONAL PLC Gross volume of outstanding trades with 3# counterparty EUR 400,744, Country in which 3# counterparty is established United Kingdom 4# counterparty name BNP PARIBAS ARBITRAGE SNC Gross volume of outstanding trades with 4# counterparty EUR 320,000, Country in which 4# counterparty is established France Settlement and clearing Bilateral Maturity tenor of the SFTs & TRS absolute value Amount with maturity from one month to 3 months EUR 400,744, Amount with maturity from 3 months to one year EUR 2,507,618, Note: All our SFTs and TRS are settled bilaterally BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

61 Management Report Amount of securities and commodities on loan as % of total lendable asset Note: No securities nor commodities were lent in 2016 Collateral engaged Type of collateral Amount and currency of collateral in bank deposits EUR 1,530, Note: In 2016, collateral was received, but no collateral Quality of collaterals Cash collateral Maturity tenor of the collateral absolute value Less than one day EUR 1,530, largest collateral counterparties across all SFTs & TRS Name BNP PARIBAS Volume collateral received (absolute value) EUR 1,530, largest collateral issuers across all SFTs & TRS Name N/A Volume collateral received (absolute value) N/A Safekeeping of collateral received: Custodians & amount of collateral assets safe kept Name of custodian BP2S France Note: Cash collateral included Absolute amount of collateral assets held EUR 1,530, Collective investment undertaking Cash collateral reinvestment returns to the collective investment undertaking Note: This Fund did not reinvest cash collateral received in 2016 Data on cost and return Note: Total return swaps did not generate any revenue or cost in 2016 CODE OF ETHICS Group financial instruments invested in the Fund: This information appears in the appendix to the annual report under Additional Information 1. Information on the main changes in the portfolio is available on request from the Management Company. * * * * * * Within the framework of collective investment management, transaction fees are invoiced for trades involving financial instruments (purchase and sale of securities, repurchase agreements, futures, and swaps). * * * BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

62 Management Report ESG APPENDIX: Report pursuant to article 173 of the French law on energy transition for green growth (the LTECV) 1) Application of the ESG approach within the Management Company (Art. D II-1 ) (Art. D II-2 ) (Art. D II-5 ) Responsible investment is a strategic thrust for BNP Paribas Investment Partners (BNPP IP) which, for many years, has been integrating Environmental, Social and Governance (ESG) issues in the investment solutions offered to its clients. BNPP IP is a signatory to the United Nations-supported Principles for Responsible Investment (UN PRI) and has adopted, for all its open-end investment products, a responsible investment policy. As part of our responsible investment policy, we take Environmental, Social and Governance (ESG) criteria into account in all our investment decisions for all our open-end funds. Integrating ESG criteria into the choice of the issuers in which we invest generates long-term financial value for our clients and guards against the financial, operational and reputational risks associated with investing in companies that have a poor ESG reputation. In order to contribute positively to energy transition, BNPP IP has initiated a review of our role as an investor committed to promoting a low-carbon economy. We have signed the Montreal Carbon Pledge and the Portfolio Decarbonization Coalition and, in 2016, we adopted a climate strategy. Full information on article 173 of the law on energy transition for green growth and the BNPP IP management company can be found in a specific PDF document available at the following address: ******************************** 2) Implementation at fund level. a) Integration of ESG criteria by the Fund (Art. D II-2 a, b, c, d (Art. D III-2 ) This Fund does not apply ESG criteria. Integration of climate change criteria) (Art. D III-1, 3, 4 5 ) Climate change risk is addressed by the Fund in a way that is fully consistent with the principles of the BNPP IP carbon strategy mentioned in reply to question 1e). On the other hand, no carbon footprint is specifically calculated for this Fund because of a lack of data on the greenhouse gas emissions of issuers. b) Voting and engagement policy (Art. D II-2 d ii and iii) Please refer to the answers provided in the Management Company section 1-f) The Management Company, as a member of BNPP IP, applies the latter s responsible investment policy. * * * BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

63 Management Report INFORMATION ON THE MANAGEMENT COMPANY S REMUNERATION POLICY Information on the remuneration policy applicable for financial year 2016 is available on request from the Management Company: THEAM 14, rue Bergère Paris. Moreover, descriptive information on the Management Company s remuneration policy is available on the following website: * * * INFORMATION ON THE POLICY FOR THE SELECTIONN AND EVALUATION OF INVESTMENT DECISION-MAKING SUPPORT SERVICES AND ORDER EXECUTION In accordance with the provisions of article of the General Regulation of the AMF (the French Financial Market Authority), THEAM's information on the policy for the selection and evaluation of investment decision-making support services and order execution is available online at ( MIFID Policy ). * * * STATEMENT ON INTERMEDIARY FEES In accordance with the provisions of article (UCITS) and article (AIF) of the General Regulation of the AMF, the latest statement on intermediary fees is available online at ( Regulatory Information ). * * * BEST SELECTION AND BEST EXECUTION POLICY ADOPTED BY THEAM ACTING AS FINANCIAL MANAGER BY DELEGATION TO THE SICAV Information on the best selection and best execution policy is available on the Management Company s website at ( MIFID Policy ). * * * REPORT ON THE EXERCISE OF VOTING RIGHTS Information on voting policy is available on the Management Company s website at BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

64 Management Report Activities of the Board of Directors during the financial year: The Board was convened on 12 February 2016 and voted on the following items: 1. Approval of the minutes of the previous Board meeting 2. Administration of the SICAV 3. Report of the Board of Directors on the SICAV s activities 4. Review and closing of the accounts for the financial year ended 31 December Convening of an Annual Ordinary General Meeting; 6. Proposed merger by absorption of the RUSSELL 1000 THEAM EASY UCITS ETF FCP by the BNP PARIBAS EASY S&P 500 UCITS ETF Sub-fund of the SICAV 7. Miscellaneous The Board was convened on 20 June 2016 and voted on the following items: 1. Approval of the minutes of the Board meeting of 12 February Determination of the exchange parity for the merger by absorption of the RUSSELL 1000 THEAM EASY UCITS ETF FCP by the BNP PARIBAS EASY S&P 500 UCITS ETF Sub-fund of the SICAV 3. Presentation of the proposed liquidation of the BNP PARIBAS EASY VOLATILITY ARBITRAGE US UCITS ETF Sub-fund and of the BNP PARIBAS EASY VOLATILITY US ENHANCED UCITS ETF sub-fund of the SICAV 4. Possibility for the sub-funds of the SICAV to become master sub-funds of French and/or foreign UCITS and/or AIFs and consequent amendment of the SICAV s regulatory documentation Presentation of the proposal Power granted to the Management Company to make all necessary amendments to the regulatory documentation and/or to carry out all relevant actions in this regard 5. Power for the completion of the legal formalities. The Board was convened on 23 November 2016 and voted on the following items: 1. Approval of the minutes of the Board meeting of 20 June Approval of the payment of an interim dividend for the EUR D shares (ISIN code FR ) of the BNP PARIBAS EASY EURO STOXX 50 UCITS ETF Sub-fund of the SICAV; 3. Sundry items BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

65 Annual financial statements Balance Sheet Assets Financial Year Financial Year 30/12/ /12/2015 Net fixed assets - - Deposits - - Financial instruments 1,595,379, ,310, Equities and similar securities 1,459,299, ,333, Traded on a regulated or similar market 1,459,299, ,333, Not traded on a regulated or similar market - - Bonds and similar securities - - Traded on a regulated or similar market - - Not traded on a regulated or similar market - - Debt securities - - Traded on a regulated or similar market - Transferable debt securities - - Traded on a regulated or similar market - Other debt securities - - Not traded on a regulated or similar market - - Units of undertakings for collective investment 62,535, ,829, Standard UCITS and AIFs for non-professionals and equivalents from other European Union member states Other funds for non-professionals and equivalents from other European Union member states Professional standard funds and equivalents from other European Union member states and listed securitisation undertakings Other professional investment funds and equivalents from other European Union member states and non-listed securitisation undertakings 62,535, ,829, Other non-european undertakings - - Temporary transactions on securities - - Receivables on securities received under a repurchase agreement (pension) - - Receivables on securities lent - - Securities borrowed - - Securities transferred under a repurchase agreement (pension) - - Other temporary transactions - - Forward financial instruments 73,544, ,147, Transactions on a regulated or similar market - - Other transactions 73,544, ,147, Other financial instruments - - Receivables Currency forwards Other Financial accounts 23,052, ,537, Cash 23,052, ,537, TOTAL ASSETS 1,618,432, ,848, BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

66 Annual financial statements Balance sheet Liabilities Financial Year Financial Year 30/12/ /12/2015 Equity capital Share capital 1,425,842, ,307, Previous net capital gains and losses not distributed (a) 50,804, ,372, Retained earnings (a) 744, , Net capital gains and losses for the financial year (a,b) 25,658, ,585, Profit/(loss) for the financial year (a,b) 11,761, ,194, Total equity capital 1,514,811, ,486, (= Amount corresponding to the net assets) Financial instruments 101,844, ,227, Sales of financial instruments - - Temporary transactions on securities - - Payables on securities transferred under a repurchase agreement (pension) - - Payables on securities borrowed - - Other temporary transactions - - Forward financial instruments 101,844, ,227, Transactions on a regulated or similar market - - Other transactions 101,844, ,227, Payables 1,776, , Currency forwards - - Other 1,776, , Financial accounts - - Short-term bank loans - - Borrowings - - TOTAL LIABILITIES 1,618,432, ,848, (a) Including accruals accounts (b) Less interim dividends paid for the financial year BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

67 Annual financial statements Off-balance sheet items Financial Year Financial Year 30/12/ /12/2015 HEDGING TRANSACTIONS Commitments on regulated or similar markets - - OTC commitments Equity swaps EQSJEM03-531,000, EQSJEM05-12,765, EQSJEM06-236,000, EQSKC ,000, EQSKDF02 598,000, EQSKDF03 225,000, EQSKDF05 320,000, EQSKDF06 95,134, Other commitments OTHER TRANSACTIONS Commitments on regulated or similar markets - OTC commitments Equity swaps EQSJEM04-581,983, EQSJEM07-244,256, EQSK ,459, EQSKDF01 400,744, EQSKDF04 459,024, Other commitments BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

68 Annual financial statements Income statement Financial Year Financial Year 30/12/ /12/2015 Income from financial transactions Income from equities and similar securities 8,243, ,121, Income from bonds and similar securities - - Income from debt securities - - Income from temporary purchases and sales of securities - - Income from forward financial instruments 2,565, , Income from deposits and financial accounts 1, Other financial income - - Total I 10,811, ,321, Payables on financial transactions Payables on temporary purchases and sales of securities - - Payables on forward financial instruments -524, Payables on financial debts -50, , Other payables - - Total II -575, , Profit/(loss) on financial transactions (I+II) 10,236, ,319, Other income (III) - - Management fees and depreciation allowance (IV) -2,019, ,282, Net profit/(loss) for the financial year (I+II+III+IV) 8,216, ,036, Income equalisation for the year (V) 3,545, ,158, Interim dividends paid for the financial year (VI) - - Profit/(loss) (I+II+III+IV+V+VI) 11,761, ,194, BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

69 Accounting methods and rules The undertaking complies with ANC regulation number of 14 January 2014 on the Chart of Accounts for open-ended undertakings for collective investment. The accounting currency is the euro. All the transferable securities comprising the portfolio are recorded using the historical cost method, excluding fees. Securities and financial futures and options held in the portfolio denominated in foreign currencies are converted into the accounting currency on the basis of exchange rates observed in Paris on the valuation day. The portfolio is valued at the time of each net asset value and when the accounts are closed, using the following methods: Transferable securities Listed securities: at the market value - including accrued coupons (closing price) However, transferable securities whose prices have not been determined on the valuation day or quoted by contributors and whose prices have been adjusted, as well as securities that are not admitted for trading on a regulated market, are valued under the Management Company s responsibility (or that of the Board of Directors for a SICAV) at their foreseeable sale prices. Prices are adjusted by the Management Company on the basis of its knowledge of the issuers and/or markets. Undertakings for collective investment: at the last-known net asset value, failing which at the last estimated value. The net asset values of securities of foreign undertakings for collective investment valued on a monthly basis are confirmed by the fund administrators. Valuations are updated weekly on the basis of estimates provided by the administrators of these undertakings for collective investment and validated by the fund manager. Transferable debt securities and equivalent securities not involved in significant trades are measured by applying an actuarial method, the rate used being that applicable to issues of similar securities adjusted, where appropriate, for a deviation representative of intrinsic characteristics of the issuer. In the absence of sensitivity, securities with a residual maturity of three months are valued at the most recent rate until they mature; for those with maturities of less than three months, interest is calculated on a straight-line basis; Temporary purchases and sales of securities: - Securities lending: the claim represented by loaned securities is valued at the market value of the said securities. - Securities borrowing: securities borrowed as well as the claim represented by such securities are valued at their market value. - Collateral: the UCI has opted to record securities received as collateral in securities lending transactions in the balance sheet accounts at the amount of the debt corresponding to the obligation to return said securities. - Reverse repurchase agreements with a residual maturity of three months or less: individualisation of the receivable on the basis of the contract price. In such cases, the remuneration is calculated on a straight-line basis. - Long-term repurchase agreements: recorded and valued at their nominal amount, even if their maturity exceeds three months. This amount is increased by the accrued interest attached. However, certain contracts stipulate specific conditions in the event of a request for early redemption to reflect the impact of a rise in the counterparty's financing curve. Accrued interest can then be reduced from this impact, without any minimum value. The impact is proportional to the residual maturity of the repurchase agreement and the difference observed between the contractual margin and the market margin for an identical maturity date. - Repurchase agreements with a residual maturity of three months or less: market value. Debt valued on the basis of the contractual value is recorded as a liability on the balance sheet. In such cases, the remuneration is calculated on a straight-line basis. Financial futures and options Futures: daily settlement price. Off-balance sheet valuations are calculated on the basis of the nominal amount, the settlement price and, where appropriate, the exchange rate. BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

70 Accounting methods and rules Options: closing price of the day or, if unavailable, the last known price. OTC options: these options are valued at their market value, on the basis of the prices communicated by the counterparties. These valuations are checked by the Management Company. Off-balance sheet valuations are calculated on an underlying-equivalent basis, depending on the delta and the price of the underlying and, where appropriate, the exchange rate. Exception: Floor: these options are valued by third-party counterparties using a mark-to-market discount model based on a volatility and a yield curve, both of which are verified by the fund manager, taken at the close of trading every Thursday. Currency forwards: revaluation of currencies committed at the daily price, carry-over/backwardation calculated on the basis of the maturity of the contract. Term deposits: term deposits are recorded and valued at their nominal amount, even if their maturity exceeds three months. This amount is increased by the accrued interest attached. However, certain contracts stipulate specific conditions in the event of a request for early redemption to reflect the impact of a rise in the counterparty's financing curve. Accrued interest can then be reduced from this impact, without being able to be negative. Term deposits are then at least valued at their nominal value. Interest rate swaps: - for swaps maturing in less than three months, interest is calculated on a straight-line basis - swaps maturing in more than three months are revalued at their market value. Synthetic products (combining a security with a swap) are accounted for on an overall basis. Interest on swaps due within the framework of these products is valued on a straight-line basis. Asset swaps and synthetic products are valued on the basis of their market value. Asset swap valuations are based on the valuation of hedged securities less the impact of change in credit spreads. This impact is assessed on the basis of the average of spreads communicated by 4 counterparties questioned on a monthly basis, adjusted by a margin depending on the issuer's credit rating. The valuation of index swaps, calculated by the THEAM Risk team, is used in the net asset value calculation after being checked for consistency with the counterparty s valuation, if this is received within the relevant deadlines. If the valuation is unavailable or inconsistent, THEAM Risk contacts the counterparty to identify and resolve the issue. Off-balance sheet commitments relating to these swaps correspond to the nominal amount. Structured swaps (swaps with an option-related component) are valued at their market value, on the basis of prices communicated by counterparties. These valuations are checked by the Management Company. Administration fees and external administration fees to the management company - Maximum of 0.20% (inclusive of tax) of net assets for Classic shares - Maximum of 0.20% (inclusive of tax) of net assets for C shares - Maximum of 0.20% (inclusive of tax) of net assets for H shares - Maximum of 0.20% (inclusive of tax) of net assets for HEDGE shares The allowance is calculated on the basis of net assets. These fees, which do not include transaction costs, are recorded directly in the Fund s income statement. These fees cover all the costs invoiced directly to the UCIs, except transaction costs. Transaction costs include intermediary fees (brokerage, stock market taxes, etc.) as well as transaction fees, if any, that may be charged by the depositary and the Management Company, in particular. Performance fees: None BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

71 Accounting methods and rules Refund of management fees None Method for recording interest Interest received Dividend policy Classic shares: Accumulation C shares: Accumulation H shares: accumulation and/or distribution. The SICAV may opt to reinvest or to distribute all or some of the income. The general meeting decides every year how to appropriate the results for the financial year: accumulation and/or partial or total distribution of income. HEDGE shares: Accumulation Allocation of net capital gains realised Accumulation for Classic, C and HEDGE Shares Accumulation and/or Distribution for H shares Changes affecting the Fund: 20/06/16: merger with the RUSSELL 1000 THEAM EASY UCITS ETF fund BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

72 Annual financial statements - Notes Change in net assets Financial Year Financial Year 30/12/ /12/2015 Net assets at the beginning of the financial year 825,486, ,621, Subscriptions (including subscription fees paid to the Fund) 1,095,108, ,710, Redemptions (after deduction of fees paid to the Fund) -588,246, ,234, Gains realised on deposits and financial instruments 127,299, ,878, Losses realised on deposits and financial instruments -134,715, ,360, Gains realised on forward financial instruments 536,497, ,292, Losses realised on forward financial instruments -492,864, ,051, Transaction costs - - Foreign exchange differences 1,408, , Changes in the valuation differential of deposits and financial instruments 143,644, ,952, Valuation differential for the financial year N 112,566, ,077, Valuation differential for the financial year N-1 31,077, ,874, Changes in the valuation differential of forward financial instruments -5,763, ,411, Valuation differential for the financial year N -29,714, ,950, Valuation differential for the financial year N-1 23,950, ,539, Dividend for the previous financial year on net capital gains and losses -1,258, , Dividend paid in the previous financial year on profit/(loss) - - Net profit/(loss) for the financial year excluding the income equalisation account 8,216, ,036, Interim dividend(s) paid during the financial year on net capital gains or losses - - Interim dividend(s) paid during the financial year paid on profit/(loss) - - Other items - - Net assets at the end of the financial year 1,514,811, ,486, BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

73 Annual financial statements - Notes Additional information 1 Financial Year 30/12/2016 Non-current assets None Value of non-current assets - Depreciation of non-current assets - Commitments received or given Commitments received or given (capital guarantee or other commitments) (*) - Current value of financial instruments held in the portfolio used as guarantees None Financial instruments received as a guarantee and not recorded on the balance sheet - Financial instruments given as a guarantee and kept as original entry - Financial instruments issued by the service provider or entities belonging to its group held in the portfolio Deposits - Equities 41,973, Interest rate securities - UCIs 62,535, Temporary purchases and sales of securities - Swaps (in nominal) 320,000, Current value of financial instruments subject to a temporary purchase transaction None Securities purchased à réméré (with option of repurchase) - Securities received under a repurchase agreement - Securities borrowed - (*) For guaranteed funds, the information is provided in the accounting methods and rules BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

74 Annual financial statements - Notes Additional information 2 Subscriptions and redemptions during the accounting year Financial Year 30/12/2016 Number of securities Class C (Currency: USD) Number of units subscribed 3,786,148 Number of units redeemed 997,198 CLASSIC Class (Currency: EUR) Number of units subscribed 4,594,070 Number of units redeemed 2,914,615 Class H (Currency: USD) Number of units subscribed 1,282,329 Number of units redeemed 1,408,260 Class H HEDGE (Currency: EUR) Number of units subscribed 1,150,720 Number of units redeemed 411,739 Subscription and/or redemption fees Amount (EUR) Subscription fees payable to the Fund 123, Redemption fees payable to the Fund 49, Subscription fees received and shared - Redemption fees received and shared - Management fees Class C (Currency: USD) Amount (EUR) % of average net assets Management and administration fees (*) 850, Performance fees - - Other fees - - CLASSIC Class (Currency: EUR) Management and administration fees (*) 663, Performance fees - - Other fees - - Class H (Currency: USD) Management and administration fees (*) 375, Performance fees - - BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

75 Other fees - - Class H HEDGE (Currency: EUR) Management and administration fees (*) 130, Performance fees - - Other fees - - Refund of management fees (all units taken together) - - (*) For funds with a financial year that is shorter or longer than 12 months, the percentage of the average net assets corresponds to the annualised average rate. BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

76 Annual financial statements - Notes Breakdown by type of receivables and payables Financial Year 30/12/2016 Breakdown by type of claims None Deposits in euro - Deposits in other currencies - Cash collateral - Valuation of forward currency purchases - Counter-value of forward sales - Other sundry debtors - Receivable interest - TOTAL CLAIMS - Breakdown by type of debts Deposits in euro - Deposits in other currencies - Cash collateral 1,530, Provision for interest expense - Valuation of forward currency sales - Counter-value of forward purchases - Fees and charges not yet paid 246, Other sundry creditors - Provisions for market liquidity risk - TOTAL DEBTS 1,776, BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

77 Annual financial statements - Notes Breakdown by the legal or economic structure of the instrument Financial Year 30/12/2016 Assets None Bonds and similar securities - Indexed bonds - Convertible bonds - Participation certificates - Other bonds and similar securities - Debt securities - Traded on a regulated market - Treasury bonds - Other transferable debt securities - Other debt securities - Not traded on a regulated market - Liabilities None Sales of financial instruments - Equities - Bonds - Other - Off-balance sheet items Hedging transactions Interest rates - Equities 1,459,134, Other - Other transactions Interest rates - Equities 1,449,228, Other - BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

78 Annual financial statements - Notes Breakdown by type of interest rate for assets, liabilities and off-balance sheet items Fixed interest rate Floating interest rate Revisable interest rate Other Assets None None None Deposits Bonds and similar securities Debt securities Temporary transactions on securities Financial accounts ,052, Liabilities None None None None Temporary transactions on securities Financial accounts Off-balance sheet items None None None None Hedging transactions Other transactions BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

79 Annual financial statements - Notes Breakdown by residual maturity [0-3 months] ]3 months - 1 year] ]1-3 years] ]3-5 years] > 5 years Assets None None None None Deposits Bonds and similar securities Debt securities Temporary transactions on securities Financial accounts 23,052, Liabilities None None None None None Temporary transactions on securities Financial accounts Off-balance sheet items None None None None None Hedging transactions Other transactions BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

80 Annual financial statements - Notes Breakdown by listing currency USD Assets Deposits Equities and similar securities Bonds and similar securities Debt securities Units of UCIs Temporary transactions on securities Other financial instruments Receivables Financial accounts 490, Liabilities Sales of financial instruments Temporary transactions on securities Payables Financial accounts Off-balance sheet items Hedging transactions Other transactions None None Only the five currencies that are the most representative of net assets are included in this table BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

81 Annual financial statements - Notes Appropriation of distributable sums Class: C (Currency: USD) Table of allocation of distributable income Financial Year Financial Year 30/12/ /12/2015 Amounts to be allocated Retained earnings - - Profit/(loss) 4,965, ,479, TOTAL 4,965, ,479, Allocation Dividend payments - - Retained earnings for the financial year - - Accumulation 4,965, ,479, TOTAL 4,965, ,479, Information on securities eligible to receive dividends Number of securities Dividend per unit - - Tax credits linked to dividend payments Total tax credits linked to dividend payments: - - for the financial year - - for financial year N for financial year N for financial year N for financial year N BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

82 Table of allocation of distributable income relating to net capital gains or losses Financial Year Financial Year 30/12/ /12/2015 Amounts to be allocated Previous net capital gains and losses not distributed - - Net capital gains and losses for the financial year 15,017, ,487, Interim dividends paid on net capital gains and losses for the financial year - - TOTAL 15,017, ,487, Allocation Dividend payments - - Net capital gains and losses not distributed - - Accumulation 15,017, ,487, TOTAL 15,017, ,487, Information on securities eligible to receive dividends Number of securities - - Dividend per unit - - BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

83 Class: CLASSIC (Currency: EUR) Table of allocation of distributable income Financial Year Financial Year 30/12/ /12/2015 Amounts to be allocated Retained earnings - - Profit/(loss) 4,653, ,854, TOTAL 4,653, ,854, Allocation Dividend payments - - Retained earnings for the financial year - - Accumulation 4,653, ,854, TOTAL 4,653, ,854, Information on securities eligible to receive dividends Number of securities Dividend per unit - - Tax credits linked to dividend payments Total tax credits linked to dividend payments: - - for the financial year - - for financial year N for financial year N for financial year N for financial year N Table of allocation of distributable income relating to net capital gains or losses Financial Year Financial Year 30/12/ /12/2015 Amounts to be allocated Previous net capital gains and losses not distributed - - Net capital gains and losses for the financial year 14,073, ,061, Interim dividends paid on net capital gains and losses for the financial year - - TOTAL 14,073, ,061, Allocation Dividend payments - - Net capital gains and losses not distributed - - Accumulation 14,073, ,061, TOTAL 14,073, ,061, Information on securities eligible to receive dividends Number of securities - - Dividend per unit - - BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

84 Class: H (Currency: USD) Table of allocation of distributable income Financial Year Financial Year 30/12/ /12/2015 Amounts to be allocated Retained earnings 744, , Profit/(loss) 1,354, , TOTAL 2,098, , Allocation Dividend payments - - Retained earnings for the financial year 2,098, , Accumulation - - TOTAL 2,098, , Information on securities eligible to receive dividends Number of securities Dividend per unit - - Tax credits linked to dividend payments Total tax credits linked to dividend payments: - - for the financial year - - for financial year N for financial year N for financial year N for financial year N Table of allocation of distributable income relating to net capital gains or losses Financial Year Financial Year 30/12/ /12/2015 Amounts to be allocated Previous net capital gains and losses not distributed 50,804, ,372, Net capital gains and losses for the financial year 4,047, ,293, Interim dividends paid on net capital gains and losses for the financial year - - TOTAL 54,852, ,666, Allocation Dividend payments 1,310, ,199, Net capital gains and losses not distributed 53,542, ,466, Accumulation - - TOTAL 54,852, ,666, Information on securities eligible to receive dividends Number of securities 1,337, ,463, Dividend per unit BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

85 Class: H HEDGE (Currency: EUR) Table of allocation of distributable income Financial Year Financial Year 30/12/ /12/2015 Amounts to be allocated Retained earnings - - Profit/(loss) 788, , TOTAL 788, , Allocation Dividend payments - - Retained earnings for the financial year - - Accumulation 788, , TOTAL 788, , Information on securities eligible to receive dividends Number of securities Dividend per unit - - Tax credits linked to dividend payments Total tax credits linked to dividend payments: - - for the financial year - - for financial year N for financial year N for financial year N for financial year N Table of allocation of distributable income relating to net capital gains or losses Financial Year Financial Year 30/12/ /12/2015 Amounts to be allocated Previous net capital gains and losses not distributed - - Net capital gains and losses for the financial year 2,243, , Interim dividends paid on net capital gains and losses for the financial year - - TOTAL 2,243, , Allocation Dividend payments - - Net capital gains and losses not distributed - - Accumulation 2,243, , TOTAL 2,243, , Information on securities eligible to receive dividends Number of securities - Dividend per unit - - BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

86 Annual financial statements - Notes Table of results and other material items in the last five financial years Class: C (Currency: USD) Net asset value (in USD) 16-Sep-2013 (1) 31-Dec Dec Dec.-16 C shares Net assets (in EUR thousands) 25, , , , Number of securities C shares 404,524 2,042,691 2,945,834 5,734,784 Date of payment 31/12/ /12/ /12/2016 Dividend per unit on net capital gains and losses (including interim dividends) (in EUR) Dividend per unit on income (including interim dividends) (in EUR) Tax credit per unit (*) natural persons (EUR) Accumulation per unit on net capital gains and losses Date of payment 31/12/ /12/2015 C shares Accumulation per unit on income C shares BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

87 Class: CLASSIC (Currency: EUR) Net asset value (in EUR) 16-Sep-2013 (1) 31-Dec Dec Dec.-16 C shares Net assets (in EUR thousands) 72, , , , Number of securities C shares 1,153,644 2,984,751 3,689,398 5,368,853 Date of payment 31/12/ /12/ /12/2016 Dividend per unit on net capital gains and losses (including interim dividends) (in EUR) Dividend per unit on income (including interim dividends) (in EUR) Tax credit per unit (*) natural persons (EUR) Accumulation per unit on net capital gains and losses Date of payment 31/12/ /12/2015 C shares Accumulation per unit on income C shares BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

88 Class: H (Currency: USD) Net asset value (in USD) 17-Sep-2013 (1) 31-Dec Dec Dec.-16 D shares Net assets (in EUR thousands) , , , Number of securities D shares 1 812,391 1,463,063 1,337,132 Date of payment 31/12/ /12/2015 (3) 30/12/2016 (2) Dividend per unit on net capital gains and losses (including interim dividends) (in EUR) Dividend per unit on income (including interim dividends) (in EUR) Tax credit per unit (*) natural persons (EUR) Accumulation per unit on net capital gains and losses Date of payment 31/12/ /12/2015 (3) D shares Accumulation per unit on income D shares BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

89 Class: H HEDGE (Currency: EUR) Net asset value (in EUR) 28-Oct-15 (1) 31-Dec Dec.-16 C shares Net assets (in EUR thousands) 12, , Number of securities C shares 1 130, ,981 Date of payment 31/12/ /12/2016 Dividend per unit on net capital gains and losses - - (including interim dividends) (in EUR) Dividend per unit on income - - (including interim dividends) (in EUR) Tax credit per unit (*) - - natural persons (EUR) Accumulation per unit on net capital gains and losses Date of payment 31/12/2015 C shares Accumulation per unit on income C shares (1) Date of first NAV (2) the unit value of net capital gains distributed for the financial year will be USD The EUR/USD conversion rate is that of 30/12/2016, i.e (3) the unit value of net capital gains distributed for the financial year will be USD The EUR/USD conversion rate is that of 31/12/2015, i.e (*) The tax credit per unit is calculated on the date of payment by applying the fiscal instruction of 04/03/1993 (Inst.4 K-1-93). Theoretical amounts, calculated in accordance with the rules applicable to natural persons, are provided here as an indication. "Instruction 4 J-2-99 of 08/11/1999 also states that beneficiaries of tax credits other than natural persons calculate the amount of the tax credits to which they are entitled under their sole responsibility." BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

90 Annual financial statements - Notes Inventory of financial instruments at 30 December 2016 Asset items and name of securities Quantity Price Listing currency Current value Rounded percentage of the net assets Equities and similar securities 1,459,299, Traded on a regulated market or similar market ADIDAS NOM. 195, EUR 29,330, AENA SA 107, EUR 13,872, AIR LIQUIDE 151, EUR 15,999, ALLIANZ SE-REG 346, EUR 54,342, ANHEUSER BUSCH INBEV SA/NV 176, EUR 17,771, ASML HOLDING NV 268, EUR 28,626, AXA 3,299, EUR 79,136, BANCO SANTANDER 5,823, EUR 28,878, BASF NOM. 322, EUR 28,465, BAYER 355, EUR 35,232, BCO BILBAO VIZCAYA ARGENTARIA 3,975, EUR 25,496, BMW 315, EUR 28,014, BNP PARIBAS 693, EUR 41,973, BOUYGUES 1,845, EUR 62,844, CREDIT AGRICOLE SA 981, EUR 11,560, DAIMLER 399, EUR 28,228, DANONE 257, EUR 15,486, DEUTSCHE BANK 3,153, EUR 54,397, DEUTSCHE POST NOM. 902, EUR 28,200, DEUTSCHE TELEKOM 1,954, EUR 31,969, FRESENIUS 384, EUR 28,589, GDF SUEZ 5,117, EUR 62,020, ING GROEP NV-CVA 4,823, EUR 64,496, KON.PHILIPS ELECTRONICS 1,436, EUR 41,663, LVMH MOET HENNESSY VUITTON 121, EUR 22,013, MICHELIN 90, EUR 9,516, MUNCHENER RUCKVERSICHERUNGS 158, EUR 28,543, NATIXIS 4,154, EUR 22,267, ORANGE 1,939, EUR 28,001, OREAL 94, EUR 16,331, REED ELSEVIER 408, EUR 6,537, RENAULT 182, EUR 15,388, ROYAL DUTCH SHELL CL.A 660, EUR 17,174, RWE A 337, EUR 3,990, SAINT-GOBAIN 690, EUR 30,561, SANOFI 472, EUR 36,353, SAP 527, EUR 43,670, SCHNEIDER ELECTRIC 935, EUR 61,826, SIEMENS 133, EUR 15,578, SOCIETE GENERALE A 1,244, EUR 58,151, BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

91 Asset items and name of securities Quantity Price Listing currency Current value Rounded percentage of the net assets SUEZ ENVIRONNEMENT COMPANY 787, EUR 11,041, TOTAL 657, EUR 32,050, UPM KYMMENE 346, EUR 8,083, VEOLIA ENVIRONNEMENT 2,828, EUR 45,747, VINCI 452, EUR 29,278, VIVENDI 2,983, EUR 53,859, VOLKSWAGEN PRIV. 50, EUR 6,734, Units of UCIs 62,535, Standard UCITS and AIFs for non-professionals and equivalents from other European Union member states 62,535, BNP PARIBAS MOIS ISR I CLASS C 2, , EUR 62,535, Forward financial instruments -28,299, Margin calls Swaps -28,299, Receivables -28,299, Payables -1,776, Deposits Other financial accounts 23,052, TOTAL NET ASSETS 1,514,811, BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

92 Resolutions TEXT OF THE RESOLUTIONS OF THE ANNUAL GENERAL MEETING OF THE SICAV THEAM EASY ETF FIRST RESOLUTION The Ordinary General Meeting, having taken note of the Board of Directors management report and the Statutory Auditor s report, approves the statement of assets and the annual financial statements, namely the balance sheet, the income statement and the notes, prepared as at 30 December 2016, as they were presented to it, and the transactions reflected in these statements and summarised in these reports. It therefore appears that for: i. THE BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF SUB-FUND: At 30 December 2016: - The number of H Class shares (FR ) outstanding was 3,106,885 versus 3,851,643 at the end of the previous financial year. - The number of FR Class shares outstanding was 16,571,059 versus 13,942,335 at the end of the previous financial year. - Net assets amounted to EUR 1,134,596, versus EUR 1,092,876, at the end of the previous financial year. ii. THE BNP PARIBAS EASY S&P 500 UCITS ETF SUB-FUND: At 30 December 2016: - The number of EUR C Class shares (FR ) outstanding was 5,368,853 versus 3,689,398 at the end of the previous financial year; - The number of USD C Class shares (FR ) outstanding was 5,734,784 versus 2,945,834 at the end of the previous financial year; - The number of H Class shares (FR ) outstanding was 1,337,132 versus 1,463,063 at the end of the previous financial year; - The number of EUR-H Class shares (FR ) outstanding was 868,981 versus 130,000 at the end of the previous financial year (share class created on 28 October 2015); - The Sub-fund s net assets amounted to EUR 1,514,811, versus EUR 825,486, at the end of the previous financial year. iii. BNP PARIBAS EASY EURO STOXX 50 UCITS ETF SUB-FUND (CREATED ON 27 JULY 2015) At 30 December 2016: - The number of EUR C Class shares (FR ) outstanding was 7,714,718 versus 10,901,426 at the end of the previous financial year; - The number of EUR C/D Class shares (FR ) outstanding was 9,043 versus 5,001 at the end of the previous financial year; - The number of EUR D Class shares (FR ) outstanding was 18,664,782 versus 6,837,655 at the end of the previous financial year; - The Sub-fund s net assets amounted to EUR 985,932, versus EUR 736,521, at the end of the previous financial year. iv. BNP PARIBAS EASY NEXT 11 UCITS ETF: At 30 December 2016: - The number of EUR C Class shares (FR ) outstanding was 457,289 versus 559,289 at the end of the previous financial year; - The number of USD C Class shares (FR ) outstanding was 15,435 versus 17,435 at the end of the previous financial year; - The number of EUR C/D Class shares (FR ) outstanding was 364, i.e. the same as at the end of the previous financial year; - The Sub-fund s net assets amounted to EUR 56,226, versus 62,849, at the end of the previous financial year. BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

93 Resolutions The shareholders therefore grant full and unreserved discharge to the directors for their management during the past financial year. Second resolution Firstly the general meeting is advised that in accordance with the articles of association of the SICAV and the legislation in force, the sums distributable are made up of: - The net income plus retained earnings, plus or minus the balance of the income equalisation account; - Realised capital gains, net of fees, less any realised capital losses, net of fees, recognised during the financial year, plus net capital gains of the same kind recognised during previous financial years and not yet distributed or accumulated, plus or minus the balance of the capital gains equalisation account. i. THE BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF SUB-FUND: The shareholders having noted that for the financial year ended 30 December 2016 the net profit is EUR 6,054, and that the sums to be appropriated from the net realised capital gains and losses amount to EUR -152,650,905.63, resolve in accordance with the provisions of the articles of association: - For Class H shares (FR ): To transfer to retained earnings: EUR 734, of the net profit for the financial year; To appropriate EUR 33,695, to the non-distributed net capital gains and losses account To distribute: EUR 2,858, of the net profit for the financial year, i.e. a distribution of EUR 0.92 for each of the 3,106,885 shares comprising the share capital as at 30 December The ex-date has been set at 11 May 2017 and the payment date will be 15 May Lastly, in accordance with legal provisions, it should be noted that during the previous three financial years, the following amounts were distributed in respect of Class H shares: H shares (distribution/accumulation per unit) Net profit/(loss): n/a - Net capital gains and losses realised: EUR 0.92 (dividend payment) - Net profit/(loss): n/a - Net capital gains and losses realised: EUR 0.90 (dividend payment) n/a (Creation of the SICAV) - For FR Class shares: to appropriate the total net profit, i.e. EUR 4,010,469.14, and the total net realised capital losses, i.e. EUR -100,966,831.81, to the capital account. ii. THE BNP PARIBAS EASY S&P 500 UCITS ETF SUB-FUND The shareholders having noted that for the financial year ended 30 December 2016 the net profit to be appropriated is EUR 11,761, and the sums to be appropriated from the net realised capital gains and losses amount to EUR 25,658,316.44, resolve in accordance with the provisions of the articles of association: BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

94 Resolutions - For H Class shares (FR ): To appropriate to retained earnings: the total net profit, i.e. EUR 2,098, To appropriate to the non-distributed net capital gains and losses account: EUR 104,347, To distribute: EUR 1,310, in respect of the net realised capital gains for the financial year, i.e. a distribution of EUR 0.98 for each of the 1,337,132 shares comprising the share capital at 30 December It should be noted that this distribution will be declared and paid in USD. The date of the EUR/USD conversion is the last day of the financial year. The EUR/USD exchange rate at 30 December 2016 was The capital gains distribution will therefore by USD 1.03 per unit. The ex-date has been set at 11 May 2017 and the payment date will be 15 May Lastly, in accordance with legal provisions, it should be noted that during the previous three financial years, the following amounts were distributed in respect of Class H shares: H Class shares Net profit/(loss): n/a - Net capital gains and losses realised: EUR Net profit/(loss): n/a - Net capital gains and losses realised: EUR NA (Creation of the SICAV) - For C USD Class shares (FR ): to appropriate the total net profit, i.e. EUR 4,965, and the total net realised capital gains, i.e. EUR 15,017, to the capital account - For EUR C Class shares (FR ): to appropriate the total net profit, i.e. EUR 4,653,519.48, and the total net realised capital gains, i.e. EUR 14,073,977.21, to the capital account. - For EUR H Class shares (FR ): to appropriate the total net profit for the financial year, i.e. EUR 788,316.27, and the total net realised capital gains, i.e. EUR 2,243,563.57, to the capital account. iii. BNP PARIBAS EASY EURO STOXX 50 UCITS ETF SUB-FUND: The shareholders having noted that for the financial year ended 30 December 2016 the net profit to be appropriated is EUR 11,572, and the sums to be appropriated from the net realised capital losses amount to EUR -108,996,638.59, resolve in accordance with the provisions of the articles of association: - For EUR C Class shares (FR ): to appropriate the total net profit, i.e. EUR 9,999,402.58, to the capital account, and the total net realised capital losses, i.e. EUR -41,443,737.83, to the net non-distributed capital gains and losses account. - For EUR-C/D Class shares (FR ): to appropriate the total net profit, i.e. EUR 22, to the capital account, and the total net realised capital losses, i.e. EUR -94,693.77, to the net non-distributed capital gains and losses account. - For EUR-D Class shares (FR ): To appropriate all the capital losses, i.e. EUR -67,458,206.99, to the capital account To transfer to retained earnings: EUR 64, of the net profit To distribute EUR 1,493, of the net profit for the financial year, i.e. a distribution of EUR 0.08 for each of the 18,664,782 shares comprising the share capital at 30 December The ex-date has been set at 11 May 2017 and the payment date will be 15 May BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

95 Resolutions Moreover, the meeting is reminded that during the financial year 2016 on 7 December 2016 an interim dividend in respect of the profit of EUR 15,336, was paid to EUR-DEUR Class shareholders, i.e. a distribution per unit of EUR Lastly, in accordance with legal provisions, it should be noted that during the previous three financial years, the following amounts were distributed in respect of EUR D Class shares: EUR D Class shares Net profit/(loss): EUR Net capital gains and losses realised: n/a 2014 NA (Creation of the sub-fund) 2013 NA (Creation of the SICAV) iv. BNP PARIBAS EASY NEXT 11 UCITS ETF: The shareholders having noted that for the financial year ended 30 December 2016 the net loss to be appropriated is EUR -344, and the sums to be appropriated from the net realised capital losses amount to EUR -1,176,686.58, resolve in accordance with the provisions of the articles of association: - For EUR C Class shares (FR ): to appropriate the total net loss, i.e. EUR -332,542.10, and the total net realised capital losses, i.e. EUR -1,137,478.10, to the capital account. - For USD C Class shares (FR ): to appropriate the total net loss, i.e. EUR -11,235.18, and the total net realised capital losses, i.e. EUR -38,432.98, to the capital account. - For EUR-C/D Class shares (FR ): to appropriate the net loss, i.e. EUR , and all the net realised capital losses, i.e. EUR , to the capital account. THIRD RESOLUTION The General Meeting acknowledges the special report of the Statutory Auditors on the agreements specified in article L of the Commercial Code, and approves the conclusions thereof. FOURTH RESOLUTION On a proposal from the Board of Directors, the general meeting, having noted the expiry of the term of office as a director of Ms Diane TERVER-AGAZZOTTI, resolves to renew it for a term of six years. This term of office will therefore expire at the end of the annual general meeting convened to approve the financial statements for the financial year ended on the last trading day of the month of December FIFTH RESOLUTION On a proposal from the Board of Directors, the general meeting, having noted the expiry of the term of office as a director of Ms Marie-Sophie PASTANT, resolves to renew it for a term of six years. This term of office will therefore expire at the end of the annual general meeting convened to approve the financial statements for the financial year ended on the last trading day of the month of December SIXTH RESOLUTION On a proposal from the Board of Directors, the general meeting, having noted the expiry of the term of office as a director of Mr Laurent GAUDE, resolves to renew it for a term of six years. BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

96 Resolutions This term of office will therefore expire at the end of the annual general meeting convened to approve the financial statements for the financial year ended on the last trading day of the month of December SEVENTH RESOLUTION On a proposal from the Board of Directors, the general meeting, having noted the expiry of the term of office as a director of Mr Grégory GUERRAND, resolves to renew it for a term of six years. This term of office will therefore expire at the end of the annual general meeting convened to approve the financial statements for the financial year ended on the last trading day of the month of December EIGHTH RESOLUTION On a proposal from the Board of Directors, the general meeting, having noted the expiry of the term of office as a director of Mr Guido STUCCHI, resolves to renew it for a term of six years. This term of office will therefore expire at the end of the annual general meeting convened to approve the financial statements for the financial year ended on the last trading day of the month of December NINTH RESOLUTION On a proposal from the Board of Directors, the general meeting, having noted the expiry of the term of office as a director of Ms Isabelle RICHARD-BOURSIER, resolves to renew it for a term of six years. This term of office will therefore expire at the end of the annual general meeting convened to approve the financial statements for the financial year ended on the last trading day of the month of December TENTH RESOLUTION The annual general meeting grants full powers to the bearer of a copy or an extract hereof to make any filings and publications required by law. BNP Paribas Easy S&P 500 UCITS ETF Annual report at 30 December

97 BNP Paribas Easy EURO STOXX 50 UCITS ETF Annual report 30 December 2016 Management Company: THEAM Registered office: 1, boulevard HAUSSMANN PARIS Depositary: BNP Paribas Securities Services RCS PARIS Publication of subscription and redemption prices: available to unitholders at the Management Company