BNP PARIBAS FLEXI III

BNP PARIBAS FLEXI III SICAV SIF Annual Report at 31/12/2015 R.C.S. Luxembourg B 130 436

BNP PARIBAS FLEXI III Table of contents Page Organisation 2 Information 4 Manager's report 6 Audit report 13 Financial statements at 31/12/2015 16 Key figures relating to the last 3 years 20 Securities portfolio at 31/12/2015 China Sovereign Bond RMB 23 Chinese Equity A 24 Deposit EUR 25 Equity China A 26 Equity China A Selected 28 Equity Greater China 30 Equity Greater China Environmental 31 Euro Government Long-Dated Passive Bond Fund 33 Fortis Deposit EUR 34 Global Senior Corporate Loans Fund 35 RMB Bond Fund 39 Senior Secured Bank Loan Fund Mogliano 40 Short Term Bond Fund RMB 43 Notes to the financial statements 44 Unaudited appendix 57 No subscriptions can be received on the basis of the financial report. Subscriptions are only valid if made on the basis of the current prospectus supplemented by a copy of the latest available annual report of the SICAV-SIF. Page 1

Organisation BNP PARIBAS FLEXI III Registered Office 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg Board of Directors Chairman Mr. Anthony FINAN, Deputy-Head of Distributors Business Line, BNP Paribas Investment Partners, Paris Members Mrs. Claire COLLET-LAMBERT, Head of Fund Legal, BNP Paribas Investment Partners Luxembourg, Hesperange Mr. Bruno PIFFETEAU, Chief Operating Officer, Global Fund Solutions, BNP Paribas Investment Partners, Paris Mr. Hans STEYAERT, Head of Operational Change Management, BNP Paribas Investment Partners Belgium, Brussels Alternative Investment Fund Manager ( AIFM ) BNP Paribas Investment Partners Luxembourg, 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg NAV Calculation, Registrar, Bearer Shares Depositary and Transfer Agent BNP Paribas Investment Partners Luxembourg, 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg Net asset values calculation, transfer agent, bearer shares depositary and registrar are delegated to: BNP Paribas Securities Services, Luxembourg Branch Until 31 December 2015 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg Since 1 January 2016 60 Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Portfolio management is delegated to: Effective Investment Managers BNP Paribas Asset Management S.A.S., 1 Boulevard Haussmann, F-75009 Paris, France BNP Paribas Investment Partners Asia Limited, 30/F Three Exchange Square, 8 Connaught Place, Central Hong- Kong delegating his function to: HFT Investment Management (HK) Limited, 30/F Three Exchange Square, 8 Connaught Place, Central Hong- Kong BNP Paribas Investment Partners Belgium (in abbreviated form: BNPP IP Belgium), Rue du Progrès 55, 1210 Brussels, Belgium BNP Paribas Investment Partners Singapore Limited, 20, Collyer Quay Tung Center #08-01, Singapore 049319 BNP Paribas Investment Partners UK Limited, 5 Aldermanbury Square, London EC2V 7BP, United Kingdom THEAM S.A.S., 1 Boulevard Haussmann, F-75009 Paris, France Page 2

Organisation BNP PARIBAS FLEXI III Depositary/Paying Agent BNP Paribas Securities Services, Luxembourg Branch Until 31 December 2015 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg Since 1 January 2016 60 Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Auditor PricewaterhouseCoopers, Société coopérative, 2 Rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg, Grand Duchy of Luxembourg Page 3

Information BNP PARIBAS FLEXI III BNP PARIBAS FLEXI III is an investment company with variable capital - specialised investment fund (abbreviated to SICAV-SIF), subject to the Luxembourg law of 13 February 2007 as amended for the last time by the Law of 12 July 2013, concerning Specialised Investment Funds and registered for an indefinite period on 18 July 2007, related to Alternative Investment Fund Managers ( AIFM ). The Articles of Association of the Company have been filed with the register of the District Court of Luxembourg, where any interested party may consult them and obtain a copy. There were published in the Mémorial, Recueil des Sociétés et Association on 4 September 2007. They were modified for the last time on 13 September 2010 with publication in the Mémorial, Recueil des Sociétés et Associations on 29 September 2010. The Company is registered in the Luxembourg Trade Register under the number B 130 436. The Articles of Association, the offering document and financial reports may be consulted at the Company s registered office and at the establishments responsible for the Company s financial service. Copies of the Articles of Association and the annual and interim reports are available upon request. Information on changes to the Company will be published in a Luxembourg newspaper and any other journal deemed appropriate by the Board of Directors in countries in which the Company publicly markets its shares. The latest net asset value per share of each sub-fund, together with subscription and redemption prices are available on any bank business day in Luxembourg at the registered office of the Company. The Net Asset Values (NAV) are offered: In EUR for the sub-funds Deposit EUR, Euro Government Long-Dated Passive Bond Fund, Fortis Deposit EUR, Rega 1, Senior Secured Bank Loan Fund Mogliano and Global Senior Corporate Loans Fund ; In EUR and USD for the sub-funds Equity China Ilios (until 24 April 2015) and RMB Bond Fund ; In JPY, EUR and USD for the sub-funds Equity China A, Equity China A Selected, Equity Greater China, Equity Greater China Environmental, Short Term Bond Fund RMB and Short Term RMB ; In JPY and EUR for the sub-funds China Sovereign Bond RMB and Chinese Equity A ; In USD for the sub-funds Bond Taiwan (until 13 August 2015) and China A Opportunity Fund (until 6 February 2015); In HKD, RMB, USD and EUR for the sub-fund Bond RMB Supreme ; For the sub-funds Bond RMB Supreme, China A Opportunity Fund (until 6 February 2015), China Sovereign Bond RMB, Chinese Equity A, Equity China A, Equity China Ilios (until 24 April 2015), RMB Bond Fund, Short Term Bond Fund RMB and Short Term RMB each day of the week on which banks are open for business in Luxembourg and China (a Valuation Day ), there is a corresponding NAV which is dated the same day. For the sub-fund Rega 1, on the 10 th of each month on which banks are open for business in Luxembourg (a Valuation Day ), there is a corresponding NAV which is dated the same day and calculated the 1 st bank business day after the 10th unless 50% or more of the underlying assets cannot be valued. If the Valuation Day is not a day on which banks are open for business in Luxembourg, the day to be considered as a Valuation Day will be the previous bank business day. For the sub-funds Deposit EUR and Fortis Deposit EUR, each day of the week on which banks are open for business in Luxembourg and Paris (a Valuation Day ), there is a corresponding NAV which is dated the same day unless 50% or more of the underlying assets cannot be valued. For the sub-fund Senior Secured Bank Loan Fund Mogliano, on the 22 nd of each month on which banks are open for business in Luxembourg, New York, Paris and London (a Valuation Day ), there is a corresponding NAV which is dated the same day, unless 50% or more of the underlying assets cannot be valued. In case the 22 nd Calendar day is not a Business Day the NAV will be calculated on the following Business Day. For the sub-fund Global Senior Corporate Loans Fund the NAV is calculated monthly, based on the closing prices of the last Business Day of the previous month (the Valuation Day ) and such other days as the Board of Directors may from time to time determine at its discretion. A Business Day is defined as any day on which banks are open for business in Luxembourg, Paris, London and New York unless 50% or more of the underlying assets cannot be valued. Page 4

Information BNP PARIBAS FLEXI III For the sub-fund Bond Taiwan (until 13 August 2015), each day of the week on which banks are open for business in Luxembourg (a Valuation Day ), there is a corresponding NAV which is dated the same day unless 50% or more of the underlying assets cannot be valued. For the sub-fund Equity China A Selected, each day of the week on which banks are open for business in Luxembourg, Japan and China (a Valuation Day ), there is a corresponding NAV which is dated the same day. For the sub-fund Equity Greater China, each day of the week on which banks are open for business in Luxembourg, Hong-Kong and China (a Valuation Day ), there is a corresponding NAV which is dated the same day. For the sub-fund Equity Greater China Environmental, each day of the week on which banks are open for business in Luxembourg and Hong-Kong (a Valuation Day ), there is a corresponding NAV which is dated the same day. For the sub-fund Euro Government Long-Dated Passive Bond Fund, the NAV is calculated the last business day of the month in Luxembourg, unless 50% or more of the underlying assets cannot be valued. Page 5

Manager's report BNP PARIBAS FLEXI III Economic context The desynchronised growth of the world economy continued to be an ongoing trend and a source of concern, especially as major international organisations were forced to regularly downgrade their growth forecasts following disappointing results in the emerging economies. In view of this situation, and although the downgrading of indicators in most of the major emerging countries (with the exception of Brazil) ended at the close of the year, this was not welcome news to investors. On the contrary, renewed weakness in oil from November onwards reignited fears about global growth although the price was more a reflection of the imbalance between excess supply (due to OPEC s refusal to set production quotas) and limited demand, especially following a very mild early winter in Europe and North America. United States GDP fluctuated in a fairly volatile manner during the year: after modest growth in the first quarter due to weather conditions and the shut-down affecting ports on the west coast, GDP bounced back sharply in the second quarter (almost 4% year-on-year) then stabilised at around 2%. Inventory adjustments played a role in the fluctuation of GDP and business activities. In fact, widespread de-stocking since the summer has negatively affected the manufacturing sector, casting a shadow over the surveys of purchasing managers (as also seen in the ISM index which fell below 50 in November compared with 53.5 in June), along with industrial production and investments. This downturn has alarmed some observers who believed that these could be the first signs the economy was running out of steam. The facts did not support this assumption, as the service sector managed to withstand the industrial vacuum and the housing market rose sharply, with the outlook remaining very encouraging. Finally, in terms of private consumption the trends have been more regular and this sector has seen steadier growth, reflecting the undeniable improvement in the labour market. With 2.7 million jobs created in 2015 and the unemployment rate falling to 5% in October, full employment is on the horizon. Up to now wages have only risen moderately for several reasons: the use of part-time jobs by companies is still high and households continue to question the possibility of easily finding a new job. However, several surveys have revealed that businesses, especially smaller ones, are looking for qualified employees and are willing to increase wages significantly to take on and retain staff. A rise in wages is set to become a more widespread trend. Inflation remained low in 2015 (0.5% year-on-year in November) due to the effects of the lower oil price during the previous year. The Fed believes that this should be a temporary phenomenon. Inflation, excluding food and energy, rose from 1.6% in January to 2% in November year-on-year, a trend that validated this assumption. Europe GDP was up strongly in the euro zone from the start of the year onwards, with a quarterly rise from 0.3% to 0.5%, and the rate standing at 1.6% year-on-year in the third quarter (compared with 0.8% a year earlier), the highest rise since mid-2011. Growth was above expectations due to consumption that remained strong throughout the year and good performance by the exports sectors in the first six months. Investment in productive assets is still not picking up convincingly. The steady improvement in the distribution of credit to the private sector was a positive point. Low interest rates in line with the extremely accommodating monetary policy of the ECB further emphasised this trend. Moreover, banks are reporting that the demand for credit is rising. Finally, according to the survey of purchasing managers, the expansion rate for total business (manufacturing and service sectors combined) rallied in December to reach a four-month high. This rising trend at the end of the year appeared very encouraging. According to several official institutions, GDP growth in the 4th quarter should stand at 0.4%, close to the rate observed since the end of 2014. This performance is even more remarkable given the occurrence of number of events in 2015 likely to affect the confidence of economic operators: the first six months were marked by the Greek crisis and the second half of the year witnessed regional and general elections that resulted in a fairly confusing political landscape in several countries (Portugal and Spain) and the widespread rise of Euro-sceptic parties in response to the refugee crisis, not to mention the tragic events which cast a pall over Paris. Inflation, which stood at -0.6% year-on-year in January, remained very weak (+0.2% in November). Japan In Japan, GDP rose sharply in the first quarter of 2015 after a year that had witnessed a technical recession following the increase in VAT on 1 April 2014. After this, growth was much more faltering, even raising fears of a return to recession. The PMI index, which reflects the survey of purchasing managers in the manufacturing sector, dropped from 52 at the end of 2014 to around 50 in the spring before resuming an upward trend and closing the year at 52.6. Through its exporting companies, the Japanese economy is suffering from the difficulties in China, while domestic demand appears to be picking up, linked to an improving job market (the unemployment rate stood at 3.3% at year-end). With inflation again standing at close to zero in the second half of the year (0.3% in November year-on-year compared with 2.4% in January), the Bank of Japan was forced to acknowledge that it would not meet its target of 2% within the expected deadline. Page 6

Manager's report BNP PARIBAS FLEXI III Emerging markets Although the OECD forecast in June 2015 that the GDP of emerging economies would increase by 4.2% in 2015 and 4.9% in 2016, in November the organisation published a new report predicting figures of 3.7% and 4.2% respectively. Among the leading countries, only India reported faster growth in 2015. The staggering drop in the price of oil from mid-2014 and another drop in mid-2015 obviously affected commodity-producing countries. Logically, this situation should have a positive effect on Asia; however, the slowdown in activity in China and concerns about the nature of the slowdown had a negative effect on the more cyclical stocks from this region. Following changes to the Chinese business model, the official target was lowered to 6.5% for the coming years compared with 7% previously. In this context, the aggregated PMI index, which reflects the opinions of purchasing managers on emerging economies, fell below 50 in the spring, thus revealing a contraction in manufacturing activity. The trend over the last quarter was a little more encouraging; however, the index failed to rise above 50. Signs of improvement are currently very tenuous and mostly hidden by the difficulties of the major economies. Russia and Brazil are both in recession due to the tense foreign relations situation in the former country and a major power struggle in the latter. The difficulties in Russia are mainly due to declining oil prices, while in Brazil the crisis is more deep-rooted. In fact, President Dilma Rousseff is facing impeachment following a corruption scandal. Inflation has also reached its highest point since 2002, meaning that the central bank will continue to increase its rates after the 250 bp rise in 2015. Monetary policy In 2015, the monetary policy of the European Central Bank (ECB) reached another decisive turning point. On 22 January, a QE (Quantitative Easing) programme comparable to the policy rolled out in the United States and United Kingdom was announced. The key feature of the programme is 60 billion per month of asset purchases. In addition to the covered bonds and asset-backed securities (ABS) purchased since the autumn of 2014, the programme now includes securities (including inflation-indexed securities) issued by supranational agencies and governments. Purchases of government bonds, which began on 9 March, also include securities with a negative interest rate, with the deposit rate used as a limit. For several months after the roll-out of these operations, the comments made by the ECB mainly consisted of saying that the programme was operating without any difficulties and would continue until at least September 2016. The financial turbulence in the summer and inflation that remained very low in the euro zone led some observers to consider the announcement of additional measures. In October, Mario Draghi also hinted that far-reaching measures would be announced in December and other extremely accommodating statements further fuelled expectations in November such as: we will do what we need to do to increase inflation as soon as possible. This attitude may have been counter-productive as on 3 December the ECB failed to live up to expectations by only lowering the deposit facility rate by 10 bp (to stand at -0.30%), leaving the two other key interest rates unchanged (the interest rate on the main refinancing operations has stood at 0.05% and the marginal lending facility rate at 0.30% since September 2014) and extending purchases of securities under the scope of QE until March 2017 or beyond if necessary. A decision was also taken to reinvest the principal payments on the securities purchased under the public sector asset purchasing programme as they mature. The monetary policy was therefore more accommodating than in October in order to ensure that inflation (0.2% year-on-year in November) returned to levels below but close to 2%. While the ending of the monthly securities purchasing scheme in November 2014 for the purpose of normalising its monetary policy failed to trigger any specific reaction, the US Federal Reserve (the Fed) has found it trickier to control expectations on interest rates. The forward-looking statements in the official communiqué issued after each monetary policy committee have changed over the months. The Fed took a decisive step in March by refusing to fix a timetable stating that the economic situation would determine the decision to raise rates. Moreover, Janet Yellen indicated that once the increase starts, the rise will be gradual; she also restated that monetary policy should be forward-looking. Linking monetary policy decisions and economic data has unfortunately complicated the analysis, since the latter has been particularly volatile since the start of 2015 and expectations of higher rates only slowly gained ground and continued to fluctuate until the autumn. After raising concerns about growth by failing to increase the key rates in September (due to the difficult international financial situation), it was right at the end of the year (16 December) that Janet Yellen was finally able to announce the abandonment of the zero-rate policy that had been in force since the end of 2008. The ground for such an action had been well prepared during the previous meeting. The target federal funds rate in the US will now range between 0.25% and 0.50% and the Fed is considering further increases in the coming months (a total of 100 bp in 2016 according to the forecasts supplied by all the participants at the FOMC). Foreign exchange markets Volatility on the foreign exchange market remained high in 2015, attaining at the start of year the levels seen in 2012 and 2013 for currencies of the major developed countries, with emerging currencies even exceeding these levels. The reason for this feverish climate was the prospect of the Fed increasing interest rates, which would be likely to trigger capital flows within the emerging areas. Page 7

Manager's report BNP PARIBAS FLEXI III In addition, the difficulties experienced by commodity-producing countries played a role and also affected the currencies of developed countries (CAD, AUD, NZD, NOK). Moreover, two adjustments of the exchange rate policy revived the spectre of a currency war, further highlighting the nervousness. This was due, firstly, to the totally unexpected decision of the SNB (Swiss National Bank) on 15 January to scrap the cap on its currency put in place in September 2011 and, secondly, the surprise devaluation of the Chinese yuan in August, clumsily implemented by the Central Bank. The extremely accommodating policy put in place by the ECB widening the difference between its monetary policy and that of the United States was responsible for changes in the EUR/USD rate. After this wave of extremely wide fluctuations (1.05 1.21), the euro had dropped by 10.3% against the dollar in the space of twelve months to stand at 1.0861. A low was reached in March (the lowest point since January 2003), and concerns about Greece further penalised the euro. The exchange rate then moved up and down without any great direction, fluctuating several times above 1.14 on the basis of elements such as economic data, political developments and trends on other financial markets. In October, the theme of divergent actions from the central banks returned to the fore. The exchange rate returned virtually to its low point in early December in anticipation of another major easing programme until the actual announcements dashed hopes and saw it return to 1.10. The USD/JPY exchange rate went over 120 in late December 2014 (the highest point since mid-2007) before fluctuating widely around this level until May. It did not manage to settle long term at 125 the level attained during the summer as the announcements from the Bank of Japan and the government about their willingness to retain the weak yen policy were fairly vague. In August, the announced devaluation of the Chinese yuan temporarily brought the exchange rate to 116 before it stabilised at around 120 until October. For the rest of the year, fluctuations moved within a slightly broader range (120 124) without reflecting much conviction on the part of traders as the Bank of Japan continued to maintain a degree of uncertainty about its future securities purchasing operations and simply made a minor adjustment in December. The USD/JPY rate ended the year at 120.20, a 0.3% rise. Bond markets In twelve months, the yield of 10-year US T-notes fell by 10 bp: after fluctuating between 1.65% in January (the lowest point since May 2013) and 2.50% during the summer, it ended the year at 2.27%. The annual change seems modest when taking into account the fact that the Fed stopped QE at the end of 2014 and that a 25 bp rise in interest rates occurred in December. Furthermore, although volatile, the economic data has reflected a steady improvement in the job market, which is a key factor for solid growth. In a reversal of the customary relationship between American and European bonds, as a result of the ECB s asset purchasing programme from March onwards, the sharp easing in the euro zone up to April mechanically strengthened the yield offered by US securities. In May and June, the speed and the magnitude of the pressure on German rates weighed heavily on US markets. In terms of bonds, the year witnessed several peaks in volatility as a result of trends on other financial markets. While the level of US long-term interest rates in June and July (around 2.50%) seemed to correctly reflect the improvement in US domestic demand, concerns about global growth and the renewed weakness of commodity prices led to an easing of long-term interest rates, exacerbated by the difficulties experienced by shares. From August onwards, the 10-year rate fluctuated within a narrower range (2% 2.35%) in line with the Fed s monetary policy. The surprise decision to maintain the status quo in September saw a significant easing of long-term interest rates while the eagerly awaited rise in interest rates in December had an impact on the short section of the curve: the 2-year rate ended the year at 1.05% (compared with 0.66% at the end of 2014) the highest rate since the spring of 2010 in view of expectations of a continued normalisation of rates in 2016. In the euro zone, the trends observed for government bonds primarily reflected the ECB s monetary policy (expectations and decisions). It seems paradoxical that the German 10-year Bund s yield dropped by 9 bp in twelve months as the ECB announced in January a massive securities purchasing policy that was implemented from March onwards. This performance was due to the excessive easing implemented during the first four months of the year. Against a backdrop of a very accommodating monetary policy and a sharp slowdown in inflation, the German 10-year rate dropped from 0.54% at the end of 2014 to below 0.08% on 20 April 2015, in a virtually uninterrupted movement. The safe-haven investment status of German Government bonds played a role in the easing of rates in view of concerns arising in particular from the heated discussions between Greece and its creditors. The subsequent sharp correction was triggered by technical factors, special market conditions and adjustments of positions by hedge funds. After initially settling at around 0.60%, the yield of the German 10-year Bund was around 1% on 10 June. It then resumed a bearish trend, though a weaker and much more uneven one than in the spring. The end of the year was characterised by increased volatility triggered by the words of Mario Draghi, who raised hopes before dashing them by easing monetary policy a little more (but less than expected). During the second half of the year, investors, without taking economic fundamentals into consideration, were inclined to take profits each time the yield of German Bunds dipped below 0.50%. The Bund ended 2015 at 0.63%. Page 8

Manager's report BNP PARIBAS FLEXI III Equity markets The MSCI AC World Index (in USD) posted an annual drop of 4.3% and the MSCI Emerging index (in USD) was down by 17%. From this perspective, 2015 was a bad year. At the same time, S&P 500 was down 0.7% a disappointing performance while the Eurostoxx 50 was up 3.9% and the Nikkei 225 up 9.1%, with all these indices expressed in the local currencies. The figures mentioned above are variations in the price of the indices excluding dividends reinvested. The first half of the year was generally positive, particularly in Europe and Japan, and the gains amassed then compensated for the second half of the year, which was more or less negative on all of the major markets. There were several peaks in volatility during the summer months when the markets experienced stress levels not seen since the European sovereign crisis. Several factors explained the jitteriness of investors. In Greece, after Alexis Tsipras won the elections on a platform of rejecting the reforms and measures associated with the European and international bailout packages, the Greek issue returned to centre stage. In July, while Greece seemed to be on the edge of bankruptcy and the euro zone about to split apart, the compromises reached in extremis were enough to reassure investors despite the enormity of the Greek debt placing an ongoing threat on the country s future. Fears then began to focus on China. The sharp correction of stock exchanges in mainland China from the middle of June induced the authorities to put in place various support and control measures, though without producing tangible results. Doubts about the health of the Chinese economy were then fuelled by disappointing economic data. The surprise devaluation of the yuan against the dollar in August increased nervousness. Finally, the further drop in the price of oil from late June (although the price of a barrel of WTI had returned to $60 compared with less than $45 in March) was interpreted as a clear sign of a global economic slowdown. At year-end, OPEC s decision not to set production quotas drove the price of a WTI barrel below $35. In one year, the price of oil, which had fallen 46% in 2014, dropped another 30%. International equities fell sharply in August. The role of central bankers was again decisive this year. Fluctuations in monetary policy expectations, especially in the United States and in the euro zone, triggered sharp variations on the stock markets, reflecting a certain continued addiction of investors to liquid stocks. European equities benefited in the first half of the year from the roll-out of the ECB s quantitative easing programme. The recovery of global equities in October (which did not last) was based on hopes of a widening of the easing programme from the ECB. It took a while for the message from the Chairman of the Fed to be clearly understood; however, the rise in American interest rates announced in December was ultimately fairly well accepted. China 2015 was a roller-coaster ride for the Chinese equity market. Fuelled by the government s monetary easing policies and high levels of borrowing, the Shanghai Composite Index soared by about 60% from January 2015 to 5 178 on 12 June 2015. After multiple regulations on margin financing, investors had to sell off their exposure. This had a roll-on effect and led to an overall bear market. The Shanghai Composite nose-dived by more than 30% in just three weeks and continued to plunge in the third quarter before rallying towards the year end when the government cut interest rates. The recovery, however, was lopsided. Property developers share prices soared in December as money from insurance companies poured in. Most state-owned blue-chip companies, including banks and large industrial companies, also found strong support and benefited from the recovery, while many others lost ground. Overall the A-shares market finished up by 5.58% YoY in CNY terms. Overseas Chinese stocks (represented by the MSCI China index) were much less volatile than A-shares and rose by 0.9% in USD terms over the year. The MSCI China benefited from the inclusion of American Depositary Receipts (shares of foreign stocks owned and issued by US banks), which means that more emerging economy stocks are now included within the Index. The Chinese bond market, in contrast, had a bull-run in 2015 due to slower economic growth and a rapid increase in money supply after several interest rate cuts and reserve ratio requirement cuts by the People s Bank of China. Moreover, the A-share market crash in June along with the suspension of IPOs in July prompted stock investors to channel their money into the less volatile bond market. Government bond prices were flat in the first half of 2015, but rose significantly in the second half of the year. Credit bonds performed well throughout the year as credit spreads approached historical lows despite increased credit risk. Page 9

BNP PARIBAS FLEXI III Manager's report The Chinese economy was mixed in 2015 but reforms momentum is increasing for this third year of the current Chinese leadership. We believe GDP growth for 2015 will be close to or below 7%. Official PMI readings were weak (below 50) from August to December, indicating softening manufacturing activities. CPI inflation remained low and PPI was falling. The bright spot in the macroeconomic picture was domestic consumption. We believe retail sales probably rose by more than 10% year-on-year, with a spectacular surge of 30% in online retail sales. In addition, the service sector contributed more to China s GDP than agriculture and manufacturing combined. This is a clear sign that the economy is shifting toward emerging industries and away from traditional ones, e.g. cement, building materials and iron and steel manufacturing. It is therefore perfectly normal that China should go through some growing pains as it progresses towards more sustainable growth in the future. Looking ahead, we expect the government to continue its efforts to transform the economy by launching supply-side reforms. If such reforms prove successful, resources will be more efficiently allocated, residents and enterprises will have more money to spend, and aggregate demand should pick up as a result. Fund Performance Sub-fund Description Fund Performance Bond RMB Supreme Share I - Capitalisation (8.14)% China Sovereign Bond RMB Share I - Capitalisation (2.07)% Chinese Equity "A" Share I - Capitalisation 159.54% Share I Plus - Capitalisation 0.22% Deposit EUR Share I Plus - Distribution 0.22% Share Privilege - Capitalisation 2.20% Equity China "A" Share I - Capitalisation 148.82% Share I Plus - Capitalisation 149.31% Equity China A Selected Share I - Capitalisation 56.36% Equity Greater China Share I - Capitalisation 52.27% Equity Greater China Environmental Share I - Capitalisation 62.53% Share Privilege USD - Capitalisation 61.22% Euro Government Long-Dated Passive Bond Fund Share I - Capitalisation 1.20% Share I Plus - Capitalisation 0.25% Fortis Deposit EUR Share I Plus - Distribution 0.25% Share Privilege - Capitalisation 0.14% Share Privilege - Distribution 0.14% Share I 2015 - Distribution -* Share I Plus 2014 - Distribution 1.27% Global Senior Corporate Loans Fund Share I Plus 2015 - Capitalisation -* Share I Plus 2015 - Distribution -* Share Privilege 2014 - Distribution 0.87% Rega 1 Share I - Capitalisation 1.40% RMB Bond Fund Share I - Capitalisation (1.28)% Senior Secured Bank Loan Fund Mogliano Share I - Distribution 1.03% Short Term Bond Fund RMB Share I - Capitalisation (2.80)% Short Term RMB Share X - Capitalisation 0.43% * No performance for these 3 share classes as there were launched during the year. Page 10

BNP PARIBAS FLEXI III Manager's report Material changes China A Opportunity, Equity China Ilios, Bond Taiwan have been terminated during the year. Risk profile Current Risk Profile Liquidity Risk Leverage Value at Risk Liquidity Profile Funds Ccy Position Date Category Commitment Max Comm. figure Leverage Notional Leverage Max Notional Leverage Fund VaR (Histo) Scoring Fund Closedown Cost BNP PARIBAS FLEXI III BOND RMB SUPREME USD 31/12/2015 Autres stratégies, autre 0.00% 120.00% 0.00% 200.00% 2.78% C1 0.00% BNP PARIBAS FLEXI III CHINA SOVEREIGN BOND RMB JPY 31/12/2015 Autres stratégies, autre 89.49% 120.00% 89.49% 200.00% 7.09% C1 0.06% BNP PARIBAS FLEXI III CHINESE EQUITY "A" JPY 31/12/2015 Autres stratégies, Fonds investi en actions 97.04% 130.00% 97.04% 200.00% 31.64% C1 0.04% BNP PARIBAS FLEXI III DEPOSIT EUR EUR 31/12/2015 Autres stratégies, autre 94.97% 110.00% 96.83% 150.00% 0.15% C1 7.59% BNP PARIBAS FLEXI III EQUITY CHINA "A" JPY 31/12/2015 Autres stratégies, Fonds investi en actions 100.33% 130.00% 100.17% 200.00% 32.41% C1 0.04% BNP PARIBAS FLEXI III EQUITY CHINA A SELECTED JPY 30/12/2015 Autres stratégies, Fonds investi en actions 98.39% 130.00% 98.39% 200.00% 31.71% C1 0.03% BNP PARIBAS FLEXI III EQUITY GREATER CHINA JPY 31/12/2015 Autres stratégies, Fonds investi en actions 95.68% 130.00% 95.68% 200.00% 34.14% C1 0.14% BNP PARIBAS FLEXI III EQUITY GREATER CHINA ENVIRONMENTAL JPY 31/12/2015 Autres stratégies, Fonds investi en actions 98.98% 130.00% 98.98% 200.00% 25.31% C2 0.15% BNP PARIBAS FLEXI III EURO GOVERNMENT LONG-DATED PASSIVE BOND FUND EUR 31/12/2015 Autres stratégies, Fonds à Revenu Fixe 100.06% 110.00% 100.03% 110.00% 11.29% C1 0.07% BNP PARIBAS FLEXI III FORTIS DEPOSIT EUR EUR 31/12/2015 Autres stratégies, autre 81.19% 110.00% 81.19% 150.00% 0.09% C1 7.75% BNP PARIBAS FLEXI III GLOBAL SENIOR CORPORATE LOANS FUND EUR 31/12/2015 Autres stratégies, autre 104.93% 110.00% 152.95% 200.00% 2.44% C5 6.27% BNP PARIBAS FLEXI III REGA 1 EUR 31/12/2015 Autres stratégies, autre (Fonds structurés) 171.57% 200.00% 180.62% 210.00% na C1 0.00% BNP PARIBAS FLEXI III RMB BOND FUND USD 31/12/2015 Autres stratégies, autre 91.23% 120.00% 91.23% 200.00% 2.58% C5 2.13% BNP PARIBAS FLEXI III SENIOR SECURED BANK LOAN FUND MOGLIANO EUR 31/12/2015 Autres stratégies, autre 94.33% 110.00% 144.55% 200.00% 5.60% C5 5.83% BNP PARIBAS FLEXI III SHORT TERM BOND FUND RMB JPY 31/12/2015 Autres stratégies, Fonds à Revenu Fixe 95.00% 120.00% 95.00% 200.00% 7.13% C1 0.20% BNP PARIBAS FLEXI III SHORT TERM RMB JPY 31/12/2015 Autres stratégies, autre 0.00% 120.00% 0.00% 200.00% 0.08% C1 0.00% For AIF funds, commitment and leverage exposures displayed include direct assets exposure. Scoring: BNPP IP puts in place a fund classification based on the liquidity risk of each fund. There are 5 different levels in relation to the potential risks of funds (C1: low risk to C5: high risk). Fund Closedown Cost: Application of a stress test representing the cost of closedown of the sub-fund Risk management systems Risk management is an integral part of BNP Paribas Investment Partners (BNPP IP) business model and is considered at all levels of the organization. At BNPP IP Luxembourg the Investment risk management is an independent department, it reports directly to the CEO and to the BNPP IP Institutional and Distribution business line Head of Risks. Following the first level of risk controls conducted within the investment team, the risk team (investment risk and investment compliance) is dedicated to a second layer of internal controls, they work closely with the investment team to ensure that portfolios are run at acceptable levels of risk. To manage investment risks (commitment, leverage and liquidity risk) the risk team uses CRGE (internal risk software) and RiskMetrics for VaR calculation. To manage investment compliance risks, the team uses Sentinel. A UCITS/AIF risk management procedure (RMP) was provided to the CSSF on the 28 August 2015. Page 11

Manager's report BNP PARIBAS FLEXI III Leverage AIF commitment leverage from 1 January 2015 to 31 December 2015 Average level of AIF commitment leverage: Funds Ccy Position Date Average Level of AIF Commitment Leverage BNP PARIBAS FLEXI III BOND RMB SUPREME USD 31/12/2015 73.86% BNP PARIBAS FLEXI III CHINA SOVEREIGN BOND RMB JPY 31/12/2015 84.5% BNP PARIBAS FLEXI III CHINESE EQUITY "A" JPY 31/12/2015 96.6% BNP PARIBAS FLEXI III DEPOSIT EUR EUR 31/12/2015 92.8% BNP PARIBAS FLEXI III EQUITY CHINA "A" JPY 31/12/2015 95.8% BNP PARIBAS FLEXI III EQUITY CHINA A SELECTED JPY 30/12/2015 97.0% BNP PARIBAS FLEXI III EQUITY GREATER CHINA JPY 31/12/2015 94.8% BNP PARIBAS FLEXI III EQUITY GREATER CHINA ENVIRONMENTAL JPY 31/12/2015 97.5% BNP PARIBAS FLEXI III EURO GOVERNMENT LONG-DATED PASSIVE BOND FUND EUR 31/12/2015 100.3% BNP PARIBAS FLEXI III FORTIS DEPOSIT EUR EUR 31/12/2015 93.8% BNP PARIBAS FLEXI III GLOBAL SENIOR CORPORATE LOANS FUND EUR 31/12/2015 96.9% BNP PARIBAS FLEXI III REGA 1 EUR 31/12/2015 172.08% BNP PARIBAS FLEXI III RMB BOND FUND USD 31/12/2015 94.1% BNP PARIBAS FLEXI III SENIOR SECURED BANK LOAN FUND MOGLIANO EUR 31/12/2015 96.3% BNP PARIBAS FLEXI III SHORT TERM BOND FUND RMB JPY 31/12/2015 90.5% BNP PARIBAS FLEXI III SHORT TERM RMB JPY 31/12/2015 0.0% The Board of Directors Luxembourg, 19 February 2016 NB: The information provided in this report relates to past performance and is not a guide to future results. Page 12

Audit report To the Shareholders of BNP PARIBAS FLEXI III We have audited the accompanying financial statements of BNP PARIBAS FLEXI III and of each of its sub-funds, which comprise the statement of net assets and the securities portfolio as at 31 December 2015 and the statement of operations and changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICAV-SIF for the financial statements The Board of Directors of the SICAV-SIF is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAV-SIF determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the Réviseur d entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgment of the Réviseur d entreprises agréé, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Réviseur d entreprises agréé considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV-SIF, as well as evaluating 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. PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T: +352 494848 1, F:+352 494848 2900, www.pwc.lu Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n 10028256) R.C.S. Luxembourg B 65 477 - TVA LU25482518 Page 13

pwc Opinion In our opinion, the financial statements give a true and fair view of the financial position of BNP PARIBAS FLEXI III and of each of its sub-funds as of 31 December 2015, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Emphasis of matter We draw attention to note 2c) to the financial statements which indicates that some securities were difficult to price as a consequence of a lack of liquidity, and therefore priced in accordance with the prospectus based on the probable realisation value estimated prudently and with good faith by the Board of Directors. These securities accounted for 1.61% of the net assets of the sub-fund Chinese Equity "A", 2.87% of the net assets of the subfund Equity China "A", 5.23% of the net assets of the sub-fund Equity China A Selected, 4.07% of the net assets of the sub-fund Equity Greater China and 1.24% of the net assets of the sub-fund Equity Greater China Environmental as at 31 December 2015. Our opinion is not qualified in respect of this matter. We also draw attention to the content of note 12 to the financial statements concerning provisions for Chinese taxes and note 13 to the financial statements concerning P-notes. Our opinion is not qualified in respect of these matters. Other matters Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. PricewaterhouseCoopers, Societe cooperative Luxembourg, 24 May 2016 Represented by cam- Thierry Blondeau Page 14

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Financial statements at 31/12/2015 BNP PARIBAS FLEXI III Bond RMB Supreme Bond Taiwan China A Opportunity Fund China Sovereign Bond RMB Expressed in USD USD USD JPY Notes Statement of net assets Assets 1 630 766 0 0 254 209 581 Securities portfolio at cost price 0 0 0 193 048 331 Unrealised gain/(loss) on securities portfolio 0 0 0 (7 157 973) Securities portfolio at market value 2 0 0 0 185 890 358 Net Unrealised gain on financial instruments 2,8,9 0 0 0 0 Cash at banks and time deposits 1 630 766 0 0 45 822 927 Other assets 0 0 0 22 496 296 Liabilities 172 504 0 0 37 432 890 Bank overdrafts 0 0 0 0 Net Unrealised loss on financial instruments 2,8,9 0 0 0 0 Other liabilities 172 504 0 0 37 432 890 Net asset value 1 458 262 0 0 216 776 691 Statement of operations and changes in net assets Income on investments and assets 2,12,13 71 733 1 648 920 0 12 712 428 Management fees 3 16 243 410 961 93 470 4 877 455 Bank interest 0 0 0 5 999 Extraordinary and other expenses 5 15 045 172 752 71 859 1 487 792 Taxes 6,12 159 098 9 104 383 431 27 764 Transaction fees 17 304 185 277 277 733 89 906 Total expenses 190 690 778 094 826 493 6 488 916 Net result from investments (118 957) 870 826 (826 493) 6 223 512 Net realised result on: Investments securities 2,15 30 186 (22 749 915) 46 266 341 44 604 776 Financial instruments (13 709) (1 358 522) (2 045 907) (4 831 540) Net realised result (102 480) (23 237 611) 43 393 941 45 996 748 Movement on net unrealised gain/loss on: Investments securities 15 (27 714) 20 551 100 (43 700 745) (52 570 497) Financial instruments 0 0 0 0 Change in net assets due to operations (130 194) (2 686 511) (306 804) (6 573 749) Net subscriptions/(redemptions) (4 000 010) (283 995 450) (320 067 382) (153 943 957) Dividends paid 7 0 0 0 0 Increase/(Decrease) in net assets during the year/period (4 130 204) (286 681 961) (320 374 186) (160 517 706) Net assets at the beginning of the financial year/period 5 588 466 286 681 961 320 374 186 377 294 397 Reevaluation of opening consolidated NAV 0 0 0 0 Net assets at the end of the financial year/period 1 458 262 0 0 216 776 691 The accompanying notes form an integral part of these financial statements Page 16

BNP PARIBAS FLEXI III Chinese Equity A Deposit EUR Equity China A Equity China A Selected Equity China Ilios Equity Greater China JPY EUR JPY JPY USD JPY 4 440 943 236 1 072 234 470 530 300 118 7 124 582 424 0 891 623 377 1 461 237 596 1 016 816 851 164 230 400 4 093 657 998 0 482 413 760 284 872 066 1 184 063 40 336 147 931 976 645 0 104 724 708 1 746 109 662 1 018 000 914 204 566 547 5 025 634 643 0 587 138 468 0 0 0 0 0 0 2 694 833 574 54 233 556 292 434 890 1 966 677 483 0 304 484 909 0 0 33 298 681 132 270 298 0 0 165 772 772 269 102 64 447 793 84 143 424 0 10 037 632 0 0 0 0 0 0 0 5 039 0 0 0 0 165 772 772 264 063 64 447 793 84 143 424 0 10 037 632 4 275 170 464 1 071 965 368 465 852 325 7 040 439 000 0 881 585 745 2 513 208 017 65 266 790 509 2 058 627 045 524 783 289 058 167 24 487 133 416 533 3 936 265 107 098 057 375 059 6 050 961 4 757 25 997 25 154 463 384 5 3 076 9 189 029 434 744 6 060 589 23 796 994 128 693 3 530 478 206 406 86 529 28 522 733 652 2 892 465 74 155 10 520 136 10 1 537 723 43 061 857 85 026 2 995 953 44 407 461 963 813 11 588 253 175 153 944 3 481 248 12 654 623 2 468 800 556 (963 748) 255 202 256 1 883 473 101 (2 956 465) 276 403 544 1 112 754 981 2 449 835 178 279 677 5 200 954 954 25 497 543 349 461 118 7 086 136 0 141 593 (37 741 404) (2 828 712) (1 208 430) 3 588 641 673 1 486 087 433 623 526 7 046 686 651 19 712 366 624 656 232 (730 841 459) 223 814 (113 452 810) (3 167 582 987) (16 623 585) (251 659 127) 0 (5 039) 0 0 0 0 2 857 800 214 1 704 862 320 170 716 3 879 103 664 3 088 781 372 997 105 (1 349 789 146) 452 632 951 (308 093 526) (8 499 905 556) (400 505 579) (802 853 916) 0 0 0 0 0 0 1 508 011 068 454 337 813 12 077 190 (4 620 801 892) (397 416 798) (429 856 811) 2 767 159 396 617 627 555 453 775 135 11 661 240 892 397 416 798 1 311 442 556 0 0 0 0 0 0 4 275 170 464 1 071 965 368 465 852 325 7 040 439 000 0 881 585 745 The accompanying notes form an integral part of these financial statements Page 17

Financial statements at 31/12/2015 BNP PARIBAS FLEXI III Equity Greater China Environmental Euro Government Long-Dated Passive Bond Fund Fortis Deposit EUR Global Senior Corporate Loans Fund Expressed in JPY EUR EUR EUR Notes Statement of net assets Assets 4 225 185 273 33 452 784 126 728 983 266 116 473 Securities portfolio at cost price 2 473 342 882 27 686 219 102 680 426 255 682 512 Unrealised gain/(loss) on securities portfolio (4 554 767) 5 233 086 149 855 37 515 Securities portfolio at market value 2 2 468 788 115 32 919 305 102 830 281 255 720 027 Net Unrealised gain on financial instruments 2,8,9 0 0 0 0 Cash at banks and time deposits 1 602 547 338 4 797 23 898 702 9 387 568 Other assets 153 849 820 528 682 0 1 008 878 Liabilities 114 740 589 14 938 78 389 13 328 832 Bank overdrafts 0 0 0 0 Net Unrealised loss on financial instruments 2,8,9 0 0 0 523 421 Other liabilities 114 740 589 14 938 78 389 12 805 411 Net asset value 4 110 444 684 33 437 846 126 650 594 252 787 641 Statement of operations and changes in net assets Income on investments and assets 2,12,13 1 664 275 137 914 041 152 8 031 428 Management fees 3 30 691 602 34 618 83 642 1 028 099 Bank interest 10 665 3 914 4 172 Extraordinary and other expenses 5 8 865 421 30 897 128 883 353 665 Taxes 6,12 352 201 4 481 16 185 21 949 Transaction fees 17 19 377 174 0 0 0 Total expenses 59 297 063 69 999 229 624 1 407 885 Net result from investments 1 604 978 074 844 042 (229 472) 6 623 543 Net realised result on: Investments securities 2,15 1 588 112 854 1 972 002 532 326 2 311 689 Financial instruments (14 712 804) 0 0 (8 710 817) Net realised result 3 178 378 124 2 816 044 302 854 224 415 Movement on net unrealised gain/loss on: Investments securities 15 (1 337 555 417) (2 420 031) 97 540 37 515 Financial instruments 0 0 0 174 881 Change in net assets due to operations 1 840 822 707 396 013 400 394 436 811 Net subscriptions/(redemptions) (2 195 939 907) (2) (12 749 403) 152 035 115 Dividends paid 7 0 0 0 (6 898 182) Increase/(Decrease) in net assets during the year/period (355 117 200) 396 011 (12 349 009) 145 573 744 Net assets at the beginning of the financial year/period 4 465 561 884 33 041 835 138 999 603 107 213 897 Reevaluation of opening consolidated NAV 0 0 0 0 Net assets at the end of the financial year/period 4 110 444 684 33 437 846 126 650 594 252 787 641 The accompanying notes form an integral part of these financial statements Page 18