BNP Paribas L1 sicav A at 31/12/2016 R.C.S. Luxembourg B 32 327
BNP Paribas L1 Table of contents Page Organisation 3 Information 5 Manager's report 6 Audit report 10 Financial statements at 31/12/2016 12 Key figures relating to the last 3 years 24 Bond Euro Corporate 35 Bond Euro High Yield 41 Bond Euro Premium 42 Bond Europe Plus 43 Bond World Emerging Local 47 Bond World Plus 48 Convertible Bond Best Selection Europe 53 Convertible Bond World 54 Diversified World Balanced 55 Diversified World Growth 56 Diversified World Stability 57 Equity Belgium 58 Equity Euro 59 Equity Europe 60 Equity Europe DEFI 61 Equity Europe Low Volatility 63 Equity Italy 64 Equity Netherlands 65 Equity USA Core 66 Equity World Aqua 67 Equity World Emerging 68 Equity World Guru 69 Equity World Quality Focus 70 Japan 71 Multi-Asset Income 72 Patrimoine 89 Safe Aggressive W1 90 Safe Aggressive W4 91 Safe Aggressive W7 92 Safe Aggressive W10 93 Safe Conservative W1 94 Page 1
BNP Paribas L1 Table of contents Page Safe Conservative W4 95 Safe Conservative W7 96 Safe Conservative W10 97 Safe Defensive W1 98 Safe Defensive W4 99 Safe Defensive W7 100 Safe Defensive W10 101 Safe Dynamic W1 102 Safe Dynamic W4 103 Safe Dynamic W7 104 Safe Dynamic W10 105 Safe Neutral W1 106 Safe Neutral W4 107 Safe Neutral W7 108 Safe Neutral W10 109 SMaRT Food 110 Sustainable Active Allocation 111 Notes to the financial statements 114 Unaudited appendix 148 No subscription can be received on the basis of the financial statements alone. Subscriptions are only valid if made on the basis of the current prospectus, accompanied by the latest annual report and the most recent semi-annual report, if published thereafter. Page 2
BNP Paribas L1 Organisation Registered office Until 24 April 2016: 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg Since 25 April 2016: 10 Rue Edward Steichen, L-2540 Luxembourg, Grand Duchy of Luxembourg Board of Directors Chairman Mr. Philippe MARCHESSAUX, Chief Executive Officer, BNP Paribas Investment Partners, Paris Members Mr. Marnix ARICKX, Chief Executive Officer, BNP Paribas Investment Partners Belgium, Brussels Mr. Christian DARGNAT, Head of Distributors Business Line, BNP Paribas Investment Partners, Paris (until 15 April 2016) Mrs. Marianne DEMARCHI, Head of Group Networks, BNP Paribas Investment Partners, Paris Mr. Anthony FINAN, Deputy-Head of Distributors Business Line, BNP Paribas Investment Partners, Paris Mr. François HULLO, Head of External Distribution, BNP Paribas Investment Partners, Paris Mr. Christian VOLLE, Independent Director, Paris Managing Director Mr. Anthony FINAN, Deputy-Head of Distributors Business Line, BNP Paribas Investment Partners, Paris Company Secretary (non-member of the Board) Mr. Stéphane BRUNET, Chief Executive Officer, BNP Paribas Investment Partners Luxembourg, Luxembourg Management Company BNP Paribas Investment Partners Luxembourg Until 24 April 2016: 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg Since 25 April 2016: 10 Rue Edward Steichen, L-2540 Luxembourg, Grand Duchy of Luxembourg BNP Paribas Investment Partners Luxembourg is a Management Company as defined in chapter 15 of the Luxembourg Law of 17 December 2010, as amended, concerning undertakings for collective investment. In this capacity, the Management Company is responsible for administration, portfolio management and marketing duties. Net asset values calculation, transfer and registrar agent are delegated to: BNP Paribas Securities Services, Luxembourg Branch, 60 Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Page 3
Organisation BNP Paribas L1 Portfolio management is delegated to: Effective Investment Managers BNP Paribas Group management entities (generally named BNP Paribas Investment Partners) BNP Paribas Asset Management S.A.S., 1 Boulevard Haussmann, F-75009 Paris, France BNP Paribas Investment Partners Asia Ltd., 30/F Three Exchange Square, 8 Connaught Place, Central Hong-Kong BNP Paribas Investment Partners Belgium, 55 Rue du Progrès, B-1210 Brussels, Belgium BNP Paribas Investment Partners Nederland N.V., Herengracht 595, PO box 71770, NL-1008 DG Amsterdam, The Netherlands BNP Paribas Investment Partners UK Ltd., 5 Aldermanbury Square, London EC2V 7BP, United Kingdom Fischer Francis Trees & Watts, Inc., 200 Park Avenue, 11 th floor, New York, NY 10166, USA (until 17 May 2016) THEAM S.A.S., 1 Boulevard Haussmann, F-75009 Paris, France Non-group management entities Impax Asset Management Limited, Norfolk House, 31 St James s Square, London, SW1Y 4JR, United Kingdom Fund manager of the Equity World Aqua and SMaRT Food sub-funds River Road Asset Management, LLC, 462 South Fourth Street, Suite 1600 Louisville, Kentucky 40202-3466 Fund manager for the US High Dividend equities in the Multi-Asset Income sub-fund The Company may also seek advice from the following investment advisor FundQuest Advisor, 1 Boulevard Haussmann, F-75009 Paris, France Advisor for the selection of non-group investment managers Depositary/Paying agent BNP Paribas Securities Services, Luxembourg Branch, 60 Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Auditor PricewaterhouseCoopers, Société coopérative, 2 Rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg, Grand Duchy of Luxembourg Page 4
Information BNP Paribas L1 BNP Paribas L1 is an open-ended investment company (Société d Investissement à Capital Variable SICAV) incorporated on 29 November 1989 under the name INTERSELEX WORLD for an indefinite period in accordance with the provisions of Part I of the law of 30 March 1988 on undertakings for collective investment. The name was changed to INTERSELEX EQUITY by an extraordinary general meeting of shareholders on 4 November 1996, and then to INTERSELEX by an extraordinary general meeting of shareholders on 4 May 1998 and to FORTIS L FUND by an extraordinary general meeting of shareholders on 30 September 1999. By an extraordinary general meeting of shareholders held on 14 May 2010, the company changed its name to BNP Paribas L1 (abbreviated as BNPP L1) with effect from 1 August 2010. The Company is currently subject to Part I of the law of 17 December 2010, as amended, on undertakings for collective investment and to European Directive 2009/65/EC (UCITS IV), as amended by the Directive 2014/91 (UCITS V). The Articles of Association of the Company have been filed with the Registrar of the District Court of Luxembourg, where any interested party may consult them and obtain a copy. They were last modified on 25 April 2016, with publication in the Mémorial on 29 April 2016. The Company is registered in the Luxembourg Trade and Companies Register under the number B 32 327. Net asset values are calculated on each day of the week on which banks are open for business in Luxembourg. As to net asset values and dividends, the Company publishes the legally required information in the Grand Duchy of Luxembourg and in all other countries where the shares are publicly offered. This information is also available on the website: www.bnpparibas-ip.com. The Articles of Association, the Prospectus, the KIID, and periodic reports may be consulted at the Company s registered office and at the establishments responsible for the Company s financial service. Copies of the Articles of Association and the annual and interim reports are available on request. Except for newspaper publications required by Law, the official media to obtain any notice to shareholders from will be the website www.bnpparibas-ip.com. Documents and information are also available on the website: www.bnpparibas-ip.com. Page 5
Manager's report BNP Paribas L1 Economic context A large part of the year saw global growth that was still modest (OECD expectations of 2.9% following growth of 3.1% in 2015), fostering uncertainty over the sustainability of growth and doubts about its ability to withstand any external shocks. The sharp fall in oil at the beginning of the year was interpreted as a sign of weak global activity. The price of oil, which was approaching $25 per barrel early in 2016, increased fairly quickly to $50, after the OPEC countries indicated that they were prepared to talk and reached an agreement to reduce production during the Vienna summit at the end of November. The price of WTI ended the year at $54 per barrel, up 45%. Political issues took centre stage. If the British electorate s Brexit decision in June was destabilising, the consequences of the surprise election of Donald Trump in the United States on 8 November were unexpected. The scenario soon unfolded of a president implementing a fiscal stimulus package to support domestic demand, and showing himself to be pragmatic on the more contentious issues (immigration, trade), sparking a resurgence in the confidence of investors and economic stakeholders. United States After a first half-year where GDP growth was below expectations (year-on-year variations of 0.8% and 1.4% for the 1st and 2nd quarters compared to the previous quarter), the US economy returned to a steadier pace (3.5% in the 3rd quarter). In a climate where the labour market is approaching full employment (with an unemployment rate of 4.7% in December), private consumption seems to be anchored at around 3% a solid, sustainable pace for the US economy. The summer was marked by a slight slowing on the industrial front as demonstrated by the fall of the ISM Manufacturing index (survey of purchasing managers) to below 50 in August. It recovered quickly to close at 54.7 in December, the highest since late 2014. The prospects of fiscal stimulus after the election of Donald Trump raised hopes for renewed domestic demand, which translated into a spectacular rise in the confidence of consumers and small companies, which by the end of the year were at their highest levels in 15 and 12 years respectively. Although industrial production, and above all productive investment, are still far from achieving such performances, encouraging factors did emerge. Inflation accelerated but remains contained (1.7% year-on-year in November). Europe After standing at 0.5% in the 1st quarter of 2016, GDP growth came in at 0.3% in the 2nd and 3rd quarters, and the available leading indicators suggest a somewhat more sustained increase in the 4th. Growth of 1.6% is on the horizon, a slight reduction compared to 2015 (+2%) but still a substantial rate. European economies showed themselves to be unexpectedly resilient in a year marked by the British electorate s decision to leave the European Union, the drawn-out process of forming a government in Spain and the Italian electorate s rejection of the proposal to reform the Constitution. As in the United States, the results of activity surveys bounced back after the summer and were particularly sound at the end of the year. In December, the composite PMI index, which summarises the opinion of purchasing managers in the manufacturing and services sectors, was at its highest level since May 2011. These factors hold out hope for a solid performance from private consumption (with an unemployment rate once again at a 7-year low) and a more marked recovery of investment expenditure. Monetary policy remained accommodating despite the predicted decline in the volume of monthly asset purchases and the maintenance of low rates will encourage increased private sector lending. The confidence of economic stakeholders will remain a crucial factor in 2017 when political uncertainties could cause them to delay purchasing decisions and, especially, investment expenditure. In December, inflation, which had been negative in the spring, reached its highest level since September 2013, at 1.1% year-on-year (preliminary estimate). This is the result of base effects associated with variations in oil prices and is not indicative of an acceleration in underlying inflation (excluding food and energy), which stood at 0.9% in December. Japan The development of the Japanese economy in 2016 was fairly disappointing, and it is expected to result in average growth lower than that achieved in 2015 (1.2%). The momentum at the end of the period seemed a little more satisfactory with an improvement in the Bank of Japan s economic trends survey (Tankan) in the 4th quarter. The rise in the indices remains modest, however, and companies still seem somewhat cautious about their business outlook in the coming months. Furthermore, although it boosts exports, the depreciation of the yen is still such that domestic purchasing power is limited by imported inflation and could thus impact on domestic demand, which already showed signs of slowing in the 3rd quarter and at the beginning of the 4th. Inflation was negative between April and September (when it fell to -0.5% year-on-year), before recovering by the end of the period (0.5% in November), primarily as a result of an increase in the price of fresh produce due to extreme weather conditions. Underlying inflation slowed quite significantly between the start and end of the year. Page 6
Manager's report BNP Paribas L1 Despite several initiatives to ease its monetary policy (negative rates, implementation of yield curve controls, adjustment of asset purchases), the Bank of Japan failed to close in on its inflation target (2%) and was forced to push back the timetable by which it expects to achieve this to March 2019. Emerging markets With 2015 having seen its lowest growth since the Great Recession of 2008 9 (4% according to the International Monetary Fund), the emerging world continued to record a modest performance which is expected to result in an increase in GDP of 4.2%. The momentum improved, however, towards the end of the period, according to the purchasing managers activity surveys. The aggregated PMI indices once more rose above 50 in the manufacturing and services sectors, reflecting an expansion in economic activity. Growth in China is in line with the government s targets (6.7% in the 3rd quarter), but relies to a great extent on strong credit growth and exceptional measures to support the activity. The authorities repeatedly expressed their intention to provide economic stability and reduce overcapacity. After GDP shrunk by 3.8% in 2015, the deterioration in Brazil came to a halt, but this improvement remained fragile and was to run out of steam by the end of the year. These two examples are a fairly faithful reflection of the rather tentative economic climate in emerging countries, which is affected by specific issues in some cases. The survey of purchasing managers in Mexico is already showing signs of a negative Trump effect, associated with concerns about migration policy and potential protectionist measures. The Indian economy, whose pace of growth was over 7%, was disrupted by the demonetisation of high denomination banknotes, which began in early November and resulted in economic paralysis and a marked decline in confidence indicators. While signs of improvement in global trade are still very tenuous, these events raise doubts about an acceleration in the emerging economies. Monetary policy Expectations of additional easing of the monetary policy of the European Central Bank had been high since the beginning of the year. In March 2016, Mario Draghi announced that monthly asset purchases were being increased from 60 billion to 80 billion and that quantitative easing (QE) was being extended to private bonds issued by high-quality non-bank companies established in the eurozone. Key interest rates were lowered (the main refinancing operations rate to 0%, the marginal lending facility rate to 0.25% and the deposit facility rate to -0.40%). The ECB opted for a holding position in July (after the British referendum) and in September, as the eurozone economy proved rather resilient. During September s press conference, Mario Draghi had indicated that the question of extending QE had not been discussed. In October, he reiterated this idea, this time with regard to a decrease in purchases (or tapering, to adopt the expression used when the Fed gradually reduced its purchases from January 2014). This rumour concerned observers faced with good economic activity and inflation rates that remain low. This is the context in which, on 8 December, the ECB took the markets by surprise by extending the duration of its asset purchase programme by longer than expected ( until the end of December 2017, or beyond, if necessary ) while reducing their monthly purchases from 80 billion to 60 billion from April 2017. Furthermore, repayments of maturing securities will be reinvested and technical adjustments offering more flexibility are planned from January: the purchase of shorter-term securities or those with a return below the deposit rate, if necessary. Mario Draghi insisted that the extension of asset purchases allows for a more sustained market presence and, therefore, a more lasting transmission of stimulus measures, and that the decisions taken do not amount to tapering. He specified that the prediction of inflation at 1.7% in 2019 can not really be considered a return to the target of 2%. A significant announcement was that the volume of purchased may be increased if financial conditions become inconsistent with further progress towards a sustained adjustment of the path of inflation. On 16 December 2015, Janet Yellen announced the end of the zero-rate policy in force since 2008. It took one year for rates to rise a second time. The target range for the US federal funds rate is now between 0.50% and 0.75%. Expectations had fluctuated for several months in the light of economic indicators and political events. In June, Janet Yellen explicitly stated that the risks associated with the Brexit referendum on the 23rd had affected the decision to maintain the status quo. In hindsight, the verdict of the polls justified such caution. During the summer, differences of opinion emerged between proponents of a rise in interest rates (unemployment rates close to their level of equilibrium and inflation rising gradually towards its target) and those supporting a more cautious approach. The first group seemed to gain ground gradually and a clear line was drawn at the end of August: the case for an increase in the federal funds rate has strengthened. It follows that this diagnosis, supported by solid economic data, resulted in a rise of 25 bps in the key rate on 14 December. In her testimony to Congress on 17 November, the Chair of the Fed confirmed that she plans to remain in post until her term expires in February 2018. Some people thought she would resign in the wake of Donald Trump s criticism of her during his campaign. Page 7
Manager's report BNP Paribas L1 In December, although the official line and growth and inflation forecasts varied only very slightly, attention was focused on the projections regarding the appropriate level of key interest rates, which now involved 3 increases in 2017 as opposed to 2 previously. Janet Yellen played down the significance of this and indicated that inflation of 2% was a goal and not a limit, suggesting that the Fed could temporarily accept a higher level. Foreign exchange markets Several times in 2016, volatility on the foreign exchange market reached levels not seen since 2011. The EUR/USD rate fluctuated within a very broad range (1.04 1.16). A turbulent rise sent it over 1.16 in early May, despite the easing of monetary policy announced in March, with certain observers hoping that would be the ECB s last rate reduction. Between May and October, however, expectations regarding the Fed s actions were behind the variations in the exchange rate. After the Brexit referendum, there was an upsurge in volatility without any specific trends emerging, except on the pound sterling, which recorded a year-on-year fall of 13.9% against the euro and 16.3% against the dollar. Between June and September, the EUR/USD rate fluctuated around 1.12, while USD/JPY parity varied between 100 and 106. The Bank of Japan did not manage to weaken the yen, despite introducing negative rates and unprecedented measures to control the yield curve. The rate did not drop below the threshold of 100 for any considerable length of time, due to statements from the authorities suggesting that intervention on the foreign exchange market was possible if the yen rose too quickly. The election of Donald Trump changed the game and, after some highly erratic movements following the announcement of the result, there was a marked rise in the dollar against most major currencies, in both developed and emerging markets. The dollar reached its highest level since spring 2003 against a basket of currencies, according to data issued by the Bank of England. The rebound of the dollar reflects expectations of stronger economic growth in the US, which could lead the Fed to normalise its monetary policy more quickly. Emerging currencies were penalised by fears that the future president will implement protectionist measures. Furthermore, the pressure on US interest rates weighed on emerging in general. In December, the EUR/USD rate temporarily dropped below 1.04, for the first time since early 2003. It ended the year at 1.0557 (-2.8% over twelve months). The USD/JPY rate exceeded 118 (close to its annual high) at the time of the Fed s monetary policy meeting in December that marked the end of excessively low rates in the United States. After some profit-taking, parity ended up at 116.72, which corresponds to a rise of 3.0% in the yen against the dollar. Bond markets In the face of turbulence on the equity markets at the beginning of 2016, the US 10-year T-note yield, which stood at 2.27% at the end of 2015, fell sharply below 1.70% in February. The upturn in oil prices restored a certain amount of calm and the US long rates then fluctuated between 1.60% and around 2% until early June, in the light of highly variable expectations on monetary policy. From 3 June, the 10-year rate eased considerably in the wake of the British referendum and the dissipation of expectations of a rise in the Fed s key rates in the near future. Post-Brexit nervousness resulted in the 10-year T-note yield dropping below 1.40% in early July. Thereafter, government bonds reacted to the economic indicators and to comments made by members of the FOMC, finally convincing investors that there would be a rise in interest rates before the end of 2016. The 10-year rate fluctuated between 1.55% and 1.65% in September before tightening significantly, firstly due to tensions on European rates then, especially, after the surprise election of Donald Trump. The 10-year T-note yield rose temporarily to its highest level since September 2014 at more than 2.60% the day after the Fed meeting that culminated in an interest rate hike of 25 bps on 14 December. The possibility that a fiscal stimulus programme could be quickly implemented led certain observers to expect more aggressive action from the Fed, while inflation accelerated and the FOMC raised the appropriate rate for the end of 2018. The 10-year rate closed at 2.44%, a rise of 17 bps in twelve months. Monetary policy that was not in line with expectations led to an increase in the 2-year rate, which on 15 December recorded its highest level since August 2009, at nearly 1.30%. The German 10-year Bund yield (0.63% at the end of 2015) entered a downward trend at the start of the year, reflecting the monetary policy of the ECB (expectations and announcements) and the flight to safety in the face of challenging equity markets. The German 10-year rate reached 0.11% on 29 February, which was a low point at that time. From March to May, there were strong movements from the effects of profit-taking, when the rate fell beneath this threshold, and fluctuations in the American market. In June, the British referendum had a decisive impact on government bonds, causing the 10-year Bund yield to fall below 0%. It was under -0.20% during trading in early July, with the confusion in the early days post-brexit strengthening the attraction of the Bund as a safe haven and generating expectations of exceptional measures from the ECB. Until September, the German 10-year rate showed no discernible market trend at around -0.10%. The deterioration of the bond market, a feature of the last quarter, was triggered on 4 October by a press article reporting discussions within the ECB of a forthcoming reduction in asset purchases ( tapering ). Page 8
Manager's report BNP Paribas L1 Despite denials from the ECB, the rates moved outside the range within which they had been fluctuating since the Brexit decision and continued to tighten in November, this time in the wake of their US counterparts. In December, the announcements regarding monetary policy (reduction of monthly asset purchases from April 2017) resulted in the German 10-year Bund yield recording its highest level since January (0.40% on the 12th). The easing at the end of the year, despite solid economic data, is probably a reflection of investors repositioning at levels they consider more favourable. The German Bund yield closed at 0.21%, a reduction of 42 bps in twelve months. Equity markets The year started badly, with concerns about global growth and the Chinese economy (with adjustments of the yuan) and falling oil prices leading to a marked fall in equities in January. Initial discussions between Saudi Arabia and other producers, which proved inconclusive but indicative of a willingness to negotiate, allowed for a rapid rise in oil prices (to nearly $50) which caused stock markets to recover in February and March. This upward trend continued in April and May but, despite a rather favourable economic environment, showed signs of slowing. In June, the referendum in the United Kingdom focused attention and resulted in volatility in European markets reaching an all-time high for the year. The British electorate s decision in favour of leaving the European Union, which emerged during the night of 23 to 24 June, was a shock. The major indices fell sharply on 24 June, before recovering. The swift appointment of Theresa May as prime minister calmed the political situation somewhat (although there are still many questions over the course of the negotiations ahead), and as a result equities recovered in July and thereafter remained relatively stable. Volatility rose once more in the autumn reflecting a certain agitation, while equities increased without taking account of economic fundamentals. From October, skittishness increased as the United States presidential election approached. And the winner was Donald Trump! Very soon after the election, the possibility of a more expansionist fiscal policy, as discussed during the election campaign, caused a marked recovery in equities and the dollar and put pressure on longterm rates. This momentum continued relentlessly, whereas before 8 November, most investors had considered the election of Donald Trump as a risk for the financial markets. These trends slowed somewhat in terms of reduced transaction volumes but equities continued to rise in December, helped by the increase in oil prices in the light of the agreement to reduce production. In 2016, global equities rose by 5.6% (MSCI AC World index in dollars) and emerging markets by 8.6% (MSCI Emerging in dollars), despite a more difficult year-end for emerging, confronted by the rising dollar and the pressure on US interest rates and penalised by fears of increased protectionism. In developed markets, American exchanges recorded a clear outperformance (+9.5% for the S&P 500): with reduced exposure to the consequences of Brexit, they have naturally benefited from the prospects of renewed growth and deregulation after the election. Japanese equities, supported in November and December by the decline of the yen after a turbulent performance, managed to end the year close to break-even (+0.4% for the Nikkei 225 index). In Europe, the Eurostoxx 50 rose 0.7%. The figures mentioned above are fluctuations in the price of the indices in local currencies, excluding dividends reinvested. The Board of Directors Luxembourg, 31 January 2017 Note: The information stated in this report is historical and not necessarily indicative of future performance. Page 9
Audit report To the Shareholders of BNP Paribas L1 We have audited the accompanying financial statements of BNP Paribas L1 and of each of its sub-funds, which comprise the statement of net and the securities portfolio as at 31 December 2016 and the statement of operations and changes in net for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICAV for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the Réviseur d entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgment of the Réviseur d entreprises agréé, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Réviseur d entreprises agréé considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements. PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T: +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 10
_AL pwc We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of BNP Paribas Ll and of each of its sub-funds as of 31 December 2016, and of the results of their operations and changes in their net for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other information The Board of Directors of the SICAV is responsible for the other information. The other information comprises the information included in the annual report but does not include the fmancial statements and our audit report thereon. Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report this fact. We have nothing to report in this regard. Pricewat ecoopers, Societe cooperative Luxembourg, 11 April 2017 Represe Sebastien adzot Page 11
BNP Paribas L1 Financial statements at 31/12/2016 Bond Euro Corporate Bond Euro High Yield Bond Euro Premium Bond Europe Plus Expressed in EUR EUR EUR EUR Notes Statement of net Assets 125 008 414 186 179 501 124 450 474 453 077 410 Securities portfolio at cost price 119 217 514 160 619 620 124 010 204 423 902 341 Unrealised gain/(loss) on securities portfolio 587 489 25 323 229 440 211 (12 299 442) Securities portfolio at market value 2 119 805 003 185 942 849 124 450 415 411 602 899 Options at market value 2,13 0 0 0 0 Net Unrealised gain on financial instruments 2,10,11,12 0 0 0 0 Cash at banks and time deposits 3 763 189 5 228 59 29 039 612 Other 1 440 222 231 424 0 12 434 899 Liabilities 685 916 559 514 259 391 16 511 450 Options at market value 2,13 0 0 0 107 393 Bank overdrafts 0 0 0 25 246 Net Unrealised loss on financial instruments 2,10,11,12 403 121 0 44 260 6 250 520 Other liabilities 282 795 559 514 215 131 10 128 291 Net asset value 124 322 498 185 619 987 124 191 083 436 565 960 Statement of operations and changes in net Income on investments and 2 2 190 334 479 13 765 20 306 969 Management and advisory fees 3 723 260 2 241 227 938 385 3 300 599 Bank interest 1 961 55 4 395 82 851 Interest on swaps 107 777 0 0 1 765 773 Other fees 5 285 797 226 013 440 376 1 446 076 Taxes 6 87 343 68 186 123 119 401 989 Transaction fees 18 1 278 0 0 73 170 Distribution fees 4 48 272 4 086 4 225 136 957 Total expenses 1 255 688 2 539 567 1 510 500 7 207 415 Net result from investments 934 646 (2 539 088) (1 496 735) 13 099 554 Net realised result on: Investments securities 2 1 194 439 2 469 832 (3 919 890) 5 946 884 Financial instruments 212 429 0 (1 523 923) (14 350 576) Net realised result 2 341 514 (69 256) (6 940 548) 4 695 862 Movement on net unrealised gain/(loss) on: Investments securities 373 858 10 018 284 8 152 902 (23 223 778) Financial instruments (403 121) 0 (689 173) 1 898 849 Change in net due to operations 2 312 251 9 949 028 523 181 (16 629 067) Net subscriptions/(redemptions) 58 829 555 (9 185 708) (32 744 668) (116 775 481) Dividends paid 7 (352 249) (9 016 899) 0 (250) Increase/(Decrease) in net during the year/period 60 789 557 (8 253 579) (32 221 487) (133 404 798) Net at the beginning of the financial year/period 63 532 941 193 873 566 156 412 570 569 970 758 Reevaluation of opening consolidated NAV 0 0 0 0 Net at the end of the financial year/period 124 322 498 185 619 987 124 191 083 436 565 960 Page 12
BNP Paribas L1 Bond USA High Yield Bond USD Bond World Emerging Bond World Emerging Local Bond World Plus Convertible Bond Best Selection Europe USD USD USD USD EUR EUR 0 0 0 69 828 389 599 909 575 149 685 941 0 0 0 94 706 158 556 366 310 144 590 610 0 0 0 (24 942 275) (6 851 563) 2 854 647 0 0 0 69 763 883 549 514 747 147 445 257 0 0 0 0 93 308 0 0 0 0 0 1 046 840 0 0 0 0 1 929 39 932 619 201 032 0 0 0 62 577 9 322 061 2 039 652 0 0 0 174 855 58 376 370 5 826 484 0 0 0 0 0 0 0 0 0 0 644 0 0 0 0 0 0 16 675 0 0 0 174 855 58 375 726 5 809 809 0 0 0 69 653 534 541 533 205 143 859 457 0 0 0 198 35 919 278 1 463 972 39 926 34 640 13 397 1 165 859 3 656 067 1 659 709 1 1 1 46 85 306 6 448 0 0 0 0 2 032 049 0 8 610 12 106 1 084 94 057 1 536 759 505 913 1 836 2 562 423 28 247 406 305 121 859 0 0 0 0 204 891 1 732 518 1 282 280 197 104 204 131 533 50 891 50 591 15 185 1 288 406 8 025 581 2 427 194 (50 891) (50 591) (15 185) (1 288 208) 27 893 697 (963 222) (59 459) 141 279 134 773 (7 214 775) 1 221 446 (4 772 165) 2 3 0 0 (25 752 499) (241 473) (110 348) 90 691 119 588 (8 502 983) 3 362 644 (5 976 860) 424 713 10 476 40 405 12 592 494 (22 044 029) (429 169) 0 0 0 0 8 733 881 408 617 314 365 101 167 159 993 4 089 511 (9 947 504) (5 997 412) (6 935 762) (9 710 493) (1 394 504) (14 625 187) (108 859 174) (17 370 438) (234 112) (119 007) (32 307) (4 703 404) (4 667 981) (32 692) (6 855 509) (9 728 333) (1 266 818) (15 239 080) (123 474 659) (23 400 542) 6 855 509 9 728 333 1 266 818 84 892 614 665 007 864 167 259 999 0 0 0 0 0 0 0 0 0 69 653 534 541 533 205 143 859 457 Page 13
BNP Paribas L1 Financial statements at 31/12/2016 Convertible Bond World Diversified Active Click Balanced Diversified Active Click Stability Diversified World Balanced Expressed in EUR EUR EUR EUR Notes Statement of net Assets 202 818 975 0 0 243 570 091 Securities portfolio at cost price 176 940 987 0 0 216 845 444 Unrealised gain/(loss) on securities portfolio 18 359 043 0 0 15 897 507 Securities portfolio at market value 2 195 300 030 0 0 232 742 951 Options at market value 2,13 0 0 0 0 Net Unrealised gain on financial instruments 2,10,11,12 2 172 632 0 0 622 544 Cash at banks and time deposits 5 188 106 0 0 10 157 659 Other 158 207 0 0 46 937 Liabilities 351 969 0 0 1 126 702 Options at market value 2,13 0 0 0 0 Bank overdrafts 0 0 0 0 Net Unrealised loss on financial instruments 2,10,11,12 0 0 0 0 Other liabilities 351 969 0 0 1 126 702 Net asset value 202 467 006 0 0 242 443 389 Statement of operations and changes in net Income on investments and 2 3 932 594 359 444 422 556 058 Management and advisory fees 3 2 420 363 182 437 139 534 3 482 912 Bank interest 9 421 4 027 2 960 7 839 Interest on swaps 0 0 0 0 Other fees 5 284 463 50 879 38 681 960 123 Taxes 6 76 158 9 206 6 790 120 180 Transaction fees 18 0 7 118 4 598 159 015 Distribution fees 4 17 433 0 29 25 387 Total expenses 2 807 838 253 667 192 592 4 755 456 Net result from investments (2 803 906) 340 692 251 830 (4 199 398) Net realised result on: Investments securities 2 4 667 315 (243 662) (168 620) 6 766 874 Financial instruments (11 936 606) 1 187 046 959 667 (1 099 384) Net realised result (10 073 197) 1 284 076 1 042 877 1 468 092 Movement on net unrealised gain/(loss) on: Investments securities 5 655 528 (2 073 922) (1 575 875) 5 506 556 Financial instruments 2 858 292 370 107 345 850 360 944 Change in net due to operations (1 559 377) (419 739) (187 148) 7 335 592 Net subscriptions/(redemptions) 2 448 284 (25 785 331) (20 038 106) (68 787 149) Dividends paid 7 (1 727 322) 0 0 (2 171 048) Increase/(Decrease) in net during the year/period (838 415) (26 205 070) (20 225 254) (63 622 605) Net at the beginning of the financial year/period 203 305 421 26 205 070 20 225 254 306 065 994 Reevaluation of opening consolidated NAV 0 0 0 0 Net at the end of the financial year/period 202 467 006 0 0 242 443 389 Page 14
BNP Paribas L1 Diversified World Growth Diversified World Stability Equity Belgium Equity Euro Equity Europe Equity Europe DEFI EUR EUR EUR EUR EUR EUR 110 911 493 85 369 369 324 402 101 397 047 361 1 117 289 269 8 060 920 98 206 106 76 814 899 308 507 722 337 441 633 982 948 510 7 631 142 8 386 363 3 196 510 11 270 935 59 411 183 133 383 831 290 004 106 592 469 80 011 409 319 778 657 396 852 816 1 116 332 341 7 921 146 0 0 0 0 0 0 110 126 126 636 0 0 0 6 000 4 206 969 5 224 312 4 423 536 1 0 124 530 1 929 7 012 199 908 194 544 956 928 9 244 1 007 150 5 330 654 1 087 975 397 304 2 176 132 5 639 0 0 0 0 0 0 0 10 192 0 0 19 0 0 0 0 0 0 0 1 007 150 5 320 462 1 087 975 397 304 2 176 113 5 639 109 904 343 80 038 715 323 314 126 396 650 057 1 115 113 137 8 055 281 272 129 140 644 242 885 10 728 712 23 059 573 50 750 1 702 060 1 133 627 321 995 1 553 360 4 359 903 20 955 4 201 2 300 773 839 2 035 106 0 0 0 0 0 0 476 223 299 551 101 557 1 003 386 2 243 088 6 985 54 340 36 297 34 029 104 136 326 690 392 63 386 39 744 52 783 444 359 1 061 022 22 501 13 507 36 174 0 51 126 44 274 0 2 313 717 1 547 693 511 137 3 157 206 8 037 012 50 939 (2 041 588) (1 407 049) (268 252) 7 571 506 15 022 561 (189) (500 929) 2 562 344 (181 159) 1 465 760 4 235 377 25 479 (395 244) (556 440) 0 (252) (171 352) 27 165 (2 937 761) 598 855 (449 411) 9 037 014 19 086 586 52 455 5 890 538 786 226 11 270 935 (2 901 593) (6 971 568) 290 004 34 495 130 424 0 0 0 6 000 2 987 272 1 515 505 10 821 524 6 135 421 12 115 018 348 459 (52 017 984) (19 144 605) 312 492 602 (32 432 248) 197 063 446 7 706 822 (202 125) (211 296) 0 (457 378) (3 691 324) 0 (49 232 837) (17 840 396) 323 314 126 (26 754 205) 205 487 140 8 055 281 159 137 180 97 879 111 0 423 404 262 909 625 997 0 0 0 0 0 0 0 109 904 343 80 038 715 323 314 126 396 650 057 1 115 113 137 8 055 281 Page 15
BNP Paribas L1 Financial statements at 31/12/2016 Equity Europe Low Volatility Equity Italy Equity Netherlands Equity USA Core Expressed in EUR EUR EUR USD Notes Statement of net Assets 375 686 297 61 646 556 408 758 312 1 228 567 105 Securities portfolio at cost price 352 742 081 56 503 336 347 604 296 1 071 763 491 Unrealised gain/(loss) on securities portfolio 21 953 198 4 985 808 55 458 774 151 304 962 Securities portfolio at market value 2 374 695 279 61 489 144 403 063 070 1 223 068 453 Options at market value 2,13 0 0 0 0 Net Unrealised gain on financial instruments 2,10,11,12 0 0 0 30 738 Cash at banks and time deposits 209 003 157 410 5 694 754 4 571 910 Other 782 015 2 488 896 004 Liabilities 1 035 279 7 782 1 448 953 608 696 Options at market value 2,13 0 0 0 0 Bank overdrafts 0 0 0 0 Net Unrealised loss on financial instruments 2,10,11,12 0 0 0 0 Other liabilities 1 035 279 7 782 1 448 953 608 696 Net asset value 374 651 018 61 638 774 407 309 359 1 227 958 409 Statement of operations and changes in net Income on investments and 2 10 325 007 1 414 831 11 008 852 19 664 295 Management and advisory fees 3 3 777 262 22 670 241 706 1 310 824 Bank interest 19 390 226 11 723 52 Interest on swaps 0 0 0 0 Other fees 5 1 197 356 48 676 907 744 2 986 319 Taxes 6 228 425 6 138 52 217 201 241 Transaction fees 18 2 309 218 53 186 438 289 801 530 Distribution fees 4 0 0 0 29 955 Total expenses 7 531 651 130 896 1 651 679 5 329 921 Net result from investments 2 793 356 1 283 935 9 357 173 14 334 374 Net realised result on: Investments securities 2 (26 260 269) (3 817 947) 32 995 796 7 405 427 Financial instruments (315 467) (1 961) (3 030) (377 492) Net realised result (23 782 380) (2 535 973) 42 349 939 21 362 309 Movement on net unrealised gain/(loss) on: Investments securities 23 793 910 (72 753) (8 833 610) 79 160 365 Financial instruments 0 0 0 95 589 Change in net due to operations 11 530 (2 608 726) 33 516 329 100 618 263 Net subscriptions/(redemptions) 245 803 616 (7 974 354) (37 831 986) (158 440 144) Dividends paid 7 0 0 (171 615) (631 024) Increase/(Decrease) in net during the year/period 245 815 146 (10 583 080) (4 487 272) (58 452 905) Net at the beginning of the financial year/period 128 835 872 72 221 854 411 796 631 1 286 411 314 Reevaluation of opening consolidated NAV 0 0 0 0 Net at the end of the financial year/period 374 651 018 61 638 774 407 309 359 1 227 958 409 Page 16
BNP Paribas L1 Equity World Aqua Equity World Emerging Equity World Guru Equity World Quality Focus Japan Lifecycle 2020 EUR USD USD EUR JPY EUR 388 805 165 36 646 824 173 754 061 161 814 409 3 806 167 716 0 293 522 049 39 269 893 184 503 799 162 999 864 3 363 688 674 0 91 620 042 (2 646 232) (11 114 888) (1 345 879) 162 925 436 0 385 142 091 36 623 661 173 388 911 161 653 985 3 526 614 110 0 0 0 0 0 0 0 0 0 0 0 9 177 000 0 1 773 621 1 621 19 599 4 205 41 696 826 0 1 889 453 21 542 345 551 156 219 228 679 780 0 2 177 596 101 843 547 574 413 950 235 909 516 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2 177 596 101 843 547 574 413 950 235 909 516 0 386 627 569 36 544 981 173 206 487 161 400 459 3 570 258 200 0 0 109 153 032 26 964 44 704 534 2 017 4 650 186 653 447 2 078 754 2 309 140 4 768 666 15 697 182 26 195 68 17 864 3 0 0 0 0 0 0 1 072 692 15 308 145 501 143 855 1 201 292 5 033 272 052 14 201 49 565 58 256 250 066 1 616 0 0 0 0 860 321 0 3 046 913 2 699 7 900 0 0 5 998 158 683 895 2 276 714 2 519 219 7 098 209 22 349 (5 998 158) (683 786) (2 123 682) (2 492 255) 37 606 325 (20 332) 1 575 358 (477 187) (2 660 640) (2 469 351) 17 150 834 856 314 (2 705) 0 (86 581) (656) 24 959 048 0 (4 425 505) (1 160 973) (4 870 903) (4 962 262) 79 716 207 835 982 42 659 324 4 226 429 (627 557) 12 056 407 162 925 436 (725 701) 0 0 0 0 9 177 000 0 38 233 819 3 065 456 (5 498 460) 7 094 145 251 818 643 110 281 66 865 813 (1 446 033) (2 649 871) (8 944 828) 3 318 439 557 (9 694 722) (1 198 592) (783 454) (1 229 953) (1 191 125) 0 0 103 901 040 835 969 (9 378 284) (3 041 808) 3 570 258 200 (9 584 441) 282 726 529 35 709 012 182 584 771 164 442 267 0 9 584 441 0 0 0 0 0 0 386 627 569 36 544 981 173 206 487 161 400 459 3 570 258 200 0 Page 17
BNP Paribas L1 Financial statements at 31/12/2016 Lifecycle 2025 Lifecycle 2030 Lifecycle 2035 Multi-Asset Income Expressed in EUR EUR EUR EUR Notes Statement of net Assets 0 0 0 1 786 736 475 Securities portfolio at cost price 0 0 0 1 631 019 640 Unrealised gain/(loss) on securities portfolio 0 0 0 57 970 900 Securities portfolio at market value 2 0 0 0 1 688 990 540 Options at market value 2,13 0 0 0 0 Net Unrealised gain on financial instruments 2,10,11,12 0 0 0 11 258 Cash at banks and time deposits 0 0 0 87 440 657 Other 0 0 0 10 294 020 Liabilities 0 0 0 60 988 211 Options at market value 2,13 0 0 0 0 Bank overdrafts 0 0 0 0 Net Unrealised loss on financial instruments 2,10,11,12 0 0 0 0 Other liabilities 0 0 0 60 988 211 Net asset value 0 0 0 1 725 748 264 Statement of operations and changes in net Income on investments and 2 1 803 224 1 193 57 477 721 Management and advisory fees 3 13 277 11 720 11 524 17 376 692 Bank interest 3 0 23 97 273 Interest on swaps 0 0 0 355 667 Other fees 5 3 416 2 315 2 137 5 579 599 Taxes 6 1 098 166 692 1 415 936 Transaction fees 18 0 0 0 1 359 569 Distribution fees 4 0 0 0 559 421 Total expenses 17 794 14 201 14 376 26 744 157 Net result from investments (15 991) (13 977) (13 183) 30 733 564 Net realised result on: Investments securities 2 674 759 658 026 586 061 (7 056 413) Financial instruments (1 949) (1 850) (2 888) (67 543 476) Net realised result 656 819 642 199 569 990 (43 866 325) Movement on net unrealised gain/(loss) on: Investments securities (682 216) (688 464) (616 023) 86 057 284 Financial instruments 0 0 0 (3 355 278) Change in net due to operations (25 397) (46 265) (46 033) 38 835 681 Net subscriptions/(redemptions) (6 833 876) (4 774 887) (4 264 850) 28 425 060 Dividends paid 7 0 0 0 (41 577 323) Increase/(Decrease) in net during the year/period (6 859 273) (4 821 152) (4 310 883) 25 683 418 Net at the beginning of the financial year/period 6 859 273 4 821 152 4 310 883 1 700 064 846 Reevaluation of opening consolidated NAV 0 0 0 0 Net at the end of the financial year/period 0 0 0 1 725 748 264 Page 18
BNP Paribas L1 Opportunities World Patrimoine Real Estate Securities World Safe Aggressive W1 Safe Aggressive W4 Safe Aggressive W7 EUR EUR EUR EUR EUR EUR 0 44 994 444 0 1 388 751 552 082 1 083 582 0 44 432 696 0 1 319 358 515 320 1 008 089 0 217 917 0 50 914 33 735 66 517 0 44 650 613 0 1 370 272 549 055 1 074 606 0 0 0 0 0 0 0 0 0 0 0 0 0 84 858 0 17 936 2 997 8 918 0 258 973 0 543 30 58 0 115 705 0 106 860 1 486 4 645 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 235 109 210 0 115 705 0 106 625 1 377 4 435 0 44 878 739 0 1 281 891 550 596 1 078 937 2 135 972 0 370 65 252 11 350 416 897 30 283 26 696 9 110 19 676 0 1 699 1 35 21 36 0 0 0 0 0 0 5 708 94 567 3 997 5 024 1 714 3 702 0 31 116 1 222 962 293 638 0 0 0 1 228 340 928 490 0 540 0 0 0 17 548 544 279 36 043 33 945 11 478 24 980 (17 546) (408 307) (36 043) (33 575) (11 413) (24 728) (1 156 067) (1 224 938) 12 064 (83 894) (6 759) (41 134) 0 11 0 5 332 2 317 5 077 (1 173 613) (1 633 234) (23 979) (112 137) (15 855) (60 785) 282 703 2 536 070 22 668 (13 624) 32 051 49 298 0 0 0 (235) (109) (210) (890 910) 902 836 (1 311) (125 996) 16 087 (11 697) (9 581 186) (10 229 834) (3 907 058) (855 063) (101 402) (376 639) 0 0 (81 967) 0 0 0 (10 472 096) (9 326 998) (3 990 336) (981 059) (85 315) (388 336) 10 472 096 54 205 737 3 990 336 2 262 950 635 911 1 467 273 0 0 0 0 0 0 0 44 878 739 0 1 281 891 550 596 1 078 937 Page 19
BNP Paribas L1 Financial statements at 31/12/2016 Safe Aggressive W10 Safe Conservative W1 Safe Conservative W4 Safe Conservative W7 Expressed in EUR EUR EUR EUR Notes Statement of net Assets 1 159 811 4 868 323 2 039 192 3 228 523 Securities portfolio at cost price 1 075 568 3 645 636 2 018 875 3 214 618 Unrealised gain/(loss) on securities portfolio 60 370 (9 154) (755) 119 Securities portfolio at market value 2 1 135 938 3 636 482 2 018 120 3 214 737 Options at market value 2,13 0 0 0 0 Net Unrealised gain on financial instruments 2,10,11,12 0 230 75 83 Cash at banks and time deposits 23 873 50 853 19 908 12 678 Other 0 1 180 758 1 089 1 025 Liabilities 5 013 9 894 14 097 4 736 Options at market value 2,13 0 0 0 0 Bank overdrafts 0 0 0 0 Net Unrealised loss on financial instruments 2,10,11,12 232 0 0 0 Other liabilities 4 781 9 894 14 097 4 736 Net asset value 1 154 798 4 858 429 2 025 095 3 223 787 Statement of operations and changes in net Income on investments and 2 366 3 1 1 Management and advisory fees 3 24 020 41 221 17 234 26 267 Bank interest 43 120 47 70 Interest on swaps 0 0 0 0 Other fees 5 4 520 16 546 6 918 10 543 Taxes 6 860 2 655 1 378 1 805 Transaction fees 18 923 918 360 333 Distribution fees 4 0 0 0 0 Total expenses 30 366 61 460 25 937 39 018 Net result from investments (30 000) (61 457) (25 936) (39 017) Net realised result on: Investments securities 2 24 070 51 250 14 966 49 221 Financial instruments 8 706 18 493 5 344 10 347 Net realised result 2 776 8 286 (5 626) 20 551 Movement on net unrealised gain/(loss) on: Investments securities 4 148 (8 417) (1 883) (2 046) Financial instruments (232) 230 75 83 Change in net due to operations 6 692 99 (7 434) 18 588 Net subscriptions/(redemptions) (751 248) (1 539 356) (647 665) (755 230) Dividends paid 7 0 0 0 0 Increase/(Decrease) in net during the year/period (744 556) (1 539 257) (655 099) (736 642) Net at the beginning of the financial year/period 1 899 354 6 397 686 2 680 194 3 960 429 Reevaluation of opening consolidated NAV 0 0 0 0 Net at the end of the financial year/period 1 154 798 4 858 429 2 025 095 3 223 787 Page 20
BNP Paribas L1 Safe Conservative W10 Safe Defensive W1 Safe Defensive W4 Safe Defensive W7 Safe Defensive W10 Safe Dynamic W1 EUR EUR EUR EUR EUR EUR 4 685 788 70 350 307 47 913 286 60 456 742 64 025 052 25 250 778 4 596 416 69 178 922 46 890 046 59 426 702 63 100 463 24 309 922 (519) 532 962 518 095 548 954 557 739 614 939 4 595 897 69 711 884 47 408 141 59 975 656 63 658 202 24 924 861 0 0 0 0 0 0 83 11 350 11 144 12 871 11 541 0 87 841 624 131 493 220 467 132 352 507 309 795 1 967 2 942 781 1 083 2 802 16 122 14 766 570 093 277 503 397 288 305 228 2 088 140 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2 907 14 766 570 093 277 503 397 288 305 228 2 085 233 4 671 022 69 780 214 47 635 783 60 059 454 63 719 824 23 162 638 1 5 837 3 002 5 881 6 416 4 076 39 442 885 608 616 975 653 259 787 777 590 674 153 1 221 1 168 1 051 1 365 1 386 0 0 0 0 0 0 15 832 193 355 134 405 147 499 172 779 195 192 2 630 29 239 18 849 17 135 20 228 10 119 446 17 427 15 417 16 063 20 672 44 399 0 10 934 6 851 13 102 9 838 5 533 58 503 1 137 784 793 665 848 109 1 012 659 847 303 (58 502) (1 131 947) (790 663) (842 228) (1 006 243) (843 227) 93 526 (513 177) 258 635 (168 275) (13 653) (1 784 113) 22 508 88 015 68 815 24 073 96 603 170 276 57 532 (1 557 109) (463 213) (986 430) (923 293) (2 457 064) 923 525 874 500 330 651 357 292 483 (417 135) 83 11 350 11 144 12 871 11 541 (2 907) 58 538 (1 019 885) 48 261 (322 202) (619 269) (2 877 106) (1 423 014) (21 767 695) (15 100 083) (17 205 681) (17 742 065) (53 242 239) 0 0 0 0 0 0 (1 364 476) (22 787 580) (15 051 822) (17 527 883) (18 361 334) (56 119 345) 6 035 498 92 567 794 62 687 605 77 587 337 82 081 158 79 281 983 0 0 0 0 0 0 4 671 022 69 780 214 47 635 783 60 059 454 63 719 824 23 162 638 Page 21
BNP Paribas L1 Financial statements at 31/12/2016 Safe Dynamic W4 Safe Dynamic W7 Safe Dynamic W10 Safe Neutral W1 Expressed in EUR EUR EUR EUR Notes Statement of net Assets 15 450 466 19 174 214 18 932 552 70 258 600 Securities portfolio at cost price 14 530 247 18 166 105 17 994 690 68 089 528 Unrealised gain/(loss) on securities portfolio 723 481 918 174 722 137 1 096 518 Securities portfolio at market value 2 15 253 728 19 084 279 18 716 827 69 186 046 Options at market value 2,13 0 0 0 0 Net Unrealised gain on financial instruments 2,10,11,12 0 0 0 0 Cash at banks and time deposits 196 333 89 740 38 467 1 070 027 Other 405 195 177 258 2 527 Liabilities 89 734 43 991 58 967 4 863 139 Options at market value 2,13 0 0 0 0 Bank overdrafts 0 0 0 0 Net Unrealised loss on financial instruments 2,10,11,12 2 396 3 140 3 374 6 908 Other liabilities 87 338 40 851 55 593 4 856 231 Net asset value 15 360 732 19 130 223 18 873 585 65 395 461 Statement of operations and changes in net Income on investments and 2 2 152 2 398 3 660 8 170 Management and advisory fees 3 207 694 247 890 273 500 864 033 Bank interest 657 398 614 1 780 Interest on swaps 0 0 0 0 Other fees 5 41 896 50 615 55 133 182 020 Taxes 6 5 876 6 873 8 243 27 220 Transaction fees 18 13 555 16 383 19 972 31 659 Distribution fees 4 1 589 8 812 2 195 9 781 Total expenses 271 267 330 971 359 657 1 116 493 Net result from investments (269 115) (328 573) (355 997) (1 108 323) Net realised result on: Investments securities 2 (178 181) (310 235) (698 615) (1 891 479) Financial instruments 68 548 80 955 91 102 215 641 Net realised result (378 748) (557 853) (963 510) (2 784 161) Movement on net unrealised gain/(loss) on: Investments securities 657 471 871 616 (14 242) 407 686 Financial instruments (2 396) (3 140) (3 374) (6 908) Change in net due to operations 276 327 310 623 (981 126) (2 383 383) Net subscriptions/(redemptions) (3 114 509) (4 411 955) (5 849 784) (20 234 320) Dividends paid 7 0 0 0 0 Increase/(Decrease) in net during the year/period (2 838 182) (4 101 332) (6 830 910) (22 617 703) Net at the beginning of the financial year/period 18 198 914 23 231 555 25 704 495 88 013 164 Reevaluation of opening consolidated NAV 0 0 0 0 Net at the end of the financial year/period 15 360 732 19 130 223 18 873 585 65 395 461 Page 22
BNP Paribas L1 Safe Neutral W4 Safe Neutral W7 Safe Neutral W10 SMaRT Food Sustainable Active Allocation Consolidated EUR EUR EUR EUR EUR EUR 47 236 235 62 927 099 61 470 475 93 661 118 651 283 748 10 145 036 222 45 098 417 60 138 178 58 377 493 86 936 495 625 102 432 9 243 021 504 1 440 031 1 749 920 1 495 778 5 681 430 13 380 013 629 373 119 46 538 448 61 888 098 59 873 271 92 617 925 638 482 445 9 872 394 623 0 0 0 0 0 93 308 0 0 0 0 0 4 247 153 149 154 195 223 650 582 1 812 8 267 950 215 457 917 548 633 843 778 946 622 1 041 381 4 533 353 52 843 221 208 504 359 934 266 323 1 077 691 1 618 966 175 553 349 0 0 0 0 0 107 393 0 0 0 0 0 36 101 8 215 10 975 9 104 0 0 6 762 381 200 289 348 959 257 219 1 077 691 1 618 966 168 647 474 47 027 731 62 567 165 61 204 152 92 583 427 649 664 782 9 969 482 873 5 292 7 828 8 674 209 5 090 613 200 690 444 614 748 725 274 777 777 1 058 811 8 375 308 78 668 452 1 869 1 816 2 047 32 14 577 377 064 0 0 0 0 0 4 261 266 129 326 157 175 164 918 54 987 1 974 013 25 794 452 15 638 17 044 21 149 14 713 405 866 4 960 001 28 617 38 772 44 852 0 228 7 376 268 6 842 12 621 9 584 0 179 031 1 499 300 797 040 952 702 1 020 327 1 128 543 10 949 023 122 936 803 (791 748) (944 874) (1 011 653) (1 128 334) (5 858 410) 77 753 641 (273 204) (723 650) (1 238 752) 147 860 13 487 014 19 894 710 220 759 249 407 297 433 0 (44 861) (120 047 617) (844 193) (1 419 117) (1 952 972) (980 474) 7 583 743 (22 399 266) 1 436 298 1 582 652 (397 917) 7 108 347 737 821 250 695 077 (8 215) (10 975) (9 104) 0 0 10 864 683 583 890 152 560 (2 359 993) 6 127 873 8 321 564 239 160 494 (14 862 174) (18 938 842) (18 305 621) 35 900 635 113 885 976 86 923 930 0 0 0 (2 080) (3 229 810) (77 314 919) (14 278 284) (18 786 282) (20 665 614) 42 026 428 118 977 730 248 769 505 61 306 015 81 353 447 81 869 766 50 556 999 530 687 052 9 676 450 751 0 0 0 0 0 44 262 617 47 027 731 62 567 165 61 204 152 92 583 427 649 664 782 9 969 482 873 Page 23
BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Bond Euro Corporate EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 20 753 319 63 532 941 124 322 498 Net asset value per share Share Classic - Capitalisation 107.15 106.66 109.84 680 219.230 Share Classic - Distribution 107.26 105.93 107.57 305 241.818 Share N - Capitalisation 0 96.97 99.35 168 811.353 Bond Euro High Yield EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 207 345 236 193 873 566 185 619 987 Net asset value per share Share Classic - Capitalisation 109.64 109.72 115.69 112 841.212 Share Classic - Distribution 87.13 82.22 82.38 2 078 188.831 Share N - Capitalisation 0 96.27 101.00 13 604.849 Bond Euro Premium EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 151 672 683 156 412 570 124 191 083 Net asset value per share Share Classic - Capitalisation 144.23 145.41 145.88 415 804.419 Share Classic - Distribution 105.10 105.65 105.98 553 333.973 Share I - Capitalisation 104.28 0 0 0 Share N - Capitalisation 104.14 104.42 104.13 8 020.141 Share Privilege - Capitalisation 106.30 107.52 108.19 24 083.054 Share Privilege - Distribution 105.09 105.98 106.64 13 583.000 Bond Europe Plus EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 598 144 159 569 970 758 436 565 960 Net asset value per share Share Classic - Capitalisation 435.28 440.54 426.69 518 311.189 Share Classic - Distribution 25.94 25.99 25.17 2 381 220.268 Share Classic New Distri - Distribution 25.94 26.00 25.18 1 793 341.378 Share I - Capitalisation 460.65 469.48 457.72 30 077.934 Share N - Capitalisation 144.28 145.29 140.02 162 869.855 Share Privilege - Capitalisation 117.42 119.26 115.92 635 965.982 Share Privilege - Distribution 114.41 115.07 110.09 141.000 Bond USA High Yield USD USD USD Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 7 044 336 6 855 509 0 Net asset value per share Share Classic - Capitalisation 98.95 93.76 0 0 Share Classic - Distribution 99.21 88.26 0 0 Share N - Capitalisation 0 91.74 0 0 Bond USD USD USD USD Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 5 094 271 9 728 333 0 Net asset value per share Share Classic - Capitalisation 103.98 102.81 0 0 Share Classic - Distribution 104.12 100.68 0 0 Share N - Capitalisation 0 96.38 0 0 Page 24
BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Bond World Emerging USD USD USD Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 612 600 1 266 818 0 Net asset value per share Share Classic - Capitalisation 103.60 99.70 0 0 Share Classic - Distribution 103.92 93.68 0 0 Share N - Capitalisation 0 93.34 0 0 Bond World Emerging Local USD USD USD Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 244 193 767 84 892 614 69 653 534 Net asset value per share Share Classic - Capitalisation 87.25 72.67 75.91 17 147.823 Share Classic - Distribution 83.72 65.10 64.02 1 065 356.771 Share N - Capitalisation 0 84.92 88.71 1 716.364 Bond World Plus EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 399 578 635 665 007 864 541 533 205 Net asset value per share Share Classic - Capitalisation 1 598.12 1 697.05 1 671.10 108 019.477 Share Classic - Distribution 372.50 386.45 373.47 96 573.556 Share Classic New Distri - Distribution 372.50 386.45 373.46 549 372.681 Share Classic RH USD - Capitalisation 115.20 121.04 120.25 2 772.883 Share Classic USD - Capitalisation 94.47 90.64 88.38 1.000 Share Classic USD - Distribution 94.47 88.45 84.41 1.000 Share I - Capitalisation 1 712.50 1 831.22 1 815.10 18 486.248 Share N - Capitalisation 103.31 109.15 106.95 180 470.784 Share Privilege - Distribution 95.93 99.88 96.86 11 238.946 Share X - Capitalisation 112.06 120.32 119.76 547 154.258 Convertible Bond Best Selection Europe EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 71 874 963 167 259 999 143 859 457 Net asset value per share Share Classic - Capitalisation 75.35 83.41 80.69 1 231 944.034 Share Classic - Distribution 51.76 56.34 53.73 44 912.602 Share I - Capitalisation 12 307.57 13 742.80 13 405.56 591.742 Share N - Capitalisation 101.41 111.57 107.29 202 615.918 Share Privilege - Capitalisation 112.15 124.81 121.42 101 872.585 Share Privilege - Distribution 108.95 0 0 0 Convertible Bond World EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 133 038 157 203 305 421 202 467 006 Net asset value per share Share Classic - Capitalisation 109.13 111.57 110.67 354 733.380 Share Classic - Distribution 123.09 124.25 121.92 1 312 951.758 Share N - Capitalisation 0 94.75 93.43 33 481.404 Page 25
BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Diversified Active Click Balanced EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 33 076 605 26 205 070 0 Net asset value per share Share Classic - Capitalisation 127.19 126.24 0 0 Diversified Active Click Stability EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 24 630 963 20 225 254 0 Net asset value per share Share Classic - Capitalisation 115.02 114.74 0 0 Share N - Capitalisation 107.05 106.01 0 0 Diversified World Balanced EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 309 943 082 306 065 994 242 443 389 Net asset value per share Share Classic - Capitalisation 185.27 191.99 197.75 565 927.280 Share Classic - Distribution 112.34 115.56 117.05 616 895.169 Share I - Capitalisation 208.30 218.29 227.30 10 587.110 Share N - Capitalisation 98.42 101.23 103.48 31 807.396 Share Privilege - Capitalisation 104.74 0 0 0 Share Privilege - Distribution 102.61 106.35 108.53 484 871.547 Diversified World Growth EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 146 544 695 159 137 180 109 904 343 Net asset value per share Share Classic - Capitalisation 191.01 199.15 205.02 421 649.375 Share Classic - Distribution 119.08 123.28 124.10 72 697.598 Share I - Capitalisation 215.27 227.01 236.27 5 161.593 Share N - Capitalisation 98.30 101.72 103.94 20 602.052 Share Privilege - Capitalisation 106.05 111.41 115.56 95 838.189 Share Privilege - Distribution 0 96.59 98.70 1.188 Diversified World Stability EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 97 196 590 97 879 111 80 038 715 Net asset value per share Share Classic - Capitalisation 182.92 186.64 189.74 251 858.354 Share Classic - Distribution 108.86 110.23 110.85 96 165.743 Share I - Capitalisation 206.08 212.76 218.80 50 131.628 Share N - Capitalisation 98.90 100.15 101.05 48 653.986 Share Privilege - Capitalisation 103.80 0 0 0 Share Privilege - Distribution 100.51 102.55 103.91 54 916.546 Equity Belgium EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 0 0 323 314 126 Net asset value per share Share Classic - Capitalisation 0 0 877.13 233 936.756 Share Classic - Distribution 0 0 353.94 153 275.987 Share X - Capitalisation 0 0 10 835.79 5 894.526 Page 26
BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Equity Euro EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 361 423 579 423 404 262 396 650 057 Net asset value per share Share Classic - Capitalisation 303.26 328.63 329.30 200 438.793 Share Classic - Distribution 183.63 193.64 187.77 76 614.252 Share I - Capitalisation 344.24 377.60 382.86 88 846.064 Share N - Capitalisation 100.50 108.07 107.48 66 907.937 Share Privilege - Capitalisation 121.09 132.21 133.48 107.000 Share X - Capitalisation 133.04 146.70 149.52 1 839 425.143 Equity Europe EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 895 914 794 909 625 997 1 115 113 137 Net asset value per share Share Classic - Capitalisation 523.50 557.98 30.81 13 438 208.661 Share Classic - Distribution 280.74 290.88 17.43 5 253 662.893 Share Classic USD - Capitalisation 633.55 606.21 585.00 6 449.298 Share I - Capitalisation 593.27 640.08 643.70 53 226.864 Share N - Capitalisation 173.80 183.86 181.37 30 942.182 Share Privilege - Capitalisation 117.61 126.30 126.48 4 730.203 Share Privilege - Distribution 114.14 119.16 115.12 393 727.400 Share X - Capitalisation 127.02 137.76 139.27 3 734 908.973 Equity Europe DEFI EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 0 0 8 055 281 Net asset value per share Share Classic - Capitalisation 0 0 104.56 1.000 Share I - Capitalisation 0 0 104.67 76 958.512 Equity Europe Low Volatility EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 0 128 835 872 374 651 018 Net asset value per share Share Classic - Capitalisation 0 96.21 93.97 3 950 361.529 Share I - Capitalisation 0 95.99 94.65 36 191.000 Share X - Capitalisation 0 96.23 0 0 Equity Italy EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 64 503 703 72 221 854 61 638 774 Net asset value per share Share Classic - Capitalisation 87.69 108.24 103.96 1.000 Share I - Capitalisation 88.14 108.59 104.09 12 499.466 Share N - Capitalisation 87.26 107.12 102.26 1.000 Share Privilege - Capitalisation 87.75 108.37 104.11 1.000 Share X - Capitalisation 88.29 109.68 106.06 568 880.716 Page 27
BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Equity Netherlands EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 385 043 951 411 796 631 407 309 359 Net asset value per share Share Classic - Capitalisation 897.50 1 045.77 1 121.73 11 131.337 Share Classic - Distribution 486.33 554.65 576.01 5 715.714 Share Privilege - Capitalisation 129.25 151.73 163.97 51.000 Share Privilege - Distribution 125.23 143.90 150.58 13 228.156 Share X - Capitalisation 130.63 154.95 169.14 2 302 985.128 Equity USA Core USD USD USD Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 1 439 310 686 1 286 411 314 1 227 958 409 Net asset value per share Share Classic - Capitalisation 151.96 150.16 159.76 222 595.071 Share Classic - Distribution 117.37 113.81 118.49 150 582.605 Share Classic EUR - Capitalisation 191.28 210.53 230.69 48 645.093 Share Classic EUR - Distribution 160.12 173.31 185.70 33 569.657 Share Classic H EUR - Capitalisation 0 104.60 109.78 33 729.731 Share I - Capitalisation 170.77 170.81 183.90 73 568.022 Share N - Capitalisation 100.70 98.76 104.28 39 050.121 Share Privilege - Distribution 126.59 123.69 129.75 37 688.866 Share X - Capitalisation 216.36 217.55 235.46 4 798 087.126 Equity World Aqua EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 218 635 813 282 726 529 386 627 569 Net asset value per share Share Classic - Capitalisation 131.74 148.15 165.89 1 711 529.230 Share Classic - Distribution 116.04 127.78 139.47 511 415.383 Share Classic USD - Capitalisation 104.12 105.11 114.28 65 731.325 Share Classic USD - Distribution 97.57 96.21 102.06 1 221.000 Share I - Capitalisation 134.49 0 0 0 Share Life - Capitalisation 110.61 124.90 141.48 170 623.885 Share Privilege - Capitalisation 129.76 0 0 0 Share Privilege GBP - Capitalisation 0 0 138.38 1.000 Share Privilege USD - Capitalisation 104.89 0 0 0 Share Privilege USD - Distribution 104.88 0 0 0 Equity World Emerging USD USD USD Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 45 428 763 35 709 012 36 544 981 Net asset value per share Share Classic - Capitalisation 101.80 87.14 94.82 86 350.136 Share Classic - Distribution 369.44 307.38 325.76 86 349.561 Share N - Capitalisation 0 79.48 85.84 2 656.671 Page 28
BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Equity World Guru USD USD USD Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 141 981 907 182 584 771 173 206 487 Net asset value per share Share Classic - Capitalisation 100.14 93.99 90.59 4 181.105 Share Classic - Distribution 100.14 91.83 86.13 3 848.058 Share Classic EUR - Capitalisation 223.81 234.01 232.29 375 101.833 Share Classic EUR - Distribution 144.44 147.93 142.76 277 383.327 Share I EUR - Capitalisation 253.82 268.22 269.00 124 926.121 Share Life EUR - Capitalisation 118.54 124.07 0 0 Share N - Capitalisation 0 89.61 86.95 1.000 Share Privilege EUR - Capitalisation 122.04 127.68 128.21 1.000 Share Privilege EUR - Distribution 119.94 123.69 120.21 26 685.977 Equity World Quality Focus EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 182 760 028 164 442 267 161 400 459 Net asset value per share Share Classic - Capitalisation 135.37 142.04 148.36 726 023.236 Share Classic - Distribution 105.73 108.69 110.53 396 544.082 Share Classic HUF - Capitalisation 113.67 142.20 135.90 1.000 Share I - Capitalisation 149.68 158.68 167.30 2 340.816 Share Life - Capitalisation 144.69 152.08 0 0 Share N - Capitalisation 126.99 132.25 137.11 8 141.549 Share Privilege - Capitalisation 124.55 131.68 138.57 60 246.746 Share Privilege - Distribution 121.08 126.09 130.05 1.000 Share X - Capitalisation 103.58 0 0 0 Japan JPY JPY JPY Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 0 0 3 570 258 200 Net asset value per share Share Classic - Capitalisation 0 0 1 278.00 54 588.523 Share Classic EUR - Capitalisation 0 0 113.45 110 217.527 Share I - Capitalisation 0 0 10 472.00 187 385.200 Lifecycle 2020 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 10 397 418 9 584 441 0 Net asset value per share Share Classic - Capitalisation 62.72 64.42 0 0 Share Privilege - Capitalisation 113.84 117.38 0 0 Lifecycle 2025 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 8 555 487 6 859 273 0 Net asset value per share Share Classic - Capitalisation 63.13 65.68 0 0 Share Privilege - Capitalisation 117.54 122.98 0 0 Page 29
BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Lifecycle 2030 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 6 717 716 4 821 152 0 Net asset value per share Share Classic - Capitalisation 63.97 67.24 0 0 Share Privilege - Capitalisation 118.63 125.52 0 0 Lifecycle 2035 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 7 670 924 4 310 883 0 Net asset value per share Share Classic - Capitalisation 64.02 67.34 0 0 Share Privilege - Capitalisation 118.84 125.83 0 0 Multi-Asset Income EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 491 266 335 1 700 064 846 1 725 748 264 Net asset value per share Share Classic - Capitalisation 102.13 101.05 103.25 5 294 957.342 Share Classic - Distribution 102.13 97.25 95.38 8 849 091.811 Share Classic MD - Distribution 102.15 97.11 95.03 375 361.762 Share Classic RH AUD MD - Distribution 0 99.97 98.48 9 768.474 Share Classic RH CNH MD - Distribution 0 106.68 105.65 1 010.000 Share Classic RH HKD MD - Distribution 0 100.83 99.53 29 823.458 Share Classic RH SGD MD - Distribution 0 101.34 100.56 17 875.000 Share Classic RH USD - Capitalisation 0 93.82 96.95 51 120.000 Share Classic RH USD - Distribution 0 93.45 92.87 300.000 Share Classic RH USD MD - Distribution 0 100.94 99.87 62 258.845 Share I - Capitalisation 102.55 102.25 105.23 446 408.828 Share I - Distribution 0 94.56 93.52 1.000 Share N - Capitalisation 102.01 100.17 101.59 678 412.717 Share Privilege - Capitalisation 102.54 102.27 105.30 14 721.308 Share Privilege - Distribution 48.22 46.28 45.75 3 696 564.301 Share X - Capitalisation 102.56 102.45 105.41 1.000 Opportunities World EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 1 806 469 10 472 096 0 Net asset value per share Share Classic - Capitalisation 120.90 129.98 0 0 Share Classic - Distribution 121.19 127.69 0 0 Share N - Capitalisation 0 85.45 0 0 Patrimoine EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 0 54 205 737 44 878 739 Net asset value per share Share Classic - Capitalisation 0 109.09 111.40 326 975.973 Share Classic - Distribution 0 94.55 96.56 47 721.620 Share I - Capitalisation 0 114 268.17 117 353.41 26.426 Share N - Capitalisation 0 94.59 96.57 0.956 Share Privilege - Capitalisation 0 916.71 939.89 791.626 Share Privilege - Distribution 0 94.84 97.38 0.949 Page 30
BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Real Estate Securities World EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 511 848 3 990 336 0 Net asset value per share Share Classic - Capitalisation 124.42 132.11 0 0 Share Classic - Distribution 124.65 128.68 0 0 Share N - Capitalisation 0 102.00 0 0 Safe Aggressive W1 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 2 794 769 2 262 950 1 281 891 Net asset value per share Share Classic - Distribution 110.56 113.85 108.93 11 768.227 Safe Aggressive W4 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 627 159 635 911 550 596 Net asset value per share Share Classic - Distribution 115.58 115.83 120.13 4 583.435 Safe Aggressive W7 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 1 590 834 1 467 273 1 078 937 Net asset value per share Share Classic - Distribution 92.14 92.55 93.24 11 572.012 Safe Aggressive W10 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 2 238 105 1 899 354 1 154 798 Net asset value per share Share Classic - Distribution 104.88 108.36 111.22 10 382.607 Safe Conservative W1 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 7 632 743 6 397 686 4 858 429 Net asset value per share Share Classic - Distribution 106.48 104.60 104.59 46 453.014 Share I - Capitalisation 101.92 0 0 0 Safe Conservative W4 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 3 330 980 2 680 194 2 025 095 Net asset value per share Share Classic - Distribution 105.65 104.95 104.58 19 363.911 Page 31
BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Safe Conservative W7 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 5 089 751 3 960 429 3 223 787 Net asset value per share Share Classic - Distribution 101.09 99.29 99.79 32 305.481 Safe Conservative W10 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 9 493 567 6 035 498 4 671 022 Net asset value per share Share Classic - Distribution 97.82 96.16 97.21 48 052.783 Safe Defensive W1 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 132 421 432 92 567 794 69 780 214 Net asset value per share Share Classic - Capitalisation 101.65 99.65 0 0 Share Classic - Distribution 119.51 115.79 114.14 347 259.601 Share Life - Capitalisation 105.29 102.23 101.73 296 309.136 Safe Defensive W4 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 88 314 792 62 687 605 47 635 783 Net asset value per share Share Classic - Capitalisation 100.51 98.88 98.73 39 119.387 Share Classic - Distribution 111.27 109.47 109.30 225 195.592 Share I - Capitalisation 100.51 99.90 100.89 1.144 Share Life - Capitalisation 101.74 100.32 101.11 189 500.912 Safe Defensive W7 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 116 377 422 77 587 337 60 059 454 Net asset value per share Share Classic - Capitalisation 101.99 99.47 0 0 Share Classic - Distribution 112.57 108.48 107.53 208 496.629 Share Life - Capitalisation 114.75 110.83 110.90 339 424.465 Safe Defensive W10 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 117 686 873 82 081 158 63 719 824 Net asset value per share Share Classic - Capitalisation 101.77 100.74 0 0 Share Classic - Distribution 106.43 104.07 103.03 342 001.887 Share Life - Capitalisation 108.46 106.32 106.26 268 057.056 Share Privilege - Capitalisation 101.68 0 0 0 Page 32
BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Safe Dynamic W1 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 90 446 959 79 281 983 23 162 638 Net asset value per share Share Classic - Capitalisation 105.24 102.64 0 0 Share Classic - Distribution 162.93 157.35 150.60 104 819.813 Share I - Capitalisation 105.35 102.86 99.46 49.790 Share Life - Capitalisation 124.78 120.81 116.80 59 232.848 Share N - Capitalisation 0 87.12 82.76 5 475.636 Safe Dynamic W4 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 24 124 942 18 198 914 15 360 732 Net asset value per share Share Classic - Capitalisation 104.77 102.95 0 0 Share Classic - Distribution 135.90 132.39 135.02 75 894.909 Share Life - Capitalisation 108.98 106.41 109.60 46 652.918 Safe Dynamic W7 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 27 657 569 23 231 555 19 130 223 Net asset value per share Share Classic - Capitalisation 104.18 100.24 102.04 20 786.518 Share Classic - Distribution 131.08 126.13 128.39 62 892.810 Share Life - Capitalisation 133.70 128.94 132.55 60 318.930 Share N - Capitalisation 0 86.88 87.77 10 697.313 Safe Dynamic W10 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 37 079 323 25 704 495 18 873 585 Net asset value per share Share Classic - Capitalisation 104.77 105.66 0 0 Share Classic - Distribution 144.60 144.34 139.69 88 388.400 Share Life - Capitalisation 147.50 147.55 144.22 45 257.146 Safe Neutral W1 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 121 223 278 88 013 164 65 395 461 Net asset value per share Share Classic - Capitalisation 102.97 98.91 96.17 877.000 Share Classic - Distribution 141.82 136.21 132.44 285 275.643 Share I - Capitalisation 113.41 0 0 0 Share Life - Capitalisation 116.29 111.94 109.89 250 504.552 Safe Neutral W4 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 86 805 174 61 306 015 47 027 731 Net asset value per share Share Classic - Capitalisation 102.45 101.96 0 0 Share Classic - Distribution 125.33 123.20 124.75 223 362.547 Share I - Capitalisation 106.12 0 0 0 Share Life - Capitalisation 107.71 106.11 108.49 176 632.591 Page 33
BNP Paribas L1 Key figures relating to the last 3 years (Note 8) Safe Neutral W7 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 115 476 739 81 353 447 62 567 165 Net asset value per share Share Classic - Capitalisation 103.50 100.76 0 0 Share Classic - Distribution 124.30 119.80 120.14 211 334.456 Share I - Capitalisation 112.83 0 0 0 Share Life - Capitalisation 126.78 122.46 124.00 299 816.227 Safe Neutral W10 EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 111 524 975 81 869 766 61 204 152 Net asset value per share Share Classic - Capitalisation 103.46 103.56 0 0 Share Classic - Distribution 122.93 121.94 118.59 278 285.900 Share Life - Capitalisation 125.21 124.47 122.23 230 731.047 SMaRT Food EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 0 50 556 999 92 583 427 Net asset value per share Share Classic - Capitalisation 0 91.31 100.66 904 963.639 Share Classic - Distribution 0 92.18 99.08 15 043.401 Sustainable Active Allocation EUR EUR EUR Number of shares 31/12/2014 31/12/2015 31/12/2016 31/12/2016 Net 316 534 796 530 687 052 649 664 782 Net asset value per share Share Classic - Capitalisation 399.97 412.93 419.30 673 737.435 Share Classic - Distribution 230.21 235.90 236.37 658 217.066 Share Classic Solidarity - Capitalisation 103.25 106.60 108.24 537 424.754 Share Classic Solidarity - Distribution 103.25 105.78 105.99 953 563.287 Share I - Capitalisation 109.91 114.64 117.76 139 324.802 Share N - Capitalisation 102.74 105.27 106.09 276 194.253 Share Privilege - Capitalisation 112.60 117.12 119.81 55 335.615 Page 34
BNP Paribas L1 Bond Euro Corporate Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market 119 805 003 96.37 Bonds 103 729 092 83.47 France 31 111 937 25.08 ACCOR 2.625% 14-05/02/2021 EUR 108 227 0.09 AIR LIQUIDE FIN 0.375% 16-18/04/2022 EUR 100 445 0.08 APRR 1.250% 16-06/01/2027 EUR 300 531 0.24 ARKEMA 1.500% 15-20/01/2025 EUR 103 312 0.08 AUTOROUTES DU SUD 1.000% 16-13/05/2026 EUR 99 181 0.08 AUTOROUTES DU SUD 4.125% 10-13/04/2020 EUR 339 429 0.27 AUTOROUTES PARIS 1.125% 14-15/01/2021 EUR 103 276 0.08 AUTOROUTES PARIS 1.125% 16-09/01/2026 EUR 200 328 0.16 AUTOROUTES PARIS 1.500% 15-500 000 15/01/2024 EUR 523 620 0.42 290 000 AXA SA 1.125% 16-15/05/2028 EUR 287 886 0.23 BANQUE FED CREDIT MUTUEL 0.250% 16-14/06/2019 EUR 201 094 0.16 BANQUE FED CREDIT MUTUEL 1.625% 13-11/01/2018 EUR 203 328 0.16 BANQUE FED CREDIT MUTUEL 500 000 1.875% 16-04/11/2026 EUR 480 630 0.39 BANQUE FED CREDIT MUTUEL 2.000% 13-19/09/2019 EUR 210 656 0.17 BANQUE FED CREDIT MUTUEL 400 000 2.375% 16-24/03/2026 EUR 404 824 0.33 BANQUE FED CREDIT MUTUEL 3.000% 14-21/05/2024 EUR 108 188 0.09 BANQUE FED CREDIT MUTUEL 4.000% 10-22/10/2020 EUR 113 373 0.09 220 000 BNP PARIBAS 0.750% 16-11/11/2022 EUR 221 637 0.18 BNP PARIBAS 1.125% 16-15/01/2023 EUR 205 804 0.17 BNP PARIBAS 1.500% 13-12/03/2018 EUR 203 566 0.16 160 000 BNP PARIBAS 2.250% 16-11/01/2027 EUR 155 475 0.13 BNP PARIBAS 2.375% 15-17/02/2025 EUR 101 170 0.08 BNP PARIBAS 2.750% 15-27/01/2026 EUR 103 087 0.08 BNP PARIBAS 2.875% 12-27/11/2017 EUR 205 516 0.17 BNP PARIBAS 3.750% 10-25/11/2020 EUR 113 961 0.09 BOUYGUES 1.375% 16-07/06/2027 EUR 198 586 0.16 1 000 000 BPCE 0.375% 16-05/10/2023 EUR 978 090 0.80 BPCE 2.875% 16-22/04/2026 EUR 102 695 0.08 BUREAU VERITAS 1.250% 16-07/09/2023 EUR 99 546 0.08 CAP GEMINI SA 1.750% 15-01/07/2020 EUR 313 938 0.25 CARMILA 2.375% 15-18/09/2023 EUR 106 655 0.09 CARMILA 2.375% 16-16/09/2024 EUR 105 413 0.08 170 000 CARREFOUR SA 0.750% 16-26/04/2024 EUR 168 322 0.14 CARREFOUR SA 1.750% 13-22/05/2019 EUR 104 143 0.08 CARREFOUR SA 1.750% 14-15/07/2022 EUR 106 226 0.09 CARREFOUR SA 4.000% 10-09/04/2020 EUR 112 461 0.09 CASINO GUICHARD 4.481% 10-500 000 12/11/2018 EUR 550 000 0.44 CASINO GUICHARD 5.976% 11-26/05/2021 EUR 116 500 0.09 CFCM NORD EUROPE 2.125% 16-400 000 12/09/2026 EUR 384 740 0.31 CIE DE ST GOBAIN 0.000% 16-600 000 27/03/2020 EUR 597 384 0.48 CNP ASSURANCES 1.875% 16-400 000 20/10/2022 EUR 405 880 0.33 COFACE 4.125% 14-27/03/2024 EUR 106 348 0.09 800 000 COFIROUTE 0.375% 16-07/02/2025 EUR 766 296 0.63 CREDIT AGRICOLE SA 0.875% 15-19/01/2022 EUR 102 267 0.08 CREDIT AGRICOLE SA 2.625% 15-17/03/2027 EUR 204 486 0.16 CROWN EUROPEAN 2.625% 16-190 000 30/09/2024 EUR 186 200 0.15 600 000 DANONE 0.424% 16-03/11/2022 EUR 597 786 0.48 ELEC DE FRANCE 1.000% 16-1 13/10/2026 EUR 1 057 583 0.86 ENGIE 2.250% 12-01/06/2018 EUR 103 236 0.08 EUTELSAT SA 2.625% 13-13/01/2020 EUR 106 194 0.09 400 000 FAURECIA 3.625% 16-15/06/2023 EUR 414 960 0.33 FONCIERE DES REGIONS 1.875% 16-20/05/2026 EUR 101 302 0.08 GDF SUEZ 6.875% 08-24/01/2019 EUR 114 484 0.09 800 000 GECINA 1.000% 16-30/01/2029 EUR 745 800 0.60 GECINA 2.000% 15-17/06/2024 EUR 107 632 0.09 HIT FINANCE BV 5.750% 11-09/03/2018 EUR 106 664 0.09 HOLDING DINFRA 2.250% 14-24/03/2025 EUR 218 020 0.18 HSBC FRANCE 0.625% 15-03/12/2020 EUR 203 980 0.16 400 000 ICADE 1.125% 16-17/11/2025 EUR 387 632 0.31 ICADE 1.875% 15-14/09/2022 EUR 105 812 0.09 JCDECAUX SA 1.000% 16-01/06/2023 EUR 101 717 0.08 KERING 0.875% 15-28/03/2022 EUR 203 344 0.16 KERING 1.250% 16-10/05/2026 EUR 199 292 0.16 KLEPIERRE 1.000% 15-17/04/2023 EUR 204 238 0.16 500 000 KLEPIERRE 1.250% 16-29/09/2031 EUR 466 220 0.38 KLEPIERRE 1.875% 16-19/02/2026 EUR 211 758 0.17 400 000 KLEPIERRE 4.000% 10-13/04/2017 EUR 404 536 0.33 LABEYRIE 5.625% 14-15/03/2021 EUR 103 000 0.08 LOXAM SAS 7.000% 14-23/07/2022 EUR 106 750 0.09 MERCIALYS 1.787% 14-31/03/2023 EUR 101 724 0.08 NUMERICABLE 5.375% 14-15/05/2022 EUR 104 750 0.08 NUMERICABLE 5.625% 14-15/05/2024 EUR 211 250 0.17 400 000 ORANGE 0.875% 16-03/02/2027 EUR 388 116 0.31 ORANGE 1.000% 16-12/05/2025 EUR 200 198 0.16 ORANGE 3.125% 13-09/01/2024 EUR 116 352 0.09 PERNOD RICARD SA 1.500% 16-18/05/2026 EUR 203 298 0.16 PERNOD-RICARD SA 2.125% 14-27/09/2024 EUR 108 056 0.09 600 000 PEUGEOT 2.375% 16-14/04/2023 EUR 630 000 0.51 400 000 PEUGEOT 6.500% 13-18/01/2019 EUR 451 828 0.36 PEUGEOT 7.375% 13-06/03/2018 EUR 108 375 0.09 PUBLICIS GROUPE 1.125% 14-16/12/2021 EUR 206 456 0.17 910 000 RCI BANQUE 0.500% 16-15/09/2023 EUR 878 532 0.72 RCI BANQUE 0.625% 15-04/03/2020 EUR 302 553 0.24 250 000 RCI BANQUE 0.625% 16-10/11/2021 EUR 250 065 0.20 RENAULT 3.125% 14-05/03/2021 EUR 332 454 0.27 RENAULT 5.625% 10-22/03/2017 EUR 101 216 0.08 REXEL SA 3.250% 15-15/06/2022 EUR 104 250 0.08 RTE RESEAU DE TR 1.000% 16-19/10/2026 EUR 99 184 0.08 400 000 SAN 0.950% 16-19/10/2028 EUR 382 428 0.31 SANEF 1.875% 15-16/03/2026 EUR 214 834 0.17 700 000 SANOFI 0.000% 16-13/09/2022 EUR 683 067 0.55 SANOFI 0.625% 16-05/04/2024 EUR 99 532 0.08 SCHNEIDER ELEC 0.250% 16-1 09/09/2024 EUR 1 251 990 1.02 SOCIETE FONCIERE 2.250% 15-16/11/2022 EUR 106 864 0.09 SOCIETE GENERALE 0.125% 16-1 000 000 05/10/2021 EUR 993 110 0.81 SOCIETE GENERALE 0.750% 16-19/02/2021 EUR 101 979 0.08 SOCIETE GENERALE 0.750% 16-26/05/2023 EUR 201 236 0.16 SOCIETE GENERALE 1.000% 16-01/04/2022 EUR 301 272 0.24 SOCIETE GENERALE 2.625% 15-27/02/2025 EUR 102 591 0.08 SOCIETE GENERALE 6.125% 08-400 000 20/08/2018 EUR 438 744 0.35 TDF INFRASTRUCTU 2.500% 16-07/04/2026 EUR 204 386 0.16 TEREOS FIN GROUP 4.125% 16-16/06/2023 EUR 308 625 0.25 TEREOS FIN GROUP 4.250% 13-04/03/2020 EUR 106 000 0.09 Page 35
BNP Paribas L1 Bond Euro Corporate Expressed in EUR THALES SA 0.750% 16-07/06/2023 EUR 302 796 0.24 TOTAL CAPITAL 0.250% 16-12/07/2023 EUR 296 604 0.24 TRANSPORT ET INF 2.200% 15-05/08/2025 EUR 106 994 0.09 UNIBAIL-RODAMCO 0.875% 16-290 000 21/02/2025 EUR 288 686 0.23 UNIBAIL-RODAMCO 1.125% 16-190 000 28/04/2027 EUR 188 075 0.15 VALEO SA 1.625% 16-18/03/2026 EUR 102 908 0.08 VALEO SA 3.250% 14-22/01/2024 EUR 116 870 0.09 VEOLIA ENVIRONNEMENT 0.314% 900 000 16-04/10/2023 EUR 875 520 0.71 VEOLIA ENVIRONNEMENT 1.590% 15-10/01/2028 EUR 102 889 0.08 VEOLIA ENVIRONNEMENT 6.750% 09-24/04/2019 EUR 347 475 0.28 400 000 WENDEL SA 1.000% 16-20/04/2023 EUR 392 252 0.32 WENDEL SA 2.500% 15-09/02/2027 EUR 102 265 0.08 WENDEL SA 2.750% 14-02/10/2024 EUR 106 628 0.09 The Netherlands 19 968 592 16.07 ABB FINANCE BV 0.625% 16-220 000 03/05/2023 EUR 222 526 0.18 ABN AMRO BANK NV 6.375% 11-27/04/2021 EUR 122 955 0.10 ABN AMRO BANK NV 7.125% 12-06/07/2022 EUR 382 947 0.31 ADECCO INT FIN 1.000% 16-02/12/2024 EUR 298 689 0.24 ADRIA BIDCO BV 7.875% 13-15/11/2020 EUR 104 750 0.08 370 000 AEGON NV 1.000% 16-08/12/2023 EUR 372 764 0.30 AIRBUS GROUP FINANCE BV 0.875% 140 000 16-13/05/2026 EUR 139 404 0.11 AIRBUS GROUP FINANCE BV 1.375% 190 000 16-13/05/2031 EUR 190 040 0.15 AKZO NOBEL NV 1.125% 16-08/04/2026 EUR 100 918 0.08 ALLIANZ FINANCE 0.000% 16-21/04/2020 EUR 99 949 0.08 AMADEUS FINANCE 0.625% 14-02/12/2017 EUR 100 587 0.08 ASML HOLDING NV 0.625% 16-07/07/2022 EUR 100 194 0.08 ASML HOLDING NV 1.625% 16-260 000 28/05/2027 EUR 261 817 0.21 BASF FIN EUROPNV 0.000% 16-720 000 10/11/2020 EUR 720 000 0.58 BMW FINANCE NV 0.875% 15-17/11/2020 EUR 206 086 0.17 BMW FINANCE NV 1.000% 16-1 240 000 15/02/2022 EUR 1 284 217 1.04 BUNGE FINANCE EU 1.850% 16-140 000 16/06/2023 EUR 144 186 0.12 COCA-COLA HBC BV 1.875% 16-120 000 11/11/2024 EUR 126 611 0.10 DEUTSCHE ANN FIN 3.125% 13-25/07/2019 EUR 215 030 0.17 DEUTSCHE BAHN FIN 0.875% 16-250 000 11/07/2031 EUR 237 265 0.19 DEUTSCHE TEL FIN 0.250% 16-400 000 19/04/2021 EUR 400 932 0.32 DEUTSCHE TEL FIN 0.625% 16-230 000 03/04/2023 EUR 231 332 0.19 DSM NV 0.750% 16-28/09/2026 EUR 292 641 0.24 EDP FINANCE BV 1.125% 16-510 000 12/02/2024 EUR 483 863 0.39 EDP FINANCE BV 2.375% 16-560 000 23/03/2023 EUR 578 900 0.47 EDP FINANCE BV 2.625% 14-15/04/2019 EUR 209 500 0.17 EDP FINANCE BV 4.875% 13-14/09/2020 EUR 114 250 0.09 ENEL FINANCE INTL NV 3.625% 12-17/04/2018 EUR 104 568 0.08 ENEL FINANCE INTL NV 5.000% 09-14/09/2022 EUR 250 502 0.20 GAS NAT FENOSA F 1.250% 16-500 000 19/04/2026 EUR 501 520 0.40 GEN MOTORS FIN 1.168% 16-18/05/2020 EUR 101 625 0.08 390 000 HEINEKEN NV 1.000% 16-04/05/2026 EUR 384 782 0.31 HEINEKEN NV 1.250% 15-10/09/2021 EUR 104 290 0.08 IBERDROLA INTL 0.375% 16-1 600 000 15/09/2025 EUR 1 510 671 1.23 IBERDROLA INTL 1.125% 16-21/04/2026 EUR 99 709 0.08 IBERDROLA INTL 1.750% 15-17/09/2023 EUR 106 268 0.09 IBERDROLA INTL 1.875% 14-08/10/2024 EUR 107 155 0.09 IHO VERWALTUNGS 2.750% 16-580 000 15/09/2021 EUR 597 400 0.48 700 000 ING BANK NV 0.750% 16-22/02/2021 EUR 715 246 0.58 KONINKLIJKE KPN 0.625% 16-600 000 09/04/2025 EUR 573 990 0.46 LEASEPLAN CORP 1.000% 16-24/05/2021 EUR 101 090 0.08 LGE HOLDCO VI 7.125% 14-15/05/2024 EUR 227 000 0.18 LINDE FINANCE BV 1.000% 16-700 000 20/04/2028 EUR 698 425 0.56 NEDERLANDSE GASU 1.000% 16-130 000 11/05/2026 EUR 131 953 0.11 NN GROUP NV 1.000% 15-18/03/2022 EUR 203 878 0.16 RABOBANK 1.750% 14-22/01/2019 EUR 311 100 0.25 RABOBANK 3.375% 10-21/04/2017 EUR 303 207 0.24 RABOBANK 3.875% 13-25/07/2023 EUR 114 857 0.09 1 RABOBANK 4.125% 10-14/01/2020 EUR 1 236 883 1.00 REN FINANCE BV 1.750% 16-190 000 01/06/2023 EUR 194 340 0.16 REN FINANCE BV 2.500% 15-12/02/2025 EUR 104 251 0.08 REN FINANCE BV 4.750% 13-16/10/2020 EUR 115 001 0.09 REPSOL INTL FIN 2.625% 13-28/05/2020 EUR 107 929 0.09 ROCHE FINANCE EU 0.500% 16-27/02/2023 EUR 202 834 0.16 SAIPEM FIN INTL 3.000% 16-170 000 08/03/2021 EUR 175 738 0.14 240 000 SHELL INTL FIN 0.750% 16-12/05/2024 EUR 241 380 0.19 SHELL INTL FIN BV 4.375% 09-14/05/2018 EUR 212 206 0.17 400 000 SIEMENS FINAN 1.700% 16-15/09/2021 USD 363 631 0.29 TEVA PHARMACEUT FNC 1.250% 15-31/03/2023 EUR 99 631 0.08 VOLKSWAGEN INTFN 3.250% 12-21/01/2019 EUR 212 776 0.17 VONOVIA BV 0.875% 16-10/06/2022 EUR 100 590 0.08 700 000 VONOVIA BV 1.250% 16-06/12/2024 EUR 696 395 0.56 VONOVIA BV 1.625% 15-15/12/2020 EUR 104 430 0.08 ZIGGO SECURED FI 4.250% 16-810 000 15/01/2027 EUR 808 988 0.66 United States of America 8 849 367 7.13 305 000 ABBVIE INC 0.375% 16-18/11/2019 EUR 307 047 0.25 AMERICAN EXPRESS 0.625% 16-290 000 22/11/2021 EUR 292 651 0.24 BALL CORP 4.375% 15-15/12/2023 EUR 110 625 0.09 BANK OF AMERICA CORP 0.750% 16-390 000 26/07/2023 EUR 384 610 0.31 CATALENT PHARMA 4.750% 16-125 000 15/12/2024 EUR 131 875 0.11 757 000 CITIGROUP INC 0.750% 16-26/10/2023 EUR 742 541 0.60 CONTL RUBBER 0.500% 15-19/02/2019 EUR 303 015 0.24 160 000 ECOLAB INC 1.000% 16-15/01/2024 EUR 160 624 0.13 EXPEDIA INC 2.500% 15-03/06/2022 EUR 104 443 0.08 FEDEX CORP 1.000% 16-11/01/2023 EUR 101 321 0.08 GEN MOTORS FIN 0.955% 16-730 000 07/09/2023 EUR 708 100 0.57 GOLDMAN SACHS GP 1.250% 16-360 000 01/05/2025 EUR 354 334 0.29 GOLDMAN SACHS GP 1.625% 16-350 000 27/07/2026 EUR 346 801 0.28 GOLDMAN SACHS GP 2.125% 14-30/09/2024 EUR 211 512 0.17 IBM CORP 0.500% 16-07/09/2021 EUR 304 755 0.25 JP MORGAN CHASE 0.625% 16-170 000 25/01/2024 EUR 166 105 0.13 JP MORGAN CHASE 1.500% 15-26/10/2022 EUR 209 538 0.17 Page 36
BNP Paribas L1 Bond Euro Corporate Expressed in EUR JP MORGAN CHASE 1.500% 16-29/10/2026 EUR 203 564 0.16 JP MORGAN CHASE 1.875% 12-21/11/2019 EUR 210 930 0.17 JP MORGAN CHASE 2.625% 13-23/04/2021 EUR 329 889 0.27 130 000 KELLOGG CO 1.000% 16-17/05/2024 EUR 129 407 0.10 KLOECKNER PENTAPLAST 7.125% 15-01/05/2020 EUR 105 027 0.08 MCDONALDS CORP 1.000% 16-15/11/2023 EUR 101 223 0.08 MORGAN STANLEY 1.000% 16-270 000 02/12/2022 EUR 272 627 0.22 MORGAN STANLEY 1.375% 16-367 000 27/10/2026 EUR 357 675 0.29 MORGAN STANLEY 1.750% 16-11/03/2024 EUR 104 248 0.08 MORGAN STANLEY 6.500% 08-28/12/2018 EUR 338 211 0.27 MYLAN NV 1.250% 16-23/11/2020 EUR 203 666 0.16 400 000 THERMO FISHER 0.750% 16-12/09/2024 EUR 387 476 0.31 VERIZON COMMUNICATIONS INC 770 000 0.500% 16-02/06/2022 EUR 769 430 0.63 WELLS FARGO & CO 1.125% 14-29/10/2021 EUR 206 694 0.17 WELLS FARGO & CO 1.375% 16-190 000 26/10/2026 EUR 189 403 0.15 Spain 8 615 973 6.91 ABERTIS 1.375% 16-20/05/2026 EUR 300 639 0.24 ABERTIS 2.500% 14-27/02/2025 EUR 110 917 0.09 ABERTIS 3.750% 13-20/06/2023 EUR 118 594 0.10 ABERTIS 5.125% 07-12/06/2017 EUR 204 618 0.16 AMADEUS CAP MKT 0.125% 16-06/10/2020 EUR 199 538 0.16 BANKINTER SA 1.750% 14-10/06/2019 EUR 103 990 0.08 BBVA SENIOR FIN 3.750% 13-17/01/2018 EUR 311 817 0.25 BPE FINANCIACION 2.000% 15-400 000 03/02/2020 EUR 400 000 0.32 CELLNEX TELECOM 2.375% 16-16/01/2024 EUR 99 000 0.08 CELLNEX TELECOM 3.125% 15-27/07/2022 EUR 316 500 0.25 ENAGAS FIN SA 1.375% 16-05/05/2028 EUR 299 589 0.24 ENAGAS FIN SA 2.500% 14-11/04/2022 EUR 110 809 0.09 FERROVIAL EMISIO 0.375% 16-500 000 14/09/2022 EUR 487 070 0.39 FERROVIAL EMISIO 3.375% 13-07/06/2021 EUR 112 149 0.09 FERROVIAL EMISIO 3.375% 13-30/01/2018 EUR 103 522 0.08 GAS NATURAL CAP 4.125% 10-26/01/2018 EUR 312 954 0.25 GAS NATURAL CAP 5.125% 09-02/11/2021 EUR 245 284 0.20 GAS NATURAL CAP 5.375% 11-24/05/2019 EUR 112 599 0.09 GAS NATURAL CAP 6.375% 09-09/07/2019 EUR 115 760 0.09 IBERDROLA FIN SA 1.000% 16-400 000 07/03/2024 EUR 404 524 0.33 500 000 MAPFRE 1.625% 16-19/05/2026 EUR 499 405 0.40 MERLIN PROPERTIES 1.875% 16-634 000 02/11/2026 EUR 606 548 0.49 RED ELECTRICA FI 1.000% 16-21/04/2026 EUR 99 577 0.08 RED ELECTRICA FI 1.125% 15-24/04/2025 EUR 102 026 0.08 RED ELECTRICA FI 2.125% 14-01/07/2023 EUR 109 767 0.09 SANTANDER CONS FIN 0.750% 16-03/04/2019 EUR 101 188 0.08 SANTANDER CONS FIN 1.000% 16-26/05/2021 EUR 202 728 0.16 SANTANDER CONS FIN 1.100% 15-29/07/2018 EUR 101 654 0.08 SANTANDER INTL 1.375% 14-25/03/2017 EUR 100 331 0.08 SANTANDER INTL 1.375% 16-03/03/2021 EUR 104 025 0.08 SANTANDER INTL 4.000% 13-24/01/2020 EUR 111 398 0.09 SANTANDER ISSUAN 3.250% 16-04/04/2026 TELEFONICA EMIS 0.318% 16-17/10/2020 TELEFONICA EMIS 0.750% 16-1 000 000 13/04/2022 TELEFONICA EMIS 1.460% 16-13/04/2026 TELEFONICA EMIS 1.477% 15-14/09/2021 EUR 203 712 0.16 EUR 198 892 0.16 EUR 997 820 0.81 EUR 295 770 0.24 EUR 311 259 0.25 United Kingdom 8 350 756 6.72 ANGLO AMERICAN 1.750% 13-20/11/2017 EUR 101 250 0.08 ANGLO AMERICAN 1.750% 14-03/04/2018 EUR 101 375 0.08 AVIS BUDGET FINA 6.000% 13-01/03/2021 EUR 40 347 0.03 248 000 AVIVA PLC 0.625% 16-27/10/2023 EUR 243 357 0.20 BARCLAYS BANK PLC 1.875% 16-410 000 08/12/2023 EUR 416 228 0.33 740 000 BP CAPITAL PLC 0.830% 16-19/09/2024 EUR 732 304 0.59 CREDIT AGRICOLE 0.750% 16-01/12/2022 EUR 100 973 0.08 CREDIT AGRICOLE 1.250% 16-14/04/2026 EUR 201 714 0.16 CREDIT AGRICOLE 1.875% 12-18/10/2017 EUR 101 595 0.08 CREDIT AGRICOLE 1.875% 16-20/12/2026 EUR 200 652 0.16 CREDIT AGRICOLE SA 3.875% 12-13/02/2019 EUR 108 227 0.09 CREDIT SUISSE LD 0.375% 16-220 000 11/04/2019 EUR 221 500 0.18 CREDIT SUISSE LD 0.500% 15-29/03/2018 EUR 302 052 0.24 CREDIT SUISSE LD 0.625% 14-20/11/2018 EUR 303 330 0.24 CREDIT SUISSE LD 1.000% 16-190 000 07/06/2023 EUR 192 288 0.15 CREDIT SUISSE LD 1.500% 16-10/04/2026 EUR 102 637 0.08 DELPHI AUTOMTVE 1.600% 16-280 000 15/09/2028 EUR 270 631 0.22 360 000 EASYJET PLC 1.125% 16-18/10/2023 EUR 352 451 0.28 120 000 FCE BANK PLC 1.615% 16-11/05/2023 EUR 123 047 0.10 FCE BANK PLC 1.875% 14-24/06/2021 EUR 209 518 0.17 FIAT CHRYSLER AU 3.750% 16-860 000 29/03/2024 EUR 892 250 0.73 HSBC HOLDINGS PLC 3.125% 16-250 000 07/06/2028 EUR 263 900 0.21 230 000 ITV PLC 2.000% 16-01/12/2023 EUR 231 760 0.19 LLOYDS BANK PLC 1.875% 13-400 000 10/10/2018 EUR 413 812 0.33 430 000 NATIONAL GRID 0.625% 16-22/09/2024 EUR 421 809 0.34 NATIONWIDE BLDG 1.125% 15-03/06/2022 EUR 205 344 0.17 SANTANDER UK GRP 1.125% 16-570 000 08/09/2023 EUR 566 460 0.46 TA MANUFACTURING 3.625% 15-400 000 15/04/2023 EUR 405 500 0.33 THOMAS COOK GROUP 6.250% 16-15/06/2022 EUR 317 250 0.26 UNILEVER NV 1.000% 15-03/06/2023 EUR 103 820 0.08 VIRGIN MEDIA FIN 4.500% 15-15/01/2025 EUR 103 375 0.08 Italy 6 105 792 4.90 2I RETE GAS SPA 1.750% 14-16/07/2019 EUR 103 938 0.08 824 000 ACEA SPA 1.000% 16-24/10/2026 EUR 783 443 0.64 AEROPORTI ROMA 3.250% 13-20/02/2021 EUR 110 776 0.09 ATLANTIA 3.625% 12-30/11/2018 EUR 213 614 0.17 ENEL (ENTNZENEL) 5.250% 07-20/06/2017 EUR 102 473 0.08 500 000 ENI SPA 0.625% 16-19/09/2024 EUR 485 655 0.39 ENI SPA 0.750% 16-17/05/2022 EUR 202 100 0.16 ENI SPA 4.125% 09-16/09/2019 EUR 221 656 0.18 580 000 HERA SPA 0.875% 16-14/10/2026 EUR 553 192 0.44 SIAS 3.375% 14-13/02/2024 EUR 113 433 0.09 Page 37
BNP Paribas L1 Bond Euro Corporate Expressed in EUR 309 000 SNAM SPA 0.000% 16-25/10/2020 EUR 306 346 0.25 800 000 SNAM SPA 0.875% 16-25/10/2026 EUR 764 432 0.62 SNAM SPA 1.500% 14-21/04/2023 EUR 104 406 0.08 SNAM SPA 1.500% 14-24/04/2019 EUR 103 279 0.08 TELECOM ITALIA 3.000% 16-510 000 30/09/2025 EUR 513 188 0.41 TELECOM ITALIA 3.625% 16-240 000 25/05/2026 EUR 246 300 0.20 TERNA SPA 0.875% 15-02/02/2022 EUR 101 805 0.08 800 000 TERNA SPA 1.000% 16-11/10/2028 EUR 759 896 0.61 UNICREDIT SPA 3.375% 12-11/01/2018 EUR 103 154 0.08 UNICREDIT SPA 3.625% 13-24/01/2019 EUR 212 706 0.17 Germany 5 374 682 4.35 ALLIANZ SE 3.875% 16-29/12/2049 USD 159 061 0.13 440 000 BASF SE 0.875% 16-06/10/2031 EUR 412 372 0.33 BERTELSMANN SE 1.125% 16-27/04/2026 EUR 303 558 0.24 COMMERZBANK AG 0.500% 16-750 000 13/09/2023 EUR 715 133 0.58 COMMERZBANK AG 4.000% 16-23/03/2026 EUR 205 250 0.17 CONTINENTAL AG 0.000% 16-230 000 05/02/2020 EUR 229 289 0.18 230 000 DAIMLER AG 0.250% 16-11/05/2020 EUR 231 267 0.19 180 000 DAIMLER AG 0.500% 16-09/09/2019 EUR 182 470 0.15 DEUTSCHE BANK AG 2.750% 15-17/02/2025 EUR 94 500 0.08 DEUTSCHE POST AG 0.375% 16-01/04/2021 EUR 202 476 0.16 DEUTSCHE WOHNEN 1.375% 15-150 000 24/07/2020 EUR 155 600 0.13 EUROGRID GMBH 1.500% 16-18/04/2028 EUR 101 250 0.08 EUROGRID GMBH 1.625% 15-03/11/2023 EUR 105 904 0.09 FAENZA GMBH 8.250% 13-15/08/2021 EUR 106 615 0.09 HEIDELBERGCEMENT 1.500% 16-210 000 07/02/2025 EUR 211 785 0.17 HEIDELBERGCEMENT 2.250% 16-30/03/2023 EUR 106 965 0.09 HENKEL AG & CO 0.000% 16-360 000 13/09/2021 EUR 359 255 0.29 KNORR BREMSE AG 0.500% 16-120 000 08/12/2021 EUR 121 282 0.10 399 000 LANXESS 0.250% 16-07/10/2021 EUR 396 155 0.32 METRO AG 1.500% 15-19/03/2025 EUR 198 016 0.16 RAPID HOLDING 6.625% 15-15/11/2020 EUR 209 518 0.17 50 000 SAP SE 1.125% 14-20/02/2023 EUR 52 693 0.04 TALANX AG 3.125% 13-13/02/2023 EUR 116 328 0.09 TELFONICA DEUTSC 2.375% 14-40 000 10/02/2021 EUR 43 218 0.03 THYSSENKRUPP 2.750% 16-08/03/2021 EUR 208 862 0.17 WEPA HYGIENEPROD 3.750% 16-140 000 15/05/2024 EUR 145 860 0.12 Luxembourg 3 899 050 3.11 ARCELORMITTAL 3.000% 14-25/03/2019 EUR 105 000 0.08 ARD FINANCE SA 6.625% 16-330 000 15/09/2023 EUR 330 000 0.27 BMBG BOND FINCE 3.000% 16-15/06/2021 EUR 104 075 0.08 500 000 CNH IND FIN 2.875% 16-17/05/2023 EUR 515 000 0.41 HOLCIM FINANCE L 1.375% 16-390 000 26/05/2023 EUR 399 871 0.32 HOLCIM FINANCE L 2.250% 16-390 000 26/05/2028 EUR 407 675 0.33 INEOS GROUP HOLD 5.375% 16-400 000 01/08/2024 EUR 403 000 0.32 MATTERHORN TELE 4.875% 15-01/05/2023 EUR 101 000 0.08 NOVARTIS FINANCE 0.125% 16-550 000 20/09/2023 EUR 541 426 0.44 PROLOGIS INTL II 1.876% 15-125 000 17/04/2025 EUR 127 944 0.10 PROLOGIS INTL II 2.875% 14-125 000 04/04/2022 EUR 137 495 0.11 SIMON INTL FIN S 1.250% 16-110 000 13/05/2025 EUR 110 570 0.09 SIMON INTL FIN S 1.375% 15-18/11/2022 EUR 103 891 0.08 TELENET FINANCE VI 4.875% 15-15/07/2027 EUR 104 250 0.08 TYCO INTERNATIONAL F 1.375% 15-25/02/2025 EUR 99 989 0.08 WIND ACQUISITION 4.000% 14-15/07/2020 EUR 203 614 0.16 WIND ACQUISITION 7.000% 14-23/04/2021 EUR 104 250 0.08 Ireland 3 622 290 2.91 ALLIED IRISH BANKS 1.375% 15-16/03/2020 EUR 102 709 0.08 ALLIED IRISH BANKS 2.750% 14-16/04/2019 EUR 210 750 0.17 ARDAGH PKG FIN 4.125% 16-15/05/2023 EUR 209 200 0.17 ARDAGH PKG FIN 4.250% 14-15/01/2022 EUR 103 500 0.08 BANK OF IRELAND 1.250% 15-09/04/2020 EUR 102 796 0.08 BANK OF IRELAND 2.000% 14-600 000 08/05/2017 EUR 604 416 0.49 540 000 CRH FINANCE 1.375% 16-18/10/2028 EUR 528 908 0.43 EATON CAPITAL 0.750% 16-20/09/2024 EUR 196 518 0.16 EIRCOM FINANCE 4.500% 16-400 000 31/05/2022 EUR 420 000 0.34 FCA CAPITAL IRE 1.250% 16-23/09/2020 EUR 101 762 0.08 FGA CAPITAL IRE 2.000% 14-23/10/2019 EUR 312 072 0.25 FGA CAPITAL IRE 2.625% 14-17/04/2019 EUR 104 982 0.08 PARTNERRE IRELAND 1.250% 16-420 000 15/09/2026 EUR 424 145 0.34 RYANAIR 1.125% 15-10/03/2023 EUR 200 532 0.16 Sweden 2 152 225 1.73 HEMSO FASTIGHETS 1.000% 16-09/09/2026 EUR 192 298 0.15 NORDEA BANK AB 4.000% 10-29/03/2021 EUR 114 417 0.09 NORDEA BANK AB 4.500% 10-26/03/2020 EUR 338 715 0.27 SKANDINAVISKA ENSKILDA BANK 970 000 0.750% 16-24/08/2021 EUR 993 600 0.81 SKANDINAVISKA ENSKILDA BANK 500 000 4.000% 12-12/09/2022 EUR 513 195 0.41 Belgium 1 253 957 1.01 ANHEUSER - BUSCH 1.500% 16-190 000 17/03/2025 EUR 197 648 0.16 BARRY CALLE SVCS 2.375% 16-130 000 24/05/2024 EUR 133 088 0.11 BNP PARIBAS FORTIS BANK 5.757% 07-04/10/2017 EUR 104 303 0.08 KBC GROEP NV 1.000% 16-26/04/2021 EUR 102 516 0.08 500 000 KBC GROUP NV 0.750% 16-18/10/2023 EUR 493 450 0.40 SOLVAY SA 2.750% 15-02/12/2027 EUR 222 952 0.18 Norway 833 606 0.67 DNB BANK ASA 1.125% 16-01/03/2023 EUR 207 354 0.17 SPAREBANK 1 SR 0.375% 16-630 000 10/02/2022 EUR 626 252 0.50 Denmark 735 627 0.59 DANSKE BANK A/S 0.500% 16-06/05/2021 EUR 101 189 0.08 DANSKE BANK A/S 0.750% 16-120 000 02/06/2023 EUR 121 117 0.10 ISS GLOBAL A/S 2.125% 14-02/12/2024 EUR 213 994 0.17 JYSKE BANK A/S 0.625% 16-14/04/2021 EUR 201 978 0.16 TDC A/S 1.750% 15-27/02/2027 EUR 97 349 0.08 Canada 720 640 0.58 COTT FINANCE COR 5.500% 16-580 000 01/07/2024 EUR 615 525 0.50 MAGNA INTERNATIONAL INC 1.900% 15-24/11/2023 EUR 105 115 0.08 Page 38
BNP Paribas L1 Bond Euro Corporate Expressed in EUR Jersey Island 664 431 0.53 UBS GROUP FUNDING 1.250% 16-01/09/2026 UBS GROUP FUNDING 1.500% 16-470 000 30/11/2024 EUR 192 264 0.15 EUR 472 167 0.38 Finland 408 438 0.33 410 000 SAMPO OYJ 1.000% 16-18/09/2023 EUR 408 438 0.33 Austria 401 900 0.32 TELEKOM FINANZ 1.500% 16-400 000 07/12/2026 EUR 401 900 0.32 Mexico 241 598 0.20 AMERICA MOVIL SA 1.500% 16-130 000 10/03/2024 EUR 131 033 0.11 AMERICA MOVIL SA 3.000% 12-12/07/2021 EUR 110 565 0.09 Portugal 206 530 0.16 BRISA CONCESSAO 2.000% 16-22/03/2023 EUR 102 299 0.08 REN REDES ENERGE 4.125% 13-31/01/2018 EUR 104 231 0.08 Japan 108 316 0.09 SOFTBANK GROUP CORP 4.750% 15-30/07/2025 EUR 108 316 0.09 Poland 103 385 0.08 AUTOSTRADE PER L 1.125% 15-04/11/2021 EUR 103 385 0.08 Floating rate bonds 16 075 911 12.90 France 6 377 471 5.12 ARKEMA 14-29/10/2049 FRN EUR 106 375 0.09 AXA SA 10-16/04/2040 FRN EUR 111 353 0.09 AXA SA 13-04/07/2043 FRN EUR 115 177 0.09 AXA SA 14-20/05/2049 FRN EUR 102 581 0.08 AXA SA 16-06/07/2047 FRN EUR 304 458 0.24 BNP PARIBAS 07-29/04/2049 FRN EUR 301 854 0.24 BNP PARIBAS 14-20/03/2026 FRN EUR 104 120 0.08 BNP PARIBAS 16-29/12/2049 FRN USD 299 841 0.24 BNP PARIBAS 16-29/12/2049 FRN USD 187 517 0.15 BPCE 14-08/07/2026 FRN EUR 103 651 0.08 BPCE 15-30/11/2027 FRN EUR 103 353 0.08 CASINO GUICHARD 12-06/08/2019 FRN EUR 109 625 0.09 CNP ASSURANCES 10-14/09/2040 FRN EUR 112 448 0.09 CREDIT AGRICOLE ASSR 15-29/01/2049 FRN EUR 98 435 0.08 CREDIT AGRICOLE ASSR 16-500 000 27/09/2048 FRN EUR 506 160 0.41 CREDIT AGRICOLE SA 08-500 000 29/03/2049 FRN EUR 539 340 0.43 ENGIE 13-29/07/2049 FRN EUR 208 770 0.17 ENGIE 14-02/06/2049 FRN EUR 317 883 0.26 LAFARGE SA 10-29/11/2018 FRN EUR 219 958 0.18 ORANGE 14-28/02/2049 FRN EUR 105 976 0.09 ORANGE 14-29/10/2049 FRN EUR 105 620 0.08 SCOR SE 16-27/05/2048 FRN EUR 102 286 0.08 SOCIETE GENERALE 09-29/09/2049 FRN EUR 237 500 0.19 SOCIETE GENERALE 16-370 000 29/12/2049 FRN USD 348 766 0.28 SOGECAP SA 14-29/12/2049 FRN EUR 99 077 0.08 SUEZ 15-29/12/2049 FRN EUR 101 533 0.08 600 000 TOTAL SA 15-29/12/2049 FRN EUR 598 338 0.48 580 000 TOTAL SA 16-29/12/2049 FRN EUR 567 124 0.46 150 000 TOTAL SA 16-29/12/2049 FRN EUR 158 352 0.13 The Netherlands 3 800 385 3.04 ACHMEA BV 15-29/12/2049 FRN EUR 188 288 0.15 ALLIANZ FINANCE 05-29/12/2049 SR EUR 100 052 0.08 400 000 ALLIANZ FINANCE 11-08/07/2041 FRN EUR 465 156 0.37 ASR NEDERLAND NV 15-29/09/2045 FRN EUR 106 031 0.09 420 000 BMW FINANCE NV 16-15/07/2019 FRN EUR 423 406 0.34 DEUTSCHE ANN FIN 14-29/12/2049 FRN EUR 103 205 0.08 140 000 DEUTSCHE TEL FIN 16-03/04/2020 FRN EUR 140 193 0.11 IBERDROLA INTL 13-27/02/2049 FRN EUR 105 770 0.09 400 000 ING BANK NV 08-29/05/2023 FRN EUR 431 000 0.35 ING BANK NV 13-21/11/2023 FRN EUR 105 297 0.08 ING BANK NV 14-25/02/2026 FRN EUR 108 835 0.09 ING BANK NV 16-11/04/2028 FRN EUR 105 377 0.08 270 000 ING GROEP NV 16-29/12/2049 FRN USD 256 650 0.21 ING VERZEKERING 14-08/04/2044 FRN EUR 104 584 0.08 NN GROUP NV 14-15/07/2049 FRN EUR 99 817 0.08 450 000 SWISS LIFE 16-29/12/2049 FRN EUR 460 472 0.37 TELEFONICA EUROP 16-400 000 31/12/2049 FRN EUR 391 000 0.31 VONOVIA FINANCE 14-08/04/2074 FRN EUR 105 252 0.08 Germany 1 446 011 1.16 ALLIANZ SE 13-29/10/2049 FRN EUR 220 866 0.18 ALLIANZ SE 14-29/09/2049 FRN EUR 102 602 0.08 ALLIANZ SE 15-07/07/2045 FRN EUR 97 122 0.08 50 000 BAYER AG 15-02/04/2075 FRN EUR 47 641 0.04 ENERGIE BADEN-WU 16-412 000 05/04/2077 FRN EUR 413 034 0.33 140 000 LANXESS 16-06/12/2076 FRN EUR 145 950 0.12 MERCK 14-12/12/2074 SR EUR 316 731 0.25 MUENCHENER RUECKVERSICHERUNG 07- EUR 102 065 0.08 29/06/2049 FRN Spain 958 156 0.77 BANCO BILBAO VIZCAYA 16-600 000 29/12/2049 FRN EUR 645 906 0.52 BANKIA 14-22/05/2024 FRN EUR 101 500 0.08 CAIXABANK 13-14/11/2023 FRN EUR 210 750 0.17 Sweden 950 989 0.77 350 000 NORDEA BANK AB 16-07/09/2026 FRN EUR 346 787 0.28 SKANDINAVISKA ENSKILDA BANK 07-29/12/2049 FRN EUR 210 700 0.17 SKANDINAVISKA ENSKILDA BANK 402 000 16-31/10/2028 FRN EUR 393 502 0.32 Ireland 604 067 0.48 ALLIED IRISH BANKS 15-26/11/2025 FRN EUR 101 250 0.08 ALLIED IRISH BANKS 15-29/12/2049 FRN EUR 196 952 0.16 BANK OF IRELAND 14-11/06/2024 FRN EUR 102 875 0.08 BANK OF IRELAND 15-29/12/2049 FRN EUR 202 990 0.16 Belgium 512 309 0.41 KBC GROEP NV 14-25/11/2024 FRN EUR 311 253 0.25 KBC GROEP NV 14-29/03/2049 FRN EUR 100 682 0.08 KBC GROEP NV 15-11/03/2027 FRN EUR 100 374 0.08 Norway 251 318 0.20 260 000 DNB BANK ASA 16-29/12/2049 FRN USD 251 318 0.20 United Kingdom 249 564 0.20 BARCLAYS BANK PLC 05-150 000 29/03/2049 SR EUR 139 500 0.11 HBOS PLC 05-18/03/2030 SR EUR 110 064 0.09 Page 39
BNP Paribas L1 Bond Euro Corporate Expressed in EUR Luxembourg 241 552 0.19 HANNOVER FINANCE 12-30/06/2043 FRN EUR 115 915 0.09 TALANX FINANZ 12-15/06/2042 FRN EUR 125 637 0.10 230 000 United States of America 231 513 0.19 UNITED TECHNOLOGIES CORP 16-22/02/2018 FRN EUR 231 513 0.19 Italy 130 057 0.10 ASSICURAZIONI GENERALI 12-10/07/2042 FRN EUR 130 057 0.10 Switzerland 109 208 0.09 CREDIT SUISSE 13-18/09/2025 FRN EUR 109 208 0.09 Austria 106 795 0.09 UNIQA INSURANCE 15-27/07/2046 FRN EUR 106 795 0.09 Denmark 106 516 0.09 DANSKE BANK A/S 14-19/05/2026 FRN EUR 106 516 0.09 Total securities portfolio 119 805 003 96.37 Page 40
BNP Paribas L1 Bond Euro High Yield Expressed in EUR Shares/Units in investment funds 185 942 849 100.17 Luxembourg 185 942 849 100.17 PARVEST BOND EURO HIGH YIELD - 1 344 975.40 X - CAP EUR 185 942 849 100.17 Total securities portfolio 185 942 849 100.17 Page 41
BNP Paribas L1 Bond Euro Premium Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market 115 708 955 93.17 Shares 115 708 955 93.17 France 78 558 015 63.26 ACCOR SA EUR 3 543 000 2.85 47 500 AIR LIQUIDE SA EUR 5 018 375 4.04 72 068 AIRBUS SE EUR 4 528 753 3.65 BNP PARIBAS EUR 6 055 000 4.88 177 000 CARREFOUR SA EUR 4 051 530 3.26 84 000 DANONE EUR 5 056 800 4.07 58 818 ESSILOR INTERNATIONAL EUR 6 314 112 5.08 38 000 LOREAL EUR 6 589 200 5.31 170 000 ORANGE EUR 2 453 950 1.98 61 000 RENAULT SA EUR 5 155 110 4.15 103 366 SANOFI AVENTIS EUR 7 948 845 6.40 81 000 SCHNEIDER ELECTRIC SE EUR 5 354 910 4.31 234 000 SOCIETE GENERALE SA EUR 10 938 330 8.81 10 000 TECHNIP SA EUR 678 100 0.55 TOTAL SA EUR 4 872 000 3.92 Germany 29 421 408 23.69 30 446 ALLIANZ SE - REG EUR 4 780 022 3.85 52 544 BASF SE EUR 4 640 161 3.74 44 151 BAYER AG - REG EUR 4 376 689 3.52 58 174 DAIMLER AG-REGISTERED SHARES EUR 4 114 065 3.31 78 100 DEUTSCHE POST AG - REG EUR 2 439 454 1.96 54 253 SAP SE EUR 4 492 691 3.62 39 198 SIEMENS AG - REG EUR 4 578 326 3.69 Belgium 4 719 515 3.80 46 937 ANHEUSER - BUSCH INBEV SA/NV EUR 4 719 515 3.80 United Kingdom 3 010 017 2.42 76 953 UNILEVER NV - CVA EUR 3 010 017 2.42 Shares/Units in investment funds 8 741 460 7.04 France 8 741 460 7.04 BNP PARIBAS AM KLE EONIA PRIME 862.79 FCP - DIS EUR 8 741 460 7.04 Total securities portfolio 124 450 415 100.21 Page 42
BNP Paribas L1 Bond Europe Plus Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market 411 602 899 94.28 Bonds 351 377 425 80.47 United States of America 103 790 241 23.74 355 000 ABBVIE INC 0.375% 16-18/11/2019 EUR 357 382 0.08 AIR PROD & CHEM 0.375% 16-230 000 01/06/2021 EUR 231 764 0.05 ALBEMARLE CORP 1.875% 14-08/12/2021 EUR 209 870 0.05 AMERICAN TOWER 3.500% 13-730 000 31/01/2023 USD 693 595 0.16 BANK OF AMERICA CORP 0.750% 16-520 000 26/07/2023 EUR 512 814 0.12 BANK OF AMERICA CORP 1.375% 15-400 000 26/03/2025 EUR 405 104 0.09 BANK OF AMERICA CORP 3.875% 15-1 560 000 01/08/2025 USD 1 502 303 0.34 BERKSHIRE HATHAWAY 0.500% 16-13/03/2020 EUR 101 311 0.02 BMW US CAP LLC 2.000% 14-20/11/2019 GBP 363 641 0.08 457 000 CITIGROUP INC 0.750% 16-26/10/2023 EUR 448 271 0.10 CITIGROUP INC 1.375% 14-27/10/2021 EUR 104 297 0.02 CONOCOPHILLIPS CO 2.400% 12-232 000 15/12/2022 USD 212 653 0.05 7 034 031 FHS 303 C34 4.500% 13-15/12/2040 USD 1 384 641 0.32 GEN MOTORS FIN 0.955% 16-610 000 07/09/2023 EUR 591 700 0.14 GEN MOTORS FIN 4.375% 14-1 560 000 25/09/2021 USD 1 528 941 0.35 GOLDMAN SACHS GP 1.250% 16-360 000 01/05/2025 EUR 354 334 0.08 GOLDMAN SACHS GP 2.000% 15-27/07/2023 EUR 105 646 0.02 GOLDMAN SACHS GP 2.500% 14-18/10/2021 EUR 217 828 0.05 GOLDMAN SACHS GP 4.000% 14-1 546 000 03/03/2024 USD 1 517 037 0.35 GOLDMAN SACHS GP 4.750% 06-12/10/2021 EUR 234 846 0.05 GOLDMAN SACHS GP 5.500% 06-250 000 12/10/2021 GBP 335 854 0.08 1 590 000 HP ENTERPRISE 3.600% 15-15/10/2020 USD 1 535 641 0.35 1 480 000 INTL LEASE FIN 7.125% 10-01/09/2018 USD 1 512 133 0.35 JP MORGAN CHASE 0.625% 16-460 000 25/01/2024 EUR 449 461 0.10 JP MORGAN CHASE 1.500% 15-26/10/2022 EUR 209 538 0.05 MCDONALDS CORP 1.000% 16-15/11/2023 EUR 101 223 0.02 MET LIFE GLOB 1.250% 14-17/09/2021 EUR 104 326 0.02 MET LIFE GLOB 2.625% 15-05/12/2022 GBP 248 707 0.06 MORGAN STANLEY 1.000% 16-370 000 02/12/2022 EUR 373 600 0.09 MORGAN STANLEY 1.375% 16-458 000 27/10/2026 EUR 446 362 0.10 MORGAN STANLEY 2.375% 14-31/03/2021 EUR 216 462 0.05 MORGAN STANLEY 5.000% 13-1 516 000 24/11/2025 USD 1 534 426 0.35 MYLAN NV 1.250% 16-23/11/2020 EUR 203 666 0.05 PHILIP MORRIS INTERNATIONAL 250 000 1.875% 14-03/03/2021 EUR 267 263 0.06 PROLOGIS LP 1.375% 14-07/10/2020 EUR 310 692 0.07 430 000 THERMO FISHER 0.750% 16-12/09/2024 EUR 416 537 0.10 US TREASURY N/B 0.750% 16-50 000 000 31/08/2018 USD 47 112 111 10.78 US TREASURY N/B 3.375% 14-6 400 000 15/05/2044 USD 6 437 074 1.47 US TSY INFL IX N/B 0.625% 11-27 884 480 15/07/2021 USD 27 281 797 6.24 US TSY INFL IX N/B 1.000% 16-1 377 203 15/02/2046 USD 1 307 755 0.30 VERIZON COMMUNICATIONS INC 920 000 0.500% 16-02/06/2022 VERIZON COMMUNICATIONS INC 1 027 000 5.150% 13-15/09/2023 WELLS FARGO & CO 1.500% 15-12/09/2022 EUR 919 319 0.21 USD 1 074 828 0.25 EUR 313 488 0.07 United Kingdom 64 079 898 14.66 ABBEY NATIONAL TREASURY 1.875% 15-17/02/2020 GBP 238 711 0.05 248 000 AVIVA PLC 0.625% 16-27/10/2023 EUR 243 357 0.06 BARCLAYS BANK PLC 1.875% 16-460 000 08/12/2023 EUR 466 987 0.11 BARCLAYS BANK PLC 1.875% 16-470 000 23/03/2021 EUR 485 035 0.11 BARCLAYS BANK PLC 6.000% 10-450 000 14/01/2021 EUR 522 068 0.12 BAT INTL FINANCE 2.250% 16-09/09/2052 GBP 290 521 0.07 BAT INTL FINANCE 6.000% 09-150 000 29/06/2022 GBP 215 978 0.05 740 000 BP CAPITAL PLC 0.830% 16-19/09/2024 EUR 732 304 0.17 400 000 BP CAPITAL PLC 1.109% 15-16/02/2023 EUR 409 896 0.09 170 000 BP CAPITAL PLC 1.373% 16-03/03/2022 EUR 177 959 0.04 BRITISH SKY BROADCASTING 1.500% 14-15/09/2021 EUR 104 169 0.02 BRITISH SKY BROADCASTING 2.875% 14-24/11/2020 GBP 249 834 0.06 BRITISH TEL PLC 0.625% 16-10/03/2021 EUR 303 000 0.07 CREDIT AGRICOLE 1.250% 16-14/04/2026 EUR 201 714 0.05 CREDIT AGRICOLE 1.875% 16-20/12/2026 EUR 300 978 0.07 CREDIT SUISSE LD 0.375% 16-190 000 11/04/2019 EUR 191 296 0.04 DS SMITH PLC 2.250% 15-16/09/2022 EUR 209 016 0.05 400 000 EASYJET PLC 1.125% 16-18/10/2023 EUR 391 612 0.09 FCE BANK PLC 1.528% 15-09/11/2020 EUR 103 631 0.02 190 000 FCE BANK PLC 1.615% 16-11/05/2023 EUR 194 824 0.04 600 000 FCE BANK PLC 3.250% 13-19/11/2020 GBP 744 560 0.17 HAMMERSON PLC 3.500% 15-400 000 27/10/2025 GBP 500 722 0.11 HEATHROW FUNDING 1.875% 14-400 000 23/05/2022 EUR 429 468 0.10 HSBC HOLDINGS PLC 1.500% 16-15/03/2022 EUR 312 834 0.07 HSBC HOLDINGS PLC 6.500% 09-20/05/2024 GBP 449 445 0.10 IMPERIAL TOBACCO FINANCE 9.000% 09-17/02/2022 GBP 474 668 0.11 310 000 ITV PLC 2.000% 16-01/12/2023 EUR 312 372 0.07 LLOYDS BANK PLC 1.000% 14-19/11/2021 EUR 206 544 0.05 LLOYDS BANK PLC 1.375% 15-400 000 08/09/2022 EUR 418 028 0.10 LLOYDS TSB BANK 6.500% 10-24/03/2020 EUR 352 512 0.08 MOTABILITY OPER 5.375% 10-28/06/2022 GBP 427 735 0.10 MOTABILITY OPS 3.625% 16-360 000 10/03/2036 GBP 488 471 0.11 340 000 NATIONAL GRID 0.625% 16-22/09/2024 EUR 333 523 0.08 NATIONWIDE BLDG 0.500% 16-29/10/2019 EUR 100 923 0.02 NATIONWIDE BLDG 5.625% 09-09/09/2019 GBP 263 372 0.06 NATIONWIDE BLDG 6.750% 10-80 000 22/07/2020 EUR 96 170 0.02 SMITHS GROUP PLC 1.250% 15-250 000 28/04/2023 EUR 250 358 0.06 6 000 000 UK TREASURY 1.500% 15-22/01/2021 GBP 7 336 926 1.68 7 500 000 UK TREASURY 2.250% 13-07/09/2023 GBP 9 619 787 2.20 12 500 000 UK TREASURY 3.750% 10-07/09/2020 GBP 16 505 388 3.77 7 800 000 UK TSY GILT 4.500% 08-07/03/2019 GBP 10 030 437 2.30 5 537 214 UK TSY I/L GILT 0.125% 15-22/03/2026 GBP 7 835 197 1.79 VODAFONE GROUP 5.625% 03-04/12/2025 GBP 291 228 0.07 VODAFONE GROUP 8.125% 08-26/11/2018 GBP 266 340 0.06 Page 43
BNP Paribas L1 Bond Europe Plus Expressed in EUR The Netherlands 33 996 085 7.80 ABN AMRO BANK NV 2.250% 13-1 250 000 11/09/2017 GBP 1 481 183 0.34 ABN AMRO BANK NV 6.375% 11-800 000 27/04/2021 EUR 983 640 0.23 410 000 ADECCO INT FIN 1.000% 16-02/12/2024 EUR 408 208 0.09 ALLIANZ FINANCE 0.000% 16-21/04/2020 EUR 199 898 0.05 ASML HOLDING NV 0.625% 16-07/07/2022 EUR 200 388 0.05 ASML HOLDING NV 1.625% 16-260 000 28/05/2027 EUR 261 817 0.06 BASF FIN EUROPNV 0.000% 16-720 000 10/11/2020 EUR 720 000 0.16 BMW FINANCE NV 0.875% 16-500 000 16/08/2022 GBP 569 260 0.13 BMW FINANCE NV 2.375% 15-01/12/2021 GBP 247 685 0.06 COOPERATIEVE RAB 0.125% 16-11/10/2021 EUR 99 871 0.02 DEUTSCHE ANN FIN 3.125% 13-25/07/2019 EUR 215 030 0.05 DEUTSCHE TEL FIN 0.250% 16-19/04/2021 EUR 300 699 0.07 DEUTSCHE TEL FIN 0.625% 16-230 000 03/04/2023 EUR 231 332 0.05 EDP FINANCE BV 1.125% 16-210 000 12/02/2024 EUR 199 238 0.05 EDP FINANCE BV 2.375% 16-430 000 23/03/2023 EUR 444 513 0.10 EDP FINANCE BV 4.875% 13-14/09/2020 EUR 342 750 0.08 ENEL FINANCE INTL NV 4.875% 12-11/03/2020 EUR 229 632 0.05 ENEL FINANCE INTL NV 4.875% 12-350 000 17/04/2023 EUR 437 735 0.10 ENEL FINANCE INTL NV 5.625% 09-150 000 14/08/2024 GBP 214 005 0.05 GAS NAT FENOSA F 1.250% 16-19/04/2026 EUR 300 912 0.07 HEINEKEN NV 1.000% 16-04/05/2026 EUR 295 986 0.07 IBERDROLA INTL 1.125% 16-21/04/2026 EUR 199 418 0.05 IBERDROLA INTL 2.875% 13-500 000 11/11/2020 EUR 550 460 0.13 ING BANK NV 0.750% 16-22/02/2021 EUR 306 534 0.07 250 000 ING BANK NV 5.375% 11-15/04/2021 GBP 344 526 0.08 KONINKLIJKE KPN 0.625% 16-400 000 09/04/2025 EUR 382 660 0.09 NETHERLANDS GOVERNMENT 16 600 000 2.250% 12-15/07/2022 EUR 19 005 671 4.34 NN GROUP NV 1.000% 15-18/03/2022 EUR 305 817 0.07 250 000 RABOBANK 3.750% 10-09/11/2020 EUR 281 300 0.06 500 000 RABOBANK 4.875% 06-10/01/2023 GBP 689 913 0.16 RED ELE FIN BV 3.875% 13-25/01/2022 EUR 234 762 0.05 REDEXIS GAS FIN 2.750% 14-08/04/2021 EUR 218 150 0.05 REN FINANCE BV 1.750% 16-280 000 01/06/2023 EUR 286 395 0.07 REN FINANCE BV 4.750% 13-400 000 16/10/2020 EUR 460 004 0.11 REPSOL INTL FIN 4.375% 12-20/02/2018 EUR 209 580 0.05 RWE FINANCE BV 6.500% 09-10/08/2021 EUR 128 244 0.03 350 000 SHELL INTL FIN 0.750% 16-12/05/2024 EUR 352 013 0.08 SHELL INTL FIN 1.250% 15-15/03/2022 EUR 209 822 0.05 500 000 VONOVIA BV 1.250% 16-06/12/2024 EUR 497 425 0.11 800 000 VONOVIA BV 1.625% 15-15/12/2020 EUR 835 440 0.19 WOLTERS KLUWER 2.875% 13-21/03/2023 EUR 114 169 0.03 Italy 33 975 837 7.76 AEROPORTI ROMA 3.250% 13-250 000 20/02/2021 EUR 276 940 0.06 380 000 ENI SPA 0.750% 16-17/05/2022 EUR 383 990 0.09 ENI SPA 4.250% 12-03/02/2020 EUR 224 932 0.05 INTESA SANPAOLO 1.125% 15-650 000 14/01/2020 EUR 658 515 0.15 25 426 000 ITALY BTPS 0.700% 15-01/05/2020 EUR 25 901 719 5.92 5 400 000 ITALY BTPS 2.700% 16-01/03/2047 EUR 5 174 496 1.19 309 000 SNAM SPA 0.000% 16-25/10/2020 EUR 306 346 0.07 500 000 SNAM SPA 0.875% 16-25/10/2026 EUR 477 770 0.11 TERNA SPA 0.875% 15-02/02/2022 EUR 101 805 0.02 TERNA SPA 1.000% 16-11/10/2028 EUR 94 987 0.02 UNICREDIT SPA 2.000% 16-04/03/2023 EUR 102 842 0.02 250 000 UNICREDIT SPA 3.250% 14-14/01/2021 EUR 271 495 0.06 France 32 738 521 7.51 AIR LIQUIDE FIN 0.375% 16-18/04/2022 EUR 200 890 0.05 APRR 1.250% 16-06/01/2027 EUR 300 531 0.07 AUTOROUTES DU SUD 1.000% 16-13/05/2026 EUR 198 362 0.05 AUTOROUTES DU SUD 4.125% 10-13/04/2020 EUR 339 429 0.08 AUTOROUTES PARIS 1.125% 14-15/01/2021 EUR 309 828 0.07 AUTOROUTES PARIS 1.500% 15-15/01/2024 EUR 314 172 0.07 AUTOROUTES PARIS 4.875% 11-21/01/2019 EUR 219 818 0.05 BANQUE FED CREDIT MUTUEL 400 000 1.625% 16-19/01/2026 EUR 420 160 0.10 BANQUE FED CREDIT MUTUEL 3.000% 15-11/09/2025 EUR 214 638 0.05 BANQUE FED CREDIT MUTUEL 4.000% 10-22/10/2020 EUR 226 746 0.05 190 000 BNP PARIBAS 0.750% 16-11/11/2022 EUR 191 414 0.04 720 000 BNP PARIBAS 1.125% 16-15/01/2023 EUR 740 894 0.17 260 000 BNP PARIBAS 2.250% 16-11/01/2027 EUR 252 647 0.06 BOUYGUES 1.375% 16-07/06/2027 EUR 198 586 0.05 700 000 BPCE 0.375% 16-05/10/2023 EUR 684 663 0.16 BPCE 0.625% 16-20/04/2020 EUR 203 108 0.05 BPCE 2.875% 16-22/04/2026 EUR 102 695 0.02 CAP GEMINI SA 0.500% 16-09/11/2021 EUR 200 324 0.05 CAP GEMINI SA 1.750% 15-01/07/2020 EUR 313 938 0.07 CARMILA 2.375% 15-18/09/2023 EUR 319 965 0.07 270 000 CARREFOUR SA 0.750% 16-26/04/2024 EUR 267 335 0.06 500 000 CARREFOUR SA 1.750% 14-15/07/2022 EUR 531 130 0.12 CIE DE ST GOBAIN 0.000% 16-500 000 27/03/2020 EUR 497 820 0.11 CNP ASSURANCES 1.875% 16-20/10/2022 EUR 202 940 0.05 CREDIT AGRICOLE SA 2.625% 15-17/03/2027 EUR 204 486 0.05 600 000 DANONE 0.424% 16-03/11/2022 EUR 597 786 0.14 FONCIERE DES REGIONS 1.875% 16-20/05/2026 EUR 101 302 0.02 10 882 000 FRANCE O.A.T. 3.750% 09-25/10/2019 EUR 12 227 667 2.79 GECINA 2.000% 15-17/06/2024 EUR 322 896 0.07 HIT FINANCE BV 4.875% 06-27/10/2021 EUR 364 959 0.08 HOLDING DINFRA 2.250% 14-600 000 24/03/2025 EUR 654 060 0.15 ICADE 1.125% 16-17/11/2025 EUR 290 724 0.07 400 000 KERING 0.875% 15-28/03/2022 EUR 406 688 0.09 KERING 1.250% 16-10/05/2026 EUR 99 646 0.02 KLEPIERRE 1.875% 16-19/02/2026 EUR 105 879 0.02 700 000 ORANGE 0.875% 16-03/02/2027 EUR 679 203 0.16 ORANGE 1.000% 16-12/05/2025 EUR 200 198 0.05 ORANGE 3.125% 13-09/01/2024 EUR 349 056 0.08 1 350 000 ORANGE 8.000% 02-20/12/2017 GBP 1 692 229 0.39 PERNOD RICARD SA 1.500% 16-500 000 18/05/2026 EUR 508 245 0.12 RCI BANQUE 0.500% 16-15/09/2023 EUR 289 626 0.07 250 000 RCI BANQUE 1.250% 15-08/06/2022 EUR 255 903 0.06 250 000 RCI BANQUE 1.375% 15-17/11/2020 EUR 258 748 0.06 RENAULT 3.625% 13-19/09/2018 EUR 318 429 0.07 SAN 0.950% 16-19/10/2028 EUR 191 214 0.04 800 000 SANOFI 0.000% 16-13/09/2022 EUR 780 648 0.18 SANOFI 0.625% 16-05/04/2024 EUR 99 532 0.02 Page 44
BNP Paribas L1 Bond Europe Plus Expressed in EUR SCHNEIDER ELEC 0.250% 16-600 000 09/09/2024 EUR 577 842 0.13 SOCIETE FONCIERE 2.250% 15-400 000 16/11/2022 EUR 427 456 0.10 SOCIETE GENERALE 0.750% 16-19/02/2021 EUR 305 937 0.07 SOCIETE GENERALE 0.750% 16-400 000 26/05/2023 EUR 402 472 0.09 SOCIETE GENERALE 1.000% 16-01/04/2022 EUR 301 272 0.07 ST GOBAIN 5.625% 06-15/11/2024 GBP 291 708 0.07 TDF INFRASTRUCTU 2.500% 16-07/04/2026 EUR 204 386 0.05 THALES SA 0.750% 16-07/06/2023 EUR 201 864 0.05 TOTAL CAPITAL 0.250% 16-12/07/2023 EUR 197 736 0.05 UNIBAIL-RODAMCO 1.125% 16-130 000 28/04/2027 EUR 128 683 0.03 VEOLIA ENVIRONNEMENT 0.314% 500 000 16-04/10/2023 EUR 486 400 0.11 VEOLIA ENVIRONNEMENT 5.125% 150 000 07-24/05/2022 EUR 187 143 0.04 WENDEL SA 1.000% 16-20/04/2023 EUR 294 189 0.07 WPP FINANCE 6.375% 07-06/11/2020 GBP 280 276 0.06 Spain 26 342 574 6.04 ABERTIS 1.375% 16-20/05/2026 EUR 200 426 0.05 AMADEUS CAP MKT 0.125% 16-06/10/2020 EUR 199 538 0.05 BANCO BILBAO VIZCAYA 3.500% 12-4 000 000 05/12/2017 EUR 4 134 840 0.95 BBVA SENIOR FIN 2.375% 14-22/01/2019 EUR 314 211 0.07 ENAGAS FIN SA 1.375% 16-05/05/2028 EUR 299 589 0.07 FERROVIAL EMISIO 0.375% 16-500 000 14/09/2022 EUR 487 070 0.11 GAS NATURAL CAP 5.125% 09-400 000 02/11/2021 EUR 490 568 0.11 IBERDROLA FIN SA 1.000% 16-07/03/2024 EUR 303 393 0.07 400 000 MAPFRE 1.625% 16-19/05/2026 EUR 399 524 0.09 MERLIN PROPERTIES 1.875% 16-634 000 02/11/2026 EUR 606 548 0.14 RED ELECTRICA FI 1.000% 16-21/04/2026 EUR 99 577 0.02 SANTANDER CONS FIN 1.100% 15-29/07/2018 EUR 203 308 0.05 SANTANDER INTL 1.375% 16-400 000 03/03/2021 EUR 416 100 0.10 SANTANDER ISSUAN 3.250% 16-04/04/2026 EUR 101 856 0.02 13 154 000 SPANISH GOVT 5.400% 13-31/01/2023 EUR 16 877 896 3.86 TELEFONICA EMIS 0.318% 16-17/10/2020 EUR 198 892 0.05 TELEFONICA EMIS 0.750% 16-600 000 13/04/2022 EUR 598 692 0.14 TELEFONICA EMIS 5.289% 09-09/12/2022 GBP 410 546 0.09 Germany 22 251 153 5.10 2 000 000 BASF SE 1.375% 14-15/12/2017 GBP 2 362 676 0.54 BERTELSMANN SE 1.125% 16-27/04/2026 EUR 202 372 0.05 BUNDESREPUBLIK DEUTSCHLAND 8 500 000 3.000% 10-04/07/2020 EUR 9 621 915 2.20 BUNDESREPUBLIK DEUTSCHLAND 4 430 000 3.250% 10-04/07/2042 EUR 6 829 953 1.56 COMMERZBANK AG 0.500% 16-920 000 13/09/2023 EUR 877 229 0.20 COVESTRO AG 1.000% 16-07/10/2021 EUR 308 400 0.07 DAIMLER AG 0.250% 16-11/05/2020 EUR 301 653 0.07 DAIMLER AG 2.750% 14-04/12/2020 GBP 249 716 0.06 EUROGRID GMBH 1.625% 15-03/11/2023 EUR 317 712 0.07 KNORR BREMSE AG 0.500% 16-160 000 08/12/2021 EUR 161 709 0.04 319 000 LANXESS 0.250% 16-07/10/2021 EUR 316 726 0.07 150 000 METRO AG 1.375% 14-28/10/2021 EUR 154 092 0.04 METRO AG 1.500% 15-19/03/2025 EUR 198 016 0.05 TALANX AG 3.125% 13-13/02/2023 EUR 348 984 0.08 Norway 14 680 578 3.36 DNB BANK 4.250% 12-18/01/2022 EUR 240 118 0.06 NORWEGIAN GOVT 1.750% 15-120 000 000 13/03/2025 NOK 13 394 294 3.06 SANTANDER CONSUMER 1.000% 16-25/02/2019 EUR 101 818 0.02 SPAREBANK 1 SR 0.375% 16-950 000 10/02/2022 EUR 944 348 0.22 Ireland 7 061 087 1.61 370 000 CRH FINANCE 1.375% 16-18/10/2028 EUR 362 400 0.08 FCA CAPITAL IRELAND 1.625% 16-510 000 29/09/2021 GBP 586 476 0.13 4 000 000 IRISH GOVT 5.400% 09-13/03/2025 EUR 5 550 520 1.27 PARTNERRE IRELAND 1.250% 16-420 000 15/09/2026 EUR 403 502 0.09 150 000 RYANAIR 1.875% 14-17/06/2021 EUR 158 189 0.04 Mexico 4 375 266 1.01 AMERICA MOVIL SA 1.500% 16-10/03/2024 EUR 201 589 0.05 MEXICAN BONOS 10.000% 05-78 456 000 05/12/2024 MXN 4 173 677 0.96 Belgium 1 721 659 0.41 ANHEUSER - BUSCH 0.625% 16-17/03/2020 EUR 203 724 0.05 ANHEUSER - BUSCH 1.500% 16-570 000 17/03/2025 EUR 592 943 0.14 400 000 KBC GROUP NV 0.750% 16-18/10/2023 EUR 394 760 0.09 400 000 SOLVAY SA 1.625% 15-02/12/2022 EUR 418 756 0.10 SOLVAY SA 2.750% 15-02/12/2027 EUR 111 476 0.03 Sweden 1 569 591 0.37 130 000 ATLAS COPCO 0.625% 16-30/08/2026 EUR 125 272 0.03 HEMSO FASTIGHETS 1.000% 16-09/09/2026 EUR 288 447 0.07 NORDEA BANK AB 1.000% 16-22/02/2023 EUR 206 090 0.05 SKF AB 1.625% 15-02/12/2022 EUR 206 050 0.05 SVENSKA HANDELSBANKEN 1.125% 180 000 15-14/12/2022 EUR 187 056 0.04 SVENSKA HANDELSBANKEN 2.750% 12-05/12/2022 GBP 251 066 0.06 SWEDBANK AB 0.625% 15-04/01/2021 EUR 305 610 0.07 Denmark 1 032 126 0.23 ISS GLOBAL A/S 1.125% 14-09/01/2020 EUR 307 179 0.07 ISS GLOBAL A/S 2.125% 14-02/12/2024 EUR 320 991 0.07 400 000 JYSKE BANK A/S 0.625% 16-14/04/2021 EUR 403 956 0.09 Jersey Island 801 956 0.19 UBS GROUP FUNDING 1.500% 16-590 000 30/11/2024 UBS GROUP FUNDING 1.750% 15-16/11/2022 EUR 592 720 0.14 EUR 209 236 0.05 Finland 677 409 0.16 680 000 SAMPO OYJ 1.000% 16-18/09/2023 EUR 677 409 0.16 Austria 641 076 0.15 TELEKOM FINANZ 1.500% 16-07/12/2026 EUR 301 425 0.07 TELEKOM FINANZ 3.125% 13-03/12/2021 EUR 339 651 0.08 Guernsey Island 500 560 0.11 CREDIT SUISSE GP FUN 1.250% 15-500 000 14/04/2022 EUR 500 560 0.11 Luxembourg 461 126 0.11 HOLCIM FINANCE L 1.375% 16-26/05/2023 EUR 307 593 0.07 PROLOGIS INTL II 1.876% 15-150 000 17/04/2025 EUR 153 533 0.04 Poland 308 925 0.07 AUTOSTRADE PER L 1.750% 15-26/06/2026 EUR 308 925 0.07 Page 45
BNP Paribas L1 Bond Europe Plus Expressed in EUR Australia 269 458 0.06 BHP BILLITON FIN 2.250% 12-250 000 25/09/2020 EUR 269 458 0.06 Portugal 102 299 0.02 BRISA CONCESSAO 2.000% 16-22/03/2023 EUR 102 299 0.02 Floating rate bonds 60 225 474 13.81 United States of America 32 300 280 7.41 1 606 084 CAS 2015-C04 2M1 15-25/04/2028 FRN USD 1 527 499 0.35 903 239 CAS 2016-C03 2M1 16-25/10/2028 FRN USD 865 397 0.20 13 050 054 FHR 4092 HS 12-15/08/2042 FRN USD 2 252 587 0.52 6 753 648 FNR 2012-154 S 12-25/01/2043 FRN USD 1 479 125 0.34 14 914 602 FNR 2012-99 SD 12-25/09/2042 FRN USD 3 170 729 0.73 12 425 744 FNR 2013-53 CS 13-25/10/2040 FRN USD 1 878 941 0.43 5 279 666 FNR 2013-72 SY 13-25/07/2043 FRN USD 1 013 471 0.23 5 190 000 FREMF 2012-K23 C 12-25/10/2045 FRN USD 4 791 118 1.10 4 850 000 FREMF 2013-K24 C 13-25/11/2045 FRN USD 4 419 125 1.01 GAHR 2015-NRF CFX 15-1 552 000 15/12/2034 FRN USD 1 479 972 0.34 17 841 346 GNR 2010-H19 JI 10-20/08/2060 FRN USD 1 290 039 0.30 13 341 205 GNR 2011-H03 HI 11-20/01/2061 FRN USD 433 533 0.10 7 314 475 GNR 2011-H05 HI 11-20/01/2061 FRN USD 301 967 0.07 13 542 726 GNR 2012-96 SC 12-20/08/2042 FRN USD 2 590 342 0.59 21 259 809 GNR 2012-H02 AI 12-20/01/2062 FRN USD 796 101 0.18 9 904 365 GNR 2013-H01 FI 13-20/01/2063 FRN USD 809 929 0.19 23 845 510 GNR 2013-H04 BI 13-20/02/2063 FRN USD 1 889 507 0.43 STACR 2015-DNA2 M2 15-1 356 224 25/12/2027 FRN USD 1 310 898 0.30 Cayman Islands 17 593 261 4.03 1 900 000 AMMC 2012-11A BR 16-30/10/2023 FRN USD 1 801 375 0.41 1 800 000 ANCHC 2016-9A B 16-15/01/2029 FRN USD 1 706 566 0.39 4 800 000 BABSN 2014-IIA A 14-17/10/2026 FRN USD 4 549 390 1.04 1 800 000 BLUEM 2012-2A BR 16-20/11/2028 FRN USD 1 706 566 0.39 2 250 000 CGMS 2016-4A A2 16-20/10/2027 FRN USD 2 133 207 0.49 1 500 000 DRSLF 2014-33A BR 16-15/10/2028 FRN USD 1 425 415 0.33 1 LCM 17A BR 16-15/10/2026 FRN USD 1 137 710 0.26 1 500 000 MAGNE 2014-8A BR 16-15/04/2026 FRN USD 1 424 550 0.33 OZLMF 2012-1A A1R 15-1 800 000 22/07/2027 FRN USD 1 708 482 0.39 France 4 165 433 0.96 AXA SA 07-29/10/2049 FRN GBP 369 011 0.08 AXA SA 10-16/04/2040 FRN EUR 334 059 0.08 AXA SA 16-06/07/2047 FRN EUR 101 486 0.02 BNP PARIBAS 14-31/12/2049 FRN EUR 198 672 0.05 BNP PARIBAS 15-29/12/2049 FRN EUR 314 022 0.07 CNP ASSURANCES 15-10/06/2047 FRN EUR 205 180 0.05 250 000 CREDIT AGRICOLE 09-29/10/2049 FRN EUR 290 253 0.07 CREDIT AGRICOLE ASSR 15-29/01/2049 FRN EUR 295 305 0.07 CREDIT AGRICOLE ASSR 16-400 000 27/09/2048 FRN EUR 404 928 0.09 500 000 ENGIE OPEN 14-02/06/2049 FRN EUR 519 560 0.12 SCOR SE 16-27/05/2048 FRN EUR 204 572 0.05 SUEZ 15-29/12/2049 FRN EUR 304 599 0.07 400 000 TOTAL SA 15-29/12/2049 FRN EUR 398 892 0.09 230 000 TOTAL SA 16-29/12/2049 FRN EUR 224 894 0.05 Ireland 2 086 507 0.48 2 DORPK 2015-1A A 15-20/01/2027 FRN USD 2 086 507 0.48 The Netherlands 1 158 661 0.27 ALLIANZ FINANCE 11-08/07/2041 FRN EUR 116 289 0.03 ASR NEDERLAND NV 15-29/09/2045 FRN EUR 212 062 0.05 250 000 ING BANK NV 14-25/02/2026 FRN EUR 272 088 0.06 450 000 SWISS LIFE 16-29/12/2049 FRN EUR 460 472 0.11 TELEFONICA EUROP 16-31/12/2049 FRN EUR 97 750 0.02 Sweden 788 634 0.18 NORDEA BANK AB 16-07/09/2026 FRN EUR 297 246 0.07 SKANDINAVISKA ENSKILDA BANK 502 000 16-31/10/2028 FRN EUR 491 388 0.11 Germany 767 765 0.17 ALLIANZ SE 12-17/10/2042 FRN EUR 354 672 0.08 ENERGIE BADEN-WU 16-309 000 05/04/2077 FRN EUR 309 776 0.07 MERCK 14-12/12/2074 FRN EUR 103 317 0.02 United Kingdom 687 422 0.16 400 000 AVIVA PLC 11-03/06/2041 FRN GBP 519 236 0.12 150 000 AVIVA PLC 16-12/09/2049 FRN GBP 168 186 0.04 Italy 357 126 0.08 ASSICURAZIONI GENERALI 12-12/12/2042 FRN EUR 357 126 0.08 Austria 320 385 0.07 UNIQA INSURANCE 15-27/07/2046 FRN EUR 320 385 0.07 Total securities portfolio 411 602 899 94.28 Page 46
BNP Paribas L1 Bond World Emerging Local Expressed in USD Shares/Units in investment funds 69 763 883 100.16 Luxembourg 69 763 883 100.16 PARVEST BOND WORLD EMERGING 887 468.29 LOCAL - X - CAP USD 69 763 883 100.16 Total securities portfolio 69 763 883 100.16 Page 47
BNP Paribas L1 Bond World Plus Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market 496 295 222 91.65 Bonds 374 852 897 69.23 United States of America 203 310 088 37.53 505 000 ABBVIE INC 0.375% 16-18/11/2019 EUR 508 389 0.09 ACTIVISION BLIZZ 2.300% 16-575 000 15/09/2021 USD 531 072 0.10 450 000 AIR LEASE CORP 2.625% 15-04/09/2018 USD 429 005 0.08 500 000 AIR LEASE CORP 3.875% 14-01/04/2021 USD 488 680 0.09 ALEXANDRIA REAL 4.600% 12-01/04/2022 USD 299 559 0.06 ALLY FINANCIAL 2.750% 13-4 000 000 30/01/2017 USD 3 784 631 0.70 AMERICAN TOWER 3.375% 16-700 000 15/10/2026 USD 627 309 0.12 AMERICAN TOWER 3.500% 13-1 158 000 31/01/2023 USD 1 100 251 0.20 550 000 AMGEN INC 2.600% 16-19/08/2026 USD 480 188 0.09 700 000 APACHE CORP 2.625% 12-15/01/2023 USD 639 845 0.12 250 000 APPLE INC 4.375% 15-13/05/2045 USD 244 255 0.05 500 000 AT&T INC 2.800% 16-17/02/2021 USD 470 059 0.09 700 000 AT&T INC 4.125% 16-17/02/2026 USD 672 352 0.12 AUTONATION INC 6.750% 10-15/04/2018 USD 200 195 0.04 BAKER HUGHES INC 5.125% 10-15/09/2040 USD 208 176 0.04 BANK OF AMERICA CORP 2.600% 13-3 670 000 15/01/2019 USD 3 511 822 0.65 BANK OF AMERICA CORP 2.625% 15-800 000 19/10/2020 USD 757 958 0.14 BANK OF AMERICA CORP 3.248% 16-700 000 21/10/2027 USD 633 501 0.12 BANK OF AMERICA CORP 3.875% 15-4 837 000 01/08/2025 USD 4 658 103 0.86 BANK OF AMERICA CORP 4.000% 15-350 000 22/01/2025 USD 332 058 0.06 BANK OF AMERICA CORP 4.200% 14-350 000 26/08/2024 USD 338 074 0.06 BANK OF AMERICA CORP 5.625% 10-600 000 01/07/2020 USD 624 631 0.12 BBCMS 2016-ETC C 3.391% 16-2 650 000 14/08/2036 USD 2 474 523 0.46 BORG-WARNER AUTO 3.375% 15-255 000 15/03/2025 USD 236 679 0.04 BORG-WARNER AUTO 4.375% 15-120 000 15/03/2045 USD 109 783 0.02 BOSTON PROPERTIES LP 3.650% 16-350 000 01/02/2026 USD 328 643 0.06 BUNGE LTD FIN CP 3.250% 16-1 000 000 15/08/2026 USD 910 282 0.17 BURLINGTON NORTH 4.450% 13-350 000 15/03/2043 USD 349 960 0.06 CAPITAL ONE FINL 3.750% 16-500 000 28/07/2026 USD 458 976 0.08 CAPITAL ONE FINL 4.200% 15-400 000 29/10/2025 USD 382 130 0.07 600 000 CARGILL INC 4.307% 11-14/05/2021 USD 605 603 0.11 CF INDUSTRIES IN 3.400% 16-280 000 01/12/2021 USD 261 890 0.05 CGCMT 2014-GC25 B 4.345% 14-5 970 000 10/10/2047 USD 5 818 619 1.07 CGCMT 2016-GC37 B 4.233% 16-1 000 000 10/04/2049 USD 937 883 0.17 CITIGROUP INC 2.050% 15-07/12/2018 USD 189 535 0.03 350 000 CITIGROUP INC 4.600% 16-09/03/2026 USD 342 803 0.06 COMCAST CORP 3.375% 15-15/08/2025 USD 95 439 0.02 550 000 COMCAST CORP 4.200% 14-15/08/2034 USD 534 868 0.10 225 000 COMCAST CORP 4.400% 15-15/08/2035 USD 224 076 0.04 COMCAST CORP 6.450% 06-15/03/2037 USD 368 149 0.07 CONOCOPHILLIPS CO 2.400% 12-275 000 15/12/2022 USD 252 067 0.05 CONOCOPHILLIPS CO 6.500% 09-400 000 01/02/2039 USD 480 315 0.09 CONSTELLATION BR 3.700% 16-500 000 06/12/2026 USD 466 343 0.09 CROWN CASTLE INTL 3.400% 16-800 000 15/02/2021 USD 767 924 0.14 330 000 CSX CORP 3.350% 15-01/11/2025 USD 313 681 0.06 CVS HEALTH CORP 3.500% 15-147 000 20/07/2022 USD 143 035 0.03 DEERE & CO 5.375% 09-16/10/2029 USD 340 844 0.06 DIAMOND 1 FIN/DI 4.420% 16-700 000 15/06/2021 USD 687 211 0.13 DISCOVER BANK 7.000% 10-750 000 15/04/2020 USD 783 065 0.14 DISCOVER FINANCIAL SERVICES 3.750% 15-04/03/2025 USD 276 250 0.05 DOMINION RESOURCES 5.250% 03-350 000 01/08/2033 USD 359 129 0.07 DOMINION RESOURCES 6.300% 03-15/03/2033 USD 225 572 0.04 DOW CHEMICAL CO 4.375% 12-400 000 15/11/2042 USD 369 195 0.07 DUKE ENERGY CORP 1.625% 12-15/08/2017 USD 94 956 0.02 ENERGY TRAN PTNR 6.700% 08-500 000 01/07/2018 USD 504 129 0.09 ENTERPRISE OP LLC 6.500% 08-250 000 31/01/2019 USD 257 796 0.05 ENTERPRISE PRODU 4.450% 12-15/02/2043 USD 270 718 0.05 EXELON CORP 4.950% 16-15/06/2035 USD 301 360 0.06 700 000 FCAT 2016-1 C 6.220% 16-15/06/2022 USD 700 871 0.13 180 000 FEDEX CORP 0.500% 16-09/04/2020 EUR 181 856 0.03 250 000 FEDEX CORP 3.200% 15-01/02/2025 USD 236 094 0.04 FEDEX CORP 4.900% 14-15/01/2034 USD 203 688 0.04 1 293 338 FG G08707 4.000% 16-01/05/2046 USD 1 289 401 0.24 3 000 000 FG G18626 2.500% 16-01/01/2032 USD 2 852 834 0.53 1 894 071 FG Q40087 3.500% 16-01/04/2046 USD 1 845 705 0.34 16 999 503 FHR 4187 CI 3.000% 13-15/04/2033 USD 2 272 175 0.42 6 092 712 FHS 303 C15 3.500% 13-15/01/2043 USD 1 249 147 0.23 5 211 735 FHS 303 C33 4.500% 13-15/01/2043 USD 1 165 502 0.22 7 034 031 FHS 303 C34 4.500% 13-15/12/2040 USD 1 384 641 0.26 10 830 323 FHS 324 C16 3.000% 14-15/08/2033 USD 1 416 734 0.26 11 676 423 FHS 324 C17 3.500% 14-15/12/2033 USD 1 706 070 0.32 FIVE COR FND TRS 4.419% 13-1 050 000 15/11/2023 USD 1 052 150 0.19 870 978 FN AL8571 5.500% 16-01/03/2040 USD 925 397 0.17 755 732 FN AL8867 5.000% 16-01/09/2041 USD 784 678 0.14 1 392 025 FN AL9285 3.500% 16-01/10/2046 USD 1 354 368 0.25 1 643 973 FN AS7248 4.000% 16-01/05/2046 USD 1 640 593 0.30 1 327 977 FN AS7252 4.500% 16-01/05/2046 USD 1 355 654 0.25 848 592 FN AY8860 3.500% 15-01/11/2045 USD 826 583 0.15 784 415 FN AZ7481 3.500% 15-01/09/2045 USD 763 148 0.14 1 733 085 FN BA2845 3.500% 16-01/04/2046 USD 1 688 380 0.31 1 020 475 FN BC0305 4.000% 16-01/03/2046 USD 1 018 548 0.19 3 592 617 FN BC0964 3.500% 16-01/06/2046 USD 3 495 392 0.65 1 835 036 FN BC8724 4.000% 16-01/06/2046 USD 1 831 636 0.34 993 676 FNR 2002-95 DB 6.000% 02-25/01/2033 USD 1 109 669 0.20 11 419 874 FNR 2013-33 BI 3.000% 13-25/04/2033 USD 1 513 666 0.28 7 843 350 FNR 2016-25 IO 4.000% 16-25/05/2046 USD 1 460 692 0.27 8 452 352 FNS 418 C13 3.500% 13-25/08/2033 USD 1 183 212 0.22 FORD MOTOR CO 6.625% 98-400 000 01/10/2028 USD 445 687 0.08 FORD MOTOR CRED 2.240% 15-450 000 15/06/2018 USD 427 089 0.08 FORD MOTOR CRED 3.664% 14-525 000 08/09/2024 USD 487 226 0.09 FORD MOTOR CRED 8.125% 09-450 000 15/01/2020 USD 490 838 0.09 FORD MOTOR CREDIT 4.389% 16-250 000 08/01/2026 USD 240 436 0.04 FORTUNE BRANDS 3.000% 15-550 000 15/06/2020 USD 525 148 0.10 326 507 G2 2658 6.500% 98-20/10/2028 USD 358 115 0.07 295 073 G2 2767 6.500% 99-20/06/2029 USD 323 869 0.06 2 157 284 G2 MA3937 3.500% 16-20/09/2046 USD 2 129 535 0.39 Page 48
BNP Paribas L1 Bond World Plus Expressed in EUR 1 855 677 G2 MA3938 4.000% 16-20/09/2046 USD 1 870 803 0.35 1 388 413 G2 MA4004 3.500% 16-20/10/2046 USD 1 370 499 0.25 2 G2 MA4127 3.500% 16-20/12/2046 USD 2 072 906 0.38 GEN ELECTRIC CO 4.500% 14-11/03/2044 USD 202 402 0.04 GEN MOTORS FIN 0.955% 16-810 000 07/09/2023 EUR 785 700 0.15 GEN MOTORS FIN 3.200% 15-500 000 13/07/2020 USD 474 639 0.09 GEN MOTORS FIN 4.000% 15-225 000 15/01/2025 USD 207 721 0.04 GEN MOTORS FIN 4.375% 14-4 740 000 25/09/2021 USD 4 645 627 0.86 GENERAL MOTORS CO 3.500% 14-7 360 000 02/10/2018 USD 7 108 794 1.31 GENERAL MOTORS CO 5.200% 14-700 000 01/04/2045 USD 637 118 0.12 GEORGIA POWER 4.300% 12-700 000 15/03/2042 USD 670 560 0.12 GILEAD SCIENCES 5.650% 11-350 000 01/12/2041 USD 384 451 0.07 GOLDMAN SACHS GP 2.350% 16-450 000 15/11/2021 USD 414 840 0.08 GOLDMAN SACHS GP 2.600% 15-350 000 23/04/2020 USD 332 141 0.06 GOLDMAN SACHS GP 2.875% 16-310 000 25/02/2021 USD 295 146 0.05 GOLDMAN SACHS GP 4.000% 14-4 626 000 03/03/2024 USD 4 539 335 0.84 GOLDMAN SACHS GP 4.250% 15-990 000 21/10/2025 USD 955 788 0.18 GOLDMAN SACHS GP 4.800% 14-08/07/2044 USD 99 419 0.02 GOLDMAN SACHS GP 5.950% 06-250 000 15/01/2027 USD 269 400 0.05 GOLDMAN SACHS GP 6.125% 03-250 000 15/02/2033 USD 287 566 0.05 4 574 000 HP ENTERPRISE 3.600% 15-15/10/2020 USD 4 417 623 0.82 INGERSOLL-RAND GL 4.250% 14-450 000 15/06/2023 USD 450 593 0.08 275 000 INGREDION INC 3.200% 16-01/10/2026 USD 254 530 0.05 5 589 000 INTL LEASE FIN 7.125% 10-01/09/2018 USD 5 710 344 1.05 240 000 INTL PAPER CO 3.000% 16-15/02/2027 USD 214 636 0.04 JP MORGAN CHASE 0.625% 16-580 000 25/01/2024 EUR 566 712 0.10 JP MORGAN CHASE 1.700% 15-150 000 01/03/2018 USD 142 134 0.03 JP MORGAN CHASE 3.125% 15-23/01/2025 USD 278 256 0.05 JP MORGAN CHASE 4.250% 15-110 000 01/10/2027 USD 107 252 0.02 JP MORGAN CHASE 4.950% 15-1 000 000 01/06/2045 USD 1 014 089 0.19 JP MORGAN CHASE 6.000% 07-500 000 01/10/2017 USD 489 192 0.09 JP MORGAN CHASE 6.300% 09-23/04/2019 USD 310 495 0.06 425 000 KEMPER 4.350% 15-15/02/2025 USD 399 776 0.07 KEYSIGHT TECHNOL 4.550% 15-600 000 30/10/2024 USD 567 132 0.10 KILROY REALTY LP 4.250% 14-15/08/2029 USD 184 332 0.03 450 000 KIMCO REALTY 3.200% 14-01/05/2021 USD 431 689 0.08 KINDER MORGAN 3.050% 14-400 000 01/12/2019 USD 383 541 0.07 KINDER MORGAN 5.300% 14-250 000 01/12/2034 USD 242 017 0.04 KRAFT HEINZ FOOD 3.000% 16-1 000 000 01/06/2026 USD 889 396 0.16 LENNOX INTERNATIONAL INC 275 000 3.000% 16-15/11/2023 USD 252 838 0.05 LIBERTY MUTUAL 4.250% 13-425 000 15/06/2023 USD 421 813 0.08 130 000 MAGELLAN MID 3.200% 15-15/03/2025 USD 119 230 0.02 335 000 MAGELLAN MID 4.200% 15-15/03/2045 USD 288 692 0.05 MARATHON OIL CORP 3.850% 15-500 000 01/06/2025 USD 457 454 0.08 500 000 MARRIOTT INTL 3.125% 16-15/06/2026 USD 449 974 0.08 MERRILL LYNCH 7.750% 08-14/05/2038 USD 261 747 0.05 MIDAMERICAN ENER HOLDING 250 000 6.125% 06-01/04/2036 USD 296 952 0.05 MORGAN STANLEY 2.375% 14-600 000 23/07/2019 USD 570 272 0.11 MORGAN STANLEY 3.125% 14-1 700 000 05/08/2021 CAD 1 239 391 0.23 MORGAN STANLEY 3.700% 14-650 000 23/10/2024 USD 623 593 0.12 MORGAN STANLEY 4.350% 14-575 000 08/09/2026 USD 557 288 0.10 MORGAN STANLEY 5.000% 13-4 503 000 24/11/2025 USD 4 557 732 0.84 MORGAN STANLEY 7.300% 09-13/05/2019 USD 211 100 0.04 MSBAM 2015-C20 AS 3.605% 15-1 390 000 15/02/2048 USD 1 323 556 0.24 MSBAM 2015-C22 B 3.883% 15-5 871 000 15/04/2048 USD 5 436 334 1.00 MYLAN NV 1.250% 16-23/11/2020 EUR 203 666 0.04 NBC UNIVERSAL ENT 1.974% 13-1 600 000 15/04/2019 USD 1 521 361 0.28 NEWELL RUBBERMAID 3.150% 16-600 000 01/04/2021 USD 579 436 0.11 NORTHROP GRUMMAN 3.850% 15-50 000 15/04/2045 USD 45 348 0.01 NORTHROP GRUMMAN 7.750% 01-15/02/2031 USD 261 163 0.05 NORTHROP GRUMMAN 7.875% 96-01/03/2026 USD 247 039 0.05 450 000 NVIDIA CORP 3.200% 16-16/09/2026 USD 409 934 0.08 OMEGA HEALTHCARE 4.375% 16-315 000 01/08/2023 USD 294 115 0.05 ORACLE CORP 4.300% 14-08/07/2034 USD 98 068 0.02 PACKAGING CORP 3.650% 14-250 000 15/09/2024 USD 237 616 0.04 PLAINS ALL AMER 5.750% 09-345 000 15/01/2020 USD 354 718 0.07 PRINCIPAL FINANCIAL 3.100% 16-625 000 15/11/2026 USD 569 471 0.11 PROG ENER CAR 4.100% 12-15/05/2042 USD 283 944 0.05 700 000 PROLOGIS LP 3.750% 15-01/11/2025 USD 679 241 0.13 REGIONS BK ALAB 7.500% 08-250 000 15/05/2018 USD 253 456 0.05 400 000 REGIONS FINL 3.200% 16-08/02/2021 USD 385 270 0.07 250 000 REPUBLIC SVCS 2.900% 16-01/07/2026 USD 226 558 0.04 RETAIL PROPERTIE 4.000% 15-375 000 15/03/2025 USD 339 240 0.06 ROPER TECHNOLOGIES 3.800% 16-290 000 15/12/2026 USD 277 589 0.05 SCHLUMBERGER HLD 3.000% 15-800 000 21/12/2020 USD 771 906 0.14 SUNOCO LOGISTICS 3.900% 16-325 000 15/07/2026 USD 298 489 0.06 SUNTRUST BANKS 2.900% 16-03/03/2021 USD 191 589 0.04 SYNCHRONY FINANCIAL 4.250% 14-150 000 15/08/2024 USD 144 552 0.03 500 000 SYSCO CORP 6.500% 98-01/08/2028 USD 621 608 0.11 TEACHERS INS&ANN 4.900% 14-175 000 15/09/2044 USD 177 306 0.03 915 000 TESORO CORP 5.125% 16-15/12/2026 USD 876 179 0.16 570 000 THERMO FISHER 0.750% 16-12/09/2024 EUR 552 153 0.10 TIME WARNER CABLE 6.750% 08-500 000 01/07/2018 USD 506 044 0.09 TIME WARNER INC 3.800% 16-500 000 15/02/2027 USD 472 159 0.09 TYSON FOODS INC 4.875% 14-150 000 15/08/2034 USD 144 880 0.03 UNDER ARMOUR INC 3.250% 16-250 000 15/06/2026 USD 223 970 0.04 US TREASURY N/B 2.500% 13-12 000 000 15/08/2023 USD 11 582 347 2.14 US TSY INFL IX N/B 0.625% 11-17 159 680 15/07/2021 USD 16 788 799 3.10 US TSY INFL IX N/B 1.000% 16-4 233 623 15/02/2046 USD 4 020 135 0.74 VALERO ENERGY 3.400% 16-225 000 15/09/2026 USD 204 361 0.04 VALERO ENERGY PA 4.375% 16-575 000 15/12/2026 USD 553 270 0.10 VERIZON COMMUNICATIONS INC 839 000 4.522% 15-15/09/2048 USD 761 420 0.14 VERIZON COMMUNICATIONS INC 900 000 4.600% 11-01/04/2021 USD 915 376 0.17 Page 49
BNP Paribas L1 Bond World Plus Expressed in EUR VERIZON COMMUNICATIONS INC 250 000 4.862% 15-21/08/2046 USD 239 460 0.04 VERIZON COMMUNICATIONS INC 2 509 000 5.150% 13-15/09/2023 USD 2 625 845 0.48 VERIZON COMMUNICATIONS INC 6.550% 13-15/09/2043 USD 355 498 0.07 WALT DISNEY CO 2.300% 16-130 000 12/02/2021 USD 123 644 0.02 WALT DISNEY CO 4.125% 14-01/06/2044 USD 294 536 0.05 WASTE MANAGEMENT 4.100% 15-01/03/2045 USD 284 052 0.05 WELLS FARGO & CO 2.500% 16-700 000 04/03/2021 USD 659 078 0.12 WELLS FARGO & CO 3.300% 14-800 000 09/09/2024 USD 751 966 0.14 WELLS FARGO & CO 4.400% 16-650 000 14/06/2046 USD 591 954 0.11 WESTLAKE CHEMICAL 3.600% 16-600 000 15/08/2026 USD 546 636 0.10 WHIRLPOOL CORP 4.000% 14-400 000 01/03/2024 USD 393 306 0.07 WHIRLPOOL CORP 4.500% 16-250 000 01/06/2046 USD 231 406 0.04 235 000 XYLEM INC 3.250% 16-01/11/2026 USD 216 766 0.04 ZIMMER HOLDINGS 3.550% 15-190 000 01/04/2025 USD 175 634 0.03 Japan 31 532 386 5.81 JAPAN GOVT 10-YR 0.800% 13-2 800 000 000 20/09/2023 JPY 24 094 592 4.44 JAPAN GOVT 20-YR 0.400% 16-548 000 000 20/03/2036 JPY 4 346 019 0.80 JAPAN GOVT 30-YR 0.800% 16-370 000 000 20/03/2046 JPY 3 091 775 0.57 Norway 31 253 355 5.76 NORWEGIAN GOVT 1.750% 15-280 000 000 13/03/2025 NOK 31 253 355 5.76 United Kingdom 27 354 357 5.06 BARCLAYS BANK PLC 1.875% 16-510 000 08/12/2023 EUR 517 747 0.10 BARCLAYS BANK PLC 6.000% 10-400 000 14/01/2021 EUR 464 060 0.09 BAT INTL FINANCE 2.250% 16-600 000 09/09/2052 GBP 581 043 0.11 CREDIT AGRICOLE 1.875% 16-500 000 20/12/2026 EUR 501 630 0.09 400 000 EASYJET PLC 1.125% 16-18/10/2023 EUR 391 612 0.07 FCE BANK PLC 1.528% 15-09/11/2020 EUR 310 893 0.06 400 000 FCE BANK PLC 1.875% 14-18/04/2019 EUR 416 360 0.08 HAMMERSON PLC 3.500% 15-500 000 27/10/2025 GBP 625 902 0.12 HEATHROW FUNDING 1.875% 14-23/05/2022 EUR 214 734 0.04 HSBC HOLDINGS PLC 1.500% 16-490 000 15/03/2022 EUR 510 962 0.09 HSBC HOLDINGS PLC 2.650% 16-1 000 000 05/01/2022 USD 925 736 0.17 LLOYDS BANK PLC 1.000% 14-500 000 19/11/2021 EUR 516 360 0.10 MOTABILITY OPS 3.625% 16-490 000 10/03/2036 GBP 664 864 0.12 12 920 166 UK TSY I/L GILT 0.125% 15-22/03/2026 GBP 18 282 126 3.37 UNITED KINGDOM G 3.500% 14-1 22/01/2045 GBP 2 066 293 0.38 VODAFONE GROUP 5.625% 03-250 000 04/12/2025 GBP 364 035 0.07 Mexico 18 871 241 3.49 MEXICAN BONOS 10.000% 05-323 500 000 05/12/2024 MXN 17 209 447 3.18 MEXICAN BONOS 6.500% 11-34 460 700 10/06/2021 MXN 1 545 295 0.29 PETROLEOS MEXICA 5.375% 16-120 000 13/03/2022 USD 116 499 0.02 Italy 14 120 599 2.61 INTESA SANPAOLO 3.875% 13-5 000 000 15/01/2019 USD 4 827 021 0.89 9 ITALY BTPS 2.700% 16-01/03/2047 EUR 8 815 808 1.63 500 000 SNAM SPA 0.875% 16-25/10/2026 EUR 477 770 0.09 France 11 402 050 2.11 AUTOROUTES DU SUD 1.000% 16-13/05/2026 EUR 297 543 0.05 AUTOROUTES PARIS 1.125% 14-15/01/2021 EUR 206 552 0.04 AUTOROUTES PARIS 1.125% 16-400 000 09/01/2026 EUR 400 656 0.07 AUTOROUTES PARIS 1.500% 15-500 000 15/01/2024 EUR 523 620 0.10 BANQUE FED CREDIT MUTUEL 400 000 1.875% 16-04/11/2026 EUR 384 504 0.07 500 000 BNP PARIBAS 2.250% 16-11/01/2027 EUR 485 860 0.09 CIE DE ST GOBAIN 0.000% 16-900 000 27/03/2020 EUR 896 076 0.17 CNP ASSURANCES 1.875% 16-20/10/2022 EUR 304 410 0.06 2 FRANCE O.A.T. 1.250% 16-25/05/2036 EUR 2 073 183 0.38 HOLDING DINFRA 2.250% 14-400 000 24/03/2025 EUR 436 040 0.08 2 500 000 ORANGE 8.000% 02-20/12/2017 GBP 3 133 757 0.58 PERNOD RICARD SA 3.250% 16-700 000 08/06/2026 USD 636 474 0.12 SCHNEIDER ELEC 0.250% 16-500 000 09/09/2024 EUR 481 535 0.09 SOCIETE GENERALE 1.000% 16-500 000 01/04/2022 EUR 502 120 0.09 UNIBAIL-RODAMCO 1.125% 16-250 000 28/04/2027 EUR 247 468 0.05 400 000 WENDEL SA 1.000% 16-20/04/2023 EUR 392 252 0.07 The Netherlands 10 073 797 1.89 ABN AMRO BANK NV 2.250% 13-2 400 000 11/09/2017 GBP 2 843 871 0.53 BMW FINANCE NV 0.875% 16-600 000 16/08/2022 GBP 683 112 0.13 DEUTSCHE ANN FIN 1.500% 15-31/03/2025 EUR 302 793 0.06 DEUTSCHE ANN FIN 3.125% 13-25/07/2019 EUR 215 030 0.04 EDP FINANCE BV 2.375% 16-720 000 23/03/2023 EUR 744 300 0.14 GAS NAT FENOSA F 1.250% 16-19/04/2026 EUR 300 912 0.06 IBERDROLA INTL 1.125% 15-27/01/2023 EUR 102 619 0.02 IBERDROLA INTL 1.125% 16-21/04/2026 EUR 199 418 0.04 KONINKLIJKE KPN 0.625% 16-500 000 09/04/2025 EUR 478 325 0.09 MONDELEZ INTERNATIONAL INC 1 250 000 2.000% 16-28/10/2021 USD 1 135 210 0.21 NXP BV/NXP FUNDI 3.875% 16-1 500 000 01/09/2022 USD 1 441 692 0.27 REN FINANCE BV 1.750% 16-470 000 01/06/2023 EUR 480 735 0.09 525 000 SHELL INTL FIN 4.125% 15-11/05/2035 USD 505 135 0.09 TEVA PHARMACEUT 2.800% 16-720 000 21/07/2023 USD 640 645 0.12 Spain 8 548 292 1.57 400 000 ENAGAS FIN SA 1.375% 16-05/05/2028 EUR 399 452 0.07 FERROVIAL EMISIO 0.375% 16-700 000 14/09/2022 EUR 681 898 0.13 GAS NATURAL CAP 4.500% 10-150 000 27/01/2020 EUR 170 031 0.03 MAPFRE 1.625% 16-19/05/2026 EUR 99 881 0.02 MERLIN PROPERTIES 1.875% 16-760 000 02/11/2026 EUR 727 092 0.13 6 000 000 SPANISH GOVT 0.750% 16-30/07/2021 EUR 6 130 380 1.13 TELEFONICA EMIS 4.710% 12-20/01/2020 EUR 339 558 0.06 Canada 5 247 101 0.98 BROOKFIELD FIN 4.250% 16-500 000 02/06/2026 USD 467 461 0.09 3 000 000 CANADA GOVT 3.500% 11-01/12/2045 CAD 2 635 618 0.49 400 000 ENBRIDGE INC 4.250% 16-01/12/2026 USD 388 084 0.07 900 000 FORTIS INC 3.055% 16-04/10/2026 USD 797 069 0.15 Page 50
BNP Paribas L1 Bond World Plus Expressed in EUR ROGERS COMMUNICATIONS INC 3.625% 15-15/12/2025 USD 191 380 0.04 ROGERS COMMUNICATIONS INC 700 000 5.340% 11-22/03/2021 CAD 557 540 0.10 ROGERS COMMUNICATIONS INC 5.450% 13-01/10/2043 USD 209 949 0.04 Germany 3 058 848 0.57 440 000 BASF SE 0.875% 16-06/10/2031 EUR 412 372 0.08 COMMERZBANK AG 0.500% 16-500 000 13/09/2023 EUR 476 755 0.09 DT PFANDBRIEFBAN 1.875% 12-1 800 000 20/12/2019 GBP 2 169 721 0.40 Ireland 2 568 021 0.47 AERCAP IRELAND C 3.950% 16-01/02/2022 USD 286 205 0.05 FCA CAPITAL IRELAND 1.625% 16-950 000 29/09/2021 GBP 1 092 455 0.20 PARTNERRE IRELAND 1.250% 16-560 000 15/09/2026 EUR 538 003 0.10 RZD CAPITAL PLC 9.200% 16-42 000 000 07/10/2023 RUB 651 358 0.12 Israel 1 491 683 0.27 ISRAEL CPI 1.750% 13-1 500 000 29/09/2023 FLAT ILS 406 118 0.07 ISRAEL ELECTRIC 6.875% 13-1 000 000 21/06/2023 USD 1 085 565 0.20 Poland 1 468 175 0.27 1 611 000 REP OF POLAND 3.250% 16-06/04/2026 USD 1 468 175 0.27 United Arab Emirates 664 138 0.12 600 000 DUBAI GOVT 7.750% 10-05/10/2020 USD 664 138 0.12 Malaysia 644 680 0.12 MALAYSIAN GOVT 3.480% 13-3 15/03/2023 MYR 644 680 0.12 Luxembourg 592 838 0.11 ACTAVIS FUNDING 4.550% 15-380 000 15/03/2035 USD 354 150 0.07 ACTAVIS FUNDING 4.750% 15-255 000 15/03/2045 USD 238 688 0.04 Jersey Island 592 720 0.11 UBS GROUP FUNDING 1.500% 16-590 000 30/11/2024 EUR 592 720 0.11 Qatar 584 499 0.11 STATE OF QATAR 9.750% 00-400 000 15/06/2030 USD 584 499 0.11 Sweden 576 894 0.11 HEMSO FASTIGHETS 1.000% 16-600 000 09/09/2026 EUR 576 894 0.11 Austria 502 375 0.09 TELEKOM FINANZ 1.500% 16-500 000 07/12/2026 EUR 502 375 0.09 Belgium 394 760 0.07 400 000 KBC GROUP NV 0.750% 16-18/10/2023 EUR 394 760 0.07 Floating rate bonds 121 442 325 22.42 United States of America 91 592 929 16.90 690 000 CAS 2014-C03 2M2 14-25/07/2024 FRN USD 657 483 0.12 2 392 737 CAS 2015-C04 2M1 15-25/04/2028 FRN USD 2 275 662 0.42 3 636 726 CAS 2016-C03 2M1 16-25/10/2028 FRN USD 3 484 361 0.64 750 000 CAS 2016-C06 1M2 16-25/04/2029 FRN USD 735 320 0.14 700 000 CAS 2016-C07 2M2 16-25/04/2029 FRN USD 683 452 0.13 CGCMT 2013-GC17 C 13-2 10/11/2046 FRN USD 2 061 828 0.38 3 500 000 COMM 2014-CR17 C 14-10/05/2047 FRN USD 3 420 331 0.63 5 500 000 COMM 2014-CR20 C 14-10/11/2047 FRN USD 5 149 166 0.95 8 500 000 COMM 2015-CR26 D 15-10/10/2048 FRN USD 5 600 292 1.03 805 557 FH 840425 16-01/09/2043 FRN USD 778 176 0.14 1 601 842 FH 848894 12-01/11/2042 FRN USD 1 558 766 0.29 11 434 549 FHR 4120 BS 12-15/10/2032 FRN USD 1 986 586 0.37 12 293 711 FHR 4480 WS 15-15/06/2045 FRN USD 2 583 516 0.48 1 336 202 FN AL4524 13-01/09/2043 FRN USD 1 285 591 0.24 1 531 910 FN BD3812 16-01/08/2046 FRN USD 1 474 821 0.27 1 216 161 FN BD4512 16-01/11/2044 FRN USD 1 186 162 0.22 29 059 966 FNR 2012-15 S 12-25/03/2042 FRN USD 4 778 853 0.88 10 154 906 FNR 2012-16 HS 12-25/03/2042 FRN USD 1 865 521 0.34 10 433 065 FNR 2012-44 SA 12-25/05/2042 FRN USD 1 945 723 0.36 13 764 774 FNR 2012-99 SD 12-25/09/2042 FRN USD 2 926 285 0.54 16 239 946 FNR 2012-99 SK 12-25/09/2042 FRN USD 3 699 037 0.68 18 272 782 FNR 2013-118 SB 13-25/12/2043 FRN USD 3 357 572 0.62 19 141 904 FNR 2013-3 SB 13-25/02/2043 FRN USD 3 513 786 0.65 26 038 391 FNR 2013-53 CS 13-25/10/2040 FRN USD 3 937 358 0.73 3 833 339 FNR 2013-72 SY 13-25/07/2043 FRN USD 735 838 0.14 16 527 296 FNR 2013-81 JS 13-25/12/2042 FRN USD 2 500 298 0.46 3 170 501 FNR 2016-75 SC 16-25/10/2046 FRN USD 549 529 0.10 7 148 167 FNR 2016-79 LS 16-25/11/2046 FRN USD 1 566 300 0.29 5 376 081 GNR 2010-H19 JI 10-20/08/2060 FRN USD 388 724 0.07 3 805 792 GNR 2011-H03 HI 11-20/01/2061 FRN USD 123 672 0.02 2 084 968 GNR 2011-H05 HI 11-20/01/2061 FRN USD 86 075 0.02 17 066 357 GNR 2012-94 SB 12-20/07/2042 FRN USD 3 989 366 0.74 6 502 348 GNR 2012-H02 AI 12-20/01/2062 FRN USD 243 489 0.04 2 829 819 GNR 2013-H01 FI 13-20/01/2063 FRN USD 231 408 0.04 25 646 131 GNR 2013-H04 BI 13-20/02/2063 FRN USD 2 032 188 0.38 7 167 982 GNR 2015-124 AS 15-20/09/2045 FRN USD 1 535 177 0.28 11 039 680 GNR 2015-124 SB 15-20/09/2045 FRN USD 2 236 287 0.41 12 213 114 GNR 2015-162 IM 15-20/11/2045 FRN USD 2 667 445 0.49 8 622 450 GNR 2015-45 GS 15-20/02/2045 FRN USD 1 619 667 0.30 3 012 713 GNR 2016-51 MS 16-20/04/2046 FRN USD 610 897 0.11 3 000 000 GSMS 2013-GC10 C 13-10/02/2046 FRN USD 2 863 100 0.53 874 888 LXS 2005-1 2A2 05-25/07/2035 FRN USD 821 687 0.15 500 000 METLIFE INC 06-15/12/2036 FRN USD 511 410 0.09 STACR 2015-DNA2 M2 15-4 068 673 25/12/2027 FRN USD 3 932 695 0.73 STACR 2016-HQA3 M3 16-725 000 25/03/2029 FRN USD 688 443 0.13 STACR 2016-HQA4 M3 16-750 000 25/04/2029 FRN USD 713 586 0.13 Cayman Islands 21 600 231 3.99 2 AMMC 2012-11A BR 16-30/10/2023 FRN USD 2 085 802 0.39 2 ANCHC 2016-9A B 16-15/01/2029 FRN USD 2 180 612 0.40 6 000 000 BABSN 2014-IIA A 14-17/10/2026 FRN USD 5 686 737 1.05 2 BLUEM 2012-2A BR 16-20/11/2028 FRN USD 2 085 802 0.39 2 800 000 CGMS 2016-4A A2 16-20/10/2027 FRN USD 2 654 658 0.49 1 850 000 DRSLF 2014-33A BR 16-15/10/2028 FRN USD 1 758 011 0.32 1 450 000 LCM 17A BR 16-15/10/2026 FRN USD 1 374 733 0.25 1 800 000 MAGNE 2014-8A BR 16-15/04/2026 FRN USD 1 709 460 0.32 OZLMF 2012-1A A1R 15-2 175 000 22/07/2027 FRN USD 2 064 416 0.38 France 3 518 671 0.64 350 000 AXA SA 16-06/07/2047 FRN EUR 355 201 0.07 500 000 BNP PARIBAS 14-31/12/2049 FRN EUR 496 680 0.09 CNP ASSURANCES 10-14/09/2040 FRN EUR 112 448 0.02 CNP ASSURANCES 14-05/06/2045 FRN EUR 205 590 0.04 CREDIT AGRICOLE 09-29/10/2049 FRN EUR 232 202 0.04 CREDIT AGRICOLE ASSR 16-400 000 27/09/2048 FRN EUR 404 928 0.07 500 000 ENGIE OPEN 14-02/06/2049 FRN EUR 519 560 0.10 500 000 SUEZ 15-29/12/2049 FRN EUR 507 665 0.09 500 000 TOTAL SA 15-29/12/2049 FRN EUR 498 615 0.09 190 000 TOTAL SA 16-29/12/2049 FRN EUR 185 782 0.03 Ireland 2 465 872 0.46 2 600 000 DORPK 2015-1A A 15-20/01/2027 FRN USD 2 465 872 0.46 Page 51
BNP Paribas L1 Bond World Plus Expressed in EUR Sweden 1 084 684 0.20 500 000 NORDEA BANK AB 16-07/09/2026 FRN EUR 495 410 0.09 SKANDINAVISKA ENSKILDA BANK 602 000 16-31/10/2028 FRN EUR 589 274 0.11 Germany 526 557 0.10 ALLIANZ SE 14-29/09/2049 FRN EUR 102 602 0.02 ENERGIE BADEN-WU 16-258 000 05/04/2077 FRN EUR 258 648 0.05 160 000 MERCK 14-12/12/2074 FRN EUR 165 307 0.03 Italy 457 881 0.09 ASSICURAZIONI GENERALI 12-10/07/2042 FRN EUR 260 114 0.05 ASSICURAZIONI GENERALI 15-190 000 27/10/2047 FRN EUR 197 767 0.04 The Netherlands 195 500 0.04 TELEFONICA EUROP 16-31/12/2049 FRN EUR 195 500 0.04 Other transferable securities 53 217 232 9.82 To be Announced ("TBA") 53 217 232 9.82 Mortgage Backed Securities United States of America 53 217 232 9.82 2 000 000 FGLMC 3.5 1/11 3.500% 11-15/09/2040 USD 1 938 256 0.36 (2 ) FGLMC 4 1/11 4.000% 11-15/09/2040 USD (2 088 676) (0.39) 4 500 000 FNCI 3 1/15 3.000% 15-25/06/2029 USD 4 371 741 0.81 3 FNCI 3.5 1/12 3.500% 12-25/07/2026 USD 3 059 404 0.56 10 000 000 FNCL 3 1/13 3.000% 13-25/10/2042 USD 9 403 887 1.74 23 900 000 FNCL 3.5 1/12 3.500% 12-25/06/2041 USD 23 183 397 4.27 2 700 000 FNCL 4.000% 10-25/09/2039 USD 2 687 041 0.50 3 800 000 FNCL 4.5 1/12 4.500% 12-25/03/2040 USD 3 868 452 0.71 2 500 000 FNCL 5 1/11 5.000% 11-25/08/2037 USD 2 579 106 0.48 4 400 000 G2SF 3 1/13 3.000% 13-20/05/2042 USD 4 214 624 0.78 Shares/Units in investment funds 2 293 0.00 0.78 Luxembourg 2 293 0.00 BNPP FLEXI I US MORTGAGE - X - CAP USD 2 293 0.00 Total securities portfolio 549 514 747 101.47 Page 52
BNP Paribas L1 Convertible Bond Best Selection Europe Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or 139 574 657 97.02 traded on another regulated market Convertible bonds 139 574 657 97.02 France 38 445 981 26.72 AIRBUS GROUP SE 0.000% 16-3 14/06/2021 CV EUR 3 519 328 2.45 2 269 182 BIM 2.500% 15-13/11/2020 CV FLAT EUR 2 727 149 1.90 LVMH MOET HENNES 0.000% 16-2 751 500 16/02/2021 CV FLAT USD 2 776 966 1.93 MICHELIN FRANCE 0.000% 07-6 803 740 01/01/2017 CV EUR 9 142 387 6.36 NEXITY 0.125% 16-01/01/2023 1 070 145 CV FLAT EUR 1 064 370 0.74 4 000 000 ORPAR 0.000% 15-15/07/2019 CV EUR 4 203 720 2.92 1 073 161 ORPEA 1.750% 13-01/01/2020 CV FLAT EUR 1 875 589 1.30 SUEZ ENVIRONNEMENT 0.000% 14-2 339 860 27/02/2020 CV FLAT EUR 2 452 459 1.70 1 800 000 TECHNIP 0.875% 16-25/01/2021 CV EUR 2 503 620 1.74 2 800 000 TOTAL SA 0.500% 15-02/12/2022 CV USD 2 760 897 1.92 3 800 000 VALEO SA 0.000% 16-16/06/2021 CV USD 3 875 586 2.69 1 427 319 WENDEL SA 0.000% 16-31/07/2019 CV EUR 1 543 910 1.07 Germany 20 559 074 14.29 1 000 000 ADIDAS AG 0.250% 12-14/06/2019 CV EUR 1 829 500 1.27 1 AURELIUS SE 1.000% 15-01/12/2020 CV EUR 1 311 805 0.91 DEUTSCHE POST AG 0.600% 12-1 000 000 06/12/2019 CV EUR 1 482 750 1.03 DEUTSCHE WOHNEN 0.875% 14-2 500 000 08/09/2021 CV EUR 3 809 950 2.65 FRESENIUS SE 0.000% 14-2 600 000 24/09/2019 CV EUR 3 950 336 2.75 HANIEL FINANCE 0.000% 15-2 000 000 12/05/2020 CV EUR 2 128 420 1.48 MTU AERO ENGINES 0.125% 16-2 900 000 17/05/2023 CV EUR 3 284 888 2.28 RAG STIFTUNG 0.000% 14-2 700 000 31/12/2018 CV EUR 2 761 425 1.92 United Kingdom 13 132 938 9.13 BP CAPITAL PLC 1.000% 16-1 28/04/2023 CV GBP 1 581 198 1.10 1 400 000 INMARSAT 3.875% 16-09/09/2023 CV USD 1 388 359 0.97 INTL CONSOLIDATED 0.250% 15-6 700 000 17/11/2020 CV EUR 6 160 449 4.28 1 600 000 SUBSEA 7 SA 1.000% 12-05/10/2017 CV USD 1 500 200 1.04 VODAFONE GROUP 0.000% 15-2 26/11/2020 CV GBP 2 502 732 1.74 The Netherlands 12 111 538 8.42 BRENNTAG FINANCE 1.875% 15-1 750 000 02/12/2022 CV USD 1 712 652 1.19 2 CEZ MH BV 0.000% 14-04/08/2017 CV EUR 2 340 555 1.63 SIEMENS FINAN 1.050% 15-7 500 000 16/08/2017 CV USD 8 058 331 5.60 Italy 9 843 008 6.84 BENI STABILI 0.875% 15-3 700 000 31/01/2021 CV EUR 3 533 648 2.46 BUZZI UNICEM 1.375% 13-2 17/07/2019 CV EUR 3 198 096 2.22 TELECOM ITALIA 1.125% 15-3 26/03/2022 CV EUR 3 111 264 2.16 Mexico 9 214 146 6.41 AMERICA MOVIL SA 0.000% 15-9 500 000 28/05/2020 CV EUR 9 214 146 6.41 Austria 7 770 906 5.40 STEINHOFF FINANC 1.250% 16-7 800 000 21/10/2023 CV EUR 7 770 906 5.40 Norway 6 454 856 4.49 MARINE HARVEST 0.125% 15-2 400 000 05/11/2020 CV EUR 2 951 736 2.05 TELENOR EAST HOL 0.250% 16-3 400 000 20/09/2019 CV USD 3 503 120 2.44 Portugal 4 638 195 3.22 4 PARPUBLICA 5.250% 10-28/09/2017 CV EUR 4 638 195 3.22 Luxembourg 4 008 245 2.79 3 400 000 APERAM 0.625% 14-08/07/2021 CV USD 4 008 245 2.79 Cyprus 3 987 127 2.77 AROUNDTOWN PROPERTY 3.000% 3 15-05/05/2020 CV EUR 3 987 127 2.77 Switzerland 3 843 040 2.67 SWISS LIFE HOLDING 0.000% 13-3 205 000 02/12/2020 CV CHF 3 843 040 2.67 Spain 2 947 313 2.05 500 000 ACCIONA SA 3.000% 14-30/01/2019 CV EUR 632 420 0.44 ACS ACTIVIDADES 1.625% 14-2 27/03/2019 CV EUR 2 314 893 1.61 Isle of Man 1 980 755 1.38 1 700 000 PT JERSEY 0.500% 14-19/11/2019 CV EUR 1 980 755 1.38 Finland 637 535 0.44 OUTOKUMPU OYJ 3.250% 15-500 000 26/02/2020 CV EUR 637 535 0.44 Other transferable securities 21 360 0.01 Convertible bonds 21 360 0.01 Spain 21 360 0.01 600 000 PESCANOVA SA 8.750% 12-17/02/2019 CV DFLT EUR 21 360 0.01 Shares/Units in investment funds 7 849 240 5.46 France 6 869 473 4.78 BNP PARIBAS CASH INVEST - 2 986.14 CLASSIC EUR 6 869 473 4.78 Luxembourg 979 767 0.68 PARWORLD FLEXIBLE 1.00 CONVERTIBLE BOND FUND - X - CAP USD 979 767 0.68 Total securities portfolio 147 445 257 102.49 Page 53
BNP Paribas L1 Convertible Bond World Expressed in EUR Shares/Units in investment funds 195 300 030 96.46 Luxembourg 195 300 030 96.46 PARVEST CONVERTIBLE BOND 1 447 594.57 WORLD - X - CAP USD 195 300 030 96.46 Total securities portfolio 195 300 030 96.46 Page 54
BNP Paribas L1 Diversified World Balanced Expressed in EUR Shares/Units in investment funds 232 742 951 96.00 Luxembourg 166 292 282 68.59 ALPHA UCITS SICAV FAIR OAKS 2 200.00 DNMC CRDT FD EUR 2 207 348 0.91 BLUEBAY - INVESTMENT GRADE 89 999.99 AGGREGATE BOND FUND EUR - I EUR 14 440 499 5.96 BNPP EASY JPM GBI EMU TRACK - I - 178.00 CAP EUR 24 261 614 10.01 BNPP EASY MSCI EUROPE EX 49.00 CONTROVERSIAL WEAPONS TRACK EUR 7 423 840 3.06 - X - CAP BNPP EASY MSCI JAPAN EX 43.99 CONTROVERSIAL WEAPONS TRACK EUR 5 932 854 2.45 - X - CAP BNPP EASY MSCI NORTH AMERICA 183.97 EX CONTROVERSIAL WEAPONS EUR 38 897 532 16.04 TRACK - X - CAP BNPP EASY MSCI PACIFIC EX JAPAN 21.02 EX CONTROVERSIAL WEAPONS EUR 4 220 477 1.74 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 82 000.04 V350 - X - CAP EUR 8 664 124 3.57 PARVEST BOND EURO HIGH YIELD - 72 000.02 X - CAP EUR 9 954 003 4.11 PARVEST BOND WORLD HIGH YIELD 27 000.00 SHORT DURATION - X - CAP USD 2 817 113 1.16 PARVEST CONVERTIBLE BOND 85 000.00 WORLD - X - CAP EUR 11 467 350 4.73 PARVEST CONVERTIBLE BOND 0.05 WORLD - X - CAP USD 6 0.00 PARVEST EQUITY BEST SELECTION 155 000.00 EURO - X - CAP EUR 25 745 500 10.62 PARVEST EQUITY EUROPE SMALL 0.04 CAP - X - CAP EUR 7 0.00 PARVEST MULTI- ASSET INCOME 25 000.00 EMERGING - X - CAP USD 2 470 965 1.02 PARVEST REAL ESTATE SECURITIES 57 000.00 WORLD - X - CAP EUR 7 789 050 3.21 Ireland 60 390 868 24.91 ACADIAN EMERGING MARKET 340 000.00 EQUITY UCITS II - C USD I - ACC USD 4 296 942 1.77 380 000.00 ISHARES BAR CAP US AGG BOND USD 37 070 490 15.29 ISHARES CORE MSCI EMERGING 270 000.00 MARKETS IMI UCITS ETF USD - ACC USD 5 621 427 2.32 63 000.00 VANGUARD EURO INV GR IDX-INS EUR 13 402 009 5.53 France 6 059 801 2.50 260.00 BNP PARIBAS MONEY 3M - IC EUR 6 059 801 2.50 Total securities portfolio 232 742 951 96.00 Page 55
BNP Paribas L1 Diversified World Growth Expressed in EUR Shares/Units in investment funds 106 592 469 96.99 Luxembourg 74 722 848 68.00 ABN AMRO MM ARISTOTLE US 48 400.00 EQUITIES - I USD USD 6 630 720 6.03 42 500.00 ABN AMRO PZENA E - EQ - I EUR 5 611 955 5.11 ALPHA UCITS SICAV FAIR OAKS 1 200.00 DNMC CRDT FD EUR 1 204 008 1.10 BNP PARIBAS INSTICASH MONEY 3M 2 929.34 EUR - I - CAP EUR 297 620 0.27 BNP PARIBAS INSTICASH USD - I - 0.08 CAP USD 11 0.00 BNPP EASY MSCI EMU EX 56.01 CONTROVERSIAL WEAPONS TRACK EUR 8 126 394 7.39 - X - CAP BNPP EASY MSCI JAPAN EX 20.01 CONTROVERSIAL WEAPONS TRACK EUR 2 698 481 2.46 - X - CAP BNPP EASY MSCI NORTH AMERICA 61.95 EX CONTROVERSIAL WEAPONS EUR 13 099 046 11.92 TRACK - X - CAP BNPP EASY MSCI PACIFIC EX JAPAN 15.02 EX CONTROVERSIAL WEAPONS EUR 3 015 774 2.74 TRACK - X - CAP 32 500.00 EDGEWOOD L SL-US SL G-I USDZ USD 4 613 013 4.20 PARVEST BOND ABSOLUTE RETURN 39 000.03 V350 - X - CAP EUR 4 120 743 3.75 PARVEST BOND EURO HIGH YIELD - 29 999.98 X - CAP EUR 4 147 498 3.77 PARVEST BOND WORLD HIGH YIELD 12 999.96 SHORT DURATION - X - CAP USD 1 356 384 1.23 PARVEST CONVERTIBLE BOND 27 500.00 WORLD - X - CAP EUR 3 710 025 3.38 PARVEST CONVERTIBLE BOND 0.03 WORLD - X - CAP USD 3 0.00 PARVEST EQUITY BEST SELECTION 42 000.00 EURO - X - CAP EUR 6 976 200 6.35 PARVEST EQUITY EUROPE SMALL 0.01 CAP - X - CAP EUR 1 0.00 PARVEST MULTI- ASSET INCOME 11 000.00 EMERGING - X - CAP USD 1 087 224 0.99 PARVEST REAL ESTATE SECURITIES 40 500.05 WORLD - X - CAP EUR 5 534 331 5.04 SCHRODER INTERNATIONAL 170 000.00 SELECTION FUND - JAPANESE JPY 2 493 417 2.27 OPPORTUNITIES - C YEN - ACC Ireland 28 910 993 26.30 ACADIAN EMERGING MARKET 270 000.00 EQUITY UCITS II - C USD I - ACC USD 3 412 278 3.10 165 000.00 ISHARES BAR CAP US AGG BOND USD 16 096 398 14.64 ISHARES CORE MSCI EMERGING 175 000.00 MARKETS IMI UCITS ETF USD - ACC USD 3 643 517 3.32 30 000.00 METZLER EUROPEAN GROWTH - C EUR 5 758 800 5.24 France 2 958 628 2.69 126.94 BNP PARIBAS MONEY 3M - IC EUR 2 958 628 2.69 Total securities portfolio 106 592 469 96.99 Page 56
BNP Paribas L1 Diversified World Stability Expressed in EUR Shares/Units in investment funds 80 011 409 99.97 Luxembourg 54 394 010 67.96 ALPHA UCITS SICAV FAIR OAKS 700.00 DNMC CRDT FD EUR 702 338 0.88 BLUEBAY - INVESTMENT GRADE 75 000.02 AGGREGATE BOND FUND EUR - I EUR 12 033 753 15.03 BNPP EASY JPM GBI EMU TRACK - I - 54.00 CAP EUR 7 360 265 9.20 BNPP EASY MSCI EUROPE EX 25.80 CONTROVERSIAL WEAPONS TRACK EUR 3 908 879 4.88 - X - CAP BNPP EASY MSCI JAPAN EX 6.04 CONTROVERSIAL WEAPONS TRACK EUR 814 697 1.02 - X - CAP BNPP EASY MSCI NORTH AMERICA 12.43 EX CONTROVERSIAL WEAPONS EUR 2 627 675 3.28 TRACK - X - CAP BNPP EASY MSCI PACIFIC EX JAPAN 2.00 EX CONTROVERSIAL WEAPONS EUR 401 568 0.50 TRACK - X - CAP DB PLATINUM IV SYSTEMATIC 11 000.00 ALPHA I 1C - E EUR 1 405 910 1.76 PARVEST BOND ABSOLUTE RETURN 37 499.98 V350 - X - CAP EUR 3 962 248 4.95 46 999.96 PARVEST BOND EURO - X - CAP EUR 5 669 135 7.08 PARVEST BOND EURO HIGH YIELD - 29 150.01 X - CAP EUR 4 029 989 5.04 PARVEST CONVERTIBLE BOND 37 000.00 WORLD - X - CAP EUR 4 991 670 6.24 PARVEST CONVERTIBLE BOND 0.01 WORLD - X - CAP USD 1 0.00 PARVEST EQUITY BEST SELECTION 24 200.00 EURO - X - CAP EUR 4 019 620 5.02 PARVEST MULTI- ASSET INCOME 8 500.00 EMERGING - X - CAP USD 840 128 1.05 PARVEST REAL ESTATE SECURITIES 11 899.99 WORLD - X - CAP EUR 1 626 134 2.03 Ireland 15 462 432 19.32 ACADIAN EMERGING MARKET 44 000.00 EQUITY UCITS II - C USD I - ACC USD 556 075 0.69 111 100.00 ISHARES BAR CAP US AGG BOND USD 10 838 240 13.54 ISHARES CORE MSCI EMERGING 36 000.00 MARKETS IMI UCITS ETF USD - ACC USD 749 524 0.94 15 600.00 VANGUARD EURO INV GR IDX-INS EUR 3 318 593 4.15 France 10 154 967 12.69 BNP PARIBAS CASH INVEST - 2 201.46 CLASSIC EUR 5 064 362 6.33 218.42 BNP PARIBAS MONEY 3M - IC EUR 5 090 605 6.36 Total securities portfolio 80 011 409 99.97 Page 57
BNP Paribas L1 Equity Belgium Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market 319 778 600 98.91 Shares 319 778 600 98.91 Belgium 220 421 145 68.17 3 887 4ENERGY INVEST SA EUR 12 438 0.00 335 664 ABLYNX NV EUR 3 630 206 1.12 37 736 ACKERMANS & VAN HAAREN EUR 4 984 926 1.54 63 925 AEDIFICA EUR 4 543 789 1.41 319 514 AGEAS EUR 12 016 922 3.72 253 061 ANHEUSER - BUSCH INBEV SA/NV EUR 25 445 283 7.87 57 146 ASIT BIOTECH SA EUR 363 049 0.11 42 897 BONE THERAPEUTICS SA EUR 333 953 0.10 129 520 BPOST SA EUR 2 914 200 0.90 51 869 CELYAD EUR 923 787 0.29 28 820 CFE EUR 2 981 429 0.92 95 569 COLRUYT SA EUR 4 492 221 1.39 491 838 DECEUNINCK NV EUR 1 112 538 0.34 253 787 ECONOCOM GROUP SA/NV EUR 3 537 791 1.09 30 173 ELIA SYSTEM OPERATOR SA/NV EUR 1 499 146 0.46 461 803 FAGRON EUR 4 485 493 1.39 26 842 FLUXYS - NEW EUR 697 892 0.22 50 934 GALAPAGOS NV EUR 3 103 918 0.96 84 754 GIMV NV EUR 4 462 298 1.38 62 232 GROUPE BRUXELLES LAMBERT SA EUR 4 961 135 1.53 161 065 ION BEAM APPLICATIONS EUR 6 706 747 2.07 499 329 KBC GROEP NV EUR 29 375 524 9.09 126 212 KINEPOLIS EUR 5 364 010 1.66 2 714 LOTUS BAKERIES EUR 6 785 000 2.10 449 513 MDXHEALTH EUR 2 151 369 0.67 94 709 MELEXIS NV EUR 6 028 228 1.86 68 262 MITHRA PHARMACEUTICALS - W/I EUR 617 088 0.19 400 302 NYRSTAR NV EUR 3 120 354 0.97 197 604 ONTEX GROUP NV - W/I EUR 5 582 313 1.73 102 741 ORANGE BELGIUM EUR 2 039 923 0.63 344 879 PROXIMUS EUR 9 435 889 2.92 829 085 RECTICEL EUR 5 496 834 1.70 125 347 SOLVAY SA EUR 13 957 388 4.32 52 850 TELENET GROUP HOLDING NV EUR 2 786 252 0.86 100 051 THROMBOGENICS NV EUR 253 029 0.08 2 990 912 TIGENIX NV EUR 2 111 584 0.65 157 192 TINC COMM VA - W/I EUR 2 026 205 0.63 175 905 UCB SA EUR 10 714 374 3.31 245 527 UMICORE EUR 13 295 287 4.11 71 520 WAREHOUSES DE PAUW SCA EUR 6 071 333 1.88 The Netherlands 62 628 780 19.38 604 990 ABN AMRO GROUP NV - CVA EUR 12 735 040 3.94 2 227 765 ING GROEP NV EUR 29 785 217 9.22 41 691 KIADIS PHARMA NV - W/I EUR 352 414 0.11 986 326 KONINKLIJKE AHOLD DELHAIZE NV EUR 19 756 109 6.11 France 31 779 882 9.83 247 116 BNP PARIBAS EUR 14 962 874 4.63 1 387 542 ENGIE EUR 16 817 008 5.20 Luxembourg 4 948 793 1.53 33 331 BREDERODE EUR 1 391 903 0.43 51 415 RTL GROUP EUR 3 556 890 1.10 Other transferable securities 57 0.00 Shares 57 0.00 Belgium 57 0.00 57 216 FAGRON NV EUR 57 0.00 Total securities portfolio 319 778 657 98.91 Page 58
BNP Paribas L1 Equity Euro Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market 396 342 784 99.92 Shares 396 342 784 99.92 Germany 103 983 613 26.21 168 915 BAYER AG - REG EUR 16 744 543 4.23 108 322 BAYERISCHE MOTOREN WERKE AG EUR 9 613 578 2.42 55 305 CONTINENTAL AG EUR 10 159 529 2.56 163 149 DEUTSCHE BOERSE AG-TENDER EUR 12 650 572 3.19 667 980 DEUTSCHE TELEKOM AG - REG EUR 10 924 813 2.75 127 020 FRESENIUS MEDICAL CARE AG EUR 10 218 759 2.58 149 407 GEA GROUP AG EUR 5 711 830 1.44 27 759 GERRESHEIMER AG EUR 1 960 341 0.49 287 768 INFINEON TECHNOLOGIES AG EUR 4 751 050 1.20 49 124 LINDE AG EUR 7 668 256 1.93 163 994 SAP SE EUR 13 580 342 3.42 France 77 502 637 19.53 75 139 ADP EUR 7 649 150 1.93 89 781 AIR LIQUIDE SA EUR 9 485 363 2.39 253 044 COMPAGNIE DE SAINT GOBAIN EUR 11 198 462 2.82 303 803 ENGIE EUR 3 682 092 0.93 183 018 LEGRAND SA EUR 9 873 821 2.49 LVMH MOET HENNESSY LOUIS 61 112 VUITTON EUR 11 085 717 2.79 369 447 ORANGE EUR 5 332 967 1.34 53 193 PERNOD RICARD SA EUR 5 476 219 1.38 74 558 PUBLICIS GROUPE EUR 4 887 277 1.23 133 589 SCHNEIDER ELECTRIC SE EUR 8 831 569 2.23 Spain 55 616 270 14.02 42 826 AENA SA EUR 5 552 391 1.40 112 346 AMADEUS IT GROUP SA EUR 4 849 977 1.22 1 356 699 BANCO BILBAO VIZCAYA ARGENTA EUR 8 701 867 2.19 3 690 830 BANCO SANTANDER SA EUR 18 302 825 4.62 267 856 GRIFOLS SA EUR 5 057 121 1.27 15 164 GRIFOLS SA - B EUR 230 569 0.06 512 846 MEDIASET ESPANA COMUNICACION EUR 5 718 233 1.44 401 857 RED ELECTRICA CORPORACION SA EUR 7 203 287 1.82 The Netherlands 47 459 542 11.98 112 297 AKZO NOBEL EUR 6 669 319 1.68 74 655 ASML HOLDING NV EUR 7 961 956 2.01 1 151 500 ING GROEP NV EUR 15 395 554 3.89 281 421 KONINKLIJKE AHOLD DELHAIZE NV EUR 5 636 863 1.42 349 100 RELX N.V. EUR 5 582 109 1.41 239 128 ROYAL DUTCH SHELL PLC - A EUR 6 213 741 1.57 Italy 25 845 174 6.52 204 441 ATLANTIA SPA EUR 4 550 857 1.15 443 908 ENI SPA EUR 6 867 257 1.73 126 395 LUXOTTICA GROUP SPA EUR 6 458 785 1.63 1 531 224 SNAM SPA EUR 5 993 211 1.51 2 359 694 TELECOM ITALIA SPA EUR 1 975 064 0.50 Belgium 20 863 902 5.26 123 478 ANHEUSER - BUSCH INBEV SA/NV EUR 12 415 713 3.13 84 925 PROXIMUS EUR 2 323 548 0.59 116 173 TELENET GROUP HOLDING NV EUR 6 124 641 1.54 Ireland 19 012 828 4.79 36 340 638 BANK OF IRELAND EUR 8 503 709 2.14 318 893 CRH PLC EUR 10 509 119 2.65 Portugal 12 103 857 3.06 415 422 GALP ENERGIA SGPS SA EUR 5 894 838 1.49 421 236 JERONIMO MARTINS EUR 6 209 019 1.57 United Kingdom 11 944 078 3.01 305 358 UNILEVER NV - CVA EUR 11 944 078 3.01 Sweden 8 890 040 2.24 838 683 NORDEA BANK AB - FDR EUR 8 890 040 2.24 Finland 7 786 900 1.96 182 834 SAMPO OYJ - A EUR 7 786 900 1.96 Luxembourg 5 333 943 1.34 314 316 TENARIS SA EUR 5 333 943 1.34 Shares/Units in investment funds 510 032 0.13 France 510 032 0.13 BNP PARIBAS CASH INVEST - 221.71 CLASSIC EUR 510 032 0.13 Total securities portfolio 396 852 816 100.05 Page 59
BNP Paribas L1 Equity Europe Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market 1 112 392 854 99.76 Shares 1 112 392 854 99.76 United Kingdom 255 630 200 22.92 5 121 831 BT GROUP PLC GBP 22 014 993 1.97 1 140 680 DIAGEO PLC GBP 28 196 284 2.53 641 686 INMARSAT PLC GBP 5 649 333 0.51 3 574 114 KINGFISHER PLC GBP 14 667 434 1.32 32 655 649 LLOYDS BANKING GROUP PLC GBP 23 914 065 2.14 342 707 LONDON STOCK EXCHANGE GROUP GBP 11 699 253 1.05 1 468 239 PRUDENTIAL PLC GBP 27 993 896 2.51 250 793 RECKITT BENCKISER GROUP PLC GBP 20 231 497 1.81 447 924 RIO TINTO PLC GBP 16 574 133 1.49 904 395 SKY PLC GBP 10 499 712 0.94 975 400 SMITHS GROUP PLC GBP 16 180 487 1.45 3 539 787 STANDARD CHARTERED PLC GBP 27 518 775 2.47 779 505 UNILEVER NV - CVA EUR 30 490 338 2.73 Germany 178 345 078 15.99 328 594 BAYER AG - REG EUR 32 573 523 2.92 106 872 CONTINENTAL AG EUR 19 632 386 1.76 230 203 DEUTSCHE BOERSE AG-TENDER EUR 17 849 941 1.60 1 295 547 DEUTSCHE TELEKOM AG - REG EUR 21 188 671 1.90 317 768 FRESENIUS MEDICAL CARE AG EUR 25 564 436 2.29 124 914 GERRESHEIMER AG EUR 8 821 427 0.79 467 112 INFINEON TECHNOLOGIES AG EUR 7 712 019 0.69 162 637 LINDE AG EUR 25 387 636 2.28 236 868 SAP SE EUR 19 615 039 1.76 The Netherlands 131 104 807 11.76 268 562 AKZO NOBEL EUR 15 949 897 1.43 114 914 ASML HOLDING NV EUR 12 255 578 1.10 1 856 115 ING GROEP NV EUR 24 816 258 2.23 768 116 KONINKLIJKE AHOLD DELHAIZE NV EUR 15 385 363 1.38 2 386 567 ROYAL DUTCH SHELL PLC - A GBP 62 697 711 5.62 Switzerland 96 516 606 8.66 415 939 NOVARTIS AG - REG CHF 28 751 007 2.58 157 291 ROCHE HOLDING AG GENUSSCHEIN CHF 34 128 626 3.06 73 643 SCHINDLER HOLDING - PART CERT CHF 12 337 950 1.11 366 788 SWATCH GROUP AG/THE - REG CHF 21 299 023 1.91 Spain 88 277 851 7.91 98 134 AENA SA EUR 12 723 073 1.14 240 929 AMADEUS IT GROUP SA EUR 10 400 905 0.93 5 062 409 BANCO SANTANDER SA EUR 25 104 486 2.25 526 773 GRIFOLS SA EUR 9 945 474 0.89 41 430 GRIFOLS SA - B EUR 629 943 0.06 1 321 357 MEDIASET ESPANA COMUNICACION EUR 14 733 131 1.32 822 362 RED ELECTRICA CORPORACION SA EUR 14 740 839 1.32 Ireland 84 780 691 7.60 51 024 062 BANK OF IRELAND EUR 11 939 631 1.07 774 285 CRH PLC EUR 25 516 562 2.29 1 487 793 EXPERIAN PLC GBP 27 434 234 2.46 362 475 SHIRE PLC GBP 19 890 264 1.78 France 69 995 083 6.27 136 269 ADP EUR 13 872 184 1.24 574 225 COMPAGNIE DE SAINT GOBAIN EUR 25 412 327 2.28 624 822 ENGIE EUR 7 572 843 0.68 LVMH MOET HENNESSY LOUIS 85 536 VUITTON EUR 15 516 230 1.39 116 270 PUBLICIS GROUPE EUR 7 621 499 0.68 Sweden 52 801 005 4.74 734 215 ATLAS COPCO AB - A SEK 21 263 271 1.91 222 539 HEXAGON AB - B SEK 7 559 637 0.68 2 268 096 NORDEA BANK AB SEK 23 978 097 2.15 Italy 42 637 471 3.83 1 269 778 ENI SPA EUR 19 643 466 1.76 164 913 LUXOTTICA GROUP SPA EUR 8 427 054 0.76 3 264 363 SNAM SPA EUR 12 776 717 1.15 2 138 870 TELECOM ITALIA SPA EUR 1 790 234 0.16 Norway 24 506 778 2.20 1 732 843 DNB ASA NOK 24 506 778 2.20 Portugal 22 934 674 2.06 1 555 948 JERONIMO MARTINS EUR 22 934 674 2.06 Belgium 21 195 035 1.90 210 791 ANHEUSER - BUSCH INBEV SA/NV EUR 21 195 035 1.90 Finland 17 012 064 1.53 399 438 SAMPO OYJ - A EUR 17 012 064 1.53 Denmark 15 694 181 1.41 191 460 CARLSBERG AS - B DKK 15 694 181 1.41 Luxembourg 10 961 330 0.98 645 924 TENARIS SA EUR 10 961 330 0.98 Other transferable securities 0 0.00 Shares 0 0.00 Belgium 0 0.00 468 FAGRON NV EUR 0 0.00 Shares/Units in investment funds 3 939 487 0.35 France 3 939 487 0.35 BNP PARIBAS CASH INVEST - 1 712.48 CLASSIC EUR 3 939 487 0.35 Total securities portfolio 1 116 332 341 100.11 Page 60
BNP Paribas L1 Equity Europe DEFI Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market 7 921 146 98.33 Shares 7 919 297 98.31 United Kingdom 2 059 689 25.58 5 296 3I GROUP PLC GBP 43 678 0.54 9 027 ANGLO AMERICAN PLC GBP 122 671 1.52 6 897 BAE SYSTEMS PLC GBP 47 793 0.59 9 751 BARRATT DEVELOPMENTS PLC GBP 52 822 0.66 2 227 BRITISH AMERICAN TOBACCO PLC GBP 120 573 1.50 26 784 BT GROUP PLC GBP 115 125 1.43 2 397 COCA-COLA EUROPEAN PARTNERS EUR 71 958 0.89 1 656 COMPASS GROUP PLC GBP 29 120 0.36 4 514 DIAGEO PLC GBP 111 581 1.39 DIRECT LINE INSURANCE 8 582 GROUP PLC GBP 37 139 0.46 6 489 GLAXOSMITHKLINE PLC GBP 118 742 1.47 2 898 IMPERIAL BRANDS PLC GBP 120 269 1.49 15 679 INTL CONSOLIDATED AIRLINE-DI EUR 80 418 1.00 41 840 LEGAL & GENERAL GROUP PLC GBP 121 363 1.51 10 704 NATIONAL GRID PLC GBP 119 329 1.48 677 NEXT PLC GBP 39 521 0.49 1 436 RECKITT BENCKISER GROUP PLC GBP 115 842 1.44 5 828 RELX PLC GBP 98 931 1.23 3 338 RIO TINTO PLC GBP 123 512 1.54 20 313 ROYAL MAIL PLC - W/I GBP 109 965 1.37 6 445 SAGE GROUP PLC/THE GBP 49 455 0.61 1 758 SSE PLC GBP 31 984 0.40 2 156 UNILEVER PLC GBP 83 161 1.03 35 053 WM MORRISON SUPERMARKETS GBP 94 737 1.18 Germany 1 390 994 17.26 626 ALLIANZ SE - REG EUR 98 282 1.22 375 BAYER AG - REG EUR 37 174 0.46 984 COVESTRO AG EUR 64 137 0.80 1 702 DAIMLER AG-REGISTERED SHARES EUR 120 365 1.49 8 604 DEUTSCHE LUFTHANSA - REG EUR 105 571 1.31 1 247 DEUTSCHE POST AG - REG EUR 38 950 0.48 6 346 DEUTSCHE TELEKOM AG - REG EUR 103 789 1.29 18 201 E.ON SE EUR 121 947 1.51 1 652 FRESENIUS SE & CO KGAA EUR 122 677 1.53 218 HOCHTIEF AG EUR 29 005 0.36 575 MUENCHENER RUECKVER AG - REG EUR 103 299 1.28 3 191 PROSIEBEN SAT.1 MEDIA SE EUR 116 823 1.45 7 724 RWE AG EUR 91 259 1.13 1 439 SAP SE EUR 119 164 1.48 1 015 SIEMENS AG - REG EUR 118 552 1.47 France 1 326 537 16.49 1 020 ATOS SE EUR 102 255 1.27 5 029 AXA SA EUR 120 621 1.50 580 CHRISTIAN DIOR SE EUR 115 565 1.43 2 014 DANONE EUR 121 243 1.51 4 633 EDF EUR 44 847 0.56 LVMH MOET HENNESSY LOUIS 175 VUITTON EUR 31 745 0.39 997 MICHELIN (CGDE) EUR 105 383 1.31 5 667 ORANGE EUR 81 803 1.02 4 655 PEUGEOT SA EUR 72 129 0.90 1 053 RENAULT SA EUR 88 989 1.10 1 217 SANOFI AVENTIS EUR 93 587 1.16 2 022 SUEZ EUR 28 338 0.35 2 556 TOTAL SA EUR 124 527 1.56 534 VALEO SA EUR 29 162 0.36 3 276 VEOLIA ENVIRONNEMENT EUR 52 989 0.66 1 752 VINCI SA EUR 113 354 1.41 Switzerland 992 971 12.31 5 908 ABB LTD-REG CHF 118 380 1.47 1 429 ARYZTA AG CHF 59 786 0.74 1 005 BALOISE HOLDING AG - REG CHF 120 281 1.49 214 PARTNERS GROUP HOLDING AG CHF 95 272 1.18 554 ROCHE HOLDING AG GENUSSCHEIN CHF 120 206 1.49 286 SCHINDLER HOLDING - PART CERT CHF 47 916 0.59 27 SGS SA - REG CHF 52 187 0.65 25 SIKA AG - BR CHF 114 086 1.42 1 346 SWISS RE AG CHF 121 165 1.50 141 SWISSCOM AG - REG CHF 59 991 0.74 320 ZURICH INSURANCE GROUP AG CHF 83 701 1.04 Finland 469 494 5.82 1 489 ELISA OYJ EUR 46 055 0.57 2 619 KONE OYJ - B EUR 111 491 1.38 3 023 NESTE OYJ EUR 110 340 1.37 1 192 ORION OYJ - B EUR 50 410 0.63 1 255 SAMPO OYJ - A EUR 53 450 0.66 4 188 UPM-KYMMENE OYJ EUR 97 748 1.21 Spain 357 376 4.43 741 AMADEUS IT GROUP SA EUR 31 989 0.40 4 885 ENAGAS SA EUR 117 851 1.46 6 372 REPSOL SA EUR 85 512 1.06 13 835 TELEFONICA SA EUR 122 024 1.51 Sweden 340 217 4.22 2 405 ATLAS COPCO AB - A SEK 69 650 0.86 2 114 BOLIDEN AB SEK 52 486 0.65 1 758 ELECTROLUX AB-SER B SEK 41 519 0.52 3 067 SWEDISH MATCH AB SEK 92 759 1.15 7 547 VOLVO AB - B SEK 83 803 1.04 Norway 290 330 3.61 3 391 GJENSIDIGE FORSIKRING ASA NOK 51 169 0.64 7 102 MARINE HARVEST NOK 121 796 1.51 13 626 ORKLA ASA NOK 117 365 1.46 Austria 195 085 2.42 1 624 ANDRITZ AG EUR 77 457 0.96 3 505 OMV AG EUR 117 628 1.46 Denmark 107 199 1.33 1 411 TRYG A/S DKK 24 233 0.30 1 344 VESTAS WIND SYSTEMS A/S DKK 82 966 1.03 Portugal 106 880 1.33 7 251 JERONIMO MARTINS EUR 106 880 1.33 The Netherlands 105 702 1.31 7 994 AEGON NV EUR 41 793 0.52 1 620 AERCAP HOLDINGS NV USD 63 909 0.79 Italy 66 493 0.83 15 877 ENEL SPA EUR 66 493 0.83 Belgium 66 230 0.82 1 409 COLRUYT SA EUR 66 230 0.82 Mexico 44 100 0.55 3 083 FRESNILLO PLC GBP 44 100 0.55 Page 61
BNP Paribas L1 Equity Europe DEFI Expressed in EUR Warrants, Rights 1 849 0.02 5 253 REPSOL SA RTS 06/01/2017 EUR 1 849 0.02 Total securities portfolio 7 921 146 98.33 Page 62
BNP Paribas L1 Equity Europe Low Volatility Expressed in EUR Shares/Units in investment funds 374 695 279 100.01 Luxembourg 374 695 279 100.01 BNPP EASY EQUITY LOW VOL 3 634 526.00 EUROPE UCITS ETF - CAP EUR 374 695 279 100.01 Total securities portfolio 374 695 279 100.01 Page 63
BNP Paribas L1 Equity Italy Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market 61 489 144 99.76 Shares 61 489 144 99.76 Italy 54 371 370 88.22 1 323 449 A2A SPA EUR 1 627 842 2.64 95 955 ASSICURAZIONI GENERALI EUR 1 354 885 2.20 85 128 ATLANTIA SPA EUR 1 894 949 3.07 184 795 AUTOGRILL SPA EUR 1 586 465 2.57 61 671 AZIMUT HOLDING SPA EUR 978 102 1.59 54 659 BANCA GENERALI SPA EUR 1 238 573 2.01 172 279 BANCA MEDIOLANUM SPA EUR 1 176 666 1.91 397 239 BANCA POPOLARE DI SONDRIO EUR 1 242 564 2.02 161 170 BPER BANCA EUR 815 520 1.32 25 294 BREMBO SPA EUR 1 454 405 2.36 55 129 BUZZI UNICEM SPA EUR 1 240 954 2.01 236 320 CATTOLICA ASSICURAZIONI SCRL EUR 1 316 302 2.14 230 605 DAVIDE CAMPARI-MILANO SPA EUR 2 142 320 3.48 49 718 DIASORIN SPA EUR 2 796 639 4.54 397 652 ENEL SPA EUR 1 665 367 2.70 101 039 ENI SPA EUR 1 563 073 2.54 1 301 846 HERA SPA EUR 2 853 647 4.63 114 266 INTERPUMP GROUP SPA EUR 1 776 836 2.88 466 338 INTESA SANPAOLO EUR 1 131 336 1.84 46 379 LUXOTTICA GROUP SPA EUR 2 369 967 3.84 245 897 MEDIASET SPA EUR 1 010 637 1.64 121 710 MEDIOBANCA SPA EUR 943 861 1.53 116 919 MONCLER SPA EUR 1 932 671 3.14 59 455 PRYSMIAN SPA EUR 1 450 702 2.35 92 770 RECORDATI SPA EUR 2 497 368 4.05 2 382 335 SAIPEM SPA EUR 1 274 549 2.07 67 217 SALVATORE FERRAGAMO SPA EUR 1 507 677 2.45 637 662 SNAM SPA EUR 2 495 809 4.05 1 509 914 TELECOM ITALIA SPA EUR 1 263 798 2.05 576 723 TERNA SPA EUR 2 509 899 4.07 309 039 UBI BANCA SPA EUR 807 210 1.31 340 395 UNICREDIT SPA EUR 930 640 1.51 302 784 UNIPOL GRUPPO FINANZIARIO SP EUR 1 036 732 1.68 615 477 UNIPOLSAI SPA EUR 1 249 418 2.03 45 805 YOOX NET-A-PORTER GROUP EUR 1 233 987 2.00 The Netherlands 2 303 114 3.73 31 811 EXOR NV EUR 1 303 615 2.11 115 349 FIAT CHRYSLER AUTOMOBILES NV EUR 999 499 1.62 Luxembourg 2 003 393 3.25 118 055 TENARIS SA EUR 2 003 393 3.25 United Kingdom 1 517 611 2.46 183 619 CNH INDUSTRIAL NV EUR 1 517 611 2.46 Switzerland 1 293 656 2.10 119 783 STMICROELECTRONICS NV EUR 1 293 656 2.10 Total securities portfolio 61 489 144 99.76 Page 64
BNP Paribas L1 Equity Netherlands Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market 403 063 063 98.96 Shares 403 063 063 98.96 The Netherlands 365 736 194 89.79 851 732 ABN AMRO GROUP NV - CVA EUR 17 928 959 4.40 3 174 903 AEGON NV EUR 16 598 393 4.08 122 957 AKZO NOBEL EUR 7 302 416 1.79 77 848 ASML HOLDING NV EUR 8 302 489 2.04 399 191 ASR NEDERLAND NV EUR 9 021 717 2.21 871 881 BASIC-FIT NV EUR 13 976 252 3.43 8 150 DELTA LLOYD NV EUR 43 334 0.01 620 239 FLOW TRADERS EUR 20 303 524 4.98 599 482 FUGRO NV - CVA EUR 8 719 466 2.14 541 314 GRANDVISION NV- W/I EUR 11 316 169 2.78 313 798 HEIJMANS N.V. - CVA EUR 1 732 165 0.43 97 458 HEINEKEN HOLDING NV EUR 6 445 872 1.58 2 168 772 ING GROEP NV EUR 28 996 481 7.11 976 719 INTERTRUST NV EUR 16 330 742 4.01 325 705 KONINKLIJKE AHOLD DELHAIZE NV EUR 6 523 871 1.60 2 101 723 KONINKLIJKE BAM GROEP NV EUR 9 226 564 2.27 357 848 KONINKLIJKE DSM NV EUR 20 383 022 5.00 8 612 605 KONINKLIJKE KPN NV EUR 24 235 869 5.95 720 338 KONINKLIJKE PHILIPS NV EUR 20 889 802 5.13 505 647 NN GROUP NV - W/I EUR 16 279 305 4.00 760 475 ORDINA NV EUR 1 595 477 0.39 526 314 PHILIPS LIGHTING NV EUR 12 315 748 3.02 342 710 RANDSTAD HOLDING NV EUR 17 659 846 4.34 738 679 REFRESCO GROUP NV EUR 10 659 138 2.62 255 457 RELX N.V. EUR 4 084 757 1.00 667 507 ROYAL DUTCH SHELL PLC - A EUR 17 345 169 4.26 211 720 SBM OFFSHORE NV EUR 3 157 804 0.78 504 635 SIF HOLDING NV EUR 7 809 227 1.92 826 478 TELEGRAAF MEDIA GROEP NV-CVA EUR 3 925 771 0.96 2 268 477 TOMTOM EUR 19 388 673 4.76 75 729 WERELDHAVE NV EUR 3 238 172 0.80 France 15 582 866 3.83 164 221 KLEPIERRE EUR 6 132 833 1.51 41 676 UNIBAIL RODAMCO SE EUR 9 450 033 2.32 United Kingdom 11 889 435 2.92 303 961 UNILEVER NV - CVA EUR 11 889 435 2.92 Luxembourg 9 854 568 2.42 1 404 585 ARCELORMITTAL EUR 9 854 568 2.42 Other transferable securities 7 0.00 Shares 7 0.00 The Netherlands 7 0.00 6 985 435 SRH NV EUR 7 0.00 Total securities portfolio 403 063 070 98.96 Page 65
BNP Paribas L1 Equity USA Core Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market 1 218 417 559 99.22 Shares 1 218 417 559 99.22 United States of America 1 162 669 167 94.68 121 695 ABBVIE INC USD 7 620 541 0.62 86 069 ALLERGAN PLC USD 18 075 351 1.47 39 845 ALPHABET INC - A USD 31 575 170 2.57 18 602 ALPHABET INC - C USD 14 357 396 1.17 95 871 ALTRIA GROUP INC USD 6 482 797 0.53 39 907 AMAZON.COM INC USD 29 925 062 2.44 153 349 AMERICAN ELECTRIC POWER USD 9 654 853 0.79 168 165 AMERICAN WATER WORKS CO INC USD 12 168 419 0.99 135 223 ANALOG DEVICES INC USD 9 819 894 0.80 485 841 APPLE INC USD 56 270 104 4.58 1 565 173 BANK OF AMERICA CORP USD 34 590 322 2.82 295 006 BANKUNITED INC USD 11 118 776 0.91 242 364 BERRY PLASTICS GROUP INC USD 11 810 398 0.96 81 973 BOSTON PROPERTIES INC USD 10 310 564 0.84 1 002 713 BOSTON SCIENTIFIC CORP USD 21 688 682 1.77 119 275 CARDINAL HEALTH INC USD 8 584 222 0.70 346 370 CBRE GROUP INC - A USD 10 907 191 0.89 143 440 CELGENE CORP USD 16 603 180 1.35 292 005 CHEVRON CORP USD 34 368 989 2.80 64 749 CIMAREX ENERGY CO USD 8 799 389 0.72 674 948 CISCO SYSTEMS INC USD 20 396 929 1.66 200 412 CMS ENERGY CORP USD 8 341 147 0.68 231 159 COACH INC USD 8 095 188 0.66 297 104 COMCAST CORP - A USD 20 515 031 1.67 71 152 CONCHO RESOURCES INC USD 9 434 755 0.77 295 821 CONOCOPHILLIPS USD 14 832 465 1.21 91 831 CONSTELLATION BRANDS INC - A USD 14 078 611 1.15 207 673 CVS HEALTH CORP USD 16 387 476 1.33 251 290 EBAY INC USD 7 460 800 0.61 68 230 EDWARDS LIFESCIENCES CORP USD 6 393 151 0.52 189 602 ELI LILLY & CO USD 13 945 227 1.14 105 994 ESTEE LAUDER COMPANIES - A USD 8 107 481 0.66 88 121 FACEBOOK INC - A USD 10 138 321 0.83 48 687 FEDEX CORP USD 9 065 519 0.74 142 402 FIDELITY NATIONAL INFO SERV USD 10 771 287 0.88 376 220 GENERAL ELECTRIC CO USD 11 888 552 0.97 165 811 GILEAD SCIENCES INC USD 11 873 726 0.97 252 433 HALLIBURTON CO USD 13 654 101 1.11 248 590 HESS CORP USD 15 484 671 1.26 HILTON WORLDWIDE 184 743 HOLDINGS INC USD 5 025 010 0.41 114 869 HOME DEPOT INC USD 15 401 636 1.25 152 010 HONEYWELL INTERNATIONAL INC USD 17 610 359 1.43 239 549 INGERSOLL-RAND PLC USD 17 975 757 1.46 INTERCONTINENTAL EXCHANGE- 331 825 W/I USD 18 721 567 1.52 367 579 JP MORGAN CHASE AND CO USD 31 718 392 2.58 194 923 LOWES COS INC USD 13 862 924 1.13 153 218 LYONDELLBASELL INDU - A USD 13 143 040 1.07 137 990 MEDTRONIC PLC USD 9 829 028 0.80 250 993 MERCK & CO INC USD 14 775 958 1.20 693 622 MICROSOFT CORP USD 43 101 670 3.51 92 177 NIKE INC - B USD 4 685 357 0.38 68 203 NORTHROP GRUMMAN CORP USD 15 862 654 1.29 146 465 NORWEGIAN CRUISE LINE HOLDING USD 6 229 156 0.51 30 000 OREILLY AUTOMOTIVE INC USD 8 352 300 0.68 210 698 PEPSICO INC USD 22 045 332 1.80 5 528 PRICELINE GROUP INC/THE USD 8 104 380 0.66 199 790 QUALCOMM INC USD 13 026 308 1.06 106 685 RANGE RESOURCES CORP USD 3 665 697 0.30 145 578 RAYTHEON COMPANY USD 20 672 076 1.68 97 906 ROSS STORES INC USD 6 422 634 0.52 160 748 RYDER SYSTEM INC USD 11 966 081 0.97 122 044 SALESFORCE.COM INC USD 8 355 132 0.68 462 810 SCHWAB (CHARLES) CORP USD 18 267 111 1.49 63 979 SIMON PROPERTY GROUP INC USD 11 367 149 0.93 411 139 SYMANTEC CORP USD 9 822 111 0.80 175 691 TIME WARNER INC USD 16 959 452 1.38 94 430 TRAVELERS COS INC/THE USD 11 560 121 0.94 226 894 TWENTY-FIRST CENTURY FOX - A USD 6 362 108 0.52 117 805 UNION PACIFIC CORP USD 12 214 022 0.99 79 982 UNITED TECHNOLOGIES CORP USD 8 767 627 0.71 124 559 UNITEDHEALTH GROUP INC USD 19 934 422 1.62 327 992 UNUM GROUP USD 14 408 689 1.17 103 201 VALERO ENERGY CORP USD 7 050 692 0.57 452 819 VERIZON COMMUNICATIONS INC USD 24 171 478 1.97 273 352 VISA INC - A SHARES USD 21 326 923 1.74 159 146 WALGREENS BOOTS ALLIANCE INC USD 13 170 923 1.07 107 901 WALT DISNEY CO/THE USD 11 245 442 0.92 542 419 WELLS FARGO & CO USD 29 892 711 2.43 United Kingdom 26 917 098 2.19 150 824 AON PLC USD 16 821 401 1.37 59 254 SHIRE PLC - ADR USD 10 095 697 0.82 Ireland 22 425 326 1.83 206 832 ALKERMES PLC USD 11 495 723 0.94 100 244 JAZZ PHARMACEUTICALS PLC USD 10 929 603 0.89 Singapore 6 405 968 0.52 36 239 BROADCOM SHS USD 6 405 968 0.52 Shares/Units in investment funds 4 650 894 0.38 Luxembourg 4 650 894 0.38 BNPP FLEXI I EQUITY USA MID CAP 47 217.20 GROWTH - I - CAP USD 4 650 894 0.38 Total securities portfolio 1 223 068 453 99.60 Page 66
BNP Paribas L1 Equity World Aqua Expressed in EUR Shares/Units in investment funds 385 142 091 99.62 France 385 142 091 99.62 2 151 631.79 BNP PARIBAS AQUA - X - CAP EUR 385 142 091 99.62 Total securities portfolio 385 142 091 99.62 Page 67
BNP Paribas L1 Equity World Emerging Expressed in USD Shares/Units in investment funds 36 623 661 100.22 Luxembourg 36 623 661 100.22 PARVEST EQUITY WORLD 433 313.55 EMERGING - X - CAP USD 36 623 661 100.22 Total securities portfolio 36 623 661 100.22 Page 68
BNP Paribas L1 Equity World Guru Expressed in USD Shares/Units in investment funds 173 388 911 100.11 Luxembourg 173 388 911 100.11 PARWORLD QUANT EQUITY WORLD 1 630 361.18 GURU - X - CAP USD 173 388 911 100.11 Total securities portfolio 173 388 911 100.11 Page 69
BNP Paribas L1 Equity World Quality Focus Expressed in EUR Shares/Units in investment funds 161 653 985 100.16 Luxembourg 161 653 985 100.16 PARVEST EQUITY BEST SELECTION 1 797 153.81 WORLD - X - CAP EUR 161 653 985 100.16 Total securities portfolio 161 653 985 100.16 Page 70
BNP Paribas L1 Japan Expressed in JPY Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market 3 526 614 110 98.78 Shares 3 526 614 110 98.78 Japan 3 526 614 110 98.78 10 500 AISIN SEIKI CO LTD JPY 53 235 000 1.49 28 100 ALFRESA HOLDINGS CORP JPY 54 345 400 1.52 104 000 AOZORA BANK LTD JPY 42 952 000 1.20 15 000 ASAHI GLASS CO LTD JPY 11 940 000 0.33 5 100 ASAHI GROUP HOLDINGS LTD JPY 18 819 000 0.53 15 000 ASAHI KASEI CORP JPY 15 292 500 0.43 33 600 ASTELLAS PHARMA INC JPY 54 549 600 1.53 16 700 BANDAI NAMCO HOLDINGS INC JPY 53 857 500 1.51 11 700 BRIDGESTONE CORP JPY 49 303 800 1.38 31 900 CHUBU ELECTRIC POWER CO INC JPY 52 092 700 1.46 44 600 CONCORDIA FINANCIAL GROUP LT JPY 25 091 960 0.70 32 300 DAICEL CORP JPY 41 667 000 1.17 DAITO TRUST CONSTRUCTION 3 100 CO LTD JPY 54 498 000 1.53 179 DAIWA HOUSE REIT INVESTMENT JPY 52 912 400 1.48 10 300 DENSO CORP JPY 52 148 900 1.46 5 200 EAST JAPAN RAILWAY CO JPY 52 520 000 1.47 37 000 FUJI ELECTRIC HOLDINGS CO LTD JPY 22 422 000 0.63 11 000 FUJI HEAVY INDUSTRIES LTD JPY 52 492 000 1.47 12 100 FUJIFILM HOLDINGS CORP JPY 53 663 500 1.50 14 200 HANKYU HANSHIN HOLDINGS INC JPY 53 250 000 1.49 3 100 HIKARI TSUSHIN INC JPY 33 759 000 0.95 18 500 HITACHI CHEMICAL CO LTD JPY 54 075 500 1.51 15 400 HONDA MOTOR CO LTD JPY 52 591 000 1.47 7 000 IIDA GROUP HOLDINGS CO LTD JPY 15 519 000 0.43 29 400 ISUZU MOTORS LTD JPY 43 541 400 1.22 34 400 ITOCHU CORP JPY 53 388 800 1.50 10 300 JAPAN AIRLINES CO LTD JPY 35 174 500 0.99 76 JAPAN RETAIL FUND INVESTMENT JPY 17 981 600 0.50 14 200 JAPAN TOBACCO INC JPY 54 584 800 1.52 67 000 KAJIMA CORP JPY 54 203 000 1.52 31 700 KANSAI ELECTRIC POWER CO INC JPY 40 512 600 1.13 13 500 KANSAI PAINT CO LTD JPY 29 065 500 0.81 18 400 KDDI CORP JPY 54 454 800 1.53 28 600 KIRIN HOLDINGS CO LTD JPY 54 382 900 1.52 8 600 KOITO MANUFACTURING CO LTD JPY 53 234 000 1.49 14 900 KOMATSU LTD JPY 39 447 750 1.10 6 200 LAWSON INC JPY 50 902 000 1.43 43 200 MARUBENI CORP JPY 28 632 960 0.80 7 800 MARUICHI STEEL TUBE LTD JPY 29 679 000 0.83 14 900 MAZDA MOTOR CORP JPY 28 488 800 0.80 6 600 MCDONALDS HOLDINGS CO JAPAN JPY 20 196 000 0.57 37 800 MEBUKI FINANCIAL GROUP INC JPY 16 367 400 0.46 19 500 MEDIPAL HOLDINGS CORP JPY 35 938 500 1.01 5 500 MIRACA HOLDINGS INC JPY 28 875 000 0.81 27 200 MITSUBISHI GAS CHEMICAL CO JPY 54 264 000 1.52 38 100 MITSUBISHI UFJ FINANCIAL GROUP JPY 27 439 620 0.77 33 000 MITSUI CHEMICALS INC JPY 17 325 000 0.49 9 200 MIXI INC JPY 39 284 000 1.10 252 900 MIZUHO FINANCIAL GROUP INC JPY 53 058 420 1.49 MS&AD INSURANCE GROUP 6 500 HOLDING JPY 23 556 000 0.66 85 000 NAGOYA RAILROAD CO LTD JPY 48 025 000 1.35 140 000 NEC CORP JPY 43 400 000 1.22 5 300 NIDEC CORP JPY 53 450 500 1.50 23 900 NIKON CORP JPY 43 426 300 1.22 11 100 NIPPON TELEGRAPH & TELEPHONE JPY 54 523 200 1.53 12 600 NISSAN MOTOR CO LTD JPY 14 811 300 0.41 7 300 NTT DATA CORP JPY 41 245 000 1.16 20 400 NTT DOCOMO INC JPY 54 325 200 1.52 107 000 OJI HOLDINGS CORP JPY 50 932 000 1.43 118 000 OSAKA GAS CO LTD JPY 53 052 800 1.49 3 300 OTSUKA HOLDINGS CO LTD JPY 16 806 900 0.47 11 700 RECRUIT HOLDINGS CO LTD JPY 54 873 000 1.53 88 400 RESONA HOLDINGS INC JPY 52 995 800 1.48 2 000 RINNAI CORP JPY 18 860 000 0.53 5 100 SANKYO CO LTD JPY 19 252 500 0.54 50 000 SHIMIZU CORP JPY 53 450 000 1.50 3 800 SHIN-ETSU CHEMICAL CO LTD JPY 34 454 600 0.97 6 900 SOFTBANK GROUP CORP JPY 53 578 500 1.50 14 500 SONY CORP JPY 47 487 500 1.33 6 600 STANLEY ELECTRIC CO LTD JPY 21 087 000 0.59 25 200 SUMITOMO CORP JPY 34 662 600 0.97 16 400 SUMITOMO ELECTRIC INDUSTRIES JPY 27 658 600 0.77 12 200 SUMITOMO MITSUI FINANCIAL GR JPY 54 412 000 1.52 13 000 SUZUKI MOTOR CORP JPY 53 482 000 1.50 145 000 TAIHEIYO CEMENT CORP JPY 53 650 000 1.50 66 000 TAISEI CORP JPY 53 988 000 1.51 8 600 TAKEDA PHARMACEUTICAL CO LTD JPY 41 581 000 1.16 57 000 TOHO GAS CO LTD JPY 54 207 000 1.52 36 200 TOHOKU ELECTRIC POWER CO INC JPY 53 467 400 1.50 11 300 TOKIO MARINE HOLDINGS INC JPY 54 194 800 1.52 9 600 TOYO SUISAN KAISHA LTD JPY 40 656 000 1.14 19 500 TOYODA GOSEI CO LTD JPY 53 313 000 1.49 7 700 TOYOTA MOTOR CORP JPY 52 960 600 1.48 226 UNITED URBAN INVESTMENT CORP JPY 40 205 400 1.13 12 500 YOKOGAWA ELECTRIC CORP JPY 21 162 500 0.59 Total securities portfolio 3 526 614 110 98.78 Page 71
BNP Paribas L1 Multi-Asset Income Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market 1 528 643 383 88.61 Shares 900 042 108 52.15 United States of America 324 944 192 18.83 84 741 ABBOTT LABORATORIES USD 3 085 946 0.18 88 533 AIRCASTLE LTD USD 1 750 095 0.10 1 208 ALPHABET INC - C USD 883 962 0.05 80 479 ALTRIA GROUP INC USD 5 159 507 0.30 1 120 AMAZON.COM INC USD 796 259 0.05 56 562 AMERIGAS PARTNERS - LP USD 2 569 757 0.15 23 385 AMGEN INC USD 3 241 641 0.19 79 805 ANNALY CAPITAL MANAGEMENT USD 754 355 0.04 35 246 ARTHUR J GALLAGHER & CO USD 1 736 319 0.10 140 143 BB&T CORP USD 6 247 474 0.36 14 820 BOSTON PROPERTIES INC USD 1 767 300 0.10 321 031 BRANDYWINE REALTY TRUST USD 5 025 098 0.29 41 335 CARDINAL HEALTH INC USD 2 820 460 0.16 26 880 CEDAR FAIR LP USD 1 636 119 0.09 8 285 CELGENE CORP USD 909 210 0.05 24 423 CHEVRON CORP USD 2 725 373 0.16 119 160 CINEMARK HOLDINGS INC USD 4 333 707 0.25 143 787 CISCO SYSTEMS INC USD 4 119 690 0.24 10 699 CITRIX SYSTEMS INC USD 905 928 0.05 31 932 CNA FINANCIAL CORP USD 1 256 391 0.07 17 896 COGNIZANT TECH SOLUTIONS - A USD 950 664 0.06 36 298 COMCAST CORP - A USD 2 376 276 0.14 99 501 COMMUNICATIONS SALES + LE USD 2 397 080 0.14 41 200 COMPASS MINERALS INTERNATION USD 3 060 460 0.18 44 976 CORESITE REALTY CORP USD 3 384 447 0.20 204 073 CORNING INC USD 4 695 759 0.27 5 083 COSTCO WHOLESALE CORP USD 771 594 0.04 7 620 CUMMINS INC USD 987 367 0.06 75 023 CYRUSONE INC USD 3 181 587 0.18 128 431 DIAMONDROCK HOSPITALITY CO USD 1 403 944 0.08 34 272 DIGITAL REALTY TRUST INC USD 3 192 763 0.19 28 325 DINEEQUITY INC USD 2 067 812 0.12 57 885 EMERSON ELECTRIC CO USD 3 059 577 0.18 24 085 EQUITY RESIDENTIAL USD 1 469 647 0.09 79 331 EXXON MOBIL CORP USD 6 788 732 0.39 110 977 FASTENAL CO USD 4 943 067 0.29 26 470 GENERAL ELECTRIC CO USD 793 033 0.05 63 988 GENERAL GROWTH PROPERTIES USD 1 515 449 0.09 103 941 GEO GROUP INC/THE USD 3 540 744 0.21 31 675 HASBRO INC USD 2 336 097 0.14 6 650 HESS CORP USD 392 727 0.02 116 339 HOST HOTELS & RESORTS INC USD 2 078 053 0.12 98 505 INTEL CORP USD 3 387 321 0.20 196 077 IRON MOUNTAIN INC USD 6 037 999 0.35 22 527 JOHNSON & JOHNSON USD 2 460 617 0.14 JOHNSON CONTROLS 73 156 INTERNATIONAL USD 2 856 881 0.17 24 912 KIMBERLY-CLARK CORP USD 2 695 385 0.16 320 707 KIMCO REALTY CORP USD 7 650 142 0.44 112 168 KKR & CO LP USD 1 636 658 0.09 48 204 LAS VEGAS SANDS CORP USD 2 440 934 0.14 44 281 LIFE STORAGE INC USD 3 579 425 0.21 65 541 LTC PROPERTIES INC USD 2 919 285 0.17 26 875 LYONDELLBASELL INDU - A USD 2 185 672 0.13 29 270 MACERICH CO / THE USD 1 965 856 0.11 41 900 MAGELLAN MIDSTREAM PARTNERS USD 3 004 406 0.17 13 620 MARSH & MCLENNAN COS USD 872 791 0.05 9 209 MASTERCARD INC - A USD 901 474 0.05 36 533 MERCK & CO INC USD 2 039 059 0.12 65 710 METLIFE INC USD 3 357 300 0.19 127 346 MICROSOFT CORP USD 7 502 517 0.43 26 573 MID-AMERICA APARTMENT COMM USD 2 466 962 0.14 66 150 MOTOROLA SOLUTIONS INC USD 5 198 553 0.30 76 797 NATIONAL FUEL GAS CO USD 4 123 993 0.24 57 637 OCCIDENTAL PETROLEUM CORP USD 3 892 376 0.23 62 438 OMNICOM GROUP USD 5 038 254 0.29 95 077 OWENS AND MINOR INC USD 3 181 102 0.18 157 111 PARAMOUNT GROUP INC USD 2 381 801 0.14 47 695 PEBBLEBROOK HOTEL TRUST USD 1 345 273 0.08 106 282 PENN REAL ESTATE INVEST TST USD 1 910 506 0.11 24 162 PEPSICO INC USD 2 396 843 0.14 56 802 PNC FINANCIAL SERVICES GROUP USD 6 298 707 0.36 33 390 POLARIS INDUSTRIES INC USD 2 608 203 0.15 44 211 PRAXAIR INC USD 4 912 147 0.28 33 329 PROLOGIS INC USD 1 668 109 0.10 23 367 PUBLIC STORAGE USD 4 951 434 0.29 107 218 QTS REALTY TRUST INC - A USD 5 047 048 0.29 69 200 QUALCOMM INC USD 4 277 639 0.25 126 188 RAMCO-GERSHENSON PROPERTIES USD 1 983 595 0.11 25 157 REGENCY CENTERS CORP USD 1 644 537 0.10 152 828 REYNOLDS AMERICAN INC USD 8 119 915 0.47 103 159 RLJ LODGING TRUST USD 2 395 225 0.14 60 852 RYMAN HOSPITALITY PROPERTIES USD 3 635 254 0.21 3 654 S&P GLOBAL INC USD 372 554 0.02 80 866 SABRA HEALTH CARE REIT INC USD 1 872 242 0.11 180 646 SABRE CORP USD 4 273 162 0.25 21 036 SERVICEMASTER GLOBAL HOLDING USD 751 293 0.04 28 196 SIMON PROPERTY GROUP INC USD 4 749 546 0.28 89 639 SPECTRA ENERGY PARTNERS LP USD 3 895 759 0.23 TANGER FACTORY OUTLET 89 740 CENTERS USD 3 044 226 0.18 57 681 TARGET CORP USD 3 950 034 0.23 88 841 THOMSON REUTERS CORP USD 3 687 565 0.21 25 453 TIME WARNER INC USD 2 329 441 0.13 39 616 UNION PACIFIC CORP USD 3 894 181 0.23 33 194 UNITED PARCEL SERVICE- CL B USD 3 607 831 0.21 126 404 US BANCORP USD 6 156 314 0.36 51 945 VALERO ENERGY CORP USD 3 364 667 0.19 36 539 VECTREN CORP USD 1 806 598 0.10 64 017 VENTAS INC USD 3 794 589 0.22 115 061 VERIZON COMMUNICATIONS INC USD 5 823 139 0.34 65 014 WELLS FARGO & CO USD 3 396 939 0.20 139 908 WELLTOWER INC USD 8 877 972 0.51 193 779 WESTERN UNION CO USD 3 990 405 0.23 96 285 WEYERHAEUSER CO USD 2 746 827 0.16 13 255 WW GRAINGER INC USD 2 918 676 0.17 15 919 ZIMMER BIOMET HOLDINGS INC USD 1 557 564 0.09 United Kingdom 117 958 349 6.82 419 064 ABERDEEN ASSET MGMT PLC GBP 1 263 181 0.07 45 276 ADMIRAL GROUP PLC GBP 969 063 0.06 47 533 AON PLC USD 5 026 173 0.29 701 268 AVIVA PLC GBP 3 995 979 0.23 18 299 BERENDSEN PLC GBP 186 613 0.01 40 759 BERKELEY GROUP HOLDINGS/THE GBP 1 340 807 0.08 105 367 BOVIS HOMES GROUP PLC GBP 1 012 195 0.06 89 437 BRITISH AMERICAN TOBACCO PLC GBP 4 842 234 0.28 27 489 BRITVIC PLC GBP 182 594 0.01 Page 72
BNP Paribas L1 Multi-Asset Income Expressed in EUR 2 017 159 BT GROUP PLC GBP 8 670 285 0.50 39 140 CLOSE BROTHERS GROUP PLC GBP 662 574 0.04 6 911 DERWENT LONDON PLC GBP 224 429 0.01 147 727 DIAGEO PLC GBP 3 651 640 0.21 DIRECT LINE INSURANCE 124 991 GROUP PLC GBP 540 905 0.03 155 821 DS SMITH PLC GBP 744 969 0.04 13 592 GREGGS PLC GBP 154 455 0.01 328 092 HANSTEEN HOLDINGS PLC GBP 436 252 0.03 36 732 HOMESERVE SHS GBP 266 798 0.02 308 432 HSBC HOLDINGS PLC GBP 2 373 582 0.14 96 426 IG GROUP HOLDINGS PLC GBP 558 155 0.03 39 754 IMPERIAL BRANDS PLC GBP 1 649 819 0.10 110 840 INCHCAPE PLC GBP 911 547 0.05 135 320 INFORMA PLC GBP 1 077 994 0.06 327 070 INMARSAT PLC GBP 2 879 488 0.17 186 998 INTU PROPERTIES PLC GBP 616 243 0.04 1 741 219 KINGFISHER PLC GBP 7 145 606 0.41 151 424 LAND SECURITIES GROUP PLC GBP 1 891 026 0.11 2 035 487 LEGAL & GENERAL GROUP PLC GBP 5 904 248 0.34 4 155 670 LLOYDS BANKING GROUP PLC GBP 3 043 240 0.18 50 403 LONDON STOCK EXCHANGE GROUP GBP 1 720 646 0.10 384 417 MAN GROUP PLC GBP 532 762 0.03 42 488 MICRO FOCUS INTERNATIONAL GBP 1 084 599 0.06 118 814 MONEYSUPERMARKET.COM GBP 409 363 0.02 127 606 NATIONAL EXPRESS GROUP PLC GBP 528 752 0.03 183 972 NATIONAL GRID PLC GBP 2 050 934 0.12 448 960 OLD MUTUAL PLC GBP 1 090 316 0.06 14 689 PROVIDENT FINANCIAL PLC GBP 490 264 0.03 127 738 PRUDENTIAL PLC GBP 2 435 492 0.14 30 566 RECKITT BENCKISER GROUP PLC GBP 2 465 762 0.14 184 265 RIO TINTO PLC GBP 6 818 193 0.40 312 201 ROYAL MAIL PLC - W/I GBP 1 690 113 0.10 161 598 SEGRO PLC GBP 867 245 0.05 309 708 SKY PLC GBP 3 595 602 0.21 304 566 SMITHS GROUP PLC GBP 5 052 313 0.29 2 431 SPIRAX-SARCO ENGINEERING PLC GBP 119 158 0.01 114 250 SSE PLC GBP 2 078 611 0.12 297 783 STANDARD CHARTERED PLC GBP 2 315 005 0.13 173 421 STANDARD LIFE PLC GBP 755 771 0.04 191 099 UBM PLC GBP 1 637 640 0.09 247 434 UNILEVER NV - CVA EUR 9 678 380 0.56 26 462 UNILEVER PLC GBP 1 020 690 0.06 87 736 UNILEVER PLC - SPONSORED ADR USD 3 385 499 0.20 667 939 VODAFONE GROUP PLC GBP 1 563 819 0.09 13 500 WH SMITH PLC GBP 246 403 0.01 204 915 WOOD GROUP (JOHN) PLC GBP 2 102 923 0.12 Germany 51 089 189 2.96 26 299 AAREAL BANK AG EUR 940 584 0.05 4 607 ALLIANZ SE - REG EUR 723 299 0.04 59 254 ALSTRIA OFFICE REIT AG EUR 705 715 0.04 24 330 BASF SE EUR 2 148 582 0.12 91 970 BAYER AG - REG EUR 9 116 985 0.53 24 966 BAYERISCHE MOTOREN WERKE AG EUR 2 215 733 0.13 22 540 BAYERISCHE MOTOREN WERKE-PRF EUR 1 638 658 0.09 6 116 BECHTLE AG EUR 604 383 0.04 18 358 DAIMLER AG-REGISTERED SHARES EUR 1 298 278 0.08 33 382 DEUTSCHE BOERSE AG-TENDER EUR 2 588 440 0.15 54 175 DEUTSCHE POST AG - REG EUR 1 692 156 0.10 159 634 DEUTSCHE TELEKOM AG - REG EUR 2 610 814 0.15 28 306 DEUTSCHE WOHNEN AG - BR EUR 844 651 0.05 44 768 DRILLISCH AG EUR 1 830 787 0.11 92 006 FREENET AG EUR 2 462 081 0.14 6 587 GERRESHEIMER AG EUR 465 174 0.03 4 884 HANNOVER RUECK SE EUR 502 075 0.03 27 067 HUGO BOSS AG - ORD EUR 1 573 405 0.09 11 129 JUNGHEINRICH - PRFD EUR 303 377 0.02 11 045 LEG IMMOBILIEN AG EUR 815 121 0.05 21 019 LINDE AG EUR 3 281 066 0.19 3 309 MTU AERO ENGINES AG EUR 363 328 0.02 3 948 MUENCHENER RUECKVER AG - REG EUR 709 258 0.04 10 566 NORMA GROUP SE EUR 428 451 0.02 29 363 PROSIEBEN SAT.1 MEDIA SE EUR 1 074 979 0.06 47 272 SAP SE EUR 3 914 594 0.23 16 902 SIEMENS AG - REG EUR 1 974 154 0.11 138 245 VONOVIA SE EUR 4 263 061 0.25 France 51 018 383 2.93 20 846 ADP EUR 2 122 123 0.12 28 736 AIR LIQUIDE SA EUR 3 035 958 0.18 31 721 ALSTOM EUR 830 297 0.05 48 274 ALTRAN TECHNOLOGIES SA EUR 670 043 0.04 27 534 AXA SA EUR 660 403 0.04 71 623 COMPAGNIE DE SAINT GOBAIN EUR 3 169 676 0.18 308 257 EDF EUR 2 983 928 0.17 55 018 EUTELSAT COMMUNICATIONS EUR 1 012 056 0.06 19 421 FAURECIA EUR 715 373 0.04 11 343 FONCIERE DES REGIONS EUR 940 788 0.05 6 115 GECINA SA EUR 803 817 0.05 65 236 ICADE EUR 4 422 348 0.26 12 789 IPSEN EUR 878 604 0.05 280 840 KLEPIERRE EUR 10 487 969 0.60 74 101 LAGARDERE SCA EUR 1 955 896 0.11 152 698 NATIXIS EUR 818 461 0.05 96 987 ORANGE EUR 1 400 007 0.08 29 791 PLASTIC OMNIUM EUR 903 561 0.05 29 402 SCHNEIDER ELECTRIC SE EUR 1 943 766 0.11 21 356 SCOR SE EUR 701 117 0.04 5 782 SEB SA EUR 744 433 0.04 87 315 SUEZ EUR 1 223 720 0.07 45 790 TECHNICOLOR - REGR EUR 235 361 0.01 7 929 TELEPERFORMANCE EUR 755 634 0.04 26 354 UNIBAIL RODAMCO SE EUR 5 975 769 0.35 19 632 VINCI SA EUR 1 270 190 0.07 13 334 WORLDLINE SA - W/I EUR 357 085 0.02 Switzerland 42 037 643 2.43 5 691 BALOISE HOLDING AG - REG CHF 681 115 0.04 BANQUE CANTONALE VAUDOIS - 1 433 REG CHF 862 206 0.05 1 977 FLUGHAFEN ZUERICH AG - REG CHF 348 372 0.02 7 684 IMPLENIA AG - REG CHF 539 385 0.03 32 953 LOGITECH INTERNATIONAL - REG CHF 780 789 0.05 187 180 NOVARTIS AG - REG CHF 12 938 467 0.74 56 305 ROCHE HOLDING AG GENUSSCHEIN CHF 12 216 923 0.70 386 265 STMICROELECTRONICS NV EUR 4 171 662 0.24 4 604 SUNRISE COMMUNICATIONS GROUP CHF 287 750 0.02 10 863 SWATCH GROUP AG/THE - BR CHF 3 209 246 0.19 14 151 SWISS RE AG CHF 1 273 854 0.07 51 443 TE CONNECTIVITY LTD USD 3 378 972 0.20 5 157 ZURICH INSURANCE GROUP AG CHF 1 348 902 0.08 Page 73
BNP Paribas L1 Multi-Asset Income Expressed in EUR Japan 39 835 954 2.32 56 600 CANON INC JPY 1 515 979 0.09 123 900 CHUGOKU ELECTRIC POWER CO JPY 1 380 798 0.08 241 000 DAIWA SECURITIES GROUP INC JPY 1 411 081 0.08 10 400 FANUC CORP JPY 1 675 131 0.10 136 600 HOKURIKU ELECTRIC POWER CO JPY 1 454 600 0.08 4 539 INVINCIBLE INVESTMENT CORP JPY 1 944 430 0.11 154 900 ITOCHU CORP JPY 1 954 180 0.11 5 987 JAPAN HOTEL REIT INVESTMENT JPY 3 825 192 0.22 153 400 JX HOLDINGS INC JPY 616 863 0.04 766 KENEDIX RETAIL REIT CORP JPY 1 658 763 0.10 977 LASALLE LOGIPORT REIT JPY 879 151 0.05 25 400 LAWSON INC JPY 1 695 112 0.10 311 400 MARUBENI CORP JPY 1 677 732 0.10 14 400 MIRACA HOLDINGS INC JPY 614 530 0.04 500 MITSUBISHI CORP JPY 10 120 0.00 1 384 100 MIZUHO FINANCIAL GROUP INC JPY 2 360 448 0.14 MS&AD INSURANCE GROUP 44 700 HOLDING JPY 1 316 792 0.08 331 NIPPON PROLOGIS REIT INC JPY 642 785 0.04 9 400 NIPPON TELEGRAPH & TELEPHONE JPY 375 325 0.02 218 900 NISSAN MOTOR CO LTD JPY 2 091 654 0.12 3 300 NTT DOCOMO INC JPY 71 434 0.00 214 400 RICOH CO LTD JPY 1 721 881 0.10 212 400 SUMITOMO CORP JPY 2 374 852 0.14 59 200 SUMITOMO MITSUI FINANCIAL GR JPY 2 146 239 0.12 SUMITOMO MITSUI TRUST 33 200 HOLDINGS JPY 1 128 879 0.07 400 TAKEDA PHARMACEUTICAL CO LTD JPY 15 721 0.00 58 600 TOYOTA MOTOR CORP JPY 3 276 282 0.19 Australia 36 735 588 2.13 34 460 AMCOR LTD AUD 353 685 0.02 138 205 AMP LTD AUD 478 205 0.03 105 618 AUST AND NZ BANKING GROUP AUD 2 205 753 0.13 2 069 566 AVENTUS RETAIL PROPERTY FUND AUD 3 338 926 0.19 50 582 BHP BILLITON LTD AUD 870 235 0.05 20 261 CARSALES.COM LTD AUD 157 876 0.01 COMMONWEALTH BANK OF 74 478 AUSTRALIA AUD 4 213 739 0.24 17 122 COMPUTERSHARE LTD AUD 146 464 0.01 109 362 G8 EDUCATION LTD AUD 269 538 0.02 474 005 GOODMAN GROUP AUD 2 320 236 0.13 13 534 MACQUARIE GROUP LTD AUD 809 476 0.05 2 680 737 MIRVAC GROUP AUD 3 920 067 0.23 99 169 NATIONAL AUSTRALIA BANK LTD AUD 2 088 091 0.12 1 605 950 NATIONAL STORAGE REIT AUD 1 648 287 0.10 89 918 QUBE HOLDINGS LTD AUD 150 625 0.01 1 861 317 SCENTRE GROUP AUD 5 929 225 0.34 73 418 SONIC HEALTHCARE LTD AUD 1 078 639 0.06 83 112 SPARK INFRASTRUCTURE GROUP AUD 135 800 0.01 1 168 172 STOCKLAND AUD 3 673 093 0.21 36 603 SUNCORP GROUP LTD AUD 339 745 0.02 65 777 SYDNEY AIRPORT AUD 270 496 0.02 133 585 TELSTRA CORP LTD AUD 467 722 0.03 59 316 TRANSURBAN GROUP AUD 420 253 0.02 225 076 WESTFIELD CORP AUD 1 449 412 0.08 The Netherlands 36 233 936 2.10 40 783 AKZO NOBEL EUR 2 422 102 0.14 4 029 ASML HOLDING NV EUR 429 693 0.02 46 775 BOSKALIS WESTMINSTER EUR 1 543 107 0.09 16 017 CORBION NV EUR 407 312 0.02 819 290 DELTA LLOYD NV EUR 4 356 165 0.25 38 019 EUROCOMMERCIAL PROPERTIE NV EUR 1 390 925 0.08 310 702 ING GROEP NV EUR 4 154 086 0.24 137 431 KONINKLIJKE AHOLD DELHAIZE NV EUR 2 752 743 0.16 960 845 KONINKLIJKE KPN NV EUR 2 703 818 0.16 273 624 NSI NV EUR 980 942 0.06 192 641 ROYAL DUTCH SHELL PLC - A EUR 5 005 776 0.29 7 920 ROYAL DUTCH SHELL PLC - A GBP 208 067 0.01 276 197 ROYAL DUTCH SHELL PLC - B GBP 7 616 772 0.44 21 374 SENSATA TECHNOLOGIES HOLDING USD 789 303 0.05 34 451 WERELDHAVE NV EUR 1 473 125 0.09 Sweden 36 002 929 2.08 97 768 ATLAS COPCO AB - A SEK 2 831 415 0.16 29 973 AXFOOD AB SEK 447 937 0.03 247 246 CASTELLUM AB SEK 3 222 816 0.19 18 906 COM HEM HOLDING AB - W/I SEK 171 460 0.01 192 734 ERICSSON LM - B SEK 1 076 108 0.06 54 432 FABEGE AB SEK 845 849 0.05 40 085 HENNES & MAURITZ AB - B SEK 1 060 065 0.06 54 953 HEXAGON AB - B SEK 1 866 750 0.11 10 307 HEXPOL AB SEK 90 732 0.01 25 285 INTRUM JUSTITIA AB SEK 811 168 0.05 50 925 JM AB SEK 1 398 817 0.08 328 813 KUNGSLEDEN AB SEK 1 981 731 0.11 28 458 LOOMIS AB - B SEK 805 152 0.05 100 246 MODERN TIMES GROUP - B SEK 2 824 715 0.16 67 017 NCC AB - B SEK 1 576 459 0.09 67 402 NCC HOUSING - B SEK 993 233 0.06 867 952 NORDEA BANK AB SEK 9 175 906 0.53 56 514 PEAB AB SEK 426 421 0.02 SKANDINAVISKA ENSKILDA BANK - 102 601 A SEK 1 023 119 0.06 95 079 SKANSKA AB - B SEK 2 134 366 0.12 53 878 SWEDBANK AB - A SEK 1 238 710 0.07 Spain 35 630 905 2.08 245 769 ACERINOX SA EUR 3 097 918 0.18 73 419 ACS ACTIVIDADES CONS Y SERV EUR 2 204 038 0.13 14 232 AENA SA EUR 1 845 179 0.11 75 538 AMADEUS IT GROUP SA EUR 3 260 975 0.19 154 850 BANCO BILBAO VIZCAYA ARGENTA EUR 993 208 0.06 787 475 BANCO SANTANDER SA EUR 3 905 089 0.23 34 386 BOLSAS Y MERCADOS ESPANOLES EUR 962 636 0.06 295 029 CAIXABANK EUR 926 391 0.05 73 650 ENAGAS SA EUR 1 776 806 0.10 83 908 ENDESA SA EUR 1 688 649 0.10 65 594 FERROVIAL SA EUR 1 114 770 0.06 105 159 GAS NATURAL SDG SA EUR 1 883 398 0.11 78 380 GRIFOLS SA EUR 1 479 814 0.09 202 696 MEDIASET ESPANA COMUNICACION EUR 2 260 060 0.13 349 383 MERLIN PROPERTIES SOCIMI SA EUR 3 609 126 0.21 PROSEGUR COMPANIA DE 35 794 SEGURIDAD EUR 212 616 0.01 133 721 RED ELECTRICA CORPORACION SA EUR 2 396 949 0.14 51 669 TECNICAS REUNIDAS SA EUR 2 013 283 0.12 Finland 22 403 293 1.31 512 737 CITYCON OYJ EUR 1 198 779 0.07 43 792 ELISA OYJ EUR 1 354 487 0.08 231 147 FORTUM OYJ EUR 3 367 812 0.20 22 054 HUHTAMAKI OYJ EUR 778 065 0.05 6 458 KESKO OYJ - B EUR 306 626 0.02 31 190 KONE OYJ - B EUR 1 327 758 0.08 48 044 METSA BOARD OYJ EUR 326 459 0.02 Page 74
BNP Paribas L1 Multi-Asset Income Expressed in EUR 796 000 NOKIA OYJ EUR 3 652 048 0.21 52 786 ORION OYJ - B EUR 2 232 320 0.13 101 263 SAMPO OYJ - A EUR 4 312 791 0.25 352 996 TECHNOPOLIS OYJ EUR 1 104 877 0.06 104 596 UPM-KYMMENE OYJ EUR 2 441 271 0.14 Italy 14 102 844 0.82 464 375 A2A SPA EUR 571 181 0.03 30 210 BANCA GENERALI SPA EUR 684 559 0.04 130 911 BANCA MEDIOLANUM SPA EUR 894 122 0.05 45 133 CERVED INFORMATION SOLUTIONS EUR 356 099 0.02 5 703 EI TOWERS SPA EUR 291 994 0.02 170 910 ENI SPA EUR 2 643 978 0.15 544 933 HERA SPA EUR 1 194 493 0.07 82 009 ITALGAS SPA EUR 306 550 0.02 39 640 LUXOTTICA GROUP SPA EUR 2 025 604 0.12 32 925 RECORDATI SPA EUR 886 341 0.05 395 473 SNAM SPA EUR 1 547 881 0.09 342 112 TERNA SPA EUR 1 488 871 0.09 596 636 UNIPOLSAI SPA EUR 1 211 171 0.07 Norway 14 044 398 0.81 221 133 DNB ASA NOK 3 127 379 0.18 49 736 GJENSIDIGE FORSIKRING ASA NOK 750 505 0.04 416 702 TELENOR ASA NOK 5 920 757 0.34 201 081 TGS NOPEC GEOPHYSICAL CO ASA NOK 4 245 757 0.25 Hong Kong 12 188 117 0.70 153 000 AIA GROUP LTD HKD 818 542 0.05 107 000 BOC HONG KONG HOLDINGS LTD HKD 363 093 0.02 2 157 000 CHAMPION REIT HKD 1 107 824 0.06 50 000 CHEUNG KONG INFRASTRUCTURE HKD 377 248 0.02 546 500 CHEUNG KONG PROPERTY HOLDING HKD 3 177 695 0.18 98 000 CHINA MOBILE LTD HKD 985 075 0.06 519 000 CHINA POWER INTERNATIONAL HKD 178 339 0.01 111 000 CLP HOLDINGS LTD HKD 967 118 0.06 86 200 HANG SENG BANK LTD HKD 1 521 056 0.09 45 000 MTR CORP HKD 207 456 0.01 745 000 PCCW LTD HKD 382 628 0.02 56 500 POWER ASSETS HOLDINGS LTD HKD 472 235 0.03 136 000 SUN HUNG KAI PROPERTIES HKD 1 629 808 0.09 China 10 582 323 0.61 653 000 AGRICULTURAL BANK OF CHINA - H HKD 253 929 0.01 8 724 ALIBABA GROUP HOLDING-SP ADR USD 726 290 0.04 4 521 BAIDU INC - SPON ADR USD 704 714 0.04 1 071 000 BANK OF CHINA LTD - H HKD 450 526 0.03 CHINA COMMUNICATIONS CONST - 275 000 H HKD 299 964 0.02 594 000 CHINA COMMUNICATIONS SERVI - H HKD 358 827 0.02 3 140 000 CHINA CONSTRUCTION BANK - H HKD 2 292 321 0.13 462 000 HUANENG POWER INTL INC - H HKD 290 387 0.02 927 000 IND & COMM BANK OF CHINA - H HKD 527 114 0.03 236 000 JIANGSU EXPRESS CO LTD - H HKD 282 820 0.02 67 000 PING AN INSURANCE GROUP CO - H HKD 317 891 0.02 440 000 SHENZHEN EXPRESSWAY CO - H HKD 356 728 0.02 67 000 SHENZHOU INTERNATIONAL GROUP HKD 401 870 0.02 584 000 SICHUAN EXPRESSWAY CO - H HKD 212 814 0.01 133 900 TENCENT HOLDINGS LTD HKD 3 106 128 0.18 Ireland 7 915 368 0.45 119 995 CRH PLC EUR 3 954 435 0.23 3 329 DCC PLC GBP 235 557 0.01 119 651 EXPERIAN PLC GBP 2 206 311 0.13 22 959 KINGSPAN GROUP PLC EUR 592 342 0.03 42 520 SMURFIT KAPPA GROUP PLC EUR 926 723 0.05 Portugal 7 736 288 0.46 340 492 CTT-CORREIOS DE PORTUGAL EUR 2 194 471 0.13 687 464 EDP-ENERGIAS DE PORTUGAL SA EUR 1 989 521 0.12 240 997 JERONIMO MARTINS EUR 3 552 296 0.21 Belgium 5 915 021 0.34 15 431 AGEAS EUR 580 360 0.03 30 406 ANHEUSER - BUSCH INBEV SA/NV EUR 3 057 323 0.18 101 215 BPOST SA EUR 2 277 338 0.13 South Korea 5 911 781 0.34 920 AMOREPACIFIC CORP KRW 232 180 0.01 3 257 HYUNDAI MOTOR CO KRW 373 273 0.02 19 755 KT&G CORP KRW 1 566 224 0.09 346 LG HOUSEHOLD & HEALTH CARE KRW 232 762 0.01 2 246 POSCO KRW 453 986 0.03 1 464 SAMSUNG ELECTRONICS CO LTD KRW 2 070 863 0.12 15 147 SHINHAN FINANCIAL GROUP LTD KRW 538 023 0.03 3 865 SK INNOVATION CO LTD KRW 444 470 0.03 Canada 5 895 060 0.35 18 566 ALIMENTATION COUCHE-TARD - B CAD 799 108 0.05 RIOCAN REAL ESTATE INVEST 270 671 TRUST CAD 5 095 952 0.30 Taiwan 4 511 531 0.26 162 000 CHUNGHWA TELECOM CO LTD TWD 483 709 0.03 119 000 CTCI CORP TWD 170 482 0.01 DELTA ELECTRONIC 65 000 INDUSTRIAL CO TWD 304 984 0.02 304 000 FUBON FINANCIAL HOLDING CO TWD 456 087 0.03 MEGA FINANCIAL HOLDING 307 000 COMPANY TWD 207 716 0.01 82 000 NOVATEK MICROELECTRONICS CORP TWD 256 902 0.01 37 369 SPORTON INTERNATIONAL INC TWD 187 430 0.01 220 000 TAIWAN CEMENT TWD 227 484 0.01 32 551 TAIWAN SEMICONDUCTOR - SP ADR USD 887 264 0.05 TAIWAN SEMICONDUCTOR 249 000 MANUFAC TWD 1 329 473 0.08 Singapore 3 703 652 0.22 1 473 300 CACHE LOGISTICS TRUST SGD 783 156 0.05 72 800 DBS GROUP HOLDINGS LTD SGD 828 424 0.05 1 989 637 KEPPEL DC REIT SGD 1 547 263 0.09 907 300 RHT HEALTH TRUST SGD 544 809 0.03 Denmark 3 242 053 0.18 19 723 CARLSBERG AS - B DKK 1 616 715 0.09 14 909 ROYAL UNIBREW DKK 546 589 0.03 62 812 TRYG A/S DKK 1 078 749 0.06 India 3 051 595 0.19 19 257 ASIAN PAINTS LTD INR 239 697 0.01 12 505 GODREJ CONSUMER PRODUCTS LTD INR 263 766 0.02 17 434 HDFC BANK LTD INR 293 757 0.02 88 517 ICICI BANK LTD INR 315 682 0.02 27 614 KOTAK MAHINDRA BANK LTD INR 276 214 0.02 SUN PHARMACEUTICAL 24 884 INDUSTRIES INR 218 456 0.01 Page 75
BNP Paribas L1 Multi-Asset Income Expressed in EUR 7 912 TATA CONSULTANCY SVCS LTD INR 261 451 0.02 44 477 TATA MOTORS LTD INR 292 140 0.02 55 236 YES BANK LTD INR 890 432 0.05 Bermuda 2 873 180 0.17 46 430 AXIS CAPITAL HOLDINGS LTD USD 2 873 180 0.17 Indonesia 922 508 0.05 621 700 BANK RAKYAT INDONESIA PERSER IDR 510 787 0.03 1 470 000 TELEKOMUNIKASI INDONESIA PER IDR 411 721 0.02 Thailand 822 350 0.05 33 000 BANGKOK BANK PUBLIC CO-NVDR THB 139 352 0.01 120 000 PTT EXPLOR & PROD PCL-NVDR THB 305 789 0.02 38 300 PTT PCL/FOREIGN THB 377 209 0.02 New Zealand 743 105 0.05 70 244 AUCKLAND INTL AIRPORT LTD NZD 290 236 0.02 21 061 FLETCHER BUILDING LTD NZD 147 586 0.01 135 421 SPARK NEW ZEALAND LTD NZD 305 283 0.02 Malaysia 681 269 0.04 110 000 MALAYAN BANKING BHD MYR 190 631 0.01 63 300 PUBLIC BANK BERHAD MYR 263 814 0.02 132 500 SIME DARBY BERHAD MYR 226 824 0.01 Philippines 504 424 0.03 192 500 ABOITIZ POWER CORP PHP 153 092 0.01 6 370 PLDT INC PHP 165 828 0.01 14 850 SM INVESTMENTS CORP PHP 185 504 0.01 Jersey Island 421 575 0.02 48 960 PHOENIX GROUP HOLDINGS GBP 421 575 0.02 Isle of Man 383 305 0.02 88 120 PAYSAFE GROUP PLC GBP 383 305 0.02 Bonds 500 514 592 29.05 United States of America 235 413 102 13.68 21ST CENTURY FOX AMERICA 5.650% 10-15/08/2020 USD 208 937 0.01 305 000 ABBVIE INC 0.375% 16-18/11/2019 EUR 307 047 0.02 ACI WORLDWIDE 6.375% 13-230 000 15/08/2020 USD 224 603 0.01 ACTIVISION BLIZZ 2.300% 16-275 000 15/09/2021 USD 253 991 0.01 ADIENT GLOBAL HO 3.500% 16-1 210 000 15/08/2024 EUR 1 228 150 0.07 ADIENT GLOBAL HO 4.875% 16-330 000 15/08/2026 USD 306 222 0.02 AES CORPORATION 5.500% 14-375 000 15/03/2024 USD 359 090 0.02 600 000 AFLAC INC 3.625% 14-15/11/2024 USD 582 832 0.03 AIR LEASE CORP 2.625% 15-04/09/2018 USD 190 669 0.01 500 000 AIR LEASE CORP 3.875% 14-01/04/2021 USD 488 680 0.03 AIR PROD & CHEM 0.375% 16-190 000 01/06/2021 EUR 191 457 0.01 ALBEMARLE CORP 1.875% 14-120 000 08/12/2021 EUR 125 922 0.01 1 135 000 ALCOA INC 5.125% 14-01/10/2024 USD 1 111 057 0.06 ALEXANDRIA REAL 4.600% 12-250 000 01/04/2022 USD 249 633 0.01 ALTRIA GROUP INC 5.375% 13-400 000 31/01/2044 USD 441 891 0.03 AMC ENTERTAINMNT 5.875% 14-160 000 15/02/2022 USD 158 331 0.01 AMER AXLE & MFG 6.250% 13-120 000 15/03/2021 USD 117 184 0.01 AMER AXLE & MFG 7.750% 11-150 000 15/11/2019 USD 157 324 0.01 AMER INTL GROUP 3.300% 16-500 000 01/03/2021 USD 485 030 0.03 AMER INTL GROUP 3.900% 16-500 000 01/04/2026 USD 481 640 0.03 AMERICAN TOWER 3.375% 16-15/10/2026 USD 89 616 0.01 AMERICAN TOWER 3.500% 13-783 000 31/01/2023 USD 743 952 0.04 AMERICAN TOWER 4.000% 15-550 000 01/06/2025 USD 523 625 0.03 AMERIGAS FINANCE 7.000% 12-206 000 20/05/2022 USD 205 561 0.01 AMERIGAS PARTNER 5.625% 16-195 000 20/05/2024 USD 188 807 0.01 AMERIGAS PARTNER 5.875% 16-195 000 20/08/2026 USD 187 882 0.01 275 000 AMGEN INC 2.600% 16-19/08/2026 USD 240 094 0.01 500 000 AMGEN INC 3.875% 11-15/11/2021 USD 495 781 0.03 AMKOR TECHNOLOGY INC 6.625% 145 000 11-01/06/2021 USD 141 254 0.01 375 000 AMSURG CORP 5.625% 15-15/07/2022 USD 365 756 0.02 ANADARKO PETROLEUM 5.550% 16-15/03/2026 USD 319 273 0.02 ANTERO MIDSTREAM 5.375% 16-130 000 15/09/2024 USD 124 947 0.01 ANTERO RESOURCES 5.125% 15-1 270 000 01/12/2022 USD 1 216 118 0.07 ANTERO RESOURCES 6.000% 13-245 000 01/12/2020 USD 239 251 0.01 500 000 APACHE CORP 2.625% 12-15/01/2023 USD 457 032 0.03 150 000 APPLE INC 1.375% 15-17/01/2024 EUR 158 291 0.01 ARGOS MERGER SUB 7.125% 15-985 000 15/03/2023 USD 950 213 0.06 AT&T INC 2.450% 15-30/06/2020 USD 94 070 0.01 150 000 AT&T INC 2.600% 14-17/12/2029 EUR 157 499 0.01 500 000 AT&T INC 3.400% 15-15/05/2025 USD 456 748 0.03 250 000 AT&T INC 4.125% 16-17/02/2026 USD 240 126 0.01 AT&T INC 4.300% 13-15/12/2042 USD 254 637 0.01 AUTONATION INC 5.500% 12-01/02/2020 USD 305 097 0.02 AUTONATION INC 6.750% 10-600 000 15/04/2018 USD 600 586 0.03 AVIS BUDGET CAR 5.125% 14-745 000 01/06/2022 USD 692 202 0.04 BANK OF AMERICA CORP 0.750% 16-390 000 26/07/2023 EUR 384 610 0.02 BANK OF AMERICA CORP 1.375% 15-26/03/2025 EUR 101 276 0.01 BANK OF AMERICA CORP 2.600% 13-160 000 15/01/2019 USD 153 104 0.01 BANK OF AMERICA CORP 2.625% 15-400 000 19/10/2020 USD 378 979 0.02 BANK OF AMERICA CORP 3.248% 16-525 000 21/10/2027 USD 475 126 0.03 BANK OF AMERICA CORP 3.875% 15-1 672 000 01/08/2025 USD 1 610 161 0.09 BANK OF AMERICA CORP 4.000% 15-500 000 22/01/2025 USD 474 368 0.03 BANK OF AMERICA CORP 5.625% 10-830 000 01/07/2020 USD 864 073 0.05 BANK ONE CORP 7.750% 95-15/07/2025 USD 116 925 0.01 565 000 BELDEN INC 4.125% 16-15/10/2026 EUR 566 413 0.03 884 000 BELDEN INC 5.500% 13-15/04/2023 EUR 945 880 0.05 BORG-WARNER AUTO 3.375% 15-180 000 15/03/2025 USD 167 068 0.01 BORG-WARNER AUTO 4.375% 15-15/03/2045 USD 91 486 0.01 BOYD GAMING CORP 6.875% 15-830 000 15/05/2023 USD 844 951 0.05 BUNGE LTD FIN CP 3.250% 16-500 000 15/08/2026 USD 455 141 0.03 CABLEVISION SYS 5.875% 12-585 000 15/09/2022 USD 541 461 0.03 520 000 CALPINE CORP 5.375% 14-15/01/2023 USD 483 148 0.03 610 000 CALPINE CORP 5.750% 14-15/01/2025 USD 561 709 0.03 700 000 CALPINE CORP 5.875% 13-15/01/2024 USD 694 359 0.04 CAPITAL ONE FINL 3.750% 16-28/07/2026 USD 275 386 0.02 CAPITAL ONE FINL 4.200% 15-29/10/2025 USD 191 065 0.01 250 000 CARGILL INC 7.350% 09-06/03/2019 USD 263 183 0.02 CARRIZO OIL & GAS 6.250% 15-125 000 15/04/2023 USD 121 771 0.01 Page 76
BNP Paribas L1 Multi-Asset Income Expressed in EUR 350 000 CBS CORP 4.900% 14-15/08/2044 USD 333 684 0.02 CCO HOLDINGS LLC 5.250% 12-600 000 30/09/2022 USD 589 476 0.03 CCO HOLDINGS LLC 5.750% 13-450 000 15/01/2024 USD 447 973 0.03 CCO HOLDINGS LLC 5.750% 14-455 000 01/09/2023 USD 451 333 0.03 CCO HOLDINGS LLC 5.875% 15-295 000 01/05/2027 USD 289 127 0.02 CCO HOLDINGS LLC 5.875% 16-1 150 000 01/04/2024 USD 1 165 264 0.07 CEDAR FAIR LP/CA 5.375% 15-480 000 01/06/2024 USD 469 306 0.03 CELANESE US HOLDINGS 3.250% 14-15/10/2019 EUR 216 292 0.01 445 000 CELGENE CORP 5.250% 13-15/08/2043 USD 448 443 0.03 CEMEX FINANCE 4.625% 16-277 000 15/06/2024 EUR 285 310 0.02 320 000 CENTENE CORP 5.625% 16-15/02/2021 USD 318 559 0.02 320 000 CENTENE CORP 6.125% 16-15/02/2024 USD 318 559 0.02 CENTURYLINK INC 6.450% 11-535 000 15/06/2021 USD 536 395 0.03 CENTURYLINK INC 6.750% 13-1 370 000 01/12/2023 USD 1 323 240 0.08 CENTURYLINK INC 7.500% 16-340 000 01/04/2024 USD 338 469 0.02 CF INDUSTRIES IN 3.400% 16-130 000 01/12/2021 USD 121 592 0.01 CGCMT 2014-GC25 B 4.345% 14-150 000 10/10/2047 USD 146 196 0.01 CGCMT 2015-GC27 AS 3.571% 15-2 350 000 10/02/2048 USD 2 221 116 0.13 435 000 CHEMOURS CO 6.625% 16-15/05/2023 USD 408 811 0.02 CHENIERE CORP CH 7.000% 16-320 000 30/06/2024 USD 329 936 0.02 CHESAPEAKE ENRGY 8.000% 15-550 000 15/12/2022 USD 563 167 0.03 400 000 CHEVRON CORP 2.419% 15-17/11/2020 USD 381 266 0.02 CHS/COMMUNITY 5.125% 14-140 000 01/08/2021 USD 123 110 0.01 CHS/COMMUNITY 6.875% 14-450 000 01/02/2022 USD 297 582 0.02 CHS/COMMUNITY 8.000% 12-310 000 15/11/2019 USD 244 679 0.01 CIMAREX ENERGY 4.375% 14-450 000 01/06/2024 USD 442 734 0.03 60 000 CISCO SYSTEMS 2.950% 16-28/02/2026 USD 56 350 0.00 381 000 CITIGROUP INC 0.750% 16-26/10/2023 EUR 373 723 0.02 CITIGROUP INC 1.375% 14-27/10/2021 EUR 104 297 0.01 160 000 CITIGROUP INC 1.750% 13-01/05/2018 USD 151 305 0.01 670 000 CITIGROUP INC 2.550% 14-08/04/2019 USD 640 323 0.04 190 000 CITIGROUP INC 2.650% 15-26/10/2020 USD 179 986 0.01 CITIGROUP INC 4.050% 13-30/07/2022 USD 294 016 0.02 150 000 CITIGROUP INC 4.600% 16-09/03/2026 USD 146 915 0.01 CLEAR CHNL WORLD 6.500% 13-760 000 15/11/2022 USD 743 968 0.04 CLEAR CHNL WORLD 7.625% 12-400 000 15/03/2020 USD 378 763 0.02 COCA-COLA CO/THE 1.125% 14-22/09/2022 EUR 208 876 0.01 COMCAST CORP 4.400% 15-15/08/2035 USD 298 768 0.02 COMCAST CORP 6.950% 07-15/08/2037 USD 388 960 0.02 COMMSCOPE TECH F 6.000% 15-320 000 15/06/2025 USD 320 455 0.02 CONCHO RES/MIDLA 5.500% 12-510 000 01/04/2023 USD 500 450 0.03 CONCHO RES/MIDLA 5.500% 12-800 000 01/10/2022 USD 785 938 0.05 CONOCOPHILLIPS CO 2.400% 12-242 000 15/12/2022 USD 221 819 0.01 CONSOL ENERGY 5.875% 15-255 000 15/04/2022 USD 238 439 0.01 CONSTELLATION BR 3.700% 16-225 000 06/12/2026 USD 209 854 0.01 CONTINENTAL RES 4.500% 13-440 000 15/04/2023 USD 408 817 0.02 CONTINENTAL RES 4.900% 14-211 000 01/06/2044 USD 170 290 0.01 CONTINENTAL RES 5.000% 12-1 210 000 15/09/2022 USD 1 158 663 0.07 COTT BEVERAGES 5.375% 15-325 000 01/07/2022 USD 312 752 0.02 COVANTA HOLDING 6.375% 12-01/10/2022 USD 288 338 0.02 CROWN CASTLE INTL 3.400% 16-350 000 15/02/2021 USD 335 967 0.02 CRSTWD PART/FIN 6.125% 14-435 000 01/03/2022 USD 422 731 0.02 CSC HOLDINGS LLC 5.500% 16-245 000 15/04/2027 USD 235 186 0.01 CSC HOLDINGS LLC 6.750% 11-430 000 15/11/2021 USD 438 765 0.03 260 000 CSX CORP 3.350% 15-01/11/2025 USD 247 142 0.01 CSX CORP 6.150% 07-01/05/2037 USD 230 936 0.01 CVR REF/COFF FIN 6.500% 13-175 000 01/11/2022 USD 165 087 0.01 CVS HEALTH CORP 3.875% 15-402 000 20/07/2025 USD 393 158 0.02 CYRUSONE LP/CYRU 6.375% 13-230 000 15/11/2022 USD 228 897 0.01 210 000 DANA HOLDING 5.375% 13-15/09/2021 USD 206 317 0.01 310 000 DANA HOLDING 6.000% 13-15/09/2023 USD 307 502 0.02 DAVITA HEALTHCARE 5.125% 14-650 000 15/07/2024 USD 613 178 0.04 335 000 DAVITA INC 5.750% 12-15/08/2022 USD 333 094 0.02 DEAN FOODS CO 6.500% 15-15/03/2023 USD 199 099 0.01 DIAMOND 1 FIN/DI 4.420% 16-800 000 15/06/2021 USD 785 384 0.05 DIAMOND 1 FIN/DI 7.125% 16-1 945 000 15/06/2024 USD 2 030 748 0.12 DIAMONDBACK ENER 4.750% 16-370 000 01/11/2024 USD 343 778 0.02 DISCOVER BANK 7.000% 10-400 000 15/04/2020 USD 417 635 0.02 255 000 DISH DBS CORP 5.000% 13-15/03/2023 USD 240 857 0.01 180 000 DISH DBS CORP 5.875% 12-15/07/2022 USD 179 403 0.01 1 325 000 DISH DBS CORP 6.750% 11-01/06/2021 USD 1 359 860 0.08 255 000 DISH DBS CORP 7.750% 16-01/07/2026 USD 273 193 0.02 670 000 DOLLAR TREE 5.750% 16-01/03/2023 USD 671 747 0.04 DOMINION RESOURCES 5.250% 03-600 000 01/08/2033 USD 615 649 0.04 DONNELLEY & SONS 7.875% 13-230 000 15/03/2021 USD 226 784 0.01 DOW CHEMICAL CO 4.375% 12-400 000 15/11/2042 USD 369 195 0.02 125 000 DPL INC 7.250% 12-15/10/2021 USD 121 178 0.01 875 000 DYNEGY INC 7.375% 15-01/11/2022 USD 792 249 0.05 500 000 ECOLAB INC 4.350% 11-08/12/2021 USD 511 244 0.03 EMERA US FINANCE 3.550% 16-400 000 15/06/2026 USD 373 135 0.02 ENDO FINANCE LLC 6.000% 15-665 000 15/07/2023 USD 553 247 0.03 ENDO FINANCE LLC 7.750% 14-215 000 15/01/2022 USD 188 552 0.01 ENERGIZER SPINCO 5.500% 15-230 000 15/06/2025 USD 218 606 0.01 ENERGY TRAN PTNR 4.750% 15-500 000 15/01/2026 USD 488 528 0.03 ENERGY TRAN PTNR 6.700% 08-500 000 01/07/2018 USD 504 129 0.03 ENERGY TRANSFER 5.875% 13-860 000 15/01/2024 USD 841 858 0.05 ENERGY TRANSFER 7.500% 10-240 000 15/10/2020 USD 253 425 0.01 ENLINK MIDSTREAM 4.400% 14-560 000 01/04/2024 USD 526 950 0.03 ENTERPRISE OP LLC 6.500% 08-260 000 31/01/2019 USD 268 108 0.02 ENTERPRISE PRODU 4.900% 15-15/05/2046 USD 195 470 0.01 500 000 EQUINIX INC 5.375% 14-01/01/2022 USD 498 933 0.03 600 000 EQUINIX INC 5.750% 14-01/01/2025 USD 591 609 0.03 FEDEX CORP 3.200% 15-01/02/2025 USD 94 438 0.01 FEDEX CORP 4.900% 14-15/01/2034 USD 305 532 0.02 5 666 501 FHR 4187 CI 3.000% 13-15/04/2033 USD 757 392 0.04 1 666 794 FHS 303 C33 4.500% 13-15/01/2043 USD 372 746 0.02 FIAT FINANCE NA 5.625% 07-1 12/06/2017 EUR 1 124 750 0.07 Page 77
BNP Paribas L1 Multi-Asset Income Expressed in EUR FIFTH THIRD BANK 2.875% 15-240 000 27/07/2020 USD 230 452 0.01 FIRST DATA CORP 5.000% 15-75 000 15/01/2024 USD 71 285 0.00 FIRST DATA CORP 5.375% 15-570 000 15/08/2023 USD 558 651 0.03 FIRST DATA CORP 7.000% 15-1 365 000 01/12/2023 USD 1 379 883 0.08 FIVE COR FND TRS 4.419% 13-550 000 15/11/2023 USD 551 126 0.03 10 465 231 FNR 2013-73 CI 3.000% 13-25/07/2033 USD 1 361 453 0.08 FORD MOTOR CO 6.625% 98-450 000 01/10/2028 USD 501 397 0.03 FORD MOTOR CRED 3.664% 14-08/09/2024 USD 185 610 0.01 FORTIVE CORP 3.150% 16-15/06/2026 USD 186 863 0.01 FRESENIUS MEDICAL 4.750% 14-575 000 15/10/2024 USD 553 330 0.03 FRONTIER COMM 10.500% 16-425 000 15/09/2022 USD 425 101 0.02 FRONTIER COMM 11.000% 16-235 000 15/09/2025 USD 230 600 0.01 FRONTIER COMM 6.875% 14-740 000 15/01/2025 USD 586 703 0.03 FRONTIER COMM 8.500% 10-525 000 15/04/2020 USD 523 258 0.03 FRONTIER COMM 8.750% 10-590 000 15/04/2022 USD 551 683 0.03 GAMESTOP CORP 5.500% 14-125 000 01/10/2019 USD 119 993 0.01 785 000 GANNETT CO 6.375% 13-15/10/2023 USD 786 116 0.05 GEN ELEC CAP CRP 5.250% 07-500 000 06/12/2017 USD 491 282 0.03 GEN ELECTRIC CO 4.500% 14-400 000 11/03/2044 USD 404 805 0.02 GEN MOTORS FIN 0.955% 16-410 000 07/09/2023 EUR 397 700 0.02 GEN MOTORS FIN 3.200% 15-400 000 13/07/2020 USD 379 711 0.02 GEN MOTORS FIN 3.200% 16-132 000 06/07/2021 USD 123 740 0.01 GEN MOTORS FIN 4.000% 15-150 000 15/01/2025 USD 138 481 0.01 GEN MOTORS FIN 4.375% 14-1 673 000 25/09/2021 USD 1 639 691 0.10 GENERAL MOTORS CO 5.200% 14-01/04/2045 USD 91 017 0.01 GENESIS ENERGY 6.750% 15-285 000 01/08/2022 USD 280 677 0.02 GOLDMAN SACHS GP 1.250% 16-360 000 01/05/2025 EUR 354 334 0.02 GOLDMAN SACHS GP 2.000% 15-350 000 27/07/2023 EUR 369 761 0.02 GOLDMAN SACHS GP 2.350% 16-15/11/2021 USD 184 374 0.01 GOLDMAN SACHS GP 2.600% 15-500 000 23/04/2020 USD 474 487 0.03 GOLDMAN SACHS GP 2.625% 14-710 000 31/01/2019 USD 679 453 0.04 GOLDMAN SACHS GP 2.875% 16-150 000 25/02/2021 USD 142 813 0.01 GOLDMAN SACHS GP 2.900% 13-250 000 19/07/2018 USD 240 299 0.01 GOLDMAN SACHS GP 4.000% 14-1 660 000 03/03/2024 USD 1 628 901 0.09 GOLDMAN SACHS GP 4.250% 15-330 000 21/10/2025 USD 318 596 0.02 GOLDMAN SACHS GP 4.750% 06-12/10/2021 EUR 234 846 0.01 GOLDMAN SACHS GP 4.800% 14-08/07/2044 USD 198 838 0.01 GOLDMAN SACHS GP 5.950% 06-15/01/2027 USD 323 280 0.02 GOODYEAR TIRE 5.125% 15-150 000 15/11/2023 USD 146 480 0.01 130 000 GRAY TELE INC 5.125% 16-15/10/2024 USD 119 708 0.01 GREEKTOWN HLDGS 8.875% 14-910 000 15/03/2019 USD 909 137 0.05 GULFPORT ENERGY 6.000% 16-130 000 15/10/2024 USD 125 101 0.01 HCA HOLDINGS INC 6.250% 12-15/02/2021 USD 203 603 0.01 295 000 HCA INC 4.500% 16-15/02/2027 USD 274 093 0.02 835 000 HCA INC 5.000% 14-15/03/2024 USD 815 406 0.05 180 000 HCA INC 5.250% 14-15/04/2025 USD 177 696 0.01 1 525 000 HCA INC 5.375% 15-01/02/2025 USD 1 445 840 0.08 390 000 HCA INC 7.500% 11-15/02/2022 USD 419 211 0.02 410 000 HDTFS INC 6.250% 13-15/10/2022 USD 364 909 0.02 HEALTHSOUTH CORP 5.125% 15-150 000 15/03/2023 USD 141 503 0.01 HERC RENTALS INC 7.500% 16-145 000 01/06/2022 USD 145 034 0.01 HEWLETT - PACKARD CO 3.750% 10-33 000 01/12/2020 USD 32 394 0.00 HOME DEPOT INC 4.250% 15-01/04/2046 USD 199 744 0.01 2 382 000 HP ENTERPRISE 3.600% 15-15/10/2020 USD 2 300 564 0.13 706 000 IMS HEALTH INC 3.500% 16-15/10/2024 EUR 734 240 0.04 INCPTN/RCKSPCE 8.625% 16-245 000 15/11/2024 USD 245 058 0.01 INGERSOLL-RAND GL 4.250% 14-500 000 15/06/2023 USD 500 659 0.03 140 000 INGREDION INC 3.200% 16-01/10/2026 USD 129 579 0.01 INTEL CORP 4.000% 12-15/12/2032 USD 196 356 0.01 2 090 000 INTL LEASE FIN 7.125% 10-01/09/2018 USD 2 135 377 0.12 110 000 INTL PAPER CO 3.000% 16-15/02/2027 USD 98 375 0.01 IRON MOUNTAIN 5.750% 12-870 000 15/08/2024 USD 842 525 0.05 IRON MOUNTAIN 6.000% 15-500 000 01/10/2020 USD 501 896 0.03 JP MORGAN CHASE 0.625% 16-460 000 25/01/2024 EUR 449 461 0.03 JP MORGAN CHASE 1.500% 15-190 000 26/10/2022 EUR 199 061 0.01 JP MORGAN CHASE 1.700% 15-170 000 01/03/2018 USD 161 085 0.01 JP MORGAN CHASE 4.250% 15-600 000 01/10/2027 USD 585 011 0.03 JP MORGAN CHASE 6.400% 08-250 000 15/05/2038 USD 308 831 0.02 590 000 KB HOME 4.750% 14-15/05/2019 USD 571 261 0.03 140 000 KB HOME 7.500% 12-15/09/2022 USD 140 394 0.01 KELLOGG CO 1.000% 16-17/05/2024 EUR 99 544 0.01 KEYSIGHT TECHNOL 4.550% 15-275 000 30/10/2024 USD 259 935 0.02 KILROY REALTY LP 4.375% 15-150 000 01/10/2025 USD 145 421 0.01 KIMBERLY-CLARK 6.625% 07-01/08/2037 USD 390 670 0.02 KIMCO REALTY 3.200% 14-01/05/2021 USD 191 862 0.01 KINDER MORGAN 4.300% 14-01/06/2025 USD 292 776 0.02 KINDER MORGAN 5.300% 14-01/12/2034 USD 193 614 0.01 KINDRED HEALTHCARE 8.000% 15-445 000 15/01/2020 USD 420 319 0.02 225 000 KLX INC 5.875% 14-01/12/2022 USD 219 987 0.01 KRAFT HEINZ FOOD 1.500% 16-24/05/2024 EUR 201 848 0.01 KRAFT HEINZ FOOD 4.375% 16-500 000 01/06/2046 USD 449 192 0.03 315 000 L BRANDS INC 6.750% 16-01/07/2036 USD 301 262 0.02 LAMAR MEDIA CORP 5.375% 14-410 000 15/01/2024 USD 403 295 0.02 LEE ENTERPRISES 9.500% 14-305 000 15/03/2022 USD 305 795 0.02 LENNOX INTERNATIONAL INC 150 000 3.000% 16-15/11/2023 USD 137 912 0.01 LEVEL 3 COMMUNICATIONS INC 825 000 5.750% 15-01/12/2022 USD 802 708 0.05 330 000 LEVEL 3 FIN INC 5.250% 16-15/03/2026 USD 308 959 0.02 160 000 LEVI STRAUSS 5.000% 15-01/05/2025 USD 151 505 0.01 LIBERTY MUTUAL 4.250% 13-500 000 15/06/2023 USD 496 250 0.03 LIFEPOINT HOSPIT 5.500% 14-1 120 000 01/12/2021 USD 1 097 701 0.06 LIMITED BRANDS 5.625% 12-770 000 15/02/2022 USD 781 133 0.05 LIMITED BRANDS 6.625% 11-45 000 01/04/2021 USD 47 997 0.00 140 000 LIN TELEVISION 5.875% 15-15/11/2022 USD 134 558 0.01 MARATHON OIL CORP 3.850% 15-550 000 01/06/2025 USD 503 200 0.03 Page 78
BNP Paribas L1 Multi-Asset Income Expressed in EUR MARRIOTT INTL 3.125% 16-15/06/2026 USD 179 990 0.01 MCDONALDS CORP 1.000% 16-15/11/2023 EUR 202 446 0.01 MEDIACOM BROADBAND 6.375% 13-150 000 01/04/2023 USD 148 613 0.01 250 000 MEDTRONIC INC 4.500% 12-15/03/2042 USD 248 097 0.01 155 000 MERITOR INC 6.750% 13-15/06/2021 USD 149 342 0.01 MERRILL LYNCH 6.110% 07-500 000 29/01/2037 USD 554 951 0.03 150 000 MET LIFE GLOB 1.250% 14-17/09/2021 EUR 156 489 0.01 1 225 000 MGM RESORTS 6.625% 12-15/12/2021 USD 1 294 975 0.08 240 000 MGM RESORTS 7.750% 12-15/03/2022 USD 262 811 0.02 MGP ESCROW LLC/I 5.625% 16-50 000 01/05/2024 USD 49 716 0.00 460 000 MICRON TECH 5.500% 14-01/02/2025 USD 433 942 0.03 485 000 MICRON TECH 7.500% 16-15/09/2023 USD 508 686 0.03 MIDAMERICAN ENER HOLDING 400 000 6.125% 06-01/04/2036 USD 475 123 0.03 MORGAN STANLEY 1.000% 16-320 000 02/12/2022 EUR 323 114 0.02 MORGAN STANLEY 1.375% 16-367 000 27/10/2026 EUR 357 675 0.02 MORGAN STANLEY 2.375% 14-250 000 31/03/2021 EUR 270 578 0.02 MORGAN STANLEY 3.700% 14-23/10/2024 USD 287 812 0.02 MORGAN STANLEY 4.350% 14-420 000 08/09/2026 USD 407 063 0.02 MORGAN STANLEY 5.000% 13-1 626 000 24/11/2025 USD 1 645 763 0.10 MORGAN STANLEY 7.300% 09-700 000 13/05/2019 USD 738 851 0.04 MPT OP PTNR/FINL 5.250% 16-305 000 01/08/2026 USD 286 638 0.02 MSBAM 2015-C20 AS 3.605% 15-210 000 15/02/2048 USD 199 962 0.01 MURPHY OIL CORP 4.700% 12-370 000 01/12/2022 USD 340 270 0.02 MURPHY OIL CORP 6.875% 16-410 000 15/08/2024 USD 413 984 0.02 MYLAN NV 1.250% 16-23/11/2020 EUR 101 833 0.01 NABORS INDS INC 4.625% 12-175 000 15/09/2021 USD 168 820 0.01 NABORS INDS INC 5.000% 11-110 000 15/09/2020 USD 107 028 0.01 250 000 NBTY INC 7.625% 16-15/05/2021 USD 245 023 0.01 320 000 NCR CORP 5.875% 14-15/12/2021 USD 317 800 0.02 160 000 NCR CORP 6.375% 14-15/12/2023 USD 161 934 0.01 NEPTUNE FINCO 10.125% 15-1 350 000 15/01/2023 USD 1 478 312 0.09 NEPTUNE FINCO 10.875% 15-550 000 15/10/2025 USD 619 874 0.04 410 000 NETFLIX INC 5.375% 13-01/02/2021 USD 417 386 0.02 410 000 NETFLIX INC 5.875% 15-15/02/2025 USD 419 329 0.02 NEWELL RUBBERMAID 3.150% 16-01/04/2021 USD 289 718 0.02 NEWELL RUBBERMAID 5.500% 16-01/04/2046 USD 328 400 0.02 NEWFIELD EXPLOR 5.625% 12-695 000 01/07/2024 USD 688 575 0.04 NEXSTAR BROADCASTING 6.125% 140 000 15-15/02/2022 USD 137 876 0.01 NEXSTAR ESCROW 5.625% 16-115 000 01/08/2024 USD 108 485 0.01 NIELSEN FINANCE 5.000% 14-590 000 15/04/2022 USD 569 863 0.03 NORDSTROM INC 5.000% 14-15/01/2044 USD 187 933 0.01 NORTHROP GRUMMAN 3.500% 10-15/03/2021 USD 294 954 0.02 230 000 NOVELIS CORP 5.875% 16-30/09/2026 USD 218 061 0.01 320 000 NOVELIS CORP 6.250% 16-15/08/2024 USD 321 214 0.02 NRG ENERGY INC 6.250% 14-280 000 15/07/2022 USD 266 129 0.02 NRG ENERGY INC 6.625% 13-1 365 000 15/03/2023 USD 1 303 852 0.08 NRG ENERGY INC 7.250% 16-330 000 15/05/2026 USD 308 568 0.02 NRG ENERGY INC 7.625% 11-83 000 15/01/2018 USD 82 725 0.00 OASIS PETROLEUM 6.500% 11-465 000 01/11/2021 USD 450 782 0.03 OCCIDENTAL PETE 3.400% 16-15/04/2026 USD 286 501 0.02 OMEGA HEALTHCARE 4.375% 16-135 000 01/08/2023 USD 126 049 0.01 OMEGA HEALTHCARE 4.950% 14-01/04/2024 USD 286 316 0.02 255 000 ONEOK INC 4.250% 12-01/02/2022 USD 242 972 0.01 250 000 ORACLE CORP 4.300% 14-08/07/2034 USD 245 169 0.01 ORACLE CORP 5.375% 11-15/07/2040 USD 219 991 0.01 OUTFRONT MEDIA C 5.250% 15-15/02/2022 USD 295 449 0.02 OUTFRONT MEDIA C 5.625% 15-50 000 15/02/2024 USD 49 479 0.00 OUTFRONT MEDIA C 5.875% 15-350 000 15/03/2025 USD 346 765 0.02 PACKAGING CORP 3.650% 14-400 000 15/09/2024 USD 380 185 0.02 PENN NATL GAMING 5.875% 14-400 000 01/11/2021 USD 393 458 0.02 PHILIP MORRIS INTERNATIONAL 1.875% 14-03/03/2021 EUR 213 810 0.01 POST HOLDINGS IN 5.000% 16-230 000 15/08/2026 USD 208 248 0.01 485 000 PRIME SEC/FIN 9.250% 16-15/05/2023 USD 501 209 0.03 PRINCIPAL FINANCIAL 3.100% 16-275 000 15/11/2026 USD 250 567 0.01 350 000 PROG ENER CAR 4.100% 12-15/05/2042 USD 331 268 0.02 130 000 PROLOGIS LP 1.375% 14-07/10/2020 EUR 134 633 0.01 350 000 PROLOGIS LP 3.750% 15-01/11/2025 USD 339 620 0.02 RANGE RESOURCES 5.875% 16-215 000 01/07/2022 USD 212 758 0.01 REGAL ENTERTAINMENT 5.750% 14-430 000 15/03/2022 USD 426 535 0.02 REGIONS BK ALAB 7.500% 08-15/05/2018 USD 304 147 0.02 150 000 REGIONS FINL 3.200% 16-08/02/2021 USD 144 476 0.01 REPUBLIC SVCS 2.900% 16-01/07/2026 USD 90 623 0.01 REYNOLDS GROUP 5.750% 13-750 000 15/10/2020 USD 732 401 0.04 ROPER TECHNOLOGIES 3.800% 16-145 000 15/12/2026 USD 138 794 0.01 210 000 ROWAN COS INC 7.375% 16-15/06/2025 USD 204 077 0.01 90 000 RR DONNELLEY 6.000% 14-01/04/2024 USD 80 529 0.00 SABINE PASS LIQU 5.750% 14-1 235 000 15/05/2024 USD 1 257 247 0.07 SABINE PASS LIQU 6.250% 14-945 000 15/03/2022 USD 983 302 0.06 210 000 SANMINA CORP 4.375% 14-01/06/2019 USD 205 072 0.01 SBA COMMUNICATIONS 4.875% 15-500 000 15/07/2022 USD 479 972 0.03 SCHLUMBERGER HLD 3.000% 15-400 000 21/12/2020 USD 385 953 0.02 SCIENTIFIC GAMES 10.000% 15-01/12/2022 USD 186 537 0.01 SCIENTIFIC GAMES 7.000% 14-630 000 01/01/2022 USD 641 349 0.04 SEALED AIR CORP 4.500% 15-181 000 15/09/2023 EUR 197 290 0.01 460 000 SERVICE CORP 4.500% 12-15/11/2020 USD 445 390 0.03 620 000 SERVICE CORP 5.375% 14-15/05/2024 USD 609 860 0.04 910 000 SINCLAIR TELE 5.625% 14-01/08/2024 USD 878 941 0.05 SIRIUS XM RADIO 5.375% 16-330 000 15/07/2026 USD 305 440 0.02 SIRIUS XM RADIO 6.000% 14-700 000 15/07/2024 USD 694 359 0.04 260 000 SM ENERGY CO 5.625% 15-01/06/2025 USD 238 184 0.01 150 000 SM ENERGY CO 6.750% 16-15/09/2026 USD 146 480 0.01 SOLERA LLC / FIN 10.500% 16-140 000 01/03/2024 USD 149 656 0.01 SOUTHERN POWER 4.150% 15-110 000 01/12/2025 USD 107 810 0.01 SOUTHERN POWER 5.150% 11-15/09/2041 USD 285 915 0.02 SOUTHERN STAR 5.125% 14-260 000 15/07/2022 USD 248 969 0.01 SOUTHWESTERN ENERGY 4.050% 15-590 000 23/01/2020 USD 576 855 0.03 SPEEDWAY MOTORSP 5.125% 15-270 000 01/02/2023 USD 255 025 0.01 Page 79
BNP Paribas L1 Multi-Asset Income Expressed in EUR SPRINT CAP CORP 6.875% 98-340 000 15/11/2028 USD 318 322 0.02 SPRINT CAP CORP 8.750% 02-750 000 15/03/2032 USD 782 176 0.05 830 000 SPRINT CORP 7.250% 14-15/09/2021 USD 837 082 0.05 555 000 SPRINT CORP 7.875% 14-15/09/2023 USD 562 367 0.03 SPRINT NEXTEL 11.500% 12-1 580 000 15/11/2021 USD 1 836 904 0.11 395 000 SPRINT NEXTEL 9.000% 11-15/11/2018 USD 411 946 0.02 STEEL DYNAMICS 5.125% 15-50 000 01/10/2021 USD 49 419 0.00 STEEL DYNAMICS 5.250% 13-340 000 15/04/2023 USD 338 066 0.02 SUMMIT MID HLD / 5.500% 14-275 000 15/08/2022 USD 254 859 0.01 SUNOCO LOGISTICS 3.900% 16-150 000 15/07/2026 USD 137 764 0.01 765 000 SUNOCO LP/FIN 6.250% 16-15/04/2021 USD 737 983 0.04 SUNTRUST BANKS 2.900% 16-80 000 03/03/2021 USD 76 635 0.00 TARGA RES PRTNRS 5.125% 16-500 000 01/02/2025 USD 469 898 0.03 TARGA RES PRTNRS 6.375% 12-245 000 01/08/2022 USD 239 541 0.01 TARGA RES PRTNRS 6.750% 15-130 000 15/03/2024 USD 131 880 0.01 TAYLOR MORRISON 5.250% 13-510 000 15/04/2021 USD 499 846 0.03 TENET HEALTHCARE 6.000% 13-810 000 01/10/2020 USD 804 432 0.05 TES LOG LP/CORP 5.875% 13-160 000 01/10/2020 USD 156 056 0.01 TES LOG LP/CORP 6.125% 13-490 000 15/10/2021 USD 485 336 0.03 400 000 TESORO CORP 5.125% 16-15/12/2026 USD 383 029 0.02 390 000 THERMO FISHER 0.750% 16-12/09/2024 EUR 377 789 0.02 660 000 TIME INC 5.750% 14-15/04/2022 USD 646 859 0.04 TIME WARNER CABLE 5.000% 09-400 000 01/02/2020 USD 401 517 0.02 TIME WARNER INC 3.800% 16-15/02/2027 USD 188 864 0.01 T-MOBILE USA INC 6.000% 16-375 000 15/04/2024 USD 373 311 0.02 T-MOBILE USA INC 6.375% 14-250 000 01/03/2025 USD 253 022 0.01 T-MOBILE USA INC 6.500% 13-210 000 15/01/2024 USD 213 285 0.01 T-MOBILE USA INC 6.625% 14-775 000 01/04/2023 USD 777 939 0.05 TOLL BR FIN CORP 4.875% 15-15/11/2025 USD 186 537 0.01 TREEHOUSE FOODS 4.875% 14-295 000 15/03/2022 USD 287 379 0.02 UNDER ARMOUR INC 3.250% 16-15/06/2026 USD 89 588 0.01 UNION PACIFIC CORP 4.050% 15-230 000 15/11/2045 USD 219 045 0.01 UNITED RENTAL NA 4.625% 15-490 000 15/07/2023 USD 473 276 0.03 UNITED RENTAL NA 5.500% 15-360 000 15/07/2025 USD 347 713 0.02 UNIVISION COMM 5.125% 15-645 000 15/02/2025 USD 584 001 0.03 UNIVISION COMM 6.750% 12-335 000 15/09/2022 USD 333 094 0.02 245 000 US CONCRETE 6.375% 16-01/06/2024 USD 247 381 0.01 US TREASURY N/B 0.750% 16-23 700 000 30/04/2018 USD 22 396 078 1.29 US TREASURY N/B 1.125% 15-2 000 000 15/06/2018 USD 1 898 194 0.11 US TREASURY N/B 1.375% 16-7 600 000 31/05/2021 USD 7 063 261 0.41 US TREASURY N/B 1.625% 15-4 000 000 31/07/2020 USD 3 789 827 0.22 US TREASURY N/B 3.000% 15-15 000 000 15/05/2045 USD 14 033 230 0.80 US TREASURY N/B 3.375% 14-5 15/05/2044 USD 5 330 702 0.31 US TSY INFL IX N/B 1.000% 16-1 285 389 15/02/2046 USD 1 220 571 0.07 VALEANT PHARMA 5.625% 13-510 000 01/12/2021 USD 374 129 0.02 VALERO ENERGY 3.400% 16-15/09/2026 USD 90 827 0.01 VALERO ENERGY PA 4.375% 16-275 000 15/12/2026 USD 264 607 0.02 VENTAS REALTY LP 4.750% 11-01/06/2021 USD 203 732 0.01 VERIZON COMMUNICATIONS INC 770 000 0.500% 16-02/06/2022 EUR 769 430 0.04 VERIZON COMMUNICATIONS INC 600 000 4.600% 11-01/04/2021 USD 610 251 0.04 VERIZON COMMUNICATIONS INC 600 000 4.862% 15-21/08/2046 USD 574 703 0.03 VERIZON COMMUNICATIONS INC 1 103 000 5.150% 13-15/09/2023 USD 1 154 367 0.07 WALT DISNEY CO 2.300% 16-50 000 12/02/2021 USD 47 555 0.00 WALT DISNEY CO 4.125% 14-150 000 01/06/2044 USD 147 268 0.01 WASTE MANAGEMENT 3.500% 14-15/05/2024 USD 293 342 0.02 WELLS FARGO & CO 1.500% 15-250 000 12/09/2022 EUR 261 240 0.02 WELLS FARGO & CO 2.500% 16-04/03/2021 USD 188 308 0.01 WELLS FARGO & CO 4.400% 16-14/06/2046 USD 273 210 0.02 WELLTOWER 4.000% 15-01/06/2025 USD 290 344 0.02 240 000 WEST CORP 5.375% 14-15/07/2022 USD 219 294 0.01 WESTERN DIGITAL 10.500% 16-1 320 000 01/04/2024 USD 1 479 877 0.09 WESTLAKE CHEMICAL 3.600% 16-275 000 15/08/2026 USD 250 541 0.01 WEYERHAEUSER CO 4.625% 13-250 000 15/09/2023 USD 254 079 0.01 WFCM 2015-SG1 AS 4.047% 15-2 350 000 15/12/2047 USD 2 325 556 0.13 WHIRLPOOL CORP 4.000% 14-01/03/2024 USD 294 980 0.02 WHIRLPOOL CORP 4.500% 16-01/06/2046 USD 92 562 0.01 WHITING PETROLEUM 5.750% 13-495 000 15/03/2021 USD 464 612 0.03 WILLIAMS COS INC 4.550% 14-735 000 24/06/2024 USD 695 977 0.04 WILLIAMS COS INC 5.750% 14-280 000 24/06/2044 USD 257 170 0.01 WINDSTREAM CORP 7.750% 11-750 000 01/10/2021 USD 728 846 0.04 WPX ENERGY INC 6.000% 12-525 000 15/01/2022 USD 510 192 0.03 WYNN LAS VEGAS 5.500% 15-585 000 01/03/2025 USD 551 167 0.03 775 000 XPO LOGISTICS 6.500% 15-15/06/2022 USD 771 510 0.04 XYLEM INC 3.250% 16-01/11/2026 USD 92 241 0.01 1 000 000 ZF NA CAPITAL 2.750% 15-27/04/2023 EUR 1 053 750 0.06 France 48 397 735 2.79 400 000 AIR LIQUIDE FIN 0.375% 16-18/04/2022 EUR 401 780 0.02 APRR 1.250% 16-06/01/2027 EUR 300 531 0.02 AREVA SA 3.125% 14-20/03/2023 EUR 95 935 0.01 AREVA SA 3.250% 13-04/09/2020 EUR 200 258 0.01 150 000 AREVA SA 3.500% 10-22/03/2021 EUR 149 990 0.01 AUTOROUTES DU SUD 1.000% 16-13/05/2026 EUR 198 362 0.01 AUTOROUTES DU SUD 2.950% 14-17/01/2024 EUR 115 040 0.01 AUTOROUTES DU SUD 4.125% 10-150 000 13/04/2020 EUR 169 715 0.01 AUTOROUTES PARIS 1.125% 14-15/01/2021 EUR 309 828 0.02 AUTOROUTES PARIS 1.500% 15-15/01/2024 EUR 104 724 0.01 AUTOROUTES PARIS 4.875% 11-21/01/2019 EUR 109 909 0.01 BANQUE FED CREDIT MUTUEL 500 000 1.625% 16-19/01/2026 EUR 525 200 0.03 BANQUE FED CREDIT MUTUEL 400 000 2.750% 15-15/10/2020 USD 380 723 0.02 BANQUE FED CREDIT MUTUEL 4.000% 10-22/10/2020 EUR 226 746 0.01 BNP PARIBAS 0.750% 16-11/11/2022 EUR 100 744 0.01 660 000 BNP PARIBAS 1.125% 16-15/01/2023 EUR 679 153 0.04 160 000 BNP PARIBAS 2.250% 16-11/01/2027 EUR 155 475 0.01 Page 80
BNP Paribas L1 Multi-Asset Income Expressed in EUR BOUYGUES 1.375% 16-07/06/2027 EUR 198 586 0.01 500 000 BPCE 0.375% 16-05/10/2023 EUR 489 045 0.03 BPCE 0.625% 16-20/04/2020 EUR 203 108 0.01 250 000 BPCE 2.250% 15-27/01/2020 USD 235 321 0.01 BPCE 2.875% 16-22/04/2026 EUR 102 695 0.01 BPCE 4.625% 13-18/07/2023 EUR 117 537 0.01 CAISSE CENT IMMO 0.250% 14-800 000 25/11/2018 EUR 810 648 0.05 CAP GEMINI SA 0.500% 16-09/11/2021 EUR 100 162 0.01 400 000 CAP GEMINI SA 1.750% 15-01/07/2020 EUR 418 584 0.02 CARMILA 2.375% 15-18/09/2023 EUR 213 310 0.01 CARREFOUR SA 1.750% 14-15/07/2022 EUR 318 678 0.02 CARREFOUR SA 4.000% 10-09/04/2020 EUR 337 383 0.02 CASINO GUICHARD 3.311% 13-900 000 25/01/2023 EUR 986 625 0.06 CASINO GUICHARD 4.379% 10-350 000 08/02/2017 EUR 351 621 0.02 CIE DE ST GOBAIN 0.000% 16-400 000 27/03/2020 EUR 398 256 0.02 CNP ASSURANCES 1.875% 16-20/10/2022 EUR 202 940 0.01 CREDIT AGRICOLE SA 2.625% 15-150 000 17/03/2027 EUR 153 365 0.01 CROWN EUROPEAN 2.625% 16-1 215 000 30/09/2024 EUR 1 190 700 0.07 CROWN EUROPEAN 3.375% 15-400 000 15/05/2025 EUR 404 500 0.02 500 000 DANONE 0.424% 16-03/11/2022 EUR 498 155 0.03 DEXIA CREDIT LOCAL 0.200% 15-1 000 000 31/07/2018 EUR 1 006 240 0.06 DEXIA CREDIT LOCAL 0.200% 16-850 000 16/03/2021 EUR 853 528 0.05 DEXIA CREDIT LOCAL 0.250% 15-900 000 19/03/2020 EUR 907 605 0.05 DEXIA CREDIT LOCAL 0.750% 16-750 000 25/01/2023 EUR 767 670 0.04 FONCIERE DES REGIONS 1.875% 16-20/05/2026 EUR 101 302 0.01 210 000 FRANCE O.A.T. 1.000% 14-25/05/2019 EUR 218 549 0.01 1 120 000 FRANCE O.A.T. 1.750% 14-25/11/2024 EUR 1 249 920 0.07 770 000 FRANCE O.A.T. 2.250% 12-25/10/2022 EUR 874 982 0.05 1 180 000 FRANCE O.A.T. 2.500% 14-25/05/2030 EUR 1 407 882 0.08 330 000 FRANCE O.A.T. 3.000% 12-25/04/2022 EUR 386 074 0.02 180 000 FRANCE O.A.T. 3.250% 11-25/10/2021 EUR 210 785 0.01 840 000 FRANCE O.A.T. 3.250% 13-25/05/2045 EUR 1 152 539 0.07 2 080 000 FRANCE O.A.T. 3.500% 10-25/04/2026 EUR 2 634 070 0.15 2 550 000 FRANCE O.A.T. 3.750% 05-25/04/2021 EUR 3 005 966 0.17 1 040 000 FRANCE O.A.T. 4.000% 06-25/10/2038 EUR 1 557 161 0.09 1 010 000 FRANCE O.A.T. 4.250% 07-25/10/2023 EUR 1 297 850 0.08 FRANCE O.A.T.I/L 0.100% 15-361 789 01/03/2025 EUR 391 456 0.02 GECINA 2.000% 15-17/06/2024 EUR 322 896 0.02 GIE PSA TRESORER 6.000% 03-18 000 19/09/2033 EUR 21 375 0.00 HOLDING DINFRA 2.250% 14-700 000 24/03/2025 EUR 763 070 0.04 347 000 HOMEVI 6.875% 14-15/08/2021 EUR 370 423 0.02 ICADE 1.125% 16-17/11/2025 EUR 193 816 0.01 JCDECAUX SA 1.000% 16-01/06/2023 EUR 101 717 0.01 KERING 0.875% 15-28/03/2022 EUR 305 016 0.02 KERING 1.250% 16-10/05/2026 EUR 199 292 0.01 KLEPIERRE 1.000% 15-17/04/2023 EUR 204 238 0.01 KLEPIERRE 1.875% 16-19/02/2026 EUR 105 879 0.01 MOBILUX FINANCE 5.500% 16-695 000 15/11/2024 EUR 728 881 0.04 NEXANS SA 5.750% 07-02/05/2017 EUR 304 854 0.02 310 000 NOVALIS SAS 3.000% 15-30/04/2022 EUR 319 300 0.02 1 027 000 NUMERICABLE 5.375% 14-15/05/2022 EUR 1 075 783 0.06 548 000 NUMERICABLE 5.625% 14-15/05/2024 EUR 578 825 0.03 590 000 NUMERICABLE 6.000% 14-15/05/2022 USD 573 359 0.03 235 000 NUMERICABLE 6.250% 14-15/05/2024 USD 223 637 0.01 NUMERICABLE-SFR 7.375% 16-1 035 000 01/05/2026 USD 1 005 807 0.06 600 000 ORANGE 0.875% 16-03/02/2027 EUR 582 174 0.03 ORANGE 1.000% 16-12/05/2025 EUR 100 099 0.01 ORANGE 8.000% 02-20/12/2017 GBP 376 051 0.02 PAPREC HOLDING 7.375% 15-1 021 000 01/04/2023 EUR 1 054 183 0.06 PERNOD RICARD SA 1.500% 16-400 000 18/05/2026 EUR 406 596 0.02 PERNOD RICARD SA 3.250% 16-08/06/2026 USD 272 775 0.02 250 000 RCI BANQUE 0.500% 16-15/09/2023 EUR 241 355 0.01 400 000 RCI BANQUE 0.625% 15-04/03/2020 EUR 403 404 0.02 RCI BANQUE 1.125% 14-30/09/2019 EUR 204 958 0.01 SAN 0.950% 16-19/10/2028 EUR 191 214 0.01 SANEF 1.875% 15-16/03/2026 EUR 107 417 0.01 600 000 SANOFI 0.000% 16-13/09/2022 EUR 585 486 0.03 SANOFI 0.625% 16-05/04/2024 EUR 199 064 0.01 SCHNEIDER ELEC 0.250% 16-400 000 09/09/2024 EUR 385 228 0.02 500 000 SNCF RESEAU 1.000% 16-09/11/2031 EUR 478 495 0.03 SOCIETE FONCIERE 2.250% 15-16/11/2022 EUR 106 864 0.01 SOCIETE GENERALE 0.750% 16-19/02/2021 EUR 203 958 0.01 SOCIETE GENERALE 0.750% 16-400 000 26/05/2023 EUR 402 472 0.02 SOCIETE GENERALE 1.000% 16-01/04/2022 EUR 301 272 0.02 150 000 SPCM SA 2.875% 15-15/06/2023 EUR 149 721 0.01 350 000 ST GOBAIN 3.625% 12-28/03/2022 EUR 407 666 0.02 SUEZ 1.750% 15-10/09/2025 EUR 107 552 0.01 TDF INFRASTRUCTU 2.500% 16-07/04/2026 EUR 102 193 0.01 TEREOS FIN GROUP 4.250% 13-1 000 000 04/03/2020 EUR 1 060 000 0.06 THALES SA 0.750% 16-07/06/2023 EUR 201 864 0.01 740 000 THOM EUROPE 7.375% 14-15/07/2019 EUR 780 700 0.05 400 000 TOTAL CAPITAL 0.250% 16-12/07/2023 EUR 395 472 0.02 UNIBAIL-RODAMCO 1.125% 16-28/04/2027 EUR 98 987 0.01 VEOLIA ENVIRONNEMENT 0.314% 16-04/10/2023 EUR 194 560 0.01 WENDEL SA 1.000% 16-20/04/2023 EUR 196 126 0.01 WFS GLOBAL HOLDINGS 9.500% 15-700 000 15/07/2022 EUR 722 750 0.04 Luxembourg 38 434 811 2.23 ACTAVIS FUNDING 3.800% 15-15/03/2025 USD 94 834 0.01 ACTAVIS FUNDING 4.550% 15-150 000 15/03/2035 USD 139 796 0.01 ACTAVIS FUNDING 4.750% 15-15/03/2045 USD 187 206 0.01 1 397 000 ALTICE 6.250% 15-15/02/2025 EUR 1 461 611 0.08 481 000 ALTICE 7.250% 14-15/05/2022 EUR 514 670 0.03 550 000 ALTICE 7.625% 15-15/02/2025 USD 547 523 0.03 1 175 000 ALTICE 7.750% 14-15/05/2022 USD 1 190 596 0.07 ALTICE FINANCING 5.250% 15-650 000 15/02/2023 EUR 689 000 0.04 ALTICE FINANCING 6.500% 13-393 000 15/01/2022 EUR 412 650 0.02 ALTICE FINANCING 6.625% 15-1 365 000 15/02/2023 USD 1 329 735 0.08 ALTICE FINANCING 7.500% 16-930 000 15/05/2026 USD 911 484 0.05 ALTICE FINCO SA 8.125% 13-245 000 15/01/2024 USD 241 283 0.01 ALTICE FINCO SA 9.000% 13-290 000 15/06/2023 EUR 329 875 0.02 ARCELORMITTAL 3.125% 15-1 050 000 14/01/2022 EUR 1 102 500 0.06 ARCELORMITTAL 5.875% 10-250 000 17/11/2017 EUR 262 188 0.02 ARCELORMITTAL 6.750% 12-1 25/02/2022 USD 1 179 782 0.07 ARCELORMITTAL 7.750% 09-670 000 15/10/2039 USD 694 774 0.04 Page 81
BNP Paribas L1 Multi-Asset Income Expressed in EUR ARD FINANCE SA 6.625% 16-1 185 000 15/09/2023 EUR 1 185 000 0.07 1 608 000 CNH IND FIN 6.250% 11-09/03/2018 EUR 1 716 540 0.10 CONTOURGLOB PWR 5.125% 16-909 000 15/06/2021 EUR 953 314 0.06 DEA FINANCE SA 7.500% 16-1 298 000 15/10/2022 EUR 1 390 483 0.08 FIAT FIN & TRADE 7.000% 12-1 383 000 23/03/2017 EUR 1 402 680 0.08 FIAT FIN & TRADE 7.375% 11-753 000 09/07/2018 EUR 824 535 0.05 HEIDELBERGCEMENT 8.000% 09-1 669 000 31/01/2017 EUR 1 678 997 0.10 HEIDELCEMENT FIN 9.500% 11-650 000 15/12/2018 EUR 769 594 0.04 HOLCIM FINANCE L 1.375% 16-390 000 26/05/2023 EUR 399 871 0.02 INEOS GROUP HOLD 5.375% 16-907 000 01/08/2024 EUR 913 803 0.05 INEOS GROUP HOLD 5.875% 14-450 000 15/02/2019 USD 434 641 0.03 684 000 LECTA SA 6.500% 16-01/08/2023 EUR 700 245 0.04 MALLINCKRODT FIN 5.750% 14-855 000 01/08/2022 USD 777 181 0.05 MATTERHORN TELE 3.875% 15-1 635 000 01/05/2022 EUR 1 688 138 0.10 MATTERHORN TELE 4.875% 15-866 000 01/05/2023 EUR 874 660 0.05 400 000 MILLICOM INTL 6.625% 13-15/10/2021 USD 398 673 0.02 MONITCHEM HOLD 2 6.875% 14-710 000 15/06/2022 EUR 653 200 0.04 MONITCHEM HOLD 3 5.250% 14-15/06/2021 EUR 103 094 0.01 OLIVETTI FINANCE 7.750% 03-125 000 24/01/2033 EUR 159 688 0.01 PETROBRAS INTL 5.875% 11-149 000 07/03/2022 EUR 157 195 0.01 PETROBRAS INTL 6.250% 11-825 000 14/12/2026 GBP 898 840 0.05 PROLOGIS INTL II 1.876% 15-150 000 17/04/2025 EUR 153 533 0.01 PROLOGIS INTL II 2.750% 13-150 000 23/10/2018 EUR 157 227 0.01 TELENET FINANCE VI 4.875% 15-1 841 000 15/07/2027 EUR 1 919 243 0.11 1 169 000 TR OP / TR FIN 6.375% 15-01/05/2022 EUR 1 252 993 0.07 WIND ACQUISITION 4.000% 14-1 411 000 15/07/2020 EUR 1 436 497 0.08 WIND ACQUISITION 7.000% 14-1 369 000 23/04/2021 EUR 1 427 183 0.08 WIND ACQUISITION 7.375% 14-1 160 000 23/04/2021 USD 1 145 153 0.07 1 531 000 ZINC CAPITAL 8.875% 11-15/05/2018 EUR 1 573 103 0.09 Italy 35 256 024 2.05 AEROPORTI ROMA 3.250% 13-20/02/2021 EUR 221 552 0.01 ASSICURAZIONI GENERALI 5.125% 09-16/09/2024 EUR 128 344 0.01 440 000 ENI SPA 0.750% 16-17/05/2022 EUR 444 620 0.03 ENI SPA 4.000% 10-29/06/2020 EUR 226 032 0.01 INTESA SANPAOLO 1.125% 15-450 000 14/01/2020 EUR 455 895 0.03 INTESA SANPAOLO 3.875% 13-280 000 15/01/2019 USD 270 313 0.02 INTESA SANPAOLO 4.375% 12-15/10/2019 EUR 110 451 0.01 3 220 000 ITALY BTPS 0.250% 15-15/05/2018 EUR 3 238 708 0.19 1 910 000 ITALY BTPS 1.050% 14-01/12/2019 EUR 1 966 097 0.11 537 000 ITALY BTPS 1.450% 15-15/09/2022 EUR 553 975 0.03 2 420 000 ITALY BTPS 1.500% 15-01/06/2025 EUR 2 408 408 0.14 2 370 000 ITALY BTPS 1.650% 15-01/03/2032 EUR 2 221 164 0.13 ITALY BTPS 2.700% 16-01/03/2047 EUR 191 648 0.01 5 620 000 ITALY BTPS 3.500% 13-01/06/2018 EUR 5 911 733 0.34 2 480 000 ITALY BTPS 3.750% 13-01/05/2021 EUR 2 827 225 0.16 250 000 ITALY BTPS 4.500% 10-01/03/2026 EUR 308 365 0.02 760 000 ITALY BTPS 4.750% 08-01/08/2023 EUR 937 012 0.05 930 000 ITALY BTPS 5.000% 03-01/08/2034 EUR 1 271 012 0.07 1 120 000 ITALY BTPS 5.000% 09-01/09/2040 EUR 1 545 634 0.09 1 070 000 ITALY BTPS 5.500% 12-01/09/2022 EUR 1 343 043 0.08 259 631 ITALY BTPS I/L 1.650% 14-23/04/2020 EUR 273 054 0.02 773 822 ITALY BTPS I/L 2.100% 10-15/09/2021 EUR 857 627 0.05 812 928 ITALY BTPS I/L 2.350% 08-15/09/2019 EUR 881 092 0.05 258 000 SNAM SPA 0.000% 16-25/10/2020 EUR 255 784 0.01 400 000 SNAM SPA 0.875% 16-25/10/2026 EUR 382 216 0.02 TELECOM ITALIA 3.250% 15-16/01/2023 EUR 105 375 0.01 TELECOM ITALIA 4.500% 12-180 000 20/09/2017 EUR 185 321 0.01 TELECOM ITALIA 5.303% 14-1 135 000 30/05/2024 USD 1 054 563 0.06 TELECOM ITALIA 6.125% 12-443 000 14/12/2018 EUR 492 838 0.03 TELECOM ITALIA 6.375% 04-500 000 24/06/2019 GBP 639 937 0.04 TELECOM ITALIA 7.375% 09-2 150 000 15/12/2017 GBP 2 649 467 0.15 350 000 TERNA SPA 0.875% 15-02/02/2022 EUR 356 318 0.02 290 000 TERNA SPA 1.000% 16-11/10/2028 EUR 275 462 0.02 UNICREDIT SPA 2.000% 16-04/03/2023 EUR 102 842 0.01 150 000 UNICREDIT SPA 3.250% 14-14/01/2021 EUR 162 897 0.01 United Kingdom 31 263 480 1.80 ABBEY NATIONAL TREASURY 150 000 2.625% 13-16/07/2020 EUR 161 996 0.01 ANGLO AMERICAN 1.750% 13-1 008 000 20/11/2017 EUR 1 020 600 0.06 ANGLO AMERICAN 3.250% 14-750 000 03/04/2023 EUR 784 688 0.05 ANGLO AMERICAN 3.625% 15-215 000 14/05/2020 USD 205 878 0.01 ANGLO AMERICAN 4.875% 15-535 000 14/05/2025 USD 516 106 0.03 ANGLO AMERICAN 6.875% 08-600 000 01/05/2018 GBP 748 594 0.04 ANGLO AMERICAN 9.375% 09-295 000 08/04/2019 USD 319 892 0.02 ARQIVA BROAD FIN 9.500% 13-1 097 000 31/03/2020 GBP 1 365 955 0.08 AVIS BUDGET FINA 4.125% 16-1 073 000 15/11/2024 EUR 1 077 024 0.06 AVIS BUDGET FINA 6.000% 13-1 263 000 01/03/2021 EUR 509 585 0.03 199 000 AVIVA PLC 0.625% 16-27/10/2023 EUR 195 275 0.01 BAKKAVOR FIN 2 8.250% 11-370 000 15/02/2018 GBP 154 406 0.01 BARCLAYS BANK PLC 1.875% 16-360 000 08/12/2023 EUR 365 468 0.02 BARCLAYS BANK PLC 1.875% 16-130 000 23/03/2021 EUR 134 159 0.01 BARCLAYS BANK PLC 6.000% 10-350 000 14/01/2021 EUR 406 053 0.02 BAT INTL FINANCE 0.875% 15-150 000 13/10/2023 EUR 149 750 0.01 BAT INTL FINANCE 1.000% 15-120 000 23/05/2022 EUR 122 693 0.01 620 000 BP CAPITAL PLC 0.830% 16-19/09/2024 EUR 613 552 0.04 BP CAPITAL PLC 1.109% 15-16/02/2023 EUR 204 948 0.01 170 000 BP CAPITAL PLC 1.373% 16-03/03/2022 EUR 177 959 0.01 BRITISH SKY BROADCASTING 350 000 1.500% 14-15/09/2021 EUR 364 592 0.02 BRITISH TEL PLC 0.625% 16-10/03/2021 EUR 202 000 0.01 CO-OP WHOLESALE 7.500% 11-554 000 08/07/2026 GBP 767 461 0.04 CREDIT AGRICOLE 1.250% 16-14/04/2026 EUR 201 714 0.01 CREDIT AGRICOLE 1.875% 16-20/12/2026 EUR 300 978 0.02 CREDIT SUISSE LD 0.375% 16-220 000 11/04/2019 EUR 221 500 0.01 CREDIT SUISSE LD 1.375% 14-350 000 31/01/2022 EUR 365 278 0.02 DELPHI AUTOMTVE 1.600% 16-170 000 15/09/2028 EUR 164 312 0.01 180 000 DS SMITH PLC 2.250% 15-16/09/2022 EUR 188 114 0.01 320 000 EASYJET PLC 1.125% 16-18/10/2023 EUR 313 290 0.02 680 000 ENSCO PLC 5.200% 15-15/03/2025 USD 557 668 0.03 125 000 ENSCO PLC 5.750% 14-01/10/2044 USD 85 625 0.00 Page 82
BNP Paribas L1 Multi-Asset Income Expressed in EUR EPHIOS HOLDCO II 8.250% 15-741 000 01/07/2023 EUR 806 764 0.05 400 000 FCE BANK PLC 1.528% 15-09/11/2020 EUR 414 524 0.02 160 000 FCE BANK PLC 1.615% 16-11/05/2023 EUR 164 062 0.01 FCE BANK PLC 1.875% 14-18/04/2019 EUR 208 180 0.01 FIAT CHRYSLER AU 4.500% 15-590 000 15/04/2020 USD 570 562 0.03 HEATHROW FUNDING 1.875% 14-23/05/2022 EUR 107 367 0.01 150 000 HSBC BANK PLC 4.000% 10-15/01/2021 EUR 173 990 0.01 HSBC HOLDINGS PLC 1.500% 16-320 000 15/03/2022 EUR 333 690 0.02 HSBC HOLDINGS PLC 2.650% 16-450 000 05/01/2022 USD 416 581 0.02 HSBC HOLDINGS PLC 6.500% 07-250 000 15/09/2037 USD 293 721 0.02 770 000 IHS MARKIT LTD 5.000% 16-01/11/2022 USD 756 494 0.04 INEOS FINANCE PL 4.000% 15-250 000 01/05/2023 EUR 258 750 0.01 INTL GAME TECH 6.250% 15-1 085 000 15/02/2022 USD 1 103 259 0.06 INVESCO FIN PLC 3.750% 15-15/01/2026 USD 288 290 0.02 IRON MOUNTAIN EU 6.125% 14-650 000 15/09/2022 GBP 813 833 0.05 230 000 ITV PLC 2.000% 16-01/12/2023 EUR 231 760 0.01 LADBROKES GROUP 7.625% 10-80 000 05/03/2017 GBP 94 324 0.01 LLOYDS BANK PLC 0.625% 15-20/04/2020 EUR 203 398 0.01 LLOYDS TSB BANK 6.500% 10-150 000 24/03/2020 EUR 176 256 0.01 1 177 000 LYNX I CORP 6.000% 13-15/04/2021 GBP 834 476 0.05 290 000 NATIONAL GRID 0.625% 16-22/09/2024 EUR 284 476 0.02 NATIONWIDE BLDG 0.500% 16-150 000 29/10/2019 EUR 151 385 0.01 NATIONWIDE BLDG 6.750% 10-60 000 22/07/2020 EUR 72 128 0.00 SANTANDER UK GRP 2.875% 15-16/10/2020 USD 282 300 0.02 SENSATA TECH UK 6.250% 15-15/02/2026 USD 197 914 0.01 SMITHS GROUP PLC 1.250% 15-28/04/2023 EUR 300 429 0.02 1 000 000 STRETFORD 6.250% 14-15/07/2021 GBP 1 187 617 0.07 TESCO CORP TREAS 1.375% 14-381 000 01/07/2019 EUR 386 239 0.02 TESCO CORP TREAS 2.500% 14-470 000 01/07/2024 EUR 477 050 0.03 115 000 TESCO PLC 5.000% 06-24/03/2023 GBP 145 501 0.01 294 000 TESCO PLC 5.500% 02-13/01/2033 GBP 355 187 0.02 290 000 TESCO PLC 5.500% 02-13/12/2019 GBP 375 835 0.02 629 000 TESCO PLC 6.000% 99-14/12/2029 GBP 804 119 0.05 110 000 UNILEVER NV 0.500% 16-29/04/2024 EUR 109 470 0.01 VIRGIN MEDIA FIN 4.500% 15-1 260 000 15/01/2025 EUR 1 302 525 0.08 VIRGIN MEDIA FIN 6.250% 14-177 000 28/03/2029 GBP 217 466 0.01 VIRGIN MEDIA SEC 4.875% 15-654 000 15/01/2027 GBP 751 801 0.04 VIRGIN MEDIA SEC 5.500% 14-260 000 15/01/2025 USD 250 201 0.01 VIRIDIAN GROUP 7.500% 15-2 060 000 01/03/2020 EUR 2 186 937 0.13 VODAFONE GROUP 1.250% 16-25/08/2021 EUR 207 506 0.01 The Netherlands 29 692 389 1.71 ABN AMRO BANK NV 0.625% 16-210 000 31/05/2022 EUR 212 909 0.01 ABN AMRO BANK NV 2.125% 13-26/11/2020 EUR 215 376 0.01 ABN AMRO BANK NV 2.250% 13-400 000 11/09/2017 GBP 473 978 0.03 ABN AMRO BANK NV 6.375% 11-330 000 27/04/2021 EUR 405 752 0.02 310 000 ADECCO INT FIN 1.000% 16-02/12/2024 EUR 308 645 0.02 ADRIA BIDCO BV 7.875% 13-2 064 000 15/11/2020 EUR 2 162 040 0.13 AKZO NOBEL NV 1.125% 16-08/04/2026 EUR 100 918 0.01 ALLIANZ FINANCE 0.000% 16-21/04/2020 EUR 299 847 0.02 ASML HOLDING NV 0.625% 16-150 000 07/07/2022 EUR 150 291 0.01 ASML HOLDING NV 1.625% 16-190 000 28/05/2027 EUR 191 328 0.01 AXALTA COATING 3.750% 16-1 690 000 15/01/2025 EUR 1 698 450 0.10 BASF FIN EUROPNV 0.000% 16-580 000 10/11/2020 EUR 580 000 0.03 BMW FINANCE NV 1.000% 16-15/02/2022 EUR 207 132 0.01 BMW FINANCE NV 2.000% 13-400 000 04/09/2020 EUR 428 676 0.02 CABLE & WIRELESS INT 8.625% 94-220 000 25/03/2019 GBP 287 405 0.02 CABLE COMM SYST 5.000% 16-279 000 15/10/2023 EUR 294 485 0.02 DEUTSCHE ANN FIN 3.125% 13-25/07/2019 EUR 215 030 0.01 DEUTSCHE TEL FIN 0.250% 16-19/04/2021 EUR 200 466 0.01 DEUTSCHE TEL FIN 0.625% 16-340 000 03/04/2023 EUR 341 969 0.02 EDP FINANCE BV 1.125% 16-160 000 12/02/2024 EUR 151 800 0.01 EDP FINANCE BV 2.375% 16-360 000 23/03/2023 EUR 372 150 0.02 EDP FINANCE BV 4.875% 13-14/09/2020 EUR 228 500 0.01 ENEL FINANCE INTL NV 4.875% 12-390 000 17/04/2023 EUR 487 761 0.03 230 000 FRESENIUS FIN 2.375% 14-01/02/2019 EUR 239 133 0.01 375 000 FRESENIUS FIN 2.875% 13-15/07/2020 EUR 403 594 0.02 GAS NAT FENOSA F 1.250% 16-19/04/2026 EUR 200 608 0.01 GAS NAT FENOSA F 3.875% 13-11/04/2022 EUR 351 237 0.02 GEN MOTORS FIN 1.168% 16-18/05/2020 EUR 101 625 0.01 230 000 HEINEKEN NV 1.000% 16-04/05/2026 EUR 226 923 0.01 HEINEKEN NV 1.250% 15-10/09/2021 EUR 208 580 0.01 IBERDROLA INTL 1.125% 16-21/04/2026 EUR 199 418 0.01 IBERDROLA INTL 3.500% 13-01/02/2021 EUR 225 878 0.01 400 000 ING BANK NV 0.750% 16-22/02/2021 EUR 408 712 0.02 KONINKLIJKE KPN 0.625% 16-09/04/2025 EUR 191 330 0.01 1 020 000 LGE HOLDCO VI 7.125% 14-15/05/2024 EUR 1 157 700 0.07 MONDELEZ INTERNATIONAL INC 575 000 2.000% 16-28/10/2021 USD 522 196 0.03 NEDER FINANCIER 0.125% 15-318 000 04/11/2020 EUR 321 663 0.02 NETHERLANDS GOVERNMENT 290 000 0.250% 14-15/01/2020 EUR 298 575 0.02 NETHERLANDS GOVERNMENT 580 000 2.000% 14-15/07/2024 EUR 666 455 0.04 NETHERLANDS GOVERNMENT 230 000 2.500% 12-15/01/2033 EUR 293 809 0.02 NETHERLANDS GOVERNMENT 570 000 2.750% 14-15/01/2047 EUR 824 021 0.05 NETHERLANDS GOVERNMENT 1 080 000 3.250% 11-15/07/2021 EUR 1 268 104 0.07 NETHERLANDS GOVERNMENT 250 000 5.500% 98-15/01/2028 EUR 386 795 0.02 260 000 NN GROUP NV 1.000% 15-18/03/2022 EUR 265 041 0.02 NXP BV/NXP FUNDI 3.875% 16-700 000 01/09/2022 USD 672 790 0.04 NXP BV/NXP FUNDI 4.125% 16-01/06/2021 USD 195 781 0.01 OI EUROPEAN GRP 3.125% 16-624 000 15/11/2024 EUR 622 440 0.04 910 000 PETROBRAS 4.750% 14-14/01/2025 EUR 885 462 0.05 PETROBRAS INTL 3.250% 12-223 000 01/04/2019 EUR 227 181 0.01 PETROBRAS INTL 4.250% 12-02/10/2023 EUR 195 500 0.01 550 000 RABOBANK 3.750% 10-09/11/2020 EUR 618 860 0.04 150 000 RABOBANK 4.000% 12-11/01/2022 EUR 177 564 0.01 RED ELE FIN BV 3.875% 13-25/01/2022 EUR 117 381 0.01 REDEXIS GAS FIN 2.750% 14-150 000 08/04/2021 EUR 163 613 0.01 Page 83
BNP Paribas L1 Multi-Asset Income Expressed in EUR REN FINANCE BV 1.750% 16-230 000 01/06/2023 EUR 235 253 0.01 REN FINANCE BV 4.750% 13-16/10/2020 EUR 230 002 0.01 REPSOL INTL FIN 4.875% 12-19/02/2019 EUR 220 390 0.01 SCHAEFFLER VERWA 3.750% 16-1 040 000 15/09/2026 EUR 1 038 700 0.06 SENSATA TECH BV 4.875% 13-180 000 15/10/2023 USD 174 923 0.01 350 000 SHELL INTL FIN 0.750% 16-12/05/2024 EUR 352 013 0.02 SHELL INTL FIN 1.250% 15-15/03/2022 EUR 104 911 0.01 420 000 SHELL INTL FIN 4.125% 15-11/05/2035 USD 404 108 0.02 TEVA PHARMACEUT 2.800% 16-320 000 21/07/2023 USD 284 731 0.02 UPC HOLDING BV 6.375% 12-1 153 000 15/09/2022 EUR 1 226 504 0.07 VIMPELCOM HLDGS 7.504% 11-465 000 01/03/2022 USD 488 802 0.03 400 000 VONOVIA BV 1.250% 16-06/12/2024 EUR 397 940 0.02 VONOVIA BV 1.625% 15-15/12/2020 EUR 208 860 0.01 WOLTERS KLUWER 2.875% 13-150 000 21/03/2023 EUR 171 254 0.01 ZIGGO SECURED FI 4.250% 16-1 503 000 15/01/2027 EUR 1 501 121 0.09 Germany 23 264 931 1.35 400 000 BASF SE 1.375% 14-15/12/2017 GBP 472 535 0.03 BERTELSMANN SE 1.125% 16-27/04/2026 EUR 202 372 0.01 BUNDESREPUBLIK DEUTSCHLAND 1 330 000 0.000% 16-15/08/2026 EUR 1 304 437 0.08 BUNDESREPUBLIK DEUTSCHLAND 1 010 000 0.500% 16-15/02/2026 EUR 1 046 158 0.06 BUNDESREPUBLIK DEUTSCHLAND 2.500% 14-15/08/2046 EUR 420 546 0.02 BUNDESREPUBLIK DEUTSCHLAND 2 000 000 3.000% 10-04/07/2020 EUR 2 263 980 0.13 BUNDESREPUBLIK DEUTSCHLAND 470 000 4.750% 03-04/07/2034 EUR 793 167 0.05 BUNDESREPUBLIK DEUTSCHLAND 960 000 4.750% 08-04/07/2040 EUR 1 771 603 0.10 BUNDESREPUBLIK DEUTSCHLAND 290 000 5.500% 00-04/01/2031 EUR 488 482 0.03 BUNDESREPUBLIK DEUTSCHLAND 590 000 6.250% 94-04/01/2024 EUR 858 851 0.05 BUNDESREPUBLIK DEUTSCHLAND 1 500 000 6.500% 97-04/07/2027 EUR 2 476 545 0.14 COMMERZBANK AG 0.500% 16-750 000 13/09/2023 EUR 715 133 0.04 COVESTRO AG 1.000% 16-07/10/2021 EUR 205 600 0.01 160 000 DAIMLER AG 0.250% 16-11/05/2020 EUR 160 882 0.01 240 000 DAIMLER AG 0.875% 16-12/01/2021 EUR 246 938 0.01 DAIMLER AG 1.400% 16-12/01/2024 EUR 105 570 0.01 EUROGRID GMBH 1.625% 15-03/11/2023 EUR 317 712 0.02 FMC FINANCE VIII 6.500% 11-266 000 15/09/2018 EUR 294 263 0.02 703 000 KFW 0.000% 16-15/09/2023 EUR 701 474 0.04 600 000 KFW 0.875% 14-18/03/2019 EUR 618 828 0.04 KNORR BREMSE AG 0.500% 16-140 000 08/12/2021 EUR 141 495 0.01 159 000 LANXESS 0.250% 16-07/10/2021 EUR 157 866 0.01 METRO AG 1.375% 14-28/10/2021 EUR 205 456 0.01 METRO AG 1.500% 15-19/03/2025 EUR 198 016 0.01 NORDRHEIN-WEST 1.000% 16-600 000 16/10/2046 EUR 537 096 0.03 NORDRHEIN-WEST 2.375% 13-350 000 13/05/2033 EUR 416 465 0.02 2 440 000 RAPID HOLDING 6.625% 15-15/11/2020 EUR 2 556 120 0.15 294 000 RENTENBANK 0.250% 15-24/11/2022 EUR 298 974 0.02 TALANX AG 3.125% 13-13/02/2023 EUR 232 656 0.01 624 000 THYSSENKRUPP 4.375% 12-28/02/2017 EUR 628 006 0.04 310 000 UNITYMEDIA 3.500% 15-15/01/2027 EUR 303 800 0.02 451 000 UNITYMEDIA 4.000% 14-15/01/2025 EUR 469 604 0.03 226 000 UNITYMEDIA 4.625% 15-15/02/2026 EUR 238 430 0.01 UNITYMEDIA 5.125% 13-21/01/2023 EUR 85 658 0.00 422 000 UNITYMEDIA 5.750% 12-15/01/2023 EUR 365 747 0.02 UNITYMEDIA KABEL 3.750% 15-500 000 15/01/2027 EUR 473 750 0.03 WEPA HYGIENEPROD 3.750% 16-471 000 15/05/2024 EUR 490 716 0.03 Spain 20 362 909 1.19 ABERTIS 1.375% 16-20/05/2026 EUR 200 426 0.01 AMADEUS CAP MKT 0.125% 16-06/10/2020 EUR 99 769 0.01 BBVA SENIOR FIN 2.375% 14-22/01/2019 EUR 209 474 0.01 CELLNEX TELECOM 2.375% 16-800 000 16/01/2024 EUR 792 000 0.05 ENAGAS FIN SA 1.375% 16-05/05/2028 EUR 299 589 0.02 600 000 FADE 0.850% 15-17/09/2019 EUR 613 200 0.04 FERROVIAL EMISIO 0.375% 16-14/09/2022 EUR 292 242 0.02 GAS NATURAL CAP 6.375% 09-400 000 09/07/2019 EUR 463 040 0.03 IBERDROLA FIN SA 1.000% 16-07/03/2024 EUR 202 262 0.01 MAPFRE 1.625% 16-19/05/2026 EUR 299 643 0.02 MERLIN PROPERTIES 1.875% 16-507 000 02/11/2026 EUR 485 047 0.03 RED ELECTRICA FI 1.000% 16-21/04/2026 EUR 99 577 0.01 SANTANDER CONS FIN 1.100% 15-29/07/2018 EUR 203 308 0.01 SANTANDER INTL 1.375% 16-03/03/2021 EUR 312 075 0.02 SANTANDER ISSUAN 3.250% 16-04/04/2026 EUR 101 856 0.01 508 702 SPAIN I/L BOND 0.550% 14-30/11/2019 EUR 530 016 0.03 3 070 000 SPANISH GOVT 0.250% 15-30/04/2018 EUR 3 092 902 0.18 990 000 SPANISH GOVT 1.950% 15-30/07/2030 EUR 1 008 325 0.06 1 189 000 SPANISH GOVT 1.950% 16-30/04/2026 EUR 1 252 445 0.07 620 000 SPANISH GOVT 2.150% 15-31/10/2025 EUR 665 458 0.04 800 000 SPANISH GOVT 2.750% 14-31/10/2024 EUR 899 544 0.05 1 250 000 SPANISH GOVT 4.000% 10-30/04/2020 EUR 1 413 750 0.08 688 000 SPANISH GOVT 4.200% 05-31/01/2037 EUR 910 265 0.05 550 000 SPANISH GOVT 4.400% 13-31/10/2023 EUR 680 213 0.04 720 000 SPANISH GOVT 4.600% 09-30/07/2019 EUR 807 343 0.05 510 000 SPANISH GOVT 4.850% 10-31/10/2020 EUR 601 673 0.03 390 000 SPANISH GOVT 5.150% 13-31/10/2028 EUR 539 331 0.03 570 000 SPANISH GOVT 5.150% 13-31/10/2044 EUR 860 102 0.05 470 000 SPANISH GOVT 5.500% 11-30/04/2021 EUR 576 751 0.03 660 000 SPANISH GOVT 5.900% 11-30/07/2026 EUR 927 445 0.05 TELEFONICA EMIS 0.318% 16-17/10/2020 EUR 298 338 0.02 TELEFONICA EMIS 0.750% 16-400 000 13/04/2022 EUR 399 128 0.02 TELEFONICA EMIS 4.710% 12-20/01/2020 EUR 226 372 0.01 Canada 7 528 223 0.43 550 000 1011778 BC ULC / 6.000% 14-01/04/2022 USD 542 960 0.03 BOMBARDIER INC 6.000% 14-520 000 15/10/2022 USD 469 590 0.03 BOMBARDIER INC 7.500% 15-260 000 15/03/2025 USD 243 423 0.01 BOMBARDIER INC 7.750% 10-250 000 15/03/2020 USD 248 874 0.01 BOMBARDIER INC 8.750% 16-180 000 01/12/2021 USD 181 109 0.01 BROOKFIELD FIN 4.250% 16-02/06/2026 USD 280 477 0.02 210 000 CASCADES INC 5.500% 14-15/07/2022 USD 201 090 0.01 CENOVUS ENERGY 5.700% 10-390 000 15/10/2019 USD 395 639 0.02 CENOVUS ENERGY 6.750% 10-590 000 15/11/2039 USD 617 409 0.04 175 000 ENBRIDGE INC 4.250% 16-01/12/2026 USD 169 787 0.01 FIRST QUANTUM 6.750% 14-970 000 15/02/2020 USD 912 752 0.05 400 000 FORTIS INC 3.055% 16-04/10/2026 USD 354 253 0.02 LUNDIN MINING CORP 7.500% 14-125 000 01/11/2020 USD 125 918 0.01 Page 84
BNP Paribas L1 Multi-Asset Income Expressed in EUR MEG ENERGY CORP 6.500% 11-525 000 15/03/2021 USD 461 039 0.03 ROGERS COMMUNICATIONS INC 83 000 3.625% 15-15/12/2025 USD 79 423 0.00 ROGERS COMMUNICATIONS INC 5.450% 13-01/10/2043 USD 314 924 0.02 TECK RESOURCES 4.500% 10-730 000 15/01/2021 USD 699 893 0.04 TECK RESOURCES 6.000% 10-425 000 15/08/2040 USD 378 259 0.02 TECK RESOURCES 6.250% 11-515 000 15/07/2041 USD 471 178 0.03 TECK RESOURCES 8.000% 16-365 000 01/06/2021 USD 380 226 0.02 Ireland 5 926 518 0.36 AERCAP IRELAND C 3.950% 16-350 000 01/02/2022 USD 333 906 0.02 ARDAGH PKG FIN 4.125% 16-426 000 15/05/2023 EUR 445 596 0.03 ARDAGH PKG FIN 6.750% 16-769 000 15/05/2024 EUR 822 745 0.05 CRH FINANCE 1.375% 16-18/10/2028 EUR 293 838 0.02 EIRCOM FINANCE 4.500% 16-1 383 000 31/05/2022 EUR 1 452 150 0.08 FGA CAPITAL IRE 2.000% 14-23/10/2019 EUR 312 072 0.02 110 000 IRISH GOVT 2.400% 14-15/05/2030 EUR 126 616 0.01 740 000 IRISH GOVT 4.500% 07-18/10/2018 EUR 807 784 0.05 680 000 IRISH GOVT 5.400% 09-13/03/2025 EUR 943 588 0.05 PARTNERRE IRELAND 1.250% 16-280 000 15/09/2026 EUR 282 764 0.02 RYANAIR 1.875% 14-17/06/2021 EUR 105 459 0.01 Belgium 5 424 795 0.32 ANHEUSER - BUSCH 0.625% 16-17/03/2020 EUR 203 724 0.01 ANHEUSER - BUSCH 1.500% 16-650 000 17/03/2025 EUR 676 163 0.04 ANHEUSER - BUSCH 2.000% 16-130 000 17/03/2028 EUR 137 488 0.01 BARRY CALLE SVCS 5.625% 11-15/06/2021 EUR 241 250 0.01 BARRY CALLE SVCS 6.000% 07-270 000 13/07/2017 EUR 278 054 0.02 BELGIUM GOVERNMENT 0.200% 16-780 000 22/10/2023 EUR 789 945 0.05 BELGIUM GOVERNMENT 0.800% 15-760 000 22/06/2025 EUR 787 694 0.05 BELGIUM GOVERNMENT 1.000% 15-590 000 22/06/2031 EUR 590 785 0.03 BELGIUM GOVERNMENT 1.000% 16-609 000 22/06/2026 EUR 635 364 0.04 BELGIUM GOVERNMENT 2.150% 16-330 000 22/06/2066 EUR 355 928 0.02 KBC GROUP NV 0.750% 16-18/10/2023 EUR 296 070 0.02 SOLVAY SA 1.625% 15-02/12/2022 EUR 209 378 0.01 SOLVAY SA 2.750% 15-02/12/2027 EUR 222 952 0.01 Norway 4 930 726 0.29 DNB BANK 4.250% 12-18/01/2022 EUR 360 177 0.02 NORWEGIAN GOVT 1.750% 15-33 000 000 13/03/2025 NOK 3 683 431 0.21 SANTANDER CONSUMER 1.000% 16-25/02/2019 EUR 101 818 0.01 SPAREBANK 1 SR 0.375% 16-790 000 10/02/2022 EUR 785 300 0.05 Cayman Islands 2 277 199 0.13 NOBLE HLDG INTL 4.625% 11-210 000 01/03/2021 USD 191 135 0.01 NOBLE HLDG INTL 6.050% 11-125 000 01/03/2041 USD 81 477 0.00 NOBLE HLDG INTL 6.950% 15-280 000 01/04/2025 USD 246 551 0.01 TRANSOCEAN INC 6.800% 07-150 000 15/03/2038 USD 110 216 0.01 TRANSOCEAN INC 7.125% 11-705 000 15/12/2021 USD 665 898 0.04 TRANSOCEAN INC 9.000% 16-335 000 15/07/2023 USD 326 742 0.02 UPCB FINANCE IV 4.000% 15-656 000 15/01/2027 EUR 655 180 0.04 Finland 1 668 714 0.09 510 000 FINNISH GOVT 0.000% 16-15/09/2023 EUR 511 862 0.03 414 000 FINNISH GOVT 0.500% 16-15/04/2026 EUR 420 049 0.02 180 000 FINNISH GOVT 1.500% 13-15/04/2023 EUR 198 860 0.01 540 000 SAMPO OYJ 1.000% 16-18/09/2023 EUR 537 943 0.03 Austria 1 624 771 0.10 REPUBLIC OF AUSTRIA 1.200% 15-20/10/2025 EUR 325 014 0.02 REPUBLIC OF AUSTRIA 4.150% 07-310 000 15/03/2037 EUR 488 855 0.03 TELEKOM FINANZ 1.500% 16-07/12/2026 EUR 301 425 0.02 TELEKOM FINANZ 3.125% 13-450 000 03/12/2021 EUR 509 477 0.03 Australia 1 618 351 0.09 BHP BILLITON FIN 2.250% 12-25/09/2020 EUR 215 566 0.01 FMG RES AUG 2006 6.875% 12-65 000 01/04/2022 USD 63 937 0.00 FMG RES AUG 2006 9.750% 15-1 220 000 01/03/2022 USD 1 338 848 0.08 Singapore 1 598 605 0.09 SINGAPORE GOVT 1.250% 16-2 510 000 01/10/2021 SGD 1 598 605 0.09 Sweden 898 786 0.06 ATLAS COPCO 0.625% 16-30/08/2026 EUR 96 363 0.01 HEMSO FASTIGHETS 1.000% 16-09/09/2026 EUR 192 298 0.01 NORDEA BANK AB 1.000% 16-22/02/2023 EUR 206 090 0.01 140 000 SKF AB 1.625% 15-02/12/2022 EUR 144 235 0.01 SVENSKA HANDELSBANKEN 1.125% 250 000 15-14/12/2022 EUR 259 800 0.02 Japan 850 690 0.05 SOFTBANK GROUP CORP 4.750% 15-30/07/2025 EUR 216 632 0.01 SOFTBANK GROUP CORP 5.250% 15-575 000 30/07/2027 EUR 634 058 0.04 Denmark 819 536 0.05 400 000 ISS GLOBAL A/S 1.125% 14-09/01/2020 EUR 409 572 0.02 ISS GLOBAL A/S 2.125% 14-02/12/2024 EUR 106 997 0.01 JYSKE BANK A/S 0.625% 16-14/04/2021 EUR 302 967 0.02 Portugal 816 749 0.05 BRISA CONCESSAO 2.000% 16-22/03/2023 EUR 102 299 0.01 PORTUGUESE OTS 5.650% 13-623 000 15/02/2024 EUR 714 450 0.04 Jersey Island 681 403 0.04 UBS GROUP FUNDING 1.500% 16-470 000 30/11/2024 EUR 472 167 0.03 UBS GROUP FUNDING 1.750% 15-16/11/2022 EUR 209 236 0.01 Supranational 457 811 0.03 452 991 ESM 0.050% 15-17/12/2018 EUR 457 811 0.03 Bermuda 395 843 0.02 WEATHERFORD BERM 7.750% 16-265 000 15/06/2021 USD 253 443 0.01 WEATHERFORD BERM 8.250% 16-150 000 15/06/2023 USD 142 400 0.01 Mexico 388 625 0.02 AMERICA MOVIL SA 1.500% 16-160 000 10/03/2024 EUR 161 271 0.01 221 000 CEMEX SAB 4.375% 15-05/03/2023 EUR 227 354 0.01 Slovakia 206 926 0.01 SLOVAK REPUBLIC 1.500% 13-28/11/2018 EUR 206 926 0.01 Latvia 170 775 0.01 180 000 REP OF LATVIA 0.375% 16-07/10/2026 EUR 170 775 0.01 Page 85
BNP Paribas L1 Multi-Asset Income Expressed in EUR Poland 144 165 0.01 AUTOSTRADE PER L 1.750% 15-140 000 26/06/2026 EUR 144 165 0.01 Convertible bonds 74 860 419 4.30 United States of America 21 694 035 1.26 ADVANCED MICRO 2.125% 16-400 000 01/09/2026 CV USD 605 941 0.04 AKAMAI TECH 0.000% 14-2 000 000 15/02/2019 CV USD 1 970 230 0.11 BROCADE COM SYS 1.375% 15-700 000 01/01/2020 CV USD 666 568 0.04 CHESAPEAKE ENRGY 5.500% 16-450 000 15/09/2026 CV USD 468 879 0.03 CITRIX SYSTEMS 0.500% 14-1 335 000 15/04/2019 CV USD 1 461 165 0.08 CYPRESS SEMICON 4.500% 16-215 000 15/01/2022 CV USD 229 542 0.01 DISH NETWORK 3.375% 16-1 050 000 15/08/2026 CV USD 1 139 027 0.07 600 000 DYCOM INDS 0.750% 15-15/09/2021 CV USD 620 763 0.04 EURONET WORLDWID 1.500% 14-01/10/2044 CV USD 329 225 0.02 EXTRA SPACE STORAGE 3.125% 15-1 000 000 01/10/2035 CV USD 1 003 508 0.06 HOLOGIC INC 2.000% 12-01/03/2042 500 000 CV SR USD 644 404 0.04 ILLUMINA INC 0.000% 14-1 000 000 15/06/2019 CV USD 904 835 0.05 500 000 INTEL CORP 3.250% 09-01/08/2039 CV USD 834 003 0.05 LIBERTY INTERACT 1.750% 16-600 000 30/09/2046 CV USD 611 519 0.04 MICRON TECH 3.000% 13-1 15/11/2043 CV USD 1 123 967 0.07 NUANCE COMMUNIC 1.000% 15-500 000 15/12/2035 CV USD 428 123 0.02 NUVASIVE INC 2.250% 16-1 15/03/2021 CV USD 1 444 181 0.08 ON SEMICONDUCTOR 1.000% 15-01/12/2020 CV USD 194 437 0.01 PRICELINE.COM 1.000% 12-500 000 15/03/2018 CV USD 744 959 0.04 700 000 RED HAT INC 0.250% 14-01/10/2019 CV USD 774 417 0.04 SALESFORCE.COM 0.250% 13-1 500 000 01/04/2018 CV USD 1 649 566 0.10 SERVICENOW INC 0.000% 13-1 000 000 01/11/2018 CV USD 1 123 489 0.07 STARWOOD PROP TR 4.550% 13-500 000 01/03/2018 CV USD 512 283 0.03 SUNPOWER CORP 0.875% 14-1 500 000 01/06/2021 CV USD 933 278 0.05 TESLA MOTORS INC 1.250% 14-700 000 01/03/2021 CV USD 573 101 0.03 750 000 YAHOO INC 0.000% 13-01/12/2018 CV USD 702 625 0.04 Japan 13 259 357 0.76 40 000 000 ASICS CORP 0.000% 14-01/03/2019 CV JPY 360 459 0.02 BANK OF IWATE 0.000% 13-25/07/2018 CV USD 283 586 0.02 CHUGOKU ELEC PWR 0.000% 15-50 000 000 25/03/2020 CV JPY 413 259 0.02 JAPAN AIRPORT 0.000% 15-140 000 000 06/03/2020 CV JPY 1 149 490 0.07 KAWASAKI KISEN 0.000% 13-50 000 000 26/09/2018 CV JPY 423 563 0.02 LIXIL GROUP CORP 0.000% 15-80 000 000 04/03/2022 CV JPY 680 854 0.04 SHIONOGI & CO 0.000% 14-40 000 000 17/12/2019 CV JPY 459 288 0.03 130 000 000 SONY CORP 0.000% 15-30/09/2022 CV JPY 1 117 230 0.06 SUZUKI MOTOR CORP 0.000% 16-70 000 000 31/03/2021 CV JPY 676 598 0.04 SUZUKI MOTOR CORP 0.000% 16-000 31/03/2023 CV JPY 977 038 0.06 TAKASHIMAYA CO 0.000% 13-50 000 000 11/12/2020 CV JPY 427 038 0.02 TERUMO CORP 0.000% 14-140 000 000 06/12/2021 CV JPY 1 415 411 0.08 TOHOKU ELECTRIC POWER CO 000 0.000% 15-03/12/2020 CV JPY 841 947 0.05 TORAY INDUSTRIES 0.000% 14-150 000 000 30/08/2019 CV JPY 1 422 674 0.08 TORAY INDUSTRIES 0.000% 14-30 000 000 31/08/2021 CV JPY 304 727 0.02 UNICHARM CORP 0.000% 15-80 000 000 25/09/2020 CV JPY 780 557 0.05 YAMADA DENKI CO 0.000% 14-110 000 000 28/06/2019 CV JPY 1 099 501 0.06 YAMAGUCHI FIN GP 0.000% 13-400 000 20/12/2018 CV USD 426 137 0.02 France 9 013 586 0.50 AIRBUS GROUP NV 0.000% 15-400 000 01/07/2022 CV EUR 410 932 0.02 AIRBUS GROUP SE 0.000% 16-1 14/06/2021 CV EUR 1 209 769 0.07 FONCIERE DES REGIONS 0.875% 13-171 070 01/04/2019 CV FLAT EUR 199 713 0.01 LVMH MOET HENNES 0.000% 16-970 000 16/02/2021 CV FLAT USD 978 978 0.06 SAFRAN SA 0.000% 16-31/12/2020 725 368 CV FLAT EUR 774 443 0.04 SUEZ ENVIRONNEMENT 0.000% 14-562 434 27/02/2020 CV FLAT EUR 589 500 0.03 600 000 TECHNIP 0.875% 16-25/01/2021 CV EUR 834 540 0.05 1 800 000 TOTAL SA 0.500% 15-02/12/2022 CV USD 1 774 862 0.10 UBISOFT ENTERTAINMENT 0.000% 3 654 16-27/09/2021 CV EUR 212 677 0.01 1 400 000 VALEO SA 0.000% 16-16/06/2021 CV USD 1 427 847 0.08 554 990 WENDEL SA 0.000% 16-31/07/2019 CV EUR 600 325 0.03 The Netherlands 4 165 635 0.24 BRENNTAG FINANCE 1.875% 15-500 000 02/12/2022 CV USD 489 329 0.03 400 000 CEZ MH BV 0.000% 14-04/08/2017 CV EUR 445 820 0.03 NXP SEMICONDUCTORS 1.000% 14-1 500 000 01/12/2019 CV USD 1 618 820 0.09 SIEMENS FINAN 1.050% 15-1 500 000 16/08/2017 CV USD 1 611 666 0.09 China 4 035 914 0.23 CRRC CORP LTD 0.000% 16-1 000 000 05/02/2021 CV USD 966 950 0.06 CTRIP.COM INT 1.250% 13-1 500 000 15/10/2018 CV USD 1 639 298 0.09 KINGSOFT CORP LTD 1.250% 14-6 000 000 11/04/2019 CV HKD 725 871 0.04 VIPSHOP HOLDING 1.500% 14-750 000 15/03/2019 CV USD 703 795 0.04 Mexico 3 225 134 0.18 AMERICA MOVIL SA 0.000% 15-2 28/05/2020 CV EUR 2 133 802 0.12 500 000 CEMEX SAB 3.720% 15-15/03/2020 CV USD 507 229 0.03 550 000 CEMEX SAB 3.750% 11-15/03/2018 CV USD 584 103 0.03 Germany 2 849 082 0.17 FRESENIUS SE 0.000% 14-400 000 24/09/2019 CV EUR 607 744 0.04 HANIEL FINANCE 0.000% 15-400 000 12/05/2020 CV EUR 425 684 0.02 MTU AERO ENGINES 0.125% 16-700 000 17/05/2023 CV EUR 792 904 0.05 RAG STIFTUNG 0.000% 14-1 000 000 31/12/2018 CV EUR 1 022 750 0.06 United Kingdom 2 134 668 0.12 BP CAPITAL PLC 1.000% 16-28/04/2023 CV GBP 431 236 0.02 800 000 INMARSAT 3.875% 16-09/09/2023 CV USD 793 348 0.05 VODAFONE GROUP 0.000% 15-800 000 26/11/2020 CV GBP 910 084 0.05 Austria 1 793 286 0.10 STEINHOFF FINANC 1.250% 16-1 800 000 21/10/2023 CV EUR 1 793 286 0.10 Switzerland 1 759 881 0.11 STMICROELECTRONICS 0.000% 14-600 000 03/07/2019 CV USD 632 749 0.04 SWISS LIFE HOLDING 0.000% 13-940 000 02/12/2020 CV CHF 1 127 132 0.07 Page 86
BNP Paribas L1 Multi-Asset Income Expressed in EUR Norway 1 605 362 0.09 MARINE HARVEST 0.125% 15-05/11/2020 CV EUR 368 967 0.02 TELENOR EAST HOL 0.250% 16-1 20/09/2019 CV USD 1 236 395 0.07 United Arab Emirates 1 309 749 0.07 DP WORLD LTD 1.750% 14-1 000 000 19/06/2024 CV USD 934 468 0.05 NATIONAL BANK OF ABU DHABI 400 000 1.000% 13-12/03/2018 CV USD 375 281 0.02 Cyprus 1 028 936 0.06 AROUNDTOWN PROPERTY 3.000% 800 000 15-05/05/2020 CV EUR 1 028 936 0.06 Spain 871 601 0.05 ACS ACTIVIDADES 1.625% 14-700 000 27/03/2019 CV EUR 771 631 0.04 CO ECONOMICA 1.000% 16-01/12/2023 CV EUR 99 970 0.01 Hungary 822 297 0.05 HUNGARIAN STATE 3.375% 13-700 000 02/04/2019 CV EUR 822 297 0.05 Portugal 808 988 0.05 750 000 PARPUBLICA 5.250% 10-28/09/2017 CV EUR 808 988 0.05 800 000 Cayman Islands 757 207 0.04 CHINA OVERSEAS FIN 5.000% 16-05/01/2023 CV USD 757 207 0.04 Hong Kong 668 017 0.04 ASM PACIFIC TECHNOLOGY 2.000% 2 000 000 14-28/03/2019 CV HKD 265 052 0.02 CNPC HONG KG LTD 1.625% 16-3 000 000 25/07/2019 CV CNY 402 965 0.02 Malaysia 531 526 0.03 INDAH CAPITAL 0.000% 13-750 000 24/10/2018 CV SGD 531 526 0.03 Jersey Island 514 751 0.03 BRITISH LAND CO 1.500% 12-10/09/2017 CV GBP 362 488 0.02 ENSCO JERSEY 3.000% 16-156 000 31/01/2024 CV USD 152 263 0.01 Israel 489 215 0.03 TEVA PHARMACEUTICAL 7.000% 15-800 15/12/2018 CV FLAT USD 489 215 0.03 Ireland 454 724 0.03 JAZZ INVT I LTD 1.875% 14-500 000 15/08/2021 CV USD 454 724 0.03 Taiwan 377 265 0.02 ZHEN DING TECH 0.000% 14-400 000 26/06/2019 CV USD 377 265 0.02 Belgium 303 933 0.02 BEKAERT SA 0.000% 16-09/06/2021 CV EUR 303 933 0.02 Bermuda 205 736 0.01 WEATHERFORD BERM 5.875% 16-01/07/2021 CV USD 205 736 0.01 India 180 534 0.01 LARSEN & TOUBRO 0.675% 14-22/10/2019 CV USD 180 534 0.01 Floating rate bonds 53 226 264 3.11 United States of America 22 020 402 1.28 819 430 CAS 2015-C04 2M1 15-25/04/2028 FRN USD 779 336 0.05 927 008 CAS 2016-C03 2M1 16-25/10/2028 FRN USD 888 171 0.05 FEDEX CORP 16-11/04/2019 FRN EUR 301 257 0.02 1 670 407 FHR 4092 HS 12-15/08/2042 FRN USD 288 331 0.02 6 809 265 FHR 4280 ES 13-15/12/2043 FRN USD 1 292 668 0.07 1 272 699 FNR 2012-15 S 12-25/03/2042 FRN USD 209 293 0.01 1 202 678 FNR 2012-16 HS 12-25/03/2042 FRN USD 220 940 0.01 1 829 662 FNR 2012-99 SD 12-25/09/2042 FRN USD 388 972 0.02 1 883 683 FNR 2012-99 SK 12-25/09/2042 FRN USD 429 054 0.02 11 464 418 FNR 2013-72 SY 13-25/07/2043 FRN USD 2 200 680 0.13 380 000 FREMF 2012-K23 C 12-25/10/2045 FRN USD 350 795 0.02 440 000 FREMF 2013-K24 C 13-25/11/2045 FRN USD 400 910 0.02 480 000 FREMF 2013-K29 C 13-25/05/2046 FRN USD 435 884 0.03 640 000 FREMF 2014-K37 C 14-25/01/2047 FRN USD 596 725 0.03 2 495 000 FREMF 2014-K41 B 14-25/11/2047 FRN USD 2 352 643 0.14 2 000 000 FREMF 2015-K49 C 15-25/08/2025 FRN USD 1 540 286 0.09 GAHR 2015-NRF CFX 15-380 000 15/12/2034 FRN USD 362 364 0.02 GIBRALTAR INDSTR 13-01/02/2021 FRN USD 293 316 0.02 7 304 558 GNR 2007-18 S 07-16/04/2037 FRN USD 1 411 411 0.08 989 849 GNR 2012-94 SB 12-20/07/2042 FRN USD 231 383 0.01 1 082 392 GNR 2012-96 SC 12-20/08/2042 FRN USD 207 031 0.01 6 775 143 GNR 2014-161 PS 14-20/11/2044 FRN USD 1 010 988 0.06 3 974 285 GNR 2015-124 SB 15-20/09/2045 FRN USD 805 063 0.05 6 291 604 GNR 2015-162 IM 15-20/11/2045 FRN USD 1 374 138 0.08 7 846 016 GNR 2015-94 SA 15-20/07/2045 FRN USD 1 740 155 0.10 450 000 LENNAR CORP 13-15/11/2022 FRN USD 437 307 0.03 METLIFE INC 06-15/12/2036 FRN USD 306 846 0.02 SABINE PASS LIQU 14-01/02/2021 FRN USD 203 129 0.01 STACR 2015-DNA2 M2 15-994 564 25/12/2027 FRN USD 961 326 0.06 The Netherlands 7 920 126 0.46 ABN AMRO BANK NV 15-29/12/2049 FRN EUR 305 640 0.02 ASR NEDERLAND NV 15-250 000 29/09/2045 FRN EUR 265 078 0.02 GAS NAT FENOSA F 15-600 000 29/12/2049 FRN EUR 561 750 0.03 ING BANK NV 14-25/02/2026 FRN EUR 217 670 0.01 1 030 000 ING GROEP NV 16-29/12/2049 FRN USD 979 074 0.06 KPN NV 13-29/03/2049 FRN EUR 107 250 0.01 1 732 000 REPSOL INTL FIN 15-25/03/2075 FRN EUR 1 632 410 0.09 360 000 SWISS LIFE 16-29/12/2049 FRN EUR 368 377 0.02 TELEFONICA EUROP 13-29/09/2049 FRN EUR 213 250 0.01 TELEFONICA EUROP 14-1 29/12/2049 FRN EUR 1 326 000 0.08 TELEFONICA EUROP 14-700 000 31/03/2049 FRN EUR 726 250 0.04 TELEFONICA EUROP 14-500 000 31/03/2049 FRN EUR 525 625 0.03 TELEFONICA EUROP 16-600 000 31/12/2049 FRN EUR 586 500 0.03 VONOVIA FINANCE 14-08/04/2074 FRN EUR 105 252 0.01 Cayman Islands 7 729 713 0.44 800 000 AMMC 2012-11A BR 16-30/10/2023 FRN USD 758 474 0.04 800 000 ANCHC 2016-9A B 16-15/01/2029 FRN USD 758 474 0.04 2 BABSN 2014-IIA A 14-17/10/2026 FRN USD 1 990 358 0.12 800 000 BLUEM 2012-2A BR 16-20/11/2028 FRN USD 758 474 0.04 1 000 000 CGMS 2016-4A A2 16-20/10/2027 FRN USD 948 092 0.05 650 000 DRSLF 2014-33A BR 16-15/10/2028 FRN USD 617 680 0.04 500 000 LCM 17A BR 16-15/10/2026 FRN USD 474 046 0.03 700 000 MAGNE 2014-8A BR 16-15/04/2026 FRN USD 664 790 0.04 OZLMF 2012-1A A1R 15-800 000 22/07/2027 FRN USD 759 325 0.04 France 5 941 795 0.38 250 000 AXA SA 10-16/04/2040 FRN EUR 278 383 0.02 AXA SA 14-20/05/2049 FRN EUR 102 581 0.01 AXA SA 16-06/07/2047 FRN EUR 101 486 0.01 BNP PARIBAS 07-29/04/2049 FRN EUR 201 236 0.01 BNP PARIBAS 15-29/12/2049 FRN EUR 209 348 0.01 700 000 BNP PARIBAS 16-29/12/2049 FRN USD 656 311 0.04 Page 87
BNP Paribas L1 Multi-Asset Income Expressed in EUR 150 000 CNP ASSURANCES 10-14/09/2040 FRN EUR 168 672 0.01 CNP ASSURANCES 15-10/06/2047 FRN EUR 102 590 0.01 CREDIT AGRICOLE 09-29/10/2049 FRN EUR 348 303 0.02 CREDIT AGRICOLE ASSR 15-29/01/2049 FRN EUR 196 870 0.01 CREDIT AGRICOLE ASSR 16-27/09/2048 FRN EUR 303 696 0.02 500 000 ENGIE OPEN 14-02/06/2049 FRN EUR 519 560 0.03 192 000 HOMEVI 16-15/11/2021 FRN EUR 194 903 0.01 ORANGE 14-28/02/2049 FRN EUR 105 976 0.01 ORANGE 14-29/12/2049 FRN EUR 327 990 0.02 665 000 PICARD GROUPE 13-01/08/2019 FRN EUR 628 541 0.04 SCOR SE 16-27/05/2048 FRN EUR 102 286 0.01 886 000 TOTAL SA 15-29/12/2049 FRN EUR 832 946 0.05 TOTAL SA 15-29/12/2049 FRN EUR 299 169 0.02 160 000 TOTAL SA 16-29/12/2049 FRN EUR 156 448 0.01 VEOLIA ENVIRONNEMENT 13-29/01/2049 FRN EUR 104 500 0.01 United Kingdom 2 307 070 0.14 ARROW GLOBAL FIN 16-990 000 01/05/2023 FRN EUR 1 021 670 0.06 608 000 CO-OP GRP HLD 11-08/07/2020 SR GBP 802 160 0.05 NEW LOOK SECURED 15-510 000 01/07/2022 FRN EUR 483 240 0.03 Luxembourg 1 663 762 0.10 151 000 LECTA SA 16-01/08/2022 FRN EUR 153 363 0.01 629 000 SES 16-29/12/2049 FRN EUR 644 725 0.04 TALANX FINANZ 12-15/06/2042 FRN EUR 125 637 0.01 WIND ACQUISITION 14-481 000 15/07/2020 FRN EUR 482 910 0.03 WIND ACQUISITION 15-254 000 15/07/2020 FRN EUR 257 127 0.01 Germany 1 588 989 0.09 ALLIANZ SE 12-17/10/2042 FRN EUR 236 448 0.01 ALLIANZ SE 13-29/10/2049 FRN EUR 110 433 0.01 ALLIANZ SE 15-07/07/2045 FRN EUR 97 122 0.01 ENERGIE BADEN-WU 16-206 000 05/04/2077 FRN EUR 206 517 0.01 702 000 LANXESS 16-06/12/2076 FRN EUR 731 835 0.04 MERCK 14-12/12/2074 FRN EUR 206 634 0.01 Ireland 1 174 746 0.06 223 000 BANK OF IRELAND 15-29/12/2049 FRN EUR 226 334 0.01 1 000 000 DORPK 2015-1A A 15-20/01/2027 FRN USD 948 412 0.05 Sweden 900 787 0.05 250 000 NORDEA BANK AB 16-07/09/2026 FRN EUR 247 705 0.01 SKANDINAVISKA ENSKILDA BANK 402 000 16-31/10/2028 FRN EUR 393 502 0.02 250 000 SWEDBANK AB 14-26/02/2024 FRN EUR 259 580 0.02 Belgium 736 083 0.04 KBC GROEP NV 14-25/11/2024 FRN EUR 207 502 0.01 525 000 KBC GROEP NV 14-29/03/2049 FRN EUR 528 581 0.03 Denmark 439 969 0.02 223 000 DANSKE BANK A/S 14-31/10/2049 FRN EUR 230 977 0.01 DANSKE BANK A/S 15-29/10/2049 FRN EUR 208 992 0.01 Australia 347 375 0.02 ORIGIN ENERGY FIN 14-350 000 16/09/2074 FRN EUR 347 375 0.02 Italy 241 857 0.02 ASSICURAZIONI GENERALI 12-12/12/2042 FRN EUR 119 042 0.01 116 000 ENEL SPA 14-15/01/2075 FRN EUR 122 815 0.01 Austria 213 590 0.01 UNIQA INSURANCE 15-27/07/2046 FRN EUR 213 590 0.01 Other transferable securities 58 273 040 3.38 Convertible bonds 1 230 171 0.07 Jersey Island 644 626 0.04 650 000 600 000 WRIGHT MEDICAL 2.000% NOTES 2015 15/02/2020 CV USD 644 626 0.04 United States of America 585 545 0.03 ISIS PHARMACEUTICALS 1.000% 14-15/11/2021 CV USD 585 545 0.03 To be Announced ("TBA") 57 042 869 3.31 Mortgage Backed Securities United States of America 57 042 869 3.31 3 600 000 FGCI 2.5 1/16 2.500% 16-15/07/2030 USD 3 414 198 0.20 5 000 000 FGLMC 3.5 1/11 3.500% 11-15/09/2040 USD 4 845 639 0.28 800 000 FGLMC 4.5 1/11 4.500% 11-15/02/2040 USD 812 989 0.05 3 800 000 FNCI 3 1/15 3.000% 15-25/06/2029 USD 3 691 692 0.21 2 600 000 FNCI 3.5 1/12 3.500% 12-25/07/2026 USD 2 565 952 0.15 7 FNCL 3 1/13 3.000% 13-25/10/2042 USD 6 864 837 0.40 6 800 000 FNCL 3.5 1/12 3.500% 12-25/06/2041 USD 6 596 112 0.38 9 FNCL 4.000% 10-25/09/2039 USD 9 155 842 0.53 3 600 000 FNCL 4.5 1/12 4.500% 12-25/03/2040 USD 3 664 849 0.21 2 800 000 FNCL 5 1/11 5.000% 11-25/08/2037 USD 2 888 599 0.17 500 000 FNCL 5.5 1/13 5.500% 13-25/06/2038 USD 526 339 0.03 4 800 000 G2SF 3 1/13 3.000% 13-20/05/2042 USD 4 597 772 0.27 5 800 000 G2SF 3.5 1/12 3.500% 12-20/09/2041 USD 5 708 580 0.33 1 700 000 G2SF 4 1/11 4.000% 11-20/09/2040 USD 1 709 469 0.10 Shares/Units in investment funds 102 074 117 5.88 Luxembourg 70 271 712 4.05 ALPHA UCITS SICAV FAIR OAKS 13 900.00 DNMC CRDT FD EUR 13 946 425 0.80 1 631 613.05 INVESTEC EM MARKETS DEBT - IA EUR 48 540 487 2.80 PARVEST MULTI- ASSET INCOME 78 762.77 EMERGING - X - CAP USD 7 784 800 0.45 The Netherlands 31 802 405 1.83 BNPF3 HIGH INCOME PROPERTY 564 874.00 FUND XDI EUR 31 802 405 1.83 Total securities portfolio 1 688 990 540 97.87 Page 88
BNP Paribas L1 Patrimoine Expressed in EUR Shares/Units in investment funds 44 650 613 99.49 France 18 670 600 41.60 3 946.09 ARTY - I EUR 4 488 516 10.00 BNP PARIBAS CASH INVEST - 1 737.85 CLASSIC EUR 3 997 855 8.91 8 523.61 CARMIGNAC PATRIMOINE A EUR EUR 5 533 615 12.33 12 700.00 EUROSE EUR 4 650 614 10.36 Luxembourg 14 758 100 32.88 65 400.00 BGF GLOBAL ALLOCATION HED.A2 EUR 2 241 258 4.99 BNP PARIBAS INSTICASH EUR - I - 260.96 CAP EUR 36 672 0.08 225 000.00 CAP GR EM TOTAL OPP - ZH EUR EUR 2 245 500 5.00 21 900.00 DNCA INVEST - EVOLUTIF SCI EUR 2 385 348 5.32 17 450.00 ETHNA - AKT E UNITS T CAP EUR 2 245 292 5.00 NORDEA 1 SICAV - STAB RET - 319 500.00 BI EUR EUR 5 604 030 12.49 United Kingdom 9 004 043 20.07 205 245.95 M+G DYNAMIC ALLOCAT - CA EUR EUR 3 350 681 7.47 M+G OPTIMAL INCOME - C - EURO - 276 000.00 A EUR 5 653 362 12.60 Ireland 2 217 870 4.94 BNY MELLON GLOBAL REAL 1 900 000.00 RETURN E - W EUR 2 217 870 4.94 Total securities portfolio 44 650 613 99.49 Page 89
BNP Paribas L1 Safe Aggressive W1 Expressed in EUR Shares/Units in investment funds 1 370 272 106.89 Luxembourg 1 300 986 101.48 BNP PARIBAS A FUND EUROPEAN 709.67 MULTI-ASSET INCOME - X - CAP EUR 80 029 6.24 BNP PARIBAS INSTICASH MONEY 3M 1 279.79 EUR - I - CAP EUR 130 027 10.14 BNPP EASY MSCI EMERGING 0.48 MARKETS EX CONTROVERSIAL USD 36 946 2.88 WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 0.85 CONTROVERSIAL WEAPONS TRACK EUR 129 084 10.07 - X - CAP BNPP EASY MSCI JAPAN EX 0.11 CONTROVERSIAL WEAPONS TRACK EUR 14 298 1.12 - X - CAP BNPP EASY MSCI NORTH AMERICA 0.99 EX CONTROVERSIAL WEAPONS EUR 208 473 16.25 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 132.04 V350 - X - CAP EUR 13 951 1.09 PARVEST EQUITY BEST SELECTION 1 308.07 EUROPE - X - CAP EUR 205 053 16.00 PARVEST EQUITY USA SMALL CAP - 237.61 X - CAP EUR 46 811 3.65 PARVEST EQUITY WORLD 2 479.15 EMERGING - X - CAP EUR 198 654 15.50 PARVEST MULTI- ASSET INCOME 127.68 EMERGING - X - CAP USD 12 620 0.98 PARVEST REAL ESTATE SECURITIES 130.44 WORLD - X - CAP EUR 17 825 1.39 PARWORLD QUANT EQUITY EUROPE 1 351.94 GURU - X - CAP EUR 170 209 13.28 THEAM QUANT EQUITY US GURU - 341.94 X USD USD 37 006 2.89 France 69 286 5.41 489.00 LOW CARBON 100 EUROPE THEAM EUR 69 286 5.41 Total securities portfolio 1 370 272 106.89 Page 90
BNP Paribas L1 Safe Aggressive W4 Expressed in EUR Shares/Units in investment funds 549 055 99.72 Luxembourg 527 801 95.86 BNP PARIBAS A FUND EUROPEAN 280.16 MULTI-ASSET INCOME - X - CAP EUR 31 594 5.74 BNPP EASY MSCI EMERGING 0.59 MARKETS EX CONTROVERSIAL USD 45 242 8.22 WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 0.44 CONTROVERSIAL WEAPONS TRACK EUR 66 360 12.05 - X - CAP BNPP EASY MSCI JAPAN EX 0.05 CONTROVERSIAL WEAPONS TRACK EUR 6 744 1.22 - X - CAP BNPP EASY MSCI NORTH AMERICA 0.42 EX CONTROVERSIAL WEAPONS EUR 88 378 16.06 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 50.16 V350 - X - CAP EUR 5 300 0.96 PARVEST EQUITY BEST SELECTION 554.75 EUROPE - X - CAP EUR 86 963 15.80 PARVEST EQUITY USA SMALL CAP - 102.61 X - CAP EUR 20 216 3.67 PARVEST EQUITY WORLD 735.13 EMERGING - X - CAP EUR 58 906 10.70 PARVEST MULTI- ASSET INCOME 54.81 EMERGING - X - CAP USD 5 417 0.98 PARVEST REAL ESTATE SECURITIES 56.46 WORLD - X - CAP EUR 7 715 1.40 PARWORLD QUANT EQUITY EUROPE 687.15 GURU - X - CAP EUR 86 512 15.71 THEAM QUANT EQUITY US GURU - 170.52 X USD USD 18 454 3.35 France 21 254 3.86 150.00 LOW CARBON 100 EUROPE THEAM EUR 21 254 3.86 Total securities portfolio 549 055 99.72 Page 91
BNP Paribas L1 Safe Aggressive W7 Expressed in EUR Shares/Units in investment funds 1 074 606 99.60 Luxembourg 1 037 200 96.13 BNP PARIBAS A FUND EUROPEAN 547.23 MULTI-ASSET INCOME - X - CAP EUR 61 711 5.72 BNPP EASY MSCI EMERGING 1.48 MARKETS EX CONTROVERSIAL USD 113 989 10.56 WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 0.88 CONTROVERSIAL WEAPONS TRACK EUR 132 872 12.32 - X - CAP BNPP EASY MSCI JAPAN EX 0.10 CONTROVERSIAL WEAPONS TRACK EUR 13 893 1.29 - X - CAP BNPP EASY MSCI NORTH AMERICA 0.84 EX CONTROVERSIAL WEAPONS EUR 176 968 16.40 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 97.87 V350 - X - CAP EUR 10 341 0.96 PARVEST EQUITY BEST SELECTION 1 330.84 EUROPE - X - CAP EUR 208 624 19.34 PARVEST EQUITY USA SMALL CAP - 200.45 X - CAP EUR 39 490 3.66 PARVEST EQUITY WORLD 1 119.24 EMERGING - X - CAP EUR 89 684 8.31 PARVEST MULTI- ASSET INCOME 107.42 EMERGING - X - CAP USD 10 617 0.98 PARVEST REAL ESTATE SECURITIES 109.99 WORLD - X - CAP EUR 15 031 1.39 PARWORLD QUANT EQUITY EUROPE 1 040.19 GURU - X - CAP EUR 130 960 12.14 THEAM QUANT EQUITY US GURU - 305.10 X USD USD 33 020 3.06 France 37 406 3.47 264.00 LOW CARBON 100 EUROPE THEAM EUR 37 406 3.47 Total securities portfolio 1 074 606 99.60 Page 92
BNP Paribas L1 Safe Aggressive W10 Expressed in EUR Shares/Units in investment funds 1 135 938 98.37 Luxembourg 1 076 570 93.23 BNP PARIBAS A FUND EUROPEAN 642.59 MULTI-ASSET INCOME - X - CAP EUR 72 464 6.28 BNPP EASY MSCI EMERGING 0.11 MARKETS EX CONTROVERSIAL USD 8 603 0.74 WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 0.85 CONTROVERSIAL WEAPONS TRACK EUR 128 478 11.13 - X - CAP BNPP EASY MSCI JAPAN EX 0.10 CONTROVERSIAL WEAPONS TRACK EUR 13 893 1.20 - X - CAP BNPP EASY MSCI NORTH AMERICA 0.89 EX CONTROVERSIAL WEAPONS EUR 189 020 16.37 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 119.28 V350 - X - CAP EUR 12 603 1.09 PARVEST EQUITY BEST SELECTION 1 157.74 EUROPE - X - CAP EUR 181 488 15.72 PARVEST EQUITY USA SMALL CAP - 209.91 X - CAP EUR 41 354 3.58 PARVEST EQUITY WORLD 2 535.92 EMERGING - X - CAP EUR 203 204 17.61 PARVEST MULTI- ASSET INCOME 115.07 EMERGING - X - CAP USD 11 374 0.98 PARVEST REAL ESTATE SECURITIES 116.19 WORLD - X - CAP EUR 15 877 1.37 PARWORLD QUANT EQUITY EUROPE 1 289.05 GURU - X - CAP EUR 162 291 14.05 THEAM QUANT EQUITY US GURU - 331.91 X USD USD 35 921 3.11 France 59 368 5.14 419.00 LOW CARBON 100 EUROPE THEAM EUR 59 368 5.14 Total securities portfolio 1 135 938 98.37 Page 93
BNP Paribas L1 Safe Conservative W1 Expressed in EUR Shares/Units in investment funds 3 636 482 74.85 Luxembourg 2 166 279 44.59 AXA IM FIIS - US CORPORATE 3 072.77 BONDS - A H EUR 417 159 8.59 BNP PARIBAS INSTICASH MONEY 3M 7 434.91 EUR - I - CAP EUR 755 384 15.54 1 972.82 PARVEST BOND EURO - X - CAP EUR 237 962 4.90 PARVEST BOND EURO CORPORATE - 256.35 X - CAP EUR 55 010 1.13 PARVEST BOND EURO HIGH YIELD - 191.31 X - CAP EUR 26 449 0.54 PARVEST BOND EURO SHORT TERM 1 890.40 - X - CAP EUR 251 234 5.17 PARVEST BOND EURO SHORT TERM 2 401.18 CORPORATE - X - CAP EUR 250 971 5.17 432.87 PARVEST BOND USD - X - CAP USD 43 535 0.90 PARVEST BOND WORLD EMERGING 526.71 LOCAL - X - CAP EUR 39 256 0.81 PARVEST CONVERTIBLE BOND 662.06 WORLD - X - CAP EUR 89 319 1.84 France 1 275 464 26.25 187.00 AMUNDI ETF US TREASURY 7-10 USD 43 547 0.90 BNP PARIBAS AM KLE EONIA PRIME 4.00 FCP - DIS EUR 40 527 0.83 32.30 BNP PARIBAS MOIS ISR - I - CAP EUR 748 092 15.40 19.02 BNP PARIBAS MONEY 3M - IC EUR 443 298 9.12 Ireland 194 739 4.01 2 016.00 VANGUARD US GOV BND IDX-INS EUR 194 739 4.01 Total securities portfolio 3 636 482 74.85 Page 94
BNP Paribas L1 Safe Conservative W4 Expressed in EUR Shares/Units in investment funds 2 018 120 99.66 Luxembourg 1 210 184 59.76 AXA IM FIIS - US CORPORATE 1 011.06 BONDS - A H EUR 137 262 6.78 BNP PARIBAS INSTICASH MONEY 3M 3 676.54 EUR - I - CAP EUR 373 537 18.44 1 389.88 PARVEST BOND EURO - X - CAP EUR 167 647 8.28 PARVEST BOND EURO CORPORATE - 180.69 X - CAP EUR 38 775 1.91 PARVEST BOND EURO HIGH YIELD - 134.76 X - CAP EUR 18 631 0.92 PARVEST BOND EURO SHORT TERM 1 330.04 - X - CAP EUR 176 762 8.73 PARVEST BOND EURO SHORT TERM 1 689.00 CORPORATE - X - CAP EUR 176 535 8.72 287.98 PARVEST BOND USD - X - CAP USD 28 963 1.43 PARVEST BOND WORLD EMERGING 371.38 LOCAL - X - CAP EUR 27 679 1.37 PARVEST CONVERTIBLE BOND 477.31 WORLD - X - CAP EUR 64 393 3.18 France 751 041 37.09 155.00 AMUNDI ETF US TREASURY 7-10 USD 36 095 1.78 BNP PARIBAS AM KLE EONIA PRIME 13.43 FCP - DIS EUR 136 068 6.72 11.61 BNP PARIBAS MOIS ISR - I - CAP EUR 268 896 13.28 13.30 BNP PARIBAS MONEY 3M - IC EUR 309 982 15.31 Ireland 56 895 2.81 589.00 VANGUARD US GOV BND IDX-INS EUR 56 895 2.81 Total securities portfolio 2 018 120 99.66 Page 95
BNP Paribas L1 Safe Conservative W7 Expressed in EUR Shares/Units in investment funds 3 214 737 99.72 France 1 643 609 50.99 136.00 AMUNDI ETF US TREASURY 7-10 USD 31 670 0.98 BNP PARIBAS AM KLE EONIA PRIME 49.00 FCP - DIS EUR 496 451 15.40 22.20 BNP PARIBAS MOIS ISR - I - CAP EUR 514 169 15.95 25.80 BNP PARIBAS MONEY 3M - IC EUR 601 319 18.66 Luxembourg 1 502 641 46.61 AXA IM FIIS - US CORPORATE 1 087.71 BONDS - A H EUR 147 667 4.58 BNP PARIBAS INSTICASH MONEY 3M 5 923.49 EUR - I - CAP EUR 601 824 18.68 1 496.47 PARVEST BOND EURO - X - CAP EUR 180 504 5.60 PARVEST BOND EURO CORPORATE - 194.55 X - CAP EUR 41 747 1.29 PARVEST BOND EURO HIGH YIELD - 145.09 X - CAP EUR 20 059 0.62 PARVEST BOND EURO SHORT TERM 1 429.61 - X - CAP EUR 189 995 5.89 PARVEST BOND EURO SHORT TERM 1 821.50 CORPORATE - X - CAP EUR 190 383 5.91 311.46 PARVEST BOND USD - X - CAP USD 31 325 0.97 PARVEST BOND WORLD EMERGING 399.84 LOCAL - X - CAP EUR 29 800 0.92 PARVEST CONVERTIBLE BOND 513.95 WORLD - X - CAP EUR 69 337 2.15 Ireland 68 487 2.12 709.00 VANGUARD US GOV BND IDX-INS EUR 68 487 2.12 Total securities portfolio 3 214 737 99.72 Page 96
BNP Paribas L1 Safe Conservative W10 Expressed in EUR Shares/Units in investment funds 4 595 897 98.39 France 2 743 213 58.73 104.00 AMUNDI ETF US TREASURY 7-10 USD 24 219 0.52 BNP PARIBAS AM KLE EONIA PRIME 89.50 FCP - DIS EUR 906 783 19.41 39.20 BNP PARIBAS MOIS ISR - I - CAP EUR 907 902 19.44 38.80 BNP PARIBAS MONEY 3M - IC EUR 904 309 19.36 Luxembourg 1 776 662 38.03 AXA IM FIIS - US CORPORATE 1 093.34 BONDS - A H EUR 148 431 3.18 BNP PARIBAS INSTICASH MONEY 3M 8 576.63 EUR - I - CAP EUR 871 383 18.66 1 503.91 PARVEST BOND EURO - X - CAP EUR 181 402 3.88 PARVEST BOND EURO CORPORATE - 195.52 X - CAP EUR 41 956 0.90 PARVEST BOND EURO HIGH YIELD - 145.82 X - CAP EUR 20 159 0.43 PARVEST BOND EURO SHORT TERM 1 448.58 - X - CAP EUR 192 516 4.12 PARVEST BOND EURO SHORT TERM 1 815.63 CORPORATE - X - CAP EUR 189 769 4.06 312.37 PARVEST BOND USD - X - CAP USD 31 416 0.67 PARVEST BOND WORLD EMERGING 401.86 LOCAL - X - CAP EUR 29 950 0.64 PARVEST CONVERTIBLE BOND 516.50 WORLD - X - CAP EUR 69 680 1.49 Ireland 76 022 1.63 787.00 VANGUARD US GOV BND IDX-INS EUR 76 022 1.63 Total securities portfolio 4 595 897 98.39 Page 97
BNP Paribas L1 Safe Defensive W1 Expressed in EUR Shares/Units in investment funds 69 711 884 99.90 Luxembourg 37 134 202 53.21 AXA IM FIIS - US CORPORATE 12 606.01 BONDS - A H EUR 1 711 392 2.45 BNP PARIBAS A FUND EUROPEAN 9 865.84 MULTI-ASSET INCOME - X - CAP EUR 1 112 571 1.59 BNP PARIBAS INSTICASH MONEY 3M 101 150.33 EUR - I - CAP EUR 10 276 843 14.73 BNPP EASY JPM GBI EMU TRACK - X 1.09 - CAP EUR 148 159 0.21 BNPP EASY MSCI EMERGING 6.36 MARKETS EX CONTROVERSIAL USD 488 215 0.70 WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 10.89 CONTROVERSIAL WEAPONS TRACK EUR 1 649 153 2.36 - X - CAP BNPP EASY MSCI JAPAN EX 1.32 CONTROVERSIAL WEAPONS TRACK EUR 178 586 0.26 - X - CAP BNPP EASY MSCI NORTH AMERICA 3.49 EX CONTROVERSIAL WEAPONS EUR 737 897 1.06 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 10 781.52 V350 - X - CAP EUR 1 139 176 1.63 24 255.97 PARVEST BOND EURO - X - CAP EUR 2 925 756 4.19 PARVEST BOND EURO 682.71 GOVERNMENT - X - CAP EUR 311 405 0.45 PARVEST BOND EURO HIGH YIELD - 6 683.77 X - CAP EUR 924 031 1.32 PARVEST BOND EURO SHORT TERM 49 990.51 CORPORATE - X - CAP EUR 5 225 008 7.49 23 159.98 PARVEST BOND USD - X - CAP USD 2 329 282 3.34 PARVEST BOND WORLD EMERGING 20 465.63 LOCAL - X - CAP EUR 1 525 304 2.19 PARVEST EQUITY BEST SELECTION 13 647.54 EUROPE - X - CAP EUR 2 139 388 3.07 PARVEST EQUITY USA SMALL CAP - 3 236.53 X - CAP EUR 637 630 0.91 PARVEST EQUITY WORLD 14 910.18 EMERGING - X - CAP EUR 1 194 753 1.71 PARVEST MULTI- ASSET INCOME 3 110.49 EMERGING - X - CAP USD 307 436 0.44 PARVEST REAL ESTATE SECURITIES 4 460.24 WORLD - X - CAP EUR 609 492 0.87 PARWORLD QUANT EQUITY EUROPE 11 173.31 GURU - X - CAP EUR 1 406 720 2.02 PARWORLD TRACK EMU 1 456.77 GOVERNMENT BOND 1-10 YEARS - EUR 156 005 0.22 PRIV - DIS France 31 806 648 45.59 6 544.00 AMUNDI ETF US TREASURY 7-10 USD 1 523 904 2.18 BNP PARIBAS AM KLE EONIA PRIME 764.85 FCP - DIS EUR 7 749 196 11.11 522.00 BNP PARIBAS MOIS ISR - I - CAP EUR 12 089 912 17.33 446.90 BNP PARIBAS MONEY 3M - IC EUR 10 415 865 14.93 196.00 LOW CARBON 100 EUROPE THEAM EUR 27 771 0.04 Ireland 771 034 1.10 7 982.00 VANGUARD US GOV BND IDX-INS EUR 771 034 1.10 Total securities portfolio 69 711 884 99.90 Page 98
BNP Paribas L1 Safe Defensive W4 Expressed in EUR Shares/Units in investment funds 47 408 141 99.52 Luxembourg 34 561 900 72.55 AXA IM FIIS - US CORPORATE 12 447.84 BONDS - A H EUR 1 689 919 3.55 BNP PARIBAS A FUND EUROPEAN 9 731.12 MULTI-ASSET INCOME - X - CAP EUR 1 097 379 2.30 BNP PARIBAS INSTICASH MONEY 3M 83 204.87 EUR - I - CAP EUR 8 453 589 17.74 BNPP EASY JPM GBI EMU TRACK - X 1.14 - CAP EUR 155 799 0.33 BNPP EASY MSCI EMERGING 6.91 MARKETS EX CONTROVERSIAL USD 530 769 1.11 WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 11.53 CONTROVERSIAL WEAPONS TRACK EUR 1 746 572 3.67 - X - CAP BNPP EASY MSCI JAPAN EX 1.31 CONTROVERSIAL WEAPONS TRACK EUR 176 158 0.37 - X - CAP BNPP EASY MSCI NORTH AMERICA 3.44 EX CONTROVERSIAL WEAPONS EUR 727 537 1.53 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 10 633.19 V350 - X - CAP EUR 1 123 503 2.36 23 921.77 PARVEST BOND EURO - X - CAP EUR 2 885 444 6.06 PARVEST BOND EURO 662.02 GOVERNMENT - X - CAP EUR 301 968 0.63 PARVEST BOND EURO HIGH YIELD - 6 591.87 X - CAP EUR 911 326 1.91 PARVEST BOND EURO SHORT TERM 49 302.69 CORPORATE - X - CAP EUR 5 153 118 10.82 22 838.05 PARVEST BOND USD - X - CAP USD 2 296 905 4.82 PARVEST BOND WORLD EMERGING 20 183.93 LOCAL - X - CAP EUR 1 504 308 3.16 PARVEST EQUITY BEST SELECTION 11 699.50 EUROPE - X - CAP EUR 1 834 013 3.85 PARVEST EQUITY USA SMALL CAP - 3 191.37 X - CAP EUR 628 732 1.32 PARVEST EQUITY WORLD 14 091.77 EMERGING - X - CAP EUR 1 129 174 2.37 PARVEST MULTI- ASSET INCOME 3 039.17 EMERGING - X - CAP USD 300 388 0.63 PARVEST REAL ESTATE SECURITIES 4 398.89 WORLD - X - CAP EUR 601 108 1.26 PARWORLD QUANT EQUITY EUROPE 9 252.10 GURU - X - CAP EUR 1 164 839 2.45 PARWORLD TRACK EMU 1 394.64 GOVERNMENT BOND 1-10 YEARS - EUR 149 352 0.31 PRIV - DIS France 12 070 087 25.34 6 393.00 AMUNDI ETF US TREASURY 7-10 USD 1 488 740 3.13 340.67 BNP PARIBAS MOIS ISR - I - CAP EUR 7 890 173 16.56 87.97 BNP PARIBAS MONEY 3M - IC EUR 2 050 310 4.30 4 523.00 LOW CARBON 100 EUROPE THEAM EUR 640 864 1.35 Ireland 776 154 1.63 8 035.00 VANGUARD US GOV BND IDX-INS EUR 776 154 1.63 Total securities portfolio 47 408 141 99.52 Page 99
BNP Paribas L1 Safe Defensive W7 Expressed in EUR Shares/Units in investment funds 59 975 656 99.86 Luxembourg 37 765 468 62.87 AXA IM FIIS - US CORPORATE 14 234.29 BONDS - A H EUR 1 932 447 3.22 BNP PARIBAS A FUND EUROPEAN 11 110.97 MULTI-ASSET INCOME - X - CAP EUR 1 252 984 2.09 BNP PARIBAS INSTICASH MONEY 3M 81 261.10 EUR - I - CAP EUR 8 256 103 13.74 BNPP EASY JPM GBI EMU TRACK - X 1.29 - CAP EUR 175 581 0.29 BNPP EASY MSCI EMERGING 6.89 MARKETS EX CONTROVERSIAL USD 529 079 0.88 WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 13.33 CONTROVERSIAL WEAPONS TRACK EUR 2 019 587 3.36 - X - CAP BNPP EASY MSCI JAPAN EX 1.49 CONTROVERSIAL WEAPONS TRACK EUR 201 381 0.34 - X - CAP BNPP EASY MSCI NORTH AMERICA 3.93 EX CONTROVERSIAL WEAPONS EUR 831 350 1.38 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 12 142.21 V350 - X - CAP EUR 1 282 946 2.14 27 317.23 PARVEST BOND EURO - X - CAP EUR 3 295 004 5.49 PARVEST BOND EURO 756.03 GOVERNMENT - X - CAP EUR 344 846 0.57 PARVEST BOND EURO HIGH YIELD - 7 527.29 X - CAP EUR 1 040 648 1.73 PARVEST BOND EURO SHORT TERM 56 299.48 CORPORATE - X - CAP EUR 5 884 422 9.80 26 034.52 PARVEST BOND USD - X - CAP USD 2 618 385 4.36 PARVEST BOND WORLD EMERGING 23 048.45 LOCAL - X - CAP EUR 1 717 801 2.86 PARVEST EQUITY BEST SELECTION 9 841.69 EUROPE - X - CAP EUR 1 542 784 2.57 PARVEST EQUITY USA SMALL CAP - 3 345.58 X - CAP EUR 659 113 1.10 PARVEST EQUITY WORLD 17 049.14 EMERGING - X - CAP EUR 1 366 147 2.27 PARVEST MULTI- ASSET INCOME 4 158.94 EMERGING - X - CAP USD 411 064 0.68 PARVEST REAL ESTATE SECURITIES 5 023.14 WORLD - X - CAP EUR 686 412 1.14 PARWORLD QUANT EQUITY EUROPE 12 268.12 GURU - X - CAP EUR 1 544 556 2.57 PARWORLD TRACK EMU 1 613.85 GOVERNMENT BOND 1-10 YEARS - EUR 172 828 0.29 PRIV - DIS France 21 317 539 35.50 7 267.00 AMUNDI ETF US TREASURY 7-10 USD 1 692 269 2.82 BNP PARIBAS AM KLE EONIA PRIME 270.75 FCP - DIS EUR 2 743 146 4.57 342.30 BNP PARIBAS MOIS ISR - I - CAP EUR 7 927 926 13.20 341.40 BNP PARIBAS MONEY 3M - IC EUR 7 956 984 13.25 7 038.00 LOW CARBON 100 EUROPE THEAM EUR 997 214 1.66 Ireland 892 649 1.49 9 241.00 VANGUARD US GOV BND IDX-INS EUR 892 649 1.49 Total securities portfolio 59 975 656 99.86 Page 100
BNP Paribas L1 Safe Defensive W10 Expressed in EUR Shares/Units in investment funds 63 658 202 99.90 Luxembourg 36 857 124 57.85 AXA IM FIIS - US CORPORATE 12 773.04 BONDS - A H EUR 1 734 068 2.72 BNP PARIBAS A FUND EUROPEAN 9 877.56 MULTI-ASSET INCOME - X - CAP EUR 1 113 892 1.75 BNP PARIBAS INSTICASH MONEY 3M 102 417.37 EUR - I - CAP EUR 10 405 575 16.33 BNPP EASY JPM GBI EMU TRACK - X 1.07 - CAP EUR 146 249 0.23 BNPP EASY MSCI EMERGING 4.25 MARKETS EX CONTROVERSIAL USD 326 219 0.51 WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 11.68 CONTROVERSIAL WEAPONS TRACK EUR 1 768 843 2.78 - X - CAP BNPP EASY MSCI JAPAN EX 1.33 CONTROVERSIAL WEAPONS TRACK EUR 179 530 0.28 - X - CAP BNPP EASY MSCI NORTH AMERICA 3.49 EX CONTROVERSIAL WEAPONS EUR 738 108 1.16 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 10 794.34 V350 - X - CAP EUR 1 140 529 1.79 24 284.77 PARVEST BOND EURO - X - CAP EUR 2 929 229 4.60 PARVEST BOND EURO 689.32 GOVERNMENT - X - CAP EUR 314 418 0.49 PARVEST BOND EURO HIGH YIELD - 6 691.71 X - CAP EUR 925 129 1.45 PARVEST BOND EURO SHORT TERM 50 050.06 CORPORATE - X - CAP EUR 5 231 232 8.21 22 982.17 PARVEST BOND USD - X - CAP USD 2 311 399 3.63 PARVEST BOND WORLD EMERGING 20 490.04 LOCAL - X - CAP EUR 1 527 123 2.40 PARVEST EQUITY BEST SELECTION 11 582.36 EUROPE - X - CAP EUR 1 815 651 2.85 PARVEST EQUITY USA SMALL CAP - 3 240.48 X - CAP EUR 638 408 1.00 PARVEST EQUITY WORLD 14 846.76 EMERGING - X - CAP EUR 1 189 671 1.87 PARVEST MULTI- ASSET INCOME 3 113.71 EMERGING - X - CAP USD 307 754 0.48 PARVEST REAL ESTATE SECURITIES 4 465.55 WORLD - X - CAP EUR 610 218 0.96 PARWORLD QUANT EQUITY EUROPE 10 708.86 GURU - X - CAP EUR 1 348 245 2.12 PARWORLD TRACK EMU 1 453.30 GOVERNMENT BOND 1-10 YEARS - EUR 155 634 0.24 PRIV - DIS France 26 086 070 40.93 6 794.00 AMUNDI ETF US TREASURY 7-10 USD 1 582 121 2.48 BNP PARIBAS AM KLE EONIA PRIME 533.90 FCP - DIS EUR 5 409 290 8.49 392.80 BNP PARIBAS MOIS ISR - I - CAP EUR 9 097 544 14.28 408.30 BNP PARIBAS MONEY 3M - IC EUR 9 516 219 14.93 3 394.00 LOW CARBON 100 EUROPE THEAM EUR 480 896 0.75 Ireland 715 008 1.12 7 402.00 VANGUARD US GOV BND IDX-INS EUR 715 008 1.12 Total securities portfolio 63 658 202 99.90 Page 101
BNP Paribas L1 Safe Dynamic W1 Expressed in EUR Shares/Units in investment funds 24 924 861 107.61 Luxembourg 21 266 315 91.82 BNP PARIBAS A FUND EUROPEAN 12 124.71 MULTI-ASSET INCOME - X - CAP EUR 1 367 304 5.90 BNP PARIBAS INSTICASH MONEY 3M 38 398.94 EUR - I - CAP EUR 3 901 319 16.85 BNPP EASY MSCI EMERGING 0.52 MARKETS EX CONTROVERSIAL USD 39 865 0.17 WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 11.95 CONTROVERSIAL WEAPONS TRACK EUR 1 811 114 7.82 - X - CAP BNPP EASY MSCI JAPAN EX 3.21 CONTROVERSIAL WEAPONS TRACK EUR 433 516 1.87 - X - CAP BNPP EASY MSCI NORTH AMERICA 10.60 EX CONTROVERSIAL WEAPONS EUR 2 241 812 9.68 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 5 353.19 V350 - X - CAP EUR 565 618 2.44 PARVEST BOND EURO 854.39 GOVERNMENT - X - CAP EUR 389 713 1.68 PARVEST BOND EURO HIGH YIELD - 2 115.07 X - CAP EUR 292 409 1.26 PARVEST BOND WORLD EMERGING 3 888.06 LOCAL - X - CAP EUR 289 777 1.25 PARVEST EQUITY BEST SELECTION 23 411.75 EUROPE - X - CAP EUR 3 670 025 15.85 PARVEST EQUITY USA SMALL CAP - 3 656.87 X - CAP EUR 720 440 3.11 PARVEST EQUITY WORLD 34 220.23 EMERGING - X - CAP EUR 2 742 067 11.84 PARVEST MULTI- ASSET INCOME 1 964.13 EMERGING - X - CAP USD 194 132 0.84 PARVEST REAL ESTATE SECURITIES 2 722.48 WORLD - X - CAP EUR 372 026 1.61 PARWORLD QUANT EQUITY EUROPE 16 815.44 GURU - X - CAP EUR 2 117 064 9.14 THEAM QUANT EQUITY US GURU - 1 091.38 X USD USD 118 114 0.51 France 3 458 398 14.93 1 272.00 AMUNDI ETF US TREASURY 7-10 USD 296 211 1.28 38.93 BNP PARIBAS MOIS ISR - I - CAP EUR 901 648 3.89 96.99 BNP PARIBAS MONEY 3M - IC EUR 2 260 539 9.76 Ireland 200 148 0.86 2 072.00 VANGUARD US GOV BND IDX-INS EUR 200 148 0.86 Total securities portfolio 24 924 861 107.61 Page 102
BNP Paribas L1 Safe Dynamic W4 Expressed in EUR Shares/Units in investment funds 15 253 728 99.30 Luxembourg 14 121 251 91.93 BNP PARIBAS A FUND EUROPEAN 9 849.29 MULTI-ASSET INCOME - X - CAP EUR 1 110 704 7.23 BNPP EASY JPM GBI EMU TRACK - X 0.42 - CAP EUR 56 753 0.37 BNPP EASY MSCI EMERGING 10.13 MARKETS EX CONTROVERSIAL USD 777 796 5.06 WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 11.20 CONTROVERSIAL WEAPONS TRACK EUR 1 697 332 11.05 - X - CAP BNPP EASY MSCI JAPAN EX 3.19 CONTROVERSIAL WEAPONS TRACK EUR 429 739 2.80 - X - CAP BNPP EASY MSCI NORTH AMERICA 9.60 EX CONTROVERSIAL WEAPONS EUR 2 028 900 13.21 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 4 153.20 V350 - X - CAP EUR 438 827 2.86 PARVEST BOND EURO 462.66 GOVERNMENT - X - CAP EUR 211 034 1.37 PARVEST BOND EURO HIGH YIELD - 1 660.91 X - CAP EUR 229 621 1.49 PARVEST BOND WORLD EMERGING 3 071.34 LOCAL - X - CAP EUR 228 907 1.49 PARVEST EQUITY BEST SELECTION 18 608.17 EUROPE - X - CAP EUR 2 917 016 18.99 PARVEST EQUITY USA SMALL CAP - 2 811.65 X - CAP EUR 553 924 3.61 PARVEST EQUITY WORLD 17 711.40 EMERGING - X - CAP EUR 1 419 214 9.24 PARVEST MULTI- ASSET INCOME 1 544.13 EMERGING - X - CAP USD 152 620 0.99 PARVEST REAL ESTATE SECURITIES 2 125.49 WORLD - X - CAP EUR 290 449 1.89 PARWORLD QUANT EQUITY EUROPE 11 121.05 GURU - X - CAP EUR 1 400 141 9.12 PARWORLD TRACK EMU 636.92 GOVERNMENT BOND 1-10 YEARS - EUR 68 207 0.44 PRIV - DIS THEAM QUANT EQUITY US GURU - 1 017.02 X USD USD 110 067 0.72 France 948 847 6.17 966.00 AMUNDI ETF US TREASURY 7-10 USD 224 953 1.46 5 109.00 LOW CARBON 100 EUROPE THEAM EUR 723 894 4.71 Ireland 183 630 1.20 1 901.00 VANGUARD US GOV BND IDX-INS EUR 183 630 1.20 Total securities portfolio 15 253 728 99.30 Page 103
BNP Paribas L1 Safe Dynamic W7 Expressed in EUR Shares/Units in investment funds 19 084 279 99.76 Luxembourg 18 473 615 96.57 BNP PARIBAS A FUND EUROPEAN 12 359.33 MULTI-ASSET INCOME - X - CAP EUR 1 393 761 7.29 BNPP EASY JPM GBI EMU TRACK - X 0.49 - CAP EUR 66 985 0.35 BNPP EASY MSCI EMERGING 13.12 MARKETS EX CONTROVERSIAL USD 1 007 770 5.27 WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 13.95 CONTROVERSIAL WEAPONS TRACK EUR 2 113 976 11.05 - X - CAP BNPP EASY MSCI JAPAN EX 3.91 CONTROVERSIAL WEAPONS TRACK EUR 527 395 2.76 - X - CAP BNPP EASY MSCI NORTH AMERICA 11.82 EX CONTROVERSIAL WEAPONS EUR 2 499 124 13.06 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 5 247.78 V350 - X - CAP EUR 554 480 2.90 PARVEST BOND EURO 441.00 GOVERNMENT - X - CAP EUR 201 151 1.05 PARVEST BOND EURO HIGH YIELD - 2 086.64 X - CAP EUR 288 478 1.51 PARVEST BOND WORLD EMERGING 3 879.13 LOCAL - X - CAP EUR 289 112 1.51 PARVEST EQUITY BEST SELECTION 22 536.24 EUROPE - X - CAP EUR 3 532 780 18.46 PARVEST EQUITY USA SMALL CAP - 3 656.86 X - CAP EUR 720 437 3.77 PARVEST EQUITY WORLD 22 324.13 EMERGING - X - CAP EUR 1 788 833 9.35 PARVEST MULTI- ASSET INCOME 1 961.59 EMERGING - X - CAP USD 193 881 1.01 PARVEST REAL ESTATE SECURITIES 2 704.31 WORLD - X - CAP EUR 369 544 1.93 PARWORLD QUANT EQUITY EUROPE 20 893.08 GURU - X - CAP EUR 2 630 439 13.75 PARWORLD TRACK EMU 1 457.09 GOVERNMENT BOND 1-10 YEARS - EUR 156 040 0.82 PRIV - DIS THEAM QUANT EQUITY US GURU - 1 288.33 X USD USD 139 429 0.73 France 368 496 1.92 1 193.00 AMUNDI ETF US TREASURY 7-10 USD 277 814 1.45 640.00 LOW CARBON 100 EUROPE THEAM EUR 90 682 0.47 Ireland 242 168 1.27 2 507.00 VANGUARD US GOV BND IDX-INS EUR 242 168 1.27 Total securities portfolio 19 084 279 99.76 Page 104
BNP Paribas L1 Safe Dynamic W10 Expressed in EUR Shares/Units in investment funds 18 716 827 99.17 Luxembourg 17 713 381 93.85 BNP PARIBAS A FUND EUROPEAN 12 043.56 MULTI-ASSET INCOME - X - CAP EUR 1 358 153 7.20 BNP PARIBAS INSTICASH MONEY 3M 99.06 EUR - I - CAP EUR 10 065 0.05 BNPP EASY MSCI EMERGING 4.60 MARKETS EX CONTROVERSIAL USD 353 257 1.87 WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 11.78 CONTROVERSIAL WEAPONS TRACK EUR 1 784 146 9.45 - X - CAP BNPP EASY MSCI JAPAN EX 4.08 CONTROVERSIAL WEAPONS TRACK EUR 550 595 2.92 - X - CAP BNPP EASY MSCI NORTH AMERICA 10.56 EX CONTROVERSIAL WEAPONS EUR 2 232 509 11.83 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 5 316.03 V350 - X - CAP EUR 561 691 2.98 PARVEST BOND EURO 848.32 GOVERNMENT - X - CAP EUR 386 944 2.05 PARVEST BOND EURO HIGH YIELD - 2 100.19 X - CAP EUR 290 352 1.54 PARVEST BOND WORLD EMERGING 3 854.86 LOCAL - X - CAP EUR 287 303 1.52 PARVEST EQUITY BEST SELECTION 22 063.16 EUROPE - X - CAP EUR 3 458 620 18.32 PARVEST EQUITY USA SMALL CAP - 3 621.80 X - CAP EUR 713 531 3.78 PARVEST EQUITY WORLD 30 298.81 EMERGING - X - CAP EUR 2 427 844 12.86 PARVEST MULTI- ASSET INCOME 1 960.63 EMERGING - X - CAP USD 193 786 1.03 PARVEST REAL ESTATE SECURITIES 2 703.27 WORLD - X - CAP EUR 369 402 1.96 PARWORLD QUANT EQUITY EUROPE 20 662.02 GURU - X - CAP EUR 2 601 348 13.78 THEAM QUANT EQUITY US GURU - 1 236.64 X USD USD 133 835 0.71 France 768 137 4.07 1 242.00 AMUNDI ETF US TREASURY 7-10 USD 289 225 1.53 3 380.00 LOW CARBON 100 EUROPE THEAM EUR 478 912 2.54 Ireland 235 309 1.25 2 436.00 VANGUARD US GOV BND IDX-INS EUR 235 309 1.25 Total securities portfolio 18 716 827 99.17 Page 105
BNP Paribas L1 Safe Neutral W1 Expressed in EUR Shares/Units in investment funds 69 186 046 105.80 Luxembourg 51 418 421 78.63 AXA IM FIIS - US CORPORATE 14 967.38 BONDS - A H EUR 2 031 971 3.11 BNP PARIBAS A FUND EUROPEAN 19 532.27 MULTI-ASSET INCOME - X - CAP EUR 2 202 654 3.37 BNP PARIBAS INSTICASH MONEY 3M 107 314.58 EUR - I - CAP EUR 10 903 129 16.66 BNPP EASY JPM GBI EMU TRACK - X 3.67 - CAP EUR 500 822 0.77 BNPP EASY MSCI EMERGING 6.48 MARKETS EX CONTROVERSIAL USD 497 740 0.76 WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 21.96 CONTROVERSIAL WEAPONS TRACK EUR 3 326 335 5.09 - X - CAP BNPP EASY MSCI JAPAN EX 6.41 CONTROVERSIAL WEAPONS TRACK EUR 864 064 1.32 - X - CAP BNPP EASY MSCI NORTH AMERICA 18.55 EX CONTROVERSIAL WEAPONS EUR 3 922 272 6.00 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 18 646.50 V350 - X - CAP EUR 1 970 189 3.01 PARVEST BOND EURO 2 803.41 GOVERNMENT - X - CAP EUR 1 278 720 1.96 PARVEST BOND EURO HIGH YIELD - 6 624.75 X - CAP EUR 915 871 1.40 PARVEST BOND EURO SHORT TERM 48 168.00 CORPORATE - X - CAP EUR 5 034 520 7.70 PARVEST BOND WORLD EMERGING 15 217.96 LOCAL - X - CAP EUR 1 134 195 1.73 PARVEST EQUITY BEST SELECTION 37 234.95 EUROPE - X - CAP EUR 5 836 951 8.92 PARVEST EQUITY USA SMALL CAP - 8 586.96 X - CAP EUR 1 691 717 2.59 PARVEST EQUITY WORLD 36 057.35 EMERGING - X - CAP USD 2 889 374 4.42 PARVEST EQUITY WORLD 11 153.58 EMERGING - X - CAP EUR 893 736 1.37 PARVEST MULTI- ASSET INCOME 4 606.91 EMERGING - X - CAP USD 455 341 0.70 PARVEST REAL ESTATE SECURITIES 6 058.81 WORLD - X - CAP EUR 827 936 1.27 PARWORLD QUANT EQUITY EUROPE 29 679.83 GURU - X - CAP EUR 3 736 691 5.71 PARWORLD TRACK EMU 3 893.16 GOVERNMENT BOND 1-10 YEARS - EUR 416 918 0.64 PRIV - DIS THEAM QUANT EQUITY US GURU - 806.42 X USD USD 87 275 0.13 France 16 776 834 25.65 4 960.00 AMUNDI ETF US TREASURY 7-10 USD 1 155 037 1.77 BNP PARIBAS AM KLE EONIA PRIME 73.44 FCP - DIS EUR 744 069 1.14 380.00 BNP PARIBAS MOIS ISR - I - CAP EUR 8 801 086 13.45 227.87 BNP PARIBAS MONEY 3M - IC EUR 5 310 949 8.12 5 404.00 LOW CARBON 100 EUROPE THEAM EUR 765 693 1.17 Ireland 990 791 1.52 10 257.00 VANGUARD US GOV BND IDX-INS EUR 990 791 1.52 Total securities portfolio 69 186 046 105.80 Page 106
BNP Paribas L1 Safe Neutral W4 Expressed in EUR Shares/Units in investment funds 46 538 448 98.96 Luxembourg 43 421 449 92.34 AXA IM FIIS - US CORPORATE 17 967.01 BONDS - A H EUR 2 439 201 5.19 BNP PARIBAS A FUND EUROPEAN 20 378.33 MULTI-ASSET INCOME - X - CAP EUR 2 298 064 4.89 BNP PARIBAS INSTICASH MONEY 3M 39.76 EUR - I - CAP EUR 4 039 0.01 BNPP EASY JPM GBI EMU TRACK - X 3.93 - CAP EUR 536 157 1.14 BNPP EASY MSCI EMERGING 16.98 MARKETS EX CONTROVERSIAL USD 1 304 110 2.77 WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 26.63 CONTROVERSIAL WEAPONS TRACK EUR 4 034 327 8.58 - X - CAP BNPP EASY MSCI JAPAN EX 7.68 CONTROVERSIAL WEAPONS TRACK EUR 1 036 310 2.20 - X - CAP BNPP EASY MSCI NORTH AMERICA 19.31 EX CONTROVERSIAL WEAPONS EUR 4 083 594 8.68 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 19 450.38 V350 - X - CAP EUR 2 055 127 4.37 PARVEST BOND EURO 2 862.04 GOVERNMENT - X - CAP EUR 1 305 462 2.78 PARVEST BOND EURO HIGH YIELD - 6 909.86 X - CAP EUR 955 287 2.03 PARVEST BOND EURO SHORT TERM 50 237.37 CORPORATE - X - CAP EUR 5 250 809 11.17 PARVEST BOND WORLD EMERGING 15 853.63 LOCAL - X - CAP EUR 1 181 571 2.51 PARVEST EQUITY BEST SELECTION 40 235.24 EUROPE - X - CAP EUR 6 307 276 13.42 PARVEST EQUITY USA SMALL CAP - 8 936.21 X - CAP EUR 1 760 524 3.74 PARVEST EQUITY WORLD 34 466.41 EMERGING - X - CAP USD 2 761 887 5.87 PARVEST EQUITY WORLD 5 132.49 EMERGING - X - CAP EUR 411 266 0.87 PARVEST MULTI- ASSET INCOME 4 839.10 EMERGING - X - CAP USD 478 290 1.02 PARVEST REAL ESTATE SECURITIES 6 319.45 WORLD - X - CAP EUR 863 553 1.84 PARWORLD QUANT EQUITY EUROPE 30 135.69 GURU - X - CAP EUR 3 794 084 8.07 PARWORLD TRACK EMU 4 191.55 GOVERNMENT BOND 1-10 YEARS - EUR 448 873 0.95 PRIV - DIS THEAM QUANT EQUITY US GURU - 1 031.54 X USD USD 111 638 0.24 France 1 925 383 4.09 5 143.00 AMUNDI ETF US TREASURY 7-10 USD 1 197 652 2.55 2.11 BNP PARIBAS MONEY 3M - IC EUR 49 178 0.10 4 789.00 LOW CARBON 100 EUROPE THEAM EUR 678 553 1.44 Ireland 1 191 616 2.53 12 336.00 VANGUARD US GOV BND IDX-INS EUR 1 191 616 2.53 Total securities portfolio 46 538 448 98.96 Page 107
BNP Paribas L1 Safe Neutral W7 Expressed in EUR Shares/Units in investment funds 61 888 098 98.91 Luxembourg 57 496 206 91.89 AXA IM FIIS - US CORPORATE 23 904.10 BONDS - A H EUR 3 245 221 5.19 BNP PARIBAS A FUND EUROPEAN 27 113.55 MULTI-ASSET INCOME - X - CAP EUR 3 057 595 4.89 BNP PARIBAS INSTICASH MONEY 3M 1 505.51 EUR - I - CAP EUR 152 959 0.24 BNPP EASY JPM GBI EMU TRACK - X 4.43 - CAP EUR 604 097 0.97 BNPP EASY MSCI EMERGING 22.73 MARKETS EX CONTROVERSIAL USD 1 746 084 2.79 WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 34.55 CONTROVERSIAL WEAPONS TRACK EUR 5 233 958 8.37 - X - CAP BNPP EASY MSCI JAPAN EX 10.23 CONTROVERSIAL WEAPONS TRACK EUR 1 380 129 2.21 - X - CAP BNPP EASY MSCI NORTH AMERICA 25.70 EX CONTROVERSIAL WEAPONS EUR 5 433 375 8.68 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 25 878.90 V350 - X - CAP EUR 2 734 364 4.37 PARVEST BOND EURO 3 918.80 GOVERNMENT - X - CAP EUR 1 787 482 2.86 PARVEST BOND EURO HIGH YIELD - 9 193.62 X - CAP EUR 1 271 018 2.03 PARVEST BOND EURO SHORT TERM 66 841.25 CORPORATE - X - CAP EUR 6 986 248 11.16 PARVEST BOND WORLD EMERGING 21 093.39 LOCAL - X - CAP EUR 1 572 090 2.51 PARVEST EQUITY BEST SELECTION 46 947.30 EUROPE - X - CAP EUR 7 359 458 11.75 PARVEST EQUITY USA SMALL CAP - 11 889.72 X - CAP EUR 2 342 394 3.74 PARVEST EQUITY WORLD 45 778.83 EMERGING - X - CAP USD 3 668 382 5.86 PARVEST EQUITY WORLD 6 771.17 EMERGING - X - CAP EUR 542 574 0.87 PARVEST MULTI- ASSET INCOME 6 438.44 EMERGING - X - CAP USD 636 366 1.02 PARVEST REAL ESTATE SECURITIES 8 408.08 WORLD - X - CAP EUR 1 148 964 1.84 PARWORLD QUANT EQUITY EUROPE 45 976.89 GURU - X - CAP EUR 5 788 490 9.25 PARWORLD TRACK EMU 6 124.69 GOVERNMENT BOND 1-10 YEARS - EUR 655 893 1.05 PRIV - DIS THEAM QUANT EQUITY US GURU - 1 377.36 X USD USD 149 065 0.24 France 2 766 364 4.42 6 766.00 AMUNDI ETF US TREASURY 7-10 USD 1 575 601 2.52 8 404.00 LOW CARBON 100 EUROPE THEAM EUR 1 190 763 1.90 Ireland 1 625 528 2.60 16 828.00 VANGUARD US GOV BND IDX-INS EUR 1 625 528 2.60 Total securities portfolio 61 888 098 98.91 Page 108
BNP Paribas L1 Safe Neutral W10 Expressed in EUR Shares/Units in investment funds 59 873 271 97.83 Luxembourg 51 035 050 83.39 AXA IM FIIS - US CORPORATE 19 915.53 BONDS - A H EUR 2 703 732 4.42 BNP PARIBAS A FUND EUROPEAN 22 393.28 MULTI-ASSET INCOME - X - CAP EUR 2 525 290 4.13 BNP PARIBAS INSTICASH MONEY 3M 31 006.65 EUR - I - CAP EUR 3 150 266 5.15 BNPP EASY JPM GBI EMU TRACK - X 3.01 - CAP EUR 410 371 0.67 BNPP EASY MSCI EMERGING 7.25 MARKETS EX CONTROVERSIAL USD 557 116 0.91 WEAPONS TRACK - X - CAP BNPP EASY MSCI EUROPE EX 29.36 CONTROVERSIAL WEAPONS TRACK EUR 4 448 698 7.27 - X - CAP BNPP EASY MSCI JAPAN EX 8.52 CONTROVERSIAL WEAPONS TRACK EUR 1 149 073 1.88 - X - CAP BNPP EASY MSCI NORTH AMERICA 21.22 EX CONTROVERSIAL WEAPONS EUR 4 486 160 7.33 TRACK - X - CAP PARVEST BOND ABSOLUTE RETURN 21 373.56 V350 - X - CAP EUR 2 258 331 3.69 PARVEST BOND EURO 3 757.34 GOVERNMENT - X - CAP EUR 1 713 837 2.80 PARVEST BOND EURO HIGH YIELD - 7 593.08 X - CAP EUR 1 049 743 1.72 PARVEST BOND EURO SHORT TERM 55 204.66 CORPORATE - X - CAP EUR 5 769 991 9.43 PARVEST BOND WORLD EMERGING 17 421.18 LOCAL - X - CAP EUR 1 298 401 2.12 PARVEST EQUITY BEST SELECTION 39 898.42 EUROPE - X - CAP EUR 6 254 475 10.21 PARVEST EQUITY USA SMALL CAP - 9 819.30 X - CAP EUR 1 934 500 3.16 PARVEST EQUITY WORLD 48 176.33 EMERGING - X - CAP USD 3 860 501 6.31 PARVEST EQUITY WORLD 6 284.06 EMERGING - X - CAP EUR 503 542 0.82 PARVEST MULTI- ASSET INCOME 5 319.71 EMERGING - X - CAP USD 525 792 0.86 PARVEST REAL ESTATE SECURITIES 6 944.29 WORLD - X - CAP EUR 948 938 1.55 PARWORLD QUANT EQUITY EUROPE 39 478.04 GURU - X - CAP EUR 4 970 285 8.12 PARWORLD TRACK EMU 3 668.80 GOVERNMENT BOND 1-10 YEARS - EUR 392 892 0.64 PRIV - DIS THEAM QUANT EQUITY US GURU - 1 137.59 X USD USD 123 116 0.20 France 7 523 734 12.29 5 634.00 AMUNDI ETF US TREASURY 7-10 USD 1 311 992 2.14 130.28 BNP PARIBAS MOIS ISR - I - CAP EUR 3 017 383 4.93 107.45 BNP PARIBAS MONEY 3M - IC EUR 2 504 329 4.09 4 870.00 LOW CARBON 100 EUROPE THEAM EUR 690 030 1.13 Ireland 1 314 487 2.15 13 608.00 VANGUARD US GOV BND IDX-INS EUR 1 314 487 2.15 Total securities portfolio 59 873 271 97.83 Page 109
BNP Paribas L1 SMaRT Food Expressed in EUR Shares/Units in investment funds 92 617 925 100.04 Luxembourg 92 617 925 100.04 891 585.73 PARVEST SMART FOOD - X - CAP EUR 92 617 925 100.04 Total securities portfolio 92 617 925 100.04 Page 110
BNP Paribas L1 Sustainable Active Allocation Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market 321 601 639 49.56 Bonds 314 229 236 48.42 France 89 621 124 13.79 600 000 AIR LIQUIDE FIN 0.125% 16-13/06/2020 EUR 601 914 0.09 AXA BANK EUROPE 0.375% 16-1 250 000 23/03/2023 EUR 1 261 450 0.19 AXA BANK EUROPE 1.875% 12-20/09/2019 EUR 316 860 0.05 AXA BANK EUROPE 2.250% 12-19/04/2017 EUR 100 741 0.02 BANQUE FED CREDIT MUTUEL 1 800 000 2.375% 16-24/03/2026 EUR 1 821 708 0.28 BNP PARIBAS 2.875% 12-27/11/2017 EUR 205 516 0.03 1 900 000 BPCE 0.375% 16-05/10/2023 EUR 1 858 371 0.29 1 BPCE 0.625% 16-20/04/2020 EUR 1 117 094 0.17 400 000 BPCE 2.875% 16-22/04/2026 EUR 410 780 0.06 1 BPCE SFH 0.375% 16-10/02/2023 EUR 1 211 796 0.19 BPCE SFH 1.500% 12-28/02/2018 EUR 102 053 0.02 BPCE SFH 2.750% 12-16/02/2017 EUR 200 726 0.03 1 500 000 BPIFRANCE 0.100% 16-19/02/2021 EUR 1 518 990 0.23 CAISSE REFIN HYPOT 4.000% 06-25/04/2018 EUR 211 252 0.03 CIE FINANCEMENT FONCIER 0.125% 1 700 000 15-18/06/2018 EUR 1 708 891 0.26 CIE FINANCEMENT FONCIER 0.250% 1 800 000 16-16/03/2022 EUR 1 812 294 0.28 CIE FINANCEMENT FONCIER 4.375% 400 000 07-25/04/2019 EUR 442 252 0.07 1 000 000 COFIROUTE 0.375% 16-07/02/2025 EUR 957 870 0.15 CREDIT AGRICOLE HOME 0.375% 15-2 500 000 21/10/2021 EUR 2 546 275 0.39 CREDIT MUTUEL ARKEA 3.250% 16-400 000 01/06/2026 EUR 417 096 0.06 DEXIA CREDIT LOCAL 0.040% 16-1 150 000 11/12/2019 EUR 1 153 611 0.18 ELEC DE FRANCE 2.250% 13-27/04/2021 EUR 325 122 0.05 1 ENGIE 1.375% 14-19/05/2020 EUR 1 359 371 0.21 2 000 000 FRANCE O.A.T. 0.000% 15-25/05/2020 EUR 2 034 860 0.31 2 800 000 FRANCE O.A.T. 0.000% 16-25/05/2022 EUR 2 819 656 0.43 3 622 716 FRANCE O.A.T. 0.100% 16-01/03/2021 EUR 3 852 758 0.59 4 980 452 FRANCE O.A.T. 0.250% 15-25/11/2020 EUR 5 112 185 0.79 1 FRANCE O.A.T. 0.500% 15-25/05/2025 EUR 1 311 934 0.20 4 700 000 FRANCE O.A.T. 0.500% 16-25/05/2026 EUR 4 652 859 0.72 3 000 000 FRANCE O.A.T. 1.000% 14-25/05/2019 EUR 3 122 130 0.48 3 FRANCE O.A.T. 1.000% 15-25/11/2025 EUR 3 230 200 0.50 2 500 000 FRANCE O.A.T. 1.250% 16-25/05/2036 EUR 2 468 075 0.38 2 FRANCE O.A.T. 1.500% 15-25/05/2031 EUR 2 225 664 0.34 3 000 000 FRANCE O.A.T. 1.750% 14-25/11/2024 EUR 3 348 000 0.52 FRANCE O.A.T. 1.750% 16-25/05/2066 EUR 291 723 0.04 1 400 000 FRANCE O.A.T. 2.250% 13-25/05/2024 EUR 1 614 620 0.25 700 000 FRANCE O.A.T. 2.500% 10-25/10/2020 EUR 779 737 0.12 900 000 FRANCE O.A.T. 2.500% 14-25/05/2030 EUR 1 073 808 0.17 1 579 125 FRANCE O.A.T. 2.750% 12-25/10/2027 EUR 1 905 356 0.29 3 FRANCE O.A.T. 3.250% 11-25/10/2021 EUR 3 864 399 0.59 2 FRANCE O.A.T. 3.250% 13-25/05/2045 EUR 3 018 554 0.46 3 FRANCE O.A.T. 3.750% 05-25/04/2021 EUR 3 654 311 0.56 250 000 FRANCE O.A.T. 4.000% 05-25/04/2055 EUR 413 235 0.06 1 700 000 FRANCE O.A.T. 4.250% 07-25/10/2023 EUR 2 184 500 0.34 FRANCE O.A.T. 4.500% 09-25/04/2041 EUR 323 060 0.05 LA BANQUE POSTALE 0.500% 16-1 500 000 18/01/2023 EUR 1 528 020 0.24 250 000 R.A.T.P. 4.500% 08-28/05/2018 EUR 267 653 0.04 RESEAU FERRE FRANCE 4.500% 09-30/01/2024 EUR 129 009 0.02 RESEAU FERRE FRANCE 5.000% 03-69 000 10/10/2033 EUR 106 492 0.02 RESEAU FERRE FRANCE I/L 2.450% 1 856 640 03-28/02/2023 EUR 2 225 684 0.34 RTE RESEAU DE TR 1.625% 15-1 27/11/2025 EUR 1 375 010 0.21 600 000 SANOFI 0.000% 16-05/04/2019 EUR 601 140 0.09 SCHLUMBERGER FIN 0.625% 16-240 000 12/02/2019 EUR 243 526 0.04 1 500 000 SFIL 0.125% 16-18/10/2024 EUR 1 462 380 0.23 1 SNCF RESEAU 0.050% 15-23/10/2018 EUR 1 211 328 0.19 1 500 000 SNCF RESEAU 0.100% 16-27/05/2021 EUR 1 510 485 0.23 1 000 000 SNCF RESEAU 1.000% 16-09/11/2031 EUR 956 990 0.15 3 000 000 UNEDIC 0.040% 15-25/05/2019 EUR 3 039 750 0.47 Spain 59 997 133 9.24 BANCO BILBAO VIZCAYA 3.500% 12-2 05/12/2017 EUR 2 170 791 0.33 BANCO BILBAO VIZCAYA 3.625% 10-18/01/2017 EUR 300 480 0.05 BANCO SANTANDER 3.625% 10-400 000 06/04/2017 EUR 403 876 0.06 950 000 BANKINTER SA 4.125% 12-22/03/2017 EUR 958 721 0.15 500 000 BASQUE GOVT 1.750% 16-16/03/2026 EUR 509 380 0.08 800 000 CAIXABANK 3.000% 13-22/03/2018 EUR 828 976 0.13 CAIXABANK 4.000% 12-16/02/2017 EUR 100 486 0.02 CAJA RURAL NAV 0.625% 16-1 500 000 01/12/2023 EUR 1 489 530 0.23 COMUNIDAD MADRID 2.875% 14-3 000 000 17/07/2023 EUR 3 341 970 0.51 3 600 000 FADE 0.850% 15-17/09/2019 EUR 3 679 200 0.57 INSTIT CRDT OFCL 0.100% 16-1 257 000 12/09/2018 EUR 1 263 549 0.19 SANTANDER ISSUAN 2.500% 15-700 000 18/03/2025 EUR 687 582 0.11 904 113 SPAIN I/L BOND 1.000% 15-30/11/2030 EUR 951 534 0.15 1 500 000 SPANISH GOVT 0.250% 16-31/01/2019 EUR 1 513 740 0.23 500 000 SPANISH GOVT 0.500% 14-31/10/2017 EUR 503 350 0.08 4 600 000 SPANISH GOVT 0.750% 16-30/07/2021 EUR 4 699 958 0.72 585 000 SPANISH GOVT 1.300% 16-31/10/2026 EUR 580 215 0.09 2 SPANISH GOVT 1.950% 15-30/07/2030 EUR 2 240 722 0.34 725 000 SPANISH GOVT 1.950% 16-30/04/2026 EUR 763 686 0.12 2 900 000 SPANISH GOVT 2.150% 15-31/10/2025 EUR 3 112 628 0.48 2 500 000 SPANISH GOVT 2.750% 14-31/10/2024 EUR 2 811 075 0.43 75 000 SPANISH GOVT 2.900% 16-31/10/2046 EUR 79 266 0.01 127 000 SPANISH GOVT 3.450% 16-30/07/2066 EUR 138 427 0.02 5 000 000 SPANISH GOVT 3.800% 14-30/04/2024 EUR 5 991 850 0.92 4 600 000 SPANISH GOVT 4.000% 10-30/04/2020 EUR 5 202 600 0.80 1 SPANISH GOVT 4.200% 05-31/01/2037 EUR 1 719 978 0.26 2 500 000 SPANISH GOVT 4.500% 12-31/01/2018 EUR 2 629 800 0.40 2 900 000 SPANISH GOVT 4.800% 08-31/01/2024 EUR 3 675 779 0.57 1 SPANISH GOVT 5.150% 13-31/10/2044 EUR 1 810 740 0.28 1 000 000 SPANISH GOVT 5.400% 13-31/01/2023 EUR 1 283 100 0.20 2 900 000 SPANISH GOVT 5.500% 11-30/04/2021 EUR 3 558 677 0.55 TELEFONICA EMIS 0.318% 16-900 000 17/10/2020 EUR 895 014 0.14 TELEFONICA EMIS 4.750% 11-07/02/2017 EUR 100 453 0.02 Germany 45 989 520 7.07 BREMEN FREIE HAN 0.375% 16-1 500 000 22/02/2024 EUR 1 519 830 0.23 BUNDESREPUBLIK DEUTSCHLAND 4 0.000% 16-15/08/2026 EUR 4 119 276 0.63 BUNDESREPUBLIK DEUTSCHLAND 2 0.500% 15-15/02/2025 EUR 2 299 902 0.35 BUNDESREPUBLIK DEUTSCHLAND 1 000 000 0.500% 16-15/02/2026 EUR 1 035 800 0.16 BUNDESREPUBLIK DEUTSCHLAND 2 018 957 1.000% 15-15/08/2025 EUR 2 190 447 0.34 BUNDESREPUBLIK DEUTSCHLAND 6 000 000 1.500% 13-15/02/2023 EUR 6 684 180 1.02 BUNDESREPUBLIK DEUTSCHLAND 4 700 000 1.500% 13-15/05/2023 EUR 5 247 691 0.81 BUNDESREPUBLIK DEUTSCHLAND 700 000 2.500% 10-04/01/2021 EUR 790 216 0.12 BUNDESREPUBLIK DEUTSCHLAND 2 2.500% 12-04/07/2044 EUR 2 911 713 0.45 Page 111
BNP Paribas L1 Sustainable Active Allocation Expressed in EUR BUNDESREPUBLIK DEUTSCHLAND 2.500% 14-15/08/2046 EUR 140 182 0.02 BUNDESREPUBLIK DEUTSCHLAND 1 4.000% 05-04/01/2037 EUR 1 774 465 0.27 BUNDESREPUBLIK DEUTSCHLAND 1 011 000 4.250% 07-04/07/2039 EUR 1 734 391 0.27 BUNDESREPUBLIK DEUTSCHLAND 1 000 000 5.500% 00-04/01/2031 EUR 1 684 420 0.26 BUNDESREPUBLIK DEUTSCHLAND 400 000 6.250% 00-04/01/2030 EUR 697 464 0.11 BUNDESREPUBLIK DEUTSCHLAND- 1 900 000 174 0.000% 16-08/10/2021 EUR 1 949 780 0.30 2 296 000 KFW 0.000% 16-15/09/2023 EUR 2 291 018 0.35 500 000 KFW 0.375% 15-23/04/2030 EUR 473 015 0.07 2 600 000 KFW 0.375% 16-09/03/2026 EUR 2 604 342 0.40 2 KFW 0.625% 15-04/07/2022 EUR 2 190 006 0.34 LAND HESSEN 3.500% 10-10/03/2020 EUR 112 115 0.02 LB BADEN-WUERT 1.375% 12-431 000 01/06/2018 EUR 441 167 0.07 NORDRHEIN-WEST 1.625% 14-1 000 000 24/10/2030 EUR 1 087 020 0.17 RHEINLAND-PFALZ 0.125% 16-2 000 000 01/03/2023 EUR 2 011 080 0.31 The Netherlands 31 217 445 4.84 ABN AMRO BANK NV 0.625% 16-427 000 31/05/2022 EUR 432 914 0.07 ABN AMRO BANK NV 2.875% 15-1 232 000 30/06/2025 EUR 1 296 249 0.20 ALLIANZ FINANCE 4.750% 09-50 000 22/07/2019 EUR 56 222 0.01 BANK NEDERLANDSE GEMEENTEN 1 146 000 0.125% 15-03/11/2020 EUR 1 161 001 0.18 BANK NEDERLANDSE GEMEENTEN 1 000 000 0.375% 14-14/10/2019 EUR 1 019 780 0.16 BANK NEDERLANDSE GEMEENTEN 1 000 000 1.000% 14-19/03/2019 EUR 1 030 240 0.16 BMW FINANCE NV 1.500% 12-500 000 05/06/2018 EUR 510 855 0.08 COOPERATIEVE RAB 0.125% 16-1 000 000 11/10/2021 EUR 998 710 0.15 COOPERATIEVE RAB 1.250% 16-1 820 000 23/03/2026 EUR 1 861 023 0.29 DEUTSCHE BAHN FIN 2.500% 13-1 12/09/2023 EUR 1 494 103 0.23 DEUTSCHE BAHN FIN 3.000% 12-08/03/2024 EUR 358 836 0.06 ENEL FINANCE INTL NV 1.966% 15-1 357 000 27/01/2025 EUR 1 444 133 0.22 IBERDROLA INTL 0.375% 16-1 000 000 15/09/2025 EUR 944 170 0.15 IBERDROLA INTL 3.500% 13-800 000 01/02/2021 EUR 903 512 0.14 NED WATERSCHAPBK 0.625% 14-960 000 03/07/2019 EUR 982 646 0.15 NEDER FINANCIER 0.125% 15-1 950 000 20/04/2022 EUR 1 962 714 0.30 NETHERLANDS GOVERNMENT 1 400 000 0.250% 14-15/01/2020 EUR 1 441 398 0.22 NETHERLANDS GOVERNMENT 700 000 0.250% 15-15/07/2025 EUR 703 339 0.11 NETHERLANDS GOVERNMENT 1 000 000 0.500% 16-15/07/2026 EUR 1 014 380 0.16 NETHERLANDS GOVERNMENT 900 000 2.000% 14-15/07/2024 EUR 1 034 154 0.16 NETHERLANDS GOVERNMENT 600 000 2.250% 12-15/07/2022 EUR 686 952 0.11 NETHERLANDS GOVERNMENT 500 000 2.500% 12-15/01/2033 EUR 638 715 0.10 NETHERLANDS GOVERNMENT 1 350 000 3.250% 11-15/07/2021 EUR 1 585 130 0.24 NETHERLANDS GOVERNMENT 4 3.750% 06-15/01/2023 EUR 5 235 384 0.81 NETHERLANDS GOVERNMENT 1 500 000 5.500% 98-15/01/2028 EUR 2 320 770 0.36 RABOBANK 4.250% 07-16/01/2017 EUR 100 115 0.02 Italy 21 751 614 3.37 700 000 EDISON SPA 3.875% 10-10/11/2017 EUR 721 763 0.11 FERROV DEL STATO 3.500% 13-2 500 000 13/12/2021 FERROV DEL STATO 4.000% 13-1 22/07/2020 INTESA SANPAOLO 2.000% 14-2 18/06/2021 EUR 2 826 550 0.44 EUR 1 456 338 0.22 EUR 2 307 162 0.36 INTESA SANPAOLO 3.750% 12-25/09/2019 EUR 110 191 0.02 INTESA SANPAOLO 4.375% 12-15/10/2019 EUR 220 902 0.03 2 723 000 POSTE ITALIANE 3.250% 13-18/06/2018 EUR 2 844 718 0.44 2 800 000 POSTE VITA 2.875% 14-30/05/2019 EUR 2 907 744 0.45 760 000 SNAM SPA 0.000% 16-25/10/2020 EUR 753 472 0.12 183 000 SNAM SPA 1.375% 15-19/11/2023 EUR 189 383 0.03 2 090 000 TERNA SPA 0.875% 15-02/02/2022 EUR 2 127 725 0.33 2 500 000 TERNA SPA 2.875% 12-16/02/2018 EUR 2 579 450 0.40 TERNA SPA 4.125% 12-17/02/2017 EUR 100 514 0.02 2 TERNA SPA 4.750% 11-15/03/2021 EUR 2 605 702 0.40 Belgium 20 532 982 3.15 BELGIUM GOVERNMENT 0.200% 16-1 900 000 22/10/2023 EUR 1 924 225 0.30 BELGIUM GOVERNMENT 0.800% 15-1 22/06/2025 EUR 1 347 372 0.21 BELGIUM GOVERNMENT 0320 4.250% 600 000 10-28/03/2041 EUR 962 532 0.15 BELGIUM GOVERNMENT 0321 4.250% 5 000 000 11-28/09/2021 EUR 6 115 050 0.93 BELGIUM GOVERNMENT 0327 3.000% 3 500 000 12-28/09/2019 EUR 3 851 050 0.59 BELGIUM GOVERNMENT 1.000% 15-3 000 000 22/06/2031 EUR 3 003 990 0.46 BELGIUM GOVERNMENT 1.600% 16-2 500 000 22/06/2047 EUR 2 510 775 0.39 600 000 KBC BANK NV 0.375% 16-01/09/2022 EUR 608 712 0.09 KBC BANK NV 1.250% 13-28/05/2020 EUR 209 276 0.03 Supranational 19 978 450 3.08 7 205 000 EFSF 0.125% 15-04/11/2019 EUR 7 315 237 1.12 763 000 EFSF 0.400% 16-31/05/2026 EUR 758 834 0.12 2 000 000 EIB 0.000% 16-16/10/2023 EUR 1 989 240 0.31 1 500 000 EIB 0.250% 15-15/10/2020 EUR 1 534 290 0.24 2 500 000 EIB 0.375% 15-15/03/2022 EUR 2 568 525 0.40 845 000 EIB 0.375% 16-14/04/2026 EUR 840 116 0.13 EIB 1.375% 13-15/11/2019 EUR 210 374 0.03 3 500 000 EIB 1.625% 14-15/03/2023 EUR 3 856 405 0.59 470 000 EIB 2.500% 10-16/09/2019 EUR 507 713 0.08 EUROPEAN UNION 0.750% 16-400 000 04/04/2031 EUR 397 716 0.06 Finland 8 069 224 1.24 2 900 000 FINNISH GOVT 0.000% 16-15/09/2023 EUR 2 910 585 0.45 4 000 000 FINNISH GOVT 1.500% 13-15/04/2023 EUR 4 419 120 0.68 NORDEA BANK FINLAND 2.375% 12-729 000 17/07/2017 EUR 739 519 0.11 Austria 7 785 057 1.20 2 000 000 KA FINANZ 0.375% 15-11/08/2020 EUR 2 038 120 0.31 REPUBLIC OF AUSTRIA 0.750% 16-2 20/10/2026 EUR 2 373 945 0.37 REPUBLIC OF AUSTRIA 1.750% 13-2 000 000 20/10/2023 EUR 2 254 940 0.35 REPUBLIC OF AUSTRIA 2.400% 13-900 000 23/05/2034 EUR 1 118 052 0.17 United Kingdom 3 820 156 0.59 ABBEY NATIONAL TREASURY 700 000 0.875% 15-25/11/2020 EUR 713 433 0.11 ABBEY NATIONAL TREASURY 500 000 1.625% 13-26/11/2020 EUR 531 080 0.08 CREDIT AGRICOLE 0.750% 16-500 000 01/12/2022 EUR 504 865 0.08 LLOYDS TSB BANK 3.500% 12-150 000 11/01/2017 EUR 150 108 0.02 1 850 000 UNILEVER NV 1.000% 15-03/06/2023 EUR 1 920 670 0.30 Sweden 1 645 521 0.25 NORDEA HYPOTEK 3.500% 10-160 000 18/01/2017 EUR 160 242 0.02 SKANDINAVISKA ENSKILDA BANK 1 450 000 0.750% 16-24/08/2021 EUR 1 485 279 0.23 Page 112
BNP Paribas L1 Sustainable Active Allocation Expressed in EUR United States of America 1 592 990 0.25 INT BANK RECON&DEV 3.875% 09-20/05/2019 MCDONALDS CORP 0.500% 16-500 000 15/01/2021 WHIRLPOOL CORP 0.625% 15-970 000 12/03/2020 EUR 110 168 0.02 EUR 504 635 0.08 EUR 978 187 0.15 Slovenia 684 754 0.11 REP OF SLOVENIA 1.750% 16-700 000 03/11/2040 EUR 684 754 0.11 Ireland 630 060 0.10 FGA CAPITAL IRE 2.875% 14-26/01/2018 EUR 308 688 0.05 IRISH GOVT 2.000% 15-18/02/2045 EUR 321 372 0.05 Portugal 401 708 0.06 BANCO SAN TOTTA 1.500% 14-400 000 03/04/2017 EUR 401 708 0.06 Norway 302 208 0.05 DNB BOLIGKREDITT 2.375% 12-11/04/2017 EUR 302 208 0.05 Australia 209 290 0.03 WESTPAC BANKING 1.375% 13-17/04/2020 EUR 209 290 0.03 Floating rate bonds 7 372 403 1.14 France 4 399 781 0.68 BNP PARIBAS 14-20/03/2026 FRN EUR 312 360 0.05 1 000 000 DANONE 15-14/01/2020 FRN EUR 1 001 150 0.15 ENGIE 13-29/07/2049 FRN EUR 313 155 0.05 LA BANQUE POSTALE 14-23/04/2026 FRN EUR 206 162 0.03 600 000 ORANGE 14-28/02/2049 FRN EUR 635 856 0.10 1 025 000 RCI BANQUE 15-16/07/2018 FRN EUR 1 029 541 0.16 900 000 SANOFI 14-10/09/2018 FRN EUR 901 557 0.14 United States of America 903 672 0.14 900 000 FEDEX CORP 16-11/04/2019 FRN EUR 903 672 0.14 Belgium 803 784 0.12 800 000 SOLVAY SA 15-01/12/2017 FRN EUR 803 784 0.12 Germany 646 458 0.10 645 000 SAP SE 14-20/11/2018 FRN EUR 646 458 0.10 Spain 312 882 0.05 BBVA SUB CAP UNI 14-11/04/2024 FRN EUR 312 882 0.05 The Netherlands 305 826 0.05 281 000 ING BANK NV 14-25/02/2026 FRN EUR 305 826 0.05 Shares/Units in investment funds 316 880 806 48.72 Luxembourg 159 468 120 24.51 PARVEST GLOBAL ENVIRONMENT - 274 089.49 X - CAP EUR 32 709 839 5.02 PARVEST HUMAN DEVELOPMENT - 265 936.19 X - CAP EUR 25 122 992 3.86 PARVEST SUSTAINABLE BOND 758 132.85 EURO CORPORATE - X - CAP EUR 101 635 289 15.63 France 157 412 686 24.21 103 170.95 BNP PARIBAS AQUA - X - CAP EUR 18 555 296 2.85 BNP PARIBAS DEVELOPPEMENT 322 709.87 HUMAIN - R EUR 36 876 056 5.67 4 403.20 BNP PARIBAS MOIS ISR - I - CAP EUR 101 981 334 15.69 Total securities portfolio 638 482 445 98.28 Page 113
Notes to the financial statements Page 114
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Note 1 - General information a) Events that occurred during the financial year ended 31 December 2016 Since January 2016, the Company has decided the following changes: Merged, launched or liquidated sub-funds: Sub-fund Date Events Bond Euro Corporate 15 January 2016 Feederisation cancelled of the sub-fund Bond Euro Corporate of PARVEST Opportunities World 29 January 2016 Absorbed by the sub-fund Equity World Quality Focus Lifecycle 2020 10 May 2016 Liquidation of the sub-fund Lifecycle 2025 10 May 2016 Liquidation of the sub-fund Lifecycle 2030 10 May 2016 Liquidation of the sub-fund Lifecycle 2035 10 May 2016 Liquidation of the sub-fund Bond USA High Yield 1 July 2016 Absorbed by the sub-fund Bond USA High Yield of PARVEST Bond USD 1 July 2016 Absorbed by the sub-fund Bond USD of PARVEST Diversified Active Click Balanced 1 July 2016 Absorbed by the sub-fund Step 90 Euro of PARVEST Diversified Active Click Stability 1 July 2016 Absorbed by the sub-fund Step 90 Euro of PARVEST Real Estate Securities World 1 July 2016 Absorbed by the sub-fund Real Estate Securities World of PARVEST Equity Europe DEFI 13 July 2016 Launch of the sub-fund Bond World Emerging 1 September 2016 Liquidation of the sub-fund Equity Europe Low Volatility 15 November 2016 Became feeder of the sub-fund Equity Low Vol Europe of BNP Paribas Easy Japan 18 November 2016 Launch of the sub-fund by absorption of the French Common Funds BNP Paribas Japaquant and BNP Paribas Actions Japon Equity Belgium 25 November 2016 Launch of the sub-fund by absorption of the sub-fund Equity Belgium of the Belgian SICAV BNP Paribas B Fund I Equity Europe 25 November 2016 absorption of the sub-fund Equity Europe of the Belgian SICAV BNP Paribas B Fund I Merged, activated, liquidated or split share classes: Sub-fund Date Events Equity World Aqua 28 January 2016 Activation of the share class Privilege GBP - Capitalisation Equity USA Core 15 April 2016 Merger of the Classic - Distribution shares valued in EUR into the Classic EUR - Distribution class Safe Defensive W1/W7/W10 13 July 2016 Liquidation of the share class Classic - Capitalisation Safe Dynamic W1/W4/W10 13 July 2016 Liquidation of the share class Classic - Capitalisation Safe Neutral W4/W7/W10 13 July 2016 Liquidation of the share class Classic - Capitalisation Equity Europe Low Volatility 11 November 2016 Liquidation of the share class X - Capitalisation Equity Europe 24 November 2016 The share class Classic - Capitalisation was split by 18, the share class Classic - Distribution was split by 16 b) Sub-funds open All sub-funds whose securities portfolios are detailed in this document were available for subscription as at 31 December 2016. Page 115
BNP Paribas L1 Notes to the financial statements at 31/12/2016 c) Master-feeder structures The following sub-funds are involved in a master-feeder structure: Master sub-fund Feeder sub-fund Currency BNP PARIBAS AQUA BNP Paribas L1 Equity World Aqua Amount of aggregate charges Aggregate charges in % % of ownership of the Master UCITS EUR 21 005 972 2.14% 27.55% PARVEST Bond Euro High Yield PARVEST Bond World Emerging Local PARVEST Convertible Bond World BNP Paribas Easy Equity Low Vol Europe PARVEST Equity World Emerging PARWORLD Quant Equity World Guru PARVEST Equity Best Selection World PARVEST SMaRT Food BNP Paribas L1 Bond Euro High Yield BNP Paribas L1 Bond World Emerging Local BNP Paribas L1 Convertible Bond World BNP Paribas L1 Equity Europe Low Volatility BNP Paribas L1 Equity World Emerging BNP Paribas L1 Equity World Guru BNP Paribas L1 Equity World Quality Focus BNP Paribas L1 SMaRT Food EUR 12 203 582 1.54% 16.64% USD 4 884 215 1.84% 19.61% EUR 17 385 964 1.60% 16.29% EUR 8 132 113 2.41% 76.08% USD 12 477 962 2.19% 4.08% USD 2 879 586 1.69% 62.14% EUR 6 203 195 1.95% 52.40% EUR 2 968 397 2.22% 35.81% The information regarding the description of the master-feeder structures, the investment objective and policy of the Master UCITS are detailed in the prospectus of Fund. The audited financial statements and the prospectus of the Master UCITS and Feeder UCITS are available on www.bnpparibas-ip.com. The valuation of the Master sub-funds for the BNP Paribas L1 Feeders is dated 30 December 2016. d) Eligibility for the Plan Epargne en Actions (PEA) Owing to their eligibility for French share savings schemes (PEA), the sub-funds of the BNP Paribas L1 SICAV listed below permanently invest at least 75% of their net in shares and rights that are eligible for the PEA and are issued by companies established in France, another Member State of the European Union or in Iceland or Norway and which are subject to corporation tax or an equivalent regime. Equity Euro Equity Europe DEFI Equity Europe Low Volatility Note 2 - Principal accounting methods a) Net asset value This annual report is prepared on the basis of the last unofficial technical net asset value calculated for financial statements purpose as at 31 December 2016. b) Presentation of the financial statements The financial statements of the Company are presented in accordance with the legislation in force in Luxembourg on undertakings for collective investment. The consolidation of the Company is the euro (EUR). Page 116
BNP Paribas L1 Notes to the financial statements at 31/12/2016 The statement of operations and changes in net covers the financial year from 1 January 2016 to 31 December 2016. c) Valuation of the securities portfolio The valuation of all securities listed on a stock exchange or any other regulated market, which functions regularly, is recognised and accessible to the public, is based on the last known closing price on the Valuation Day, and, if the securities concerned are traded on several markets, on the basis of the last known closing price on the major market on which they are traded. If the last known closing price is not a true reflection, the valuation shall be based on the probable sale price estimated by the Board of Directors in a prudent and bona fide manner. The Board of Directors use this possibility for the valuation of the securities listed on East Asia, South Asia, Southeast Asia, and Oceania markets. In these cases, the aforesaid last known closing price is adjusted by using a method monitored by the Management Company to reflect a fair value price of the concerned. Unlisted securities or securities not traded on a stock exchange or another regulated market which functions in a regular manner, is recognised and accessible to the public, shall be valued on the basis of the probable sale price estimated in a prudent and bona fide manner by a qualified professional appointed for this purpose by the Board of Directors. If permitted by market practice, liquid, money market instruments and all other instruments may be valued at their nominal value plus accrued interest or according to the linear amortisation method. Any decision to value the in the portfolio using the linear amortisation method must be approved by the Board of Directors, which will record the reasons for such a decision. The Board of Directors will put in place appropriate checks and controls concerning the valuation of the instruments. Investments in open-ended UCIs are valued on the basis of the last net asset value of the units or shares of such UCIs available on the Valuation Day. d) Net realised result on the securities portfolio The net realised result on investment securities is calculated on the basis of the average cost of the securities sold. e) Conversion of foreign currencies Values expressed in a other than the in which the relevant sub-fund is denominated will be converted on the basis of the exchange rate applicable on the valuation day. f) Valuation of forward foreign exchange contracts Unexpired forward foreign exchange contracts are valued on the basis of the forward exchange rates applicable on the valuation date or the closing date, and the resulting unrealised profits or losses are recorded in the accounts. g) Valuation of futures contracts Unexpired futures contracts are valued at the last price known on the valuation date or closing date and the resulting unrealised profits or losses are accounted for. Margin accounts to guarantee the liabilities on futures contracts are included in the Cash at banks and time deposits account in the statement of net. h) Valuation of options The liquidation value of options traded on stock markets is based on the closing prices published by the stock markets on which the Company traded the contracts in question. The liquidation value of options not traded on stock markets is determined in accordance with the rules defined by the Board of Directors, in accordance with uniform criteria for each category of contract. i) Repurchase agreement Repurchase agreements and reverse repurchase agreements consist of the purchase and sale of securities where the clauses of the agreement require the seller to repurchase from the buyer and the buyer to sell back to the seller the securities sold/bought at a price and for a duration stipulated by the two parties at the time the agreement is entered into. Such repo and reverse repo agreements imply a transfer of ownership. They are valued at the market value. Page 117
BNP Paribas L1 Notes to the financial statements at 31/12/2016 j) Income on investments Dividends are recognised as income on the date on which they are declared and to the extent that the information in question is available to the Company. Interest is recognised on a daily basis. k) Valuation of swaps IRS (Interest Rate Swaps) shall be valued on the basis of the difference between the value of all future interest payable by the Company to its counterparty on the valuation date at the zero coupon swap rate corresponding to the maturity of these payments and the value of all future interest payable by the counterparty to the Company on the valuation date at the zero coupon swap rate corresponding to the maturity of these payments. The internal model for valuing CDS (Credit Default Swaps) uses the yield curve of the CDS, the recovery rate and a discount rate (LIBOR or the market swap rate) to calculate the mark-to-market. This internal model also produces the default probability curve. In order to establish the CDS yield curve, data from a number of counterparties active in the CDS market are used. The fund manager compares the valuation of the counterparties CDS to the values obtained via the internal model. The starting point for the construction of the internal model is the equality, at the time the CDS agreement is signed, of the floating leg and the fixed leg of the CDS. A Total Return Swap (TRS) is a bilateral agreement in which each party agrees to exchange payments based on the performance of an underlying instrument represented by a security, commodity, basket or index thereof for a fixed or variable rate. One party pays out the total return of a specific reference asset, and in return, receives a regular stream of payments. The total performance will include gains and losses on the underlying, as well as any interest or dividends during the contract period according to the type of underlying. The cash flows to be exchanged are calculated by reference to an agreed upon notional amount or quantity. Total return swaps are marked to market at each NAV calculation date. The unrealised appreciation/depreciation is disclosed in the Statement of net under Net Unrealised gain/loss on financial instruments. Realised gains/(losses) and change in unrealised appreciation/depreciation as a result thereof are included in the Statement of operations and changes in net respectively under Net realised result on Financial instruments and Movement on net unrealised gain/loss on Financial instruments. Inflation swaps are bilateral agreements which allow investors looking to hedge an investment to secure an inflationlinked return against an inflation index. The inflation buyer (inflation receiver) pays a predetermined fixed or floating rate (minus a spread). In exchange, the inflation buyer receives from the inflation seller (inflation payer) one or more inflation-linked payments. The principal risk associated with an inflation swap lies in its sensitivity to interest rates and inflation: the inflation payer takes on the risk of inflation or, in other words, of changes likely to affect the inflation curve. The payer also bears a risk relating to interest rates or, in other words, to changes in the nominal yield curve. In order to value inflation swaps, a forward zero coupon swap curve (seasonally adjusted for inflation) is constructed, facilitating the calculation of future inflation cash flows. In compliance with the obligations under CSSF circular 11/512, the Company employs the services of an independent pricing agency for the daily valuation of variance swaps. The valuation method consists in using a portfolio of European options to replicate the losses or profits on the variance swaps as they would occur under standard market conditions. The options replicate forward strike prices within a standard deviation range of plus or minus four points of the forward contract price for any given maturity. This valuation method is similar to the Black & Scholes method in that the price is derived from European options prices. The full details on each variance swap agreement are sent to the pricing agency, which in return provides a daily valuation validated by the OTC Pricing team. l) Position on mortgage-backed securities (to be announced) Mortgage-backed securities are subject to current commercial market practices in relation to securities guaranteed by bonds, according to which a security will buy/sell a basket of mortgage loans for a fixed price at a later date. At the time of the purchase/sale, the exact security is not known but its principal features are. Even if a price is agreed at the time of purchase/sale, the final face value will not yet have been fixed. The To be Announced ( TBA ) Mortgage Back Securities positions are shown in the securities portfolios as at 31 December 2016. At the closing date, the purchase/sale of these securities had not yet been settled. As a result, the amounts relating to payables/receivables on securities are included under Other liabilities / Other in the Statement of net. Page 118
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Note 3 - Management and advisory fees (maximum per annum) The maximum fees are to be split between the fund manager and the distributor, and are payable monthly on the basis of the average net at the following annual rates. The management fees applicable to the Classic category are applicable to all share sub-categories and classes with the word Classic in their denomination. The management fees applicable to the I category are also applicable to all share sub-categories and classes with the word I in their denomination. The management fees applicable to the Life category are also applicable to all share sub-categories and classes with the word Life in their denomination. The management fees applicable to the Privilege category are also applicable to all share sub-categories and classes with the word Privilege in their denomination. No management fee is applied to the X class. Sub-fund Classic I Life N Privilege Bond Euro Corporate 0.75% 0.30% 0.635% 0.75% N/A Bond Euro High Yield 1.20% N/A 1.085% 1.20% N/A Bond Euro Premium 0.75% 0.30% N/A 0.75% 0.40% Bond Europe Plus 0.75% 0.30% N/A 0.75% 0.40% Bond USA High Yield (absorbed on 1 July 2016) 1.20% N/A N/A 1.20% N/A Bond USD (absorbed on 1 July 2016) 0.75% N/A N/A 0.75% N/A Bond World Emerging (liquidated on 1 September 2016) 1.50% 0.60% 1.385% 1.50% N/A Bond World Emerging Local 1.50% N/A 1.385% 1.50% N/A Bond World Plus 0.75% 0.30% 0.635% 0.75% 0.40% Convertible Bond Best Selection Europe 1.20% 0.60% N/A 1.20% 0.65% Convertible Bond World 1.20% N/A 1.085% 1.20% N/A 1.50% until 0.75% until Diversified Active Click Balanced 14 January, 14 January, 1.50% N/A N/A (absorbed on 1 July 2016) N/A since N/A since 15 January 15 January Diversified Active Click Stability (absorbed on 1 July 2016) 1.50% N/A N/A 1.50% 0.75% until 14 January, N/A since 15 January Diversified World Balanced 1.50% 0.50% N/A 1.50% 0.75% Diversified World Growth 1.50% 0.50% N/A 1.50% 0.75% Diversified World Stability 1.50% 0.50% N/A 1.50% 0.75% Equity Belgium (launched on 25 November 2016) 1.25% 0.50% N/A 1.25% 0.60% Equity Euro 1.50% 0.50% 1.385% 1.50% 0.75% Equity Europe 1.50% 0.50% 1.385% 1.50% 0.75% Equity Europe DEFI (launched on 13 July 2016) 1.50% 0.75% N/A 1.50% 0.75% Equity Europe Low Volatility 1.50% 0.60% N/A 1.50% 0.75% Equity Italy 1.50% 0.60% N/A 1.50% 0.75% Equity Netherlands 1.50% 0.60% N/A 1.50% 0.75% Equity USA Core 1.50% 0.50% 1.385% 1.50% 0.75% Equity World Aqua 1.50% 0.60% 1.385% 1.50% 0.75% Equity World Emerging 1.75% N/A 1.635% 1.75% N/A Page 119
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Sub-fund Classic I Life N Privilege Equity World Guru 1.40% 0.65% 1.285% 1.40% 0.70% Equity World Quality Focus 1.50% 0.60% 1.385% 1.50% 0.75% Japan (launched on 18 November 2016) 1.50% 0.75% N/A 1.50% 0.75% Lifecycle 2020 (liquidated on 10 May 2016) 0.85% N/A N/A N/A 0.45% Lifecycle 2025 (liquidated on 10 May 2016) 1.10% (1) N/A N/A N/A 0.55% (2) Lifecycle 2030/2035 (liquidated on 10 May 2016) 1.35% (3) N/A N/A N/A 0.70% (4) Multi-Asset Income 1.25% 0.60% 1.235% 1.25% 0.65% Opportunities World (absorbed on 29 January 2016) 1.50% N/A 1.385% 1.50% N/A Patrimoine 1.10% 0.50% N/A 1.10% 0.55% Real Estate Securities World (absorbed on 1 July 2016) 1.50% N/A 1.385% until 14 January, N/A since 15 January 1.50% N/A Safe Aggressive W1/W4/W7/W10 (5) 1.60% N/A N/A N/A N/A Safe Conservative W1/W4/W7/W10 (5) 0.75% N/A N/A N/A N/A Safe Defensive W1/W4/W7/W10 (5) 1.45% N/A 1.635% N/A N/A Safe Dynamic W1/W7 (5) 1.55% N/A 1.635% 1.55% N/A Safe Dynamic W4/W10 (5) 1.55% N/A 1.635% N/A N/A Safe Neutral W1/W4/W7/W10 (5) 1.50% N/A 1.635% N/A N/A SMaRT Food 1.75% 0.70% 1.635% 1.75% 0.90% Sustainable Active Allocation 1.50% (6) 0.50% 1.385% 1.50% 0.75% 1 reduced to 0.85% when the Target Date is less than 7 years away. 2 reduced to 0.45% when the Target Date is less than 7 years away. 3 reduced to 1.10% when the Target Date is between 7 and 14 years away and to 0.85% when it is less than 7 years away. 4 reduced to 0.55% when the Target Date is between 7 and 14 years away and to 0.45% when it is less than 7 years away. 5 reduced to 0.40% for Classic Class, N Class and Life Class when 100% of the are invested in money market instruments. 6 reduced to 1.45% for the share class Classic Solidarity with 0.05% of Charity fee. A maximum advisory fee of 0.15% is applied to all the share classes of the sub-fund Patrimoine, excepted to the X share class. An indirect fee of maximum 0.50% is applied for the sub-funds: Lifecycle 2020 (liquidated on 10 May 2016)/2025 (liquidated on 10 May 2016)/2030 (liquidated on 10 May 2016)/2035 (liquidated on 10 May 2016), Safe Aggressive W1/W4/W7/W10, Safe Conservative W1/W4/W7/W10, Safe Defensive W1/W4/W7/W10, Safe Dynamic W1/W4/W7/W10, Safe Neutral W1/W4/W7/W10, Sustainable Active Allocation An indirect fee of maximum 1.00% is applied for the sub-funds: Diversified World Balanced, Diversified World Growth, Diversified World Stability An indirect fee of maximum 1.50% is applied for the sub-fund: Patrimoine The maximum management fee applied for the underlying sub-funds is as follow: Security Name Management Fee BNP PARIBAS A FUND EUROPEAN MULTI-ASSET INCOME - X - CAP 0.00% BNP PARIBAS AM KLE EONIA PRIME FCP - DIS 0.04% BNP PARIBAS AQUA - X - CAP 0.05% BNP PARIBAS CASH INVEST- CLASSIC 0.239% BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP 0.15% BNP PARIBAS INSTICASH USD - I - CAP 0.15% BNP PARIBAS MOIS ISR PARTS - I - CAP 0.15% BNP PARIBAS MONEY 3M - IC 0.25% Page 120
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Security Name Management Fee BNPP EASY EQUITY LOW VOL EUROPE UCITS ETF - CAP 0.18% BNPP EASY MSCI EMERGING MARKETS EX CONTROVERSIAL WEAPONS TRACK - X - CAP 0.00% BNPP EASY MSCI EMU EX CONTROVERSIAL WEAPONS TRACK - X - CAP 0.00% BNPP EASY MSCI EUROPE EX CONTROVERSIAL WEAPONS TRACK - X - CAP 0.00% BNPP EASY MSCI JAPAN EX CONTROVERSAL WEAPONS TRACK - X - CAP 0.00% BNPP EASY MSCI NORTH AMERICA EX CONTROVERSAL WEAPONS TRACK - X - CAP 0.00% BNPP EASY MSCI PACIFIC EX JAPAN EX CONTROVERSAL WEAPONS TRACK - X - CAP 0.00% BNPP EASY JPM GBI EMU TRACK - I - CAP 0.02% BNPP EASY JPM GBI EMU TRACK - X - CAP 0.00% LOW CARBON 100 EUROPE THEAM 0.60% PARVEST BOND ABSOLUTE RETURN V350 - X - CAP 0.00% PARVEST BOND EURO - X - CAP 0.00% PARVEST BOND EURO CORPORATE - X - CAP 0.00% PARVEST BOND EURO GOVERNMENT - X - CAP 0.00% PARVEST BOND EURO HIGH YIELD - X - CAP 0.00% PARVEST BOND EURO SHORT TERM - X - CAP 0.00% PARVEST BOND EURO SHORT TERM CORPORATE - X - CAP 0.00% PARVEST BOND USD - X - CAP 0.00% PARVEST BOND WORLD EMERGING LOCAL - X - CAP 0.00% PARVEST BOND WORLD HIGH YIELD SHORT DURATION - X - CAP 0.00% PARVEST CONVERTIBLE BOND WORLD - X - CAP 0.00% PARVEST EQUITY BEST SELECTION EURO - X - CAP 0.00% PARVEST EQUITY BEST SELECTION EUROPE - X - CAP 0.00% PARVEST EQUITY BEST SELECTION WORLD - X - CAP 0.00% PARVEST EQUITY EUROPE SMALL CAP - X - CAP 0.00% PARVEST EQUITY USA SMALL CAP - X - CAP 0.00% PARVEST EQUITY WORLD EMERGING - X - CAP 0.00% PARVEST MULTI-ASSET INCOME EMERGING - X - CAP 0.00% PARVEST REAL ESTATE SECURITIES WORLD - X - CAP 0.00% PARVEST SMART FOOD - X - CAP 0.00% PARWORLD QUANT EQUITY EUROPE GURU - X - CAP 0.00% PARWORLD QUANT EQUITY WORLD GURU - X - CAP 0.00% PARWORLD TRACK EMU GOVERNMENT BOND 1-10 YEARS - PRIV - DIS 0.05% THEAM QUANT EQUITY US GURU - X - USD 0.40% Page 121
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Note 4 - Distribution fees Distribution fees are calculated and deducted monthly from the average net of a sub-fund, share category, or share class, paid to the Management Company and serve to cover remuneration of the distributors, supplemental to the share of the management fee that they receive. Note 5 - Other fees Other fees are calculated and deducted monthly from the average net of a sub-fund, share category, or share class and serve to cover general custody expenses (remuneration of the Depositary) and daily administration expenses (NAV calculation, record and book keeping, notices to the shareholders, providing and printing the documents legally required for the shareholders, domiciliation, auditors cost and fees...), except for brokerage fees, commissions for transactions not related to the deposit, director fees, interest and bank fees, extraordinary expenses, reporting cost in relation with regulation requirements including the European Market Infrastructure Regulation (EMIR), and the taxe d abonnement in force in Luxembourg, as well as any other specific foreign tax and other regulators levy e.g. the tax specific to Belgium. Note 6 - Taxes In the Grand Duchy of Luxembourg, the Company is subject to an annual subscription tax ( taxe d abonnement ) of 0.05% of the value of the net. This rate is reduced to 0.01% for: a) sub-funds with the exclusive objective of collective investment in money market instruments and deposits with credit institutions; b) sub-funds with the exclusive objective of collective investment with credit institutions; c) sub-funds, categories or classes reserved for Institutional Investors, Managers and UCIs. The following are exempt from this taxe d abonnement : a) the value of represented by units or shares in other UCIs, provided that these units, or shares have already been subject to the taxe d abonnement ; b) sub-funds, share categories and/or classes: (i) whose securities are reserved for Institutional Investors, Managers, or UCIs and (ii) whose sole object is the collective investment in money market instruments and the placing of deposits with credit institutions, and (iii) whose weighted residual portfolio maturity does not exceed 90 days, and (iv) that have obtained the highest possible rating from a recognised rating agency; c) sub-funds, categories and/or classes reserved to: (i) institutions for occupational retirement pension or similar investment vehicles, set up at the initiative of one or more employers for the benefit of their employees, and (ii) companies having one or more employers investing funds to provide pension benefits to their employees; d) sub-funds whose main objective is investment in microfinance institutions; e) sub-funds, categories and/or classes: (i) whose securities are listed or traded on at least one stock exchange or another regulated market operating regularly that is recognized and open to the public, and (ii) whose exclusive object is to replicate the performance of one or several indices. When it is due, the taxe d abonnement is payable quarterly on the basis of the relevant net and is calculated at the end of the quarter for which the tax is applicable. In addition, the Company may be subject to foreign UCI s tax, and/or other regulators levy in the country where the subfund is registered for distribution. The value of the represented by units/shares held in other UCIs that have already been subject to the taxe d'abonnement are exempt from the taxe d'abonnement. Page 122
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Note 7 - Dividends For the Classic MD - Distribution share classes of the sub-fund Multi-Asset Income, the following dividends were paid: - Payment dates Month Record Date (1) NAV ex-dividend Date (2) Payment Date (3) January 19 20 1 February 2016 February 16 17 29 February 2016 March 16 17 31 March 2016 April 19 20 2 May 2016 May 18 19 31 May 2016 June 16 17 30 June 2016 July 19 20 1 August 2016 August 18 19 31 August 2016 September 19 20 30 September 2016 October 18 19 31 October 2016 November 17 18 30 November 2016 December 19 20 2 January 2017 (1) If this day is not a bank business day in Luxembourg, the record date will be the next following bank business day. (2) Dates are based on a valuation simulation in 2015. As a consequence, dates may change depending on the composition of the portfolio at this date. If for a particular reason, the day in question the valuation was not possible, the ex-date would be put off to the valuation day possible immediately afterwards. (3) If this day is not a bank business day in Luxembourg, the payment date will be the next following bank business day. If for a particular reason, the settlement is not possible (e.g. bank holiday on a specific or country), settlement will be made the 1st business day after or any other day communicated by the local agent. - Monthly amount: Sub-fund Class Currency Dividend Multi-Asset Income Classic MD - Distribution EUR 0.34 Multi-Asset Income Classic RH AUD MD - Distribution AUD 0.47 Multi-Asset Income Classic RH CNH MD - Distribution CNH 0.55 Multi-Asset Income Classic RH HKD MD - Distribution HKD 0.35 Multi-Asset Income Classic RH SGD MD - Distribution SGD 0.35 Multi-Asset Income Classic RH USD MD - Distribution USD 0.35 The following dividends were paid on 2 May 2016 for shares outstanding as at 21 April 2016 with an ex-date 22 April 2016: Sub-fund Class Currency Dividend Bond Euro Corporate Classic - Distribution EUR 1.50 Bond Euro High Yield Classic - Distribution EUR 4.21 Bond Europe Plus Privilege - Distribution EUR 1.77 Bond USA High Yield Classic - Distribution USD 7.15 Bond USD Classic - Distribution USD 2.61 Bond World Emerging Classic - Distribution USD 5.70 Bond World Emerging Local Classic - Distribution USD 4.14 Bond World Plus Classic - Distribution EUR 6.87 Bond World Plus Classic New Distri - Distribution EUR 6.87 Bond World Plus Classic USD - Distribution USD 1.57 Bond World Plus Privilege - Distribution EUR 1.78 Diversified World Balanced Classic - Distribution EUR 1.90 Diversified World Balanced Privilege - Distribution EUR 1.75 Diversified World Growth Classic - Distribution EUR 2.67 Diversified World Growth Privilege - Distribution EUR 2.10 Diversified World Stability Classic - Distribution EUR 1.18 Page 123
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Sub-fund Class Currency Dividend Diversified World Stability Privilege - Distribution EUR 1.10 Equity Euro Classic - Distribution EUR 6.00 Equity Europe Classic - Distribution EUR 9.93 Equity Europe Privilege - Distribution EUR 4.07 Equity Netherlands Classic - Distribution EUR 17.56 Equity Netherlands Privilege - Distribution EUR 4.56 Equity USA Core Classic - Distribution USD 2.45 Equity USA Core Classic EUR - Distribution EUR 3.72 Equity USA Core Privilege - Distribution USD 2.66 Equity World Aqua Classic - Distribution EUR 3.29 Equity World Aqua Classic USD - Distribution USD 2.47 Equity World Emerging Classic - Distribution USD 8.65 Equity World Guru Classic - Distribution USD 2.38 Equity World Guru Classic EUR - Distribution EUR 3.84 Equity World Guru Privilege EUR - Distribution EUR 3.21 Equity World Quality Focus Classic - Distribution EUR 2.82 Equity World Quality Focus Privilege - Distribution EUR 3.27 Multi-Asset Income Classic - Distribution EUR 3.89 Multi-Asset Income Classic RH USD - Distribution USD 3.74 Multi-Asset Income Privilege - Distribution EUR 1.85 Multi-Asset Income I - Distribution EUR 3.78 Real Estate Securities World Classic - Distribution EUR 4.65 SMaRT Food Classic - Distribution EUR 2.39 Sustainable Active Allocation Classic - Distribution EUR 3.15 Sustainable Active Allocation Classic Solidarity - Distribution EUR 1.41 The following dividends were paid on 30 June 2016 for shares outstanding as at 16 June 2016 with an ex-date 17 June 2016: Sub-fund Class Currency Dividend Convertible Bond Best Selection Europe Classic - Distribution EUR 0.75 Convertible Bond World Classic - Distribution EUR 1.28 It has been decided not to pay dividends for the following sub-funds this year: Sub-fund Bond Euro Premium Bond Euro Premium Bond Europe Plus Bond Europe Plus Patrimoine Patrimoine Safe Aggressive W1 Safe Aggressive W4 Safe Aggressive W7 Safe Aggressive W10 Safe Conservative W1 Safe Conservative W4 Safe Conservative W7 Safe Conservative W10 Safe Defensive W1 Safe Defensive W4 Safe Defensive W7 Safe Defensive W10 Class Classic - Distribution Privilege - Distribution Classic - Distribution Classic New Distri - Distribution Classic - Distribution Privilege - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Page 124
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Sub-fund Safe Dynamic W1 Safe Dynamic W4 Safe Dynamic W7 Safe Dynamic W10 Safe Neutral W1 Safe Neutral W4 Safe Neutral W7 Safe Neutral W10 Class Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Classic - Distribution Note 8 - Share currencies The net asset value per share is priced in the of the share class and not in the of the sub-fund in the section Key figures relating to the last 3 years. Note 9 - Exchange rates The exchange rates used for consolidation and for the conversion of share classes denominated in a other than the reference of the relevant sub-fund as at 31 December 2016 were the following: EUR 1 = AUD 1.45660 EUR 1 = CNH 7.34800 EUR 1 = GBP 0.85360 EUR 1 = HKD 8.17765 EUR 1 = HUF 308.86500 EUR 1 = JPY 123.02080 EUR 1 = SGD 1.52380 EUR 1 = USD 1.05475 Note 10 - Futures contracts As at 31 December 2016, the following positions were outstanding: Bond Euro Corporate Currency Quantity Net unrealised Purchase/ Commitment Description Maturity gain/(loss) Sale (in EUR) (in EUR) EUR 4 S EURO-BUND FUTURE 08/03/2017 656 600 (400) EUR 30 S EURO-BOBL FUTURE 08/03/2017 4 008 900 (36 769) USD 4 S US 5YR NOTE FUTURE (CBT) 31/03/2017 446 225 1 748 EUR 11 S EURO-BTP FUTURE 08/03/2017 1 488 410 (17 830) USD 1 S US 10YR NOTE FUTURE (CBT) 22/03/2017 117 830 718 EUR 4 P EURO BUXL 30Y BOND 08/03/2017 694 080 13 120 Total: (39 413) As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to 100 527 EUR. Page 125
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Bond Europe Plus Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/(loss) (in EUR) EUR 255 S EURO-BUND FUTURE 08/03/2017 41 858 250 (584 040) EUR 647 P EURO-SCHATZ FUTURE 08/03/2017 72 651 630 63 440 EUR 815 P EURO-BOBL FUTURE 08/03/2017 108 908 450 845 438 USD 54 S ULTRA LONG TERM US TREASURY BOND FUTURE 22/03/2017 8 204 314 30 761 USD 86 S US 2YR NOTE FUTURE (CBT) 31/03/2017 17 667 812 4 119 USD 798 S US 5YR NOTE FUTURE (CBT) 31/03/2017 89 021 969 (165 879) GBP 97 P LONG GILT FUTURE (LIFFE) 29/03/2017 14 298 864 286 610 EUR 52 S EURO-BTP FUTURE 08/03/2017 7 036 120 (35 920) EUR 173 P EURO OAT FUTURE FRENCH GOVT BD 10YR 6% 08/03/2017 26 264 860 250 720 CAD 10 S EUR 53 P USD 58 P USD 22 S USD 18 P CAN 10YR BOND FUTURE 22/03/2017 972 321 11 771 SHORT TERM EURO BTP 08/03/2017 FUTURE 5 985 290 57 770 US 10YR NOTE FUTURE (CBT) 22/03/2017 6 834 143 54 338 US LONG BOND FUTURE 22/03/2017 (CBT) 3 142 392 (12 325) ULTRA 10 YEAR US TREASURY NOTE 22/03/2017 2 287 864 948 FUTURE AUD 31 S AUST 10 YR BOND FUTURE 15/03/2017 2 718 673 (8 001) AUD 256 P AUST 3 YR BOND 15/03/2017 19 590 549 (38 092) EUR 49 S EURO BUXL 30Y BOND 08/03/2017 8 502 480 (124 880) Total: 636 778 As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to 1 398 842 EUR. Bond World Plus Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/(loss) (in EUR) EUR 38 S EURO-BUND FUTURE 08/03/2017 6 237 700 (41 100) EUR 509 P EURO-SCHATZ FUTURE 08/03/2017 57 155 610 44 905 EUR 698 P EURO-BOBL FUTURE 08/03/2017 93 273 740 720 999 USD 261 S ULTRA LONG TERM US TREASURY BOND FUTURE 22/03/2017 39 654 183 248 200 USD 523 P US 2YR NOTE FUTURE (CBT) 31/03/2017 107 444 951 (31 435) USD 1 478 S US 5YR NOTE FUTURE (CBT) 31/03/2017 164 880 289 (636 592) GBP 5 P LONG GILT FUTURE (LIFFE) 29/03/2017 737 055 14 117 JPY 15 P JPN 10Y BOND (TSE) 13/03/2017 18 318 853 13 412 EUR 247 S EURO-BTP FUTURE 08/03/2017 33 421 570 (318 150) Page 126
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Bond World Plus (continued) Currency Quantity Purchase/ Sale EUR 133 P CAD 79 P USD 408 S USD 153 P USD 156 P AUD 141 S Description EURO OAT FUTURE FRENCH GOVT BD 10YR 6% CAN 10YR BOND FUTURE US 10YR NOTE FUTURE (CBT) US LONG BOND FUTURE (CBT) ULTRA 10 YEAR US TREASURY NOTE FUTURE AUST 10 YR BOND FUTURE Maturity Commitment (in EUR) Net unrealised gain/(loss) (in EUR) 08/03/2017 20 192 060 119 720 22/03/2017 7 681 339 (55 371) 22/03/2017 48 074 662 (21 672) 22/03/2017 21 853 905 366 526 22/03/2017 19 828 158 (13 000) 15/03/2017 12 365 576 (36 391) AUD 1 230 P AUST 3 YR BOND 15/03/2017 94 126 464 (183 022) EUR 141 S EURO BUXL 30Y BOND 08/03/2017 24 466 320 (370 540) KOREA 3YR BOND KRW 155 P 21/03/2017 13 333 926 26 768 FUTURE Total: (152 626) As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to 4 648 694 EUR. Diversified World Balanced Currency Quantity Net unrealised Purchase/ Commitment Description Maturity gain/(loss) Sale (in EUR) (in EUR) USD 146 S S&P 500 E-MINI FUTURE 17/03/2017 15 477 246 108 315 EUR 78 S FTSEMIB INDEX - FTSE / 17/03/2017 MIB INDEX 7 489 950 (56 000) EUR 78 P IBEX35 EURO 20/01/2017 7 264 452 (24 688) JPY 22 S NIKKEI 225 (SGX) 09/03/2017 1 705 159 5 365 USD 260 P RUSSELL 2000 MINI INDEX FUTURE 17/03/2017 16 724 058 (223 703) EUR 600 P STOXX 600 (SXXP) 17/03/2017 10 758 000 114 000 Total: (76 711) As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to 4 276 111 EUR. Diversified World Growth Currency Quantity Net unrealised Purchase/ Commitment Description Maturity gain/(loss) Sale (in EUR) (in EUR) USD 20 S S&P 500 E-MINI FUTURE 17/03/2017 2 120 171 14 838 EUR 35 S FTSEMIB INDEX - FTSE / 17/03/2017 MIB INDEX 3 360 875 (28 500) EUR 35 P IBEX35 EURO 20/01/2017 3 259 690 (10 570) JPY 10 S NIKKEI 225 (SGX) 09/03/2017 775 072 2 439 USD 110 P RUSSELL 2000 MINI INDEX FUTURE 17/03/2017 7 075 563 (94 644) Total: (116 437) As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to 1 443 658 EUR. Page 127
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Diversified World Stability Currency Quantity Net unrealised Purchase/ Commitment Description Maturity gain/(loss) Sale (in EUR) (in EUR) EUR 38 S EURO-BUND FUTURE 08/03/2017 6 237 700 (95 380) GBP 30 P LONG GILT FUTURE (LIFFE) 29/03/2017 4 422 329 91 026 USD 38 S S&P 500 E-MINI FUTURE 17/03/2017 4 028 324 28 192 EUR 13 S FTSEMIB INDEX - FTSE / 17/03/2017 MIB INDEX 1 248 325 (10 075) EUR 13 P IBEX35 EURO 20/01/2017 1 210 742 (4 048) JPY 4 S NIKKEI 225 (SGX) 09/03/2017 310 029 975 USD 62 P RUSSELL 2000 MINI INDEX FUTURE 17/03/2017 3 988 045 (53 344) EUR 66 S EURO STOXX 50 - FUTURE 17/03/2017 2 162 820 (31 500) EUR 65 S STOXX 600 (SXXP) 17/03/2017 1 165 450 (12 350) Total: (86 504) As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to 1 205 795 EUR. Equity Europe DEFI Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/(loss) (in EUR) EUR 24 P MSCI EUROPE NR 17/03/2017 469 440 6 000 Total: 6 000 As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to 29 696 EUR. Japan Currency Quantity Purchase/ Sale Description Maturity Commitment (in JPY) Net unrealised gain/(loss) (in JPY) JPY 23 P TOPIX INDX FUTURE 09/03/2017 349 140 000 9 177 000 Total: 9 177 000 As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to 6 003 000 JPY. Multi-Asset Income Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/(loss) (in EUR) EUR 26 S EURO-BUND FUTURE 08/03/2017 4 267 900 (39 430) EUR 20 P EURO-SCHATZ FUTURE 08/03/2017 2 245 800 1 250 EUR 5 S EURO-BOBL FUTURE 08/03/2017 668 150 (5 200) USD 32 S ULTRA LONG TERM US TREASURY BOND FUTURE 22/03/2017 4 861 816 1 363 USD 125 P US 2YR NOTE FUTURE (CBT) 31/03/2017 25 679 960 (9 540) USD 630 P US 5YR NOTE FUTURE (CBT) 31/03/2017 70 280 502 (83 276) GBP 1 P LONG GILT FUTURE (LIFFE) 29/03/2017 147 411 2 823 EUR 19 S EURO-BTP FUTURE 08/03/2017 2 570 890 (5 890) USD 2 417 S S&P 500 E-MINI FUTURE 17/03/2017 256 222 624 3 655 003 EURO OAT FUTURE EUR 6 P FRENCH GOVT BD 10YR 6% 08/03/2017 910 920 1 800 Page 128
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Multi-Asset Income (continued) Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/(loss) (in EUR) CAD 10 S CAN 10YR BOND FUTURE 22/03/2017 972 321 12 090 USD 36 S US 10YR NOTE FUTURE (CBT) 22/03/2017 4 241 882 (40 975) USD 155 S US LONG BOND FUTURE 22/03/2017 (CBT) 22 139 577 150 299 GBP 521 S FTSE 100 INDEX 17/03/2017 43 030 108 (939 948) USD 59 P ULTRA 10 YEAR US TREASURY NOTE FUTURE 22/03/2017 7 499 111 (9 600) AUD 22 S AUST 10 YR BOND FUTURE 15/03/2017 1 929 381 (5 678) AUD 291 P AUST 3 YR BOND 15/03/2017 22 268 944 (43 300) EUR 13 S EURO BUXL 30Y BOND 08/03/2017 2 255 760 (33 500) USD 2 688 P RUSSELL 2000 MINI INDEX FUTURE 17/03/2017 172 901 029 (2 302 069) EUR 4 642 S EURO STOXX 50 - FUTURE 17/03/2017 152 118 340 (3 645 140) EUR 362 P STOXX 50 - FUTURE 17/03/2017 10 776 740 148 420 Total: (3 190 498) As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to 37 892 219 EUR. Broker for Futures contracts: BNP Paribas Paris Note 11 - Forward foreign exchange contracts As at 31 December 2016, the total amount purchased per and the total amount sold per in the context of forward foreign exchange contracts were as follows: Bond Euro Corporate Currency Purchase amount Currency Sale amount EUR 1 818 968 USD 1 900 000 Net unrealised gain (in EUR) 18 708 As at 31 December 2016, the latest maturity of all outstanding contracts is 19 January 2017. Bond Europe Plus Currency Purchase amount Currency Sale amount AUD 2 371 000 AUD 8 727 655 BRL 10 589 583 BRL 11 728 358 CHF 1 823 643 CAD 1 871 000 CLP 587 321 200 CHF 5 073 955 EUR 285 233 321 CLP 1 163 776 800 GBP 41 928 345 EUR 144 707 338 INR 133 103 880 GBP 27 298 000 JPY 4 062 458 798 HKD 6 946 492 KRW 4 249 290 500 HUF 311 928 320 MXN 119 314 590 INR 125 359 660 NOK 105 176 294 JPY 4 937 282 810 NZD 5 539 957 KRW 4 243 528 500 RUB 210 040 060 MXN 194 193 549 SEK 63 442 407 NOK 186 187 000 TRY 4 608 000 NZD 1 033 000 Page 129
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Bond Europe Plus (continued) Currency Purchase amount Currency Sale amount USD 95 256 918 RUB 178 209 940 SEK 33 401 005 SGD 1 267 218 TRY 4 752 088 USD 243 476 526 Net unrealised loss (in EUR) (8 122 728) As at 31 December 2016, the latest maturity of all outstanding contracts is 19 January 2017. Bond World Plus Currency Purchase amount Currency Sale amount AUD 29 173 165 AUD 26 439 092 BRL 32 789 576 BRL 32 824 162 CAD 27 819 291 CAD 17 543 000 CHF 8 578 665 CHF 13 409 172 CLP 1 499 649 180 CLP 2 866 950 150 CNH 3 596 970 CNH 3 596 970 CZK 35 453 699 CZK 21 882 000 DKK 13 629 000 EUR 446 075 955 EUR 484 169 888 GBP 34 916 000 GBP 26 300 840 HKD 17 133 647 ILS 6 862 420 HUF 771 612 160 INR 328 443 360 ILS 5 746 144 JPY 22 438 726 436 INR 351 542 700 KRW 29 681 948 868 JPY 17 395 247 981 MXN 404 220 438 KRW 21 914 849 000 MYR 26 533 322 MXN 748 078 133 NOK 270 572 376 MYR 22 957 085 NZD 16 127 976 NOK 441 935 000 PLN 13 380 642 NZD 2 583 000 RUB 725 170 601 PLN 8 598 192 SEK 180 603 789 RUB 595 387 015 SGD 1 SEK 82 844 262 THB 122 828 098 SGD 3 112 287 TRY 19 120 018 THB 74 002 000 TWD 28 819 000 TRY 19 150 963 USD 299 113 723 TWD 28 828 000 ZAR 43 107 219 USD 374 831 794 ZAR 26 525 000 Net unrealised loss (in EUR) (6 826 712) As at 31 December 2016, the latest maturity of all outstanding contracts is 6 September 2017. Convertible Bond Best Selection Europe Currency Purchase amount Currency Sale amount EUR 2 000 000 EUR 6 725 564 GBP 1 850 000 USD 2 109 776 SEK 19 000 000 USD 2 700 000 Net unrealised loss (in EUR) (16 675) As at 31 December 2016, the latest maturity of all outstanding contracts is 19 January 2017. Page 130
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Convertible Bond World Currency Purchase amount Currency Sale amount EUR 210 961 622 EUR 12 892 595 USD 13 400 000 USD 220 150 000 Net unrealised gain (in EUR) 2 172 632 As at 31 December 2016, the latest maturity of all outstanding contracts is 19 January 2017. Diversified World Balanced Currency Purchase amount Currency Sale amount EUR 51 276 629 EUR 8 491 318 USD 8 882 000 USD 53 Net unrealised gain (in EUR) 699 255 As at 31 December 2016, the latest maturity of all outstanding contracts is 19 January 2017. Diversified World Growth Currency Purchase amount Currency Sale amount EUR 17 358 874 EUR 3 346 187 USD 3 500 000 USD 18 050 000 Net unrealised gain (in EUR) 226 563 As at 31 December 2016, the latest maturity of all outstanding contracts is 19 January 2017. Diversified World Stability Currency Purchase amount Currency Sale amount EUR 16 259 271 EUR 3 804 443 USD 3 980 000 USD 16 900 000 Net unrealised gain (in EUR) 213 140 As at 31 December 2016, the latest maturity of all outstanding contracts is 19 January 2017. Equity USA Core Currency Purchase amount Currency Sale amount EUR 3 761 419 USD 3 939 184 Net unrealised gain (in USD) 30 738 As at 31 December 2016, the latest maturity of all outstanding contracts is 20 January 2017. Multi-Asset Income Currency Purchase amount Currency Sale amount AUD 2 762 705 AUD 56 064 913 CHF 1 400 000 CAD 8 072 000 CNH 106 839 CHF 39 288 000 DKK 2 460 000 CNY 3 000 000 EUR 1 074 766 988 DKK 25 136 000 GBP 4 000 000 EUR 53 790 960 HKD 7 858 065 GBP 112 259 901 JPY 854 825 273 HKD 128 591 369 NOK 7 000 000 JPY 7 309 147 984 NZD 128 000 NOK 166 378 274 SEK 18 NZD 1 260 000 SGD 1 797 054 SEK 361 903 000 USD 35 199 029 SGD 9 237 838 USD 750 846 328 Net unrealised gain (in EUR) 8 806 155 As at 31 December 2016, the latest maturity of all outstanding contracts is 20 January 2017. Page 131
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Safe Aggressive W1 Currency Purchase amount Currency Sale amount EUR 9 654 EUR 32 462 USD 34 000 JPY 1 185 319 Net unrealised loss (in EUR) (235) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Aggressive W4 Currency Purchase amount Currency Sale amount EUR 4 132 EUR 15 276 USD 16 000 JPY 507 000 Net unrealised loss (in EUR) (109) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Aggressive W7 Currency Purchase amount Currency Sale amount EUR 8 720 EUR 29 598 USD 31 000 JPY 1 070 000 Net unrealised loss (in EUR) (210) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Aggressive W10 Currency Purchase amount Currency Sale amount EUR 8 638 EUR 32 462 USD 34 000 JPY 1 060 000 Net unrealised loss (in EUR) (232) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Conservative W1 Currency Purchase amount Currency Sale amount EUR 28 643 EUR 15 000 USD 15 839 USD 30 000 Net unrealised gain (in EUR) 230 As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Conservative W4 Currency Purchase amount Currency Sale amount EUR 9 548 USD 10 000 Net unrealised gain (in EUR) 75 As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Conservative W7 Currency Purchase amount Currency Sale amount EUR 10 502 USD 11 000 Net unrealised gain (in EUR) 83 As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Conservative W10 Currency Purchase amount Currency Sale amount EUR 10 502 USD 11 000 Net unrealised gain (in EUR) 83 As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Page 132
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Safe Defensive W1 Currency Purchase amount Currency Sale amount EUR 1 531 212 JPY 17 076 000 USD 1 458 000 Net unrealised gain (in EUR) 11 350 As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Defensive W4 Currency Purchase amount Currency Sale amount EUR 1 504 504 JPY 16 962 000 USD 1 431 000 Net unrealised gain (in EUR) 11 144 As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Defensive W7 Currency Purchase amount Currency Sale amount EUR 1 727 963 JPY 19 186 000 USD 1 646 000 Net unrealised gain (in EUR) 12 871 As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Defensive W10 Currency Purchase amount Currency Sale amount EUR 1 554 398 JPY 16 875 000 USD 1 484 000 Net unrealised gain (in EUR) 11 541 As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Dynamic W1 Currency Purchase amount Currency Sale amount EUR 292 017 EUR 533 971 USD 560 036 JPY 35 861 378 Net unrealised loss (in EUR) (2 907) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Dynamic W4 Currency Purchase amount Currency Sale amount EUR 234 867 EUR 384 775 USD 403 000 JPY 28 821 000 Net unrealised loss (in EUR) (2 396) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Dynamic W7 Currency Purchase amount Currency Sale amount EUR 293 280 EUR 499 348 USD 523 000 JPY 35 989 000 Net unrealised loss (in EUR) (3 140) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Dynamic W10 Currency Purchase amount Currency Sale amount EUR 290 525 EUR 527 991 USD 553 000 JPY 35 651 000 Net unrealised loss (in EUR) (3 374) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Page 133
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Safe Neutral W1 Currency Purchase amount Currency Sale amount EUR 362 198 EUR 1 122 691 USD 1 177 114 JPY 44 473 378 Net unrealised loss (in EUR) (6 908) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Neutral W4 Currency Purchase amount Currency Sale amount EUR 380 704 EUR 1 173 420 USD 1 229 000 JPY 46 717 000 Net unrealised loss (in EUR) (8 215) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Neutral W7 Currency Purchase amount Currency Sale amount EUR 506 535 EUR 1 561 104 USD 1 635 000 JPY 62 158 000 Net unrealised loss (in EUR) (10 975) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Safe Neutral W10 Currency Purchase amount Currency Sale amount EUR 421 988 EUR 1 300 405 USD 1 362 000 JPY 51 783 000 Net unrealised loss (in EUR) (9 104) As at 31 December 2016, the latest maturity of all outstanding contracts is 27 January 2017. Counterparties to Forward foreign exchange contracts: Barclays Bank Plc Wholesale London BNP Paribas Paris BNP Paribas Securities Services Citigroup Global Market Crédit Suisse Deutsche AG Deutsche Bank London Goldman Sachs International London HSBC Bank Plc JP Morgan Securities Ltd Merrill Lynch UK Morgan Stanley And Co. International Société Générale Standard Chartered Bank UBS Ltd London Page 134
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Note 12 - Swaps Credit Default Swaps The Company has entered into credit default swap agreements whereby it exchanges fixed income for income linked to changes in credit events, whether with respect to an index or a bond (see details in the tables below), and vice versa. These amounts are calculated and recognised at each calculation of the Net Asset Value; the amount of the unrealised capital gain is stated under Net Unrealised gain on financial instruments in the Statement of net, and the amount of net capital loss is given under Net Unrealised loss on financial instruments in the Statement of net. Bond Euro Corporate Nominal Currency Maturity Sub-fund paid Sub-fund received 4 000 000 EUR 20/12/2021 5.000% ITRX XOVER CDSI S26 5Y V1 20/12/2021 Net unrealised loss (in EUR) (382 416) Bond Europe Plus Nominal Currency Maturity Sub-fund paid Sub-fund received 9 430 000 USD 20/03/2017 1.000% PRUDENTIAL FIN 4.5% 03-15/07/2013 9 430 000 USD 20/03/2017 METLIFE INC 5% 05-15/06/2015 1.000% 8 500 000 USD 20/06/2017 FORD MOTOR CO 6.5% 98-01/08/2018 5.000% 8 500 000 USD 20/06/2017 5.000% FORD MOTOR CRED 5% 11-15/05/2018 4 USD 20/12/2017 METLIFE INC 4.75% 10-08/02/2021 1.000% 10 EUR 20/12/2021 ITRX XOVER CDSI S26 5Y V1 20/12/2021 5.000% 31 500 000 EUR 20/12/2021 1.000% ITRX EUR CDSI S26 5Y V1 20/12/2021 31 500 000 EUR 20/12/2021 MARKIT ITRAXX EUR SNR FIN S26 20/12/2021 1.000% Net unrealised gain (in EUR) 687 330 Bond World Plus Nominal Currency Maturity Sub-fund paid Sub-fund received 2 040 000 USD 20/03/2017 1.000% PRUDENTIAL FIN 4.5% 03-15/07/2013 2 040 000 USD 20/03/2017 METLIFE INC 5% 05-15/06/2015 1.000% 1 800 000 USD 20/06/2017 FORD MOTOR CO 6.5% 98-01/08/2018 5.000% 1 800 000 USD 20/06/2017 5.000% FORD MOTOR CRED 5% 11-15/05/2018 1 USD 20/12/2017 METLIFE INC 4.75% 10-08/02/2021 1.000% 12 600 000 USD 20/03/2020 CITIGROUP INC 6.125% 08-15/05/2018 1.000% 12 600 000 USD 20/03/2020 GOLDMAN SACHS 5.95% 08-18/01/2018 1.000% 1 800 000 USD 20/12/2021 COLOMBIA REP OF 10.375% 03-28/01/2033 1.000% Page 135
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Bond World Plus (continued) Nominal Currency Maturity Sub-fund paid Sub-fund received 1 000 000 USD 20/12/2021 CHINA (PEOPLES) 7.5% 97-28/10/2027 1.000% 1 000 000 USD 20/12/2021 INDONESIA (REP) 5.875% 10-13/03/2020 1.000% 500 000 USD 20/12/2021 MALAYSIA USD CR14 SNRFOR 1.000% 500 000 USD 20/12/2021 PHILIPPINES (REP) 10.625% 00-16/03/2025 1.000% 3 000 000 USD 20/12/2021 CHINA (PEOPLES) 7.5% 97-28/10/2027 1.000% 3 000 000 USD 20/12/2021 UNITED MEXICAN 5.95% 08-19/03/2019 1.000% 2 700 000 USD 20/12/2021 REP OF POLAND 6.375% 09-15/07/2019 1.000% 700 000 USD 20/12/2021 CHILE 3.875% 10-05/08/2020 1.000% 600 000 USD 20/12/2021 COLOMBIA REP OF 10.375% 03-28/01/2033 1.000% 1 500 000 USD 20/12/2021 MALAYSIA USD CR14 SNRFOR 1.000% 1 500 000 USD 20/12/2021 PHILIPPINES (REP) 10.625% 00-16/03/2025 1.000% 900 000 USD 20/12/2021 REP OF POLAND 6.375% 09-15/07/2019 1.000% 1 USD 20/12/2021 TURKEY REP OF 11.875% 00-15/01/2030 1.000% 46 500 000 EUR 20/12/2021 1.000% ITRX EUR CDSI S26 5Y V1 20/12/2021 46 500 000 EUR 20/12/2021 MARKIT ITRAXX EUR SNR FIN S26 20/12/2021 1.000% 19 800 000 EUR 20/12/2021 ITRX XOVER CDSI S26 5Y V1 20/12/2021 5.000% 11 400 000 EUR 20/12/2021 ITRX XOVER CDSI S26 5Y V1 20/12/2021 5.000% Net unrealised gain (in EUR) 2 534 466 Multi-Asset Income Nominal Currency Maturity Sub-fund paid Sub-fund received 72 890 000 USD 20/06/2021 CDX IG CDSI S26 5Y V1 20/06/2021 1.000% 66 000 000 EUR 20/06/2021 1.000% ITRX EUR CDSI S25 5Y V1 20/06/2021 Net unrealised gain (in EUR) 143 801 Interest Rate Swaps The Company has entered into interest rate swap agreements whereby it exchanges fixed income (sum of the notional amount and the fixed rate) for variable income (sum of the notional amount and the floating rate) and vice versa. These amounts are calculated and recognised at each calculation of the Net Asset Value; the receivable amount is stated under Other in the Statement of net, while the payable amount is given under Other liabilities in the Statement of net. Page 136
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Bond Europe Plus Nominal Currency Maturity Sub-fund paid Sub-fund received 6 800 000 GBP 26/04/2017 LIBOR 6 M GBP 1.662% 27 800 000 USD 26/01/2018 0.934% LIBOR 3 M USD 55 700 000 EUR 20/01/2019 0.017% EURIBOR 6 M 49 900 000 AUD 05/12/2019 AUSTRALIAN BK BILL ST 3 M 2.417% 10 250 000 SGD 12/05/2020 SGD SWAP 6 M 2.100% 2 646 450 000 JPY 01/07/2021 LIBOR 6 M JPY -0.156% 51 000 000 USD 25/11/2021 LIBOR 3 M USD 2.239% 92 000 000 SEK 13/12/2021 0.202% STOCKHOLM INTERBK OFFER RATE 3 M 23 EUR 21/01/2024 EURIBOR 6 M 1.017% 14 GBP 16/03/2024 ICE LIBOR GBP 6 M 1.805% 7 600 000 EUR 26/02/2026 EURIBOR 6 M 1.061% 14 700 000 EUR 05/08/2026 EURIBOR 6 M 0.774% 22 USD 23/11/2026 2.605% LIBOR 3 M USD 8 400 000 USD 06/12/2026 2.730% LIBOR 3 M USD 47 000 000 SEK 13/12/2026 STOCKHOLM INTERBK OFFER RATE 3 M 1.116% 9 EUR 05/07/2032 EURIBOR 6 M 2.770% 7 600 000 EUR 05/07/2042 2.400% EURIBOR 6 M 8 EUR 28/02/2046 1.166% EURIBOR 6 M 4 000 000 GBP 17/03/2046 1.680% ICE LIBOR GBP 6 M 520 750 000 JPY 01/07/2046 0.266% LIBOR 6 M JPY 3 250 000 USD 26/01/2047 2.438% LIBOR 3 M USD Net unrealised gain (in EUR) 1 217 930 Bond World Plus Nominal Currency Maturity Sub-fund paid Sub-fund received 17 000 000 USD 26/01/2018 0.934% LIBOR 3 M USD 197 700 000 EUR 20/01/2019 0.017% EURIBOR 6 M 2 634 000 000 JPY 16/10/2019 LIBOR 6 M JPY 0.243% 153 250 000 AUD 05/12/2019 AUSTRALIAN BK BILL ST 3 M 2.417% 29 250 000 SGD 12/05/2020 SGD SWAP 6 M 2.100% 9 720 450 000 JPY 01/07/2021 LIBOR 6 M JPY -0.156% 14 MXN 30/09/2021 MEXICO MXI TIIE 28 D 6.095% 8 800 000 ZAR 05/10/2021 JIBA1M JIBAR 3 M 7.660% 5 CZK 07/10/2021 PRAGUE INTERBK OFFER RATE 6 M 0.390% 1 ILS 07/10/2021 TELBOR 3 M ILS 0.715% 1 500 000 PLN 07/10/2021 WARSAW INTERBK OFFER RATE 6 M 1.970% 42 900 000 MXN 19/10/2021 MEXICO MXI TIIE 28 D 5.950% 26 400 000 ZAR 24/10/2021 JIBA1M JIBAR 3 M 7.790% 15 600 000 CZK 26/10/2021 PRAGUE INTERBK OFFER RATE 6 M 0.450% 1 ILS 26/10/2021 TELBOR 3 M ILS 0.730% 12 000 000 000 KRW 26/10/2021 KRW CD 3 M 1.395% 157 500 000 USD 25/11/2021 LIBOR 3 M USD 2.239% 282 000 000 SEK 13/12/2021 0.202% STOCKHOLM INTERBK OFFER RATE 3 M 5 800 000 MYR 16/12/2021 MALAYSIA IBOR 3 M 4.140% Page 137
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Bond World Plus (continued) Nominal Currency Maturity Sub-fund paid Sub-fund received 1 860 000 000 KRW 21/12/2021 KRW CD 3 M 1.695% 82 800 000 EUR 21/01/2024 EURIBOR 6 M 1.017% 50 GBP 16/03/2024 ICE LIBOR GBP 6 M 1.805% 96 000 000 MXN 05/05/2025 MEXICO MXI TIIE 28 D 6.310% 19 EUR 26/02/2026 EURIBOR 6 M 1.061% 37 000 000 EUR 05/08/2026 EURIBOR 6 M 0.774% 68 750 000 USD 23/11/2026 2.605% LIBOR 3 M USD 26 000 000 USD 06/12/2026 2.730% LIBOR 3 M USD 145 000 000 SEK 13/12/2026 STOCKHOLM INTERBK OFFER RATE 3 M 1.116% 2 EUR 05/07/2032 EURIBOR 6 M 2.770% 947 000 000 JPY 16/10/2034 LIBOR 6 M JPY 1.398% 4 700 000 GBP 27/10/2034 LIBOR 6 M GBP 2.670% 1 900 000 EUR 05/07/2042 2.400% EURIBOR 6 M 1 900 000 GBP 27/10/2044 LIBOR 6 M GBP 2.726% 662 400 000 JPY 29/10/2044 LIBOR 6 M JPY 1.623% 20 400 000 EUR 28/02/2046 1.166% EURIBOR 6 M 14 GBP 17/03/2046 1.680% ICE LIBOR GBP 6 M 1 912 650 000 JPY 01/07/2046 0.266% LIBOR 6 M JPY 2 000 000 USD 26/01/2047 2.438% LIBOR 3 M USD Net unrealised gain (in EUR) 6 142 307 Inflation Swaps The Company has entered into inflation swap agreements whereby it exchanges fixed income (sum of the notional amount and the fixed rate) for variable income (sum of the notional amount and the floating rate) and vice versa. These amounts are calculated and recognised at each calculation of the Net Asset Value; the receivable amount is stated under Other in the Statement of net, while the payable amount is given under Other liabilities in the Statement of net. Bond Europe Plus Nominal Currency Maturity Sub-fund paid Sub-fund received 27 800 000 USD 26/01/2018 US CPI URBAN CONSUMERS NSA 1.150% 5 900 000 USD 01/04/2026 1.920% US CPI URBAN CONSUMERS NSA 5 GBP 20/04/2026 UK RPI NSA 2.960% 800 000 GBP 02/12/2046 UK RPI NSA 3.492% 1 800 000 USD 05/12/2046 2.390% US CPI URBAN CONSUMERS NSA Net unrealised loss (in EUR) (669 830) Bond World Plus Nominal Currency Maturity Sub-fund paid Sub-fund received 17 000 000 USD 26/01/2018 US CPI URBAN CONSUMERS NSA 1.150% 20 400 000 USD 01/04/2026 1.920% US CPI URBAN CONSUMERS NSA 12 GBP 20/04/2026 UK RPI NSA 2.960% Page 138
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Bond World Plus (continued) Nominal Currency Maturity Sub-fund paid Sub-fund received 1 250 000 GBP 02/12/2046 UK RPI NSA 3.492% 2 750 000 USD 05/12/2046 2.390% US CPI URBAN CONSUMERS NSA Net unrealised loss (in EUR) (650 595) Total Return Swaps A Total Return Swap (TRS) is an agreement to exchange the total performance of a bond or other underlying asset (share, index, etc.) for a benchmark rate plus a spread. The total performance includes the interest coupons, dividends and profits and losses on the underlying asset over the life of the agreement, depending on the type of underlying concerned. The risk in this type of agreement is linked to the fact that the benefit for each counterparty will depend on how the underlying asset performs over time, which is unknown at the time at which the agreement is entered into. Bond Euro Premium Nominal % Of engaged 33 000 000 26.57% 114 999 911 92.6% 91 000 000 73.27% Counterparty Currency Maturity Sub-fund paid Sub-fund received SOCIETE GENERALE PARIS, FRANCE BNP PARIBAS PARIS, FRANCE BARCLAYS BANK LONDON, UNITED KINGDOM EUR 07/12/2017 EURIBOR 3 M + 0.15% EUR 07/12/2017 PERFORMANCE OF BASKET SHARES * EUR 07/12/2017 EURIBOR 3 M - 0.02% Net unrealised loss (in EUR) IBOXX EURO SOVEREIGNS EUROZONE 3-5 TOTAL RETURN EURIBOR 3 M + 0.01% IBOXX EURO SOVEREIGNS EUROZONE 3-5 TOTAL RETURN * The basket of shares consists of the following: Accor SA Carrefour SA Sanofi Aventis Air Liquide SA Daimler AG-Registered Shares SAP SE Airbus Group SE Danone Schneider Electric SE Allianz SE - Reg Deutsche Post Siemens AG - Reg Anheuser - Busch Inbev SA/NV Essilor International Societe Generale SA BASF SE L'oreal Technip SA Bayer AG - Reg Orange Total SA BNP Paribas Renault SA Unilever NV - CVA Multi-Asset Income Nominal % Of engaged 85 000 000 4.93% 29 000 000 1.97% 57 000 000 3.13% 67 000 000 3.88% Counterparty Currency Maturity Sub-fund paid Sub-fund received BNP PARIBAS PARIS, FRANCE BNP PARIBAS PARIS, FRANCE BNP PARIBAS PARIS, FRANCE BNP PARIBAS PARIS, FRANCE EUR 02/08/2017 EURIBOR 3 M 360 DAYS (44 260) BNP PARIBAS LEO EU ER GBP 02/08/2017 LIBOR 3 M GBP BNP PARIBAS LEO UK ER USD 02/08/2017 LIBOR 3 M USD BNP PARIBAS LEO US ER EUR 11/12/2017 EURIBOR 3 M 360 DAYS BNP PARIBAS LEO EU ER Page 139
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Multi-Asset Income (continued) Nominal % Of engaged 45 000 000 3.05% 10 600 000 0.58% Counterparty Currency Maturity Sub-fund paid Sub-fund received BNP PARIBAS PARIS, FRANCE BNP PARIBAS PARIS, FRANCE Counterparties to Swaps contracts: Barclays Bank London, United Kingdom BNP Paribas Paris, France Citigroup Global Market, United Kingdom Crédit Suisse International, United Kingdom Deutsche Bank, United Kingdom Deutsche Bank AG, Germany Goldman Sachs International London, United Kingdom JP Morgan London, United Kingdom Nomura International Plc, United Kingdom Société Générale Paris, France UBS Limited Loc, United Kingdom GBP 11/12/2017 LIBOR 3 M GBP BNP PARIBAS LEO UK ER USD 11/12/2017 LIBOR 3 M USD BNP PARIBAS LEO US ER Net unrealised loss (in EUR) (5 748 200) Note 13 - Options positions For options contracts with the same Description, Currency, Maturity Date, Strike and Counterparty, the positions are consolidated. In this context, the options quantities can be 0. As at 31 December 2016, the following positions on options were outstanding: Bond Europe Plus Currency Quantity Purchase/ Sale USD 474 P USD 200 P EUR 225 P Description PUT EURO$ 1 YEAR MID CUR 16/06/2017 97.875 CALL US 5YR NOTE FUTURE 24/02/2017 118.25 CALL EURO-BUND FUTURE 24/02/2017 166 Maturity date Strike Exposure/ Commitment (in EUR) (in EUR) 16/06/2017 97.875 26 329 321 81 453 24/02/2017 118.250 7 727 893 63 700 24/02/2017 166.000 10 976 130 141 750 Total: 286 903 As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to 1 398 842 EUR. Page 140
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Bond World Plus Currency Quantity Purchase/ Sale USD 6 P USD 6 P USD 2 P USD 2 P USD 1 460 P USD 8 P USD 8 P USD 4 P USD 4 P USD 400 P EUR 352 P Description CALL US 10YR NOTE FUTURE (CBT) 27/01/2017 128 CALL US 10YR NOTE FUTURE (CBT) 27/01/2017 126 CALL US LONG BOND FUTURE (CBT) 27/01/2017 154 CALL US LONG BOND FUTURE (CBT) 27/01/2017 159 PUT EURO$ 1 YEAR MID CUR 16/06/2017 97.875 CALL US 10YR NOTE FUTURE (CBT) 24/02/2017 124 CALL US 10YR NOTE FUTURE (CBT) 24/02/2017 126 CALL US LONG BOND FUTURE (CBT) 24/02/2017 155 CALL US LONG BOND FUTURE (CBT) 24/02/2017 150 CALL US 5YR NOTE FUTURE 24/02/2017 118.25 CALL EURO-BUND FUTURE 24/02/2017 166 Maturity date Strike Exposure/ Commitment (in EUR) (in EUR) 27/01/2017 128.000 35 829 267 27/01/2017 126.000 112 242 800 27/01/2017 154.000 61 523 948 27/01/2017 159.000 13 575 179 16/06/2017 97.875 81 099 254 250 889 24/02/2017 124.000 516 125 8 888 24/02/2017 126.000 237 402 2 844 24/02/2017 155.000 144 228 3 496 24/02/2017 150.000 314 011 10 844 24/02/2017 118.250 15 455 088 127 400 24/02/2017 166.000 17 171 587 221 760 Total: 628 315 As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to 4 648 694 EUR. Multi-Asset Income Currency Quantity Purchase/ Sale USD 85 000 000 S USD 85 000 000 P EUR 0 P Description CALL USD/JPY 25/01/2017 118.5 CALL JPY/USD 25/01/2017 118.5 CALL EUR/GBP 13/01/2017 0.95 Maturity date Strike Exposure/ Commitment (in EUR) (in EUR) 25/01/2017 118.500 34 304 702 (601 830) 25/01/2017 118.500 34 304 702 601 830 13/01/2017 0.950 4 544 346 0 Total: 0 As at 31 December 2016, the cash margin balance in relation to futures and/or options amounted to 37 892 219 EUR. Page 141
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Counterparties to Options: BNP Paribas Paris Deutsche Bank JP Morgan London Nomura International Plc Swaptions A type of option between two parties that can be exercised on a swap where the buyer of the swap has the right, but not obligation to, receive an agreed upon fixed interest rate. The buyer pays a premium for the right to swap at this fixed rate. Short for a call swap option, a call swaption can be used as a hedging tool to avoid risk if a bond issuer believes interest rates might decrease. Bond Europe Plus Nominal Currency Type Strike Maturity Cash Flow 20 USD Swaption put on CDS 1.029% 18/01/2017 PUT CDX HY CDSI S27 5Y 18/01/2017 1.029 42 000 000 EUR Swaption call on CDS 3.125% 18/01/2017 CALL ITRX XOVER CDSI S26 5Y V1 18/01/2017 3.125 46 400 000 EUR Swaption put on CDS 4.500% 18/01/2017 PUT ITRX XOVER CDSI S26 5Y V1 18/01/2017 4.500 2 320 000 GBP Swaption put on IRS 3.872% 02/06/2023 PUT 6-M GBP-LIBOR 02/06/2023 3.872 (in EUR) (394 296) Bond World Plus Nominal Currency Type Strike Maturity Cash Flow 63 USD Swaption put on CDS 1.029% 18/01/2017 PUT CDX HY CDSI S27 5Y 18/01/2017 1.029 51 500 000 EUR Swaption call on CDS 3.125% 18/01/2017 CALL ITRX XOVER CDSI S26 5Y V1 18/01/2017 3.125 57 500 000 EUR Swaption put on CDS 4.500% 18/01/2017 PUT ITRX XOVER CDSI S26 5Y V1 18/01/2017 4.500 790 000 GBP Swaption put on IRS 3.872% 02/06/2023 PUT 6-M GBP-LIBOR 02/06/2023 3.872 (in EUR) (535 007) Counterparties to Swaptions: Barclays Bank London Citigroup Global Market Goldman Sachs International London Royal Bank of Scotland Page 142
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Note 14 - Securities lending As at 31 December 2016, the Company has not concluded securities lending agreement. Note 15 - Global overview of collateral As at 31 December 2016, the SICAV pledged the following collateral in favour of financial instruments counterparties: Sub-fund Currency OTC collateral Type of collateral Bond Euro Corporate EUR 470 000 Cash Bond Europe Plus EUR 11 150 000 Cash Bond World Plus EUR 7 120 051 Cash Convertible Bond World EUR 109 798 Cash Diversified World Balanced EUR 10 000 Cash Diversified World Stability EUR 10 000 Cash Equity USA Core USD 20 500 Cash Multi-Asset Income EUR 6 130 000 Cash As at 31 December 2016, the counterparties to financial instruments pledged the following collateral in favour of the SICAV: Sub-fund Currency OTC collateral Type of collateral Bond Euro Premium EUR 120 000 Cash Bond Europe Plus EUR 2 500 000 Cash Bond World Plus EUR 6 510 000 Cash Convertible Bond Best Selection Europe EUR 40 000 Cash Diversified World Balanced EUR 347 030 Cash Diversified World Growth EUR 109 067 Cash Diversified World Stability EUR 120 000 Cash Multi-Asset Income EUR 3 795 842 Cash Note 16 - Change in the composition of the securities portfolio The list of changes to the composition of the securities portfolio during the year is available free of charge at the Management Company s registered office and from local agents. Page 143
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Note 17 - List of Investment managers BNP Paribas Asset Management S.A.S., abbreviated to BNPP AM France BNP Paribas Investment Partners Asia Ltd., abbreviated to BNPP IP Asia BNP Paribas Investment Partners Belgium, abbreviated to BNPP IP Belgium BNP Paribas Investment Partners Nederland N.V., abbreviated to BNPP IP Nederland BNP Paribas Investment Partners UK Limited, abbreviated to BNPP IP UK Fischer Francis Trees & Watts US, Inc., abbreviated to FFTW US Impax Asset Management Limited, abbreviated to Impax River Road Asset Management, LLC,, abbreviated River Road THEAM S.A.S. Sub-fund Bond Euro Corporate Convertible Bond Best Selection Europe Convertible Bond World Diversified World Balanced Diversified World Stability Equity Europe Bond Euro Premium Equity Europe DEFI (launched on 13 July 2016) Equity Europe Low Volatility Equity Italy Equity World Guru Japan (launched on 18 November 2016) Bond Euro High Yield Sustainable Active Allocation Equity Netherlands Lifecycle 2020 (liquidated on 10 May 2016) Lifecycle 2025 (liquidated on 10 May 2016) Lifecycle 2030 (liquidated on 10 May 2016) Lifecycle 2035 (liquidated on 10 May 2016) Real Estate Securities World (absorbed on 1 July 2016) Bond World Emerging (liquidated on 1 September 2016) Bond World Emerging Local Equity World Aqua SMaRT Food Bond USA High Yield (absorbed on 1 July 2016) Equity USA Core Equity World Emerging Bond Europe Plus Bond World Plus Diversified Active Click Balanced (absorbed on 1 July 2016) Diversified Active Click Stability (absorbed on 1 July 2016) Investment managers BNPP AM France Subdelegating to BNPP IP UK for the FX management BNPP IP UK (FX Management) BNPP IP UK BNPP AM France Subdelegating to BNPP IP UK for the FX management THEAM S.A.S. BNPP AM France Subdelegating to BNPP IP UK for the FX management BNPP IP UK (inclusive FX Management) BNPP IP Belgium BNPP AM France BNPP IP Nederland FFTW US (until 17 May 2016) BNPP IP UK (inclusive FX Management) Impax Impax BNPP IP UK (FX Management) FFTW US BNPP IP UK (FX Management) FFTW US BNPP IP UK FFTW US BNPP AM France BNPP IP Belgium THEAM S.A.S. BNPP IP UK FFTW US Page 144
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Equity Euro Sub-fund Safe Aggressive W1 Safe Aggressive W4 Safe Aggressive W7 Safe Aggressive W10 Safe Conservative W1 Safe Conservative W4 Safe Conservative W7 Safe Conservative W10 Safe Defensive W1 Safe Defensive W4 Safe Defensive W7 Safe Defensive W10 Safe Dynamic W1 Safe Dynamic W4 Safe Dynamic W7 Safe Dynamic W10 Safe Neutral W1 Safe Neutral W4 Safe Neutral W7 Safe Neutral W10 Bond USD (absorbed on 1 July 2016) Equity World Quality Focus Opportunities World (absorbed on 29 January 2016) Multi-Asset Income Diversified World Growth Patrimoine Equity Belgium (launched on 25 November 2016) BNPP IP UK BNPP AM France BNPP IP Belgium THEAM S.A.S. BNPP IP UK FFTW US BNPP IP UK Investment managers BNPP IP Nederland Subdelegating to BNPP IP UK Subdelegating to BNPP IP Asia (sub-sub delegating FX Management to BNPP IP UK) Subdelegating to River Road Subdelegating to FFTW US Subdelegating to BNPP AM France Subdelegating to THEAM S.A.S. BNPP IP UK (co-management including FX Management) BNPP AM France Subdelegating to BNPP IP UK for the FX Management BNPP AM France Subdelegating to BNPP IP UK for the FX Management and exposure management BNPP AM France Note 18 - Transaction fees Transaction fees incurred by the Fund relating to purchase or sale of transferable securities, money market instruments, derivatives or other eligible are mainly composed of standard fees, sundry fees on transaction, stamp fees, brokerage fees, custody fees, VAT fees, stock exchange fees and RTO (Reception and Transmission of Orders) fees. In line with bond market practice, a bid-offer spread is applied when buying and selling these securities. Consequently, in any given transaction, there will be a difference between the purchase and sale prices quoted by the broker, which represents the broker s fee. Page 145
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Note 19 - Tax reclaims as part of the Aberdeen/Fokus Bank Project In several European Union member states, community law grants undertakings for collective investments (UCIs) the right to file claims with a view to recovering taxes they have been unjustly forced to pay. When one member state imposes a greater tax burden on a foreign UCI than on a resident UCI, this constitutes discrimination under community law. This principle was confirmed by the ruling of the Court of Justice of the European Union (CJEU) in the Aberdeen case (18 June 2009). This ruling acknowledges that a non-resident UCI can be subject to discriminatory taxation, which constitutes an obstacle to freedom of establishment and/or the free movement of capital. Other CJEU rulings have subsequently confirmed this jurisprudence. Key examples are the rulings in the Santander (10 May 2010) and Emerging Markets (10 April 2014) cases regarding French and Polish tax legislation, respectively. In light of this jurisprudence and in order to safeguard the right of UCIs to receive tax rebates, the management company has decided to file claims with the tax authorities in several member states whose discriminatory legislation fails to comply with community law. Preliminary studies will be carried out to determine whether or not the claims are viable, i.e. for which funds, in which member states and over what period of time it is necessary to request a rebate. To date, there is no European legislation establishing a uniform framework for this type of claim. As a result, the time taken to receive a rebate and the complexity of the procedure vary depending on the member state in question. This means that it is necessary to constantly monitor developments in this regard. Due to the uncertainty of the recoverability of the amounts, no accrual is recorded and it is booked under the caption Income on investments and when received. Note 20 - Subsequent events With effective date 3 February 2017, launch of the USA sub-fund as Master of the French Fund BNP PARIBAS ACTIONS USA by absorption of the French Fund BNP Paribas Quantamerica. With effective date 16 February 2017, Cross Border Merger of the Safe sub-funds into the Belgian sicav BNP PARIBAS B STRATEGY as follows: Merging BNP Paribas L1 sub-funds Receiving BNP PARIBAS B STRATEGY sub-funds Sub-fund Share class Sub-fund Share class Safe Aggressive W1 Classic - Distribution Global Aggressive Classic - Distribution Safe Aggressive W4 Classic - Distribution Global Aggressive Classic - Distribution Safe Aggressive W7 Classic - Distribution Global Aggressive Classic - Distribution Safe Aggressive W10 Classic - Distribution Global Aggressive Classic - Distribution Safe Conservative W1 Classic - Distribution Global Conservative Classic - Distribution Safe Conservative W4 Classic - Distribution Global Conservative Classic - Distribution Safe Conservative W7 Classic - Distribution Global Conservative Classic - Distribution Safe Conservative W10 Classic - Distribution Global Conservative Classic - Distribution Safe Defensive W1 Classic - Distribution Global Defensive Classic - Distribution Safe Defensive W1* Life - Capitalisation Global Defensive Life - Capitalisation Safe Defensive W4 Classic - Capitalisation Global Defensive Classic - Capitalisation Safe Defensive W4 Classic - Distribution Global Defensive Classic - Distribution Safe Defensive W4* Life - Capitalisation Global Defensive Life - Capitalisation Safe Defensive W7 Classic - Distribution Global Defensive Classic - Distribution Safe Defensive W7* Life - Capitalisation Global Defensive Life - Capitalisation Safe Defensive W10 Classic - Distribution Global Defensive Classic - Distribution Safe Defensive W10* Life - Capitalisation Global Defensive Life - Capitalisation Safe Dynamic W1 Classic - Distribution Global Dynamic Classic - Distribution Safe Dynamic W1* Life - Capitalisation Global Dynamic Life - Capitalisation Safe Dynamic W1 N - Capitalisation Global Dynamic N - Capitalisation Safe Dynamic W4 Classic - Distribution Global Dynamic Classic - Distribution Safe Dynamic W4* Life - Capitalisation Global Dynamic Life - Capitalisation Page 146
BNP Paribas L1 Notes to the financial statements at 31/12/2016 Merging BNP Paribas L1 sub-funds Receiving BNP PARIBAS B STRATEGY sub-funds Safe Dynamic W7 Classic - Capitalisation Global Dynamic Classic - Capitalisation Safe Dynamic W7 Classic - Distribution Global Dynamic Classic - Distribution Safe Dynamic W7* Life - Capitalisation Global Dynamic Life - Capitalisation Safe Dynamic W7 N - Capitalisation Global Dynamic N - Capitalisation Safe Dynamic W10 Classic - Distribution Global Dynamic Classic - Distribution Safe Dynamic W10* Life - Capitalisation Global Dynamic Life - Capitalisation Safe Neutral W1 Classic - Capitalisation Global Neutral Classic - Capitalisation Safe Neutral W1 Classic - Distribution Global Neutral Classic - Distribution Safe Neutral W1* Life - Capitalisation Global Neutral Life - Capitalisation Safe Neutral W4 Classic - Distribution Global Neutral Classic - Distribution Safe Neutral W4* Life - Capitalisation Global Neutral Life - Capitalisation Safe Neutral W7 Classic - Distribution Global Neutral Classic - Distribution Safe Neutral W7* Life - Capitalisation Global Neutral Life - Capitalisation Safe Neutral W10 Classic - Distribution Global Neutral Classic - Distribution Safe Neutral W10* Life - Capitalisation Global Neutral Life - Capitalisation * No issued shares at the date of the merger. The share class I - Capitalisation of the sub-funds Safe Defensive W4 and Safe Dynamic W1 has been liquidated before the above merger, on 2 February 2017. Page 147
Unaudited appendix BNP Paribas L1 Voting rights - Governance and voting policy a) Introduction BNP Paribas Investment Partners (BNPP IP) considers the promotion of sound corporate governance practices to be an essential part of its proprietal responsibility. Corporate governance has to do with the system by which a company is managed and controlled. It relates to its management, its supervision and control mechanisms, as well as its relationships with stakeholders. Sound corporate governance establishes the framework which ensures that the company is managed in accordance with the long-term interests of its shareholders. BNPP IP expects all companies in which it invests to conform to best corporate governance practices. Voting at general meetings plays an important role in the dialogue with the companies in which we invest on behalf of our clients and is an integral part of the BNPP IP management processes. BNPP IP ensures that it exercises its voting rights in consideration of the specific circumstances of the company. Our voting policy and guidelines are reviewed annually so as to take into account changes in governance codes and market practices and are approved by BNPP IP s Board of Directors. Our voting policy applies to all of BNPP IP s management activities and to all BNPP IP entities that delegate the exercise of their voting rights to BNPP IP. The entities to which we delegate management duties are obliged to bear in mind our expectations and market practices when exercising their voting rights and to notify us regularly of the results achieved. b) Governance and voting principles The following principles describe BNPP IP s expectations of the listed companies in which it invests. They constitute a code of conduct guiding the execution of tasks on behalf of BNPP IP. i. To act in the long-term interests of shareholders The primary objective for companies should be to achieve long-term value for shareholders. Corporate governance practices should concentrate the attention of the Board of Directors on this objective. A clear strategy must be implemented to fulfill this objective, while considering all key stakeholders. ii. To protect the rights of shareholders All shareholders must be given the opportunity to vote on decisions pertaining to fundamental changes to the Company. Companies must ensure that investors rights are protected and treated on an equal basis, in particular by respecting the principle of one share - one vote - one dividend. Capital increases should be regulated in order to minimise dilution risk for existing shareholders. The mechanisms for averting takeover bids must not be deployed to unburden directors of their responsibilities. iii. To ensure an independent, effective advisory structure The Board of Directors and committees should maintain a strong presence of non-executive directors to ensure that management is effectively supervised. Directors must have the skills and involvement necessary to improve the efficiency of the Board of Directors. Finally, directors must be chosen in light of the need for the Board to be appropriately diverse. iv. To align compensation structures with the long-term interest of shareholders Compensation must be aligned with the Company's long-term performance. Compensation schemes should in no way limit the Company s ability to attract and retain directors. They must be in line with best market practices and be clearly communicated to shareholders in detail. Page 148
Unaudited appendix BNP Paribas L1 v. To disclose adequate information in a precise and timely manner Companies should ensure that the financial and operating results as well as information on capital distribution and on environmental, social and governance performance are communicated in a precise and timely manner. Annual audits of the financial statements produced by independent external auditors should exist in all companies. vi. To ensure sound environmental and social performance Companies should behave responsibly towards all their stakeholders and respect best environmental, social and governance practices in order to protect the long-term interest of shareholders. Companies should supply information on their carbon emissions and their commitment to the fight against climate change. c) Practical voting procedures i. The client BNPP IP advises its clients to delegate their voting rights to BNPP IP to allow the Company to preserve the interests of shareholders. BNPP IP votes solely in the interest of its clients and the ultimate beneficiaries of the funds for which it is responsible. BNPP IP must not subordinate the interests of its clients to other objectives. For clients having delegated their voting rights to BNPP IP, BNPP IP will ensure that proxies are received and voted in accordance with BNPP IP guidelines. All BNPP IP clients are made aware that such policies and voting procedures are in place. ii. Voting committee BNPP IP has appointed a proxy voting committee (PVC), which draws up the voting policy and then monitors adherence to this policy and the procedures. As voting is considered an integral part of the investment process, ultimate voting responsibility falls to the fund manager. iii. Voting perimeter The selection of securities over which BNPP IP exercises voting rights is guided by a dual objective: to concentrate our efforts on positions that account for a major proportion of our under management and to attend the general meetings of shareholders of those companies in which our funds hold a significant share of the capital. Our voting perimeter consists of companies in which the aggregated positions meet the following two criteria: They account for 90% of the accumulated total of our equity positions. They account for at least 1% of the company s stock exchange capitalisation. iv. Voting procedure The following points outline the key steps in the voting procedure by mail, from notification of the agenda for ordinary general meetings (OGM) or extraordinary general meetings (EGM) to execution of the vote: The company announces the OGM/EGM and its agenda. The custodian sends the ballot papers to the voting platform. Securities on loan are recalled or lending is restricted where it is deemed that the vote is important for the company or that too many securities are on loan. The SRI team and our voting service provider conduct an analysis of the agenda and make voting recommendations in accordance with our guidelines. Dialogue gets under way with issuers on an ad hoc basis. Voting instructions are issued by the fund manager or PVC and the vote is executed via our platform. Page 149
Unaudited appendix BNP Paribas L1 v. Conflicts of interest The free exercise of voting rights by BNPP IP would most likely be put in jeopardy in the following situations: An employee has personal or professional ties with the company whose shares are subject to the vote; Commercial relationships exist between the company concerned by the vote and another entity of the BNP Paribas Group; The voting rights being exercised involve shares of the BNP Paribas Group or significant interests of the Group. A number of mechanisms are aimed at preventing potential conflicts of interest: The voting policy stipulates that voting must be carried out in the exclusive interest of our clients and principals and stresses the independence of BNPP IP from the BNP Paribas Group and its business lines and subsidiaries; The voting guidelines, which provide a decision-making framework in relation to the exercise of the vote, are approved by the BNPP IP Board of Directors; Draft resolutions are assessed on the basis of analyses performed by independent external consultants; Employees have a duty to respect the procedures governing personal gifts and perquisites, and are obliged to declare any other professional activity; The Chinese wall separating BNPP IP from the other entities of the Group guarantees that BNPP IP employees remain independent in the conduct of their missions and responsibilities. Files on all potential conflicts of interest and their resolution will be held with the minutes of the PVC. Unavoidable conflicts of interest are resolved via an escalation mechanism involving the management of BNPP IP, namely: i. The fund manager ii. The compliance and internal audit officers iii. The Chairman vi. Transparency and Reporting BNPP IP is transparent as regards its voting policy and procedures: A copy of this policy can be viewed on the BNPP IP website; An annual report is published, which gives an overview of our voting activities; Details on our voting activity, resolution by resolution, can be obtained by our clients upon request. d) Voting guidelines These voting guidelines supplement the voting policy concerning voting at general meetings of shareholders of BNPP IP listed companies. The main types of resolution on which we are called to vote fall within four categories: i. Approval of financial statements ii. Financial operations iii. Appointment and compensation of directors and corporate officers iv. Other resolutions (e.g. regulated agreements) For each type of resolution, the guidelines propose the best practices and indicate situations that may lead to objections or abstentions during the vote. Voting decisions are taken in view of the following principles: For : the resolution reflects or is based on best practice and is in the long-term interest of shareholders. Abstention : the resolution raises an issue from the shareholders perspective. Against : the resolution is unacceptable and is not in the long-term interest of shareholders. Page 150
Unaudited appendix BNP Paribas L1 Consideration of environmental, social and governance (ESG) criteria BNP Paribas Asset Management applies a Responsible Investment Policy which sets out a certain number of ESG criteria applicable to our investment decisions. This policy is based on the criteria of the United Nations Global Compact, an international framework built on international conventions relating to human rights, labour, the environment and anti-corruption. This global initiative is supplemented by criteria aimed at controlling investment in certain business sectors, such as nuclear and coal-fired power stations, and prohibiting investment in controversial products, such as anti-personnel mines and cluster bombs. The investment criteria and implementation principles included in our Responsible Investment Policy can be consulted on our website at www.bnpparibas-ip.com. Furthermore, with regard to this UCITS, BNP Paribas Asset Management has applied a Sustainable Responsible Investment (SRI) policy, the principles of which are described in the AFG-FIR-Eurosif Transparency Code available on our website at www.bnpparibas-ip.com. for the following sub-fund: - Equity World Aqua - SMaRT Food - Sustainable Active Allocation Global market risk exposure The Management Company of the Fund, after a risk profile assessment, decides between the commitment approach and the VaR (99%, 1 Month) to determine the global market risk exposure. The VaR limit use (minimum, maximum and average) is calculated by dividing the Daily VaR by the daily VaR limit (20% for absolute return VaR sub-funds and 2 times benchmark VaR for relative VaR sub-funds). The global market risk exposure information for the year ending 31 December 2016, are as follows: Sub-fund Bond Euro High Yield Global Risk calculation Method Relative VaR VaR model Historical VaR Reference Portfolio ML - BB B European Currency Non Financial HY Constrained Index (HP4N) VaR limit 2 times Benchmark VaR Lowest utilisation of VaR limit Highest utilisation of VaR limit Average utilisation of VaR limit Average level of leverage reached during the year 42.47% 74.53% 59.21% 25.64% Bond Europe Plus Relative VaR Historical VaR 80% Barclays Euro Aggregate 1-10 years (RI) + 20% Barclays Sterling Aggregate 1-10 years (RI)* since 17 May 2016 2 times Benchmark VaR 31.33% 71.89% 56.94% 234.16% Bond USD (absorbed on 1 July 2016) Relative VaR Historical VaR 100% Barclays US Aggregate 2 times Benchmark VaR 0.00% 74.59% 58.63% 195.59% Bond World Emerging (liquidated on 1 September 2016) Relative VaR Historical VaR JPM EMBI Global Diversified 2 times Benchmark VaR 31.73% 53.18% 42.60% 27.00% Bond World Plus Relative VaR Historical VaR Barclays Global Aggregate (EUR) RI 2 times Benchmark VaR 42.23% 70.38% 51.88% 400.40% Page 151
BNP Paribas L1 Unaudited appendix Sub-fund Global Risk calculation Method VaR model Reference Portfolio VaR limit Lowest utilisation of VaR limit Highest utilisation of VaR limit Average utilisation of VaR limit Average level of leverage reached during the year Convertible Bond Best Selection Europe Relative VaR Historical VaR Thomson Reuters Europe Convertible Bond (EUR)** since 15 January 2016 2 times Benchmark VaR 29.93% 46.11% 37.05% 41.98% Convertible Bond World Relative VaR Historical VaR Thomson Reuters Global Focus Vanilla Hedged (EUR) CB*** since 15 January 2016 2 times Benchmark VaR 17.85% 48.42% 26.38% 98.89% Opportunities World (absorbed on 29 January 2016) Relative VaR Historical VaR MSCI AC World Free (EUR) NR 2 times Benchmark VaR 46.97% 52.06% 49.75% 0.00% The sub-funds not disclosed in the table here above use the commitment approach in order to measure and monitor the global exposure. * The reference portfolio was JPM GBI Europe Gross Return Index until 16 May 2016. ** The reference portfolio was UBS Convertible Europe (EUR) RI until 14 January 2016. *** The reference portfolio was UBS Convertible Global Focus Vanilla (Hedged in EUR) (EUR) RI until 14 January 2016. Information on the remuneration policy in effect within the Management Company Information on remuneration policy, applicable during the financial year 2016, is available on request to the management company BNP Paribas Investment Partners Luxembourg, 10 rue Edward Steichen, L-2540 Luxembourg. In addition, descriptive information on the remuneration policy of the management company can be found on the website http://www.bnpparibas-ip.com/en/remuneration-disclosure/. Regulation on transparency of Securities Financing Transactions and Reuse of collateral (SFTR) This collateral applies to all OTC activity of this fund. There is no way to distinguish it upon type of instrument it is related to. Bond Euro Premium Counterparty name Type Sub-fund Currency Market Value (absolute value) Maturity Issuers Safekeeping of collateral received Safekeeping of collateral granted Reinvestment SOCIETE GENERALE Cash EUR 120 000 Open None BP2S N/A No Total (absolute value) EUR 120 000 Multi-Asset Income Counterparty name DEUTSCHE BANK AKTIENGESELLS CHAFT Market Value Safekeeping Safekeeping Sub-fund Type (absolute Maturity Issuers of collateral of collateral Reinvestment Currency value) received granted Cash EUR 780 000 Open None BP2S N/A No Page 152
BNP Paribas L1 Unaudited appendix Counterparty name JP MORGAN SECURITIES PLC Market Value Safekeeping Safekeeping Sub-fund Type (absolute Maturity Issuers of collateral of collateral Reinvestment Currency value) received granted Cash EUR 270 000 Open None N/A Pooled N/A HSBC BANK PLC Cash EUR 1 370 000 Open None BP2S N/A No MERRIL LYNCH INTERNATIONAL MORGAN STANLEY & CO INTERNATIONAL PLC Cash EUR 10 000 Open None N/A Pooled N/A Cash EUR 950 000 Open None BP2S N/A No NOMURA Cash EUR 30 000 Open None N/A Pooled N/A BNP PARIBAS Cash EUR 5 340 000 Open None N/A Pooled N/A CITIGROUP GLOBAL MARKETS LIMITED SOCIETE GENERALE Cash EUR 485 842 Open None BP2S N/A No Cash EUR 210 000 Open None BP2S N/A No UBS LIMITED Cash EUR 480 000 Open None N/A Pooled N/A Total (absolute value) EUR 9 925 842 USD/EUR FX rate as of 30/12/2016 in AA Data on cost and return There are no fee sharing arrangements on Total Return Swaps and 100% of the costs/returns generated are recognised in Fund's primary statements. Page 153
www.bnpparibas-ip.com A global presence Europe Austria Belgium France Germany Greece Italy Luxembourg Portugal Spain Switzerland The Netherlands UK North America Canada USA Latin America Argentina Brazil Chile Colombia Mexico Uruguay Asia Pacific Australia Brunei China Hong Kong India Indonesia Japan Malaysia Singapore South Korea Taiwan Nordics Denmark Finland Norway Sweden EEMEA Bahrain Czech Republic Kuwait Morocco Russia Turkey Office addresses can be found in the About Us section of www.bnpparibas-ip.com. 14, rue Bergère - 75009 Paris - France December 2012 - Design: - P1211105_UK