BNP PARIBAS COMFORT FCP

BNP PARIBAS COMFORT FCP SEMI-ANNUAL REPORT at 31/01/2018 R.C.S. Luxembourg K 641 The asset manager for a changing world

The asset manager for a changing world

BNP PARIBAS COMFORT Table of contents Page Organisation 2 Information 3 Financial statements at 31/01/2018 4 Key figures relating to the last 3 years 5 Securities portfolio at 31/01/2018 Bond Fund 6 Equity High Dividend Europe 7 Sustainable Equity World Plus 8 Notes to the financial statements 9 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 1

BNP PARIBAS COMFORT Organisation Registered office 10 Rue Edward Steichen, L-2540 Luxembourg, Grand Duchy of Luxembourg Board of Directors of the Management Company Chairman Mr. Anthony FINAN, Chief Marketing Officer & CSR Delegate, BNP PARIBAS ASSET MANAGEMENT France, Paris (until 29 November 2017) Mr. Fabrice SILBERZAN, Deputy Chief Executive Officer, BNP PARIBAS ASSET MANAGEMENT France, Paris (since 11 January 2018) Members Ms. Sylvie BAIJOT, Deputy Chief Executive Officer, BNP PARIBAS ASSET MANAGEMENT Luxembourg, Luxembourg Mr. Stéphane BRUNET, Chief Executive Officer, BNP PARIBAS ASSET MANAGEMENT Luxembourg, Luxembourg Mr. Georges ENGEL, Independent Director, Vincennes, France Management Company BNP PARIBAS ASSET MANAGEMENT Luxembourg, 10 Rue Edward Steichen, L-2540 Luxembourg, Grand Duchy of Luxembourg BNP PARIBAS ASSET MANAGEMENT Luxembourg is a Management Company as defined in chapter 15 of the amended Law of 17 December 2010 on 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 Portfolio management is delegated to: Effective Investment Managers BNP PARIBAS ASSET MANAGEMENT France, 1 Boulevard Haussmann, F-75009 Paris, France BNP PARIBAS ASSET MANAGEMENT UK Ltd., 5 Aldermanbury Square, London EC2V 7BP, United Kingdom Advisor FundQuest Advisor, 1 Boulevard Haussmann, F-75009 Paris, France Depositary 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 2

Information BNP PARIBAS COMFORT BNP PARIBAS COMFORT (the Fund ) is as a Mutual Investment Fund (Fonds Commun de Placement - FCP) created under the Luxembourg law on 28 July 2005 for an indefinite period in accordance with the provisions of Part I of the amended Law of 17 December 2010, (the law ) relating to UCI. The Management Regulations of the Fund were filed with the clerk of the district court, where any interested person may consult them or obtain a copy. They were published in the Mémorial, Recueil des Sociétés et Associations, on 15 September 2005. An intermediate version of the Management Regulations was signed on 3 October 2007. The current version of the Management Regulations was signed on 11 July 2017 and published in the Mémorial on 7 August 2017. The complete name BNP PARIBAS COMFORT and the short-name BNPP COMFORT may be used equally in the official and commercial documents of the Fund. The Fund is an umbrella fund, which comprises multiple sub-funds, each with distinct assets and liabilities of the Fund. Each sub-fund shall have an investment policy and a reference currency that shall be specific to it as determined by the Management Company. Each calculation of the net asset value will be performed under the responsibility of the Board of Directors of the Management Company as follows: the net asset value per unit of each sub-fund, category and/or sub-category will be calculated, unless otherwise stated in book II of the prospectus, for each day of the week on which banks are open for business in Luxembourg (a Valuation Day ), there is a corresponding NAV which is dated the same day, unless 50% or more of the underlying assets cannot be valued. It will be calculated in the currencies mentioned in book II of the prospectus for each sub-fund. As to net asset values and dividends, the Management Company publishes the legally required information in the Grand Duchy of Luxembourg and in all other countries where the units are publicly offered. The Management Regulations, the Prospectus, the KIID, and periodic reports may be consulted at the Fund s registered office and at the establishments responsible for the Fund s financial service. Copies of the Management Regulations and the annual and interim reports are available on request. Except for the newspaper publications required by Law, the official media to obtain any notice to unitholders from will be the website www.bnpparibas-am.com. Documents and information are also available on the website: www.bnpparibas-am.com. The financial year begins on 1 August and ends on 31 July. Page 3

Financial statements at 31/01/2018 BNP PARIBAS COMFORT Bond Fund Equity High Dividend Europe Sustainable Equity World Plus Consolidated Expressed in EUR EUR EUR EUR Notes Statement of net assets Assets 668 452 605 510 664 375 133 927 277 1 313 044 257 Securities portfolio at cost price 612 793 709 414 559 897 115 419 592 1 142 773 198 Unrealised gain/(loss) on securities portfolio 35 725 098 94 852 796 17 468 087 148 045 981 Securities portfolio at market value 2 648 518 807 509 412 693 132 887 679 1 290 819 179 Net Unrealised gain on financial instruments 2,7,8 1 003 269 0 0 1 003 269 Cash at banks and time deposits 1 790 000 342 397 831 929 2 964 326 Other assets 17 140 529 909 285 207 669 18 257 483 Liabilities 5 952 968 1 036 776 250 316 7 240 060 Options at market value 2,9 139 659 0 0 139 659 Bank overdrafts 3 565 230 0 0 3 565 230 Other liabilities 2 248 079 1 036 776 250 316 3 535 171 Net asset value 662 499 637 509 627 599 133 676 961 1 305 804 197 Statement of operations and changes in net assets Income on investments and assets 2 063 035 78 041 13 163 2 154 239 Management and advisory fees 3 2 659 866 3 224 232 883 121 6 767 219 Bank interest 17 608 1 995 1 701 21 304 Interest on swaps 83 074 0 0 83 074 Other fees 4 815 690 593 260 145 084 1 554 034 Taxes 5 396 637 266 679 72 935 736 251 Transaction fees 13 9 599 11 937 28 174 49 710 Total expenses 3 982 474 4 098 103 1 131 015 9 211 592 Net result from investments (1 919 439) (4 020 062) (1 117 852) (7 057 353) Net realised result on: Investments securities 2 4 165 666 7 560 741 1 983 997 13 710 404 Financial instruments 2 3 296 281 0 0 3 296 281 Net realised result 5 542 508 3 540 679 866 145 9 949 332 Movement on net unrealised gain/(loss) on: Investments securities 2 1 082 360 19 322 135 6 139 972 26 544 467 Financial instruments 2 1 019 037 0 0 1 019 037 Change in net assets due to operations 7 643 905 22 862 814 7 006 117 37 512 836 Net subscriptions/(redemptions) (81 160 347) (7 663 047) 15 030 851 (73 792 543) Dividends paid 6 (1 631 316) (15 726 559) (1 732 942) (19 090 817) Increase/(Decrease) in net assets during the year/period (75 147 758) (526 792) 20 304 026 (55 370 524) Net assets at the beginning of the financial year/period 737 647 395 510 154 391 113 372 935 1 361 174 721 Net assets at the end of the financial year/period 662 499 637 509 627 599 133 676 961 1 305 804 197 The accompanying notes form an integral part of these financial statements Page 4

Key figures relating to the last 3 years BNP PARIBAS COMFORT Bond Fund EUR EUR EUR Number of units 31/07/2016 31/07/2017 31/01/2018 31/01/2018 Net assets 924 224 491 737 647 395 662 499 637 Net asset value per unit Units Classic - Capitalisation 137.59 135.91 137.35 1 057 361.047 Units Classic - Distribution 101.43 99.68 100.44 5 150 110.236 Equity High Dividend Europe EUR EUR EUR Number of units 31/07/2016 31/07/2017 31/01/2018 31/01/2018 Net assets 464 841 455 510 154 391 509 627 599 Net asset value per unit Units Classic - Capitalisation 125.55 141.51 148.08 1 004 477.793 Units Classic - Distribution 78.53 84.44 84.56 4 268 009.130 Sustainable Equity World Plus EUR EUR EUR Number of units 31/07/2016 31/07/2017 31/01/2018 31/01/2018 Net assets 78 279 531 113 372 935 133 676 961 Net asset value per unit Units Classic Solidarity - Capitalisation 111.63 119.76 126.83 446 328.530 Units Classic Solidarity - Distribution 108.66 113.62 117.54 655 676.296 The accompanying notes form an integral part of these financial statements Page 5

BNP PARIBAS COMFORT Bond Fund Securities portfolio at 31/01/2018 Expressed in EUR Quantity Denomination Quotation currency Market value % of net assets Shares/Units in investment funds 648 518 807 97.89 Luxembourg 388 034 000 58.57 8 411.00 ALPHA UCITS SICAV FAIR OAKS DNMC CRDT FD EUR 8 962 341 1.35 645 900.96 BLUEBAY - INVESTMENT GRADE AGGREGATE BOND FUND EUR - I EUR 108 311 133 16.34 395.83 BNP PARIBAS EASY JPM GBI EMU TRACK - I - CAP EUR 53 950 083 8.14 53 035.74 DB PLATINUM IV SYSTEMATIC ALPHA I 1C - E EUR 7 444 627 1.12 2 589 253.42 GOLDMAN SACHS EM DEBT PORTFOLIO - I - CAP USD 33 047 666 4.99 120 981.03 JP MORGAN INVESTMENT FUNDS INC OPP AHC SHS A EUR CAP EUR 16 746 194 2.53 92 500.00 MERRILL LYNCH INVEST SOLUTIONS - MARSHALL WACE TOPS UCITS F - EUR - B - CAP EUR 13 441 175 2.03 181 448.98 PARVEST BOND ABSOLUTE RETURN V350 - I - CAP EUR 20 242 448 3.06 115 405.36 PARVEST BOND EURO CORPORATE - I - CAP EUR 23 950 074 3.62 66 579.00 PARVEST CROSS ASSET ABSOLUTE RETURN - I - CAP EUR 6 466 152 0.98 341 599.15 PARVEST ENHANCED CASH 6 MONTHS - I - CAP EUR 39 092 606 5.90 83 000.00 PARVEST GEARS - I - CAP USD 6 701 296 1.01 96 550.00 PARVEST MULTI- ASSET INCOME EMERGING - I - CAP USD 10 108 008 1.53 57 000.00 PARVEST QIS MULTI-FACTOR CREDIT EURO IG - I - CAP EUR 5 664 090 0.85 10 000.00 PARVEST QIS MULTI-FACTOR CREDIT EURO IG - X - CAP EUR 993 700 0.15 60.00 PARWORLD FLEXIBLE CONVERTIBLE BOND FUND - I - CAP USD 5 217 721 0.79 1 481 308.19 STANDARD LIFE-EU CORP BOND - D EUR 27 694 686 4.18 Ireland 161 849 850 24.43 59 200.00 BLACKROCK ISHARES CORE EURO CORP BOND UCITS ETF EUR EUR 7 695 408 1.16 438 727.11 BLACKROCK ISHARES EURO GOVERNMENT BOND INDEX - I CAP EUR EUR 9 894 174 1.49 1 923 000.00 BLACKROCK ISHARES EURO INVESTMENT GRADE CORPORATE BOND INDEX FUND (IE) CAP - EUR EUR 24 966 309 3.77 198 226.00 MUZINICH LONG SHORT-HEAANE EUR 20 482 693 3.09 2 140 752.60 PIMCO EURO BD EURINS ACC EUR 51 378 062 7.76 749 872.00 SPDR EMERGING MARKETS LOCAL BD USD 47 433 204 7.16 France 83 940 207 12.67 573.90 BNP PARIBAS ABS EUROPE IG - EUR - I EUR 33 513 380 5.06 326.00 BNP PARIBAS SUSTAINABLE BOND EURO SHORT TERM - I - CAP EUR 33 898 777 5.12 115 500.00 CAMGESTION CONVERTIBLE EUROPE - G EUR 16 528 050 2.49 United Kingdom 14 694 750 2.22 11 810 400.00 SEQUOIA ECONOMIC INFRASTRUCT GBP 14 694 750 2.22 Total securities portfolio 648 518 807 97.89 The accompanying notes form an integral part of these financial statements Page 6

BNP PARIBAS COMFORT Equity High Dividend Europe Securities portfolio at 31/01/2018 Expressed in EUR Quantity Denomination Quotation currency Market value % of net assets Shares/Units in investment funds 509 412 693 99.96 Luxembourg 403 572 151 79.19 103 327.81 ABN AMRO PZENA E - EQ - I EUR 15 769 270 3.09 10 071.99 ALLIANZ RCM EUROPE EQUITY GROWTH WT EUR EUR 25 596 945 5.02 78 859.00 BNP PARIBAS EASY EQUITY VALUE EUROPE UCITS ETF - CAP EUR 9 972 391 1.96 208 537.72 BNP PARIBAS L1 EQUITY EUROPE DEFI - I - CAP EUR 25 387 382 4.98 9 661.61 ELEVA EUROPEAN SEL FD I2 EUR EUR 12 546 374 2.46 422 820.84 JP MORGAN INVESTMENT FUNDS EUR ST DIV - I - ACC EUR 76 399 499 15.00 663 167.54 JUPITER GLOBAL FD-EURO OPP - I EUR 19 603 232 3.85 107 778.23 NN (L) EUROPE HIGH DIVIDEND - I - CAP EUR 51 232 380 10.05 197 585.45 PARVEST EQUITY BEST SELECTION EUROPE - I - CAP EUR 51 382 096 10.08 103 147.90 PARVEST EQUITY EUROPE SMALL CAP - I - CAP EUR 26 072 695 5.12 60 359.22 PARVEST EQUITY EUROPE VALUE - I - CAP EUR 12 759 938 2.50 463 000.00 PARVEST SUSTAINABLE EQUITY HIGH DIVIDEND EUROPE - I - CAP EUR 51 471 710 10.10 16 200.91 UNI-GLOBAL EQ EUROPE - RA EUR EUR 25 378 239 4.98 Belgium 63 796 555 12.52 228 113.69 PETERCAM B - EQ EUROPE DVD - F EUR 63 796 555 12.52 Ireland 25 409 702 4.99 180 441.00 SOURCE GS EFI EUROPE EUR 25 409 702 4.99 France 16 634 285 3.26 325 843.00 BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF - CLASSIC - CAP EUR 16 634 285 3.26 Total securities portfolio 509 412 693 99.96 The accompanying notes form an integral part of these financial statements Page 7

BNP PARIBAS COMFORT Sustainable Equity World Plus Securities portfolio at 31/01/2018 Expressed in EUR Quantity Denomination Quotation currency Market value % of net assets Shares/Units in investment funds 132 887 679 99.41 Luxembourg 69 508 691 51.99 66 647.65 PARVEST CLIMATE IMPACT - I - CAP EUR 13 131 585 9.82 138 092.28 PARVEST HUMAN DEVELOPMENT - I - CAP EUR 13 185 051 9.86 157 214.66 PICTET CLEAN ENERGY - I EUR EUR 13 300 360 9.95 744 343.76 SCHRODER INTL GL CLIM CH-CEURA EUR 13 412 628 10.03 89 516.36 SPARINVEST-ETHICAL GL VAL-IEUR EUR 16 479 067 12.33 Ireland 26 669 295 19.95 691 125.68 ACADIAN GLOBAL EQUITY SRI UCITS EUR 13 269 613 9.93 292 123.00 BLACKROCK ISHARES CORE MSCI WORLD UCITS EUR 13 399 682 10.02 United Kingdom 23 346 829 17.47 5 236 543.19 FIRST STATE WORLDW SUST-B - EUR - A EUR 9 914 347 7.42 6 445 528.57 JANUS HENDERSON GLOBAL CARE GROWTH - I A EUR EUR 13 432 482 10.05 France 13 362 864 10.00 339.61 BNP PARIBAS AQUA - I - CAP EUR 13 362 864 10.00 Total securities portfolio 132 887 679 99.41 The accompanying notes form an integral part of these financial statements Page 8

Notes to the financial statements Page 9

BNP PARIBAS COMFORT Notes to the financial statements at 31/01/2018 Note 1 - General information a) Events that occurred during the financial period ended 31 January 2018 No special event occurred during this financial period. b) Sub-funds open All sub-funds whose securities portfolios are detailed in the present document are available for subscription as at 31 January 2018. Note 2 - Principal accounting methods a) Net asset value This semi-annual report is prepared on the basis of the last net asset value as at 31 January 2018. b) Presentation of the financial statements The financial statements of the Fund are presented in accordance with the legislation in force in Luxembourg on Undertakings for Collective Investment. The consolidation currency of the Fund is the euro (EUR). The statement of operations and changes in net assets covers the financial period from 1 August 2017 to 31 January 2018. c) Valuation of the securities portfolio The value of shares or units in Undertakings for Collective Investment shall be determined on the basis of the last net asset value available on the Valuation Day. If this 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 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 this price is not a true reflection, then the valuation shall be based on the probable sale price estimated by the Board of Directors of the Management Company in a prudent and bona fide manner. 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 of the Management Company. d) 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 assets. e) Valuation of forward foreign exchange contracts Forward foreign exchange contracts remaining open at the closing date are valued by reference to the forward foreign exchange rate corresponding to the remaining life of the contract. Any unrealised gains and losses are included when determining the result of the transactions. Page 10

BNP PARIBAS COMFORT Notes to the financial statements at 31/01/2018 To calculate the net positions per currency, the positions are converted at the forward exchange rates corresponding to the remaining life of the contract. f) Valuation of inflation swaps 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. g) Presentation of options Options contracts traded over-the-counter are valued at the prices at which the position could be liquidated under the market conditions prevailing at the valuation date. The liquidation value of forward contracts or options contracts traded on regulated markets will be based on the latest available settlement price of these contracts on the regulated markets on which these forward contracts or option contracts are traded by the Fund; provided that if a forward contract or an options contract cannot be liquidated on the day on which the net assets are valued, the basis that will be used to determine the liquidation value of this contract will be determined fairly and reasonably by the Board of Directors of the Management Company. h) Net realised result on the securities portfolios The net realised result on investment securities is calculated on the basis of the average cost of the securities sold. i) Conversion of foreign currencies The values expressed in a currency other than that in which the relevant sub-fund concerned is denominated are converted on the basis of the exchange rate applicable on the Valuation Day. j) Income on investments Dividends are recognized as income on the date on which they are declared and to the extent that the information in question can be obtained by the Fund. Interest is recognized on a daily basis. k) Swing pricing In certain market conditions, taking account of the volume of purchase and sale transactions in a given sub-fund, category or class and the size of these transactions, the Board of Directors of the Management Company may consider that it is in the interests of unitholders to calculate the NAV per unit based on the purchase and sale prices of the assets and/or by applying an estimate of the difference between the buy and sell price applicable on the markets on which the assets are traded. The Board of Directors of the Management Company may further adjust the NAV for transaction fees and sales commissions, provided these fees and commissions do not exceed 1% of the NAV of the sub-fund, category or class at that time. The NAV and the NAV per Share disclosed in the financial statements and in the Key figures relating to the last 3 years do not include Swing pricing adjustment. No swing pricing occurred during the financial period. Page 11

BNP PARIBAS COMFORT Notes to the financial statements at 31/01/2018 Note 3 - Management, advisory and charity fees (maximum per annum) Management fees are calculated and deducted monthly from the average net assets of a sub-fund, unit category, or class of unit, are paid to the Management Company and serve to cover the remuneration of the asset managers and also distributors in connection with the marketing of the Fund s units. Sub-fund Management fee (Maximum) Classic* Management fee (Maximum) Privilege Advisory fee (Maximum) Bond Fund 0.75% 0.40% 0.10% Equity High Dividend Europe 1.25% 0.65% 0.15% Sustainable Equity World Plus 1.20% - 0.15% * Classic Solidarity for the sub-fund Sustainable Equity World Plus An indirect fee of maximum 3.00% is applied for all the sub-funds and for the sub-fund Sustainable Equity World Plus, a charity fee of 0.05% is applied for the Unit class Classic Solidarity. Note 4 - Other fees The other fees are calculated and deducted monthly from the average net assets of a sub-fund, unit category, or unit class and serve to cover general custody asset expenses (remuneration of the Depositary) and daily administration expenses (NAV calculation, record and book keeping, notices to the unitholders, providing and printing the documents legally required for the unitholders, 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. Note 5 - Taxes The Fund is liable in Luxembourg to an annual taxe d abonnement of 0.05% of the net asset value. This rate is reduced to 0.01% for: a) sub-funds with the exclusive objective of collective investments in money market instruments and deposits with credit institutions; b) sub-funds with the exclusive objective of collective investments in deposits with credit institutions; c) sub-funds, categories and/or classes reserved for Institutional Investors, Managers and UCIs. Are exempt from paying the taxe d abonnement : a) the value of the assets represented by units or shares held in other UCIs, where such units or shares have already been subject to the taxe d abonnement ; b) sub-funds, units 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, units 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; Page 12

BNP PARIBAS COMFORT Notes to the financial statements at 31/01/2018 e) sub-funds, units 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 due, the taxe d abonnement is payable quarterly on the basis of the relevant net assets and calculated at the end of the quarter to which it is applicable. In addition, the Fund may be subject to a foreign UCI's tax in the country where the sub-fund is registered for distribution. This tax includes the registration fees too. Note 6 - Dividends The following dividends were paid on 20 November 2017 for units outstanding as at 14 November 2017 with an ex-date 15 November 2017 Sub-fund Currency Dividend Bond Fund Classic - Distribution EUR 0.30 Equity High Dividend Europe Classic - Distribution EUR 3.65 Sustainable Equity World Plus Classic Solidarity - Distribution EUR 2.74 Note 7 - Forward foreign exchange contracts As at 31 January 2018, the total amount purchased per currency and the total amount sold per currency in the context of forward foreign exchange contracts were as follows: Bond Fund Currency Purchase amount Currency Sale amount EUR 31 787 150 EUR 22 375 400 SEK 204 000 000 GBP 13 000 000 USD 2 000 000 USD 20 400 000 Net unrealised gain (in EUR) 669 940 As at 31 January 2018, the latest maturity of all outstanding contracts is 15 February 2018. Counterparties to Forward foreign exchange contracts: Citigroup Global Market Morgan Stanley & Co International Plc UBS Ltd London Note 8 - Swaps 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 assets in the Statement of net assets, while the payable amount is given under Other liabilities in the Statement of net assets. Page 13

BNP PARIBAS COMFORT Notes to the financial statements at 31/01/2018 Bond Fund Nominal Currency Maturity Sub-fund paid Sub-fund received 24 485 586 GBP 16/05/2022 UK RPI NSA 3.480% 15 550 000 GBP 16/05/2022 UK RPI NSA 3.490% Net unrealised gain (in EUR) 333 329 Counterparty to Swaps contracts: Morgan Stanley & Co International Plc, United Kingdom Note 9 - Options positions As at 31 January 2018, the following positions on options were outstanding: Bond Fund Currency Quantity Purchase/ Sale EUR 30 000 000 S EUR 30 000 000 P EUR 30 000 000 P EUR 17 000 000 P Description CALL EUR/USD 12/04/2018 1.225 PUT EUR/USD 12/04/2018 1.18 CALL USD/EUR 12/04/2018 1.24 CALL GBP/EUR 23/08/2018 0.94 Maturity date Strike Nominal (in EUR) Market value (in EUR) 12/04/2018 1.225 29 500 301 (819 600) 12/04/2018 1.180 28 416 616 25 170 12/04/2018 1.240 29 861 529 563 430 23/08/2018 0.940 18 240 968 91 341 Total: (139 659) As at 31 January 2018, the cash margin balance in relation to futures and/or options amounted to 0 EUR. Counterparties to Options: BNP Paribas Paris Morgan Stanley & Co International Plc Note 10 - Global overview of collateral held per sub-fund As at 31 January 2018, the counterparties to financial instruments immobilised the following collateral to the profit of the Fund: Sub-fund Currency OTC collateral Type of collateral Bond Fund EUR 780 000 Cash Note 11 - Changes in the composition of the securities portfolio The list of changes in the composition of the securities portfolio during the period is available free of charge at the Management Company s registered office and from local agents. Note 12 - Exchange rate As at 31 January 2018, all sub-funds and unit classes were denominated in EUR. Page 14

BNP PARIBAS COMFORT Notes to the financial statements at 31/01/2018 Note 13 - Transaction fees Transaction fees incurred by the Fund relating to purchase or sale of transferable securities, money market instruments, derivatives or other eligible assets are mainly composed of standard fees, sundry fees on transaction, stamp fees, brokerage fees, custody fees, VAT fees, stock exchange fees and RTO fees (Reception and Transmission of Orders). 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. Note 14 - List of Fund managers BNP PARIBAS ASSET MANAGEMENT France, abbreviated to BNPP AM France BNP PARIBAS ASSET MANAGEMENT UK Ltd., abbreviated to BNPP AM UK Sub-fund Bond Fund Equity High Dividend Europe Sustainable Equity World Plus Fund managers BNPP AM UK BNPP AM France Subdelegating Cash management (as of 3 July 2017) and Exposure management to BNPP AM UK (as of 1 December 2016) BNPP AM France Subdelegating Cash management (as of 3 July 2017), Exposure management (as of 1 December 2016) and Fx management to BNPP AM UK Note 15 - Information according to regulation on transparency of securities financing transactions The FCP is not affected by SFTR instruments during the financial period ending 31 January 2018. Page 15

The asset manager for a changing world