BNP PARIBAS EASY FR - extraETF

Publication of issue and redemption prices: available to unitholders from the management company Classification : Internal

Sub-fund 1: BNP Paribas Easy S&P 500 UCITS ETF Sub-fund 2: BNP Paribas Easy Stoxx Europe 600 UCITS ETF Sub-fund 3: BNP Paribas Easy EURO STOXX 50 UCITS ETF

Management company: BNP PARIBAS ASSET MANAGEMENT FRANCE

Depositary: BNP PARIBAS SECURITIES SERVICES

Registered office:

1, boulevard Haussmann, 75009 Paris, France

Paris trade and companies register no. 797 774 783

BNP PARIBAS EASY FR Annual report as at 31 December 2020

BNP PARIBAS EASY FR

Annual report as at 31 December 2020 2 Classification : Internal

Contents

Consolidated report of the Master Fund

Appendix

Annual financial statements Assets .............................................................................................................................................................................. 5 Liabilities .......................................................................................................................................................................... 6 Off-balance sheet items ................................................................................................................................................... 7 Income statement .......................................................................................................................................................... 10

Sub-fund 1: BNP Paribas Easy S&P 500 UCITS ETF

Management report

Board of Directors .......................................................................................................................................................... 11 Investment strategy ........................................................................................................................................................ 12 Investment policy ........................................................................................................................................................... 18

Annual financial statements Assets ............................................................................................................................................................................ 30 Liabilities ........................................................................................................................................................................ 31 Off-balance sheet items ................................................................................................................................................. 32 Income statement .......................................................................................................................................................... 34

Notes to the annual financial statements

Accounting principles and policies ................................................................................................................................. 35 Change in net assets ..................................................................................................................................................... 37 Additional information 1 ................................................................................................................................................. 38 Additional information 2 ................................................................................................................................................. 39 Breakdown of receivables and debts by type ................................................................................................................. 40 Breakdown of instruments by legal or economic type .................................................................................................... 41 Breakdown of assets, liabilities and off-balance sheet items by interest rate type ......................................................... 42 Breakdown of assets, liabilities and off-balance sheet items by residual maturity ......................................................... 43 Breakdown of assets, liabilities and off-balance sheet items by listing currency ............................................................ 44 Allocation of income ....................................................................................................................................................... 45 Profit/loss and other items.............................................................................................................................................. 53 Inventory ........................................................................................................................................................................ 57 Resolutions .................................................................................................................................................................... 60

Sub-fund 2: BNP Paribas Easy Stoxx Europe 600 UCITS ETF

Management report Board of Directors .......................................................................................................................................................... 63 Investment strategy ........................................................................................................................................................ 66 Investment policy ........................................................................................................................................................... 71

Annual financial statements Assets ............................................................................................................................................................................ 81 Liabilities ........................................................................................................................................................................ 82 Off-balance sheet items ................................................................................................................................................. 83

BNP PARIBAS EASY FR


Income statement .......................................................................................................................................................... 84


Accounting principles and policies ................................................................................................................................. 85 Change in net assets ..................................................................................................................................................... 88 Additional information 1 ................................................................................................................................................. 89 Additional information 2 ................................................................................................................................................. 90 Breakdown of receivables and debts by type ................................................................................................................. 91 Breakdown of instruments by legal or economic type .................................................................................................... 92 Breakdown of assets, liabilities and off-balance sheet items by interest rate type ......................................................... 93 Breakdown of assets, liabilities and off-balance sheet items by residual maturity ......................................................... 94 Breakdown of assets, liabilities and off-balance sheet items by listing currency ............................................................ 95 Allocation of income ....................................................................................................................................................... 96 Profit/loss and other items............................................................................................................................................ 100 Inventory ...................................................................................................................................................................... 102 Resolutions .................................................................................................................................................................. 104

Sub-fund 3: BNP Paribas Easy EURO STOXX 50 UCITS ETF

Management report Board of Directors ........................................................................................................................................................ 108 Investment strategy ...................................................................................................................................................... 111 Investment policy ......................................................................................................................................................... 115

Annual financial statements Assets .......................................................................................................................................................................... 122 Liabilities ...................................................................................................................................................................... 123 Off-balance sheet items ............................................................................................................................................... 124 Income statement ........................................................................................................................................................ 125


Accounting principles and policies ............................................................................................................................... 126 Change in net assets ................................................................................................................................................... 128 Additional information 1 ............................................................................................................................................... 129 Additional information 2 ............................................................................................................................................... 130 Breakdown of receivables and debts by type ............................................................................................................... 131 Breakdown of instruments by legal or economic type .................................................................................................. 132 Breakdown of assets, liabilities and off-balance sheet items by interest rate type ....................................................... 133 Breakdown of assets, liabilities and off-balance sheet items by residual maturity ....................................................... 134 Breakdown of assets, liabilities and off-balance sheet items by listing currency .......................................................... 135 Allocation of income ..................................................................................................................................................... 136 Profit/loss and other items............................................................................................................................................ 140 Inventory ...................................................................................................................................................................... 143 Resolutions .................................................................................................................................................................. 145

BNP Paribas Easy S&P 500 UCITS ETF


Board of Directors

CHAIRMAN OF THE BOARD

Laurent GAUDE

CHIEF EXECUTIVE OFFICER AND DIRECTOR

Diane TERVER-AGAZZOTTI

DIRECTORS

Grégory GUERRAND Marie-Sophie PASTANT

Isabelle RICHARD-BOURCIER Guido STUCCHI

STATUTORY AUDITOR

PRICEWATERHOUSECOOPERS



STRATEGY

IDENTIFICATION CLASSIFICATION: International equities

MANAGEMENT OBJECTIVE:

The BNP PARIBAS EASY S&P 500 UCITS ETF sub-fund (hereinafter the "Sub-Fund") aims to replicate the performance of the S&P 500®

(Net Return) index, regardless of its upward and downward trends.

As the Sub-Fund is indexed, it seeks to maintain the tracking error in absolute terms between the growth of the Sub-Fund’s net asset value and that of the index at a level below 1%. If this tracking error exceeds 1%, it must not under any circumstances exceed 5% of the index's volatility.

BENCHMARK INDEX:

The benchmark index is the S&P 500® (Net Total Return) (Bloomberg Code: SPTR500N), published in USD by Standard & Poor's. The S&P 500® index is a composite stock index of the top 500 US companies.

The selected securities represent the largest stock market capitalisations covering approximately 75% of US corporate shares.

The index was created by S&P in 1957 and includes net dividends paid by the shares that comprise it. A comprehensive description of the index and the publication of its securities are available on the website http://www.standardandpoors.com/.

In accordance with Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016, the index administrator is registered in the register of administrators and benchmark indices maintained by the European Securities and Markets Authority.

Standard & Poor's is the index administrator.

Furthermore, pursuant to the same regulation, the management company has a procedure for monitoring the benchmark indices used outlining the measures to be implemented in the event of substantial changes to an index or cessation of the provision of that index.

- Publication of the index:

Standard & Poor's is responsible for calculating and disseminating the value of the S&P 500® (Net Total Return) index.

The closing level of the S&P 500® (Net Total Return) index is calculated daily using the official closing price of the stock exchange on which its constituent securities are traded. The S&P 500® (Net Total Return) index is also calculated in real time on each business day of its stock exchange.

The S&P 500® (Net Total Return) index is published in real time via Reuters and Bloomberg: Reuters: SPXNTR Bloomberg: SPTR500N Index

Disclaimer from Standard & Poor's:

"S&P 500®" is a product of S&P Dow Jones Indices LLC, a division of S&P Global, or its affiliates ("SPDJI"), the use of which is licensed to BNP Paribas Asset Management France. Standard & Poor's® and S&P® are registered trademarks of Standard & Poor's Financial Services LLC, a division of S&P Global ("S&P"); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"); these are licensed for use in favour of SPDJI and sub-licences for special purposes in favour of BNP Paribas Asset Management France. An index is not a direct source of investment. BNP PARIBAS EASY S&P 500 UCITS ETF is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or any of their respective affiliates (collectively, "S&P Dow Jones Indices"). S&P Dow Jones Indices make no representations or warranties, express or implied, to the owners of BNP PARIBAS EASY S&P 500 UCITS ETF or any member of the public recommending investment in securities in general or in BNP PARIBAS EASY S&P 500 UCITS ETF in particular or concerning the ability of S&P 500® to monitor the overall performance of the market. The previous performance of an index is not guaranteed nor is it an indication of future results. The only relationship between S&P Dow Jones Indices and BNP Paribas Asset Management France concerning S&P 500® relates to the licensing of

http://www.standardandpoors.com/



the Index, certain trademarks, service marks and/or trade names of S&P Dow Jones Indices. S&P 500® is determined, defined and calculated by S&P Dow Jones Indices without taking into account BNP Paribas Asset Management France or BNP PARIBAS EASY S&P 500 UCITS ETF. S&P Dow Jones Indices have no obligation to take into account the needs of BNP Paribas Asset Management France or of the owners of BNP PARIBAS EASY S&P 500 UCITS ETF when determining, defining or calculating the S&P 500®. S&P Dow Jones Indices are not responsible for, and have not been involved in determining prices, and the amount of the BNP PARIBAS EASY S&P 500 UCITS ETF or the schedule of issues and sales of BNP PARIBAS EASY S&P 500 UCITS ETF or the determination or calculation of the equation by which BNP PARIBAS EASY S&P 500 UCITS ETF is to be converted into cash, redeemed or refunded, if applicable. S&P Dow Jones Indices have no obligation or responsibility for the management, marketing or negotiation of BNP PARIBAS EASY S&P 500 UCITS ETF. No assurance is given that investment products based on S&P 500® will accurately monitor the performance of the index or generate a positive return on investment. S&P Dow Jones Indices LLC does not act as a financial investment advisor or tax advisor. You should consult with a tax advisor to assess the impact that any tax-free security could have on the portfolios and the tax implications of any investment decision. The inclusion of a security in an index does not imply recommendation on the part of S&P Dow Jones Indices to buy, sell or hold that security, nor should it be considered as investment advice.

NEITHER S&P DOW JONES INDICES NOR THE THIRD PARTY LICENSORS WARRANT THE RELEVANCE, ACCURACY, TIMELINESS AND/OR COMPLETENESS OF S&P 500® OR ANY RELATED DATA OR COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO WRITTEN OR ORAL COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS) IN CONNECTION WITH THIS AGREEMENT. S&P DOW JONES INDICES SHALL NOT BE LIABLE FOR ANY DAMAGES OR LIABILITY ARISING OUT OF ANY ERROR, OMISSION OR DELAY IN CONNECTION WITH THIS AGREEMENT. S&P DOW JONES INDICES MAKE NO WARRANTIES, EXPRESS OR IMPLIED, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OR USE OR AS TO THE RESULTS INTENDED BY BNP PARIBAS ASSET MANAGEMENT FRANCE, THE OWNERS OF BNP PARIBAS EASY S&P 500 UCITS ETF, OR ANY OTHER NATURAL OR LEGAL PERSON IN CONNECTION WITH THE USE OF S&P 500® OR IN CONNECTION WITH ANY DATA RELATING THERETO. WITHOUT LIMITING THE FOREGOING, IN NO EVENT SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING, WITHOUT LIMITATION, LOST PROFITS, LOST BUSINESS, LOST TIME OR LOST CUSTOMERS, EVEN IF THE LATTER WERE ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT OR UNDER STRICT LIABILITY OR OTHERWISE. THE LICENSORS OF S&P DOW JONES INDICES ARE THE ONLY THIRD PARTY BENEFICIARIES UNDER ANY AGREEMENT OR ARRANGEMENT BETWEEN S&P DOW JONES INDICES AND BNP PARIBAS ASSET MANAGEMENT FRANCE.

INVESTMENT STRATEGY:

STRATEGY USED TO ACHIEVE THE MANAGEMENT OBJECTIVE:

To achieve the management objective of offering investors exposure to the S&P 500® (Net Total Return) index, the Sub-Fund will implement synthetic replication techniques for the S&P 500® (Net Total Return) index. These techniques allow the gains from the Sub-Fund's assets to be exchanged, by the use of over-the-counter forward financial instruments (swaps etc.) for indexing to the benchmark.

As a consequence, the risk characteristics of the portfolio will be similar to those of the benchmark index.

The Management Company may, in accordance with the regulations in force, replace the S&P 500 index, in the case of significant events affecting the functioning of the index (cessation of publication, disappearance of the index) or if the conditions of its replication are no longer optimal in order to achieve the management objective.

MAIN ASSET CLASSES USED (EXCLUDING EMBEDDED DERIVATIVES):

- Equities:

The Sub-Fund is eligible for the French Equity Savings Plan (Plan d'Epargne en Actions, PEA) and must therefore ensure that at least 75% of its assets comprise securities eligible for the PEA.



The Sub-Fund invests in the securities of companies from all sectors, in large and potentially mid-capitalisation companies, issued on the markets of one or more European countries, and whose performance is intended to be exchanged against a benchmark index.

The Sub-Fund may invest in equities under the special clauses for index-tracking UCITS, that is to say, up to 20% of its net assets in equities from the same issuing entity, in accordance with the conditions outlined in Article R. 214-22 Section 1 of the French Monetary and Financial Code. When exceptional market conditions so justify, and specifically when certain securities are dominant, this 20% limit may be increased to 35% for a single issuing entity.

- Debt securities and money market instruments:

In order to manage its cash and/or depending on market conditions, the Sub-Fund may invest in money market instruments (French treasury bills, short-term negotiable securities etc.) or in negotiable debt securities.

When they are purchased, these instruments shall have a minimum rating of A-3 (Standard & Poor's) or P-3 (Moody's), or, failing this, a long-term investment-grade rating or an internal rating by the management company that meets equivalent criteria.

The issuers selected may come from either the private or public sector (governments, regional authorities etc.), and private debt may represent up to 100% of the debt instrument assets.

Bonds or negotiable or complex foreign debt securities will be denominated in one of the currencies of the OECD's member states.

- Units or equities in collective investment undertakings:

The Fund may invest up to 10% of its net assets in UCITS, AIF and investment fund units or equities.

These UCITS, AIFs and investment funds include:

− UCITSs under French or foreign law. − French AIFs or AIFs established in other European Union member states or investment funds established on the basis of a foreign

law that meet the criteria set out in Article R. 214-13 of the French Monetary and Financial Code.

These UCITS, AIFs and investment funds may be managed by management companies of the BNP PARIBAS group.

- Derivatives:

The Sub-Fund may use instruments negotiated on regulated French and/or foreign futures markets in accordance with regulations, such as futures and options. The Sub-Fund may also enter into over-the-counter negotiated financial contracts (swaps) to achieve its management objective and to hedge where appropriate.

The forward financial instruments used to allow the Sub-Fund to gain exposure to the investment strategy with a view to achieving its management objective include:

− Over-the-counter options. − Swap contracts: performance swaps based on the benchmark index, equity swaps. − Currency hedge futures contracts, currency swaps.

If the Sub-Fund implements synthetic replication techniques, it will use swap contracts to achieve its management objective. As such, the Sub-Fund may specifically enter into total return swaps, exchanging the performance of the Sub-Fund's assets against a fixed or variable rate, or several swaps exchanging a fixed or variable rate against the performance of the S&P 500® (Net Total Return) index.

The maximum proportion of assets under management that may be the subject of a total return swap:

− To exchange the performance of the Sub-Fund's assets against a fixed or variable rate, is equal to 115% of the net assets. − To achieve the Sub-Fund's management objective, is equal to 115% of the net assets. − For purposes of hedging the foreign exchange risk of certain share classes, is equal to 115% of net assets.

The proportion of assets under management expected to be the subject of a total return swap:

− To exchange the performance of the Sub-Fund's assets against a fixed or variable rate, is equal to 100% of the net assets. − To achieve the Sub-Fund's management objective, is equal to 100% of the net assets.



− For the purpose of hedging foreign exchange risk for certain share classes, is equal to 100% of net assets.

These financial instruments will be entered into with counterparties selected by the Management Company in line with its best execution policy, from among those institutions whose registered office is located in an OECD or European Union member state referred to in Article R. 214-19 of the French Monetary and Financial Code, and which have a good quality issuer rating. These counterparties may be companies related to the Management Company.

The Sub-Fund's total risk is calculated using the commitment method.

• Securities with embedded derivatives:

The Sub-Fund does not intend to acquire this type of asset directly. Any warrants held in the portfolio are only there as a result of securities transactions leading to the allocation of this type of security.

• Deposits:

The Sub-Fund may make deposit transactions of a maximum term of 12 months, with one or more credit institutions, subject to a limit of 100% of the net assets.

• Cash borrowings:

In the normal course of operations, the Sub-Fund may occasionally have a current account deficit and need to borrow cash, subject to a limit of 10% of its net assets.

• Temporary purchases and sales of securities:

None.

• Information about contracts constituting collateral:

In order to achieve its management objective, the Sub-Fund may obtain or grant the guarantees referred to in Article L. 211-38 of the French Monetary and Financial Code in accordance with the Management Company's risk policy. This collateral may therefore be in the form of cash, money market instruments, bonds issued or guaranteed by an OECD member state, equities, UCITS units offering daily liquidity etc. and is kept in separate accounts by the depositary.

This collateral will be subject to a discount tailored to each asset class, pursuant to the Management Company's risk policy. Only collateral received in cash may be reinvested in accordance with the regulations in force in accordance with AMF Position No. 2013-06. Cash received may therefore be held on deposit, invested in high-quality government bonds, used in reverse repurchase agreements or invested in short-term money market UCITS.

The collateral received should be sufficiently diversified. Securities received from a same issuer may not exceed 20% of the net assets. Notwithstanding the foregoing, the Sub-Fund may receive up to 100% of its net assets, securities issued or guaranteed by an OECD member state as collateral in accordance with the Management Company's risk policy. Therefore, the Sub-Fund may be fully guaranteed by securities issued or guaranteed by a single eligible OECD member state.

In addition to the guarantees referred to above, the SICAV provides collateral on its assets (financial securities and cash) in favour of the depositary in respect of its financial obligations to the latter.

TOTAL RISK

The method used by the management company to calculate the total risk of the UCI it manages is the commitment method.



RISK PROFILE:

General consideration:

The Sub-Fund's risk profile is adapted to an investment horizon of more than or equal to five years. Like any financial investment, potential investors should be aware that the value of the Sub-Fund's assets is subject to fluctuations of the assets comprising the benchmark and that it can vary significantly.

The Sub-Fund is classified as an "International Equities" UCITS. Investors are therefore exposed to the following risks:

- Market risk:

The shareholder is fully exposed to the S&P 500® (Net Total Return) index.

A downward trend in the shares of the S&P 500® (Net Total Return) index causes a decrease in the net asset value of the Sub-Fund.

- Risk of capital loss:

Investors are informed that the Sub-Fund may not perform in line with its objectives and that the capital invested (after deduction of subscription fees) may not be recovered in full.

- Counterparty risk:

The Sub-Fund is exposed to a counterparty risk arising from the conclusion of over-the-counter forward financial instruments (including total return swaps) in order to achieve the management objective. Counterparty risk refers to losses incurred by the Sub-fund as a result of its investments with a counterparty if that counterparty defaults. However, counterparty risk is limited by the implementation of a guarantee granted to the Sub-fund in accordance with the regulations in force.

- Liquidity risk:

The liquidity of a market is principally manifested in the form of a wide price-trading range; the shareholder bears the risk of loss as a result of adjustments in the forward financial instruments held by the Sub-Fund in illiquid market situations. Consequently, in such situations, the cost associated with adjustments to the instruments held by the Sub-Fund in the case of subscriptions or redemptions may prove to be very high and have an impact on the Sub-Fund's net asset value.

- Liquidity risk on a stock exchange:

The ETF's market price may deviate from its indicative net asset value. The liquidity of the Sub-Fund's equities on a listing market may be affected by any suspension which could be specifically related to:

− The suspension or halting of calculating the S&P 500® (Net Total Return) index. − The suspension of the market(s) on which the components of the S&P 500® (Net Total Return) index are listed. − A stock exchange's inability to obtain or calculate the Sub-Fund's indicative net asset value. − A breach by a market maker of the rules applicable to that stock exchange. − A failure especially of the IT or electronic systems used by that stock exchange.

- Risk associated with the use of derivatives:

In order to achieve its management objective, the Sub-Fund may use over-the-counter or listed derivatives to hedge and/or optimise its portfolio yields and/or hedge the currency risk. Investors' attention is drawn to the fact that the volatility of the Sub-Fund's yield increases by this means and the use of these instruments may significantly alter the exposure of the portfolio compared with a simple, direct investment. If this risk occurs, it could cause a drop in the value of the Sub-Fund's NAV.



- Currency risk:

The investor is exposed to foreign exchange risk taking into account the currency of the components of the index. Since the index is denominated in USD, shareholders of shares denominated in euros are subject to the currency risk linked to the deterioration of the Euro/USD parity.

- Risk of conflicts of interest:

When concluding financial contracts, the Management Company may be required to enter into these types of contracts with counterparties affiliated to the group to which the Management Company belongs. In this case, there is a potential conflict of interests between the interests of the clients and the interests of the group to which the Management Company belongs. The Management Company's use of an effective conflict-of-interest management policy ensures that its clients' interests remain paramount.

- Risks associated with collateral management:

Management of collateral received in connection with total return swaps may involve certain specific risks such as operational risks or custody risk. As such, these contracts may have a negative effect on the Sub-Fund's net asset value.

- Legal risk:

The use of temporary purchases and sales of securities and/or total return swaps (TRS) may result in a legal risk related to the execution of contracts.

- Contagion risk:

The Sub-Fund includes a so-called hedged unit class. The use of futures contracts specific to this unit may incur a contagion risk for certain operational risks and a counterparty risk to other unit classes of the Sub-Fund and the SICAV, even if they have not used this type of derivative instrument. The management company ensures that this risk is adequately monitored and moderated.

RECOMMENDED MINIMUM INVESTMENT PERIOD: Five years



MANAGEMENT REPORT

MANAGEMENT REPORT OF THE BOARD OF DIRECTORS

Dear Sir or Madam,

We have convened this Ordinary General Meeting of Shareholders in accordance with the appropriate legal provisions and those of our Articles of Association to report on the activity of your company during the financial year ended 31 December 2020 and to submit the financial statements for that year for your approval.

After restating the aim and objectives of the company, explaining the economic and financial environment, as well as the trends of the period, we will outline the management policy adopted by the Board.

We will comment on the results obtained and the financial statements for the year.

Finally, we invite you to express an opinion on the draft resolutions submitted to you.

The Board of Directors

* * *

INVESTMENT POLICY

ECONOMIC AND FINANCIAL ENVIRONMENT

In early 2020, the major equity indices had just climbed to new highs when an unforeseen event shook up everyday life and the economic outlook. Fears of a global spread of the Covid-19 epidemic led to an initial decline in equities at the end of February, which intensified in March in response to the inexorable progress towards a pandemic. The sharp decline in equities, which contained the seeds of a liquidity crisis in all financial markets, led governments to take urgent and unprecedented decisions on monetary and fiscal policy. Beginning on 24 March, when global equities had fallen to their lowest level since mid-2016 the day before, these exceptional measures allowed a bullish trend to emerge and then to gain strength in April and May amid expectations of a rapid recovery once the lockdown measures were relaxed. Moreover, by ensuring that long-term rates would remain very low for a very long time to support economic activity, central banks have in fact boosted the relative attractiveness of equities.

Their recovery has been rapid: in early June, the MSCI AC World index in dollars had recovered 42% from its March low. Subsequently, the trend has become a little more hesitant. Despite improvements in some economic indicators, the governments and central banks have emphasised the unprecedented nature of this crisis, which will leave deep scars. Stock prices continued to rise over the summer, but investors became more cautious. After a fifth consecutive monthly increase in August, due in particular to company results that were less negative than expected, some profit booking took place, particularly in US technology stocks, which had performed exceptionally well up until then. Furthermore, fears about how the epidemic was developing and doubts about the sustainability of the recovery had a negative impact on global equities in the autumn.

Finally, progress in medical research provided reassurance. The announcements made by major laboratories from 9 November onwards gave rise to enthusiasm that has not waned. The very promising results of clinical trials of vaccines against Covid-19 have convinced investors that an effective vaccine without side effects will soon be available. This favourable hypothesis, which was unhoped for a few months earlier, has enabled the markets to withstand the bad news on the epidemic front and its consequences on economic activity as well as political uncertainties. The latter have found, in the United States as well as in Europe, reassuring conclusions in the eyes of investors. Against this backdrop, the MSCI AC World index in dollars recorded its strongest monthly increase in November (+12.2%) and gained a further 4.5% in December to end at a new high, up 14.3% in twelve months. The MSCI Emerging index in dollars posted a slight outperformance (+15.9%) in the second half of the year, reflecting a wide variety of situations in the major regions. Only emerging Asian equities were able to rise, benefiting from the self-sustaining recovery of the Chinese economy and a less dramatic health situation than in the major developed countries. Within the developed markets, US equities significantly outperformed (+16.3% for the S&P 500) driven by the surge in technology stocks (+43.6% for the Nasdaq Composite). The major European markets did not manage to make up all the lost ground and the Eurostoxx 50 index lost 5.1% compared with the end of 2019.



The sector composition of the indices and the appreciation of the euro against the dollar (+9%) may have contributed to this underperformance. In Japan, the Topix rose by 4.8% to end the year at its highest level in two years. Globally, technology stocks outperformed strongly, followed by consumer cyclicals, while energy, banking and listed real estate stocks experienced the biggest declines.

MANAGEMENT POLICY

To achieve the management objective of offering investors exposure to the S&P 500 Net Total Return index, the BNP Paribas Easy S&P 500 UCITS ETF Sub-Fund will implement synthetic replication techniques for the S&P 500 index. These techniques allow the performance of the sub-fund's assets to be exchanged, through the use of over-the-counter forward financial instruments (swaps, etc.), for indexing to the benchmark. The sub-fund's assets consist essentially of a basket of European shares.

Over the period considered, the S&P 500 TR (dividends reinvested) index calculated in EUR increased by +8.03%. Over the same period, the net asset value performance of the EUR unit increased by +8.66%. This past performance, calculated from 31 December 2019 to 31 December 2020, is no guarantee of the UCITS' future results.

Over the same period, the S&P 500 TR (dividends reinvested) index calculated in USD grew +17.75%. Over the same period, the net asset values of the USD accumulation and distribution units increased by +18.44% and +17.40% respectively. This past performance, calculated from 31 December 2019 to 31 December 2020, is no guarantee of the UCITS' future results.

Between 31 December 2019 and 31 December 2020, the S&P 500 Euro Hedged TR (reinvested dividends) index increased +16.56%. Over the same period, the net asset value performance of the Hedged EUR unit increased by +17.19%. This past performance, over the period under consideration, is no guarantee of the UCITS' future results.

The tracking difference between the Fund and its benchmark index is 0.06% (EUR and USD cap units, annualised weekly data). This (ex post) tracking difference over the period is in line with the expected tracking difference. The performance gap between the Fund and its benchmark index results from optimising replication.

31/12/19 (based on closing prices)


Change (%)

FR0011550185 13.4495 14.6143 +8.66%

FR0011550177 12.0641 14.289 +18.44%

FR0011550680 11.4811 13.4792 +17.40**

EUR Price Return Index 2878.20 3069.81 +6.66%

EUR Total Return Index* 5171.63 5586.80 +8.03%

USD Price Return Index 3230.78 3756.07 +16.26%

USD Total Return Index* 5805.15 6835.73 +17.75%

* reinvesting dividends index ** performance does not include the unit dividend of $0.09 ex-date 15/05/2020





Change (%)

FR0013041530 10.8693 12.7382 +17.19%

Hedged EUR Total Return Index* 5248.5 5248.5 +16.56%

* reinvesting dividends index

* * *

THE COVID-19 epidemic has led to an unprecedented global health and economic crisis. The Board continues to monitor the efforts of governments to contain the spread of the virus and to monitor the economic impact of the epidemic on the companies represented in the Company's portfolio.

* * *

Performance

Annual performance stood at 18.44% for the USD C and USD C/D units. The annual performance stood at 8.66% for the EUR C unit and 17.19% for the EUR H unit.

The SICAV's past performance is no indication of its future results.

* * * PEAs

The Fund complies with the ratio of 75% of the assets in securities or rights eligible for PEAs. This ratio can be provided by the management company upon request.



ESMA

Information on efficient portfolio management techniques

Exposure arising from efficient portfolio management techniques

Transaction type Amount in portfolio currency

Reverse repurchase agreements

Repurchase agreements

Securities lending

Securities borrowing

* Securities accepted as collateral are not reused

Counterparty identity, type and amount of financial collateral received to reduce the counterparty risk

Name of counterparty Type of collateral received Valuation in portfolio currency

Income arising from efficient portfolio management techniques during the financial year, and direct and indirect operating costs and charges

Transaction type Income for the period in portfolio currency Costs and/or operational charges in

Information on derivative financial instruments

Underlying exposure achieved through derivatives

Transaction type Counterparty Amount in portfolio currency SWAP SWAP SWAP SWAP SWAP SWAP

BNP PARIBAS BARCLAYS BANK PLC BANK OF AMERICA N.A. SOCIETE GENERALE JP Morgan MORGAN STANLEY & CO. INTERNATIONAL

2,436,301,903.41 1,160,375,924.71 2,154,301,865.44 653,424,696.73 313,169,211.87 331,074,005.86

Counterparty identity, type and amount of financial collateral received

Name of counterparty Type of financial collateral Valuation in portfolio currency SOCIETE GENERALE MORGAN STANLEY MERRIL LYNCH INTERNATIONAL BARCLAYS BANK PLC BNP PARIBAS JP MORGAN SECURITES

Cash collateral Cash collateral Cash collateral Cash collateral Cash collateral Cash collateral

-23,300,000.00 -10,720,000.00 -34,590,000.00 112,070,000.00 35,570,000.00 68,830,000.00



Securities financing transactions pursuant to the SFTR

General information Name of the Fund BNP PARIBAS EASY S&P 500 UCITS ETF Any asset awarded to another party by this Fund is considered committed and taken over by this party. Currency of the Fund EUR All the amounts below are expressed in the portfolio currency. Transaction type Total return swaps Settlement and clearing Bilateral SFTs and TRS are always settled bilaterally.

Information regarding the transaction Absolute value of assets committed 7,048,647,608.02 Total assets committed as a proportion of assets under management 198.07% Securities lent as a

ti of loanable assets No securities loaned during the period 0.00%

Commodities lent as a proportion of loanable assets No commodities loaned during the period 0.00%

Transaction – breakdown of information Additional information Value

Counterparty BNP PARIBAS France 2,436,301,903.41 BANK OF AMERICA, N.A. France 2,154,301,865.44 BARCLAYS BANK PLC United Kingdom 1,160,375,924.71 SOCIETE GENERALE France 653,424,696.73 MORGAN STANLEY & CO. INTERNATIONAL Germany 331,074,005.86 JP Morgan Germany 313,169,211.87 Maturity One month to three

th 2,681,554,839.43

Three months to one

2,930,277,911.26 More than one year 1,436,814,857.33

Collateral received – breakdown of information Additional information Value

Type of instrument Cash 68,610,000.00 Currency (valued in reference currency) EUR 68,610,000.00 Maturity Less than one day 68,610,000.00 Counterparty MERRIL LYNCH INTERNATIONAL (OTC BILAT) 34,590,000.00 SOCIETE GENERALE (OTC BILAT) 23,300,000.00 MORGAN STANLEY & CO INT.PLC (OTC BILAT) 10,720,000.00 Issuer N/A 0.00 Total 68,610,000.00 Note: Collateral exchanged during the period covers the entirety of the Fund's OTC derivative activity and not just TRS.

Collateral received – information regarding custody Name Absolute value Depositary BNP PARIBAS SECURITIES SERVICES 68,610,000.00

Collateral provided – breakdown of information Additional information Value

Instrument type Cash 216,470,000.00 Currency (valued in reference currency) EUR 216,470,000.00 Maturity Less than one day 216,470,000.00 Counterparty BARCLAYS BANK PLC (OTC BILAT) 112,070,000.00 J.P. MORGAN SECURITIES (OTC BILAT) 68,830,000.00 BNP PARIBAS (OTC BILAT) 35,570,000.00 Issuer N/A 0.00 Total 216,470,000.00 Note: Collateral exchanged during the period covers the entirety of the Fund's OTC derivative activity and not just TRS.

Collateral provided – information regarding custody Absolute value of collateral provided Additional information

Separate accounts 0.00 Combined accounts 216,470,000.00 Other accounts 0.00

Financial performance of this type of transaction Absolute value As a percentage of total income generated by this type of transaction Undertaking for collective investment Income 0.00 0.00% Expenditure 0.00 0.00% Manager Income 0.00 0.00% Expenditure 0.00 0.00% Third party Income 0.00 0.00% Expenditure 0.00 0.00% There is no agreement on how TRS-related fees are allocated. The costs and income are included in full in the Fund's income statement under the headings "Other financial income" and "Other financial expenses".

Collateral received – re-use of collateral Value Additional information Amount of securities collateral reused 0.00 Income from cash collateral 0.00 This Fund has not re-used the cash collateral it received during the period.



Changes during the financial year

Date of change Description of change

11 February 2020 Inclusion of 2019 performance in the KIIDs.

18 March 2020

Benchmark index: It is now specified that the administrator of the benchmark index is listed in the register of administrators and benchmark indices kept by the European Securities and Markets Authority (ESMA)

Change in the daily cut-off time for subscription and redemption orders from 4:30 p.m. to 3 p.m.

14 September 2020

Change in the daily cut-off time for subscription and redemption orders from 3 p.m. - To 3:30 p.m. for the BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF sub-fund - To 4:30 p.m. for the BNP PARIBAS EASY S&P 500 UCITS ETF and BNP PARIBAS EASY EURO STOXX 50 UCITS ETF sub-funds.

Allowance

Pursuant to the provisions laid down in Article 158 of the French General Tax Code relating to information on the portion of income eligible for the 40% allowance and the portion not eligible for the allowance, the income to be distributed is broken down as follows:

USD C/D

Distribution per unit: USD 0.11 - Portion eligible for the 40% allowance: USD 0.00 - Portion not eligible for the allowance: USD 0.11

ETHICS

Group financial instruments held in the sub-fund

This information appears in the appendix to the annual report — Additional information.

* * *

Details of the main changes in the portfolio are available on request from the management company. BNP PARIBAS ASSET MANAGEMENT France, Service Client, TSA 47000, 75318 Paris Cedex 09

* * *

When managing collective investment schemes, transaction fees are invoiced when deals are executed on financial instruments (purchases and sales of securities, repurchase agreements, futures and swaps).

* * *



INCORPORATION OF ENVIRONMENTAL, SOCIAL AND GOVERNANCE (ESG) CRITERIA

General approach

BNP Paribas Asset Management's general approach to incorporating environmental, social and governance (ESG) criteria is indicated in reporting 173, available online at: https://docfinder.bnpparibas-am.com/api/files/9B8A91FD-D198-45D4-8B78- D375AC8B82DA

All of our funds are committed to our sustainable investment strategy, which is based on four pillars:

ESG Integration: Our analysts and managers systematically take into account the most relevant ESG factors, regardless of the investment process. Our ESG guidelines and integration policy apply to all of our investment processes (and therefore to funds, mandates and thematic funds). However, they are not applicable to index funds, exchange-traded funds (ETFs), or certain exceptions to the specific management process. In line with BNPP AM's convictions, this approach allows them to identify risks and opportunities that other market players may not have knowledge of, which therefore provides them with a comparative advantage. The process of integrating ESG factors is guided by formal common principles and monitored by an ESG validation committee. Our objective is that by the end of 2020, each investment process—and by definition, any investment strategy—will have been reviewed and approved by this committee.

In the event of controversy, ESG analysts may initiate a specific monitoring procedure (setting up a specific list). Managers are therefore alerted and any new purchase or increase of positions on this monitored security is prohibited until a new ESG recommendation is provided by ESG analysts. This process allows us to maintain a maximum level of alert when a controversy occurs. The more controversies a company faces, the greater the reputation risk for our funds. All controversies are classified from level 1 (least severe) to level 5 (most severe). The classification takes into account the impact of the incident (severity and number), the level of recurrence, liability and uniqueness, response and management by the company. A company is automatically penalised if it faces one or more level 3 or higher controversies. If the controversy was extremely serious or had particularly negative consequences, then the company could be excluded from our investment universe.

In the event of an exclusion, the manager will divest the asset as soon as possible and in the interest of investors.

Vote, dialogue and commitment We invest wisely and have established detailed voting guidelines on a number of ESG issues. In addition, we believe that enhanced dialogue with issuers can improve our investment processes and enable us to better control long-term risks. Our managers and experts from the BNPP AM Sustainability Centre engage with the companies we invest in, with the goal of encouraging them to adopt environmentally responsible and environmentally sound practices. In addition, we aim to meet frequently with governments in order to discuss ways of fighting global warming. Our voting policy is available online at: https://docfinder.bnpparibas- am.com/api/files/E5F49195-9D9E-41A0-B553-89EED19FBB11

Responsible business conduct and industry exclusions: BNPP AM applies ESG exclusions based on the 10 principles of the United Nations Global Compact for all its investments. The Global Compact is a universal reference framework for business evaluation and is applicable to all industrial sectors, and is based on international conventions in the areas of respect for human rights, labour rights, the environment and the fight against corruption. In addition to the principles of the United Nations Global Compact, BNPP AM applies specific ESG standards that must be respected by companies operating in certain sensitive sectors in terms of social and environmental impacts. They are defined in sectoral policies that to date concern palm oil, pulp, coal, nuclear energy, mining, asbestos, agriculture and tobacco. Non-compliance with the ESG standards defined by BNPP AM leads to the exclusion of companies from the investment scope. Lastly, in accordance with applicable regulations, some sectors such as controversial weapons (anti-personnel mines and cluster munitions) are banned from any investment.

https://docfinder.bnpparibas-am.com/api/files/9B8A91FD-D198-45D4-8B78-D375AC8B82DA


https://docfinder.bnpparibas-am.com/api/files/E5F49195-9D9E-41A0-B553-89EED19FBB11




A forward-looking vision We believe that three key points underpin a more sustainable and inclusive economic system: energy transition, environmental protection and equality. We have defined a set of objectives and developed performance indicators to measure how we will align our research, our portfolios, and our commitment to businesses and governments on these three issues, the "3Es".

Our detailed approach is described in our "Responsible Business Conduct Policy" at: https://docfinder.bnpparibas- am.com/api/files/D8E2B165-C94F-413E-BE2E-154B83BD4E9B

Our voting practices at general meetings and engagement with issuers are described in our Company's reporting 173 at: https://docfinder.bnpparibas-am.com/api/files/9B8A91FD-D198-45D4-8B78-D375AC8B82DA.

Means used to inform customers

We provide investors with extensive information on our commitments and achievements as a responsible investor on the BNP Paribas Asset Management website: http://www.bnpparibas-am.com/en.

Several publications are also available online at: https://www.bnpparibas-am.com/en/sustainability/as-an-investor/, and are listed in BNP Paribas Asset Management reporting 173: https://docfinder.bnpparibas-am.com/api/files/9B8A91FD-D198- 45D4-8B78-D375AC8B82DA

Documents are available on our website on the Fund page, including regulatory documents (KIID, prospectus) and monthly and annual reports.

Percentage of assets under management that incorporate ESG criteria

We aim to ensure that 100% of the assets under management in our funds incorporate ESG criteria.

Adherence to charters, codes, initiatives or labels

Our adherence to charters, codes and initiatives is listed in reporting 173 online at: https://docfinder.bnpparibas- am.com/api/files/9B8A91FD-D198-45D4-8B78-D375AC8B82DA

Internal procedures for identifying risks associated with ESG criteria and exposure of its activities to these risks.

Key ESG risks are addressed through the ESG minimum standards required prior to each investment as defined by our responsible investment policy. Companies that do not meet our ESG requirement criteria are considered to be at high ESG risk and are excluded from our investment scope barring exceptions (index funds that replicate the index). As part of the adoption of our climate strategy, consideration was given internally to incorporating 2°C scenarios in our investment policy and taking into account the various risks associated with climate change. We have identified three kinds of carbon risks:

- Transition risks: the risks incurred by a process of adjusting to a low-carbon economy. Policy changes, technological and physical risks could result in a revaluation of the value of a large number of assets as costs and/or opportunities materialise. - Physical risks: The consequences of climate and/or weather events such as floods and storms that cause property damage or disrupt trade. - Liability risks: Consequences that could occur if parties that have suffered losses or damage from the effects of climate change take action against the companies they believe to be responsible in order to obtain compensation. Such actions could occur against companies that extract and emit carbon and, if such companies are covered by liability insurance, their insurers.

Since there is not yet a marketplace method to assess the impact of the physical risks of climate change, BNPP AM is unable to fully assess its exposure to such risks. For this reason, we are co-financing the development of an innovative methodology and tool, Climate Risk & Impact Screening (CRIS), launched at the initiative of Carbon 4. This assessment method will ultimately allow us to objectively assess our exposure to the physical risks of climate change.

https://docfinder.bnpparibas-am.com/api/files/D8E2B165-C94F-413E-BE2E-154B83BD4E9B



http://www.bnpparibas-am.com/en

https://www.bnpparibas-am.com/en/sustainability/as-an-investor/








Specific case

1) Easy Fund (FR/LU)

This fund replicates an external index, which is not built according to ESG rules; thus, the general approach presented above applies only partially to this fund. For 2020, it does not apply to the "ESG integration" and "responsible business conduct and sector exclusions" part, but it does apply to the "voting, dialogue and commitment" part.

2) A fund that does not apply the ESG criteria

This fund does not apply the ESG criteria of BNPPAM because this is not compatible with its strategy.

* * *

INFORMATION ON THE MANAGEMENT COMPANY'S REMUNERATION POLICY

Qualitative aspects of remuneration

Information regarding the remuneration policy applicable to the 2019 financial year is available on request from the management company: BNP PARIBAS ASSET MANAGEMENT France – TSA 47000 – 75318 Paris Cedex 09, France. Detailed information regarding the management company's remuneration policy is also available online at: https://www.bnpparibas-am.com/en/footer/remuneration-policy/ remuneration/.

Quantitative aspects of remuneration

Quantitative information regarding remuneration is outlined below, as required by Article 22 of the AIFM Directive (Directive 2011/61/EU of 8 June 2011) and by Article 69-3 of the UCITS V Directive (Directive 2014/91/EU of 23 July 2014), in a format that complies with the recommendations of the AFG (Association Française de Gestion – French asset management association)1.

Aggregated remuneration of employees of BNP PARIBAS ASSET MANAGEMENT France ("BNPP AM France") (Article 22-2-e of the AIFM Directive and Article 69-3 (a) of the UCITS V Directive):

Number of employees Total remuneration (€k)

(fixed + variable) Of which total variable remuneration (€k)

All employees of BNPP AM France2

806 88,983 27,764

1 Note: The above remuneration amounts cannot be reconciled directly with the accounting data for the year because they reflect the sums awarded based on the number of employees at the end of the annual variable remuneration campaign, in May 2019. Therefore, for example, these amounts include all the variable remuneration awarded during this campaign, regardless of whether or not it was deferred, and regardless of whether or not the employees ultimately remained at the company. 2 In addition to these employees and the corresponding amounts, the following should be noted:

- 5 employees of the Austrian branch, none of whom has the status of "Identified Staff" and whose total remuneration and total variable remuneration amounted to €736,000 and €229,000 respectively in 2018.

- 59 employees of the Italian branch, none of whom has the status of "Identified Staff" and whose total remuneration and total variable remuneration amounted to €6,208,000 and €1,574,000 respectively in 2018.

- 22 employees of the German branch, none of whom has the status of "Identified Staff" and whose total remuneration and total variable remuneration amounted to €3,643,000 and €968,000 respectively in 2018.

http://www.bnpparibas-am.com/en/footer/remuneration-policy/




Aggregated remuneration of employees of BNPP AM France whose activity has a significant impact on the risk profile and who are therefore "Identified Staff"3 (Article 22-2-f of the AIFM Directive and Article 69-3 (b) of the UCITS V Directive):

Business sector Number of employees Total

remuneration (€k)

Identified Staff employed by BNPP AM France:

including Alternative Investment Fund managers/UCITS managers/managers of European discretionary funds

138

129

26,000

23,890

Other information:

Number of AIFs and UCITS managed by BNPP AM France:

Number of funds (31/12/2019)

Assets under management (€ billion) as at 31/12/2019

UCITS Alternative Investment Funds

208 311

70 46

- An independent central audit of the overall BNP Paribas Asset Management remuneration policy and its implementation in

2018/2019 was conducted between May and July 2019, under the supervision of the remuneration committee of BNP PARIBAS ASSET MANAGEMENT Holding Group and its Board of Directors. Following this audit, which covered BNP Paribas Asset Management entities holding an AIFM and/or UCITS licence, the policy was awarded a "Satisfactory" grade.

- Additional information regarding the way in which variable remuneration is set can be found in the wording of the remuneration

policy, which is published on the company's website.

* * *

INFORMATION ON THE POLICY FOR SELECTING AND EVALUATING SERVICES TO AID INVESTMENT DECISIONS AND ORDER EXECUTION

Information on BNP Paribas Asset Management France's policy for selecting and evaluating entities providing services to aid investment decisions and order execution is available online at www.bnpparibas-am.com.

* * *

REPORT ON INTERMEDIARY FEES

The latest report on intermediary fees is available online at www.bnpparibas-am.com.

* * *

BEST SELECTION AND BEST EXECUTION POLICY OF BNP PARIBAS ASSET MANAGEMENT FRANCE (BNPP AM FRANCE), ACTING AS DELEGATED FINANCIAL MANAGER OF THE SICAV

The selection and execution policy is available online at www.bnpparibas-am.com.

3 The list of Identified Staff is determined in light of the review conducted at year end.

http://www.bnpparibas-am.com/





CORPORATE GOVERNANCE REPORT

Declaration of selected procedures for the year (Article L225-37-4 of the Commercial Code)

In accordance with the regulations and with the SICAV's Articles of Association (Article 20), the general management of the company is performed by a natural person other than the Chairman of the Board of Directors, who holds the title of Chief Executive Officer.

Declaration of regulated agreements (Article L225-37-4 of the Commercial Code)

In accordance with the regulations, it is stated that during the past financial year, no agreement fulfilling the following definition has been concluded:

Agreements entered into directly or through an intermediary between, on the one hand, any of the company representatives or any of the shareholders holding more than 10% of the voting rights in a company's share capital and, on the other hand, another company controlled by the first company within the meaning of Article L. 233-3, with the exception of agreements regarding ongoing transactions, concluded under normal conditions.

List of mandates held by the members of the Board of Directors of the BNP PARIBAS EASY FR SICAV

Laurent GAUDE:

Company name Type of company Office held

BNP PARIBAS EASY FR SICAV governed by French law Chair BNP PARIBAS EASY SICAV governed by Luxembourg law Director FUNDQUEST ADVISOR Simplified single shareholder company

(société par actions simplifiée unipersonnelle - SASU) governed by French law

Director

THEAM QUANT SICAV governed by Luxembourg law Chair

Diane TERVER AGAZZOTTI:


BNP PARIBAS EASY FR SICAV governed by French law Chief Executive Officer THEAM QUANT SICAV governed by Luxembourg law Director BNP Paribas Flexi 2 SICAV governed by Luxembourg law Director



Marie-Sophie PASTANT:


BNP PARIBAS EASY FR SICAV governed by French law Director

Isabelle RICHARD-BOURCIER:


BNP PARIBAS EASY FR SICAV governed by French law Director THEAM QUANT SICAV governed by Luxembourg law Director WOMEN IN ETFS EUROPE LIMITED (UK) Private limited company under English law Director BNP PARIBAS ASSET MANAGEMENT LUXEMBOURG

Limited company (société anonyme) under Luxembourg law

Director

Grégory GUERRAND:



Guido STUCCHI:



Declaration – Table of delegated authority (Article L225-37-4 of the Commercial

Code)

In accordance with the regulations, it is stated that, as at 31 December 2020, there had been no valid delegation of authority granted by the General Meeting of Shareholders concerning capital increases under Articles L. 225-129-1 and L. 225-129-2, and showing the use made of this delegated authority during the financial year.



RESOLUTIONS

Ordinary Shareholders' Meeting 12 April 2021

Resolutions voted on

***

FIRST RESOLUTION

The General Meeting of Shareholders, deliberating in accordance with the quorum and majority requirements for Ordinary General Meetings of Shareholders, having heard the Board of Directors' management report and the Statutory Auditor's report, approved all the sections of the Board's report, as well as the aggregated accounts and the annual financial statements of sub-funds for the financial year ended 31 December 2020, as presented.

The Shareholders' Meeting noted that the capital, which amounted to €4,458,071,406.58 on 31 December 2020, was €5,124,779,728.00 on 31 December 2019.

The capital is broken down as follows:

1/ BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF sub-fund Capital: €787,170,228.32, divided into: 66,577,210 "EUR C" shares 8,735,766 "EURO C/D" shares

2/ BNP PARIBAS EASY S&P 500 UCITS ETF sub-fund Capital: €3,152,196,526.30, divided into: 55,776,207 "EUR C" shares 184,663,253.00 "USD C" shares 10,301,871 "USD C/D" shares 37,174,933 "EUR H" shares

3/ BNP PARIBAS EASY EURO STOXX 50 UCITS ETF sub-fund Capital: €518,704,651.96, divided into: 39,345,118 "EUR C/D" shares 17,096,892 "EUR C" shares

This resolution was unanimously approved.

SECOND RESOLUTION

The General Meeting of Shareholders, deliberating in accordance with the quorum and majority requirements for Ordinary General Meetings of Shareholders, approved the allocation and distribution of income for the financial year ending on 31 December 2020, as proposed by the Board of Directors.

1/ BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF sub-fund

Having noted that the result for the financial year was €8,252,664.57, after income adjustments for the year, the General Meeting of Shareholders resolved to allocate it as follows:

- For the "EUR C" shares: to record in capital the sum of €7,346,034.90. - For the "EURO C/D" shares: to allocate the sum of €4,310,646.39 to retained earnings.

In accordance with the legal provisions, the following dividend distributions have been made for the last three financial years in respect of "EURO C/D" class shares for natural persons and legal entities: - For the financial year ended 31 December 2019: €0.00 - For the financial year ended 31 December 2018: €0.00 - For the financial year ended 31 December 2017: €0.00



2/ BNP PARIBAS EASY S&P 500 UCITS ETF sub-fund


- For the "EUR C" shares: to record in capital the sum of €10,858,548.53. - For the “USD C” shares: to record in capital the sum of €28,743,851.25. - For the "USD C/D" shares: to allocate the sum of €7,400,865.70 to retained earnings. - For the "EUR H" shares: to record in capital the sum of €5,872,795.06.

In accordance with the legal provisions, the following dividend distributions have been made for the last three financial years in respect of "USD C/D" class shares for natural persons and legal entities: - For the financial year ended 31 December 2019: €0.00 - For the financial year ended 31 December 2018: €0.00 - For the financial year ended 31 December 2017: €0.00

3/ BNP PARIBAS EASY EURO STOXX 50 UCITS ETF sub-fund


- For the "EUR C" shares: to record in capital the sum of €3,119,360.15. - For the "EUR C/D" shares: to distribute the sum of €7,869,023.60 and to allocate the sum of €7,022,224.60 to retained earnings.

In accordance with the legal provisions, the following dividend distributions have been made for the last three financial years in respect of "EUR C/D" class shares for natural persons and legal entities: - For the financial year ended 31 December 2019: €0.18 - For the financial year ended 31 December 2018: €0.10 - For the financial year ended 31 December 2017: €0.87


THIRD RESOLUTION

The General Meeting of Shareholders, deliberating in accordance with the quorum and majority requirements for Ordinary General Meetings of Shareholders, approved the allocation and distribution of realised capital gains and losses, net of expenses, from the financial year ended on 31 December 2020, as proposed by the Board of Directors:


The Shareholders' Meeting, after having noted that the amount of distributable sums relating to realised capital gains, net of expenses, for the financial year was €23,981,456.25, decided on the following allocation:

- For the "EUR C" shares: to record in capital the sum of €21,250,763.71. - For the "EURO C/D" shares: to distribute the sum of €786,218.94 and to allocate the sum of €21,532,404.04 to retained earnings.





The Shareholders' Meeting, after noting that the amount of distributable sums relating to realised capital gains, net of expenses, for the financial year was €304,845,901.13, decided on the following allocation:

- For the "EUR C" shares: to record in capital the sum of €63,288,811.27. - For the "USD C" shares: to record in capital the sum of €168,585,086.29. - For the "USD C/D" shares: to distribute the sum of €927,168.39 and to allocate the sum of €56,769,806.19 to retained earnings. - For the "EUR H" shares: to record in capital the sum of €64,076,340.98.



The Shareholders' Meeting, after having noted that the amount of distributable sums relating to realised capital gains and losses, net of expenses, for the financial year was €(21,150,818.63), decided on the following allocation:

- For the "EUR C" shares: to record in capital the sum of €(6,872,252.13). - For the "EUR C/D" shares: to allocate the sum of €164,217.43 to retained earnings and to accumulate the negative sum

of €(14,278,566.50).

In accordance with the legal provisions, the following dividend distributions have been made for the last three financial years in respect of "EUR C/D" class shares for natural persons and legal entities: - For the financial year ended December 2019: €0.05 per share - For the financial year ended 31 December 2018: €0.19 per share - For the financial year ended 31 December 2017: €0.32 per share

The resolution was approved by 28,315,120 votes in favour and 5,374,000 votes against.

FOURTH RESOLUTION

The General Meeting of Shareholders, acting in accordance with the quorum and majority requirements for Ordinary General Meetings of Shareholders, duly acknowledged the special report drafted by the Statutory Auditor pursuant to Articles L. 225-38 et seq. of the French Commercial Code and approved its findings.


FIFTH RESOLUTION

The General Meeting of Shareholders, acting in accordance with the quorum and majority requirements for Ordinary General Meetings of Shareholders, granted full powers to the Secretary of the meeting to issue certified copies or extracts of the minutes and to the company "Lextenso/Petites Affiches" and/or to any holder of an original copy, a copy or an extract of these minutes, for the purpose of carrying out all legal formalities relating to publication, filing and amending entries in the Trade and Companies Register, including by dematerialised means with electronic signature, in accordance with the legal provisions in force.


BNP Paribas Easy Stoxx Europe 600 UCITS ETF


COMPOSITION OF THE BOARD OF DIRECTORS (Financial year 2020)


Laurent GAUDE



DIRECTORS



STATUTORY AUDITOR








Laurent GAUDE:




Director












Director



Grégory GUERRAND:



Guido STUCCHI:






Declaration – Table of delegated authority (Article L. 225-37-4 of the French

Commercial Code)




STRATEGY

IDENTIFICATION

CLASSIFICATION

International equities

MANAGEMENT OBJECTIVE

The BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF Sub-Fund (hereinafter the "Sub-Fund") aims to replicate the performance of the STOXX® EUROPE 600 Net Return Index, regardless of its upwards and downwards developments. As the Sub-Fund is indexed, it seeks to maintain the tracking error in absolute terms between the growth of the Sub-Fund’s net asset value and that of the index at a level below 1%. If this tracking error exceeds 1%, it must not under any circumstances exceed 5% of the index's volatility.

BENCHMARK INDEX

The benchmark is the STOXX® EUROPE 600 Net Return index (Bloomberg code: SXXR Index), published in EUR by STOXX Limited. The STOXX® EUROPE 600 Net Return Index is an index composed of shares of European companies of all sizes. The index is reviewed quarterly and includes net dividends from the shares in the index. A comprehensive description of the index and the publication of its securities are available on the website www.stoxx.com.

The administrator of the STOXX EUROPE 600 Net Return index, STOXX Ltd. has been registered with BaFIN (Financial Markets Authority for the Federal Republic of Germany) since 31 July 2019 as administrator of third-country benchmark indices under Article 32 of Regulation (EU) No 2016/1011 of the European Parliament and of the Council of 8 June 2016 (Benchmark Regulation). STOXX Ltd. and the indices administered by STOXX Ltd. have been entered in the register of directors and benchmark indices maintained by the European Securities and Markets Authority.

Furthermore, in accordance with this same regulation, the management company has a procedure for monitoring the benchmark indices used describing the measures to be implemented in the event of substantial changes being made to an index or if this index should cease to be provided.

- Publication of the index:

STOXX Ltd is responsible for calculating and disseminating the value of the STOXX® EUROPE 600 Net Return index. The closing level of the STOXX® EUROPE 600 Net Return Index is calculated daily using the official closing price of the listing exchange for the grantor's securities. The STOXX® EUROPE 600 Net Return Index is also calculated in real time each business day of its stock exchange. The STOXX® EUROPE 600 Net Return Index is published in real time via Reuters and Bloomberg: Reuters: .STOXXR Bloomberg: SXXR

- STOXX disclaimer:

The STOXX® EUROPE 600 Net Return index is protected by intellectual property legislation. STOXX® Europe 600 is a registered trademark of STOXX Limited and is licensed to BNP PARIBAS ASSET MANAGEMENT France (the holder). STOXX and its licensors have no other relationship with the licensee who has been awarded for the STOXX® EUROPE 600 Net Return Index and the trademarks registered for use in connection with the Sub-Fund. STOXX and its licensors:

- Make no warranty statement as to the appropriateness of a transaction on shares of the BNP PARIBAS EASY STOXX EUROPE 600

UCITS ETF sub-fund, which they also refrain from selling and promoting. - Do not issue any investment recommendation to anyone with respect to the BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF sub-

fund or other securities. - Assume no responsibility or obligation as to the launch date, quantity and price of shares in the BNP PARIBAS EASY STOXX EUROPE 600

UCITS ETF sub-fund, and do not take any decision on this matter. Do not accept any liability or obligation with respect to the administration, management or marketing of the BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF sub-fund.

http://www.stoxx.com/



- Are not required to take into account the needs of the BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF sub-fund or of its shareholders in determining, composing or calculating the STOXX® EUROPE 600 Net Return index.

STOXX and its licensors accept no liability with respect to the BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF Sub-Fund. Specifically: • STOXX and its licensors provide no warranty, express or implied, and do not assume any express or implied warranties, whether in

respect of: • The results to be obtained by the BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF sub-fund, the holder of shares of the BNP

PARIBAS EASY STOXX EUROPE 600 UCITS ETF sub-fund or any person involved in the use of the STOXX® EUROPE 600 Net Return index and the data included with the STOXX® EUROPE 600 Net Return index.

• The accuracy or completeness of the STOXX® EUROPE 600 Net Return index and the data contained therein. • The negotiability of the STOXX® EUROPE 600 Net Return index and its data and their suitability for a particular use or purpose. • STOXX and its licensors shall not be liable for any error, omission or interruption whatsoever in the STOXX® EUROPE 600 Net

Return index or the data contained therein. • Under no circumstances shall STOXX or its licensors be liable for any loss of profits whatsoever. The same applies to any indirect

damage or loss even if STOXX and its licensors have been advised of the existence of such risks. The licence agreement between BNP PARIBAS ASSET MANAGEMENT France and STOXX has been established in their sole interest and not in that of the holders of the shares of the BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF Sub-Fund or third parties.

INVESTMENT STRATEGY

STRATEGY USED TO ACHIEVE THE MANAGEMENT OBJECTIVE:

To achieve the management objective of offering investors exposure to the STOXX® EUROPE 600 Net Return Index, the Sub-Fund will implement synthetic replication techniques for the STOXX® EUROPE 600 Net Return Index. These techniques allow the performance of the Sub-Fund's assets to be exchanged, through the use of over-the-counter forward financial instruments (swaps, etc.), for indexing to the benchmark. As a consequence, the risk characteristics of the portfolio will be similar to those of the benchmark index. The Management Company may, in accordance with the regulations in force, replace the STOXX® EUROPE 600 Net Return index, in the case of significant events affecting the functioning of the index (cessation of publication, disappearance of the index) or if the conditions of its replication would no longer be optimal in order to achieve the management objective.


• Equities:

The Sub-Fund is eligible for the French Equity Savings Plan (Plan d'Epargne en Actions, PEA) and must therefore ensure that at least 75% of its assets comprise securities eligible for the PEA. The Sub-Fund invests in the securities of companies from all sectors, in large and potentially mid-capitalisation companies, issued on the markets of one or more European countries, and whose performance is intended to be exchanged against a benchmark index. The Sub-Fund may invest in equities under the special clauses for index-tracking UCITS, that is to say, up to 20% of its net assets in equities from the same issuing entity, in accordance with the conditions outlined in Article R. 214-22 Section 1 of the French Monetary and Financial Code. When exceptional market conditions so justify, and specifically when certain securities are dominant, this 20% limit may be increased to 35% for a single issuing entity.

- Debt securities and money market instruments:

In order to manage its cash and/or depending on market conditions, the Sub-Fund may invest in money market instruments (French treasury bills, short-term negotiable securities etc.) or in negotiable debt securities. When they are purchased, these instruments shall have a minimum rating of A-3 (Standard & Poor's) or P-3 (Moody's), or, failing this, a long-term investment-grade rating or an internal rating by the Management Company that meets equivalent criteria. The issuers selected may come from either the private or public sector (governments, regional authorities etc.), and private debt may represent up to 100% of the debt instrument assets. Bonds or negotiable or complex foreign debt securities will be denominated in one of the currencies of the OECD's member states.

- Units or equities in collective investment undertakings:



The Sub-Fund may invest up to 10% of its assets in UCITS, AIF and investment fund units or equities. These UCITS, AIFs and investment funds include: • UCITSs under French or foreign law. • French AIFs or AIFs established in other European Union member states or investment funds established on the basis of a foreign law that

meet the criteria set out in Article R. 214-13 of the French Monetary and Financial Code. These UCITS, AIFs and investment funds may be managed by management companies of the BNP PARIBAS group.

• Derivatives:

The Sub-Fund may use instruments negotiated on regulated French and/or foreign futures markets in accordance with regulations, such as futures and options. The Sub-Fund may also enter into over-the-counter negotiated financial contracts (swaps) to achieve its management objective. The forward financial instruments used to allow the Fund to gain exposure to the investment strategy with a view to achieving its management objective and to hedge where appropriate include: - Over-the-counter options. - Swap contracts: performance swaps based on the benchmark index, equity swaps. - Currency hedge futures contracts, currency swaps.

If the Sub-Fund implements synthetic replication techniques, it will use swap contracts to achieve its management objective. As such, the Sub-Fund may specifically enter into total return swaps, exchanging the performance of the Sub-Fund's assets against a fixed or variable rate, or several swaps exchanging a fixed or variable rate against the performance of the STOXX® EUROPE 600 Net Return index. The maximum proportion of assets under management that may be the subject of a total return swap: - To exchange the performance of the Sub-Fund's assets against a fixed or variable rate, is equal to 115% of the net assets. - To achieve the Sub-Fund's management objective is equal to 115% of the net assets. The proportion of assets under management expected

to be the subject of a Total Return Swap: - To exchange the performance of the Sub-Fund's assets against a fixed or variable rate, is equal to 100% of the net assets. - To achieve the Sub-Fund's management objective is equal to 100% of the net assets. These financial instruments will be entered into with counterparties selected by the Management Company in line with its best execution policy from among those institutions whose registered office is located in an OECD or European Union member state referred to in Article R. 214-19 of the French Monetary and Financial Code and which has a good quality issuer rating. These counterparties may be companies related to the Management Company. The Sub-Fund's total risk is calculated using the commitment method.

• Securities with embedded derivatives:

The Sub-Fund does not intend to acquire this type of asset directly. Any warrants held in the portfolio are only there as a result of securities transactions leading to the allocation of this type of security.

- Deposits:

The Sub-Fund may make deposit transactions of a maximum term of 12 months, with one or more credit institutions, subject to a limit of 100% of the net assets.

- Cash borrowings:

In the normal course of operations, the Sub-Fund may occasionally have a current account deficit and need to borrow cash, subject to a limit of 10% of its net assets.

- Temporary purchases and sales of securities:

None.

INFORMATION ABOUT CONTRACTS CONSTITUTING COLLATERAL:

In order to achieve its investment objective, the Sub-fund may obtain or grant the guarantees referred to in Article L. 211-38 of the French Monetary and Financial Code in accordance with the Management Company's risk policy. This collateral may therefore be in the form of cash, money market instruments, bonds issued or guaranteed by an OECD Member State, equities, UCITS units offering daily liquidity, etc. and are kept in separate accounts by the depositary.



This collateral will be subject to a discount tailored to each asset class, pursuant to the Management Company's risk policy. Only collateral received in cash may be reinvested in accordance with the regulations in force in accordance with AMF Position No. 2013-06. As such, cash received may be held on deposit, invested in high-quality government bonds, used in reverse repurchase agreements or invested in short-term money market UCITS. The collateral received should be sufficiently diversified. Securities received from a same issuer may not exceed 20% of the net assets. Notwithstanding the foregoing, the Sub-Fund may receive up to 100% of its net assets, securities issued or guaranteed by an OECD member state as collateral in accordance with the Management Company's risk policy. Therefore, the Sub-fund may be fully guaranteed by securities issued or guaranteed by a single eligible OECD member state. In addition to the guarantees referred to above, the SICAV provides collateral on its assets (financial securities and cash) in favour of the depositary in respect of its financial obligations to the latter.

TOTAL RISK


RISK PROFILE:


The Sub-Fund's risk profile is adapted to an investment horizon of more than or equal to five years. Like any financial investment, potential investors should be aware that the value of the Sub-Fund's assets is subject to fluctuations of the assets comprising the benchmark and that it can vary significantly. The Sub-Fund is classified as an "International Equities" UCITS.

Investors are therefore exposed to the following risks:

- Market risk:

The shareholder is fully exposed to the STOXX® EUROPE 600 Net Return index. A downward trend in the shares of the STOXX® EUROPE 600 Net Return index causes a decrease in the net asset value of the Sub-Fund.



- Counterparty risk:

The Sub-Fund is exposed to a counterparty risk arising from the conclusion of over-the-counter forward financial instruments (including total return swaps) in order to achieve the management objective. Counterparty risk refers to losses incurred by the Sub-fund as a result of its investments with a counterparty if that counterparty defaults. However, counterparty risk is limited by the implementation of a guarantee granted to the Sub-fund in accordance with the regulations in force.

- Liquidity risk:




- The suspension or halting of calculating the STOXX® EUROPE 600 Net Return index. - The suspension of the market(s) on which the components of the STOXX® EUROPE 600 Net Return index are listed. - A stock exchange's inability to obtain or calculate the Sub-Fund's indicative net asset value.



- A breach by a market maker of the rules applicable to that stock exchange. - A failure especially of the IT or electronic systems used by that stock exchange. - Risk associated with the use of derivatives:

In order to achieve its management objective, the Sub-Fund may use over-the-counter or listed derivatives to hedge and/or optimise its portfolio yields. Investors' attention is drawn to the fact that the volatility of the Sub-Fund's yield increases by this means and the use of these instruments may significantly alter the exposure of the portfolio compared with a simple, direct investment. If this risk occurs, it could cause a drop in the value of the Sub-Fund's NAV.

- Risk of conflicts of interest:



Management of collateral received in connection with total return swaps may involve certain specific risks such as operational risks or custody risk. As such, these contracts may have a negative effect on the Sub-Fund's net asset value.

- Legal risk:

The use of total return swaps (TRS) may give rise to a legal risk relating in particular to the execution of contracts.

GUARANTEE OR PROTECTION

None

RECOMMENDED MINIMUM INVESTMENT PERIOD

Five years



MANAGEMENT REPORT


Dear Sir or Madam,






INVESTMENT POLICY


STOCK EXCHANGES

In early 2020, the major equity indices had just climbed to new highs when an unforeseen event shook up everyday life and the economic outlook. Fears of a global spread of the Covid-19 epidemic led to an initial decline in equities at the end of February, which intensified in March in response to the inexorable progress towards a pandemic. The sharp decline in equities, which contained the seeds of a liquidity crisis in all financial markets, led governments to take urgent and unprecedented decisions on monetary and fiscal policy. Beginning on 24 March, when global equities had fallen to their lowest level since mid-2016 the day before, these exceptional measures allowed a bullish trend to emerge and then to gain strength in April and May amid expectations of a rapid recovery once the lockdown measures were relaxed. Moreover, by ensuring that long-term rates would remain very low for a very long time to support economic activity, central banks have in fact boosted the relative attractiveness of equities. They rose rapidly until June. Subsequently, the trend has become a little more hesitant. Stock prices continued to rise over the summer, but investors became more cautious. Furthermore, fears about how the epidemic was developing and doubts about the sustainability of the recovery had a negative impact on global equities in the autumn. The announcements made by major laboratories from 9 November onwards gave rise to enthusiasm that has not waned. The extremely promising results of the clinical tests of the vaccines have enabled the markets to withstand the bad news on the epidemic front and its consequences on economic activity as well as political uncertainties. The latter have found, in the United States as well as in Europe, reassuring conclusions in the eyes of investors. US equities significantly outperformed (+16.3% for the S&P 500) driven by the surge in technology stocks (+43.6% for the Nasdaq Composite). The major European markets did not manage to make up all the lost ground and the Eurostoxx 50 index lost 5.1% compared with the end of 2019. Globally, technology stocks outperformed strongly, followed by consumer cyclicals, while energy, banking and listed real estate stocks experienced the biggest declines.

OUTLOOK

The new restrictions put in place in response to the outbreak of the epidemic, particularly in Europe and the United States, will weigh on economic activity, but the efforts of governments to keep their economies afloat over the next few months are likely to reassure investors. The short-term downturn does not affect the cyclical recovery expected in 2021, especially since the vaccination campaigns should make it possible to put an end to the stop-and-go situation (lockdown/reopening), which is highly detrimental to consumption and to household and business confidence. Financial markets should continue to benefit from very accommodative monetary policies, which are set to remain so in 2021, permanently low long-term interest rates and new fiscal measures to support economic activity.



MANAGEMENT POLICY

To achieve the management objective of offering investors exposure to the STOXX Europe 600 Total Return index, the BNP Paribas Easy Stoxx Europe 600 UCITS ETF sub-fund will implement synthetic replication techniques for the STOXX Europe 600 TR index. These techniques allow the performance of the assets of the sub-fund to be exchanged, through the use of over-the-counter forward financial instruments (swaps etc. ) against indexing to the benchmark index. The sub-fund's assets consist essentially of a basket of European shares.

During this year, the STOXX Europe 600 TR index (dividends reinvested) calculated in EUR lost -1.99%. Over the same period, the net asset value performance of the accumulation EUR unit fell by -1.55% and the distribution unit fell by -2.57%. This past performance, calculated from 31 December 2019** to 31 December 2020, is no guarantee of the UCITS' future results. A dividend of €0.09 per unit was distributed this year.

The tracking error achieved between the fund and its benchmark index was 0.13%. This (ex-post) tracking error over the period is in line with the expected tracking error.

31/12/19 31/12/2020 Change (%)

(based on closing prices **)

(based on closing prices)

STOXX Europe 600 (Net Return ) EUR / SXXR Index

897.47 879.59 -1.99%

BNP Paribas Easy Stoxx Europe 600 UCITS ETF Distrib. / FR0011550672 10.8256 10.547 -2.57%***

BNP Paribas Easy Stoxx Europe 600 UCITS ETF Capi. / FR0011550193 11.4467 11.269 -1.55%

* index including dividends **technical NAV at 31/12/2019 ***performance does not include the unit dividend of €0.09 ex-date 15/05/2020



List of changes to the SICAV

BNP PARIBAS EASY FR

During the financial year ended December 2020

Date of change Description of change

11 February 2020 Inclusion of 2019 performance in the KIIDs.

18 March 2020

Benchmark index: It is now specified that the administrator of the benchmark index is listed in the register of administrators and benchmark indices kept by the European Securities and Markets Authority (ESMA)

Change in the daily cut-off time for subscription and redemption orders

from 4:30 p.m. to 3 p.m.

14 September 2020

Change in the daily cut-off time for subscription and redemption orders from 3 p.m.

- To 3:30 p.m. for the BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF sub-fund - To 4:30 p.m. for the BNP PARIBAS EASY S&P 500 UCITS ETF and BNP PARIBAS EASY EURO STOXX 50 UCITS ETF sub-funds.




General information

Name of the Fund BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF Any asset awarded to another party by this Fund is considered committed and taken over by this party.

Currency of the Fund EUR All amounts below are expressed in the portfolio currency.

Transaction type Total return swaps

Settlement and clearing Bilateral SFTs and TRS are always settled bilaterally.

Information regarding the transaction

Absolute value of assets committed 1,583,791,984.44

Total assets committed as a proportion of assets under management

188.01%

Securities lent as a proportion of loanable assets No securities loaned during the period 0.00%

Commodities lent as a proportion of loanable assets No commodities loaned during the period 0.00%

Transaction – breakdown of information Additional information Value

Counterparty

BNP PARIBAS France 736,031,926.68

JP MORGAN (OTC LDN) United Kingdom 335,731,890.20

BARCLAYS BANK PLC United Kingdom 245,741,047.25

BANK OF AMERICA, N.A. France 196,287,176.81

BNP PARIBAS SECURITIES SERVICES France 69,999,943.50

Maturity

Three months to one year 1,208,869,953.42

More than one year 374,922,031.02

Collateral received – breakdown of information Additional information Value

Type of instrument

Cash 6,000,000.00

Currency (valued in reference currency)

EUR 6,000,000.00

Maturity

Less than one day 6,000,000.00

Counterparty

J.P. MORGAN SECURITIES (OTC BILAT) 6,000,000.00

Issuer

N/A 0.00

Total 6,000,000.00

Note: Collateral exchanged during the period covers the entirety of the Fund's OTC derivative activity and not just TRS.

Collateral received – information regarding custody Name Absolute value

Depositary BNP PARIBAS SECURITIES SERVICES 6,000,000.00

Collateral provided – breakdown of information Additional information Value

Instrument type

Cash 45,370,000.00

Currency (valued in reference currency)

EUR 45,370,000.00

Maturity

Less than one day 45,370,000.00

Counterparty

MERRIL LYNCH INTERNATIONAL (OTC BILAT) 31,550,000.00

BNP PARIBAS (OTC BILAT) 13,820,000.00

Issuer

N/A 0.00

Total 45,370,000.00

Note: Collateral exchanged during the period covers the entirety of the Fund's OTC derivative activity and not just TRS.

Collateral provided – information regarding custody Absolute value of collateral provided Additional information

Separate accounts 0.00

Combined accounts 45,370,000.00

Other accounts 0.00



Allowance:

Pursuant to the provisions laid down in Article 158 of the French General Tax Code relating to information on the portion of income eligible for the 40% allowance and the portion not eligible for the allowance, the income to be distributed is broken down as follows:

EUR C/D share formerly H share

29/12/2018 31/12/19 31/12/2020 Profit/loss (€) Capital gains or

losses (€) Profit/loss (€) Capital gains or

losses (€) Profit/loss (€) Capital gains or

losses (€) Unit distribution per share :

0.00 0.07 0.00

0.09

0.00

0.09

- portion eligible for the 40% allowance:

- portion not eligible for the

allowance:

0.00 0.07 0.00 0.09 0.00 0.09

Performance

Annual performance stood at -1.55% for the EUR C and EUR C/D units.


PEAs


***


ETHICS

Information on efficient portfolio management techniques

Exposure arising from efficient portfolio management techniques

Transaction type Amount in portfolio currency

Reverse repurchase agreements *

Repurchase agreements Securities lending Securities borrowing



* Securities accepted as collateral are not reused

Counterparty identity, type and amount of financial collateral received to reduce the counterparty risk Name of counterparty Type of collateral received Valuation in portfolio currency

Income arising from efficient portfolio management techniques during the financial year, and direct and indirect operating costs and charges

Transaction type Income for the period in portfolio currency

Costs and/or operational charges in portfolio currency

Information on derivative financial instruments

Underlying exposure achieved through derivatives Transaction type Counterparty Amount in portfolio currency

EQUITY SWAPS BANK OF AMERICA N.A. 196,287,176.81 EQUITY SWAPS BARCLAYS BANK PLC 245,741,047.25 EQUITY SWAPS BNP PARIBAS 806,031,870.18 EQUITY SWAPS JP MORGAN (OTC LDN) 335,731,890.20

Counterparty identity, type and amount of financial collateral received Name of counterparty Type of financial collateral Valuation in portfolio currency

J.P. MORGAN SECURITIES (OTC BILAT) Cash collateral -6,000,000.00 BNP PARIBAS (OTC BILAT) Cash collateral 13,820,000.00 MERRIL LYNCH INTERNATIONAL (OTC BILAT) Cash collateral 31,550,000.00

Group financial instruments held in the sub-fund


* * *

Details of the main changes in the portfolio are available on request from the management company.



BNP PARIBAS ASSET MANAGEMENT France, Service Client, TSA 47000, 75318 Paris Cedex 09 * * *


* * *


General approach




In the event of controversy, ESG analysts may initiate a specific monitoring procedure (setting up a specific list). Managers are therefore alerted and any new purchase or increase of positions on this monitored security is prohibited until a new ESG recommendation is provided by the ESG analysts. This process allows us to maintain a maximum level of alert when a controversy occurs. The more controversies a company faces, the greater the reputation risk for our funds. All controversies are classified from level 1 (least severe) to level 5 (most severe). The classification takes into account the impact of the incident (severity and number), the level of recurrence, liability and uniqueness, response and management by the company. A company is automatically penalised if it faces one or more level 3 or higher controversies. If the controversy was extremely serious or had particularly negative consequences, then the company could be excluded from our investment universe.



Responsible business conduct and industry exclusions: BNPP AM applies ESG exclusions based on the 10 principles of the United Nations Global Compact for all its investments. The Global Compact is a universal reference framework for business evaluation and is applicable to all industrial sectors, and is based on international conventions in the areas of respect for human rights, labour rights, the environment and the fight against corruption.







In addition to the principles of the United Nations Global Compact, BNPP AM applies specific ESG standards that must be respected by companies operating in certain sensitive sectors in terms of social and environmental impacts. They are defined in sectoral policies that to date concern palm oil, pulp, coal, nuclear energy, mining, asbestos, agriculture and tobacco. Non-compliance with the ESG standards defined by BNPP AM leads to the exclusion of companies from the investment scope. Lastly, in accordance with applicable regulations, some sectors such as controversial weapons (anti-personnel mines and cluster munitions) are banned from any investment.

A forward-looking vision We believe that three key points underpin a more sustainable and inclusive economic system: energy transition, environmental protection and equality. We have defined a set of objectives and developed performance indicators to measure how we will align our research, our portfolios, and our commitment to businesses and governments on these three issues, the "3Es".














Since there is not yet a marketplace method to assess the impact of the physical risks of climate change, BNPP AM is unable to fully assess its exposure to such risks.













For this reason, we are co-financing the development of an innovative methodology and tool, Climate Risk & Impact Screening (CRIS), launched at the initiative of Carbon 4. This assessment method will ultimately allow us to objectively assess our exposure to the physical risks of climate change.

Specific case

3) Easy Fund (FR/LU)











806 88,983 27,764

Aggregated remuneration of employees of BNPP AM France whose activity has a significant impact on the risk profile and who are therefore "Identified Staff"6 (Article 22-2-f of the AIFM Directive and Article 69-3 (b) of the UCITS V Directive): 4 Note: The above remuneration amounts cannot be reconciled directly with the accounting data for the year because they reflect the sums awarded based on the number of employees at the end of the annual variable remuneration campaign, in May 2019. Therefore, for example, these amounts include all the variable remuneration awarded during this campaign, regardless of whether or not it was deferred, and regardless of whether or not the employees ultimately remained at the company. 5 In addition to these employees and the corresponding amounts, we should not overlook the:










remuneration (€k)



138

129

26,000

23,890

Other information:





208 311

70 46

- An independent central audit of the overall BNP Paribas Asset Management remuneration policy and its implementation in 2018/2019 was conducted between May and July 2019, under the supervision of the remuneration committee of BNP PARIBAS ASSET MANAGEMENT Holding Group and its Board of Directors. Following this audit, which covered BNP Paribas Asset Management entities holding an AIFM and/or UCITS licence, the policy was awarded a "Satisfactory" grade.



* * *



* * *



* * *

BEST SELECTION AND BEST EXECUTION POLICY OF BNP PARIBAS ASSET MANAGEMENT FRANCE (BNPP AM FRANCE), ACTING AS DELEGATED FINANCIAL MANAGER OF THE SICAV







RESOLUTIONS

Ordinary Shareholders' Meeting

12 April 2021 Resolutions voted on

***

FIRST RESOLUTION








SECOND RESOLUTION














- For the "EUR C" shares: to record in capital the sum of €3,119,360.15. - For "EUR C/D" shares: to distribute the sum of €7,869,023.60 and to allocate the sum of €7,022,224.60 to retained earnings.



THIRD RESOLUTION




- For the "EUR C" shares: to record in capital the sum of €21,250,763.71. - For the "EURO C/D" shares: to distribute the sum of €786,218.94 and to allocate the sum of €21,532,404.04 to retained

earnings.






- For the "EUR C" shares: to record in capital the sum of €63,288,811.27. - For the "USD C" shares: to record in capital the sum of €168,585,086.29. - For the "USD C/D" shares: to distribute the sum of €927,168.39 and to allocate the sum of €56,769,806.19 to retained

earnings. - For the "EUR H" shares: to record in capital the sum of €64,076,340.98.




- For the "EUR C" shares: to record in capital the sum of €(6,872,252.13). - For the "EUR C/D" shares: to allocate the sum of €164,217.43 to retained earnings and to accumulate the negative sum of

€(14,278,566.50).



FOURTH RESOLUTION



FIFTH RESOLUTION

The General Meeting of Shareholders, acting in accordance with the quorum and majority requirements for Ordinary General Meetings of Shareholders, granted full powers to the Secretary of the meeting to issue certified copies or extracts of the minutes and to the company "Lextenso/Petites Affiches" and/or to any holder of an original copy, a copy or an extract of these minutes, for the purpose of



carrying out all legal formalities relating to publication, filing and amending entries in the Trade and Companies Register, including by dematerialised means with electronic signature, in accordance with the legal provisions in force.


BNP Paribas Easy EURO STOXX 50 UCITS ETF


COMPOSITION OF THE BOARD OF DIRECTORS (Financial year 2020)


Laurent GAUDE



DIRECTORS



STATUTORY AUDITOR








Laurent GAUDE:




Director












Director



Grégory GUERRAND:



Guido STUCCHI:






Declaration – Table of delegated authority (Article L225-37-4 of the Commercial

Code)




STRATEGY

IDENTIFICATION

CLASSIFICATION

Eurozone country equities

MANAGEMENT OBJECTIVE

The BNP PARIBAS EASY EURO STOXX 50 UCITS ETF sub-fund (the "Sub-Fund") aims to replicate the performance of the EURO STOXX® 50 Net Return index, regardless of its upward and downward developments.

As the Sub-Fund is indexed, it seeks to maintain the tracking error in absolute terms between the growth of the Sub-Fund’s net asset value and that of the index at a level below 1%. If this tracking error exceeds 1%, it must not under any circumstances exceed 5% of the index's volatility.

BENCHMARK INDEX

The benchmark is the EURO STOXX® 50 Net Return index, published in euro by STOXX Limited (Bloomberg code: SX5T Index), calculated net reinvested dividends. The EURO STOXX® 50 Net Return index is a stock market benchmark index calculated as the arithmetic average weighted by capitalisation of a sample of 50 shares selected from the countries belonging to the eurozone. The shares included in the composition of the index are selected for their level of capitalisation, liquidity and sectoral representativeness. The index is calculated and published by STOXX Limited. In accordance with Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016, the index administrator is registered in the register of administrators and benchmark indices maintained by the European Securities and Markets Authority. Furthermore, pursuant to the same regulation, the management company has a procedure for monitoring the benchmark indices used outlining the measures to be implemented in the event of substantial changes to an index or cessation of the provision of that index. A comprehensive description of the index and the publication of its securities are available on the website www.stoxx.com.

Publication of the index:

STOXX Limited is responsible for calculating and disseminating the value of the EURO STOXX® 50 Net Return index. The closing level of the EURO STOXX® 50 index is calculated on a daily basis using the official closing price of the stock exchange on which its constituent securities are traded. The EURO STOXX® 50 Net Return index is also calculated in real time on each trading day of its stock exchange. The EURO STOXX® 50 Net Return index is published in real time via Reuters and Bloomberg: Reuters: STOXX50ER Bloomberg: SX5T Index

STOXX Disclaimer:

The EURO STOXX® 50 Net Return index is protected by intellectual property legislation. EURO STOXX 50 Net Return is a registered trademark of STOXX Limited and is licensed to BNP PARIBAS ASSET MANAGEMENT France (the holder). STOXX and its licensors have no other relationship with the holder of the licence awarded for the EURO STOXX® 50 Net Return index and the trademarks registered for use in connection with the Sub-Fund. STOXX and its licensors:

- Make no warranty statement as to the desirability of a transaction on shares of the BNP PARIBAS EASY EURO STOXX EUROPE 50 UCITS ETF sub-fund, which they also refrain from selling and promoting.

- Issue no investment recommendation to anyone with respect to the BNP PARIBAS EASY EURO STOXX 50 UCITS ETF sub-fund or other securities.

- Accept no responsibility or obligation as to the launch date, quantity and price of shares in the BNP PARIBAS EASY EURO STOXX 50 UCITS ETF sub-fund, and do not take any decision on this matter.

http://www.stoxx.com/



- Accept no responsibility or obligation for the administration, management or marketing of the BNP PARIBAS EASY EURO STOXX 50 UCITS ETF sub-fund.

- Are not required to take into account the needs of the BNP PARIBAS EASY EURO STOXX 50 UCITS ETF sub-fund or its shareholders in determining, composing or calculating the EURO STOXX® 50 Net Return index.

STOXX and its licensors disclaim all liability in respect of the BNP PARIBAS EASY EURO STOXX 50 UCITS ETF Sub-Fund. Specifically:

• STOXX and its licensors provide no warranty, express or implied, and do not assume any express or implied

warranties, whether in respect of: • The results to be obtained by the BNP PARIBAS EASY EURO STOXX 50 Net Return UCITS ETF sub-fund, the holder

of shares of the BNP PARIBAS EASY EURO STOXX 50 UCITS ETF sub-fund or any person involved in the use of the EURO STOXX 50 Net Return index and the data included with the EURO STOXX® 50 Net Return index. - The accuracy or completeness of the EURO STOXX® 50 Net Return index and the data contained therein. - The negotiability of the EURO STOXX® 50 Net Return index and its data and their suitability for a specific use or purpose. STOXX and its licensors shall not be liable for any error, omission or interruption whatsoever in the EURO STOXX®

50 Net Return index or the data contained therein. • Under no circumstances shall STOXX or its licensors be liable for any loss of profits whatsoever. The same applies

to any indirect damage or loss even if STOXX and its licensors have been advised of the existence of such risks. The licence agreement between BNP PARIBAS ASSET MANAGEMENT France and STOXX has been established in their sole interest and not in that of the holders of the shares of the BNP PARIBAS EASY EURO STOXX 50 UCITS ETF Sub-Fund or third parties.

INVESTMENT STRATEGY

To achieve the management objective of offering investors exposure to the EURO STOXX® 50 index, the Sub-Fund can use either the so-called "synthetic" replication methodology or a direct replication methodology of the benchmark index. To achieve its management objective, the Sub-Fund invests primarily in equities included in the benchmark defined above, adhering to the allocation implemented by the latter in its choice of equities. If the composition were to change, the Sub-Fund would replicate the new distribution tracked by the benchmark index. However, the Management Company may use techniques and negotiable financial instruments which they consider to be financially appropriate to the optimal management of the portfolio (regulated or over-the-counter purchases/sales of financial instruments, subscriptions/redemptions of units or French or European coordinated equities or the use of forward financial instruments). As a consequence, the risk characteristics of the portfolio will be similar to those of the benchmark index. The Management Company may, in accordance with the regulations in force, replace the EURO STOXX® 50 index, in the case of significant events affecting the functioning of the index (cessation of publication, disappearance of the index) or if the conditions of its replication are no longer optimal in order to achieve the management objective.


Equities:

The Sub-Fund is eligible for the French Equity Savings Plan (Plan d'Epargne en Actions, PEA) and must therefore ensure that at least 75% of its assets comprise securities eligible for the PEA. The Sub-Fund invests in the securities of companies from all sectors, in large and potentially mid-capitalisation companies, issued on the markets of one or more European countries, and whose performance is intended to be exchanged against a benchmark index. The Sub-Fund may invest in equities under the special clauses for index-tracking UCITS, that is to say, up to 20% of its assets in equities from the same issuing entity, in accordance with the conditions outlined in Article R. 214-22 Section 1 of the French Monetary and Financial Code. When exceptional market conditions so justify, and specifically when certain securities are dominant, this 20% limit may be increased to 35% for a single issuing entity.



Debt securities and money market instruments:

In order to manage its cash and/or depending on market conditions, the Sub-Fund may invest up to 15% of its assets in money market instruments (French treasury bills, short-term negotiable securities, etc.) or in negotiable debt securities. When they are purchased, these instruments shall have a minimum rating of A-3 (Standard & Poor's) or P-3 (Moody's), or, failing this, a long-term investment-grade rating or an internal rating by the management company that meets equivalent criteria. The issuers selected may come from either the private or public sector (governments, regional authorities etc.), and private debt may represent up to 100% of the debt instrument assets. Foreign marketable or complex debt securities or bonds are denominated in euro.

Units or equities in collective investment undertakings:

The Sub-Fund may invest up to 10% of its assets in UCITS, AIF and investment fund units or equities. These UCITS, AIFs and investment funds include: • UCITSs under French or foreign law. • French AIFs or AIFs established in other European Union member states or investment funds established on the basis of a foreign law that meet the criteria set out in Article R. 214-13 of the French Monetary and Financial Code. These UCITS, AIFs and investment funds may be managed by management companies of the BNP PARIBAS group.

Information about contracts constituting collateral:

In order to achieve its investment objective, the Sub-fund may obtain or grant the guarantees referred to in Article L. 211-38 of the French Monetary and Financial Code in accordance with the Management Company's risk policy. This collateral may therefore be in the form of cash, money market instruments, bonds issued or guaranteed by an OECD member state, equities, UCITS units offering daily liquidity etc. and is kept in separate accounts by the depositary. This collateral will be subject to a discount tailored to each asset class, pursuant to the Management Company's risk policy. Only collateral received in cash may be reinvested in accordance with the regulations in force in accordance with AMF Position No. 2013-06. Cash received may therefore be held on deposit, invested in high-quality government bonds, used in reverse repurchase agreements or invested in short-term money market UCITS. The collateral received should be sufficiently diversified. Securities received from a same issuer may not exceed 20% of the net assets. Notwithstanding the foregoing, the Sub-Fund may receive up to 100% of its net assets, securities issued or guaranteed by an OECD member state as collateral in accordance with the Management Company's risk policy. Therefore, the Sub-Fund may be fully guaranteed by securities issued or guaranteed by a single eligible OECD member state. In addition to the guarantees referred to above, the SICAV provides collateral on its assets (financial securities and cash) in favour of the depositary in respect of its financial obligations to the latter.

TOTAL RISK


RISK PROFILE:


The Sub-Fund's risk profile is adapted to an investment horizon of more than or equal to five years. Like any financial investment, potential investors should be aware that the value of the Sub-Fund's assets is subject to fluctuations of the assets comprising the benchmark and that it can vary significantly.

The Sub-Fund is a UCITS classified as "eurozone country equities". Investors are therefore exposed to the following risks:

- Market risk:

The shareholder is fully exposed to the EURO STOXX® 50 index. A downward trend in the shares of the EURO STOXX® 50 index causes a decrease in the net asset value of the Sub-Fund.





- Counterparty risk: The Sub-Fund is exposed to a counterparty risk arising from the conclusion of over-the-counter forward financial instruments in order to achieve the management objective. Counterparty risk refers to losses incurred by the Sub-Fund as a result of its investments with a counterparty if that counterparty defaults. However, counterparty risk is limited by the implementation of a guarantee granted to the Sub-Fund in accordance with the regulations in force.

- Credit risk:

This is linked to an issuer's ability to honour its debts and to the risk of the rating of an issue or issuer being downgraded, which may result in a fall in the value of the debt securities in which the Sub-Fund is invested. This risk is also linked to the use of credit derivatives. Investments made using credit derivatives in a market with low liquidity may result in significant capital losses if the sale of these assets is required. In this case, the Sub-Fund's net asset value may fall.

- Liquidity risk:




- The suspension or halting of calculating the EURO STOXX® 50 index. - The suspension of the market(s) on which the components of the EURO STOXX® 50 index are listed. - A stock exchange's inability to obtain or calculate the Sub-Fund's indicative net asset value. - A breach by a market maker of the rules applicable to that stock exchange. - A failure especially of the IT or electronic systems used by that stock exchange.

- Risk associated with the use of derivatives:

In order to achieve its management objective, the Sub-Fund may use over-the-counter or listed derivatives to hedge and/or optimise its portfolio yields. Investors' attention is drawn to the fact that the volatility of the Sub-Fund's yield increases by this means and the use of these instruments may significantly alter the exposure of the portfolio compared with a simple, direct investment. If this risk occurs, it could cause a drop in the value of the Sub-Fund's NAV.

- Risk of conflict of interest and risk related to entering into contracts with related counterparties:



Management of collateral received in connection with total return swaps may involve certain specific risks such as operational risks or custody risk. As such, these contracts may have a negative effect on the Sub-Fund's net asset value

- Legal risk:

The use of total return swaps (TRS) may give rise to a legal risk relating in particular to the execution of contracts.

GUARANTEE OR PROTECTION: None

RECOMMENDED MINIMUM INVESTMENT PERIOD: Five years



MANAGEMENT REPORT


Dear Sir or Madam,






INVESTMENT POLICY


In early 2020, the major equity indices had just climbed to new highs when an unforeseen event shook up everyday life and the economic outlook. Fears of a global spread of the Covid-19 epidemic led to an initial decline in equities at the end of February, which intensified in March in response to the inexorable progress towards a pandemic. The sharp decline in equities, which contained the seeds of a liquidity crisis in all financial markets, led governments to take urgent and unprecedented decisions on monetary and fiscal policy. Beginning on 24 March, when global equities had fallen to their lowest level since mid-2016 the day before, these exceptional measures allowed a bullish trend to emerge and then to gain strength in April and May amid expectations of a rapid recovery once the lockdown measures were relaxed. Moreover, by ensuring that long-term rates would remain very low for a very long time to support economic activity, central banks have in fact boosted the relative attractiveness of equities.

Their recovery has been rapid: in early June, the MSCI AC World index in dollars had recovered 42% from its March low. Subsequently, the trend has become a little more hesitant. Despite improvements in some economic indicators, the governments and central banks have emphasised the unprecedented nature of this crisis, which will leave deep scars. Stock prices continued to rise over the summer, but investors became more cautious. After a fifth consecutive monthly increase in August, due in particular to company results that were less negative than expected, some profit booking took place, particularly in US technology stocks, which had performed exceptionally well up until then. Furthermore, fears about how the epidemic was developing and doubts about the sustainability of the recovery had a negative impact on global equities in the autumn. Finally, progress in medical research provided reassurance. The announcements made by major laboratories from 9 November onwards gave rise to enthusiasm that has not waned. The very promising results of clinical trials of vaccines against Covid-19 have convinced investors that an effective vaccine without side effects will soon be available. This favourable hypothesis, which was unhoped for a few months earlier, has enabled the markets to withstand the bad news on the epidemic front and its consequences on economic activity as well as political uncertainties. The latter have found, in the United States as well as in Europe, reassuring conclusions in the eyes of investors.

Against this backdrop, the MSCI AC World index in dollars recorded its strongest monthly increase in November (+12.2%) and gained a further 4.5% in December to end at a new high, up 14.3% in twelve months. The MSCI Emerging index in dollars posted a slight outperformance (+15.9%) in the second half of the year, reflecting a wide variety of situations in the major regions. Only emerging Asian equities were able to rise, benefiting from the self-sustaining recovery of the Chinese economy and a less dramatic health situation than in the major developed countries. Within the developed markets, US equities significantly outperformed (+16.3% for the S&P 500) driven by the surge in technology stocks (+43.6% for the Nasdaq Composite). The major European markets did not manage to make up all the lost ground and the Eurostoxx 50 index lost 5.1% compared with the end of 2019. The sector composition of the indices and the appreciation of the euro against the dollar (+9%) may have contributed to this underperformance. In Japan, the Topix rose by 4.8% to end the year at its highest level in two years. Globally, technology stocks outperformed strongly, followed by consumer cyclicals, while energy, banking and listed real estate stocks experienced the biggest declines.



MANAGEMENT POLICY

BNP Paribas Easy EURO STOXX 50 UCITS ETF, a fund eligible for the French equity savings plan (Plan d'Epargne en Actions – PEA), is invested mainly in shares of the Euro Stoxx 50 index, in compliance with the allocation implemented by the latter in the choice of securities.

The management of the BNP Paribas Easy EURO STOXX 50 UCITS ETF portfolio consists of compliance at all times with the respective weights of the index values, for the part invested in securities, by purchasing or selling the relevant securities during the adjustments to the index. This was done in the portfolio this year

From 31 December 2019 to the end of December 2020, the Euro Stoxx 50 Total Return index lost 3.21%. In the same period, the performance of the net asset value was -2.93%. This past performance, calculated from 31/12/2019 to 31/12/2020, is no guarantee of the UCITS' future results.

The tracking error achieved between the fund and its benchmark index was 0.13% (annualised weekly data). This (ex post) tracking difference over the period is in line with the expected tracking difference.

The difference in performance between the fund and its benchmark index is explained in particular by the fund's domicile in France (the fund receives 100% of French dividends while the index applies a 30% tax).

A dividend was distributed on the distributing portion for a unit amount of €0.23 (on 15/05/2020).

31/12/2019* 31/12/2020* Change (%) (based on closing

prices) (based on closing prices)

BNP Paribas Easy EURO STOXX 50 UCITS ETF (accumulation share)

10.2211 9.9221 -2.93%

BNP Paribas Easy EURO STOXX 50 UCITS ETF (distributing share*)

9.3685 8.7963 -2.93%**

Euro Stoxx 50 NTR Index*** 7949.64 7694.85 -3.21%

*Technical NAVs at 31/12/2019 and 31/12/2020

**including dividend

***dividends-reinvesting index

* * *


* * * Performance

Annual performance stood at -2.93% for the EUR C and EUR C/D units.


* * *



ABERDEEN paragraph

Tax claims in relation to the Aberdeen/Fokus Bank project.

In several EU Member States, Community law gives undertakings for collective investment (UCIs) the option of filing claims in order to recover taxes that have been unduly levied. In effect, the fact that a Member State imposes heavier taxation on a foreign UCI than a domestic UCI constitutes discrimination in the light of Community law.

This principle was endorsed by the judgement of the Court of Justice of the European Union (CJEU) in the Aberdeen case (18 June 2009). This judgement recognises that a non-resident UCI may be subject to discriminatory taxation, which constitutes an obstacle to the freedom of establishment and/or the free movement of capital. Other rulings made by the CJEU have confirmed this jurisprudence. These are the rulings made in the Santander case (10 May 2010) and the Emerging Markets case (10 April 2014) concerning French and Polish tax legislation, respectively.

On the basis of that jurisprudence, and in order to safeguard the rights of the UCIs to benefit from a tax reimbursement, the management company has decided to file claims with the tax authorities in several Member States that have discriminatory legislation that is not compliant with Community law. These procedures are examined in advance, to determine the viability of the claims, i.e. for which funds, in which Member States and for which period to apply for reimbursement.

To date, there is no European legislation that provides a homogeneous procedure for this type of claim. For this reason, the reimbursement periods and the complexity of the procedure vary according to the member state concerned, making it necessary to continuously review developments on this issue.

* * *

PEAs


* * *


The UCI was not affected by SFTR instruments during the financial year.

* * *

Allowance

Pursuant to the provisions laid down in Article 158 of the French General Tax Code relating to information on the portion of income eligible for the 40% allowance and the portion not eligible for the allowance, the income to be distributed is broken down as follows: Distribution per unit: €0.20 - Portion eligible for the 40% allowance: €0 - Portion not eligible for the allowance: €0.20

Group financial instruments held in the SICAV


* * *

Details of the main changes in the portfolio are available on request from the management company. BNP PARIBAS ASSET MANAGEMENT France – Service Client – TSA 47000 – 75318 Paris Cedex 09 – France



* * *


* * *


General approach




In the event of controversy, ESG analysts may initiate a specific monitoring procedure (setting up a specific list). Managers are therefore alerted and any new purchase or increase of positions on this monitored security is prohibited until a new ESG recommendation is provided by the ESG analysts. This process allows us to maintain a maximum level of alert when a controversy occurs. The more controversies a company faces, the greater the reputation risk for our funds. All controversies are classified from level 1 (least severe) to level 5 (most severe). The classification takes into account the impact of the incident (severity and number), the level of recurrence, liability and uniqueness, response and management by the company. A company is automatically penalised if it faces one or more level 3 or higher controversies. If the controversy was extremely serious or had particularly negative consequences, then the company could be excluded from our investment universe.



Responsible business conduct and industry exclusions: BNPP AM applies ESG exclusions based on the 10 principles of the United Nations Global Compact for all its investments. The Global Compact is a universal reference framework for business evaluation and is applicable to all industrial sectors, and is based on international conventions in the areas of respect for human rights, labour rights, the environment and the fight against corruption. In addition to the principles of the United Nations Global Compact, BNPP AM applies specific ESG standards that must be respected by companies operating in certain sensitive sectors in terms of social and environmental impacts. They are defined in sectoral policies that to date concern palm oil, pulp, coal, nuclear energy, mining, asbestos, agriculture and tobacco. Non-compliance with the ESG standards defined by BNPP AM leads to the exclusion of companies from the investment scope. Lastly, in accordance with applicable regulations, some sectors such as controversial weapons (anti-personnel mines and cluster munitions) are banned from any investment.

A forward-looking vision We believe that three key points underpin a more sustainable and inclusive economic system: energy transition, environmental protection and equality. We have defined a set of objectives and developed performance indicators to measure how we will align our research, our portfolios,







and our commitment to businesses and governments on these three issues, the "3Es".














Since there is not yet a marketplace method to assess the impact of the physical risks of climate change, BNPP AM is unable to fully assess its exposure to such risks. For this reason, we are co-financing the development of an innovative methodology and tool, Climate Risk & Impact Screening (CRIS), launched at the initiative of Carbon 4. This assessment method will ultimately allow us to objectively assess our exposure to the physical risks of climate change.













IV – Specific cases

1. Easy Fund (FR/LU)


2. A fund that does not apply the ESG criteria

This fund does not apply the ESG criteria of BNPPAM because this is not compatible with its strategy.

* * *










806 88,983 27,764

Aggregated remuneration of employees of BNPP AM France whose activity has a significant impact on the risk profile and who are therefore "Identified Staff"9 (Article 22-2-f of the AIFM Directive and Article 69-3 (b) of the UCITS V Directive):

7 Note: The above remuneration amounts cannot be reconciled directly with the accounting data for the year because they reflect the sums awarded based on the number of employees at the end of the annual variable remuneration campaign, in May 2019. Therefore, for example, these amounts include all the variable remuneration awarded during this campaign, regardless of whether or not it was deferred, and regardless of whether or not the employees ultimately remained at the company. 8 In addition to these employees and the corresponding amounts, we should not overlook the:










remuneration (€k)



138

129

26,000

23,890

Other information:





208 311

70 46

- An independent central audit of the overall BNP Paribas Asset Management remuneration policy and its implementation in 2018/2019 was conducted between May and July 2019, under the supervision of the remuneration committee of BNP PARIBAS ASSET MANAGEMENT Holding Group and its Board of Directors. Following this audit, which covered BNP Paribas Asset Management entities holding an AIFM and/or UCITS licence, the policy was awarded a "Satisfactory" grade.



* * *



* * *



* * *

BNP PARIBAS ASSET MANAGEMENT FRANCE (BNPP AM FRANCE) BEST SELECTION AND BEST EXECUTION POLICY







RESOLUTIONS

FIRST RESOLUTION








SECOND RESOLUTION














- For the "EUR C" shares: to record in capital the sum of €3,119,360.15. - For the "EUR C/D" shares: to distribute the sum of €7,869,023.60 and to allocate the sum of €7,022,224.60 to retained earnings.



THIRD RESOLUTION




- For the "EUR C" shares: to record in capital the sum of €21,250,763.71. - For the "EURO C/D" shares: to distribute the sum of €786,218.94 and to allocate the sum of €21,532,404.04 to retained earnings.




- For the "EUR C" shares: to record in capital the sum of €63,288,811.27. - For the "USD C" shares: to record in capital the sum of €168,585,086.29. - For the "USD C/D" shares: to distribute the sum of €927,168.39 and to allocate the sum of €56,769,806.19 to retained earnings.



- For the "EUR H" shares: to record in capital the sum of €64,076,340.98.




- For the "EUR C" shares: to record in capital the sum of €(6,872,252.13). - For the "EUR C/D" shares: to allocate the sum of €164,217.43 to retained earnings and to accumulate the negative sum of

€(14,278,566.50).



FOURTH RESOLUTION



FIFTH RESOLUTION

The General Meeting of Shareholders, acting in accordance with the quorum and majority requirements for Ordinary General Meetings of Shareholders, granted full powers to the Secretary of the meeting to issue certified copies or extracts of the minutes and to the company "Lextenso/Petites Affiches" and/or to any holder of an original copy, a copy or an extract of these minutes, for the purpose of carrying out all legal formalities relating to publication, filing and amending entries in the Trade and Companies Register, including by dematerialised means with electronic signature, in accordance with the legal provisions in force.


Classification : Internal

BNP PARIBAS EASY FR

STATUTORY AUDITOR'S REPORT ON THE ANNUAL FINANCIAL STATEMENTS Financial year ended 31 December 2020

This is a free translation into English of the statutory auditors’ report on the financial statements issued in French and is provided solely for the convenience of English speaking users. The statutory auditors’ report includes information specifically required by French law in such reports, whether modified or not. This information is presented below the audit opinion on the financial statements and includes an explanatory paragraph discussing the auditors’ assessments of certain significant accounting and auditing matters. These assessments were considered for the purpose of issuing an audit opinion on the financial statements taken as a whole and not to provide separate assurance on individual account balances, transactions or disclosures. This report should be read in conjunction with, and construed in accordance with, French law and professional auditing standards applicable in France.

PricewaterhouseCoopers Audit, 63, rue de Villiers, 92208 Neuilly-sur-Seine Cedex, France Tel.: +33 (0)1 56 57 58 59, Fax: +33 (0)1 56 57 58 60, www.pwc.fr

Accounting firm registered with the Paris Ile-de-France Tableau de l'Ordre. Auditing firm and member of the Compagnie Régionale de Versailles (Regional Association of Statutory Auditors). Société par actions simplifiée (simplified joint-stock company) with capital of €2,510,460. Registered office: 63 rue de Villiers, 92200 Neuilly-sur-Seine, France. Nanterre Trade and Companies Register no. 672 006 483. VAT No. FR 76 672 006 483. SIRET no. 672 006 483 00362. APE [trade sector] code 6920 Z. Offices: Bordeaux, Grenoble, Lille, Lyon, Marseille, Metz, Nantes, Nice, Paris, Poitiers, Rennes, Rouen, Strasbourg, Toulouse.


STATUTORY AUDITOR'S REPORT ON THE ANNUAL FINANCIAL STATEMENTS Financial year ended 31 December 2020

BNP PARIBAS EASY FR UCITS CONSTITUTED IN THE FORM OF A SOCIÉTÉ D’INVESTISSEMENT A CAPITAL VARIABLE (OPEN-ENDED INVESTMENT COMPANY) WITH SUB-FUNDS Governed by the French Monetary and Financial Code

Management company BNP PARIBAS ASSET MANAGEMENT France 14, rue Bergère 75009 Paris, France

Opinion

In performing the task entrusted to us by the management company, we carried out the audit of the annual financial statements of the UCITS established in the form of an open-ended investment company with sub-funds, i.e. BNP PARIBAS EASY FR, for the financial year ended 31 December 2020, as attached to this report.

We certify that the annual financial statements provide a true and fair description, in accordance with French accounting rules and principles, of the performance of the past financial year as well as the financial situation and the assets and liabilities of the UCITS established in the form of an open-ended investment company with sub-funds, at the end of this financial year.

Basis of opinion

Audit terms of reference

We have conducted our audit in accordance with the standards of professional practice applicable in France. We believe that the evidence gathered is sufficient and appropriate to justify our opinion. Our responsibilities pursuant to these standards are set out in the "Statutory Auditor's responsibilities regarding the audit of the annual financial statements" section of this report.

Independence

We carried out our audit in accordance with the rules of independence laid down in the French Commercial Code and the Code of Ethics for Statutory Auditors, for the period from 1 January 2020, to the date of issue of our report and notably we have not provided any services prohibited by Article 5(1) of Regulation (EU) No. 537/2014.

http://www.pwc.fr/

BNP PARIBAS EASY FR




Key points of the audit

The global crisis related to the COVID-19 pandemic creates special conditions for the preparation and audit of this financial year's accounts. Indeed, this crisis and the exceptional measures taken in the context of a state of health emergency have multiple consequences for the Undertakings for Collective Investment, their investments and the valuation of the corresponding assets and liabilities. Some of these measures, such as travel restrictions and remote working, have also had an impact on the operational management of the Undertakings for Collective Investment and on the measures for implementing audits.

Against the backdrop of this complex, ever-shifting situation, in accordance with the provisions of Articles L. 823-9 and R. 823-7 of the French Commercial Code relating to the justification of our assessments, we bring to your attention the key points of the audit related to the risks of material misstatement, which, in our professional opinion, were the most significant for the audit of the year's annual financial statements, and our responses to those risks.

The assessments thus made fall within the context of the audit of the annual financial statements taken as a whole, established per the conditions stated previously, and the formation of our opinion expressed in the first part of this report. We have no comment to make on any individual aspect of these annual financial statements.

Key points of the audit Audit response to cover these risks

The SICAV's main risks relate to the financial instruments in its portfolio.

Any error in the recording or valuation of these financial instruments may lead to a discrepancy in the establishment of the net asset value of the SICAV and in the financial statements.

We therefore focused our work on the existence and valuation of financial instruments in the portfolio.

Valuation of financial instruments traded on a regulated or equivalent market

The valuation of financial instruments traded on a regulated or equivalent market and held by the SICAV is not complex as it is mainly based on listed prices provided by independent sources.

We have compared the valuation of financial instruments traded on a regulated or equivalent market and held by the SICAV at the end of the financial year with the observable prices found in market databases.

However, the amounts involved are significant and could be a source of material error.

The value of financial instruments traded on a regulated or equivalent market is recorded in the balance sheet and included in the detailed inventory presented in the notes to the annual financial statements. The valuation rules for these

http://www.pwc.fr/

BNP PARIBAS EASY FR




instruments are described in the accounting rules and methods in the notes to the financial statements.

Key points of the audit Audit response to cover these risks

Valuation of over-the-counter financial contracts

As part of its investment strategy, the SICAV uses over-the-counter swaps. The valuation of these instruments is not observable on a regulated or equivalent market. Therefore, the valuation of over-the-counter swaps is a key point of the audit.

The value of the swap is recorded in the balance sheet under the financial contracts item and is included in the detailed inventory presented in the notes to the financial statements. The commitment corresponding to the swap is included in the off-balance sheet statement. The valuation rules for these instruments are described in the accounting rules and methods in the notes to the financial statements.

We have verified that the valuation of the swap recorded at the year end corresponds to the valuation provided by the swap counterparty.

We have reviewed the management company's procedure for monitoring the valuation of swaps. We have verified that this procedure was applied at the closing date.

Existence of financial instruments The financial instruments in the portfolio are held in the safe custody or managed by the SICAV's depositary. The latter certifies their existence at the end of the financial year.

However, there is a risk that these instruments may be incorrectly or incompletely recorded in the SICAV's accounts.

The existence of these instruments constitutes a key point of the audit as the amounts involved are significant and could be a source of material error.

We have verified the existence of the financial instruments in the portfolio by checking the reconciliation statements drawn up by the SICAV between the financial instruments it holds at the end of the financial year and those recorded by the depositary in an account opened in its name. The significant discrepancies, if any, were examined, where appropriate, on the basis of transaction notices or contracts.

Specific verifications

In accordance with the standards of professional practice applicable in France, we have also conducted the specific verifications required by the legal and regulatory provisions.

Information given in the management report and in the other documents on the financial situation and annual accounts addressed to shareholders

We have nothing to report with respect to the fair presentation and the conformity with the financial statements of the information contained in the management report and in the other documents addressed to the shareholders with respect to the financial position and the financial statements.

Corporate Governance Report

We certify that the corporate governance report contains the information required by Article L. 225-37-4 of the French Commercial Code.

http://www.pwc.fr/




BNP PARIBAS EASY FR

Information resulting from other legal and regulatory obligations

Appointment of statutory auditors

We were appointed auditors of the UCITS constituted in the form of a société d’investissement a capital variable (open-ended investment company) with sub-funds, BNP PARIBAS EASY FR, by the management company on 02/10/2013.

As at 31 December 2020, our firm was in the seventh year of its uninterrupted mandate, which is the seventh year since the securities of the SICAV were admitted to trading on a regulated market.

Responsibilities of management and those persons in charge of corporate governance relating to the annual financial statements

It is the management's responsibility to prepare annual financial statements that give a true and fair view, in accordance with French accounting rules and principles, and to implement the internal controls it deems necessary for the preparation of annual financial statements that do not include any material misstatement, whether due to fraud or error.

When preparing the annual financial statements, it is the management's responsibility to assess the SICAV's ability to continue as a going concern, to present in said financial statements, where applicable, the necessary information relating to its viability as a going concern, and to apply the going concern accounting policy unless it intends to wind up the SICAV or to cease trading.

It is management's responsibility to monitor the financial reporting process and to monitor the effectiveness of the internal control and risk management systems and internal audit with regard to procedures for the preparation and processing of accounting and financial information.

The annual financial statements have been prepared by the management.

Statutory Auditor's responsibilities regarding the audit of the annual financial statements

Audit objective and methodology

It is our responsibility to draw up a report on the annual financial statements. Our aim is to obtain reasonable assurance that the annual financial statements, taken as a whole, are free of material misstatement. Reasonable assurance corresponds to a high level of assurance, but does not guarantee that an audit performed in accordance with the standards of professional practice can systematically detect any material misstatement. Misstatements may arise from fraud or error and are considered material where it can reasonably be expected that, taken individually or together, they may influence the economic decisions made by users of the annual financial statements that are based upon such misstatements.

As specified in Article L. 823-10-1 of the French Commercial Code, our task is to certify the financial statements and not to guarantee the viability or quality of management.

http://www.pwc.fr/

BNP PARIBAS EASY FR

As part of an audit performed in accordance with the standards of professional practice applicable in France, the statutory auditor exercises their professional judgement throughout this audit. In addition:

• They identify and assess the risks that the annual financial statements may contain material misstatement, whether due to fraud or error, set out and implement the audit procedures intended to counter these risks, and collate the items that they deem sufficient and appropriate to justify their opinion. The risk of non-detection of a material misstatement due to fraud is higher than that of non-detection of a material misstatement due to an error, since fraud may involve collusion, forgery, deliberate omissions, misrepresentation or the circumvention of internal control processes.

• They take note of the internal control processes relevant to the audit so as to set out audit procedures that are appropriate to the circumstances, and not to express an opinion on the effectiveness of the internal control processes.

• They assess the appropriateness of the accounting policies used and the reasonableness of the accounting estimates made by the management, as well as the information provided in their regard in the annual financial statements.

• They assess the appropriateness of the application by the management of the going concern accounting policy and, based on the evidence gathered, whether or not there is significant uncertainty relating to events or circumstances that may affect the SICAV's ability to continue as a going concern. This assessment is based on the evidence gathered up to the date of their report, on the understanding that subsequent events or circumstances may affect its viability as a going concern. If they conclude that there is significant uncertainty, they draw the attention of readers of the report to the information provided in the annual financial statements about this uncertainty or, if this information is not provided or is not relevant, they issue a certification with reservations or a refusal to certify;

• they appraise the overall presentation of the annual financial statements and assess whether said statements reflect the transactions and underlying events such that they provide a true and fair view thereof.

Neuilly-sur-Seine, France, date of electronic signature

Document authenticated by electronic signature PricewaterhouseCoopers Audit

Benjamin Moïse

BNP PARIBAS EASY FR

Annual report as at 31 December 2020 5

Assets

Financial year 31/12/2020


Net fixed assets - - Deposits - - Financial instruments 4,867,008,653.54 5,923,441,497.78

Equities and equivalent securities 4,719,862,455.41 5,687,485,194.63 Traded on a regulated or equivalent market 4,719,862,455.41 5,687,485,194.63

Not traded on a regulated or equivalent market - -

Bonds and equivalent securities - -

Traded on a regulated or equivalent market - -


Debt securities - -

Traded on a regulated or equivalent market – Negotiable debt securities - -

Traded on a regulated or equivalent market – Other debt securities - -


Securities in undertakings for collective investment 1,166,568.29 70,016,913.25

Retail UCITS and AIFs and their equivalents from other European Union member states intended for non-professional investors 1,166,568.29 70,016,913.25

Other funds and their equivalents from other European Union member states intended for non-professional investors - -

Retail professional investment funds and their equivalents from other European Union member states and listed securitisation undertakings - -

Other professional investment funds and their equivalents from other European Union member states and unlisted securitisation undertakings - -

Other non-European undertakings - -

Temporary securities transactions - - Receivables representing securities received under repurchase agreements - -

Receivables representing loaned securities - -

Borrowed securities - -

Securities assigned under repurchase agreements - -

Other temporary transactions - -

Forward financial instruments 145,979,629.84 165,939,389.90

Transactions on a regulated or equivalent market 0.01 -

Other transactions 145,979,629.83 165,939,389.90

Other assets: Loans - -

Other financial instruments - -

Debt securities 263,874,519.80 318,502,280.08

Forward foreign exchange transactions - -

Other 263,874,519.80 318,502,280.08

Financial accounts 136,715,092.03 101,317,461.41

Cash 136,715,092.03 101,317,461.41

TOTAL ASSETS 5,267,598,265.37 6,343,261,239.27

BNP PARIBAS EASY FR


Liabilities



Shareholders' equity - - Capital 4,458,071,406.58 5,124,779,728.00 Undistributed previous net capital gains or losses (a) 68,553,459.86 68,794,619.50 Balance carried forward (a) 17,706,495.17 13,775,876.24 Net capital gains or losses for the financial year (a, b) 307,676,538.75 529,271,510.44 Profit/loss for the financial year (a, b) 64,836,855.01 122,111,220.44

Total shareholders' equity (= Amount representing net assets)

4,916,844,755.37

5,858,732,954.62

Financial instruments 274,507,394.39 406,535,016.99

Disposals of financial instruments - - Temporary securities transactions - -

Debts representing securities assigned under repurchase agreements - -

Debts representing borrowed securities - - Other temporary transactions - -




Debts 76,246,115.61 77,993,267.66


Other 76,246,115.61 77,993,267.66

Financial accounts - -

Bank loans and overdrafts - -

Borrowings - -

TOTAL LIABILITIES 5,267,598,265.37 6,343,261,239.27

(a) Including accruals and deferrals. (b) Less interim dividends paid during the financial year.

BNP PARIBAS EASY FR


Off-balance sheet



Hedging transactions

Commitments on regulated or equivalent markets

Over-the-counter commitments

Equity swaps

Purchase EQS117 - 340,519,974.00

Purchase EQS118 - 440,000,089.00

Purchase EQS121 - 600,695,830.00

Purchase EQS150 - 190,000,000.00

Purchase EQS162 177,064,404.00 -

Purchase EQS182 348,273,739.00 -

Purchase EQS184 228,900,829.00 -

Purchase EQS185 511,794,537.77 -

Purchase EQS196 313,169,211.87 -

Purchase EQS199 139,997,161.01 -

Purchase EQS207 717,680,412.46 -

Purchase EQS53 - 336,968,470.68

Purchase EQS54 - 426,471,699.55

Purchase EQS57 - 159,999,996.67

Purchase EQS57 186,620,368.16 -

Purchase EQS58 188,301,662.86 -

Purchase EQS58 - 164,999,992.50

Purchase EQS65 196,287,176.81 -

Purchase EQS68 123,159,324.19 -

Purchase EQS69 69,999,943.50 -

Purchase EQS77 - 372,097,732.27

Purchase EQS84 - 625,000,000.00

Purchase EQS95 - 818,214,425.43

Purchase EQS95 739,999,998.94 -

Other commitments

Other transactions


Futures

Purchase EURO STOXX 50 - FUTURE 19/03/2021

3,017,500.00

-

BNP PARIBAS EASY FR


Off-balance sheet



Purchase EURO STOXX 50 - FUTURE 20/03/2020 - 6,563,040.00

Purchase S&P 500 E-MINI FUTURE 19/03/2021 19,455,324.67 -

Purchase S&P 500 FUTURE 19/03/2020 - 5,756,971.05

Purchase STOXX 600(SXXP) 19/03/2021 2,430,850.00 -

Purchase STOXX 600(SXXP) 20/03/2020 - 6,869,080.00


Equity swaps

Purchase EQS105 - 373,833,050.00

Purchase EQS110 - 908,466,842.24

Purchase EQS125 - 393,661,587.92

Purchase EQS128 - 156,254,327.97

Purchase EQS132 - 200,863,864.12

Purchase EQS139 - 451,628,078.15

Purchase EQS144 - 419,345,493.57

Purchase EQS147 - 389,181,374.67

Purchase EQS148 - 113,471,523.00

Purchase EQS149 - 221,888,726.60

Purchase EQS153 - 394,227,553.45

Purchase EQS154 - 213,089,532.04

Purchase EQS164 271,662,571.43 -

Purchase EQS165 282,265,554.76 -

Purchase EQS167 393,283,980.72 -

Purchase EQS169 345,078,671.60 -

Purchase EQS172 614,193,948.96 -

Purchase EQS192 346,192,105.45 -

Purchase EQS200 29,752,015.70 -

Purchase EQS217 331,074,005.86 -

Purchase EQS218 120,143,555.00 -

Purchase EQS223 471,516,982.94 -

Purchase EQS224 666,603,921.55 -

Purchase EQS49 - 337,432,300.90

Purchase EQS50 - 237,112,926.29

Purchase EQS59 - 300,761,860.00

Purchase EQS60 - 248,656,467.74

Purchase EQS66 237,950,571.47 -

Purchase EQS67 335,731,890.20 -

BNP PARIBAS EASY FR


Off-balance sheet



Purchase EQS71 245,741,047.25 -

Other commitments

BNP PARIBAS EASY FR


Income statement



Income from financial transactions - -

Income from equities and equivalent securities 67,525,848.98 121,605,586.29

Income from bonds and equivalent securities - 23.70

Income from debt securities - -

Income from temporary purchases and sales of securities - -

Income from forward financial instruments 15,058,382.52 19,387,516.85

Income from deposits and financial accounts 338.15 84,564.39

Other financial income 770,413.66 390,267.07

TOTAL I 83,354,983.31 141,467,958.30

Expenses on financial transactions - -

Expenses on temporary purchases and sales of securities - -

Expenses on forward financial instruments -5,939,006.15 -5,457,831.57

Expenses on financial debts -2,497,021.48 -1,101,643.13

Other financial expenses - -

TOTAL II -8,436,027.63 -6,559,474.70

Profit/loss on financial transactions (I + II) 74,918,955.68 134,908,483.60

Other income (III) - -

Management fees and provisions for depreciation (IV) -7,744,159.72 -8,893,243.82

Net income for the financial year (I + II + III + IV) 67,174,795.96 126,015,239.78

Accrued income for the financial year (V) -2,337,940.95 -3,904,019.34

Interim dividends paid during the financial year (VI) - -

Profit/loss (I + II + III + IV + V + VI) 64,836,855.01 122,111,220.44

BNP PARIBAS EASY FR


APPENDIX

The annual financial statements are presented in the form provided for by ANC Regulation No. 2014-01, as amended. The accounts have been established by the management company on the basis of the available elements in the context of an evolving COVID-19 crisis.

The accounting principles and policies are described in the appendix to each sub-fund.

The summary documents of the SICAV sub-funds are aggregated in Euro.

The BNP PARIBAS EASY FR SICAV comprises three sub-funds:

- BNP Paribas Easy EURO STOXX 50 UCITS ETF - BNP Paribas Easy S&P 500 UCITS ETF - BNP Paribas Easy Stoxx Europe 600 UCITS ETF

Account aggregation method: the accounts are drawn up without any treatment. There is no participation between the sub-funds.

Changes during the financial year

None.



Assets



Net fixed assets - - Deposits - -

Financial instruments 512,665,505.48 813,908,815.00 Equities and equivalent securities 512,665,505.47 813,908,815.00

Traded on a regulated or equivalent market 512,665,505.47 813,908,815.00





Debt securities - -




Securities in undertakings for collective investment - -

Retail UCITS and AIFs and their equivalents from other European Union member states intended for non-professional investors

- -


Retail professional investment funds and their equivalents from other European Union member states and listed securitisation undertakings

- -








Forward financial instruments 0.01 -


Other transactions - -



Debt securities 538,593.30 458,857.60


Other 538,593.30 458,857.60


Cash 2,716,103.92 6,847,257.46

TOTAL ASSETS 515,920,202.70 821,214,930.06



Liabilities



Shareholders' equity - -

Capital 518,704,651.96 787,336,551.04

Undistributed previous net capital gains or losses (a) 164,217.43 405,000.79

Balance carried forward (a) 8,417,958.79 7,131,097.20

Net capital gains or losses for the financial year (a, b) -21,150,818.63 4,007,510.42

Profit/loss for the financial year (a, b) 9,592,649.56 21,944,870.93


515,728,659.11

820,825,030.38

Financial instruments

-

-

Disposals of financial instruments - -

Temporary securities transactions - -


Debts representing borrowed securities - -


Forward financial instruments - -

Transactions on a regulated or equivalent market - -

Other transactions - -

Debts 191,543.59 389,899.68


Other 191,543.59 389,899.68



Borrowings - -

TOTAL LIABILITIES 515,920,202.70 821,214,930.06




Off-balance sheet



Hedging transactions Commitments on regulated or equivalent markets


Other commitments

Other transactions Commitments on regulated or equivalent markets

Futures

Purchase EURO STOXX 50 - FUTURE

19/03/2021

Purchase EURO STOXX 50 - FUTURE

20/03/2020


Other commitments

3,017,500.00

-

-

6,563,040.00



Income statement





Income from bonds and equivalent securities - -



Income from forward financial instruments - -

Income from deposits and financial accounts - -

Other financial income 383.66 -

TOTAL I 13,482,732.78 24,061,867.11



Expenses on forward financial instruments - -

Expenses on financial debts -12,017.84 -6,989.39


TOTAL II -12,017.84 -6,989.39





Accrued income for the financial year (V) -2,785,432.47 -735,015.03





Accounting principles and policies


The accounting currency is the euro.

All transferable securities held in the portfolio are recognised at historical cost, excluding charges.

Securities, futures and options held in the portfolio denominated in a foreign currency are converted into the accounting currency based on the exchange rates in Paris on the valuation day.

The portfolio's value is appraised whenever the net asset value is calculated and at the end of the accounting period using the following methods:

Transferable securities

Listed securities: at stock market value, including accrued coupons (at the day's closing price) However, transferable securities for which the price is not established on the valuation day or which are quoted by contributors and for which the price has been adjusted, and securities that are not traded on a regulated market, are valued under the responsibility of the management company (or the board of directors for a SICAV), at their likely trading value. Prices are adjusted by the management company based on its knowledge of the issuers and/or markets.

UCIs: at their last known net asset value or, if unavailable, at their last estimated value. The net asset values of the securities of foreign undertakings for collective investment valued on a monthly basis are confirmed by the fund administrators. Valuations are updated weekly based on the estimate issued by the administrators of these UCIs and validated by the fund manager.

Forward financial instruments and options

Futures: at the day's settlement price. The off-balance sheet valuation is calculated on the basis of the nominal value, its settlement price and, where appropriate, the exchange rate.

Options: the day's closing price or, failing this, the last known price. Over-the-counter options: These options are valued at their market value, based on prices reported by the counterparties. These valuations are subject to audits by the management company. The off-balance sheet valuation is calculated as an underlying equivalent based on the delta and the price of the underlying asset and, where appropriate, the exchange rate.

Term deposits: these are recorded and valued at their nominal amount, even if their maturity date extends beyond three months. Any associated accrued interest is added to this amount. However, some contracts specify special terms in the event of early repayment in order to take into account the impact of the increase in the counterparty's financing curve. Accrued interest may then be reduced by this impact, but cannot be negative. Term deposits are valued at least at their nominal value.

Interest rate swaps: - for swaps with a maturity of less than three months, interest is calculated on a straight-line basis. - swaps with a maturity of more than three months are revalued at market value. Synthetic products (a security linked to a swap) are recognised as a whole. Interest accrued on swaps forming part of these products is valued on a straight-line basis.

Asset swaps and synthetic products are valued on the basis of their market value. The valuation of asset swaps is based on the valuation of hedged securities, less the impact of changes in credit spreads. This impact is valued using the average of the spreads reported monthly by four counterparties, adjusted by a margin that depends on the rating of the issuer. The off-balance sheet commitment for swaps corresponds to their nominal value.

Structured swaps (swaps with optional components): These swaps are valued at their market value, based on prices reported by the counterparties. These valuations are subject to audits by the management company. The off-balance sheet commitment of these swaps corresponds to their nominal value.



The index swaps valuation, calculated by the OTC Pricing & Services team, is used to calculate the net asset value after checking its consistency with the counterparty's valuation if this is received within the deadlines. If this is unavailable or inconsistent, OTC Pricing & Services approaches the counterparty to identify and resolve problems. The off-balance sheet commitment for these swaps corresponds to their nominal value.

Financial management fees

- Maximum 0.06% incl. tax of net assets for the "EUR C/D" share - Maximum 0.06% incl. tax of net assets for the "EUR C" share

Administrative fees external to the management company

- Maximum 0.12 % incl. tax of net assets for the "EUR C/D" share - Maximum 0.12 % incl. tax of net assets for the "EUR C" share

The fees are calculated on the basis of the net assets. These fees, not including transaction fees, are charged directly to the sub-fund's profit and loss account. These fees cover all of the costs invoiced directly to the UCI, except for transaction fees. Transaction costs include intermediary fees (brokerage, stock market taxes etc.) as well as transaction fees, if any, which may be charged, in particular by the depositary and the management company.

Performance fee

None

Retrocession of management fees

None

Method used to recognise interest

Interest received

Allocation of income

EUR C/D share: Accumulation/Distribution EUR C share: Accumulation Allocation of net realised capital gains

EUR C/D share: Accumulation/Distribution EUR C share: Accumulation

Changes affecting the sub-fund

None



Change in net assets



Net assets at the beginning of the financial year 820,825,030.38 747,480,704.54

Subscriptions (including subscription fees paid to the UCI) 185,031,563.78 266,669,224.37

Redemptions (after deduction of redemption fees paid to the UCI) -417,388,214.81 -367,812,484.71

Capital gains realised on deposits and financial instruments 52,873,488.60 26,305,853.08

Capital losses realised on deposits and financial instruments -81,045,347.03 -22,856,606.58

Capital gains realised on forward financial instruments 1,442,268.00 1,017,820.00

Capital losses realised on forward financial instruments -1,355,668.00 -399,020.00

Transaction fees -226,428.20 -152,770.14

Exchange differences 2,632.05 2,899.89

Change in the valuation difference for deposits and financial instruments: -46,471,231.52 162,471,217.82

Valuation difference, financial year N 63,739,211.87 110,210,443.39

Valuation difference, financial year N-1 -110,210,443.39 52,260,774.43

Change in the valuation difference for forward financial instruments: 91,645.00 -15,120.00

Valuation difference, financial year N 36,125.00 -55,520.00

Valuation difference, financial year N-1 55,520.00 40,400.00

Distribution from the previous financial year on net capital gains or losses -2,267,208.95 -9,543,617.35

Distribution from the previous financial year on income -8,161,952.22 -5,022,956.50

Net income for the financial year before accruals and deferrals 12,378,082.03 22,679,885.96

Interim dividend(s) paid during the financial year on net capital gains or losses - -

Interim dividend(s) paid during the financial year on income - -

Other items - -

Net assets at the end of the financial year 515,728,659.11 820,825,030.38



Additional information 1


Fixed assets

Value of fixed assets -

Depreciation of fixed assets -

Commitments received or given

Commitments received or given (capital surety or other commitments) (*) -

Current value of financial instruments registered in the portfolio constituting collateral deposits

Financial instruments received as collateral and not recorded on the balance sheet -

Financial instruments given as collateral and kept under the original item -

Financial instruments in the portfolio issued by the provider or entities in its group

Deposits -

Equities 9,881,950.57

Interest rate securities -

UCIs -

Temporary purchases and sales of securities -

Swaps (nominal) -

Current value of financial instruments subject to a temporary purchase

Securities acquired under repurchase agreements -

Securities received under repurchase agreements -

Borrowed securities -

(*) For guaranteed UCIs, the information appears in the accounting principles and policies.





Issues and redemptions during the financial year Number of securities

EUR C class (Currency: EUR)

Number of securities

issued 7,502,680


redeemed

25,911,141

EUR C/D class (Currency: EUR)

Number of securities issued

15,666,547

Number of securities redeemed

25,199,885

Subscription and/or redemption fees Amount (EUR)

Subscription fees paid to the UCI 95,264.69

Redemption fees paid to the UCI 30,620.98

Subscription fees received and shared -

Redemption fees received and shared -

Management fees Amount (EUR) % of average net

assets


Operating and management fees (*) 408,805.46 0.18

Outperformance fees - -

Other charges - -




Other charges - -

Retrocessions of management fees (all units) -

(*) For UCIs with a financial year that is not 12 months, the percentage of average net assets corresponds to the average annualised rate.



Breakdown of receivables and debts by type


Breakdown of receivables by type

-

Tax credit to recover 177,569.40

Deposit – EUR 361,023.90

Deposit – other currencies -

Cash collateral -

Valuation of purchases of currency futures -

Exchange value of forward sales -

Other miscellaneous debtors -

Coupons receivable -

TOTAL RECEIVABLES 538,593.30

Breakdown of debts by type

-

Deposit – EUR -


Cash collateral -

Provisions for loan charges -

Valuation of sales of currency futures -

Exchange value of forward purchases -

Costs and expenses not yet paid 191,543.59

Other miscellaneous payables -

Provisions for market liquidity risk -

TOTAL DEBTS 191,543.59



Breakdown of instruments by legal or economic type


Assets

Bonds and equivalent securities -

Index-linked bonds -

Convertible bonds -

Equity securities -

Other bonds and equivalent securities -

Debt securities -

Traded on a regulated or equivalent market -

Treasury bills -

Other negotiable debt securities -

Other debt securities -

Not traded on a regulated or equivalent market -

Other assets: Loans -

Liabilities

Disposals of financial instruments -

Equities -

Bonds -

Other -

Off-balance sheet


Interest rates -

Equities -

Other -

Other transactions

Interest rates -

Equities 3,017,500.00

Other -



Breakdown of assets, liabilities and off-balance sheet items by interest rate type

Fixed rate Variable rate Adjustable rate

Other

Assets

Deposits - - - -

Bonds and equivalent securities - - - -

Debt securities - - - -

Temporary securities transactions - - - -

Other assets: Loans - - - -

Financial accounts - - - 2,716,103.92

Liabilities


Financial accounts - - - -

Off-balance sheet

Hedging transactions - - - -

Other transactions - - - -



Breakdown of assets, liabilities and off-balance sheet items by residual maturity

[0–3 months]

]3 months–1 year]

]1–3 years] ]3–5 years] > 5 years

Assets

Deposits - - - - -

Bonds and equivalent securities - - - - -

Debt securities - - - - -

Temporary securities transactions - - - - -

Other assets: Loans - - - - -

Financial accounts 2,716,103.92 - - - -

Liabilities


Financial accounts - - - - -

Off-balance sheet

Hedging transactions - - - - -

Other transactions - - - - -



Breakdown of assets, liabilities and off-balance sheet items by listing currency

USD

Assets

Deposits -

Equities and equivalent securities -


Debt securities -

UCI securities -

Temporary securities transactions -


Other financial instruments -

Debt securities -

Financial accounts 7,320.78

Liabilities



Debts -

Financial accounts -

Off-balance sheet

Hedging transactions -

Other transactions -

Only the five currencies that are most representative of the net asset component are included in this table.





Allocation table of distributable amounts relating to income



Amounts still to be allocated

Balance carried forward - -

Profit/loss 3,119,360.15 9,604,603.66

Total 3,119,360.15 9,604,603.66

Allocation

Distribution - -

Balance carried forward for the financial year - -

Accumulation 3,119,360.15 9,604,603.66

Total 3,119,360.15 9,604,603.66

Information relating to securities with distribution rights

Number of securities - -

Distribution per unit - -

Tax credits and tax benefits attached to the distribution of income

Overall amount of tax credits and tax benefits:

originating in the year - -

originating in year N-1 - -






Allocation table of distributable amounts relating to net capital gains or losses

Financial

year 31/12/2020



Undistributed previous net capital gains or losses - -

Net capital gains or losses for the financial year -6,872,252.13 1,764,581.06

Interim payments on net capital gains or losses for the financial year - -

Total -6,872,252.13 1,764,581.06

Allocation

Distribution - -

Undistributed net capital gains or losses - -

Accumulation -6,872,252.13 1,764,581.06

Total -6,872,252.13 1,764,581.06











Balance carried forward 8,417,958.79 7,131,097.20

Profit/loss 6,473,289.41 12,340,267.27

Total 14,891,248.20 19,471,364.47

Allocation

Distribution 7,869,023.60 8,798,122.08

Balance carried forward for the financial year 7,022,224.60 10,673,242.39

Accumulation - -

Total 14,891,248.20 19,471,364.47


Number of securities 39,345,118 48,878,456

Distribution per unit 0.20 0.18



originating in the year - 48,878,456.00











Undistributed previous net capital gains or losses 164,217.43 405,000.79

Net capital gains or losses for the financial year -14,278,566.50 2,242,929.36


Total -14,114,349.07 2,647,930.15

Allocation

Distribution - 2,443,922.80

Undistributed net capital gains or losses 164,217.43 204,007.35

Accumulation -14,278,566.50 -

Total -14,114,349.07 2,647,930.15


Number of securities - 48,878,456

Distribution per unit - 0.05



Table of results and other characteristic items over the previous five years


30/12/2016 29/12/2017 31/12/2018 31/12/19 31/12/2020

Net asset value (in EUR)

C shares 49.3878 53.9950 7.9450 10.2211 9.9221

Net assets (in €k) 870.57 411,775.92 421,443.05 362,905.49 169,636.95


C shares 7,714,718 7,626,180 53,045,119 35,505,353 17,096,892

Payment date 30/12/2016 29/12/2017 31/12/2018 31/12/19 31/12/2020

Distribution per unit on net capital gains and losses - - - - - (including interim dividends) (in EUR)

Distribution per unit on income - - - - - (including interim dividends) (in EUR)

Tax credits per unit (*) - - - - - individuals (in EUR)

Accumulation per unit on net capital

gains and losses (in EUR)

C shares -5.37 1.28 0.07 0.04 -0.40

Accumulation per unit on income (in

EUR)

C shares 1.29 1.33 0.25 0.27 0.18

(*) "The tax credit per unit is calculated on the payment date, in accordance with the French tax instruction dated 04/03/93 (Inst. 4 K-1-93)." The theoretical amounts, calculated in accordance with the rules applicable to individuals, are shown here for information purposes. "Instruction 4 J-2-99 of 08/11/99 also specifies that beneficiaries of tax credits other than individuals are solely responsible for calculating the amount of the tax credits to which they are entitled."



EURO C/D PRIME class (Currency: EUR)

30/12/2016 29/12/2017


D shares 92.2703 10.2512

Net assets (in €k) 870.57 -


D shares 9,043 9,043

Payment date 30/12/2016 29/12/2017

Distribution per unit on net capital gains or losses (including interim dividends) (in EUR)

- -

Distribution per unit on income (including interim dividends) (in EUR)

- -

Tax credits per unit (*) individuals (in EUR)

- -

Accumulation per unit on net capital gains and losses (in EUR)

D shares -10.47 2.50

Accumulation per unit on income (in EUR)

D shares 2.52 5.12





30/12/2016 29/12/2017 31/12/2018 31/12/19 31/12/2020


D shares 32.3630 35.3036 7.5378 9.3685 8.7963

Net assets (in €k) 604,048.85 676,671.94 326,036.56 457,919.54 346,091.71


D shares 18,664,782 19,167,222 43,253,543 48,878,456 39,345,118

Payment date 30/12/2016 29/12/2017 31/12/2018 31/12/19 31/12/2020

Distribution per unit on net capital gains and losses - 0.32 0.19 0.05 - (including interim dividends) (in EUR)

Distribution per unit on income 0.08 0.87 0.10 0.18 0.20 (including interim dividends) (in EUR)



D shares -3.61 - - - -0.36


D shares - - - - -




Inventory of financial instruments as at 31 December 2020

Asset items and description of securities Quantity Price Listing currency

Current value Rounded % of net assets

Equities and equivalent securities

512,665,505.47 99.40

Traded on a regulated or equivalent market 512,665,505.47 99.40

ADIDAS AG 37,093.00 297.90 EUR 11,050,004.70 2.14

ADYEN NV 5,549.00 1,905.00 EUR 10,570,845.00 2.05

AIRBUS SE 115,310.00 89.78 EUR 10,352,531.80 2.01

AIR LIQUIDE SA 94,150.00 134.25 EUR 12,639,637.50 2.45

ALLIANZ SE-REG 81,894.00 200.70 EUR 16,436,125.80 3.19

AMADEUS IT GROUP SA 89,559.00 59.56 EUR 5,334,134.04 1.03

ANHEUSER-BUSCH INBEV SA/NV 167,735.00 57.01 EUR 9,562,572.35 1.85

ASML HOLDING NV 84,590.00 397.55 EUR 33,628,754.50 6.52

AXA SA 411,246.00 19.51 EUR 8,024,231.95 1.56

BANCO SANTANDER SA 3,447,301.00 2.54 EUR 8,749,249.94 1.70

BASF SE 182,593.00 64.72 EUR 11,817,418.96 2.29

BAYER AG-REG 195,305.00 48.16 EUR 9,404,912.28 1.82

BAYERISCHE MOTOREN WERKE AG 63,704.00 72.23 EUR 4,601,339.92 0.89

BNP PARIBAS 229,253.00 43.10 EUR 9,881,950.57 1.92

CRH PLC 158,968.00 34.02 EUR 5,408,091.36 1.05

DAIMLER AG-REGISTERED SHARES 166,892.00 57.79 EUR 9,644,688.68 1.87

DANONE 129,089.00 53.76 EUR 6,939,824.64 1.35

DEUTSCHE BOERSE AG 37,772.00 139.25 EUR 5,259,751.00 1.02

DEUTSCHE POST AG-REG 195,852.00 40.50 EUR 7,932,006.00 1.54

DEUTSCHE TELEKOM AG-REG 644,616.00 14.96 EUR 9,640,232.28 1.87

ENEL SPA 1,543,246.00 8.28 EUR 12,771,903.90 2.48

ENGIE 369,683.00 12.52 EUR 4,628,431.16 0.90

ENI SPA 499,386.00 8.55 EUR 4,268,751.53 0.83

ESSILORLUXOTTICA 59,115.00 127.55 EUR 7,540,118.25 1.46

FLUTTER ENTERTAINMENT PLC 31,226.00 166.90 EUR 5,211,619.40 1.01

IBERDROLA SA 1,151,524.00 11.70 EUR 13,472,830.80 2.61

INDUSTRIA DE DISENO TEXTIL 220,945.00 26.04 EUR 5,753,407.80 1.12

ING GROEP NV 775,444.00 7.64 EUR 5,925,167.60 1.15

INTESA SANPAOLO 3,626,355.00 1.91 EUR 6,935,766.57 1.34

KERING 14,819.00 594.40 EUR 8,808,413.60 1.71

KONE OYJ-B 80,606.00 66.46 EUR 5,357,074.76 1.04

KONINKLIJKE AHOLD DELHAIZE N 204,293.00 23.11 EUR 4,721,211.23 0.92

KONINKLIJKE PHILIPS NV 181,116.00 43.78 EUR 7,929,258.48 1.54




Asset items and description of securities Quantity Price Listing currency

Current value Rounded % of net assets

LINDE PLC 104,128.00 213.00 EUR 22,179,264.00 4.30

L'OREAL 48,467.00 310.80 EUR 15,063,543.60 2.92

LVMH MOET HENNESSY LOUIS VUI 52,689.00 510.90 EUR 26,918,810.10 5.22

MUENCHENER RUECKVER AG-REG 27,852.00 242.80 EUR 6,762,465.60 1.31

NOKIA OYJ 1,066,551.00 3.15 EUR 3,360,702.20 0.65

PERNOD RICARD SA 39,795.00 156.80 EUR 6,239,856.00 1.21

PROSUS NV 88,399.00 88.36 EUR 7,810,935.64 1.51

SAFRAN SA 70,090.00 115.95 EUR 8,126,935.50 1.58

SANOFI 226,642.00 78.70 EUR 17,836,725.40 3.46

SAP SE 217,156.00 107.22 EUR 23,283,466.32 4.51

SCHNEIDER ELECTRIC SE 112,661.00 118.30 EUR 13,327,796.30 2.58

SIEMENS AG-REG 148,650.00 117.52 EUR 17,469,348.00 3.39

TOTAL SE 527,163.00 35.30 EUR 18,608,853.90 3.61

VINCI SA 111,734.00 81.36 EUR 9,090,678.24 1.76

VIVENDI 171,974.00 26.38 EUR 4,536,674.12 0.88

VOLKSWAGEN AG-PREF 36,394.00 152.42 EUR 5,547,173.48 1.08

VONOVIA SE 105,422.00 59.76 EUR 6,300,018.72 1.22

Forward financial instruments 0.01 -

Futures 36,125.00 0.01

EURO STOXX 50 - FUTURE 19/03/2021 85.00 3,550.00 EUR 36,125.00 0.01

Margin calls -36,124.99 -0.01

Debt securities 538,593.30 0.10

Debts -191,543.59 -0.04

Deposits - -

Other financial accounts 2,716,103.92 0.53

TOTAL NET ASSETS EUR 515,728,659.11 100.00



Assets Financial

year 31/12/2020



Financial instruments 3,520,097,973.12 3,943,240,883.83 Equities and equivalent securities 3,397,010,011.76 3,738,376,680.20

Traded on a regulated or equivalent market 3,397,010,011.76 3,738,376,680.20





Debt securities - -




Securities in undertakings for collective investment 1,143,694.40 68,869,095.00


1,143,694.40 68,869,095.00



- -













Debt securities 217,725,935.60 287,166,948.78


Other 217,725,935.60 287,166,948.78


Cash 115,187,436.00 70,791,717.65

TOTAL ASSETS 3,853,011,344.72 4,301,199,550.26



Liabilities




Capital 3,152,196,526.30 3,259,163,544.70

Undistributed previous net capital gains or losses (a) 48,801,311.99 47,573,393.81


Net capital gains or losses for the financial year (a, b) 304,845,901.13 493,887,366.44



3,558,719,799.96

3,879,340,756.96


224,539,884.17

359,697,762.35









Debts 69,751,660.59 62,161,030.95


Other 69,751,660.59 62,161,030.95



Borrowings - -

TOTAL LIABILITIES 3,853,011,344.72 4,301,199,550.26




Off-balance sheet





Equity swaps

Purchase EQS117 - 340,519,974.00

Purchase EQS118 - 440,000,089.00

Purchase EQS121 - 600,695,830.00

Purchase EQS150 - 190,000,000.00

Purchase EQS162 177,064,404.00 -

Purchase EQS182 348,273,739.00 -

Purchase EQS184 228,900,829.00 -

Purchase EQS185 511,794,537.77 -

Purchase EQS196 313,169,211.87 -

Purchase EQS199 139,997,161.01 -

Purchase EQS207 717,680,412.46 -

Purchase EQS77 - 372,097,732.27

Purchase EQS84 - 625,000,000.00

Purchase EQS95 739,999,998.94 -

Purchase EQS95 - 818,214,425.43

Other commitments

Other transactions


Futures

Purchase S&P 500 E-MINI FUTURE

19/03/2021

Purchase S&P 500 FUTURE 19/03/2020


Equity swaps

19,455,324.67

-

-

5,756,971.05

Purchase EQS105 - 373,833,050.00

Purchase EQS110 - 908,466,842.24

Purchase EQS125 - 393,661,587.92

Purchase EQS128 - 156,254,327.97

Purchase EQS132 - 200,863,864.12

Purchase EQS139 - 451,628,078.15

Purchase EQS144 - 419,345,493.57

Purchase EQS147 - 389,181,374.67

Purchase EQS148 - 113,471,523.00

Purchase EQS149 - 221,888,726.60

Purchase EQS153 - 394,227,553.45



Off-balance sheet



Purchase EQS154 - 213,089,532.04

Purchase EQS164 271,662,571.43 -

Purchase EQS165 282,265,554.76 -

Purchase EQS167 393,283,980.72 -

Purchase EQS169 345,078,671.60 -

Purchase EQS172 614,193,948.96 -

Purchase EQS192 346,192,105.45 -

Purchase EQS200 29,752,015.70 -

Purchase EQS217 331,074,005.86 -

Purchase EQS218 120,143,555.00 -

Purchase EQS223 471,516,982.94 -

Purchase EQS224 666,603,921.55 -

Other commitments



Income statement





Income from bonds and equivalent securities - 23.70




Income from deposits and financial accounts 338.15 65,198.50


TOTAL I 57,989,123.06 84,758,218.63



Expenses on forward financial instruments -4,901,639.22 -4,922,693.32

Expenses on financial debts -2,025,847.09 -866,455.14


TOTAL II -6,927,486.31 -5,789,148.46





Accrued income for the financial year (V) 882,523.24 -218,938.86












Listed securities: at stock market value, including accrued coupons (at the day's closing price) However, transferable securities for which the price is not established on the valuation day or which are quoted by contributors and for which the price has been adjusted, and securities that are not traded on a regulated market, are valued under the responsibility of the management company (or the Board of Directors for a SICAV), at their likely trading value. Prices are adjusted by the management company based on its knowledge of the issuers and/or markets.


Negotiable debt securities and equivalent securities that are not traded in high volumes are valued using an actuarial method at a rate applicable to issues of equivalent securities, to which a variance representative of the intrinsic features of the issuer is assigned, if appropriate.




Forward exchange: Revaluation of currencies committed at the daily rate taking into account the forwardation/backwardation calculated according to the maturity date for the contract.

Term deposits: these are recorded and valued at their nominal amount, even if their maturity date extends beyond three months. Any associated accrued interest is added to this amount. However, some contracts specify special terms in the event of early repayment in order to take into account the impact of the increase in the counterparty's financing curve. Accrued interest may then be reduced by this impact, but cannot be negative. Term deposits are valued at least at their nominal value.

Interest rate swaps: - for swaps with a maturity of less than three months, interest is calculated on a straight-line basis. - swaps with a maturity of more than three months are revalued at market value. Synthetic products (a security linked to a swap) are recognised as a whole. Interest accrued on swaps forming part of these products is valued on a straight-line basis.

Asset swaps and synthetic products are valued on the basis of their market value. The valuation of asset swaps is based on the valuation of



hedged securities, less the impact of changes in credit spreads. This impact is valued using the average of the spreads reported monthly by four counterparties, adjusted by a margin that depends on the rating of the issuer. The off-balance sheet commitment for swaps corresponds to their nominal value.

Structured swaps (swaps with optional components): These swaps are valued at their market value, based on prices reported by the counterparties. These valuations are subject to audits by the management company. The off-balance sheet commitment of these swaps corresponds to their nominal value.

The index swaps valuation, calculated by the OTC Pricing & Services team, is used to calculate the net asset value after checking its consistency with the counterparty's valuation if this is received within the deadlines. If this is unavailable or inconsistent, OTC Pricing & Services approaches the counterparty to identify and resolve problems. The off-balance sheet commitment for these swaps corresponds to their nominal value.

Financial management charges (incl. tax)

- Maximum 0.03% per annum for "EUR C", "USD C", "EUR H" and "USD C/D" shares

The fees are calculated on the basis of the net assets. These fees, not including transaction fees, are charged directly to the sub-fund's profit and loss account. These fees cover all of the costs invoiced directly to the UCI, except for transaction fees. Transaction costs include intermediary fees (brokerage, stock market taxes etc.) as well as transaction fees, if any, which may be charged, in particular by the depositary and the management company.

Administrative fees external to the management company incl. taxes

- Maximum 0.12% per annum based on net assets, for "EUR C", "USD C", "EUR H" and "USD C/D" shares

Performance fee

None


None


Interest received


Accumulation for the "EUR C" share Accumulation for the "USD C" share Accumulation for the "EUR H" share Accumulation and/or distribution for the "USD C/D" share

Allocation of net realised capital gains

Accumulation for the "EUR C" share Accumulation for the "USD C" share Accumulation for the "EUR H" share Accumulation and/or distribution for the "USD C/D" share

Changes affecting the sub-fund

None






Net assets at the beginning of the financial year 3,879,340,756.96 2,951,310,697.80

Subscriptions (including subscription fees paid to the UCI) 1,588,795,510.55 1,488,486,377.88

Redemptions (after deduction of redemption fees paid to the UCI) -2,122,891,583.73 -1,525,936,277.95



Capital gains realised on forward financial instruments 1,979,550,224.82 822,088,462.24

Capital losses realised on forward financial instruments -1,544,994,875.20 -418,894,910.71

Transaction fees -2,593,283.92 -638,829.60

Exchange differences 381,531.29 593,806.36


Valuation difference, financial year N -76,995,169.18 248,875,177.77


Change in the valuation difference for forward financial instruments: 121,358,281.93 -252,511,984.61

Valuation difference, financial year N -102,237,556.65 -223,595,838.58

Valuation difference, financial year N-1 223,595,838.58 -28,916,146.03

Distribution from the previous financial year on net capital gains or losses -1,034,194.47 -1,048,622.63

Distribution from the previous financial year on income - -




Other items - -

Net assets at the end of the financial year 3,558,719,799.96 3,879,340,756.96





Fixed assets









Deposits -

Equities 139,093,886.51


UCIs 1,143,694.40


Swaps (nominal) 2,436,301,903.41











USD C class (Currency: USD)






USD C/D class (Currency: USD)



EUR H class (Currency: EUR)



Subscription and/or redemption fees

55,857,531.00

70,517,540.00

25,079,718

50,631,780

159,000

3,684,283

61,206,904

70,203,461

Amount (EUR)





Management fees

Amount (EUR)

% of average net assets


Operating and management fees (*) 2,750,851.67 0.15


Other charges - -




Other charges - -




Other charges - -




Other charges - -








-

Tax credit to recover -

Deposit – EUR -

Deposit – other currencies 1,255,935.60

Cash collateral 216,470,000.00





TOTAL RECEIVABLES 217,725,935.60


-

Deposit – EUR -






Costs and expenses not yet paid 1,141,660.59



TOTAL DEBTS 69,751,660.59





Assets



Convertible bonds -

Equity securities -


Debt securities -


Treasury bills -





Liabilities


Equities -

Bonds -

Other -

Off-balance sheet


Interest rates -

Equities 3,176,880,294.05

Other -

Other transactions

Interest rates -

Equities 3,891,222,638.64

Other -





Other

Assets

Deposits - - - -



Temporary securities transactions

- - - -



Liabilities



Off-balance sheet






[0–3 months]

]3 months–1 year]


Assets

Deposits - - - - -




- - - - -



Liabilities



Off-balance sheet






USD

Assets

Deposits -



Debt securities -

UCI securities -


-



Debt securities 1,255,935.60

Financial accounts 19,241,523.85

Liabilities



Debts -


Off-balance sheet


Other transactions 19,455,324.67











Profit/loss 28,743,851.25 40,489,039.17

Total 28,743,851.25 40,489,039.17

Allocation

Distribution - -


Accumulation 28,743,851.25 40,489,039.17

Total 28,743,851.25 40,489,039.17














Financial

year 31/12/2020




Net capital gains or losses for the financial year 168,585,086.29 288,266,291.30


Total 168,585,086.29 288,266,291.30

Allocation

Distribution - -


Accumulation 168,585,086.29 288,266,291.30

Total 168,585,086.29 288,266,291.30












Profit/loss 10,858,548.53 20,673,713.31

Total 10,858,548.53 20,673,713.31

Allocation

Distribution - -


Accumulation 10,858,548.53 20,673,713.31

Total 10,858,548.53 20,673,713.31














Financial

year 31/12/2020






Total 63,288,811.27 147,188,840.77

Allocation

Distribution - -


Accumulation 63,288,811.27 147,188,840.77

Total 63,288,811.27 147,188,840.77












Profit/loss 1,516,346.04 2,679,706.93

Total 7,400,865.70 7,898,192.43

Allocation

Distribution - -


Accumulation - -

Total 7,400,865.70 7,898,192.43














Financial

year 31/12/2020



Undistributed previous net capital gains or losses 48,801,311.99 47,573,393.81



Total 57,696,974.58 66,651,331.65

Allocation

Distribution 927,168.39 1,106,172.32

Undistributed net capital gains or losses 56,769,806.19 65,545,159.33

Accumulation - -

Total 57,696,974.58 66,651,331.65












Profit/loss 5,872,795.06 9,655,507.10

Total 5,872,795.06 9,655,507.10

Allocation

Distribution - -


Accumulation 5,872,795.06 9,655,507.10

Total 5,872,795.06 9,655,507.10














Financial

year 31/12/2020






Total 64,076,340.98 39,354,296.53

Allocation

Distribution - -


Accumulation 64,076,340.98 39,354,296.53

Total 64,076,340.98 39,354,296.53








30/12/2016 29/12/2017 31/12/2018 31/12/19 31/12/2020

Net asset value (in USD)

C shares 118.2784 144.1074 9.1787 12.0642 14.2890

Net assets (in €k) 643,091.94 835,000.16 1,694,422.36 2,142,237.36 2,156,557.85


C shares 5,734,784.00 6,957,784.00 211,029,244.00 199,323,262.00 184,663,253.00

Payment date 30/12/2016 29/12/2017 31/12/2018 31/12/19 31/12/2020

Distribution per unit on net capital gains and losses - - - - - (including interim dividends) (in USD)

Distribution per unit on income - - - - - (including interim dividends) (in USD)

Tax credits per unit (*) - - - - - individuals (in USD)


C shares 2.61 6.03 1.04 1.44 0.91


C shares 0.86 2.28 0.13 0.20 0.15





30/12/2016 29/12/2017 31/12/2018 31/12/19 31/12/2020


C shares 112.2606 120.1418 10.0479 13.4495 14.6143

Net assets (in €k) 602,710.79 822,064.04 688,673.58 1,093,827.13 815,129.84


C shares 5,368,853 6,842,448 68,538,839 81,328,269 55,776,207

Payment date 30/12/2016 29/12/2017 31/12/2018 31/12/19 31/12/2020





C shares 2.62 6.03 1.26 1.80 1.13


C shares 0.86 2.28 0.18 0.25 0.19





30/12/2016 29/12/2017 31/12/2018 31/12/19 31/12/2020

Net asset value (in USD)

D shares 138.1284 167.1300 8.7959 11.4812 13.4792

Net assets (in €k) 175,108.75 130,525.93 112,785.66 141,426.71 113,490.06


D shares 1,337,132 937,806 14,658,091 13,827,154 10,301,871

Payment date 30/12/2016 29/12/2017 31/12/2018 31/12/19 31/12/2020

Distribution per unit on net capital gains and losses 0.98 1.22 0.07 0.09 0.11 (including interim dividends) (in USD)

Distribution per unit on income - - - - - (including interim dividends) (in USD)

Tax credits per unit (*) - - - - - individuals (in USD)


D shares - - - - -


D shares - - - - -





30/12/2016 29/12/2017 31/12/2018 31/12/19 31/12/2020


C shares 108.0581 128.9267 8.5329 10.8693 12.7382

Net assets (in €k) 93,900.41 202,275.47 455,429.09 501,849.55 473,542.05


C shares 868,981 1,568,918 53,373,398 46,171,490 37,174,933

Payment date 30/12/2016 29/12/2017 31/12/2018 31/12/19 31/12/2020





C shares 2.58 15.81 0.47 0.85 1.72


C shares 0.90 2.27 0.16 0.20 0.15





Asset items and description of securities Quantity Price Listing currency Current value

Rounded % of net assets

Equities and equivalent securities 3,397,010,011.76 95.45

Traded on a regulated or equivalent market 3,397,010,011.76 95.45

ABN AMRO BANK NV-CVA 1,971,935.00 8.02 EUR 15,814,918.70 0.44

ACCOR SA 469,533.00 29.60 EUR 13,898,176.80 0.39

ADIDAS AG 189,674.00 297.90 EUR 56,503,884.60 1.59

ADYEN NV 3,185.00 1,905.00 EUR 6,067,425.00 0.17

AENA SME SA 181,401.00 142.20 EUR 25,795,222.20 0.72

AIRBUS SE 1,525,371.00 89.78 EUR 136,947,808.38 3.85



AMADEUS IT GROUP SA 183,577.00 59.56 EUR 10,933,846.12 0.31



AXA SA 9,478,086.00 19.51 EUR 184,936,414.03 5.20

BANCO BILBAO VIZCAYA ARGENTA 16,822,785.00 4.04 EUR 67,879,937.48 1.91


BANKINTER SA 647,442.00 4.42 EUR 2,864,283.41 0.08

BASF SE 1,187,079.00 64.72 EUR 76,827,752.88 2.16

BAYERISCHE MOTOREN WERKE AG 130,693.00 72.23 EUR 9,439,955.39 0.27

BNP PARIBAS 3,226,862.00 43.10 EUR 139,093,886.51 3.91

BOUYGUES SA 1,827,113.00 33.65 EUR 61,482,352.45 1.73

CAIXABANK SA 1,689,512.00 2.10 EUR 3,549,664.71 0.10

CARREFOUR SA 699,340.00 14.03 EUR 9,811,740.20 0.28

COMMERZBANK AG 885,254.00 5.27 EUR 4,661,747.56 0.13

COMPAGNIE DE SAINT GOBAIN 1,628,124.00 37.50 EUR 61,054,650.00 1.72

CREDIT AGRICOLE SA 7,624,039.00 10.32 EUR 78,680,082.48 2.21

DANONE 719,965.00 53.76 EUR 38,705,318.40 1.09


DEUTSCHE POST AG-REG 1,292,241.00 40.50 EUR 52,335,760.50 1.47

DEUTSCHE TELEKOM AG-REG 3,743,997.00 14.96 EUR 55,991,475.14 1.57

E.ON SE 471,085.00 9.06 EUR 4,269,914.44 0.12

EDP-ENERGIAS DE PORTUGAL SA 11,185,385.00 5.16 EUR 57,671,845.06 1.62

ENGIE 8,371,471.00 12.52 EUR 104,810,816.92 2.95

EUTELSAT COMMUNICATIONS 2,000,000.00 9.26 EUR 18,520,000.00 0.52

FRESENIUS MEDICAL CARE AG & 60,382.00 68.20 EUR 4,118,052.40 0.12






GALAPAGOS NV 49,987.00 80.48 EUR 4,022,953.76 0.11

HEINEKEN NV 69,995.00 91.22 EUR 6,384,943.90 0.18

IBERDROLA SA 4,094,886.00 11.70 EUR 47,910,166.20 1.35

INFINEON TECHNOLOGIES AG 190,745.00 31.39 EUR 5,987,485.55 0.17

ING GROEP NV 12,321,294.00 7.64 EUR 94,147,007.45 2.65

KBC GROUP NV 351,571.00 57.28 EUR 20,137,986.88 0.57

KERING 61,053.00 594.40 EUR 36,289,903.20 1.02

KONINKLIJKE AHOLD DELHAIZE N 2,178,203.00 23.11 EUR 50,338,271.33 1.41

KONINKLIJKE DSM NV 150,000.00 140.80 EUR 21,120,000.00 0.59

KONINKLIJKE KPN NV 2,680,510.00 2.49 EUR 6,666,428.37 0.19

KONINKLIJKE PHILIPS NV 2,756,031.00 43.78 EUR 120,659,037.18 3.39

L'OREAL 21,436.00 310.80 EUR 6,662,308.80 0.19


MICHELIN (CGDE) 542,962.00 104.95 EUR 56,983,861.90 1.60


NATIXIS 11,570,632.00 2.79 EUR 32,270,492.65 0.91

ORANGE 4,592,847.00 9.73 EUR 44,706,772.70 1.26

PERNOD RICARD SA 100,453.00 156.80 EUR 15,751,030.40 0.44

PEUGEOT SA 4,597,172.00 22.37 EUR 102,838,737.64 2.89

PROSUS NV 189,929.00 88.36 EUR 16,782,126.44 0.47

PUBLICIS GROUPE 237,488.00 40.76 EUR 9,680,010.88 0.27

PUMA SE 60,000.00 92.28 EUR 5,536,800.00 0.16

RENAULT SA 1,304,240.00 35.76 EUR 46,639,622.40 1.31

SANOFI 2,030,772.00 78.70 EUR 159,821,756.40 4.49

SAP SE 513,898.00 107.22 EUR 55,100,143.56 1.55



SOCIETE GENERALE SA 6,411,747.00 17.02 EUR 109,140,757.43 3.07

SODEXO SA 575,000.00 69.22 EUR 39,801,500.00 1.12

STELLANTIS NV 4,653,737.00 14.66 EUR 68,223,784.42 1.92

SUEZ 2,879,274.00 16.22 EUR 46,701,824.28 1.31

TELEFONICA DEUTSCHLAND HOLDI 11,349,661.00 2.25 EUR 25,593,485.56 0.72

TOTAL SE 4,301,571.00 35.30 EUR 151,845,456.30 4.27

VALEO SA 315,647.00 32.28 EUR 10,189,085.16 0.29

VEOLIA ENVIRONNEMENT 816,572.00 20.01 EUR 16,339,605.72 0.46

VINCI SA 633,072.00 81.36 EUR 51,506,737.92 1.45






VIVENDI 2,150,773.00 26.38 EUR 56,737,391.74 1.59

WOLTERS KLUWER 107,365.00 69.06 EUR 7,414,626.90 0.21

UCI securities 1,143,694.40 0.03


1,143,694.40

0.03

BNP PARIBAS MOIS ISR PARTS IC 3 DECIMALE 50.00 22,873.89 EUR 1,143,694.40 0.03

Forward financial instruments -102,595,617.21 -2.88

Futures 357,801.07 0.01

S&P 500 E-MINI FUTURE 19/03/2021 127.00 3,748.75 USD 357,801.07 0.01

Margin calls -358,060.56 -0.01

Equity swaps -102,595,357.72 -2.88

EQS162 177,064,404.00 - EUR -30,468,354.41 -0.86

EQS164 271,662,571.43 - EUR 20,149,509.52 0.57

EQS165 282,265,554.76 - EUR 2,849,433.57 0.08

EQS167 393,283,980.72 - EUR 27,670,008.60 0.78

EQS169 345,078,671.60 - EUR 29,251,181.30 0.82

EQS172 614,193,948.96 - EUR 6,522,393.70 0.18

EQS182 348,273,739.00 - EUR -4,866,946.25 -0.14

EQS184 228,900,829.00 - EUR -9,890,729.17 -0.28

EQS185 511,794,537.77 - EUR -78,818,463.93 -2.21

EQS192 346,192,105.45 - EUR 5,617,797.22 0.16

EQS196 313,169,211.87 - EUR -63,872,320.82 -1.79

EQS199 139,997,161.01 - EUR -1,598,067.51 -0.04

EQS200 29,752,015.70 - EUR 2,506,897.04 0.07

EQS207 717,680,412.46 - EUR 3,054,388.12 0.09

EQS217 331,074,005.86 - EUR 11,343,845.74 0.32

EQS218 120,143,555.00 - EUR 400,556.43 0.01

EQS223 471,516,982.94 - EUR 1,913,978.11 0.05

EQS224 666,603,921.55 - EUR 10,664,277.61 0.30

EQS95 739,999,998.94 - EUR -35,024,742.59 -0.98

Debt securities 217,725,935.60 6.12

Debts -69,751,660.59 -1.96

Deposits - -


TOTAL NET ASSETS EUR 3,558,719,799.96 100.00



Assets




Financial instruments 834,245,174.94 1,166,291,798.95 Equities and equivalent securities 810,186,938.18 1,135,199,699.43

Traded on a regulated or equivalent market 810,186,938.18 1,135,199,699.43





Debt securities - -




Securities in undertakings for collective investment 22,873.89 1,147,818.25


22,873.89 1,147,818.25



- -




Receivables representing securities received under repurchase agreements - -










Debt securities 45,609,990.90 30,876,473.70


Other 45,609,990.90 30,876,473.70


Cash 18,811,552.11 23,678,486.30

TOTAL ASSETS 898,666,717.95 1,220,846,758.95



Liabilities




Capital 787,170,228.32 1,078,279,632.26

Undistributed previous net capital gains or losses (a) 19,587,930.44 20,816,224.90


Net capital gains or losses for the financial year (a, b) 23,981,456.25 31,376,633.58



842,396,296.30

1,158,567,167.28


49,967,510.22

46,837,254.64









Debts 6,302,911.43 15,442,337.03


Other 6,302,911.43 15,442,337.03



Borrowings - -

TOTAL LIABILITIES 898,666,717.95 1,220,846,758.95




Off-balance sheet





Equity swaps

Purchase EQS53

Purchase EQS54

Purchase EQS57

Purchase EQS57

Purchase EQS58

Purchase EQS58

Purchase EQS65

Purchase EQS68

Purchase EQS69

Other commitments Other transactions


Futures

Purchase STOXX 600(SXXP) 19/03/2021

Purchase STOXX 600(SXXP) 20/03/2020

Over-the-counter

commitments

Equity swaps

Purchase EQS49

Purchase EQS50

Purchase EQS59

Purchase EQS60

Purchase EQS66

Purchase EQS67

Purchase EQS71

Other commitments

-

336,968,470.68

- 426,471,699.55

186,620,368.16 -

- 159,999,996.67

188,301,662.86 -

- 164,999,992.50

196,287,176.81 -

123,159,324.19 -

69,999,943.50 -

2,430,850.00

-

- 6,869,080.00

-

337,432,300.90 - 237,112,926.29

- 300,761,860.00

- 248,656,467.74

237,950,571.47 -

335,731,890.20 -

245,741,047.25 -



Income statement





Income from bonds and equivalent securities - -




Income from deposits and financial accounts - 19,365.89


TOTAL I 11,883,127.47 32,647,872.56



Expenses on forward financial instruments -1,037,366.93 -535,138.25

Expenses on financial debts -459,156.55 -228,198.60


TOTAL II -1,496,523.48 -763,336.85





Accrued income for the financial year (V) -435,031.72 -2,950,065.45












Listed securities: at stock market value, including accrued coupons (at the day's closing price) However, transferable securities for which the price is not established on the valuation day or which are quoted by contributors and for which the price has been adjusted, and securities that are not traded on a regulated market, are valued under the responsibility of the management company (or the Board of Directors for a SICAV), at their likely trading value. Prices are adjusted by the management company based on its knowledge of the issuers and/or markets.


Negotiable debt securities and equivalent securities that are not traded in high volumes are valued using an actuarial method at a rate applicable to issues of equivalent securities, to which a variance representative of the intrinsic features of the issuer is assigned, if appropriate. In the absence of sensitivity, securities with a residual term of three months are valued at the most recent rate prior to maturity and for those acquired for periods of less than three months, interest is calculated on a straight-line basis.

Temporary purchases and sales of securities: - Securities lending: the receivable representing the securities lent is valued at the securities' market value. - Securities borrowing: the borrowed securities and the corresponding debt are valued at the securities' market value. - Collateral: With regard to securities received as collateral when lending securities, the UCI has chosen to include these securities in the

balance sheet using the value of the debt corresponding to the obligation to return these securities. - Repurchase agreements with a residual term of three months or less: individualisation of the receivable based on the contract price.

In this case, the remuneration is calculated on a straight-line basis. - Long-term repurchase agreements: These are recorded and valued at their nominal amount, even if their maturity date extends beyond

three months. Any associated accrued interest is added to this amount. However, some contracts specify special terms in the event of early repayment in order to take into account the impact of the increase in the counterparty's financing curve. Accrued interest may then be reduced by this impact, with no applicable floor. The impact is in proportion to the residual maturity of the agreement and the difference between the contractual margin and the market margin for the same maturity date.

- Repurchase agreements with a residual maturity of three months or less: stock market value. The debt valued on the basis of the contractual value is recorded as a balance sheet liability. In this case, the remuneration is calculated on a straight-line basis.






Forward exchange: Revaluation of currencies committed at the daily rate taking into account the forwardation/backwardation calculated according to the maturity date for the contract.

Term deposit: these are recorded and valued at their nominal amount, even if their maturity date extends beyond three months. Any associated accrued interest is added to this amount. However, some contracts specify special terms in the event of early repayment in order to take into account the impact of the increase in the counterparty's financing curve. Accrued interest may then be reduced by this impact, but cannot be negative. Term deposits are valued at least at their nominal value.

Interest rate swaps:

- for swaps with a maturity of less than three months, interest is calculated on a straight-line basis. - swaps with a maturity of more than three months are revalued at market value.

Synthetic products (a security linked to a swap) are recognised as a whole. Interest accrued on swaps forming part of these products is valued on a straight-line basis.

Asset swaps and synthetic products are valued on the basis of their market value. The valuation of asset swaps is based on the valuation of hedged securities, less the impact of changes in credit spreads. This impact is valued using the average of the spreads reported monthly by four counterparties, adjusted by a margin that depends on the rating of the issuer. The off-balance sheet commitment for swaps corresponds to their nominal value.

Structured swaps (swaps with optional components): These swaps are valued at their market value, based on prices reported by the counterparties. These valuations are subject to audits by the management company. The index swaps valuation, calculated by the OTC Pricing Services team, is used to calculate the net asset value after checking its consistency with the counterparty's valuation if this is received within the deadlines. If this is unavailable or inconsistent, OTC Pricing Services approaches the counterparty to identify and resolve problems. The off-balance sheet commitment of these swaps corresponds to their nominal value.

Fees charged to the sub-fund

Financial management fees

- Maximum 0.08% incl. tax of net assets per year for the EURO C share - Maximum 0.08% incl. tax of net assets per year for the EURO C/D share

Administrative fees external to the management company

- Maximum 0.12% incl. tax of net assets per year for the EURO C share - Maximum 0.12% incl. tax of net assets per year for the EURO C/D share

The fees are calculated on the basis of the net assets. These fees, not including transaction fees, are charged directly to the SICAV's profit and loss account.

These fees cover all of the costs invoiced directly to the UCI, except for transaction fees. Transaction costs include intermediary fees (brokerage, stock market taxes etc.) as well as transaction fees, if any, which may be charged, in particular by the depositary and the management company.

Performance fee

None


None




Interest received method.


Accumulation for the EURO C share Accumulation and/or distribution for the EURO C/D share

Allocation of net realised capital gains

Accumulation for the EURO C share Accumulation and/or distribution for the EURO C/D share

Changes affecting the SICAV

None






Net assets at the beginning of the financial year 1,158,567,167.28 1,143,970,980.31

Subscriptions (including subscription fees paid to the UCI) 173,773,991.89 279,462,524.68

Redemptions (after deduction of redemption fees paid to the UCI) -450,537,027.84 -541,422,480.07



Capital gains realised on forward financial instruments 618,814,118.97 354,714,523.53

Capital losses realised on forward financial instruments -511,325,930.88 -354,908,611.47

Transaction fees -77,054.15 -297,647.16

Exchange differences 237.32 788.25


Valuation difference, financial year N 15,636,058.91 110,697,467.01


Change in the valuation difference for forward financial instruments: -8,982,048.98 -49,023,834.78

Valuation difference, financial year N -25,880,907.35 -16,898,858.37

Valuation difference, financial year N-1 16,898,858.37 -32,124,976.41

Distribution from the previous financial year on net capital gains or losses -1,081,514.61 -841,717.94

Distribution from the previous financial year on income - -




Other items - -

Net assets at the end of the financial year 842,396,296.30 1,158,567,167.28





Fixed assets









Deposits -

Equities 57,115,030.21


UCIs 22,873.89


Swaps (nominal) 806,031,870.18











EURO C class (Currency: EUR)



EURO C/D class (Currency: EUR)



Subscription and/or redemption fees

15,145,596

40,133,122

3,749,121

5,216,328

Amount (EUR)





Management fees

Amount (EUR)

% of average net

assets




Other charges - -




Other charges - -








-

Tax credit to recover -

Deposit – EUR 239,990.90







TOTAL RECEIVABLES 45,609,990.90


-

Deposit – EUR -






Costs and expenses not yet paid 302,911.43



TOTAL DEBTS 6,302,911.43





Assets



Convertible bonds -

Equity securities -


Debt securities -


Treasury bills -





Liabilities


Equities -

Bonds -

Other -

Off-balance sheet


Interest rates -

Equities 764,368,475.52

Other -

Other transactions

Interest rates -

Equities 821,854,358.92

Other -





Other

Assets

Deposits - - - -




- - - -



Liabilities



Off-balance sheet






[0–3 months]

]3 months–1 year]


Assets

Deposits - - - - -




- - - - -



Liabilities



Off-balance sheet






USD

Assets

Deposits -



Debt securities -

UCI securities -


-



Debt securities -

Financial accounts 42.01

Liabilities



Debts -


Off-balance sheet


Other transactions -











Profit/loss 7,346,034.90 24,118,941.54

Total 7,346,034.90 24,118,941.54

Allocation

Distribution - -


Accumulation 7,346,034.90 24,118,941.54

Total 7,346,034.90 24,118,941.54














Financial

year 31/12/2020






Total 21,250,763.71 28,396,788.85

Allocation

Distribution - -


Accumulation 21,250,763.71 28,396,788.85

Total 21,250,763.71 28,396,788.85












Profit/loss 906,629.67 2,549,441.46

Total 4,310,646.39 3,975,735.00

Allocation

Distribution - -


Accumulation - -

Total 4,310,646.39 3,975,735.00

















Undistributed previous net capital gains or losses 19,587,930.44 20,816,224.90



Total 22,318,622.98 23,796,069.63

Allocation

Distribution 786,218.94 918,267.57

Undistributed net capital gains or losses 21,532,404.04 22,877,802.06

Accumulation - -

Total 22,318,622.98 23,796,069.63








30/12/2016 29/12/2017 31/12/2018 31/12/19 31/12/2020


C shares 45.4082 50.2317 8.9823 11.4467 11.2690

Net assets (in €k) 752,462.44 1,199,388.54 1,002,130.49 1,048,113.80 750,260.42


C shares 16,571,059 23,877,123 111,567,500 91,564,736 66,577,210

Payment date 30/12/2016 29/12/2017 31/12/2018 31/12/19 31/12/2020





C shares -6.09 5.32 0.43 0.31 0.31


C shares 0.24 0.27 0.07 0.26 0.11





30/12/2016 29/12/2017 31/12/2018 31/12/19 31/12/2020


D shares 122.9958 135.1419 8.5567 10.8256 10.5470

Net assets (in €k) 382,133.93 263,235.05 141,840.49 110,453.36 92,135.88


D shares 3,106,885 1,947,842 16,576,492 10,202,973 8,735,766

Payment date 30/12/2016 29/12/2017 31/12/2018 31/12/19 31/12/2020

Distribution per unit on net capital gains and losses - 1.18 0.07 0.09 0.09 (including interim dividends) (in EUR)

Distribution per unit on income 0.92 - - - - (including interim dividends) (in EUR)



D shares - - - - -


D shares - - - - -







Equities and equivalent securities 810,186,938.18 96.18

Traded on a regulated or equivalent market 810,186,938.18 96.18

ADIDAS AG 10,112.00 297.90 EUR 3,012,364.80 0.36

AIRBUS SE 190,224.00 89.78 EUR 17,078,310.72 2.03





AXA SA 2,509,358.00 19.51 EUR 48,962,593.30 5.81

BANCO BILBAO VIZCAYA ARGENTA 6,548,710.00 4.04 EUR 26,424,044.85 3.14


BASF SE 354,735.00 64.72 EUR 22,958,449.20 2.73

BAYER AG-REG 80,000.00 48.16 EUR 3,852,400.00 0.46

BNP PARIBAS 1,325,021.00 43.10 EUR 57,115,030.21 6.78

BOUYGUES SA 755,000.00 33.65 EUR 25,405,750.00 3.02

COMPAGNIE DE SAINT GOBAIN 271,118.00 37.50 EUR 10,166,925.00 1.21

CREDIT AGRICOLE SA 4,264,427.00 10.32 EUR 44,008,886.64 5.22

DANONE 242,766.00 53.76 EUR 13,051,100.16 1.55

DEUTSCHE BANK AG-REGISTERED 362,225.00 8.95 EUR 3,241,551.53 0.38


DEUTSCHE POST AG-REG 514,532.00 40.50 EUR 20,838,546.00 2.47

DEUTSCHE TELEKOM AG-REG 220,464.00 14.96 EUR 3,297,039.12 0.39

EDP-ENERGIAS DE PORTUGAL SA 660,221.00 5.16 EUR 3,404,099.48 0.40

ENGIE 3,026,656.00 12.52 EUR 37,893,733.11 4.50

IBERDROLA SA 523,609.00 11.70 EUR 6,126,225.30 0.73

ING GROEP NV 2,140,669.00 7.64 EUR 16,356,851.83 1.94

KERING 50,000.00 594.40 EUR 29,720,000.00 3.53

KONINKLIJKE AHOLD DELHAIZE N 112,676.00 23.11 EUR 2,603,942.36 0.31

KONINKLIJKE DSM NV 19,795.00 140.80 EUR 2,787,136.00 0.33

KONINKLIJKE PHILIPS NV 549,601.00 43.78 EUR 24,061,531.78 2.86


MICHELIN (CGDE) 177,650.00 104.95 EUR 18,644,367.50 2.21


NN GROUP NV - W/I 84,567.00 35.53 EUR 3,004,665.51 0.36

RENAULT SA 791,918.00 35.76 EUR 28,318,987.68 3.36






ROYAL DUTCH SHELL PLC-A SHS 200,800.00 14.61 EUR 2,934,491.20 0.35

SANOFI 752,729.00 78.70 EUR 59,239,772.30 7.03

SAP SE 137,835.00 107.22 EUR 14,778,668.70 1.75



SOCIETE GENERALE SA 2,687,739.00 17.02 EUR 45,750,693.26 5.43

STELLANTIS NV 262,664.00 14.66 EUR 3,850,654.24 0.46

TELEFONICA DEUTSCHLAND HOLDI 1,714,050.00 2.25 EUR 3,865,182.75 0.46

TELEFONICA SA 4,282,823.00 3.25 EUR 13,897,760.64 1.65

TOTAL SE 650,039.00 35.30 EUR 22,946,376.70 2.72

VONOVIA SE 80,000.00 59.76 EUR 4,780,800.00 0.57

UCI securities 22,873.89 -


22,873.89

-

BNP PARIBAS MOIS ISR PARTS IC 3 DECIMALE 1.00 22,873.89 EUR 22,873.89 -

Forward financial instruments -25,932,147.35 -3.08

Futures 51,240.00 0.01

STOXX 600(SXXP) 19/03/2021 122.00 398.50 EUR 51,240.00 0.01

Margin calls -51,240.00 -0.01

Equity swaps -25,932,147.35 -3.08

EQS57 186,620,368.16 - EUR 572,303.87 0.07

EQS58 188,301,662.86 - EUR 3,305,550.01 0.39

EQS65 196,287,176.81 - EUR -29,910,704.28 -3.55

EQS66 237,950,571.47 - EUR 7,650,357.70 0.91

EQS67 335,731,890.20 - EUR 6,669,552.91 0.79

EQS68 123,159,324.19 - EUR -13,374,891.50 -1.59

EQS69 69,999,943.50 - EUR -6,681,914.44 -0.79

EQS71 245,741,047.25 - EUR 5,837,598.38 0.69

Debt securities 45,609,990.90 5.41

Debts -6,302,911.43 -0.75

Deposits - -


TOTAL NET ASSETS EUR 842,396,296.30 100.00