BNP PARIBAS EASY

OCTOBER 2020

For professional investors Marketing communication

HOW INVEST IN SRI* EQUITIESWITH EXCHANGE TRADED FUNDS (ETF)?

BNP PARIBAS EASY

* SRI: Socially Responsible Investment

ESG* at BNP Paribas Asset ManagementAmong the pioneer with well-resourced Sustainability Centre team

2

BNP Paribas Asset Management is a sustainable asset manager

2002• BNPP AM first SRI** Fund launch• Signatory of the Institutional Investors Group on Climate

Change (IIGCC) which was launched in 2001

2006• Founding signatory of the UN Principles for Responsible

Investments (PRI)

2012• Implementation of the UN Global Compact Principles and

sector policies of BNP Paribas Group

18 years

The Sustainability Centre has been launched in 2002

with the establishment of a proxy voting policy

25 ESG experts

Within the Sustainability Centre

* Environment Social Governance. ** SRI: Socially Responsible Investment. Source: BNP Paribas Asset Management as of 30/09/2020.

ESG at BNP Paribas Asset ManagementStewardship figures - 2019

32%Success rate when engaging

companies prior AGMs**

219

* As of H1 2020. ** BNPP AM considers an engagement to be successful if: the company withdraws the proposal we are opposing; or we change our vote in favour of the proposal after a modification of the resolution from the issuer, or where we obtain additional information. Source: BNP Paribas Asset Management as of 30/09/2020.

Companies interviewed or met on ESG issues in 2019

40Initiatives and organisations

in which BNPP AM participate

Management proposals Total Europe North America Japan Others

Number of Management resolutions voted* 19 501 11 596 4 613 1 461 1 831

Voted For* 66.4% 74.7% 47.4% 64.7% 63.7%

Voted Against* 30.2% 22.1% 50.9% 30.3% 29.3%

Voted Abstain* 3.4% 3.2% 1.7% 5.1% 7.0%

% of voted against or abstain management

2020 H1 33.6% 25.3% 52.6% 35.3% 36.3%

2019 27.8% 20.9% 36.8% 48.1% 29.6%

2018 21.9% 19.7% 18.3% 38.7% 25.8%

Executive compensation*: 60.4% of opposition (vs. 57.5% in 2019)

Financial operations*: 45.8% of opposition (vs. 42.1% in 2019)

Board elections*: 36.7% of opposition (vs. 29.4% in 2019 due mainly to the BNPP AMgender diversity policy)

Percentage of BNP Paribas AM’s AUM for which there are votes with no delegation to proxy voting providers

90% 95%Percentage of votes in favor of climate-critical resolutions

3

ESG at BNP Paribas Asset ManagementExternal assessment: approach to responsible investment

4

Source: BNP Paribas Asset Management as of 31/12/2019.

ShareAction assesses approaches to responsible investment (RI) of 75 world’s largest asset managers

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BNP Paribas Easy Index Solutions

5

Coverage

80 ETFs and Index Funds*A range covering main geographical

zones, thematic and smart beta

Size Expertise

26,2 Bn€* assets under management

in index solutions

11 portfolio managers*dedicated to index portfolios with an average of 20 years

of experience

* As of 30/09/2020. The investments in the funds are subject to market fluctuations and the risks inherent in investments in securities. The value of investments and the income theygenerate may go down as well as up and it is possible that investors will not recover their initial outlay, the funds described being at risk of capital loss. For a Complete description anddefinition of risks, please consult the last available prospectus and KIID of the funds. Source: BNP Paribas Asset Management as of 30/09/2020.

Our key characteristics A range replicating innovative indices (thematic, smart beta…) and mainstream indices BNP Paribas Asset Management is also a pioneer for specific exposures: Low Carbon, Circular Economy,

Sustainable listed real estate, ESG Infrastructure, Blue Economy… Agnostic approach in terms of replication methods:

- physical replication: full or optimised- synthetic replication with an open architecture approach: counterparties are selected through tender offers

(except for ETFs tracking BNP Paribas indices https://indx.bnpparibas.com)

No security lending, in accordance with the Prospectus The active voting and engagement policy of BNP Paribas Asset Management is applied to all index funds and

ETFs (physical and synthetic replications)

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BNP Paribas Easy Sustainable Rangewithin BNP Paribas Asset Management

Among the Top 3

European ESG ETF provider**

BNP Paribas Asset Management: provider of passive sustainable solutions* As of 30/09//2020. ** Source: Bloomberg as of 30/09/2020. The investments in the funds are subject to market fluctuations and the risks inherent in investments in securities. Thevalue of investments and the income they generate may go down as well as up and it is possible that investors will not recover their initial outlay, the funds described being at risk ofcapital loss. For a Complete description and definition of risks, please consult the last available prospectus and KIID of the funds.Source: BNP Paribas Asset Management as of 30/09/2020. For illustration purposes only.

8.3 Bn€*

of assets managed in sustainable

ETF and Index funds

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sustainable ETFs & Index funds in the BNP Paribas Easy ESG

range covering all regions including Emerging Markets

Launch of BNP Paribas Easy MSCI KLD 400 US

SRI UCITS ETFand

BNP Paribas Easy MSCI Emerging Markets SRI UCITS ETF

20192015

BNP Paribas Easy ESG RangeA continuous ESG pioneer approach

2008

Pioneer: 1st Low Carbon ETF* Launch of

BNP Paribas Easy Low Carbon 100 Europe® UCITS ETF

2016 2018

Launch of 10 MSCI ex Controversial

Weapons ETFs

Launch of BNP Paribas Easy MSCI Europe SRI UCITS ETF

and BNP Paribas Easy MSCI Japan SRI UCITS ETF

Pioneer: 1st Circular Economy ETFLaunch of

BNP Paribas Easy ECPI Circular Economy Leaders

UCITS ETF

Launch of BNP Paribas Easy € Corp Bond

SRI Fossil Free UCITS ETF

* ETF: Exchanged Traded Fund. The above listed ETFs are sub-funds of BNP Paribas Easy, a SICAV under Luxembourg law in compliance with Directive 2009/65/EC as amended bythe 2014/91/UE European Directive (UCITS V). The investments in the funds are subject to market fluctuations and the risks inherent in investments in securities. The value ofinvestments and the income they generate may go down as well as up and it is possible that investors will not recover their initial outlay, the funds described being at risk of capital loss.For a Complete description and definition of risks, please consult the last available prospectus and KIID of the funds. Investors considering subscribing to a fund should read carefully itsmost recent prospectus and KIID that can be downloaded free of charge from our site. Source: BNP Paribas Asset Management 30/09/2020. For illustration purposes only.

Index changesBNP Paribas Easy JPM ESG

EMBI Global Diversified Composite

andMSCI SRI S-Series 5%

Capped

Launch ofBNP Paribas Easy

MSCI EMU SRI S-Series 5% Capped

Pioneer: 1st Sustainable Listed Real Estate ETFLaunch of

BNP Paribas Easy FTSE EPRA NAREIT Developed Europe ex-UK Green UCITS ETF

andBNP Paribas Easy € Corp Bond Fossil Free 1-3Y

& BNP Paribas Easy € Corp Bond Fossil Free 3-5Y

2020

Pioneer: 1st ESG Infrastructure ETFLaunch of

BNP Paribas Easy ECPI Global ESG Infrastructure UCITS ETF

andBNP Paribas Easy

MSCI Europe Small Caps SRI S-Series 5% Capped UCITS ETF

7

Pioneer: 1st Blue Econmy ETFLaunch of

BNP Paribas Easy ECPI Global ESG Blue Economy UCITS ETF

BNP Paribas Easy ESG Offer as of 30/09/2020

8

Name ISIN code Replication method Dividend policy Trading

currency1 OCR2 SRRI Listing Places

EQUITY SRI ETFs

BNP Paribas Easy MSCI Europe SRI S-Series 5% Capped UCITS ETFLU1753045415

PhysicalDistributing EUR

0.30%6 Euronext Paris,

Xetra, Borsa Italiana

LU1753045332 Accumulating EUR 6 Euronext Paris

BNP Paribas Easy MSCI Europe Small Caps SRI S-Series 5% Capped UCITS ETF LU1291101555 Synthetic Accumulating EUR 0.25% 6 Euronext Paris,


BNP Paribas Easy MSCI EMU SRI S-Series 5% Capped UCITS ETF LU1953137681 Physical Accumulating EUR 0,30% 6 Euronext Paris, Xetra, Borsa Italiana

BNP Paribas Easy MSCI Japan SRI S-Series 5% Capped UCITS ETFLU1753045928

PhysicalDistributing EUR

0.30%6 Euronext Paris,



BNP Paribas Easy MSCI USA SRI S-Series 5% Capped UCITS ETF

LU1291103338

Physical

Accumulating USD

0.30%

6 Euronext Paris, Xetra


LU1659681669 Distributing EUR 6 Euronext Paris, Xetra, Borsa Italiana

BNP Paribas Easy MSCI Emerging SRI S-Series 5% Capped UCITS ETF

LU1291098314

Synthetic

Accumulating USD

0.45%

6 Euronext Paris, Xetra

LU1659681313 Distributing EUR 6 Euronext Paris, Xetra, Borsa Italiana


BNP Paribas Easy World SRI S-Series 5% Capped UCITS ETFLU1291108642

PhysicalAccumulating USD

0,25%6 Euronext Paris,

Xetra

LU1615092217 Accumulating EUR 6 Euronext Paris, Xetra, Borsa Italiana

Entry/Exit fees on the secondary market: 0%. Entry/Exit fees on the primary market: 3% max. 1 Investors are exposed to the currency risk when investing in an ETF that has a tradingcurrency different from their local currency and/or different form the underlying index and/or if the underlying index includes securities labelled in different currencies from the ETF one.2 These are the ongoing charges known at the date mentioned in the table. It is advisable to refer to the most recent prospectus for the current management fees. Subscription andredemption fees indicate a maximum for subscriptions / redemptions in cash on the primary market for authorised participants. In some cases, you may pay less. The investor can get fromhis advisor or financial intermediary the actual amount of the subscription and redemption fees. Conditions applicable to purchases and sales on the secondary market are those applicableto this market and of your intermediary. Redemption or subscription fees should not be applied to you. Intermediation fees you may pay depend on the intermediary (execution, custody…).These are sub-funds of BNP Paribas Easy, a SICAV under Luxembourg law in compliance with Directive 2009/65/EC as amended by the 2014/91/UE European Directive (UCITS V).Investment management company of this ETF: BNP Paribas Asset Management France. Source: BNP Paribas Asset Management as of 30/09/2020.

Entry/Exit fees on the secondary market: 0%. Entry/Exit fees on the primary market: 3% max. 1 Investors are exposed to the currency risk when investing in an ETF that has a tradingcurrency different from their local currency and/or different form the underlying index and/or if the underlying index includes securities labelled in different currencies from the ETF one.2 These are the ongoing charges known at the date mentioned in the table. It is advisable to refer to the most recent prospectus for the current management fees. Subscription andredemption fees indicate a maximum for subscriptions / redemptions in cash on the primary market for authorised participants. In some cases, you may pay less. The investor can get fromhis advisor or financial intermediary the actual amount of the subscription and redemption fees. Conditions applicable to purchases and sales on the secondary market are those applicableto this market and of your intermediary. Redemption or subscription fees should not be applied to you. Intermediation fees you may pay depend on the intermediary (execution, custody…).These are sub-funds of BNP Paribas Easy, a SICAV under Luxembourg law in compliance with Directive 2009/65/EC as amended by the 2014/91/UE European Directive (UCITS V).Investment management company of this ETF: BNP Paribas Asset Management France. Source: BNP Paribas Asset Management as of 30/09/2020.

BNP Paribas Easy ESG Offer as of 30/09/2020

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Name ISIN code Replication method

Dividendpolicy

Trading currency3 OCR1 SRRI Listing Places

EQUITY ESG THEMES ETFs

BNP Paribas Easy Low Carbon 100 Europe UCITS ETF LU1377382368 Physical Accumulating EUR 0,30% 6Euronext Paris, Xetra, Six Swiss Exchange,

Borsa ItalianaBNP Paribas Easy FTSE EPRA NAREIT Developed Europe ex-UKGreen UCITS ETF LU2008763935 Physical Accumulating EUR 0,40% 6 Euronext Paris, Xetra,

Borsa Italiana

BNP Paribas Easy ECPI Circular Economy UCITS ETF LU1953136527 Physical Accumulating EUR 0,30% 6 Euronext Paris, Xetra, Borsa Italiana

BNP Paribas Easy ECPI Global ESG Infrastructure UCITS ETF LU1291109293 Physical Accumulating EUR 0.60% 6 Euronext Paris, Xetra, Borsa Italiana

BNP Paribas Easy ECPI Global ESG Blue Economy UCITS ETF LU2194447293 Physical Accumulating EUR 0.30% 5 Euronext Paris, Xetra

CORPORATE BONDS SRI ETF

BNP Paribas Easy € Corporate Bond SRI Fossil Free UCITS ETF LU1859444769 Physical Accumulating EUR 0.20% 4 Euronext Paris, Xetra, Borsa Italiana

BNP Paribas Easy € Corporate Bond SRI Fossil Free 1-3 Y UCITS ETF LU2008760592 Physical Accumulating EUR 0.20% 2 Euronext Paris, Xetra, Borsa Italiana

BNP Paribas Easy € Corporate Bond SRI Fossil Free 3-5Y UCITS ETF LU2008761053 Physical Accumulating EUR 0.20% 3 Euronext Paris, Xetra, Borsa Italiana

GOVERNMENT BONDS ESG Index Fund

BNP Paribas Easy JPM ESG EMBI Global Diversified Composite

Track I LU1291092200

Physical Accumulating

USD 0,20%

4 NATrack IH EUR LU1291092549 EUR (Euro

Hedged) 0,20%

Track Privilege LU1291091905 USD 0,25%

Track Privilege H EUR LU1291092119 EUR (Euro Hedged) 0,25%

MSCI ESG METRICS

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11

MSCI ESG MetricsMSCI SRI S-Series 5% Capped index vs MSCI parent index

* The parent index of the MSCI Europe SRI S-Series 5% Capped index is the MSCI Europe & Middle East index, for comprehensive reasons in terms of comparison the MSCI Europeindex has been selected. Sources: MSCI and BNP Paribas Asset Management as of 30/09/2020. For illustration purposes only.

MSCI Europe SRI S-Series 5% Capped

index

MSCI Europe index*

MSCI EMU SRI S-Series

5% Capped index

MSCI EMU index

MSCI Europe Small Cap SRI S-Series 5% Capped

index

MSCI Europe Small Cap index

OVE

RALL Consolidated ESG Rating (on a scale of 10) 9 7.5 8.9 7.5 8.1 6.4

UNGC Violations 0% 2.9% 0% 2.4% 0% 0.2%

Very Severe Controversies 0% 3% 0% 2.6% 0% 0.2%

ENVI

RON

MEN

T

Consolidated Environmental Rating (on a scale of 10) 6.8 6.1 6.9 6.4 5.6 5Carbon Intensity 27 83 37 110 52 69Reported Emissions 90.6% 89.6% 88.6% 89.7% 73.2% 63.5%Estimated Emissions 9.4% 10.2% 11.4% 10% 25.1% 35.8%Fossil Fuel Sector Exposure 4% 10.6% 4.5% 12.1% 3.5% 4.6%Fossil Fuel Reserves 0% 6.3% 0% 5.8% 0% 0.6%Green Revenues 7.4% 4% 6.4% 5.4% 9.5% 6.7%Exposure Climate-Related Physical Risks -4% -6.4% -3.7% -6.3% -3.2% -5.5%

SOCI

AL

Consolidated Social Rating (on a scale of 10) 6.2 5.2 6.3 5.4 5.7 4.9Social Violations (Count) 0 2 0 1 0 1Social Violations (% of Constituents) 0% 0.5% 0% 0.4% 0% 0.1%Controversial Weapons 0% 0% 0% 0% 0% 0%Tobacco 0% 1.6% 0% 0% 0,6% 0.7%

GO

VERN

ANCE Consolidated Governance Rating (on a scale of 10) 6.8 6.1 6.6 5.9 7 6.5

Board Independence 85.5% 82.6% 85.8% 83.4% 79.2% 77.8%

Board Diversity 38.9% 36.6% 41.2% 38.7% 34% 31.5%

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* The parent index of the MSCI Japan SRI S-Series 5% Capped index is the MSCI Pacific index, for comprehensive reasons in terms of comparison the MSCI Japan index has beenselected. Sources: MSCI and BNP Paribas Asset Management as of 30/09/2020. For illustration purposes only.

MSCI Emerging SRI S-Series

5% Capped index

MSCI Emerging Markets index

MSCI USA SRI S-Series

5% Capped indexMSCI USA index

MSCI Japan SRI S-Series

5% Capped index

MSCI Japan index*

OVE

RALL Consolidated ESG Rating (on a scale of 10) 6.9 4.9 7.7 6 7.9 6

UNGC Violations 0% 1.7% 0% 0.8% 0% 0.1%

Very Severe Controversies 0% 1.9% 0% 1.4% 0% 0.1%

ENVI

RON

MEN

T

Consolidated Environmental Rating (on a scale of 10) 5.8 4.8 6.6 5.7 6.4 5.8Carbon Intensity 46 127 21 37 39 64Reported Emissions 68.8% 61.1% 82.5% 78.5% 98.2% 80.7%Estimated Emissions 31.2% 37.7% 17.5% 21.1% 1.8% 19.3%Fossil Fuel Sector Exposure 9.9% 11% 3.1% 7% 0.8% 6.5%Fossil Fuel Reserves 0.3% 7.1% 0% 2.9% 0.4% 5.1%Green Revenues 4.9% 3.8% 9.8% 4.7% 3.8% 4.8%Exposure Climate-Related Physical Risks -12.1% -12.5% -3.7% -4.5% -8.2% -9%

SOCI

AL

Consolidated Social Rating (on a scale of 10) 5.5 5 5.4 4.7 6 5.2Social Violations (Count) 0 12 0 4 0 0Social Violations (% of Constituents) 0% 0.9% 0% 0.6% 0% 0Controversial Weapons 0% 0.1% 0% 0.9% 0% 0%Tobacco 0% 0.3% 0% 0.8% 0% 1.5%

GO

VERN

ANCE Consolidated Governance Rating (on a scale of 10) 5 4 6 5.4 5.2 4.8

Board Independence 58% 55.9% 83.1% 81.9% 41.4% 41%

Board Diversity 14.4% 12% 30.1% 30.8% 14% 11.9%


13

Sources: MSCI and BNP Paribas Asset Management as of 30/09/2020. For illustration purposes only.

MSCI World SRI S-Series5% Capped index MSCI World index

OVE

RALL Consolidated ESG Rating (on a scale of 10) 8.1 6.3

UNGC Violations 0% 1.4%Very Severe Controversies 0% 1.8%

ENVI

RON

MEN

T

Consolidated Environmental Rating (on a scale of 10) 6.6 5.7Carbon Intensity 24 51Reported Emissions 87% 81.1%Estimated Emissions 13% 18.6%Fossil Fuel Sector Exposure 3.7% 8.5%Fossil Fuel Reserves 0.1% 4.2%Green Revenues 8.3% 4.5%Exposure Climate-Related Physical Risks -4.2% -5.4%

SOCI

AL

Consolidated Social Rating (on a scale of 10) 5.7 4.9Social Violations (Count) 0 9Social Violations (% of Constituents) 0% 0.6%Controversial Weapons 0% 0.6%Tobacco 0% 1%

GO

VERN

ANCE Consolidated Governance Rating (on a scale of 10) 6.2 5.5

Board Independence 80.1% 78.6%

Board Diversity 31.2% 30.4%

Metric name MSCI name MSCI definition

Carbon Intensity Financed Carbon Emissions (t CO2e/$M Invested)

Normalized measure of allocated Scope 1 and Scope 2 emissions (tons of CO2/mln USD invested). Calculated based on Enterprise Value.

Green Revenues Clean Technologies Solutions Revenue (Wtd Avg %)

Weighted average % revenue derived from any of the five clean tech themes including alternative energy, energy efficiency, green building, pollution prevention, or sustainable water.

Exposure Climate-Related Physical Risks

Extreme Weather Company Climate VaR (Aggressive Scenario) [%]

An aggregated downside or upside potential based on issuers’ "worst-case" (95th percentile) value at risk, expressed as a percentage of the securities’ market value, assuming trends in extreme cold, extreme heat,

extreme precipitation, heavy snowfall, extreme wind, coastal flooding, and tropical cyclones continue along a Business-As-Usual pathway.


BNP PARIBAS EASY MSCI EUROPE SRI S-SERIES 5% CAPPED UCITS ETF

14

BNP Paribas Easy MSCI Europe SRI S-Series 5% Capped UCITS ETF

BenchmarkMSCI Europe SRI S-Series 5% Capped indexBloomberg ticker: M7CXESS Index

A sub-fund of BNP Paribas Easy, a SICAV under Luxembourg law in compliance with Directive 2009/65/EC as amended by the 2014/91/UE European Directive (UCITS V). The investment company is BNP Paribas Asset Management France.

AUM: 840 M€ as of 30/09/2020

Listing places: Euronext Paris for LU1753045415 and LU1753045332Xetra for LU1753045415 Borsa Italiana for LU1753045415

Replication method: PhysicalNo security lending, in accordance with the ProspectusCurrency: €NAV frequency: DailyRebalancing: QuarterlySRRI*: 6 (scale of 1 to 7)Entry / Exit Fees**: 0%OCR***: 30 bpsTracking Error****: 0.07%

Settings

Bloomberg ticker: SRIEC FP EUR CapitalisationBloomberg tickers: SRIE FP, ZSRI GY, SRIE IM EUR Distribution Share Class

ISIN code: LU1753045332ISIN code: LU1753045415

* The synthetic risk indicator is determined on a scale from 1 to 7, the higher the risk, the longer the investment horizon. ** Entry / Exit Fees: 3% max on the Primary market only.*** Ongoing Charges Ratio. **** One year rolling Tracking Error as of 30/09/2020. The fact that the sub-fund has obtained this label does not mean that the sub-fund meets your ownsustainability objectives or that the label meets the requirements of future national or European rules. For more information on this subject, please visit www.fsma.be/fr/finance-durableMSCI ESG Fund Ratings are for informational purposes only and are subject to the Notice & Disclaimer found at: https://www.msci.com/notice-and-disclaimer; and MSCI Inc’s and MSCIESG Research LLC’s terms of use at: https://www.msci.com/terms-of-use and additional-terms-of-use-msci-esg-research-llc.Source: MSCI and BNP Paribas Asset Management as of 30/09/2020.

Sustainability Score and Sustainability Rating as of 30/09/2020.The Morningstar Sustainability Rating™ allows investors toevaluate how well the companies in a fund’s portfolio are managingthe environmental, social, and governance (ESG) investing factorsrelevant to their industries.

15

MSCI Europe SRI S-Series 5% Capped index Key Features

16

Top 10 constituents

Sector over/under weightsMSCI Europe SRI S-Series 5% Capped index vs MSCI Europe index

The above-mentioned securities are for illustrative purpose only, are not intended as solicitation of the purchase of such securities, and does not constitute any investment advice orrecommendation. Sources: MSCI and BNP Paribas Asset Management as of 30/09/2020. For illustration purposes only.

Country over/under weightsMSCI Europe SRI S-Series 5% Capped index vs MSCI Europe index

Sector weights

Energy -2,63%Utilities -1,33%

Industrials -0,22%Communication Services -0,21%Consumer Discretionary -0,14%

Real Estate -0,05%Materials 0,07%

Consumer Staples 0,42%Health Care 0,72%

Financials 1,12%

Information Technology 2,24%

-4% -3% -2% -1% 0% 1% 2% 3% 4%

SWITZERLAND-8,85%

UK -5,17%SPAIN -2,15%

SWEDEN -1,66%ITALY -1,20%

PORTUGAL -0,08%FINLAND 0,06%AUSTRIA 0,18%BELGIUM 0,22%UNITED STATES 0,23%NORWAY 0,33%

IRELAND 1,07%FRANCE 1,86%

NETHERLANDS 3,49%GERMANY 4,44%

DENMARK 7,23%

-12% -8% -4% 0% 4% 8%

Performances as of 30 September 2020Cumulative index performances

Calendar index performances

MSCI Europe SRI S-Series 5% Capped Net Return EUR Index was created in April 2019 with history backfilled to 31 December 2016. * Some calendar performances of the ETF couldstop before the last day of the year as there are no NAV/share calculation. Performances are for general information only and should not be used as a basis for making any specificinvestment, business or commercial decisions. Any economic and market trend, prediction, projection or forecast is not necessarily indicative of the future or likely performance of thefunds. Past performances or achievement is not indicative of current or future performance. Sources: MSCI and BNP Paribas Asset Management as of 30/09/2020.

17

ETF performances

PERFORMANCES NET IN EUR YTD 30/09/2020 2019 2018

(13 March 2018 - 31 December 2018)

BNP Paribas Easy MSCI Europe SRI S-Series 5% Capped UCITS ETF* -3,93% 28.82% -4.06%

MSCI Europe SRI S-series 5% Capped NTR index (September 16th 2019 - Present)MSCI Europe SRI NTR index (March 2018 - September 16th 2019) -3,86% 28.79% -4.15%

Tracking Difference -0.07% 0.03% 0.09%

PERFORMANCES NET IN EUR YTD 30/09/2020 Q2 2020 Q1 2020 1Y 3Y SINCE INCEPTION 30/11/2015

MSCI Europe SRI S-Series 5% Capped Net Return EUR Index -3,86% 16,09% -19,05% 2,86% 13,51% 17,85%

MSCI Europe Net Total Return EUR Index -12,75% 12,60% -22,59% -7,76% -1,03% 5,35%

DIFFERENCE OF PERFORMANCES 8,89% 3,49% 3,54% 10,62% 14,54% 12,50%

PERFORMANCES NET IN EUR 2019 2018 2017 2016

MSCI Europe SRI S-Series 5% Capped Net Return EUR Index 29,13% -9,29% 11,32% -1,44%

MSCI Europe Net Total Return EUR Index 26,05% -10,57% 10,24% 2,58%

DIFFERENCE OF PERFORMANCES 3,08% 1,29% 1,08% -4,01%

BNP PARIBAS EASY MSCI EMU SRI S-SERIES 5% CAPPED UCITS ETF

18

BNP Paribas Easy MSCI EMU SRI S-Series 5% Capped UCITS ETF

BenchmarkMSCI EMU SRI S-Series 5% Capped indexBloomberg ticker: M7CXEMS Index


AUM: 496 M€ as of 30/09/2020

Listing places: Euronext Paris XetraBorsa Italiana


Settings

Bloomberg tickers: MUSRI FP, EMUS GY, MUSRI IM EUR Capitalisation Share Class

ISIN code: LU1953137681

* The synthetic risk indicator is determined on a scale from 1 to 7, the higher the risk, the longer the investment horizon. ** Entry / Exit Fees: 3% max on the Primary market only.*** Ongoing Charges Ratio. **** One year rolling Tracking Error as of 30/09/2020. The fact that the sub-fund has obtained this label does not mean that the sub-fund meets your ownsustainability objectives or that the label meets the requirements of future national or European rules. For more information on this subject, please visit www.fsma.be/fr/finance-durableMSCI ESG Fund Ratings are for informational purposes only and are subject to the Notice & Disclaimer found at: https://www.msci.com/notice-and-disclaimer; and MSCI Inc’s and MSCIESG Research LLC’s terms of use at: https://www.msci.com/terms-of-use and additional-terms-of-use-msci-esg-research-llc. Source: BNP Paribas Asset Management as of 30/09/2020.


19

MSCI EMU SRI S-Series 5% Capped index Key Features

20

Top 10 constituents

Sector over/under weightsMSCI EMU SRI S-Series 5% Capped index vs MSCI EMU index


Country over/under weightsMSCI EMU SRI S-Series 5% Capped index vs MSCI EMU index

Sector weights

Consumer Discretionary-4,56%

Utilities -3,14%

Information Technology -2,58%

Communication Services -2,01%

Industrials -1,55%

Energy -1,08%

Real Estate -0,96%

Materials 0,18%

Health Care 1,27%

Consumer Staples 6,04%

Financials 8,37%

-6% -4% -2% 0% 2% 4% 6% 8%

SPAIN -4,06%

ITALY -2,15%

GERMANY -1,59%

PORTUGAL -0,14%

FINLAND 0,24%

AUSTRIA 0,38%

UNITED STATES 0,46%

BELGIUM 0,55%

FRANCE 1,60%

IRELAND 2,21%

NETHERLANDS2,48%

-5% -4% -3% -2% -1% 0% 1% 2% 3%



21

MSCI EMU SRI S-Series 5% Capped Net Return EUR Index was created in April 2019 with history backfilled to 31 December 2016. * Some calendar performances of the ETF could stopbefore the last day of the year as there are no NAV/share calculation. Performances are for general information only and should not be used as a basis for making any specific investment,business or commercial decisions. Any economic and market trend, prediction, projection or forecast is not necessarily indicative of the future or likely performance of the funds. Pastperformances or achievement is not indicative of current or future performance.Sources: MSCI and BNP Paribas Asset Management as of 30/09/2020.

PERFORMANCES NET IN EUR YTD 30/09/2020 Q2 2020 Q1 2020 1Y 3Y SINCE INCEPTION

30/11/2015

MSCI EMU SRI S-Series 5% Capped Net Return EUR Index -8,16% 17,48% -21,83% -2,40% 8,33% 23,04%

MSCI EMU Net Total Return EUR Index -12,20% 16,98% -25,09% -7,76% -4,36% 6,44%



MSCI EMU SRI S-Series 5% Capped Net Return EUR Index 29,74% -9,64% 14,05% 5,31%

MSCI EMU Net Total Return EUR Index 25,47% -12,71% 12,49% 4,37%

DIFFERENCE OF PERFORMANCES 4,27% 3,06% 1,56% 0,94%

PERFORMANCES NET IN EUR YTD 30/09/2020

2019(30 September 2019 - 30 September 2020)

BNP Paribas Easy MSCI EMU SRI S-Series 5% Capped UCITS ETF* -8,11% -2,41%

MSCI EMU SRI S-series 5% Capped NTR index -8,16% -2,40%

Tracking Difference 0,05% -0.01%

ETF performances

BNP PARIBAS EASY MSCI EUROPE SMALL CAPS SRI S-SERIES 5% CAPPED UCITS ETF

22

BNP Paribas Easy MSCI Europe Small Caps SRI S-Series 5% Capped UCITS ETF

BenchmarkMSCI Europe Small Caps SRI S-Series 5% Capped indexBloomberg ticker: MXEUSSNE Index


AUM: 36 M€ as of 30/09/2020

Listing places: Euronext Paris Xetra Borsa Italiana

Replication method: SyntheticNo security lending, in accordance with the ProspectusCurrency: €NAV frequency: DailyRebalancing: QuarterlySRRI*: 6 (scale of 1 to 7)Entry / Exit Fees**: 0%OCR***: 25 bpsTracking Error****: 0.08%

Settings

Bloomberg Tickers: EESM FP, EESM GY, EESM IM EUR Capitalisation Share Class

ISIN code: LU1291101555

* The synthetic risk indicator is determined on a scale from 1 to 7, the higher the risk, the longer the investment horizon. ** Entry / Exit Fees: 3% max on the Primary market only.*** Ongoing Charges Ratio. **** One year rolling Tracking Error as of 30/09/2020. © 2020 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providersare responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results. Morningstar stars rank from 1 to 5, with the topranking being 5 stars. Source: BNP Paribas Asset Management as of 30/09/2020.

Over the past 5 years as of 30/09/2020

23

MSCI Europe Small Caps SRI S-Series 5% Capped indexKey Features

24

Top 10 constituents

Sector over/under weightsMSCI Europe Small Caps SRI S-Series 5% Capped index vs MSCI Europe Small Cap index

The above-mentioned securities are for illustrative purpose only, are not intended as solicitation of the purchase of such securities, and does not constitute any investment advice orrecommendation. Sources: MSCI and BNP Paribas Asset Management as of 30/09//2020. For illustration purposes only.

Sector weights

Country over/under weightsMSCI Europe Small Caps SRI S-Series 5% Capped index vs MSCI Europe Small Cap index

Consumer Discretionary -0,90%

Materials -0,87%

Industrials -0,57%

Real Estate -0,33%


Utilities -0,04%

Financials 0,18%

Energy 0,21%

Health Care 0,42%Consumer Staples 0,52%

Communication Services 1,58%

-2% -1% 0% 1% 2%

GERMANY -5,82%NETHERLANDS -2,99%

ITALY -2,62%SWITZERLAND -2,38%

SPAIN -2,13%BELGIUM -0,96%

IRELAND -0,55%PORTUGAL -0,19%

AUSTRIA 0,04%DENMARK 0,21%

NORWAY 0,52%FRANCE 1,41%

FINLAND 3,35%SWEDEN 4,36%

UK 7,75%

-7% -6% -5% -4% -3% -2% -1% 0% 1% 2% 3% 4% 5% 6% 7% 8% 9%



MSCI Europe Small Caps SRI S-Series 5% Capped Net Return EUR index was created in March 2020 with history backfilled to 31 December 2016. * Some calendar performances of theETF could stop before the last day of the year as there are no NAV/share calculation. Performances are for general information only and should not be used as a basis for making anyspecific investment, business or commercial decisions. Any economic and market trend, prediction, projection or forecast is not necessarily indicative of the future or likely performance ofthe funds. Past performances or achievement is not indicative of current or future performance. Sources: MSCI and BNP Paribas Asset Management as of 30/09/2020.

25

ETF performances


(13 March 2018 - 31 December 2018)

BNP Paribas Easy MSCI Europe Small Caps SRI S-Series 5% Capped UCITS ETF* -10,11% 31.55% -15.64%

MSCI Europe Small Caps SRI S-series 5% Capped NTR index (April 20th 2020 - Present)MSCI Europe Small Caps ex Controversial Weapons NTR index (2015 - April 20th 2020) -10,17% 31.44% -15.75%

Tracking Difference 0,06% 0.11% 0.11%


30/11/2015

MSCI Europe Small Caps SRI S-Series 5% Capped index NET EUR -12,45% 17,57% -30,35% 0,03% 5,52% 16,34%

MSCI Europe Small Cap Net Return EUR Index -10,33% 18,66% -28,86% 0,21% 1,76% 16,39%

DIFFERENCE OF PERFORMANCES -2,12% -1,09% -1,49% -0,17% 3,75% -0,05%


MSCI Europe Small Caps SRI S-Series 5% Capped index NET EUR 38,97% -14,27% 12,74% 0,90%

MSCI Europe Small Cap Net Return EUR Index 31,44% -15,86% 19,03% 0,86%

DIFFERENCE OF PERFORMANCES 7,54% 1,59% -6,29% 0,04%

BNP PARIBAS EASY MSCI JAPAN SRI S-SERIES 5% CAPPED UCITS ETF

26

BNP Paribas Easy MSCI Japan SRI S-Series 5% Capped UCITS ETF

BenchmarkMSCI Japan SRI S-Series 5% Capped indexBloomberg ticker: M7CXESE Index


AUM: 751 M€ as of 30/09/2020

Listing places: Euronext Paris for LU1753045928 and LU1753045845Xetra for LU1753045928 Borsa Italiana for LU1753045928


Settings

* The synthetic risk indicator is determined on a scale from 1 to 7, the higher the risk, the longer the investment horizon. ** Entry / Exit Fees: 3% max on the Primary market only.*** Ongoing Charges Ratio. **** One year rolling Tracking Error as of 30/09/2020. The fact that the sub-fund has obtained this label does not mean that the sub-fund meets your ownsustainability objectives or that the label meets the requirements of future national or European rules. For more information on this subject, please visit www.fsma.be/fr/finance-durableThe investment company is BNP Paribas Asset Management France. MSCI ESG Fund Ratings are for informational purposes only and are subject to the Notice & Disclaimer found at:https://www.msci.com/notice-and-disclaimer; and MSCI Inc’s and MSCI ESG Research LLC’s terms of use at: https://www.msci.com/terms-of-use and additional-terms-of-use-msci-esg-research-llc. Source: BNP Paribas Asset Management as of 30/09/2020.

Sustainability Score and Sustainability Rating as of 30/09/2020. TheMorningstar Sustainability Rating™ allows investors to evaluate howwell the companies in a fund’s portfolio are managing theenvironmental, social, and governance (ESG) investing factorsrelevant to their industries.

Share Class

Bloomberg ticker: SRIJC FP EUR Capitalisation Bloomberg tickers: SRIJ FP, JSRI GY, SRIJ IM EUR Distribution


27

MSCI Japan SRI S-Series 5% Capped indexKey Features

28

Top 10 constituents

Sector over/under weightsMSCI Japan SRI S-Series 5% Capped index vs MSCI Japan index

Sector weights


Industrials -3,85%

Consumer Discretionary-2,57%

Real Estate -1,36%

Utilities -1,07%

Financials -0,83%


Information Technology 1,54%

Health Care 1,99%

Materials 2,51%

Communication Services 3,63%

-5% -4% -3% -2% -1% 0% 1% 2% 3% 4% 5%



ETF performances

MSCI Japan SRI S-Series 5% Capped Net Return EUR Index was created in April 2019 with history backfilled to 31 December 2016. * Some calendar performances of the ETF could stopbefore the last day of the year as there are no NAV/share calculation. Performances are for general information only and should not be used as a basis for making any specific investment,business or commercial decisions. Any economic and market trend, prediction, projection or forecast is not necessarily indicative of the future or likely performance of the funds. Pastperformances or achievement is not indicative of current or future performance. Sources: MSCI and BNP Paribas Asset Management as of 30/09/2020.

29


(13 March 2018 – 31 December 2018)

BNP Paribas Easy MSCI Japan SRI S-Series 5% Capped UCITS ETF -3,09% 25.38% -7.50%

MSCI Japan SRI S-series 5% Capped NTR index (September 16th 2019 - Present)MSCI Japan SRI NTR index (March 2018 - September 16th 2019) -2,87% 25.86% -7.29%

Tracking Difference -0.22% -0.48% -0.21%


30/11/2015

MSCI Japan SRI S-Series 5% Capped Net Return EUR Index -2,87% 5,09% -10,39% 3,52% 22,72% 27,45%

MSCI Japan Net Total Return EUR Index -4,92% 9,04% -14,87% -0,60% 13,20% 18,71%

DIFFERENCE OF PERFORMANCES 2,05% -3,95% 4,48% 4,13% 9,51% 8,74%


MSCI Japan SRI S-Series 5% Capped Net Return EUR Index 27,85% -7,86% 8,43% 4,17%

MSCI Japan Net Total Return EUR Index 21,81% -8,49% 8,91% 5,44%

DIFFERENCE OF PERFORMANCES 6,04% 0,62% -0,47% -1,27%

BNP PARIBAS EASY MSCI EMERGING SRI S-SERIES 5% CAPPED UCITS ETF

30

BNP Paribas Easy MSCI Emerging SRI S-Series 5% Capped UCITS ETF

BenchmarkMSCI Emerging SRI S-Series 5% Capped indexBloomberg ticker: M7CXESC Index


AUM: 838 M€ as of 30/09/2020

Listing places: Euronext Paris for LU1291098314, LU1659681313 and LU1659681230Xetra for LU1291098314, LU1659681313 Borsa Italiana for LU1659681313

Replication method: SyntheticNo security lending, in accordance with the ProspectusCurrency: $NAV frequency: DailyRebalancing: QuarterlySRRI*: 6 (scale of 1 to 7)Entry / Exit Fees**: 0% OCR***: 45 bpsTracking Error****: 0.11%

Settings

Share Class

* The synthetic risk indicator is determined on a scale from 1 to 7, the higher the risk, the longer the investment horizon. ** Entry / Exit Fees: 3% max on the Primary market only.*** Ongoing Charges Ratio. **** One year rolling Tracking Error as of 30/09/2020. The fact that the sub-fund has obtained this label does not mean that the sub-fund meets your ownsustainability objectives or that the label meets the requirements of future national or European rules. For more information on this subject, please visit www.fsma.be/fr/finance-durable© 2020 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and(3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.Past performance is no guarantee of future results. Morningstar stars rank from 1 to 5, with the top ranking being 5 stars. MSCI ESG Fund Ratings are for informational purposes onlyand are subject to the Notice & Disclaimer found at: https://www.msci.com/notice-and-disclaimer; and MSCI Inc’s and MSCI ESG Research LLC’s terms of use at:https://www.msci.com/terms-of-use and additional-terms-of-use-msci-esg-research-llc. Source: BNP Paribas Asset Management as of 30/09/2020.

Bloomberg tickers: EMSR FP, ESRI GY USD CapitalisationBloomberg ticker: EMIS FP EUR CapitalisationBloomberg tickers: EISR FP, EISR GY, EISR IM EUR Distribution

ISIN code: LU1291098314ISIN code: LU1659681230ISIN code: LU1659681313


31

MSCI Emerging SRI S-Series 5% Capped index Key Features

32

Top 10 constituents

Sector over/under weightsMSCI Emerging SRI S-Series 5% Capped index vs MSCI Emerging Markets index

Country over/under weightsMSCI Emerging SRI S-Series 5% Capped index vs MSCI Emerging Markets index

Sector weights


Information Technology

-13,14%Energy -4,08%

Communication Services-1,92%

Utilities -1,05%

Real Estate -1,02%

Materials -0,86%

Industrials 1,15%

Consumer Discretionary 1,45%

Health Care 2,29%


Financials 13,26%

-15% -10% -5% 0% 5% 10% 15%

UNITED STATES -12,45%HONG KONG -9,48%

CHINA -3,62%RUSSIA -1,40%

POLAND -0,38%TURKEY -0,11%MEXICO -0,07%

CHILE 0,07%PHILIPPINES 0,26%UAE 0,75%TAIWAN 1,18%

SOUTH KOREA 1,49%QATAR 1,77%

INDONESIA 2,76%THAILAND 2,84%INDIA 2,97%

BRAZIL 4,44%MALAYSIA 4,64%

SOUTH AFRICA8,14%

-15% -10% -5% 0% 5% 10%



ETF performances

MSCI Emerging SRI S-Series 5% Capped Net Return EUR Index was created in April 2019 with history backfilled to 31 December 2016. * Some calendar performances of the ETF couldstop before the last day of the year as there are no NAV/share calculation. Performances are for general information only and should not be used as a basis for making any specificinvestment, business or commercial decisions. Any economic and market trend, prediction, projection or forecast is not necessarily indicative of the future or likely performance of thefunds. Past performances or achievement is not indicative of current or future performance. Sources: MSCI and BNP Paribas Asset Management as of 30/09/2020.

33

PERFORMANCES NET IN USD 2019 2018 2017 2016

MSCI Emerging SRI S-Series 5% Capped Net Return USD Index 12,70% -10,78% 33,90% 10,01%

MSCI Emerging Markets Net Total Return USD Index 18,42% -14,57% 37,28% 11,19%

DIFFERENCE OF PERFORMANCES -5,72% 3,79% -3,38% -1,18%

PERFORMANCES NET IN USD YTD 30/09/2020 Q2 2020 Q1 2020 1Y 3Y SINCE INCEPTION

30/11/2015

MSCI Emerging SRI S-Series 5% Capped Net Return USD Index -5,58% 19,26% -27,94% 3,24% 4,73% 37,87%

MSCI Emerging Markets Net Total Return USD Index -1,16% 18,08% -23,60% 10,54% 7,43% 49,23%

DIFFERENCE OF PERFORMANCES -4,42% 1,18% -4,34% -7,30% -2,70% -11,36%

PERFORMANCES NET IN USD YTD 30/09/2020 2019 2018 2017

BNP Paribas Easy MSCI Emerging SRI S-Series 5% Capped UCITS ETF* -5,92% 12,54% -10% 31.60%

MSCI Emerging SRI S-series 5% Capped NTR index (September 16th 2019 - Present)MSCI Emerging SRI NTR index (2017 - September 16th 2019) -5,58% 13,51% -9,22% 33,01%

Tracking Difference -0.34% -0,97% -0,78% -1,41%

BNP PARIBAS EASY MSCI USA SRI S-SERIES 5% CAPPED UCITS ETF

34

BNP Paribas Easy MSCI USA SRI S-Series 5% Capped UCITS ETF

BenchmarkMSCI USA SRI S-Series 5% Capped indexBloomberg ticker: M7CXUSC Index


AUM: 2.03 B€ as of 30/09/2020

Listing places: Euronext Paris for LU1659681669, LU1291103338 and LU1659681586Xetra for LU1659681669, LU1291103338 Borsa Italiana for LU1659681669

Replication method: PhysicalNo security lending, in accordance with the ProspectusCurrency: $NAV frequency: DailyRebalancing: QuarterlySRRI*: 6 (scale of 1 to 7) for the USD share class (6 for the EUR share class)Entry / Exit Fees**: 0% OCR***: 30 bpsTracking Error****: 0.28%

Settings

Share Class



Bloomberg tickers: EKLD FP, EKLD GY USD CapitalisationBloomberg ticker: EKLDC FP EUR CapitalisationBloomberg tickers: EKUS FP, EKUS GY, EKUS IM EUR Distribution

ISIN code: LU1291103338ISIN code: LU1659681586ISIN code: LU1659681669


35

MSCI USA SRI S-Series 5% Capped index Key Features

36

Top 10 constituents

Sector over/under weightsMSCI USA SRI S-Series 5% Capped index vs MSCI USA index

Sector weights



Communication Services -5,97%Utilities -2%

Energy -1,45%

Materials 1,16%

Financials 2,05%

Real Estate 2,08%

Health Care 2,92%

Industrials 3,29%

Consumer Discretionary 5%

Consumer Staples5,05%

-14% -9% -4% 1% 6%



ETF performances

MSCI USA SRI S-Series 5% Capped Net Return EUR Index was created in April 2019 with history backfilled to 31 December 2016. * Some calendar performances of the ETF could stopbefore the last day of the year as there are no NAV/share calculation. Performances are for general information only and should not be used as a basis for making any specific investment,business or commercial decisions. Any economic and market trend, prediction, projection or forecast is not necessarily indicative of the future or likely performance of the funds. Pastperformances or achievement is not indicative of current or future performance. Sources: MSCI and BNP Paribas Asset Management as of 30/09/2020.

37

PERFORMANCES NET IN USD YTD30/09/2020 2019 2018 2017 2016

BNP Paribas Easy MSCI USA SRI S-Series 5% Capped UCITS ETF* 15,38% 30.54% -4.41% 20.61% 9.88%

MSCI USA SRI S-series 5% Capped NTR index (September 16th 2019 - Present)MSCI KLD 400 Social NTR index (2016 - September 16th 2019) 14,97% 30.91% -4.02% 20.92% 10.22%

Tracking Difference 0.41% -0.37% -0.39% -0.31% -0.34%

PERFORMANCES NET IN USD YTD 30/09/2020 Q2 2020 Q1 2020 1Y 3Y

SINCE INCEPTION 30/11/2015

MSCI USA SRI S-Series 5% Capped Net Return USD Index 14,97% 22,62% -17,03% 25,31% 54,39% 97,44%

MSCI USA Net Total Return USD Index 6,83% 21,58% -19,77% 16,41% 41,25% 75,33%



MSCI USA SRI S-Series 5% Capped Net Return USD Index 31,91% -5,27% 22,75% 13,19%

MSCI USA Net Total Return USD Index 30,88% -5,04% 21,19% 10,89%

DIFFERENCE OF PERFORMANCES 1,03% -0,23% 1,56% 2,30%

BNP PARIBAS EASY MSCI WORLD SRI S-SERIES 5% CAPPED UCITS ETF

38

BNP Paribas Easy MSCI World SRI S-Series 5% Capped UCITS ETF

BenchmarkMSCI World SRI S-Series 5% Capped indexBloomberg ticker: M1CXWSC Index


AUM: 288 M€ as of 30/09/2020

Listing places: Euronext Paris for LU1291108642 and LU1615092217Xetra for LU1291108642 and LU1615092217Borsa Italiana for LU1615092217

Replication method: PhysicalNo security lending, in accordance with the ProspectusCurrency: $NAV frequency: DailyRebalancing: QuarterlySRRI*: 6 (scale of 1 to 7)Entry / Exit Fees**: 0% OCR***: 25 bpsTracking Error****: 0.32%

Settings



Share Class

Bloomberg tickers: EWRD FP, EWRD GY USD CapitalisationBloomberg tickers: EMWE FP, EMWE GY, EMWE IM EUR Capitalisation



39

MSCI World SRI S-Series 5% Capped index Key Features

40

Top 10 constituents

Sector over/under weightsMSCI World SRI S-Series 5% Capped index vs MSCI World index

Sector weights


Country over/under weightsMSCI World SRI S-Series 5% Capped index vs MSCI World index

Information Technology

-5,75%

Communication Services -3,77%

Energy -1,90%

Utilities -1,77%

Materials 0,99%

Real Estate 1,10%

Health Care 1,27%

Financials 1,97%

Industrials 2,18%

Consumer Discretionary 2,44%

Consumer Staples3,24%

-7% -6% -5% -4% -3% -2% -1% 0% 1% 2% 3% 4%

UNITED STATES-6,36%

SWITZERLAND -1,49%UK -0,60%

SPAIN -0,37%SWEDEN -0,23%

ITALY -0,17%HONG KONG -0,09%

PORTUGAL -0,01%AUSTRIA 0,04%SINGAPORE 0,05%FINLAND 0,05%BELGIUM 0,08%NORWAY 0,09%NEW ZEALAND 0,18%IRELAND 0,25%AUSTRALIA 0,28%

FRANCE 0,80%CANADA 1,01%

NETHERLANDS 1,34%DENMARK 1,64%

JAPAN 1,77%GERMANY 1,82%

-7% -6% -5% -4% -3% -2% -1% 0% 1% 2% 3%



ETF performances

MSCI World SRI S-Series 5% Capped Net Return EUR Index was created in April 2019 with history backfilled to 31 December 2016. * Some calendar performances of the ETF could stopbefore the last day of the year as there are no NAV/share calculation. Performances are for general information only and should not be used as a basis for making any specific investment,business or commercial decisions. Any economic and market trend, prediction, projection or forecast is not necessarily indicative of the future or likely performance of the funds. Pastperformances or achievement is not indicative of current or future performance. Sources: MSCI and BNP Paribas Asset Management as of 30/09/2020.

41

PERFORMANCES NET IN USD YTD 30/09/2020 2019 2018 2017 2016 2015

BNP Paribas Easy MSCI World SRI S-Series 5% Capped UCITS ETF* 9,65% 27.52% -9,18% 21.81% 6.53% -0.80%

MSCI World SRI S-series 5% Capped NTR index (September 16th 2019 - Present)MSCI World ex Controversial Weapons NTR index (2016 - September 16th 2019) 9,05% 28.40% -8,90% 22.39% 6.61% -0.77%

Tracking Difference 0.60% -0,88% -0,28% -0,58% -0.08% -0.03%

PERFORMANCES NET IN USD YTD 30/09/2020 Q2 2020 Q1 2020 1Y 3Y SINCE INCEPTION

30/11/2015

MSCI World SRI S-Series 5% Capped Net Return USD Index 9,05% 20,22% -17,80% 18,96% 37,96% 70,73%

MSCI World Net Total Return USD Index 1,70% 19,36% -21,05% 10,41% 25,06% 53,24%



MSCI World SRI S-Series 5% Capped Net Return USD Index 29,78% -8,28% 24,46% 6,71%

MSCI World Net Total Return USD Index 27,67% -8,71% 22,40% 7,51%

DIFFERENCE OF PERFORMANCES 2,11% 0,43% 2,06% -0,80%

42

Investment risks Interest rate risk: The value of an investment may be affected by interest rate fluctuations. Interest rates may be influenced by several

elements or events, such as monetary policy, the discount rate, inflation, etc.

Credit risk: This is the risk that may derive from the rating downgrade of a bond issuer to which the sub funds are exposed, which maytherefore cause the value of the investments to go down. Sub funds investing in high-yield bonds present a higher than average risk dueto the greater fluctuation of their currency or the quality of the issuer.

Counterparty risk: This risk relates to the quality of the counterparty with whom the management company does business, in particularfor the settlement/delivery of financial instruments or the conclusion of financial forward contracts. The risk reflects the counterparty’sability to honour its commitments (payment, delivery, repayment, etc.).

Liquidity risk: There is a risk that investments made in the sub funds may become illiquid due to an over-restricted market (oftenreflected by a very broad bid-ask spread or by substantial price movements), or if their “rating” declines or their economic situationdeteriorates.

Derivatives risk: the use of derivatives by the funds includes various risks. Those risks are (without limitation), the lack of secondarymarket liquidity under circumstances, valuation risks, the lack of standardization and regulation, the risk of leverage, the risk ofcounterparty.

Risk linked to equity markets: the risks associated with investments in equities (and similar instruments) include significantfluctuations in prices, negative information about the issuer or market and the subordination of a company’s equities to its bonds. Thevalue of investments and the income they generate may go down as well as up and it is possible that investors will not recover theirinitial outlay.

For a complete description and definition of risks, please consult the last available prospectus and KIIDs of the funds.

ANNEXES- METHODOLOGY- NUMBER OF CONSTITUENTS PER INDEX- VALUE BASED SCREENS- TIMELINE SCREEN ADJUSTMENT- MSCI RATING- MSCI CONTROVERSIES SCORE

6

43

MSCI regional SRI S-Series 5% Capped index - Methodology

44

MSCI regional parent index

Value-based exclusionsActivities classified under “Zero tolerance”:

Controversial Weapons - Conventional Oil & Gas extraction--------------------------------------------

Activities classified under “Minimal tolerance”: Civilian Firearms - Nuclear Weapons - Tobacco

-------------------------------------------Activities classified under “Low tolerance”:

Alcohol - Adult Entertainment - Conventional Weapons - GamblingGenetically Modified Organisms (GMO)

--------------------------------------------Other activities:

Oil & Gas based power generation - Nuclear power - Thermal coal mining Thermal coal based power generation - Unconventional Oil & Gas extraction

Best-in-class ranking and selection Selection of companies with the highest ESG ratings

Minimum MSCI ESG rating ≥ A (current constituents ≥ BB)Minimum MSCI Controversies Score ≥ 4 (current constituents ≥ 1)

Target sector representation: 25% of the free float-adjusted market capitalization

within each Global Industry Classification Standard (GICS) sector of the MSCI regional parent index sector

MSCI regional SRI S-Series index

MSCI regional SRI S-Series 5% Capped index

5% cap for all constituents


The MSCI SRI S-Series indexes use company ratings and research provided by MSCI ESG Research to determine eligibility for index inclusion.

Annual index reviews in May:- Parent index changes- Eligibility review- Best-in-class selection

Quarterly index reviews in February,August and November:- Parent index changes- Eligibility review- Additions from the eligible securities are

made only to those sectors where thecurrent market capitalization coverage isless than 22.5%, until the 25% target isreached.

Methodology enhancementEffective date: 1 September 2020

MSCI Emerging SRI S-Series 5% Capped index:- cap of 15% by country

MSCI World SRI S-Series 5% Capped index & MSCI USASRI S-Series 5% Capped index: additional screening to becompliant with the BNPP AM policies:

- exclusion of companies deriving equal to or morethan 30% of their revenues from oil and gas pipelinesand transportation.- exclusion of companies deriving equal to or morethan 30% of their revenues from the trading of oil andgas and related products.

Number of constituents per index

45


MSCI Europe & Middle East index 448

MSCI Europe SRI S-Series 5% Capped index 115

MSCI Europe Small Cap index 944

MSCI Europe Small Caps SRI S-Series 5% Capped index 200

MSCI EMU index 247

MSCI EMU SRI S-Series 5% Capped index 60

MSCI Pacific index 454

MSCI Japan SRI S-Series 5% Capped index 67

MSCI Emerging Markets index 1 387

MSCI Emerging SRI S-Series 5% Capped index 173

MSCI USA index 619

MSCI USA SRI S-Series 5% Capped index 131

MSCI World index 1 607

MSCI World SRI S-Series 5% Capped index 374

Value based screens: this framework defines significant involvement in controversial activities according to three levels of tolerance

Activities classified under “Zero tolerance” :- Controversial Weapons: all companies with any tie to Controversial Weapons (cluster munitions, landmines, depleted uranium weapons,

biological/chemical weapons, blinding lasers, non-detectable fragments and incendiary weapons).- Conventional Oil & Gas Extraction: all companies deriving more than 0% revenue (either reported or estimated) from conventional oil and gas

production. It includes revenue from the production of deepwater shallow water, and other onshore/offshore oil and gas. It excludes revenue from unconventional oil and gas production (oil sands, shale oil, shale gas) and onshore/offshore oil and gas production in the Arctic region.

Activities classified under “Minimal tolerance”Civilian Firearms- all companies classified as “Producer” of firearms and small arms ammunitions for civilian markets. It does not include companies that cater to the military,

government, and law enforcement markets;- all companies deriving 5% or more revenue from the production and distribution (wholesale or retail) of firearms or small arms ammunition intended for

civilian use.Nuclear Weapons- all companies that manufacture nuclear warheads and/or whole nuclear missiles;- all companies that manufacture components that were developed or are significantly modified for exclusive use in nuclear weapons (warheads and

missiles);- all companies that manufacture or assemble delivery platforms that were developed or significantly modified for the exclusive delivery of nuclear weapons;- all companies that provide auxiliary services related to nuclear weapons;- all companies that manufacture components that were not developed or not significantly modified for exclusive use in nuclear weapons (warheads and

missiles)- all companies that manufacture or assemble delivery platforms that were not developed or not significantly modified for the exclusive delivery of nuclear

weapons;- all companies that manufacture components for nuclear-exclusive delivery platforms.Tobacco- all companies classified as a “Producer”;- all companies deriving 5% or more aggregate revenue from the production, distribution, retail and supply of tobacco-related products.

MSCI SRI S-Series 5% Capped index MethodologyValue based screens (I)

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Sources: MSCI and BNP Paribas Asset Management as of 30/09/2020.

Zero tolerance Minimal tolerance Low tolerance

Unacceptable involvement Any tie - Primary involvement >0% revenu- Secondary involvement =>5% revenue

- Primary involvement >5% revenu- Secondary involvement =>15% revenue


Activities classified under “Low tolerance” :Alcohol- all companies deriving 5% or more revenue from the production of alcohol-related products;- all companies deriving 15% or more aggregate revenue from the production, distribution, retail and supply of alcohol-related products.Adult Entertainment- all companies deriving 5% or more revenue from the production of adult entertainment materials;- all companies deriving 15% or more aggregate revenue from the production, distribution and retail of adult entertainment materials.Conventional Weapons- all companies deriving 5% or more revenue from the production of conventional weapons and components- all companies deriving 15% or more aggregate revenue from weapons systems, components, and support systems and services.Gambling- all companies deriving 5% or more revenue from ownership of operation of gambling-related business activities;- all companies deriving 15% or more aggregate revenue from gambling-related business activities.Genetically Modified Organisms (GMO)- all companies deriving 5% or more revenue from activities like genetically modifying plants, such as seeds and crops, and other organisms

intended for agricultural use or human consumption.

MSCI SRI S-Series 5% Capped index MethodologyValue based screens (II)

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Activities with other tolerance levels:Unconventional Oil & Gas Extraction: all companies deriving more than 10% revenue (either reported or estimated) from unconventional oil andgas production. It includes revenue from the production of oil sands, oil shale (kerogen-rich deposits), shale gas, shale oil, coal seam gas, and coalbed methane, as well as revenue from onshore or offshore oil and gas production in the Arctic region. It excludes revenue from conventional oil andgas production including deepwater, shallow water, and other onshore/offshore oil and gas.

Thermal Coal-based Power Generation- all companies generating more than 10% of their total electricity from thermal coal in a given year- all companies that have more than 10% of installed capacity attributed to thermal coal in a given year- all companies deriving more than 10% revenue (either reported or estimated) from thermal coal-based power generation

Thermal Coal Mining: all companies deriving more than 10% revenue (either reported or estimated) from the mining of thermal coal (includinglignite, bituminous, anthracite and steam coal) and its sale to external parties. It excludes: revenue from metallurgical coal; coal mined for internalpower generation (e.g. in the case of vertically integrated power producers); intra-company sales of mined thermal coal; and revenue from coaltrading.

Oil & Gas-based Power Generation- all companies generating more than 30% of their total electricity from liquid fuel and natural gas in a given year- all companies that have more than 30% of installed capacity attributed to liquid fuel and natural gas in a given year- all companies deriving more than 30% revenue (either reported or estimated) from liquid fuel- and natural gas-based power generation

Nuclear Power- all companies generating more than 30% of their total electricity from nuclear power in a given year- all companies that have more than 30% of installed capacity attributed to nuclear sources in a given fiscal year - all companies deriving more than 30% revenue (either reported or estimated) from ownership or operation of nuclear power plants

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MSCI SRI S-Series 5% Capped index MethodologyValue based screens (III)

The below screens will be adjusted between 2020 and 2025 to reflect the adoption of stricter thresholds over time. The changes will beimplemented at the November Index Review of the preceding year, so that the indexes reflect the thresholds for the relevant calendar year.

Tobacco

Thermal coal mining p

Thermal Coal-based Power Generation

Unconventional Oil & Gas Extraction

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2019 to 2024 2025 onwards

All companies classified as a “Producer”.All companies deriving 5% or more aggregate revenue from the production, distribution, retail and supply of tobacco-related products.

All companies that have an industry tie to tobacco products through the distributor, licensor, retailer, supplier, or ownership categories.

MSCI SRI S-Series 5% Capped index MethodologyTimeline of screen adjustment

2019 to 2021 2022 to 2024 2025 onwards

All companies deriving more than 10% revenue (either reported or estimated) from the mining of thermal coal (including lignite, bituminous, anthracite and steam coal) and its sale to external parties.



2019 to 2024 2025 onwards

All companies generating more than 10% of their total electricity from thermal coal in a given year; All companies that have more than 10% of installed capacity attributed to thermal coal in a given year; All companies deriving more than 10% revenue (either reported or estimated) from thermal coal-based power generation.

All companies generating more than 0% of their total electricity from thermal coal in a given year; All companies that have more than 0% of installed capacity attributed to thermal coal in a given year; All companies deriving more than 0% revenue (either reported or estimated) from thermal coal-based power generation.

2019 to 2021 2022 to 2024 2025 onwards

All companies deriving more than 10% revenue (either reported or estimated) from unconventional oil and gas production.



MSCI ESG Rating

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MSCI ESG Ratings helps investors identify Environmental, Social and Governance (ESG) risks and opportunities within their portfolio. Theyresearch and rate companies on a ‘AAA‘ to ‘CCC’ scale according to their exposure to industry specific ESG risks and their ability to managethose risks relative to peers. ESG rating of 6,500 companies (13,000 total issuers, including subsidiaries) and more than 590,000 equity securities.

Step 1: ESG Rating – ESG category – ESG Rating Score Step 2: ESG Rating Trend Score shows the ESG rating changefrom prior to current: it is expressed as the number of levelsbetween the current rating and the previous rating. The ratingtrend is positive for a ratings upgrade, negative for ratingsdowngrade and zero for no change in the rating..

*Definition:- Upgrade: company’s latest ESG Rating has

increased by at least one level compared to previousassessment

- Neutral: company’s latest ESG Rating has stayedthe same as its ESG Rating from previousassessment or MSCI ESG Research has initiatedcoverage on the company

- Downgrade: company’s latest ESG Rating hasdecreased by at least one level compared to itsprevious assessment.

MSCI ESG Controversies Score

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In case of very severe controversies,with an ESG controversy score of 0(examples: Volkswagen, Equifax,Royal Dutch Shell), it will not bedeleted immediately from the MSCISRI S-Series indexes but at thesubsequent quarterly index review.

MSCI ESG Controversies Score falls on a 0-10 scale, with “0” being the most severe controversy, also known as “redflag” companies.

Contacts

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Sales TeamIsabelle BourcierHead of Quantitative & [email protected]+33 1 58 97 21 85

Maude RivierreProduct Specialist ETF & Index Solutions [email protected]+33 1 58 97 80 03

Product Specialist

Hubert HeuclinCapital Market ETF & Index Solutions [email protected]+33 1 58 97 77 00

Capital Markets

ManagementLorraine Sereyjol-GarrosGlobal Head of [email protected]+33 1 58 97 79 57

Sabrina PrincipiHead of Business DevelopmentItaly, Spain and Italian-speaking [email protected]+390 272 475 118

Claus HecherHead of Business DevelopmentGermany, Austria and German-speaking [email protected]+49 89 71040 7522

Olivier Rudez, Martha Sèle & Victor VolardSales ManagerFrance and French-speaking [email protected] / +33 1 58 97 23 [email protected] / +33 1 58 97 77 [email protected] / +33 1 58 97 13 79

Chiara SolazzoSales ManagerItaly, Spain and Italian-speaking [email protected] +390 272 475 116

Katharina Nickel & Florian SchoepsSales ManagerGermany, Austria and German-speaking [email protected] / +49 69 707998 [email protected] / +49 89 7104075 18

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DisclaimersBNP Paribas Asset Management France, “the investment management company,” is a simplified joint stock company with its registered office at 1 boulevard

Haussmann 75009 Paris, France, RCS Paris 319 378 832, registered with the “Autorité des Marchés Financiers” under number GP 96002.

This material is issued and has been prepared by the investment management company.

This material is produced for information purposes only and does not constitute:

1. an offer to buy nor a solicitation to sell, nor shall it form the basis of or be relied upon in connection with any contract or commitment whatsoever or

2. investment advice.

This material makes reference to certain financial instruments authorised and regulated in their jurisdiction(s) of incorporation.

No action has been taken which would permit the public offering of the financial instrument(s) in any other jurisdiction, except as indicated in the most recent

prospectus and the Key Investor Information Document (KIID) of the relevant financial instrument(s) where such action would be required, in particular, in the United

States, to US persons (as such term is defined in Regulation S of the United States Securities Act of 1933). Prior to any subscription in a country in which such

financial instrument(s) is/are registered, investors should verify any legal constraints or restrictions there may be in connection with the subscription, purchase,

possession or sale of the financial instrument(s).

Investors considering subscribing to the financial instrument(s) should read carefully the most recent prospectus and Key Investor Information Document (KIID) and

consult the financial instrument(s’) most recent financial reports. These documents are available on the website.

Opinions included in this material constitute the judgement of the investment management company at the time specified and may be subject to change without notice.

The investment management company is not obliged to update or alter the information or opinions contained within this material. Investors should consult their own

legal and tax advisors in respect of legal, accounting, domicile and tax advice prior to investing in the financial instrument(s) in order to make an independent

determination of the suitability and consequences of an investment therein, if permitted. Please note that different types of investments, if contained within this material,

involve varying degrees of risk and there can be no assurance that any specific investment may either be suitable, appropriate or profitable for an investor’s investment

portfolio. Given the economic and market risks, there can be no assurance that the financial instrument(s) will achieve its/their investment objectives. Returns may be

affected by, amongst other things, investment strategies or objectives of the financial instrument(s) and material market and economic conditions, including interest

rates, market terms and general market conditions. The different strategies applied to financial instruments may have a significant effect on the results presented in this

material. Past performance is not a guide to future performance and the value of the investments in financial instrument(s) may go down as well as up. Investors may

not get back the amount they originally invested.

The performance data, as applicable, reflected in this material, do not take into account the commissions, costs incurred on the issue and redemption and taxes.

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Index/Data Provider Disclaimers

MSCI, as index provider

The funds or securities referred to herein are not sponsored, endorsed, issued, sold or promoted by MSCI, and MSCI bears no liability with respect to

any such funds or securities or any index on which such funds or securities are based. The Prospectus contains a more detailed description of the

limited relationship MSCI has with BNP Paribas Asset Management and any related funds.

https://www.msci.com/

Morningstar

© 2020 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may

not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible

for any damages or losses arising from any use of this information. Past performance is no guarantee of future results. Morningstar stars rank from 1 to

5, with the top ranking being 5 stars. The Morningstar Sustainability Rating for Funds provides a reliable, objective way to evaluate how investments

are meeting environmental, social, and governance challenges. Based on their portfolio ESG scores and controversy scores, funds are assigned

absolute category ranks, percent ranks, normally distributed ordinal scores, and descriptive ranks within their Morningstar categories.

https://www.morningstar.com/

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