SICAVBNP PARIBAS A FUND Information Page 4 BNP PARIBAS A FUND is an open-ended investment company...

BNP PARIBAS A FUND SICAV

Semi-Annual Report

at 30/09/2019

R.C.S. Luxembourg B 145 536

BNP PARIBAS A FUND

Table of contents

Page

Page 1

Organisation 2

Information 4

Financial statements at 30/09/2019 5

Key figures relating to the last 3 years 6

Securities portfolio at 30/09/2019

Dynamic Portfolio 7

European Multi-Asset Income 8

Notes to the financial statements 24

No subscription can be received on the basis of the financial statements alone. Subscriptions are only valid if made on the basis of the

current prospectus, accompanied by the latest annual report and the most recent semi-annual report, if published thereafter.

BNP PARIBAS A FUND

Organisation

Page 2

Registered office

10 Rue Edward Steichen, L-2540 Luxembourg, Grand Duchy of Luxembourg

Board of Directors

Chairman

Mr. Samir CHERFAOUI, Head of Product Development, Products and Strategic Marketing, BNP PARIBAS

ASSET MANAGEMENT France, Paris

Members

Ms. Claire COLLET-LAMBERT, Head of Legal, BNP PARIBAS ASSET MANAGEMENT Luxembourg,

Luxembourg

Mr. Pierre MOULIN, Global Head of Products and Strategic Marketing, BNP PARIBAS ASSET MANAGEMENT

France, Paris

Mr. Bruno PIFFETEAU, Head of Global Client Service, BNP PARIBAS ASSET MANAGEMENT France, Paris

Management Company

BNP PARIBAS ASSET MANAGEMENT Luxembourg, 10 Rue Edward Steichen, L-2540 Luxembourg,

Grand Duchy of Luxembourg

BNP PARIBAS ASSET MANAGEMENT Luxembourg is a Management Company as defined by Chapter 15 of the

Luxembourg Law of 17 December 2010 concerning undertakings for collective investment, as amended.

In this capacity, the Management Company performs the administration, portfolio management and marketing duties.

The functions of net asset value calculation, transfer and registrar agent are delegated to:

BNP Paribas Securities Services, Luxembourg Branch, 60 Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of

Luxembourg

Portfolio management is delegated to:

Effective Investment Managers

BNP Paribas Group management entities:

BNP PARIBAS ASSET MANAGEMENT Asia Ltd., 17/F, Lincoln House, Taikoo Place, 979 King’s Road, Quarry

Bay, Hong Kong

BNP PARIBAS ASSET MANAGEMENT UK Ltd., 5 Aldermanbury Square, London EC2V 7BP, United Kingdom

Sub-Investment Managers:

BNP PARIBAS ASSET MANAGEMENT France, 1 Boulevard Haussmann, F-75009 Paris, France

BNP PARIBAS ASSET MANAGEMENT UK Ltd., 5 Aldermanbury Square, London EC2V 7BP, United Kingdom

BNP PARIBAS ASSET MANAGEMENT Nederland N.V., Herengracht 595, PO box 71770, NL-1008 DG

Amsterdam, The Netherlands

Alfred Berg Kapitalförvaltning AB, Nybrokajen 5, SE-10725 Stockholm, Sweden

The Company may also seek advice from the following investment advisor:

FundQuest Advisor, 1 Boulevard Haussmann, F-75009 Paris, France

Advisor for the selection of target funds in the “Dynamic Portfolio” sub-fund.

BNP PARIBAS A FUND

Organisation

Page 3

Depositary

BNP Paribas Securities Services, Luxembourg Branch, 60 Avenue J.F. Kennedy L-1855 Luxembourg,

Grand Duchy of Luxembourg

Auditor

PricewaterhouseCoopers, Société coopérative, 2 Rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg, Grand Duchy

of Luxembourg

BNP PARIBAS A FUND

Information

Page 4

BNP PARIBAS A FUND is an open-ended investment company (Société d’Investissement à Capital

Variable - abbreviated to SICAV), incorporated under Luxembourg law on 31 March 2009 under the name of

“ALFRED BERG” for an indefinite period. The name was changed to “BNP PARIBAS A FUND” by an extraordinary

general meeting of shareholders on 25 September 2013.

The Company is currently governed by the provisions of Part I of the Law of 17 December 2010, as amended,

governing Undertakings for Collective Investment as well as by the European Council Directive 2009/65/EC

(UCITS IV), as amended by the Directive 2014/91/EC (UCITS V).

The Articles of Association of the Company have been filed with the clerk of the Trade and Companies Registrar of

Luxembourg, where any interested person may examine them or obtain a copy. They were last modified on

25 April 2016, published in the “Mémorial” on 8 July 2016.

The Company is registered with the Luxembourg Trade Register under the number B 145 536.

For each day of the week on which banks are open for business in Luxembourg (a “Valuation Day”), there is a

corresponding NAV which is dated the same day, unless 50% or more of the underlying assets cannot be valued.

As to Net Asset Values and Dividends, the Company publishes the legally required information in the Grand Duchy of

Luxembourg and in all other countries where the shares are publicly offered.

This information is also available on the website www.bnpparibas-am.com.

The Articles of Association, the Prospectus, the KIID and periodic reports may be consulted at the Company’s

registered office and at the establishments responsible for the Company’s financial service. Copies of the Articles of

Association and the annual and interim reports are available upon request.

Except for the newspaper publications required by Law, the official media going forward to obtain any notice to

shareholders will be our website www.bnpparibas-am.com.

The Documents and information are also available on the website: www.bnpparibas-am.com.

BNP PARIBAS A FUND

Financial statements at 30/09/2019

The accompanying notes form an integral part of these financial statements

Page 5

Dynamic Portfolio European Multi-Asset

Income Consolidated

Expressed in USD EUR EUR

Notes Statement of net assets

Assets 19 795 900 411 856 489 433 437 979 Securities portfolio at cost price 16 380 793 390 372 532 408 230 873 Unrealised gain/(loss) on securities portfolio 1 044 577 11 365 392 12 504 190

Securities portfolio at market value 2 17 425 370 401 737 924 420 735 063 Options at market value 2,12 0 165 585 165 585 Net Unrealised gain on financial instruments 2,9,10,11 0 435 019 435 019 Cash at banks and time deposits 2 340 740 2 295 159 4 847 034 Other assets 29 790 7 222 802 7 255 278

Liabilities 146 566 6 021 326 6 181 112

Other liabilities 146 566 6 021 326 6 181 112

Net asset value 19 649 334 405 835 163 427 256 867

Statement of operations and changes in net assets

Income on investments and assets 61 932 10 642 562 10 710 080 Management fees 3 122 003 2 419 002 2 552 010 Bank interest 67 11 963 12 036 Interest on swaps 0 22 213 22 213 Other fees 4 20 334 760 002 782 170 Taxes 5 2 770 120 453 123 473 Transaction fees 15 883 184 706 185 669

Total expenses 146 057 3 518 339 3 677 571

Net result from investments (84 125) 7 124 223 7 032 509

Net realised result on: Investments securities 2 211 222 (368 034) (137 760) Financial instruments 2 (1 427) 3 669 483 3 667 929

Net realised result 125 670 10 425 672 10 562 678

Movement on net unrealised gain/(loss) on:

Investments securities 608 796 9 794 190 10 457 899 Financial instruments 0 789 735 789 735

Change in net assets due to operations 734 466 21 009 597 21 810 312

Net subscriptions/(redemptions) (1 262 442) (95 038 960) (96 415 274) Dividends paid 6 0 (6 469 627) (6 469 627)

Increase/(Decrease) in net assets during the

year/period (527 976) (80 498 990) (81 074 589)

Net assets at the beginning of the financial

year/period 20 177 310 486 334 153 508 990 246

Reevaluation of opening consolidated NAV 0 0 (658 790)

Net assets at the end of the financial

year/period 19 649 334 405 835 163 427 256 867

BNP PARIBAS A FUND

Key figures relating to the last 3 years (Note 7)


Page 6

Dynamic Portfolio USD USD USD Number of shares

31/03/2018 31/03/2019 30/09/2019 30/09/2019

Net assets 23 511 602 20 177 310 19 649 334

Net asset value per share Share “Classic - Capitalisation” 101.47 103.00 106.80 183 981.450 Share “Classic HKD - Capitalisation” 101.98 104.42 0 0

European Multi-Asset Income EUR EUR EUR Number of shares

31/03/2018 31/03/2019 30/09/2019 30/09/2019

Net assets 699 934 603 486 334 153 405 835 163

Net asset value per share Share “Classic - Capitalisation” 109.59 110.40 114.99 1 047 292.661

Share “Classic MD - Distribution” 91.47 87.81 89.44 1 761 263.095 Share “Classic RH AUD - Capitalisation” 115.07 118.77 124.88 5 395.367

Share “Classic RH AUD MD - Distribution” 92.98 89.59 91.07 207 290.271

Share “Classic RH CAD MD - Distribution” 91.65 87.86 89.10 36 720.334 Share “Classic RH CNH MD - Distribution” 94.29 89.35 90.23 60 707.137

Share “Classic RH HKD - Capitalisation” 109.84 112.82 118.97 2 340.000 Share “Classic RH HKD MD - Distribution” 91.41 87.97 89.57 314 303.141

Share “Classic RH SGD - Capitalisation” 113.55 116.71 122.92 17 656.500

Share “Classic RH SGD MD - Distribution” 93.92 90.52 92.36 121 264.213 Share “Classic RH USD - Capitalisation” 112.62 116.81 123.47 108 601.393

Share “Classic RH USD MD - Distribution” 92.51 89.60 91.26 423 389.143

Share “I - Capitalisation” 99.82 101.40 106.06 2 478.831 Share “I RH USD - Capitalisation” 105.78 110.47 117.09 2 345.377

Share “I RH USD MD - Distribution” 93.57 91.21 93.29 81 893.235

Share “Privilege - Capitalisation” 110.69 112.30 117.39 42 272.171 Share “Privilege MD - Distribution” 99.96 96.70 98.81 151.000

Share “Privilege RH USD - Capitalisation” 113.49 118.47 125.72 300.000

Share “Privilege RH USD MD - Distribution” 100.70 98.10 100.29 13 025.016 Share “X - Capitalisation” 114.88 117.30 123.01 318 307.256

BNP PARIBAS A FUND Dynamic Portfolio

Securities portfolio at 30/09/2019 Expressed in USD


Page 7

Quantity Denomination Quotation currency Market value % of net

assets

Shares/Units in investment funds 17 425 370 88.68

Luxembourg 12 239 820 62.29 104.29 ABERDEEN GLOBAL LATIN AM EQ-A2 USD 403 130 2.05

22 237.85 ABERDEEN GLOBAL SOVEREIGN H/Y A2 C USD 1 046 898 5.33

10 710.46 BGF GLOBAL ALLOCATION FD - USD A2 USD 615 959 3.13

218 930.00 BGF GLOBAL CORP BOND - USD A2 USD 3 242 352 16.51

36 327.14 BGF USD HIGH YIELD BOND - USD A2 USD 1 262 005 6.42

7 606.00 FIDELITY FUNDS PACIFIC FD CAT A USD 270 165 1.37

56 467.02 INVESCO PAN EUR STR EQ-AAUH USD 785 456 4.00

20 820.00 INVESTEC GS GLOBAL GOLD-A USD 1 234 834 6.28

12 010.00 JANUS HENDERSON HORIZON PAN EUROPRAN PROPERTY EQUITIES FUND -

A2 HUSD USD 443 890 2.26

117 032.72 JP MORGAN FUNDS ASIA PACIFIC INCOME - A USD USD 2 629 725 13.39

14 883.31 JUPITER GLOBAL FUND EUROPEAN GROWTH - L USD HSC ACC USD 305 406 1.55

Ireland 5 185 550 26.39 79.98 FIDELITY USD FUND - A ACC USD 1 437 822 7.32

9 522.17 ICS-INS USD LIQ-CORE-ACC USD 1 443 866 7.35

7 815.00 ISHARES CORE S&P 500 UCITS ETF USD 2 303 862 11.72

Total securities portfolio 17 425 370 88.68

BNP PARIBAS A FUND European Multi-Asset Income

Securities portfolio at 30/09/2019 Expressed in EUR


Page 8


assets

Transferable securities admitted to an official stock exchange listing and/or traded

on another regulated market 370 497 456 91.32

Shares 215 356 299 52.84

United Kingdom 44 044 321 10.79 29 707 3I GROUP PLC GBP 391 695 0.10

24 156 ADMIRAL GROUP PLC GBP 578 302 0.14

52 365 AGGREKO PLC GBP 491 747 0.12

73 842 AVIVA PLC GBP 333 278 0.08

82 103 BAE SYSTEMS PLC GBP 528 978 0.13

53 972 BARRATT DEVELOPMENTS PLC GBP 395 319 0.10

17 319 BELLWAY PLC GBP 655 017 0.16

42 828 BIG YELLOW GROUP PLC GBP 502 976 0.12

100 334 BP PLC GBP 584 970 0.14

94 928 BRITVIC PLC GBP 1 055 292 0.26

929 263 BT GROUP PLC GBP 1 875 752 0.45

12 646 BUNZL PLC GBP 303 750 0.07

436 110 CAPITAL & COUNTIES PROPERTIE GBP 1 159 411 0.29

3 844 246 CARILLION PLC GBP 43 0.00

10 990 CLINIGEN GROUP PLC GBP 107 329 0.03

7 576 COCA-COLA EUROPEAN PARTNERS USD 385 332 0.09

7 253 COMPASS GROUP PLC GBP 171 590 0.04

6 472 CRODA INTERNATIONAL PLC GBP 355 532 0.09

42 898 DIAGEO PLC GBP 1 616 130 0.40

113 705 DIRECT LINE INSURANCE GROUP PLC GBP 385 828 0.10

271 257 DS SMITH PLC GBP 1 105 019 0.27

118 982 EQUINITI GROUP PLC GBP 291 302 0.07

173 688 GLAXOSMITHKLINE PLC GBP 3 425 071 0.83

278 486 GRAINGER PLC GBP 774 359 0.19

141 164 GREAT PORTLAND ESTATES PLC GBP 1 196 711 0.29

14 926 GREGGS PLC GBP 352 609 0.09

47 574 HOMESERVE SHS GBP 637 762 0.16

54 993 IG GROUP HOLDINGS PLC GBP 374 576 0.09

37 785 IMI PLC GBP 410 096 0.10

21 449 INFORMA PLC GBP 206 562 0.05

25 240 JOHNSON MATTHEY PLC GBP 872 145 0.21

219 615 KINGFISHER PLC GBP 513 353 0.13

155 285 LAND SECURITIES GROUP PLC GBP 1 503 177 0.37

334 397 LEGAL & GENERAL GROUP PLC GBP 938 897 0.23

4 566 LINDE PLC EUR 812 748 0.20

47 624 MARKS & SPENCER GROUP PLC GBP 99 291 0.02

54 669 MEGGITT PLC GBP 392 391 0.10

122 699 MONEYSUPERMARKET.COM GBP 524 803 0.13

94 407 NATIONAL EXPRESS GROUP PLC GBP 462 058 0.11

65 240 NATIONAL GRID PLC GBP 650 335 0.16

67 533 PENNON GROUP PLC GBP 631 285 0.16

14 278 PERSIMMON PLC GBP 350 212 0.09

76 276 PHOENIX GROUP HOLDINGS PLC GBP 596 017 0.15

54 481 PRUDENTIAL PLC GBP 908 325 0.22

17 087 RECKITT BENCKISER GROUP PLC GBP 1 225 273 0.30

17 656 RELX PLC GBP 385 670 0.10

44 356 RIO TINTO PLC GBP 2 110 257 0.51

260 483 SAINSBURY (J) PLC GBP 647 159 0.16

12 050 SCHRODERS PLC GBP 418 828 0.10

230 270 SEGRO PLC GBP 2 110 353 0.51

37 083 SEVERN TRENT PLC GBP 907 479 0.22

73 188 SMITHS GROUP PLC GBP 1 298 804 0.32

89 380 SSE PLC GBP 1 258 311 0.31

109 667 STANDARD CHARTERED PLC GBP 848 131 0.21

50 429 TATE & LYLE PLC GBP 419 529 0.10

217 160 TAYLOR WIMPEY PLC GBP 396 421 0.10




Page 9


assets

59 093 UNITE GROUP PLC GBP 729 395 0.18

106 244 UNITED UTILITIES GROUP PLC GBP 991 707 0.24

17 348 WH SMITH PLC GBP 389 629 0.10

Germany 29 705 353 7.26 1 391 ADIDAS AG EUR 397 339 0.10

20 114 ADO PROPERTIES SA EUR 760 309 0.19

2 364 ALLIANZ SE - REG EUR 505 541 0.12

30 104 ALSTRIA OFFICE REIT AG EUR 473 837 0.12

8 127 AXEL SPRINGER SE-TEND EUR 512 001 0.13

9 762 BASF SE EUR 625 939 0.15

13 713 BAYERISCHE MOTOREN WERKE-PRF EUR 698 677 0.17

5 183 BECHTLE AG EUR 483 833 0.12

1 379 BEIERSDORF AG EUR 149 208 0.04

7 553 CANCOM SE EUR 373 874 0.09

5 794 CTS EVENTIM AG + CO KGAA EUR 299 550 0.07

16 989 DAIMLER AG - REG EUR 775 038 0.19

10 482 DEUTSCHE BOERSE AG EUR 1 503 119 0.37

16 127 DEUTSCHE POST AG - REG EUR 494 212 0.12

165 981 DEUTSCHE TELEKOM AG - REG EUR 2 555 112 0.62

100 740 DEUTSCHE WOHNEN AG - BR EUR 3 373 782 0.82

233 610 E.ON SE EUR 2 083 568 0.50

20 718 EVONIK INDUSTRIES AG EUR 469 263 0.12

62 740 FREENET AG EUR 1 185 159 0.29

5 438 FRESENIUS SE & CO KGAA EUR 233 263 0.06

3 181 GERRESHEIMER AG EUR 209 310 0.05

2 571 HANNOVER RUECK SE EUR 398 762 0.10

1 964 HOCHTIEF AG EUR 205 434 0.05

5 422 JUNGHEINRICH - PRFD EUR 107 247 0.03

26 062 LEG IMMOBILIEN AG EUR 2 736 510 0.66

22 165 METRO AG EUR 320 949 0.08

3 948 MUENCHENER RUECKVERSICHERUNG AG - REG EUR 937 255 0.23

3 923 NORMA GROUP SE EUR 124 830 0.03

1 068 SARTORIUS AG - VORZUG EUR 178 783 0.04

4 247 SIEMENS AG - REG EUR 417 268 0.10

6 895 STROEER SE & CO KGAA EUR 481 616 0.12

4 474 SYMRISE AG EUR 398 902 0.10

112 117 VONOVIA SE EUR 5 235 863 1.28

France 28 246 298 6.92 9 176 AIR LIQUIDE SA EUR 1 198 386 0.30

29 046 AXA SA EUR 680 548 0.17

18 817 BOUYGUES SA EUR 691 525 0.17

21 806 CARREFOUR SA EUR 350 204 0.09

4 825 CASINO GUICHARD PERRACHON EUR 211 287 0.05

26 969 CNP ASSURANCES EUR 478 160 0.12

13 567 COMPAGNIE DE SAINT GOBAIN EUR 488 412 0.12

6 388 COVIVIO EUR 620 275 0.15

2 967 DASSAULT SYSTEMES SA EUR 387 935 0.10

11 897 EUTELSAT COMMUNICATIONS EUR 203 141 0.05

6 050 GECINA SA EUR 872 410 0.21

9 257 GETLINK SE EUR 127 561 0.03

592 HERMES INTERNATIONAL EUR 375 328 0.09

32 384 ICADE EUR 2 657 107 0.64

167 520 KLEPIERRE EUR 5 219 922 1.28

30 768 LAGARDERE SCA EUR 624 590 0.15

71 901 MERCIALYS EUR 877 192 0.22

21 437 MICHELIN (CGDE) EUR 2 195 149 0.53

190 132 ORANGE EUR 2 736 950 0.66

15 623 PLASTIC OMNIUM EUR 393 075 0.10

23 776 REXEL SA EUR 233 433 0.06

39 958 SANOFI AVENTIS EUR 3 398 826 0.83




Page 10


assets

13 872 SCOR SE EUR 525 610 0.13

1 425 SOPRA STERIA GROUP EUR 162 878 0.04

19 327 SPIE SA - W/I EUR 355 037 0.09

46 476 SUEZ EUR 670 416 0.17

958 THALES SA EUR 101 069 0.02

18 584 TOTAL SA EUR 889 895 0.22

22 355 VEOLIA ENVIRONNEMENT EUR 519 977 0.13

The Netherlands 18 992 362 4.67 13 422 AALBERTS INDUSTRIES NV EUR 488 024 0.12

244 658 AEGON NV EUR 933 860 0.23

17 174 AKZO NOBEL N.V. EUR 1 404 661 0.35

18 255 ASR NEDERLAND NV EUR 618 297 0.15

4 619 CORBION NV EUR 123 050 0.03

13 596 EUROCOMMERCIAL PROPERTIE NV EUR 347 514 0.09

29 815 KONINKLIJKE AHOLD DELHAIZE NV EUR 684 403 0.17

12 699 KONINKLIJKE DSM NV EUR 1 401 970 0.35

336 842 KONINKLIJKE KPN NV EUR 963 705 0.24

20 122 NSI NV EUR 797 837 0.20

24 484 ROYAL DUTCH SHELL PLC - A GBP 659 770 0.16

122 006 ROYAL DUTCH SHELL PLC - B GBP 3 304 243 0.80

49 854 UNIBAIL-RODAMCO-WESTFIELD EUR 6 667 972 1.63

95 778 VEON LTD USD 210 849 0.05

5 766 WOLTERS KLUWER EUR 386 207 0.10

Spain 14 999 078 3.66 23 950 ACS ACTIVIDADES DE CONSTRUCCION Y SERVICIOS EUR 878 007 0.22

8 518 AENA SA EUR 1 431 024 0.35

21 124 AMADEUS IT GROUP SA EUR 1 388 269 0.34

13 574 APPLUS SERVICES SA EUR 161 531 0.04

311 575 BANCO SANTANDER SA EUR 1 164 200 0.29

76 455 BANKINTER SA EUR 442 980 0.11

50 244 ENAGAS SA EUR 1 068 187 0.26

16 143 ENDESA SA EUR 389 692 0.10

14 150 FERROVIAL SA EUR 375 117 0.09

94 426 IBERDROLA SA EUR 900 446 0.22

11 879 MASMOVIL IBERCOM SA EUR 221 425 0.05

263 597 MERLIN PROPERTIES SOCIMI SA EUR 3 376 677 0.82

8 654 NATURGY ENERGY GROUP SDG SA EUR 210 638 0.05

44 145 PROSEGUR COMPANIA DE SEGURIDAD EUR 157 863 0.04

96 768 RED ELECTRICA CORPORACION SA EUR 1 803 272 0.43

47 768 REPSOL SA EUR 684 993 0.17

49 244 TELEFONICA SA EUR 344 757 0.08

Switzerland 11 576 348 2.89 28 874 ABB LTD - REG CHF 520 853 0.13

2 522 BALOISE HOLDING AG - REG CHF 414 804 0.10

699 BANQUE CANTONALE VAUDOIS - REG CHF 491 248 0.12

5 381 CEMBRA MONEY BANK AG CHF 514 786 0.13

236 FORBO HOLDING AG - REG CHF 321 729 0.08

155 GIVAUDAN - REG CHF 396 946 0.10

4 062 HELVETIA HOLDING AG-REG CHF 514 522 0.13

3 754 KUEHNE & NAGEL INTL AG - REG CHF 507 624 0.13

18 041 LOGITECH INTERNATIONAL - REG CHF 671 787 0.17

4 540 NOVARTIS AG - REG CHF 361 413 0.09

7 218 PSP SWISS PROPERTY AG - REG CHF 841 248 0.21

1 582 ROCHE HOLDING AG-BR CHF 420 276 0.10

172 SGS SA - REG CHF 391 434 0.10

966 SIEGFRIED HOLDING AG - REG CHF 348 777 0.09

714 SONOVA HOLDING AG - REG CHF 152 376 0.04

4 071 SULZER AG - REG CHF 367 555 0.09

17 714 SUNRISE COMMUNICATIONS GROUP CHF 1 265 286 0.31

914 SWISS LIFE HOLDING AG - REG CHF 401 131 0.10




Page 11


assets

6 628 SWISS PRIME SITE - REG CHF 595 368 0.15

11 720 SWISS RE AG CHF 1 122 300 0.28

1 224 SWISSCOM AG - REG CHF 554 296 0.14

1 140 ZURICH INSURANCE GROUP AG CHF 400 589 0.10

Sweden 10 929 224 2.69 35 744 ATLAS COPCO AB - A SEK 1 011 063 0.25

54 868 AXFOOD AB SEK 1 070 333 0.26

17 878 BOLIDEN AB SEK 377 358 0.09

30 264 CASTELLUM AB SEK 595 172 0.15

36 893 ELEKTA AB - B SEK 446 406 0.11

10 935 FABEGE AB SEK 165 469 0.04

45 068 HEXPOL AB SEK 317 650 0.08

49 817 HUFVUDSTADEN AB - A SEK 828 192 0.20

3 506 ICA GRUPPEN AB SEK 148 757 0.04

34 285 INTRUM JUSTITIA AB SEK 791 315 0.19

129 246 KUNGSLEDEN AB SEK 1 077 954 0.27

19 850 LOOMIS AB - B SEK 640 741 0.16

62 951 LUNDIN PETROLEUM AB SEK 1 734 250 0.43

39 187 PEAB AB SEK 319 704 0.08

93 270 SKANDINAVISKA ENSKILDA BANK - A SEK 787 300 0.19

10 906 SKANSKA AB - B SEK 202 879 0.05

27 320 SKF AB-B SHARES SEK 414 681 0.10

Finland 8 247 254 2.02 27 332 CITYCON OYJ EUR 263 071 0.06

11 753 ELISA OYJ EUR 555 917 0.14

10 433 HUHTAMAKI OYJ EUR 381 639 0.09

6 538 KESKO OYJ - B EUR 378 942 0.09

7 388 KONE OYJ - B EUR 385 949 0.10

47 818 METSA BOARD OYJ EUR 260 847 0.06

43 533 NESTE OYJ EUR 1 322 097 0.33

33 158 NOKIAN RENKAAT OYJ EUR 858 129 0.21

261 806 NORDEA BANK ABP SEK 1 705 073 0.42

39 147 SAMPO OYJ - A EUR 1 428 083 0.35

26 088 UPM-KYMMENE OYJ EUR 707 507 0.17

Italy 7 418 866 1.82 671 218 A2A SPA EUR 1 130 331 0.28

9 857 AMPLIFON SPA EUR 221 783 0.05

37 552 ASSICURAZIONI GENERALI EUR 667 675 0.16

21 004 BANCA GENERALI S.P.A. EUR 594 413 0.15

22 528 BREMBO SPA EUR 201 400 0.05

17 439 CERVED GROUP S.P.A. EUR 139 512 0.03

19 317 COIMA RES SPA EUR 162 263 0.04

109 288 ENI S.P.A. EUR 1 533 748 0.38

34 647 FINECOBANK S.P.A. EUR 336 492 0.08

153 913 IREN SPA EUR 411 871 0.10

8 250 MONCLER SPA EUR 269 775 0.07

57 382 POSTE ITALIANE SPA EUR 598 494 0.15

81 043 SNAM SPA EUR 375 553 0.09

131 584 TERNA S.P.A. EUR 775 556 0.19

Russia 6 765 028 1.66 2 447 ACRON PJSC RUB 174 008 0.04

401 521 ALROSA PJSC RUB 422 893 0.10

7 271 BASHNEFT PAO - PREF RUB 171 149 0.04

14 706 GAZPROM NEFT - ADR USD 436 378 0.11

173 592 GAZPROM PAO - ADR USD 1 099 320 0.27

4 728 144 INTER RAO UES PJSC RUB 300 092 0.07

17 463 LUKOIL PJSC - ADR USD 1 325 343 0.33

9 635 MAGNIT PJSC RUB 484 645 0.12

20 891 PHOSAGRO PJSC-GDR REG S USD 244 706 0.06




Page 12


assets

418 652 SBERBANK OF RUSSIA PJSC RUB 1 347 726 0.33

106 157 SURGUTNEFTEGAS RUB 53 127 0.01

604 944 SURGUTNEFTEGAS-PREFERENCE RUB 320 368 0.08

20 239 TATNEFT PJSC RUB 196 682 0.05

85 297 TMK PJSC RUB 67 215 0.02

3 237 372 UNIPRO PJSC RUB 121 376 0.03

Norway 5 779 483 1.42 5 716 AKER BP ASA NOK 140 455 0.03

93 012 DNB ASA NOK 1 504 737 0.37

72 834 ENTRA ASA NOK 1 048 521 0.26

22 784 EQUINOR ASA NOK 398 039 0.10

9 426 GJENSIDIGE FORSIKRING ASA NOK 171 620 0.04

67 973 LEROY SEAFOOD GROUP ASA NOK 379 202 0.09

51 637 ORKLA ASA NOK 431 425 0.11

16 314 SALMAR ASA NOK 657 139 0.16

50 045 TELENOR ASA NOK 922 287 0.23

3 187 YARA INTERNATIONAL ASA NOK 126 058 0.03

Belgium 4 928 976 1.21 8 293 AGEAS EUR 421 948 0.10

18 198 ANHEUSER - BUSCH INBEV SA/NV EUR 1 590 869 0.39

13 833 BEFIMMO EUR 780 181 0.19

5 583 COLRUYT SA EUR 280 713 0.07

7 067 MELEXIS NV EUR 449 108 0.11

12 217 PROXIMUS EUR 332 913 0.08

19 539 SHURGARD SELF STORAGE SA EUR 571 516 0.14

4 312 TELENET GROUP HOLDING NV EUR 186 710 0.05

4 730 UCB SA EUR 315 018 0.08

Portugal 4 067 965 0.98 197 744 EDP-ENERGIAS DE PORTUGAL SA EUR 704 364 0.17

101 047 GALP ENERGIA SGPS SA EUR 1 396 975 0.34

127 043 JERONIMO MARTINS EUR 1 966 626 0.47

Denmark 3 643 583 0.90 8 574 CARLSBERG AS - B DKK 1 162 722 0.29

4 747 CHRISTIAN HANSEN HOLDING A/S DKK 369 651 0.09

5 184 H LUNDBECK A/S DKK 157 751 0.04

18 312 ISS A/S DKK 415 722 0.10

9 263 NOVOZYMES A/S - B DKK 357 307 0.09

9 852 ORSTED A/S DKK 840 018 0.21

4 500 ROYAL UNIBREW DKK 340 412 0.08

Ireland 3 554 997 0.87 228 724 AIB GROUP PLC EUR 623 044 0.15

52 714 CRH PLC EUR 1 665 235 0.41

115 250 HIBERNIA REIT PLC EUR 169 418 0.04

482 378 IRISH RESIDENTIAL PROPERTIES EUR 828 725 0.20

31 660 UDG HEALTHCARE PLC GBP 268 575 0.07

Poland 2 490 441 0.61 17 232 AMREST HOLDINGS SE PLN 176 627 0.04

10 834 ASSECO POLAND SA PLN 126 540 0.03

27 708 BANK PEKAO SA PLN 649 156 0.16

3 605 CCC SA PLN 114 070 0.03

21 201 CYFROWY POLSAT SA PLN 128 154 0.03

129 820 ECHO INVESTMENT S.A. PLN 139 599 0.03

27 013 EUROCASH SA PLN 129 788 0.03

10 203 KRUK SA PLN 353 425 0.09

9 987 POLSKI KONCERN NAFTOWY ORLEN PLN 225 526 0.06

88 788 POLSKIE GORNICTWO NAFTOWE I PLN 95 558 0.02

27 618 POWSZECHNY ZAKLAD UBEZPIECZE PLN 236 198 0.06

12 606 WARSAW STOCK EXCHANGE PLN 115 800 0.03




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Cyprus 2 180 771 0.53 243 057 AROUNDTOWN SA EUR 1 823 900 0.44

28 523 GLOBALTRA-SPONS GDR REGS USD 225 003 0.06

8 215 TCS GROUP HOLDING -REG S USD 131 868 0.03

Luxembourg 2 129 393 0.52 82 713 GRAND CITY PROPERTIES EUR 1 707 196 0.42

21 182 PLAY COMMUNICATIONS SA PLN 133 273 0.03

17 275 SES EUR 288 924 0.07

Turkey 1 715 804 0.44 154 435 ANADOLU CAM SANAYII AS TRY 78 023 0.02

12 243 COCA-COLA ICECEK AS TRY 66 985 0.02

189 716 ENERJISA ENERJI AS TRY 191 695 0.05

62 925 KOC HOLDING AS TRY 193 299 0.05

10 061 KOZA ALTIN ISLETMELERI AS TRY 106 889 0.03

18 441 MAVI GIYIM SANAYI VE TICA - B TRY 138 222 0.03

113 923 SODA SANAYII TRY 109 374 0.03

49 672 SOK MARKETLER TICARET AS TRY 88 761 0.02

21 278 TEKFEN HOLDING AS TRY 66 159 0.02

45 741 TOFAS TURK OTOMOBIL FABRIKASI TRY 150 692 0.04

74 299 TURK HAVA YOLLARI AO TRY 149 424 0.04

34 790 TURKCELL ILETISIM HIZMET AS TRY 73 527 0.02

182 536 TURKIYE GARANTI BANKASI TRY 302 754 0.07

South Africa 932 731 0.23 90 788 INVESTEC PLC GBP 429 670 0.11

28 566 MONDI PLC GBP 503 061 0.12

Austria 852 053 0.21 18 173 ANDRITZ AG EUR 681 488 0.17

9 346 S&T AG EUR 170 565 0.04

Hungary 755 556 0.19 54 630 MOL HUNGARIAN OIL AND GAS PL HUF 471 335 0.12

5 252 OTP BANK PLC HUF 200 538 0.05

5 640 RICHTER GEDEON NYRT HUF 83 683 0.02

Greece 428 431 0.11 130 601 ALPHA BANK A.E. EUR 223 720 0.06

21 697 OPAP SA EUR 204 711 0.05

United States of America 428 192 0.11 11 241 CARNIVAL PLC GBP 428 192 0.11

Czech Republic 260 592 0.06 92 220 MONETA MONEY BANK AS CZK 260 592 0.06

Guernsey Island 149 827 0.04 85 969 ETALON GROUP-GDR REGS - W/I USD 149 827 0.04

Slovenia 133 372 0.03 12 281 NOVA LJUBLJANSKA B-GDR REG S EUR 133 372 0.03

Bonds 131 901 545 32.71

France 18 271 770 4.58 100 000 AIR LIQUIDE FIN 0.625% 19-20/06/2030 EUR 103 252 0.03

260 000 ALTICE FRANCE 2.500% 19-15/01/2025 EUR 263 881 0.07

595 000 ALTICE FRANCE 3.375% 19-15/01/2028 EUR 604 629 0.15

100 000 AUTOROUTES DU SUD 1.000% 16-13/05/2026 EUR 106 016 0.03

100 000 AUTOROUTES PARIS 1.125% 14-15/01/2021 EUR 101 346 0.02

100 000 BANQ FED CRD MUT 1.875% 19-18/06/2029 EUR 107 540 0.03

100 000 BANQUE FEDERATIVE DU CREDIT MUTUEL 0.750% 18-17/07/2025 EUR 103 618 0.03

100 000 BNP PARIBAS 1.125% 19-28/08/2024 EUR 104 331 0.03

200 000 BNP PARIBAS 1.625% 19-02/07/2031 EUR 207 401 0.05

100 000 BNP PARIBAS 2.875% 16-01/10/2026 EUR 114 428 0.03

100 000 BPCE 0.375% 16-05/10/2023 EUR 101 602 0.03




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100 000 BPCE 0.625% 18-26/09/2023 EUR 102 541 0.03

100 000 BPCE 0.625% 19-26/09/2024 EUR 101 618 0.03

100 000 BPCE 4.625% 13-18/07/2023 EUR 116 153 0.03

100 000 CAISSE CENT IMMO 0.000% 19-22/01/2023 EUR 101 385 0.02

800 000 CAISSE NA REA MU 2.125% 19-16/09/2029 EUR 800 755 0.20

400 000 CASINO GUICHARD 1.865% 17-13/06/2022 EUR 368 608 0.09

1 100 000 CASINO GUICHARD 2.798% 14-05/08/2026 EUR 961 719 0.24

1 400 000 CASINO GUICHARD 5.976% 11-26/05/2021 EUR 1 435 494 0.35

100 000 CIE DE ST GOBAIN 0.875% 18-21/09/2023 EUR 103 165 0.03

100 000 CNP ASSURANCES 2.750% 19-05/02/2029 EUR 113 526 0.03

100 000 COMPAGNIE FIN ET 1.125% 17-13/10/2027 EUR 107 792 0.03

100 000 CRED AGRICOLE SA 2.000% 19-25/03/2029 EUR 108 041 0.03

200 000 DASSAULT SYSTEME 0.000% 19-16/09/2022 EUR 200 751 0.05

500 000 ELIS SA 1.000% 19-03/04/2025 EUR 498 922 0.12

400 000 ELIS SA 1.625% 19-03/04/2028 EUR 399 500 0.10

300 000 ENGIE 0.000% 19-04/03/2027 EUR 296 158 0.07

100 000 ENGIE 1.375% 18-22/06/2028 EUR 109 517 0.03

310 000 FRANCE O.A.T. 0.000% 16-25/05/2022 EUR 315 955 0.08

96 343 FRANCE O.A.T. 0.100% 19-01/03/2029 EUR 108 369 0.03

40 000 FRANCE O.A.T. 0.250% 16-25/11/2026 EUR 42 079 0.01

31 120 FRANCE O.A.T. 0.500% 19-25/05/2029 EUR 33 477 0.01

370 000 FRANCE O.A.T. 1.000% 15-25/11/2025 EUR 405 239 0.10

120 000 FRANCE O.A.T. 1.000% 17-25/05/2027 EUR 133 386 0.03

89 219 FRANCE O.A.T. 1.250% 16-25/05/2036 EUR 105 926 0.03

419 715 FRANCE O.A.T. 1.500% 15-25/05/2031 EUR 501 610 0.12

75 710 FRANCE O.A.T. 1.500% 19-25/05/2050 EUR 96 095 0.02

55 000 FRANCE O.A.T. 1.750% 16-25/05/2066 EUR 76 856 0.02

75 000 FRANCE O.A.T. 1.750% 17-25/06/2039 EUR 97 184 0.02

167 000 FRANCE O.A.T. 2.000% 17-25/05/2048 EUR 234 713 0.06

340 000 FRANCE O.A.T. 2.500% 10-25/10/2020 EUR 351 393 0.09

60 000 FRANCE O.A.T. 4.000% 10-25/04/2060 EUR 130 937 0.03

291 337 FRANCE O.A.T.I/L 0.100% 15-01/03/2025 EUR 311 275 0.08

100 000 GECINA 1.625% 19-29/05/2034 EUR 110 084 0.03

200 000 HOLDING DINFRA 0.625% 17-27/03/2023 EUR 202 493 0.05

300 000 HSBC FRANCE 0.250% 19-17/05/2024 EUR 302 514 0.07

100 000 KLEPI 0.625% 19-01/07/2030 EUR 100 304 0.02

528 000 LA FIN ATALIAN 4.000% 17-15/05/2024 EUR 386 467 0.10

200 000 ORANGE 1.375% 19-04/09/2049 EUR 189 835 0.05

800 000 ORANO SA 3.375% 19-23/04/2026 EUR 859 764 0.21

100 000 PSA BANQUE FRANCE 0.750% 18-19/04/2023 EUR 101 817 0.03

81 000 RCI BANQUE 0.750% 17-26/09/2022 EUR 82 327 0.02

300 000 RENAULT 1.125% 19-04/10/2027 EUR 297 771 0.07

100 000 RENAULT 1.250% 19-24/06/2025 EUR 102 151 0.03

150 000 RENAULT 3.125% 14-05/03/2021 EUR 156 955 0.04

634 000 REXEL SA 2.750% 19-15/06/2026 EUR 661 499 0.16

100 000 SANOFI 0.000% 16-13/09/2022 EUR 100 407 0.02

100 000 SANOFI 0.875% 19-21/03/2029 EUR 106 160 0.03

100 000 SANOFI 1.000% 18-21/03/2026 EUR 106 240 0.03

100 000 SCHNEIDER ELEC 1.500% 19-15/01/2028 EUR 110 129 0.03

200 000 SNCF RESEAU 0.750% 19-25/05/2036 EUR 209 359 0.05

100 000 SOCIETE FONCIERE 2.250% 15-16/11/2022 EUR 106 483 0.03

100 000 SOCIETE GENERALE 0.000% 19-27/05/2022 EUR 100 181 0.02

100 000 SOCIETE GENERALE 1.000% 16-01/04/2022 EUR 102 381 0.03

250 000 SPCM SA 2.875% 15-15/06/2023 EUR 251 925 0.06

600 000 SPIE SA 2.625% 19-18/06/2026 EUR 623 081 0.15

600 000 TEREOS FIN GROUP 4.125% 16-16/06/2023 EUR 434 138 0.11

600 000 TEREOS FIN GROUP 4.250% 13-04/03/2020 EUR 295 866 0.07

100 000 TOTAL CAP INTL 0.625% 17-04/10/2024 EUR 103 639 0.03

100 000 UNIBAIL-RODAMCO 1.125% 18-15/09/2025 EUR 104 927 0.03

100 000 UNIBAIL-RODAMCO 1.375% 14-17/10/2022 EUR 104 400 0.03

778 000 VALLOUREC SA 6.375% 18-15/10/2023 EUR 661 122 0.16




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100 000 VEOLIA ENVRNMT 0.892% 19-14/01/2024 EUR 103 544 0.03

100 000 VIVENDI SA 0.000% 19-13/06/2022 EUR 100 100 0.02

100 000 VIVENDI SA 0.625% 19-11/06/2025 EUR 101 750 0.03

100 000 VIVENDI SA 0.875% 17-18/09/2024 EUR 103 774 0.03

The Netherlands 13 552 194 3.37 100 000 ABN AMRO BANK NV 0.500% 18-17/07/2023 EUR 101 772 0.03

129 000 ABN AMRO BANK NV 0.875% 19-15/01/2024 EUR 133 274 0.03

100 000 ALLIANZ FINANCE 0.250% 17-06/06/2023 EUR 101 303 0.02

516 000 BMW FINANCE NV 0.000% 19-24/03/2023 EUR 515 930 0.13



173 000 CONSTELLIUM NV 4.625% 14-15/05/2021 EUR 115 317 0.03

100 000 COOPERATIEVE RAB 1.125% 19-07/05/2031 EUR 106 678 0.03

256 000 DAIMLER INTL FIN 0.625% 19-27/02/2023 EUR 260 479 0.06

169 000 ENEL FIN INTL NV 1.500% 19-21/07/2025 EUR 180 775 0.04

140 000 HEMA BONDCO II 8.500% 17-15/01/2023 EUR 110 858 0.03

200 000 ING BANK NV 0.375% 18-26/11/2021 EUR 202 214 0.05

100 000 ING GROEP NV 2.125% 19-10/01/2026 EUR 111 427 0.03

100 000 ING GROEP NV 2.500% 18-15/11/2030 EUR 120 248 0.03

228 000 INTERTRUST 3.375% 18-15/11/2025 EUR 239 864 0.06

904 000 IPD 3 BV 4.500% 17-15/07/2022 EUR 923 462 0.23

100 000 KPN NV 4.250% 12-01/03/2022 EUR 110 138 0.03

200 000 MONDELEZ INTL 0.875% 19-01/10/2031 EUR 199 404 0.05

150 000 NED WATERSCHAPBK 0.000% 19-02/10/2034 EUR 146 876 0.04

140 000 NETHERLANDS GOVERNMENT 0.750% 17-15/07/2027 EUR 154 315 0.04

30 000 NETHERLANDS GOVERNMENT 2.750% 14-15/01/2047 EUR 53 480 0.01

100 000 NETHERLANDS GOVT 0.250% 19-15/07/2029 EUR 106 737 0.03

100 000 NN GROUP NV 0.875% 17-13/01/2023 EUR 102 895 0.03

100 000 OI EUROPEAN GRP 6.750% 10-15/09/2020 EUR 52 929 0.01

1 246 000 PETROBRAS 4.750% 14-14/01/2025 EUR 1 456 652 0.36

296 000 PETROBRAS 5.375% 12-01/10/2029 GBP 366 361 0.09

100 000 PETROBRAS INTL 4.250% 12-02/10/2023 EUR 114 094 0.03

609 000 PPF ARENA 1 B 3.125% 19-27/03/2026 EUR 643 305 0.16

100 000 RABOBANK 4.000% 12-11/01/2022 EUR 109 552 0.03

130 000 REN FINANCE BV 1.750% 16-01/06/2023 EUR 138 494 0.03

986 000 SAIPEM FIN INTL 2.625% 17-07/01/2025 EUR 1 026 673 0.25

360 000 SELECTA GROUP BV 5.875% 18-01/02/2024 EUR 373 544 0.09

100 000 SHELL INTL FIN 1.250% 15-15/03/2022 EUR 103 593 0.03

160 000 SIEMENS FINAN 0.125% 19-05/09/2029 EUR 156 953 0.04

83 000 SIEMENS FINAN 0.300% 19-28/02/2024 EUR 84 442 0.02

923 000 SUMMER BIDCO 9.000% 19-15/11/2025 EUR 968 922 0.24

228 000 SUNSHINE MID 6.500% 18-15/05/2026 EUR 239 162 0.06

704 000 UNITED GROUP 4.375% 17-01/07/2022 EUR 717 565 0.18

146 000 UNITED GROUP 4.875% 19-01/07/2024 EUR 151 849 0.04

1 707 000 UPC HOLDING BV 3.875% 17-15/06/2029 EUR 1 793 369 0.43

100 000 VOLKSWAGEN INTERNATION FN 1.125% 17-02/10/2023 EUR 102 657 0.03

100 000 VONOVIA BV 0.875% 18-03/07/2023 EUR 102 431 0.03

440 000 ZIGGO BOND FIN 4.625% 15-15/01/2025 EUR 452 383 0.11

Italy 10 113 331 2.49 477 000 ASSICURAZIONI 2.124% 19-01/10/2030 EUR 483 559 0.12

100 000 ASSICURAZIONI 3.875% 19-29/01/2029 EUR 115 815 0.03

410 000 CMF SPA 9.000% 17-15/06/2022 EUR 357 181 0.09

208 000 INTESA SANPAOLO 1.750% 19-04/07/2029 EUR 219 404 0.05

100 000 INTESA SANPAOLO 6.625% 13-13/09/2023 EUR 120 213 0.03

800 000 ITALY BTPS 0.050% 16-15/10/2019 EUR 800 120 0.20

990 000 ITALY BTPS 1.050% 14-01/12/2019 EUR 992 346 0.24

281 000 ITALY BTPS 1.450% 15-15/09/2022 EUR 293 771 0.07

675 000 ITALY BTPS 1.500% 15-01/06/2025 EUR 718 625 0.18

552 000 ITALY BTPS 2.200% 17-01/06/2027 EUR 618 698 0.15

72 000 ITALY BTPS 2.800% 16-01/03/2067 EUR 85 684 0.02




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250 000 ITALY BTPS 2.950% 18-01/09/2038 EUR 306 908 0.08

80 000 ITALY BTPS 3.100% 19-01/03/2040 EUR 99 822 0.02

90 000 ITALY BTPS 3.500% 14-01/03/2030 EUR 113 077 0.03

81 000 ITALY BTPS 3.850% 19-01/09/2049 EUR 116 861 0.03

271 000 ITALY BTPS 4.750% 08-01/08/2023 EUR 319 411 0.08

240 000 ITALY BTPS 5.000% 03-01/08/2034 EUR 358 339 0.09

90 000 ITALY BTPS 5.000% 09-01/09/2040 EUR 141 813 0.03

60 159 ITALY BTPS I/L 0.550% 18-21/05/2026 EUR 60 870 0.01

800 000 NEXI CAPITAL SPA 4.125% 18-01/11/2023 EUR 821 171 0.20

192 000 PIAGGIO & C 3.625% 18-30/04/2025 EUR 201 853 0.05

150 000 SNAM 1.250% 19-28/08/2025 EUR 159 206 0.04

100 000 SNAM SPA 1.000% 18-18/09/2023 EUR 103 694 0.03

1 245 000 TELECOM ITALIA 2.750% 19-15/04/2025 EUR 1 299 893 0.32

500 000 TELECOM ITALIA 5.250% 05-17/03/2055 EUR 565 047 0.14

100 000 TERNA S.P.A. 1.000% 18-23/07/2023 EUR 103 887 0.03

100 000 TERNA SPA 1.000% 19-10/04/2026 EUR 104 870 0.03

250 000 UNICREDIT S.P.A. 1.000% 18-18/01/2023 EUR 253 546 0.06

150 000 UNICREDIT S.P.A. 6.950% 12-31/10/2022 EUR 177 647 0.04

United Kingdom 9 519 291 2.40 136 000 ANGLO AMERICAN 1.625% 17-18/09/2025 EUR 143 385 0.04

100 000 ANGLO AMERICAN 3.250% 14-03/04/2023 EUR 110 395 0.03

177 000 ARQIVA BROAD FIN 6.750% 18-30/09/2023 GBP 213 256 0.05

191 000 BARCLAYS BANK PLC 1.500% 18-03/09/2023 EUR 198 395 0.05

100 000 BP CAPITAL PLC 1.953% 16-03/03/2025 EUR 109 721 0.03

455 000 CO-OPERATIVE GRO 5.125% 19-17/05/2024 GBP 539 037 0.13

284 000 CO-OPERATIVE WHOLESALE 7.500% 11-08/07/2026 GBP 362 320 0.09

100 000 CREDIT AGRICOLE 0.750% 18-05/12/2023 EUR 103 146 0.03



749 000 DRAX FINCO PLC 4.250% 17-01/05/2022 GBP 858 285 0.21

180 000 GKN HOLDINGS PLC 4.625% 17-12/05/2032 GBP 205 973 0.05

313 000 GLAXOSMITHKLINE 0.000001% 19-23/09/2023 EUR 313 914 0.08

100 000 GLAXOSMITHKLINE 1.000% 17-12/09/2026 EUR 105 413 0.03

568 000 INTL GAME TECH 2.375% 19-15/04/2028 EUR 567 345 0.14

898 000 INTL GAME TECH 3.500% 19-15/06/2026 EUR 953 636 0.23

100 000 ITV PLC 2.000% 16-01/12/2023 EUR 105 345 0.03

240 000 OTE PLC 0.875% 19-24/09/2026 EUR 239 386 0.06

444 000 STRETFORD 6.750% 14-15/07/2024 GBP 466 816 0.12

100 000 UNILEVER NV 0.375% 17-14/02/2023 EUR 101 673 0.03

100 000 UNILEVER NV 0.500% 16-29/04/2024 EUR 102 409 0.03

970 000 VICTORIA PLC 5.250% 19-15/07/2024 EUR 996 097 0.25

954 000 VIRGIN MEDIA SEC 4.875% 15-15/01/2027 GBP 1 120 719 0.28

250 000 VIRGIN MEDIA SEC 5.000% 17-15/04/2027 GBP 297 226 0.07

274 000 VIRIDIAN GRP 4.750% 17-15/09/2024 GBP 314 162 0.08

100 000 VODAFONE GROUP 1.125% 17-20/11/2025 EUR 105 364 0.03

582 000 WILLIAM HILL 4.250% 13-05/06/2020 GBP 671 991 0.17

Germany 9 128 901 2.27 600 000 ADLER REAL EST 3.000% 18-27/04/2026 EUR 634 757 0.16

69 000 BASF SE 0.875% 18-22/05/2025 EUR 72 960 0.02

210 000 BUNDESREPUBLIK DEUTSCHLAND 0.250% 17-15/02/2027 EUR 225 492 0.06




108 000 COMMERZBANK AG 0.500% 18-28/08/2023 EUR 109 358 0.03

100 000 COMMERZBANK AG 1.125% 19-22/06/2026 EUR 102 881 0.03

917 000 CONSUS REAL EST 9.625% 19-15/05/2024 EUR 920 592 0.23

100 000 FRESENIUS SE & C 2.875% 19-15/02/2029 EUR 117 691 0.03

150 000 HEIDELBERGCEMENT 2.250% 16-30/03/2023 EUR 160 023 0.04

290 000 KFW 0.000% 19-30/06/2022 EUR 294 871 0.07

310 000 KFW 0.625% 17-22/02/2027 EUR 334 333 0.08




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157 000 KFW 1.125% 18-09/05/2033 EUR 183 277 0.05

425 000 KME AG 6.750% 18-01/02/2023 EUR 356 639 0.09

160 000 LAND BRANDENBURG 1.450% 18-26/11/2038 EUR 196 859 0.05

591 000 NIDDA BONDCO 5.000% 17-30/09/2025 EUR 604 606 0.15

200 000 NIDDA HEALTHCARE HOLDING 3.500% 17-30/09/2024 EUR 207 313 0.05

160 000 NIEDERSACHSEN 0.125% 19-07/03/2025 EUR 165 124 0.04

130 000 NORDRHEIN-WEST 1.000% 16-16/10/2046 EUR 151 556 0.04

350 000 THYSSENKRUPP 1.750% 15-25/11/2020 EUR 353 775 0.09



1 128 000 UNITYMEDIA 3.500% 15-15/01/2027 EUR 1 195 191 0.29

130 000 VOLKSWAGEN BANK 0.750% 17-15/06/2023 EUR 131 680 0.03

200 000 VOLKSWAGEN BANK 1.875% 19-31/01/2024 EUR 210 765 0.05

166 000 VOLKSWAGEN LEAS 0.250% 18-16/02/2021 EUR 166 570 0.04

150 000 VOLKSWAGEN LEAS 2.625% 14-15/01/2024 EUR 163 010 0.04

United States of America 8 564 507 2.17 203 000 ABBOTT IL FIN 0.875% 18-27/09/2023 EUR 209 498 0.05

100 000 APPLE INC 0.875% 17-24/05/2025 EUR 105 125 0.03

100 000 AT&T INC 1.800% 18-05/09/2026 EUR 108 409 0.03

100 000 BECTON DICKINSON 1.401% 18-24/05/2023 EUR 103 826 0.03

133 000 CAPITAL ONE FINL 1.650% 19-12/06/2029 EUR 138 691 0.03

1 107 000 CGG HOLDING US 7.875% 18-01/05/2023 EUR 1 187 119 0.29

100 000 CHUBB INA HLDGS 0.875% 19-15/06/2027 EUR 103 145 0.03

146 000 CITIGROUP INC 1.250% 19-10/04/2029 EUR 155 117 0.04

100 000 CITIGROUP INC 1.375% 14-27/10/2021 EUR 103 045 0.03

150 000 COCA-COLA 1.125% 14-22/09/2022 EUR 155 751 0.04

114 000 FEDEX CORP 0.700% 19-13/05/2022 EUR 115 750 0.03

100 000 FISERV INC 0.375% 19-01/07/2023 EUR 100 898 0.02

100 000 FISERV INC 1.125% 19-01/07/2027 EUR 103 894 0.03

100 000 GEN ELECTRIC CO 0.375% 17-17/05/2022 EUR 99 458 0.02

231 000 GEN MOTORS FIN 0.200% 19-02/09/2022 EUR 230 117 0.06

200 000 GOLDMAN SACHS GROUP 2.000% 15-27/07/2023 EUR 213 336 0.05

100 000 GOLDMAN SACHS GROUP 4.750% 06-12/10/2021 EUR 108 961 0.03

100 000 IBM CORP 0.950% 17-23/05/2025 EUR 104 669 0.03

377 000 IRON MOUNTAIN 3.000% 17-15/01/2025 EUR 385 068 0.09

360 000 JP MORGAN CHASE 0.625% 16-25/01/2024 EUR 368 074 0.09

114 000 KKR GR FIN CO 1.625% 19-22/05/2029 EUR 120 679 0.03

100 000 KRAFT HEINZ FOOD 1.500% 16-24/05/2024 EUR 102 993 0.03

100 000 MERCK & CO INC 1.125% 14-15/10/2021 EUR 102 489 0.03

110 000 MET LIFE GLOB 0.000% 19-23/09/2022 EUR 110 256 0.03

100 000 MMS USA FIN INC 1.250% 19-13/06/2028 EUR 103 240 0.03

100 000 MMS USA FIN INC 1.750% 19-13/06/2031 EUR 105 216 0.03

100 000 MORGAN STANLEY 1.750% 16-11/03/2024 EUR 106 715 0.03

100 000 MYLAN NV 1.250% 16-23/11/2020 EUR 101 153 0.02

101 000 PEPSICO INC 0.750% 19-18/03/2027 EUR 105 458 0.03

105 000 PFIZER INC 0.250% 17-06/03/2022 EUR 106 090 0.03

100 000 PROCTER & GAMBLE 0.500% 17-25/10/2024 EUR 102 532 0.03

100 000 PROLOGIS LP 1.875% 18-05/01/2029 EUR 112 257 0.03

557 000 QUINTILES IMS 2.875% 17-15/09/2025 EUR 571 486 0.14

200 000 QUINTILES IMS 3.250% 17-15/03/2025 EUR 204 873 0.05

362 000 SCIENTIFIC GAMES 3.375% 18-15/02/2026 EUR 369 746 0.09

140 000 THERMO FISHER 0.500% 19-01/03/2028 EUR 139 807 0.03

258 000 UGI INTL ENTERPR 3.250% 18-01/11/2025 EUR 272 657 0.07

224 000 VERIZON COMM INC 1.250% 19-08/04/2030 EUR 235 620 0.06

300 000 WELLS FARGO & CO 1.500% 15-12/09/2022 EUR 312 938 0.08

225 000 WELLS FARGO CO 0.625% 19-25/03/2030 EUR 225 128 0.06

710 000 WMG ACQUISITION 3.625% 18-15/10/2026 EUR 753 223 0.19




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Luxembourg 7 564 779 1.84 649 000 ALTICE 7.250% 14-15/05/2022 EUR 141 927 0.03

126 000 ARCELORMITTAL 2.250% 19-17/01/2024 EUR 132 701 0.03



400 000 CONTOURGLOB PWR 3.375% 18-01/08/2023 EUR 414 209 0.10

140 000 CONTOURGLOB PWR 4.125% 18-01/08/2025 EUR 148 149 0.04

100 000 DH EUROPE 0.200% 19-18/03/2026 EUR 99 652 0.02

110 000 EFSF 0.050% 19-17/10/2029 EUR 113 229 0.03

290 000 ESM 0.000% 18-17/01/2022 EUR 293 664 0.07

100 000 GRAND CITY PROPERTIES 1.500% 18-22/02/2027 EUR 105 124 0.03

100 000 HEIDELCEMENT FIN 0.500% 17-18/01/2021 EUR 100 689 0.02

121 000 HEIDELCEMENT FIN 0.500% 18-09/08/2022 EUR 122 220 0.03

213 447 HERCULE DEBTCO 6.750% 18-30/06/2024 EUR 190 248 0.05

1 039 000 KLEOPATRA HLDS 8.500% 17-30/06/2023 EUR 620 556 0.15

168 000 MATTERHORN TELE 3.125% 19-15/09/2026 EUR 171 275 0.04

161 000 MEDTRONIC GLOBAL 0.375% 19-07/03/2023 EUR 162 953 0.04

162 000 MEDTRONIC GLOBAL 1.125% 19-07/03/2027 EUR 171 975 0.04

1 100 000 MHP LUX SA 6.250% 19-19/09/2029 USD 971 152 0.24

663 000 OLIVETTI FINANCE 7.750% 03-24/01/2033 EUR 981 530 0.24

306 000 ROSSINI SARL 6.750% 18-30/10/2025 EUR 337 198 0.08

100 000 SWISSPORT INVEST 9.750% 15-15/12/2022 EUR 106 500 0.03

672 000 TAKKO LUX 2 SCA 5.375% 17-15/11/2023 EUR 637 718 0.16

900 000 TELENET FINANCE LUX 3.500% 17-01/03/2028 EUR 968 288 0.24

481 000 TELENET FINANCE VI 4.875% 15-15/07/2027 EUR 372 418 0.09

Russia 6 368 239 1.57 1 080 000 RUSSIA 12.750% 98-24/06/2028 USD 1 676 665 0.41

73 040 000 RUSSIA-OFZ 7.250% 18-10/05/2034 RUB 1 042 645 0.26

77 670 000 RUSSIA-OFZ 7.400% 17-07/12/2022 RUB 1 123 628 0.28

52 250 000 RUSSIA-OFZ 7.600% 12-20/07/2022 RUB 757 790 0.19

28 430 000 RUSSIA-OFZ 7.650% 19-10/04/2030 RUB 422 140 0.10

81 460 000 RUSSIA-OFZ 7.950% 18-07/10/2026 RUB 1 225 627 0.30

7 870 000 RUSSIA-OFZ 8.150% 12-03/02/2027 RUB 119 744 0.03

Spain 5 386 423 1.31 100 000 ABERTI 1.500% 19-27/06/2024 EUR 104 310 0.03

400 000 BANCO BILBAO VIZ 0.375% 19-02/10/2024 EUR 399 768 0.10

100 000 BANCO BILBAO VIZ 1.125% 19-28/02/2024 EUR 103 553 0.03

100 000 BANCO BILBAO VIZCAYA ARGENTARIA 3.500% 17-10/02/2027 EUR 116 727 0.03

200 000 BANCO SABADELL 0.875% 19-22/07/2025 EUR 202 591 0.05

100 000 BANCO SANTANDER 0.250% 19-19/06/2024 EUR 100 721 0.02

100 000 BANKIA 1.000% 19-25/06/2024 EUR 100 954 0.02

300 000 CAIXABANK 0.625% 19-01/10/2024 EUR 300 287 0.07

100 000 CAIXABANK 0.750% 18-18/04/2023 EUR 102 094 0.03

100 000 CAIXABANK 1.125% 19-27/03/2026 EUR 104 676 0.03

100 000 CAIXABANK 2.375% 19-01/02/2024 EUR 107 736 0.03

532 000 GRIFOLS SA 3.200% 17-01/05/2025 EUR 546 616 0.13

150 000 MERLIN PROPERTIES 1.875% 16-02/11/2026 EUR 161 936 0.04

100 000 NATURGY ENERGY GROUP CAP 1.125% 17-11/04/2024 EUR 104 662 0.03

200 000 SANTANDER ISSUAN 2.500% 15-18/03/2025 EUR 217 636 0.05

300 000 SPANISH GOVT 0.050% 18-31/10/2021 EUR 303 267 0.07

486 000 SPANISH GOVT 1.500% 17-30/04/2027 EUR 542 264 0.13

48 000 SPANISH GOVT 1.850% 19-30/07/2035 EUR 57 288 0.01

320 000 SPANISH GOVT 1.950% 15-30/07/2030 EUR 379 600 0.09

420 000 SPANISH GOVT 2.150% 15-31/10/2025 EUR 479 615 0.12

155 000 SPANISH GOVT 2.700% 18-31/10/2048 EUR 219 193 0.05

154 000 SPANISH GOVT 2.750% 14-31/10/2024 EUR 177 884 0.04

30 000 SPANISH GOVT 3.450% 16-30/07/2066 EUR 51 127 0.01

83 000 SPANISH GOVT 4.200% 05-31/01/2037 EUR 132 450 0.03

60 000 SPANISH GOVT 5.150% 13-31/10/2044 EUR 116 917 0.03

141 000 TELEFONICA EMIS 1.957% 19-01/07/2039 EUR 152 551 0.04




Page 19


assets

Poland 5 058 412 1.24 320 000 BANK GOSPODARSTW 1.625% 17-30/04/2028 EUR 359 400 0.09

4 402 000 POLAND GOVT BOND 2.250% 16-25/04/2022 PLN 1 023 773 0.25

1 400 000 POLAND GOVT BOND 2.500% 15-25/07/2026 PLN 332 803 0.08





Turkey 3 853 372 0.95 370 000 REP OF TURKEY 7.375% 05-05/02/2025 USD 360 281 0.09

11 050 000 TURKEY GOVT BOND 10.700% 17-17/08/2022 TRY 1 688 249 0.42

3 365 056 TURKEY GOVT BOND 11.000% 17-02/03/2022 TRY 519 862 0.13

4 790 000 TURKEY GOVT BOND 11.000% 17-24/02/2027 TRY 699 537 0.17

600 000 TURKEY REP OF 7.625% 19-26/04/2029 USD 585 443 0.14

Romania 3 564 508 0.88 200 000 ROMANIA 2.875% 18-11/03/2029 EUR 225 875 0.06

690 000 ROMANIA 3.250% 16-29/04/2024 RON 141 893 0.03

150 000 ROMANIA 3.375% 18-08/02/2038 EUR 172 453 0.04

1 000 000 ROMANIA 3.875% 15-29/10/2035 EUR 1 198 750 0.30

4 530 000 ROMANIA 4.000% 18-27/10/2021 RON 965 877 0.24

150 000 ROMANIA 4.125% 18-11/03/2039 EUR 183 094 0.05

67 000 ROMANIA 4.625% 19-03/04/2049 EUR 86 849 0.02

2 255 000 ROMANIA 4.750% 14-24/02/2025 RON 493 411 0.12

410 000 ROMANIA 5.800% 12-26/07/2027 RON 96 306 0.02

Armenia 2 864 702 0.70 3 195 000 ARMENIA 3.950% 19-26/09/2029 USD 2 864 702 0.70

Hungary 2 441 857 0.60 172 540 000 HUNGARY GOVT 3.250% 15-22/10/2031 HUF 574 700 0.14

88 250 000 HUNGARY GOVT 5.500% 14-24/06/2025 HUF 326 611 0.08

106 000 000 HUNGARY GOVT 6.750% 11-22/10/2028 HUF 450 170 0.11

206 260 000 HUNGARY GOVT 7.000% 11-24/06/2022 HUF 728 000 0.18

350 000 REP OF HUNGARY 5.375% 14-25/03/2024 USD 362 376 0.09

Czech Republic 2 321 532 0.58 7 500 000 CZECH REPUBLIC 0.000% 17-24/02/2022 CZK 281 984 0.07

16 160 000 CZECH REPUBLIC 0.450% 15-25/10/2023 CZK 603 997 0.15





Montenegro 2 287 098 0.56 1 571 000 MONTENEGRO REP 2.550% 19-03/10/2029 EUR 1 557 254 0.38

210 000 MONTENEGRO REP 3.375% 18-21/04/2025 EUR 225 094 0.06

500 000 MONTENEGRO REP 3.875% 15-18/03/2020 EUR 504 750 0.12

Croatia 2 250 485 0.56 500 000 CROATIA 1.125% 19-19/06/2029 EUR 530 625 0.13

350 000 CROATIA 2.750% 17-27/01/2030 EUR 426 781 0.11

450 000 CROATIA 3.000% 15-11/03/2025 EUR 518 766 0.13

650 000 CROATIA 3.000% 17-20/03/2027 EUR 774 313 0.19

Denmark 2 232 166 0.54 297 000 CARLSBERG BREW 0.500% 17-06/09/2023 EUR 302 439 0.07

116 000 DANSKE BANK A/S 1.625% 19-15/03/2024 EUR 121 700 0.03

241 000 DKT FINANCE 7.000% 18-17/06/2023 EUR 257 895 0.06

635 000 NORICAN GROUP 4.500% 17-15/05/2023 EUR 530 078 0.13

137 000 NYKREDIT 0.625% 19-17/01/2025 EUR 138 773 0.03

684 000 TELE DANMARK 5.625% 11-23/02/2023 GBP 881 281 0.22




Page 20


assets

Ireland 2 124 966 0.53 100 000 FCA BANK IE 1.250% 19-21/06/2022 EUR 102 733 0.03

103 047 IRISH GOVT 1.100% 19-15/05/2029 EUR 114 365 0.03

70 000 IRISH GOVT 1.300% 18-15/05/2033 EUR 79 935 0.02

20 664 IRISH GOVT 1.500% 19-15/05/2050 EUR 24 789 0.01

130 000 PARTNERRE IRELAND 1.250% 16-15/09/2026 EUR 135 860 0.03

74 000 000 RUSHYDRO 8.975% 18-27/01/2022 RUB 1 080 578 0.27

400 000 RUSSIAN RAIL 2.200% 19-23/05/2027 EUR 424 500 0.10

140 000 VIRGIN MEDIA REC 5.750% 18-15/04/2023 GBP 162 206 0.04

Mexico 1 855 729 0.45 130 000 AMERICA MOVIL SA 1.500% 16-10/03/2024 EUR 137 597 0.03

214 000 CEMEX SAB 3.125% 19-19/03/2026 EUR 219 073 0.05

700 000 PETROLEOS MEXICA 3.125% 13-27/11/2020 EUR 722 313 0.18



Cayman Islands 1 523 599 0.37 1 104 939 PUBMASTER FIN 5.943% 02-30/09/2022 GBP 1 311 649 0.32

200 000 UPCB FINANCE VII 3.625% 17-15/06/2029 EUR 211 950 0.05

Bulgaria 1 485 547 0.36 500 000 BGARIA-FLIRB-REG 3.000% 16-21/03/2028 EUR 621 094 0.15

500 000 BULG ENRGY HLD 4.875% 16-02/08/2021 EUR 539 531 0.13

250 000 BULGARIA REP 3.125% 15-26/03/2035 EUR 324 922 0.08

Kazakhstan 1 147 466 0.28 319 000 KAZAKHSTAN 2.375% 18-09/11/2028 EUR 359 074 0.09

794 000 KAZMUNAYGAS NAT 4.750% 17-19/04/2027 USD 788 392 0.19

Belgium 1 074 504 0.27 150 000 ANHEUSER - BUSCH INBEV SA/NV 1.150% 18-22/01/2027 EUR 159 280 0.04

90 000 BELGIUM GOVERNMENT 0.200% 16-22/10/2023 EUR 93 081 0.02


120 000 BELGIUM GOVERNMENT 0320 4.250% 10-28/03/2041 EUR 218 825 0.05

100 000 BELGIUM GOVERNMENT 0338 0.500% 17-22/10/2024 EUR 105 422 0.03




100 000 KBC GROUP NV 0.750% 16-18/10/2023 EUR 102 422 0.03

Macedonia 909 719 0.22 570 000 MACEDONIA-C BOND 2.750% 18-18/01/2025 EUR 615 422 0.15

250 000 MACEDONIA-C BOND 5.625% 16-26/07/2023 EUR 294 297 0.07

Isle of Man 788 717 0.19 736 000 PLAYTECH PLC 4.250% 19-07/03/2026 EUR 788 717 0.19

Serbia 675 139 0.17 67 660 000 SERBIA T-BONDS 5.875% 18-08/02/2028 RSD 675 139 0.17

Switzerland 578 619 0.15 100 000 ARGENTUM NETHERLANDS 1.125% 18-17/09/2025 EUR 105 441 0.03

476 000 KB ACT SYS BV 5.000% 18-15/07/2025 EUR 473 178 0.12

Finland 534 493 0.14 144 000 FINNISH GOVT 0.000% 19-15/09/2024 EUR 148 350 0.04

120 000 FINNISH GOVT 0.500% 16-15/04/2026 EUR 128 060 0.03

107 000 FINNISH GOVT 0.500% 19-15/09/2029 EUR 115 682 0.03

140 000 NORDEA BANK 0.375% 19-28/05/2026 EUR 142 401 0.04

Austria 499 513 0.13 100 000 OMV AG 0.750% 18-04/12/2023 EUR 103 210 0.03

71 000 REP OF AUSTRIA 0.500% 19-20/02/2029 EUR 76 551 0.02

70 000 REPUBLIC OF AUSTRIA 2.400% 13-23/05/2034 EUR 95 595 0.02

130 000 REPUBLIC OF AUSTRIA 4.150% 07-15/03/2037 EUR 224 157 0.06




Page 21


assets

Azerbaijan 487 513 0.12 330 000 REP OF AZERBAIJAN 3.500% 17-01/09/2032 USD 293 237 0.07

200 000 REP OF AZERBAIJAN 4.750% 14-18/03/2024 USD 194 276 0.05

Latvia 477 425 0.12 350 000 REP OF LATVIA 2.250% 17-15/02/2047 EUR 477 425 0.12

Sweden 435 377 0.12 100 000 NORDEA BANK AB 1.125% 15-12/02/2025 EUR 106 109 0.03

227 000 SKANDINAV ENSKIL 0.050% 19-01/07/2024 EUR 227 261 0.06

100 000 SVENSKA HANDELSBANKEN 0.500% 18-21/03/2023 EUR 102 007 0.03

Portugal 339 583 0.08 100 000 BRISA CONCESSAO 2.375% 17-10/05/2027 EUR 112 728 0.03

60 000 PORTUGUESE OTS 4.100% 06-15/04/2037 EUR 93 156 0.02

80 000 PORTUGUESE OTS 4.100% 15-15/02/2045 EUR 133 699 0.03

Norway 302 779 0.08 188 000 SPAREBANK 1 SR 0.625% 19-25/03/2024 EUR 192 390 0.05

110 000 TELENOR 0.000% 19-25/09/2023 EUR 110 389 0.03

Israel 273 740 0.07 755 000 ISRAEL FIXED 3.750% 17-31/03/2047 FLAT ILS 273 740 0.07

Supranational 259 064 0.06 257 000 EFSF 0.000% 17-29/03/2021 EUR 259 064 0.06

Albania 214 438 0.05 200 000 ALBANIA 3.500% 18-09/10/2025 EUR 214 438 0.05

Australia 131 319 0.03 121 000 TELSTRA CORP LTD 1.375% 19-26/03/2029 EUR 131 319 0.03

Japan 128 589 0.03 108 000 TAKEDA PHARMACEUTICAL 3.000% 18-21/11/2030 EUR 128 589 0.03

Canada 115 856 0.03 114 000 BANK NOVA SCOTIA 0.500% 19-30/04/2024 EUR 115 856 0.03

Jersey Island 104 979 0.03 100 000 SWISS RE ADMIN 1.375% 16-27/05/2023 EUR 104 979 0.03

Slovenia 49 322 0.01 40 000 REP OF SLOVENIA 1.750% 16-03/11/2040 EUR 49 322 0.01

Slovakia 39 983 0.01 29 333 SLOVAKIA GOVT 3.625% 14-16/01/2029 EUR 39 983 0.01

Floating rate bonds 23 239 612 5.77

The Netherlands 9 937 751 2.44 1 000 000 ABN AMRO BANK NV 15-29/12/2049 FRN EUR 1 033 250 0.25

896 000 ACHMEA BV 19-24/03/2168 FRN EUR 893 999 0.22

100 000 ARGENTUM NET 19-19/02/2049 FRN EUR 111 821 0.03

480 000 HEMA BONDCO I 17-15/07/2022 FRN EUR 443 119 0.11

100 000 IBERDROLA INTL 19-31/12/2049 FRN EUR 109 349 0.03

1 503 000 KPN NV 13-14/03/2073 FRN GBP 1 735 215 0.42

800 000 NATURGY ENERGY GROUP F 15-29/12/2049 FRN EUR 855 370 0.21

100 000 NN GROUP NV 17-13/01/2048 FRN EUR 116 476 0.03

744 000 REPSOL INTERNATIONAL FINANCE 15-25/03/2075 FRN EUR 855 650 0.21

185 000 REPSOL INTERNATIONAL FINANCE 15-29/12/2049 FRN EUR 193 782 0.05

700 000 TELEFONICA EUROP 16-31/12/2049 FRN EUR 739 982 0.18





411 000 UNITED GROUP 19-15/05/2025 FRN EUR 413 657 0.10

200 000 VOLKSWAGEN INTERNATION FN 17-31/12/2049 FRN EUR 206 126 0.05




Page 22


assets

Belgium 1 900 518 0.47 1 000 000 BELFIUS BANK SA 18-31/12/2049 FRN EUR 904 348 0.22

800 000 KBC GROUP NV 18-31/12/2049 FRN EUR 799 493 0.20

200 000 KBC GROUP NV 19-03/12/2029 FRN EUR 196 677 0.05

United Kingdom 1 728 276 0.43 221 000 CENTRICA PLC 15-10/04/2076 FRN EUR 224 492 0.06

116 000 LLOYDS BANKING GROUP PLC 18-15/01/2024 FRN EUR 116 315 0.03

700 000 VODAFONE GROUP 18-03/01/2079 FRN EUR 740 297 0.18

350 000 VODAFONE GROUP 18-03/10/2078 FRN GBP 419 252 0.10

200 000 VODAFONE GROUP 18-03/10/2078 FRN EUR 227 920 0.06

France 1 570 513 0.41 100 000 AXA SA 16-06/07/2047 FRN EUR 114 093 0.03

100 000 BNP PARIBAS 19-23/01/2027 FRN EUR 110 178 0.03

100 000 CREDIT AGRICOLE ASSURANCES 18-29/01/2048 FRN EUR 101 399 0.02

200 000 ORANGE 14-29/12/2049 FRN EUR 234 404 0.06

100 000 ORANGE 19-31/12/2049 FRN EUR 104 658 0.03

600 000 ORANGE 19-31/12/2059 FRN EUR 597 000 0.15

100 000 TOTAL SA 15-29/12/2049 FRN EUR 102 533 0.03

100 000 TOTAL SA 19-31/12/2049 FRN EUR 103 964 0.03

100 000 UNIBAIL-RODAMCO 18-31/12/2049 FRN EUR 102 284 0.03

Spain 1 458 312 0.36 600 000 BANCO BILBAO VIZ 19-31/12/2049 FRN EUR 643 356 0.16

800 000 BANCO BILBAO VIZCAYA ARGENTARIA 15-29/12/2049 FRN EUR 814 956 0.20

Switzerland 1 233 484 0.31 109 000 CREDIT SUISSE 17-17/07/2025 FRN EUR 113 562 0.03

917 000 UBS GROUP 15-29/12/2049 FRN EUR 1 003 886 0.25

100 000 ZURICH INSURANCE 16-01/10/2046 FRN EUR 116 036 0.03

Germany 1 102 788 0.28 100 000 ALLIANZ SE 15-07/07/2045 FRN EUR 107 943 0.03

600 000 COMMERZBANK CAP 06-29/07/2049 FRN EUR 572 910 0.14

200 000 MERCK 19-25/06/2079 FRN EUR 214 339 0.05

100 000 MERCK 19-25/06/2079 FRN EUR 102 338 0.03

100 000 TALANX AG 17-05/12/2047 FRN EUR 105 258 0.03

Italy 1 054 721 0.26 100 000 ASSICURAZIONI GENERALI 15-27/10/2047 FRN EUR 120 104 0.03

100 000 ENEL S.P.A. 18-24/11/2078 FRN EUR 103 519 0.03

350 000 ENEL SPA 19-24/05/2080 FRN EUR 377 913 0.09

455 000 UNICREDIT SPA 19-23/09/2029 FRN EUR 453 185 0.11

Luxembourg 1 006 749 0.25 457 000 CPI PROPERTY GRO 19-31/12/2049 FRN EUR 477 137 0.12

100 000 TALANX FINANZ 12-15/06/2042 FRN EUR 121 612 0.03

400 000 TLG FINANCE 19-31/12/2059 FRN EUR 408 000 0.10

Cyprus 941 426 0.23 925 000 AROUNDTOWN SA 19-12/01/2168 FRN EUR 941 426 0.23

Portugal 763 788 0.19 300 000 EDP SA 15-16/09/2075 FRN EUR 320 474 0.08

400 000 EDP SA 19-30/04/2079 FRN EUR 443 314 0.11

United States of America 257 910 0.07 149 000 JPMORGAN CHASE 19-11/03/2027 FRN EUR 155 458 0.04

101 000 MORGAN STANLEY 19-26/07/2024 FRN EUR 102 452 0.03

Australia 160 400 0.04 150 000 BHP BILLITON FIN 15-22/04/2076 FRN EUR 160 400 0.04

Denmark 122 976 0.03 122 000 JYSKE BANK A/S 19-20/06/2024 FRN EUR 122 976 0.03




Page 23


assets

Other transferable securities 490 164 0.13

Shares 101 514 0.03

Russia 101 514 0.03 183 389 MAGNITOGORSK IRON & STEEL WORKS PJSC RUB 101 514 0.03

Bonds 388 650 0.10

France 388 650 0.10 533 000 LA FIN ATALIAN 5.125% 15/05/2025 EUR 388 650 0.10

Money Market Instruments 750 725 0.18

Italy 750 725 0.18 750 000 ITALY CTZS 0.000% 18-30/03/2020 EUR 750 725 0.18

Shares/Units in investment funds 29 999 579 7.36

Luxembourg 18 413 921 4.52 7 966.00 ALPHA UCITS SICAV FAIR OAKS DYNAMIC CREDIT FUND - E EUR EUR 8 549 429 2.10

3 985.51 BNP PARIBAS INSTICASH EUR 3M Standard VNAV - X CAP EUR 404 010 0.10

6 478.84 BNPP FLEXI ABS OPP XCA EUR 8 976 105 2.20

4 638.30 BNPP SUSTAINABLE ENHANCED BOND 12M XCA EUR 484 377 0.12

United Kingdom 11 585 658 2.84 8 866 637.00 SEQUOIA ECONOMIC INFRASTRUCTURE INCOME FUND LIMITED - ORD NPV GBP 11 585 658 2.84

Total securities portfolio 401 737 924 98.99

Notes to the financial statements

BNP PARIBAS A FUND

Notes to the financial statements at 30/09/2019

Page 25

Note 1 - General information

a) Events that occurred during the financial period ended 30 September 2019

No special event occurred during this financial period.

Note 2 - Principal accounting methods

a) Net asset value

This semi-annual report is prepared on the basis of the last net asset value as at 30 September 2019.

b) Presentation of the financial statements

The Company's financial statements are presented in conformity with the legislation in force in Luxembourg on Undertakings

for Collective Investment. The currency of the Company is the Euro (EUR).

The statement of operations and changes in net assets covers the financial period from 1 April 2019 to 30 September 2019.

c) Valuation of the securities portfolio

The valuation of all securities listed on a stock exchange or any other regulated market, which functions regularly, is

recognised and accessible to the public, is based on the last known closing price on the Valuation Day, and, if the securities

concerned are traded on several markets, on the basis of the last known closing price on the major market on which they

are traded; if the last known closing price is not a true reflection, the valuation shall be based on the probable sale price

estimated by the Board of Directors in a prudent and bona fide manner.

The Board of Directors uses this possibility for the valuation of the securities listed on East Asia, South Asia, Southeast Asia,

and Oceania markets. In these cases, the aforesaid last known closing price is adjusted by using a method reviewed by the

auditors of the Company and monitored by the Management Company to reflect a fair value price of the concerned assets.

Unlisted securities or securities not traded on a stock exchange or another regulated market which functions in a regular

manner, is recognised and accessible to the public, shall be valued on the basis of the probable sale price estimated in a

prudent and bona fide manner by a qualified professional appointed for this purpose by the Board of Directors.

With regard to money market investments, the value of such instruments is based on the acquisition cost, proportionally

increased by the difference between the redemption price and the price of acquisition. In the event of significant changes

in market conditions, the valuation method will be adjusted according to the new market rate conditions.

d) Net realised result on the securities portfolio

The net realised result on investment securities is calculated on the basis of the average cost of the securities sold.

e) Income on investments

Dividends are recognized as income on the date they are declared and to the extent that the information in question on

this subject can be obtained by the Company. Interests are recognized on a daily basis.

f) Valuation of futures contracts

Unexpired futures are valued at the last price known on the valuation date or closing date and the resulting unrealised

profits or losses are booked.

Margin accounts to guarantee the liabilities on futures contracts are included in the “Cash at banks and time deposits”

account in the statement of net assets.

g) Valuation of options

The liquidation value of options traded on stock markets is based on the closing prices published by the stock markets on which

the Company traded the contracts in question. The liquidation value of options not traded on stock markets is determined in

accordance with the rules defined by the Board of Directors, in accordance with uniform criteria for each category of contract.

BNP PARIBAS A FUND


Page 26

h) Valuation of forward foreign exchange contracts

Forward foreign exchange contracts remaining open at the closing date are valued by reference to the forward foreign

exchange rate corresponding to the remaining life of the contract. Any unrealised gains and losses are included when

determining the result of the transactions.

To calculate the net positions per currency, the positions are converted at the forward exchange rates corresponding to

the remaining life of the contract.

i) Conversion of foreign currencies

The cost of investments denominated in currencies other than the Company accounting currency is converted into that

currency at the exchange rate prevailing at the purchase date.

Income and expenses in currencies other than the Company accounting currency are converted into that currency at the

exchange rate at the transaction date.

At the end of the period, the assets and liabilities denominated in currencies other than the Company accounting currency

are converted into that currency at the exchange rates prevailing at that date. The resulting realized and unrealized foreign

exchange gains or losses are included in the statement of operations and changes in net assets.

j) Valuation of credit default swaps

The value of a Credit Default Swap shall be determined by comparing the value of the protection swap leg and the value

of the premium swap leg. The value of the premium leg is obtained by discounting the future premium flows using the

relevant risk-adjusted discount. The value of the protection leg is the present value of the expected loss inherent to the

contract. Default probabilities used to compute the expected loss are derived from the structure of par market swap rates.

Par market swap rates will be obtained from a cross-section of market counterparties.

k) Valuation of total return swaps and performance swaps

A Total Return Swap (TRS) and a Performance Swap are bilateral agreements in which each party agrees to exchange

payments based on the performance of an underlying instrument represented by a security, commodity, basket or index

thereof for a fixed or variable rate. One party pays out the total return of a specific reference asset, and in return, receives

a regular stream of payments. The total performance will include gains and losses on the underlying, as well as any interest

or dividends during the contract period according to the type of underlying.

The cash flows to be exchanged are calculated by reference to an agreed upon notional amount or quantity. Total return

swaps are marked to market at each NAV calculation date.

The unrealised appreciation/(depreciation) is disclosed in the Statement of net assets under “Net Unrealised gain on

financial instruments” or “Net Unrealised loss on financial instruments”. Realised gains/(losses) and change in unrealised

appreciation/(depreciation) as a result thereof are included in the Statement of operations and changes in net assets

respectively under “Net realised result on Financial instruments” and “Movement on net unrealised gain/(loss) on

Financial instruments”.

l) Valuation of interest rate swaps

Interest rate swaps are valued on the basis of the difference between the value of all future interest payable by the

Company to its counterparty on the valuation date at the zero coupon swap rate corresponding to the maturity of these

payments and the value of all future interest payable by the counterparty to the Company on the valuation date at the zero

coupon swap rate corresponding to the maturity of these payments.

BNP PARIBAS A FUND


Page 27

Note 3 - Management fees (maximum per annum)

Management fees are calculated and deducted monthly from the average net assets of a sub-fund, share category, or share

class, are paid to the Management Company and serve to cover remuneration of the asset managers and also distributors

in connection with the marketing of the Company’s stock.

The fee applied to the “Classic” class is also applicable to all other categories of shares with the word “Classic” in their

denomination.

The fee applied to the “I” class is also applicable to all other categories of shares with the word “I” in their denomination.

The fee applied to the “Privilege” class is also applicable to all other categories of shares with the word “Privilege” in

their denomination.

No management fee is applied to the “X” class.

Sub-fund Classic I Privilege

Dynamic Portfolio(1) 1.20% N/A N/A

European Multi-Asset Income 1.25% 0.60% 0.65%

(1) An indirect fee of maximum 3.00% is applied for the sub-fund Dynamic Portfolio.

Note 4 - Other fees

Other fees are calculated and deducted monthly from the average net assets of a sub-fund, share category, or share class

and serve to cover general custody assets expenses (remuneration of the Depositary) and daily administration expenses

(NAV calculation, record and book keeping, notices to the shareholders, providing and printing the documents legally

required for the shareholders, domiciliation, auditors cost and fees...), except for brokerage fees, commissions for

transactions not related to the deposit, director fees, interest and bank fees, extraordinary expenses, reporting cost in

relation with regulation requirements including the European Market Infrastructure Regulation (EMIR), and the “taxe

d’abonnement” in force in Luxembourg, as well as any other specific foreign tax and other regulators levy.

Note 5 - Taxes

The Company is subject in Luxembourg to an annual subscription tax (“taxe d’abonnement”) representing 0.05% of the

value of the net assets. This rate is reduced to 0.01% for the following:

a) sub-funds having the exclusive objective of collective investment in money market investments and deposits with

credit institutions;

b) sub-funds having the exclusive objective of collective investment with credit institutions;

c) sub-funds, categories and/or classes reserved for Institutional Investors, Managers and UCIs.

The following are exempt from this “taxe d’abonnement”:

a) the value of assets represented by units or shares in other UCIs, provided that these units or shares have already been

subject to the “taxe d’abonnement”;

b) sub-funds, categories and/or classes:

(i) whose securities are reserved to Institutional Investors, Managers or UCIs and

(ii) whose sole object is the collective investment in money market instruments and the placing of deposits with

credit institutions, and

(iii) whose weighted residual portfolio maturity does not exceed 90 days, and

(iv) that have obtained the highest possible rating from a recognised rating agency;

c) sub-funds, categories and/or classes reserved to:

(i) institutions for occupational retirement pension or similar investment vehicles, set up at the initiative of one or

more employers for the benefit of their employees, and

(ii) companies having one or more employers investing funds to provide pension benefits to their employees;

BNP PARIBAS A FUND


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d) sub-funds whose main objective is investment in microfinance institutions;

e) sub-funds, categories and/or classes:

(i) whose securities are listed or traded on at least one stock exchange or another regulated market operating

regularly that is recognized and open to the public, and

(ii) whose exclusive object is to replicate the performance of one or several indices.

When due, the “taxe d’abonnement” is payable quarterly on the basis of the relevant net assets, and is calculated at the

end of the quarter for which it is applicable.

In addition, the Company may be subject to foreign UCI’s tax, and/or other regulators levy, in the country where the

sub-fund is registered for distribution.

Note 6 - Dividends

For the “Classic MD”, “Classic RH MD”, ”I RH MD”, “Privilege MD” and “Privilege RH MD” share classes of the

sub-fund European Multi-Asset Income, the following dividends were paid:

- Payment dates:

Month Record Date (1) NAV ex-Dividend Date(2) Payment Date(3)

April 15 April 16 April 30 April

May 17 May 20 May 31 May

June 19 June 20 June 01 July

July 18 July 19 July 31 July

August 20 August 21 August 02 September

September 17 September 18 September 30 September (1) If this day is not a bank business day in Luxembourg, the record date will be the next following bank business day.

(2) Dates are based on a valuation simulation. As a consequence, dates may change depending on the composition of the portfolio at

this date. If for a particular reason, the day in question the valuation was not possible, the ex-date would be put off to the valuation day

possible immediately afterwards.

(3) If this day is not a bank business day in Luxembourg, the payment date will be the next following bank business day. If for a

particular reason, the settlement is not possible (e.g. bank holiday on a specific currency or country), settlement will be made

the 1st business day after or any other day communicated by the local agent.

- Monthly amount:

Sub-fund Class Currency Dividend

European Multi-Asset Income Classic MD EUR 0.33

European Multi-Asset Income Classic RH AUD MD AUD 0.51

European Multi-Asset Income Classic RH CAD MD CAD 0.54

European Multi-Asset Income Classic RH CNH MD CNH 0.68

European Multi-Asset Income Classic RH HKD MD HKD 0.50

European Multi-Asset Income Classic RH SGD MD SGD 0.49

European Multi-Asset Income Classic RH USD MD USD 0.56

European Multi-Asset Income I RH USD MD USD 0.57

European Multi-Asset Income Privilege MD EUR 0.37

European Multi-Asset Income Privilege RH USD MD USD 0.61

Note 7 - Share currencies

The net asset value per share is priced in the currency of the share class and not in the currency of the sub-fund in the

section “Key figures relating to the last 3 years”.

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Note 8 - Exchange rates

The exchange rates used for consolidation and for the conversion of share classes denominated in a currency other than

the reference currency of the relevant sub-fund as at 30 September 2019 were the following:

EUR 1 = AUD 1,61640

EUR 1 = CAD 1,44345

EUR 1 = CNH 7,78535

EUR 1 = HKD 8,54650

EUR 1 = SGD 1,50765

EUR 1 = USD 1,09020

Note 9 - Futures contracts

As at 30 September 2019, the following positions were outstanding:

European Multi-Asset Income

Currency Quantity Purchase/

Sale Description Maturity

Nominal

(in EUR)

Net unrealised

gain/(loss)

(in EUR)

EUR 8 P EURO-BUND FUTURE 06/12/2019 1 394 000 (18 240)

EUR 219 P CAC40 EURO FUTURE 18/10/2019 12 430 440 154 614

EUR 40 S DAX INDEX - FUTURE 20/12/2019 12 411 000 (36 538)

EUR 59 S

EURO OAT FUTURE

FRENCH GOVT BD

10YR 6%

06/12/2019 10 048 290 118 000

EUR 108 P MSCI EUROPE NR 20/12/2019 2 489 400 18 468

EUR 537 P STOXX 600(SXXP) 20/12/2019 10 506 405 75 180

Total: 311 484

As at 30 September 2019, the cash margin balance in relation to futures and/or options amounted to 831 234 EUR.

Broker for Futures contracts:

BNP Paribas Paris

Note 10 - Forward foreign exchange contracts

As at 30 September 2019, outstanding forward foreign exchange contracts were as follows:


Currency Purchase amount Currency Sale amount

AUD 19 981 000 AUD 595 360

CAD 3 218 000 CHF 11 822 061

CNH 5 385 000 DKK 26 983 013

CZK 8 063 000 EUR 97 957 381

EUR 115 962 361 GBP 61 743 473

HKD 33 053 660 HKD 4 875 700

HUF 263 108 000 ILS 1 027 000

NOK 102 000 000 NOK 56 999 209

PLN 6 747 000 PLN 1 239 000

SGD 13 561 000 RON 399 000

USD 62 737 217 RUB 16 164 000 SEK 138 591 530 SGD 236 350 TRY 794 000 USD 12 409 060

Net unrealised gain (in EUR) 336 709

As at 30 September 2019, the latest maturity of all outstanding contracts is 6 December 2019.

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Counterparties to Forward foreign exchange contracts:

Bank of America Securities Europe

BNP Paribas Paris

BNP Paribas Securities Services Luxembourg

Citigroup Global Market

Goldman Sachs International London

JP Morgan

Morgan Stanley Bank

Société Générale

UBS Europe

Note 11 – Swaps

Performance Swaps

A Performance Swap is an agreement to exchange the total performance of a bond or other underlying asset (share, index,

etc.) for a benchmark rate plus a spread. The total performance includes the interest coupons, dividends and profits and

losses on the underlying asset over the life of the agreement, depending on the type of underlying concerned. The risk in

this type of agreement is linked to the fact that the benefit for each counterparty will depend on how the underlying asset

performs over time, which is unknown at the time at which the agreement is entered into.


Nominal % of net assets

engaged Counterparty Currency Maturity Sub-fund paid Sub-fund received

50 000 000 12.32%

SOCIETE

GENERALE

PARIS, FRANCE

EUR 01/10/2019 EURIBOR 3M SG BNPPAM OTC Call

Overwriting Strategy

10 000 000 2.46% JP MORGAN AG,

GERMANY EUR 27/04/2020

Negative performance on

J.P. Morgan Bespoke

Europe Call Overwriting

(JPOSCOE1) Strategy

Positive performance on J.P.

Morgan Bespoke Europe Call

Overwriting (JPOSCOE1) Strategy

Net unrealised loss

(in EUR) (215 005)

Interest Rate Swaps

The Company has entered into interest rate swaps agreements whereby it exchanges fixed income (sum of the notional amount

and the fixed rate) for variable income (sum of the notional amount and the floating rate) and vice versa. These amounts are

calculated and recognised at each calculation of the Net Asset Value; the receivable amount is stated under “Other assets” in

the Statement of net assets, while the payable amount is given under “Other liabilities” in the Statement of net assets.


Nominal Currency Maturity Sub-fund paid Sub-fund received

11 850 000 PLN 15/03/2021 WARSAW INTERBK OFFER

RATE 6M 1.800%

Net unrealised gain (in EUR) 1 831

Counterparties to Swap contracts:

Goldman Sachs International London, United Kingdom

JP Morgan Securities Ltd, Germany

Société Générale Paris, France

BNP PARIBAS A FUND


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Note 12 - Options positions

For options contracts with the same Description, Currency, Maturity Date, Strike and Counterparty, the positions are

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