Year 2020 Information Disclosure of BNP Paribas (China) Ltd.

BNP Paribas (China) Limited 25/F, Shanghai World Financial Center, No. 100, Century Avenue, Shanghai 200121, PRC Tel:86 21 28962888 Fax:86 21 28962556

This report was prepared in accordance with the “Administrative Measures of Information Disclosure of Commercial Banks”

It is composed of the following contents:

I: Basic Information of the Institution 3

II: Financial Situation 4-96

III: Risk Management 97-119 PART I: RISK SITUATION PART II: RISK MANAGEMENT CAPABILITY

IV: Corporate Governance 120-124

V: Capital Adequency Ratio Situation 125-126

VI: Annual Significant Events 127

VII: Corporate Social Responsibility 128-136

VIII Consumer Rights and Interest Protection 137

2

I. Basic information of the institution

BNP Paribas (China) Limited is a wholly foreign-funded subsidiary bank solely owned by BNP Paribas S.A. and incorporated in the PRC in accordance with the PRC Company Law, the law of the PRC on Commercial Banks, the Regulation of the PRC for the Administration of Foreign-funded Banks, the Detailed Rules for Implementing the Regulation of the PRC on the Administration of Foreign-funded Banks and other applicable laws and regulations. According to the approval, BNP Paribas (China) Limited is headquartered at room 2610 and 25/F, Shanghai World Financial Center, No. 100, Century Avenue, Shanghai, PRC, and has three branches and one sub-branch located in Beijing, Tianjin and Guangzhou and Shanghai Free Trade Zone respectively.

The registered capital of BNP Paribas (China) Limited is RMB 8,711,347,906. Mr. Paul Yang had been appointed as the Chairman of the Board of Directors and the Legal Representative of BNP Paribas (China) Limited and Mr. CG Lai had been appointed as Chief Executive of BNP Paribas (China) Limited.

According to the approval, BNP Paribas (China) Limited is currently allowed to engage in all of the following foreign exchange and RMB business: receiving deposits from the general public; granting short- term, medium-term and long-term loans, handing acceptance and discounting of negotiable instruments; buying and selling government bonds and financial bonds, buying and selling foreign currency- denominated securities other than stocks; providing letter of credit services and guarantee services; handling domestic and international settlement; buying and selling foreign exchange and acting as an agent for the purchase and sale of foreign exchange; acting as an insurance agent; engaging in inter-bank lending; engaging in bank card business; providing safe deposit box services; providing credit information, research and consulting services; and any other business approved by the China Banking Regulatory Commission.

3

BNP PARIBAS (CHINA) LIMITED

Financial Statements and Auditor’s Report For the year ended 31 December 2020

BNP PARIBAS (CHINA) LIMITED

FINANCIAL STATEMENTS AND AUDITOR’S REPORT FOR THE YEAR ENDED 31 DECEMBER 2020

CONTENTS PAGE(S)

AUDITOR’S REPORT 1 - 3

BALANCE SHEET 4 - 5

INCOME STATEMENT 6

CASH FLOW STATEMENT 7 - 8

STATEMENT OF CHANGES IN OWNER’S EQUITY 9 - 10

NOTES TO THE FINANCIAL STATEMENTS 11 - 87

AUDITOR’S REPORT

De Shi Bao (Shen) Zi (21) No.P02591 (Page 1 of 3) [Translation]

TO THE BOARD OF DIRECTORS OF BNP PARIBAS (CHINA) LIMITED:

I. Opinion

We have audited the accompanying financial statements of BNP Paribas (China) Limited (the “Bank”), which comprise the balance sheet as at 31 December 2020, and the income statement, statement of changes in owners’ equity and cash flow statement for the year then ended, and notes to the financial statements.

In our opinion, the accompanying financial statements present fairly, in all material respects, the Bank’s financial position as at December 31, 2020, and the Bank’s results of operations and cash flows for the year then ended in accordance with Accounting Standards for Business Enterprises (“ASBEs”).

II. Basis for Opinion

We conducted our audit in accordance with China Standards on Auditing (“CSAs”). Our responsibilities under those standards are further described in the “Auditor’s Responsibilities for the Audit of the Financial Statements” section of our report. We are independent of the Bank in accordance with the Code of Ethics for Chinese Certified Public Accountants (“the Code”), and we have fulfilled our other ethical responsibilities in accordance with the Code. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

III. Responsibilities of Management and Those Charged with Governance for the Financial Statements

Management of the Bank is responsible for the preparation and fair presentation of the financial statements in accordance with ASBEs, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, management is responsible for assessing the Bank’s ability to continue as a going concern, disclosing, as applicable , matters related to going concern and using the going concern assumption unless management either intends to liquidate the Bank or to cease operations, or has no realistic alternative but to do so.

Those charged with governance are responsible for overseeing the Bank’s financial reporting process.

- 1 -

AUDITOR’S REPORT

De Shi Bao (Shen) Zi (21) No.P02591 (Page 2 of 3) [Translation]

IV. Auditor’s Responsibilities for the Audit of the Financial Statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with CSAs will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with CSAs, we exercise professional judgment and maintain professional skepticism throughout the audit. We also:

(1) Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

(2) Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of internal control.

(3) Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by management.

(4) Conclude on the appropriateness of management’s use of the going concern assumption and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Bank’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required by CSAs to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause the Bank to cease to continue as a going concern.

(5) Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

- 2 -

AUDITOR’S REPORT

De Shi Bao (Shen) Zi (21) No.P02591 (Page 3 of 3) [Translation]

IV. Auditor’s Responsibilities for the Audit of the Financial Statements - continued

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

Deloitte Touche Tohmatsu Certified Public Accountants Certified Public Accountants LLP Registered in the People’s Republic of China

Shanghai, the People’s Republic of China Li Bing Wen

Yang Yi Wen

15 April 2021

The auditor's report and the accompanying financial statements are English translations of the Chinese auditor's report and statutory financial statements prepared under accounting principles and practices generally accepted in the People’s Republic of China. These financial statements are not intended to present the financial position and results of operations in accordance with accounting principles and practices generally accepted in other countries and jurisdictions. In case the English version does not conform to the Chinese version, the Chinese version prevails.

- 3 - BNP PARIBAS (CHINA) LIMITED

BALANCE SHEET AT 31 DECEMBER 2020

ASSETS NotesVII 2020/12/31 2019/12/31 RMB RMB ASSETS Cash and deposits with the Central Bank 1 6,781,879,122.32 6,170,010,799.99 Deposits with banks and other financial institutions 2 735,683,489.95 855,306,365.37 Placements with other banks 3 12,022,604,500.00 6,887,218,200.00 Financial assets at FVTPL 4 6,665,817,723.27 3,019,817,744.66 Derivative assets 5 17,919,129,776.65 8,892,729,855.06 Loans and advances 6 15,175,888,700.19 14,507,673,359.89 Available-for-sale financial assets 7 6,997,010,777.91 8,047,842,088.96 Held-to-maturity investments 8 2,848,852,915.23 - Fixed assets 9 20,087,802.06 19,723,679.48 Intangible assets 10 18,683,775.85 15,888,903.35 Deferred tax assets 11 205,049,094.48 - Other assets 1 2 ___2,985,461,254.88______1,706,957,627.42______TOTAL ASSETS 72,376,148,932.79 50,123,168,624.18 ______

- 4 - BNP PARIBAS (CHINA) LIMITED

BALANCE SHEET - continued AT 31 DECEMBER 2020

LIABILITIES AND OWNER’S EQUITY NotesVII 2020/12/31 2019/12/31 RMB RMB

LIABILITIES Due to banks and other financial institutions 13 2,769,456,770.16 2,612,526,165.71 Takings from other banks 14 10,350,626,421.61 7,316,697,534.88 Derivative liabilities 5 17,904,587,642.87 8,294,386,428.77 Assets sold under repurchase agreements 15 4,424,100,000.00 2,620,500,000.00 Customer deposits 16 25,379,111,345.39 17,357,154,760.97 Payable to employees 17 120,217,802.39 113,326,769.21 Tax payable 18 189,348,175.35 19,942,506.53 Deferred tax liabilities 11 - 24,652,525.27 Other liabilities 1 9 ______1,006,867,586.72 ______1,270,973,997.32 TOTAL LIABILITIES 62,144,315,744.49 39,630,160,688.66 ______OWNER’S EQUITY Paid-in capital 20 8,711,347,906.00 8,327,555,199.88 Other comprehensive income 34 23,443,868.24 69,279,694.14 Surplus reserve 21 569,578,776.11 539,812,668.24 General reserve 22 659,373,016.67 659,373,016.67 Retained earnings 2 3 ______268,089,621.28 ______896,987,356.59 TOTAL OWNER’S EQUITY ______10,231,833,188.30 ______10,493,007,935.52 TOTAL LIABILITIES AND OWNER’S EQUITY 72,376,148,932.79 50,123,168,624.18 ______

The accompanying notes form an integral part of these financial statements.

The financial statements on pages 4 to 88 were signed by the following:

Head of the Bank Chief Operational Officer Chief Financial Officer

- 5 - BNP PARIBAS (CHINA) LIMITED

INCOME STATEMENT FOR THE YEAR ENDED 31 DECEMBER 2020

NOTES VII 2020 2019 RMB RMB

Operating income 1,114,636,709.49 1,478,276,504.57 Net interest income 24 677,724,038.83 735,474,394.84 Interest income 24 1,282,194,914.72 1,272,265,189.27 Interest expense 24 ______604,470,875.89 ______536,790,794.43 Net fee and commission income/(expense) 25 82,169,698.00 (46,836,203.78) Fee and commission income 25 161,336,610.52 143,388,416.95 Fee and commission expense 25 ______79,166,912.52 ______190,224,620.73 Investment gains/(losses) 26 2,321,619,108.27 (718,134,567.02) Fair value (losses)/gains 27 (593,356,233.46) 336,724,814.53 Foreign exchange (losses)/gains 28 (1,374,631,044.04) 1,168,920,133.48 Other income ______1,111,141.89 ______2,127,932.52 Operating expenses 728,336,356.29 646,462,012.18 Tax and surcharges 13,510,585.35 7,750,556.40 General and administrative expenses 29 690,010,355.47 620,177,046.70 Impairment loss 30 24,815,415.47 18,485,499.44 Other expense ______- ______48,909.64 Operating profit 386,300,353.20 831,814,492.39 Add: Non-operating income 31 121,015.95 5,598.21 Less: Non -operating expenses 32 ______4,888,171.54 ______350,000.00 Profit before tax 381,533,197.61 831,470,090.60 Less: Income tax 33 ______83,872,118.93 ______205,125,969.03 Net profit 297,661,078.68 626,344,121.57 ______Classified by going concern assumption: - Net profit from continuing operation ______297,661,078.68 ______626,344,121.57 After-tax net other comprehensive income 34 ______(45,835,825.90) ______5,493,533.92 Among: other comprehensive income to be reclassified to profit and loss (losses)/gains on fair value changes of available-for-sale financial assets ______(45,835,825.90) ______5,493,533.92 TOTAL COMPREHENSIVE INCOME 251,825,252.78 631,837,655.49 ______

The accompanying notes are part of the financial statements.

- 6 - BNP PARIBAS (CHINA) LIMITED

CASH FLOW STATEMENT FOR THE YEAR ENDED 31 DECEMBER 2020

NotesVII 2020 2019 RMB RMB

Cash flows from operating activities： Interest, fee and commission received 1,163,011,360.93 1,148,347,089.01 Net decrease in deposits with the Central Bank 591,727,384.70 - Net decrease in placements with banks and other financial institutions - 304,368,227.90 Net cash received from settlement of derivatives financial instruments 2,256,532,205.89 - Net increase in due to banks and other financial institutions 156,930,604.45 687,758,935.80 Net increase in takings from other banks 3,033,928,886.73 1,266,925,263.08 Net increase in assets sold under repurchase agreements 1,803,600,000.00 1,476,497,075.94 Net increase in customer deposits 8,021,956,584.42 3,604,836,548.06 Net cash received from financial assets at FVTPL - 411,959,006.90 Cash received relating to other operating activities ______68,079,716.80 ______239,927,090.33 Sub -total of cash inflow ______17,095,766,743.92 ______9,140,619,237.02 Interest, fee and commission paid (653,373,516.22) (666,733,789.12) Net increase in placements with banks and other financial institutions (7,383,794,500.00) - Net cash paid for financial assets at FVTPL (3,626,817,151.43) - Net increase in loans and advances (688,740,852.87) (2,094,715,433.47) Cash paid to employees (381,058,799.66) (377,275,328.62) Taxes paid (237,300,978.42) (389,947,864.43) Net increase in deposits with the Central Bank - (1,789,901,566.59) Net cash paid for settlement of derivatives financial instruments - (830,209,222.67) Cash paid to other relating operating activities ______(3,278,072,522.27) ______(596,912,700.02) Sub -total of cash outflow (16,249,158,320.87)______(6,745,695,904.92) Net cash provided from operating activities ______846,608,423.05 ______2,394,923,332.10 (Continued)

- 7 - BNP PARIBAS (CHINA) LIMITED

CASH FLOW STATEMENT - continued FOR THE YEAR ENDED 31 DECEMBER 2020

NotesVII 2020 2019 RMB RMB

Cash flows from investment activities: Net cash received from proceed bond investments 399,562,880.75 324,158,221.03 Cash received from available-for-sale financial assets ______989,716,876.52 ______- Sub -total of cash inflow ______1,389,279,757.27 ______324,158,221.03 Cash paid for purchase of fixed assets, intangible assets and other long-term assets (17,680,065.43) (17,194,836.26) Cash paid for held-to-maturity investments (2,848,852,915.23) - Cash paid for available-for-sale financial assets ______- ______(2,469,110,425.70) Sub -total of cash outflow ______(2,866,532,980.66) ______(2,486,305,261.96) Net cash used in investment activities ______(1,477,253,223.39) ______(2,162,147,040.93 )

Cash flows from financing activities: Cash receipts from investment - 1,133,135,661.91 Cash receipts from negotiable certificate deposit issuance ______298,988,400.00 ______- Sub -total of cash inflow ______298,988,400.00 ______1,133,135,661.91 Cash paid for profit distribution (513,000,000.00) - Cash repayments of negotiable certificate deposit (298,988,400.00) - Cash repayments of negotiable certificate deposit interests ______(1,011,600.00) ______- Sub -total of cash outflow ______(813,000,000.00) ______- Net cash flows used in financing activities ______(514,011,600.00) ______1,133,135,661.91

Effect of foreign exchange rate changes on cash and cash equivalents (19,778,968.05) 15,187,064.73

Net (decrease)/increase in cash and cash equivalents (1,164,435,368.39) 1,381,099,017.81 Add: Cash and cash equivalents at the beginning of year 35 ______4,785,719,335.45 ______3,404,620,317.64

Cash and cash equivalents at the end of year 35 3,621,283,967.06 4,785,719,335.45 ______

The accompanying notes are part of the financial statements.

- 8 - BNP PARIBAS (CHINA) LIMITED

STATEMENT OF CHANGES IN OWNER’S EQUITY FOR THE YEAR ENDED 31 DECEMBER 2020

2020 Other Comprehensive Paid-in Capital Income Surplus Reserve General Reserve Retained Earnings Total RMB RMB RMB RMB RMB RMB

Balance at 1 January 2020 8,327,555,199.88 69,279,694.14 539,812,668.24 659,373,016.67 896,987,356.59 10,493,007,935.52 Current year movement 383,792,706.12 (45,835,825.90) 29,766,107.87 - (628,897,735.31) (261,174,747.22) (I)Capital contributed by owners 383,792,706.12 - - - (383,792,706.12) - 1. Capital transferred from retained earnings 383,792,706.12 - - - (383,792,706.12) -

(II) Net profit - - - - 297,661,078.68 297,661,078.68

(III) Other comprehensive income - (45,835,825.90) - - - (45,835,825.90) Net change in fair value of available -for- sales financial assets - (61,114,434.53) - - - (61,114,434.53) Effect of the related deferred income tax ______- ______15,278,608.63 ______- ______- ______- ______15,278,608.63

Subtotal of (I), (II) and (III) ______383,792,706.12 ______(45,835,825.90) ______- ______- ______(86,131,627.44) ______251,825,252.78 (IV)Profit distribution - - 29,766,107.87 - (542,766,107.87) (513,000,000.00) 1. Distribution to owners - - - - (513,000,000.00) (513,000,000.00) 2 . Surplus reserve ______- ______- ______29,766,107.87 ______- ______(29,766,107.87) ______-

Balance at 31 December 2020 ______8,711,347,906.00 ______23,443,868.24______569,578,776.11______659,373,016.67______268,089,621.28______10,231,833,188.30______

- 9 - BNP PARIBAS (CHINA) LIMITED

STATEMENT OF CHANGES IN OWNER’S EQUITY - continued FOR THE YEAR ENDED 31 DECEMBER 2020

2019 Other Comprehensive Paid-in Capital Capital Surplus Income Surplus Reserve General Reserve Retained Earnings Translation Difference Total RMB RMB RMB RMB RMB RMB RMB RMB

Balance at 31 December 2018 4,866,347,906.00 14,780,028.46 63,786,160.22 457,742,554.59 613,927,018.94 2,907,724,827.25 (196,273,877.34) 8,728,034,618.12 Translation difference of changing functional currency at 1 January 2019 ______(383,792,706.12) ______(2,524,800.95) ______- ______19,435,701.49 ______45,445,997.73 ______125,161,930.51 ______196,273,877.34 ______- Balance at 1 January 2019 4,482,555,199.88 12,255,227.51 63,786,160.22 477,178,256.08 659,373,016.67 3,032,886,757.76 - 8,728,034,618.12 Current year movement 3,845,000,000.00 (12,255,227.51) 5,493,533.92 62,634,412.16 - (2,135,899,401.17) - 1,764,973,317.40 (I)Capital contributed by owners 3,845,000,000.00 (12,255,227.51) - - - (2,699,609,110.58) - 1,133,135,661.91 1. Monetary contribution 1,133,135,661.91 ------1,133,135,661.91 2. Capital transferred from capital surplus 12,255,227.51 (12,255,227.51) ------3. Capital transferred from retained earnings 2,699,609,110.58 - - - - (2,699,609,110.58) - -

(II) Net profit - - - - - 626,344,121.57 - 626,344,121.57

(III) Other comprehensive income - - 5,493,533.92 - - - - 5,493,533.92 Net change in fair value of available -for- sales financial assets - - 7,324,711.89 - - - - 7,324,711.89 Effect of the related deferred income tax ______- ______- ______(1,831,177.97) ______- ______- ______- ______- _____(1,831,177.97)______

Subtotal of (I), (II) and (III) ______3,845,000,000.00 ______(12,255,227.51) ______5,493,533.92 ______- ______- ______(2,073,264,989.01) ______- _____1,764,973,317.40______(IV)Profit distribution - - - 62,634,412.16 - (62,634,412.16) - - 1. Surplus reserve ______- ______- ______- ______62,634,412.16 ______- ______(62,634,412.16) ______- ______-

Balance at 31 December 2019 ______8,327,555,199.88 ______- ______69,279,694.14 ______539,812,668.24 ______659,373,016.67 ______896,987,356.59 ______- ______10,493,007,935.52

The accompanying notes are part of the financial statements.

- 10 - BNP PARIBAS (CHINA) LIMITED.

NOTES TO THE FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2020

I. BACKGROUND AND PRINCIPAL ACTIVITIES OF THE BANK

BNP Paribas (China) Limited (“the Bank”) was set up as a foreign invested bank incorporated in Shanghai, the People’s Republic of China (“the PRC”) and wholly owned by BNP Paribas S.A. (“BNP Paribas”) on 13 October 1992. On 15 August 2007, the China Banking Regulatory Commission (“CBRC”, Now referred to as the China Banking and Insurance Regulatory Commission, “CBIRC”,) approved BNP Paribas’s plan to transform the original branches in China into a separately funded wholly foreign-owned bank of BNP Paribas - BNP Paribas (China) Limited and its branches.

In accordance with the approval from the preparatory group of China Banking and Insurance Regulatory Commission Shanghai Branch on 12 December 2018 regarding the increase of registered capital of the Bank (Hu Yin Bao Jian (Chou) Fu [2018] No. 208), the Bank increased its registered capital to RMB 8,711,347,906.00 equivalent in freely convertible currencies. Based on shareholder meeting held on 26 March 2020 and board resolution, the Bank distributed profits in 2019 of RMB 383,792,706.12 to its shareholder , BNP Paribas, which are used to increase paid-in capital in the Bank. By 26 March 2020, the Bank has has transferred RMB 383,792,706.12 of audited undistributed profits as of December 31, 2019 into paid-in capital. After capital injection, paid-in capital of the Bank is RMB 8,711,347,906.00. For the detail information of the paid-in capital movement during the year 2020 and the actual contribution by investors, please refer to Notes VII-20.

The principal activities of the Bank are the provisions of foreign currency business and RMB business as approved by the People’s Bank of China (“PBOC”) and CBIRC under Article 29 of the Administration Regulations on Foreign Invested Banks of the People’s Republic of China (“the Administration Regulations”).

As of 31 December 2020, the Bank consisted of Head Office of BNP Paribas (China) Limited, the Beijing Branch, the Tianjin Branch, the Guangzhou Branch and Shanghai Free Trade Zone Sub- branch. Head Office of the Bank is in Shanghai, with registered address located in Room 2610, Shanghai World Financial Center, No 100 on Century Avenue, Shanghai Pilot Free Trade Zone. The Bank’s operating period is from 28 June 2004 to 12 October 2022.

The Bank’s parent company is BNP Paribas.

II. BASIS OF PREPARATION OF FINANCIAL STATEMENTS

The Bank adopted the “Accounting Standards for Business Enterprises” and relevant requirements promulgated by the Ministry of Finance of the People’s Republic of China. (hereafter collectively referred to as “CAS”).

Going-concern

The Bank assessed its ability to continue as a going concern for the 12 months from 31 December 2020 and did not notice any events or circumstances that may cast significant doubt upon its ability to continue as a going concern. Therefore, the financial statements have been prepared on a going concern basis.

- 11 - BNP PARIBAS (CHINA) LIMITED.

III. STATEMENT OF COMPLIANCE WITH ACCOUNTING STANDARDS FOR BUSINESS ENTERPRISES

The financial statements of the Bank for the year ended 31 December 2020 truly and completely present the financial position as of 31 December 2020 and the operating results, cash flows and other information for the year then ended of the Bank in compliance with the Accounting Standards for Business Enterprises.

IV. SIGNIFICANT ACCOUNTING POLICIES AND ACCOUNTING ESTIMATES

The following significant accounting policies and accounting estimates are determined in accordance with the CAS.

1. Accounting year

The Bank has adopted the calendar year as its accounting year, i.e. from 1 January to 31 December.

2. Functional currency

The functional currency of the Bank was USD before 1 January 2019. After the Bank assessing those factors need to be taken into consideration for the determination of the functional currency, Bank considers that RMB is the key currency of the primary economic environment in which the Bank operates. On 1 January 2019, the Bank changed its functional currency to RMB. The Bank applied the spot exchange rate of the functional currency change date to all the items in the financial statements, from the original functional currency USD to the new functional currency RMB, and recorded as the initial recognition amount under the new functional currency.

3. Basis of accounting and principle of measurement

The Bank has adopted the accrual basis of accounting. Except for certain financial instruments which are measured at fair value, the Bank has adopted the historical cost as the principle of measurement of the financial statements. Where assets are impaired, provisions for asset impairment are made in accordance with relevant requirements.

Under the historical cost model, assets are measured by cash and cash equivalents paid or the fair value of consideration paid. The liabilities are measured at the amount of asset or cash received bearing the present obligation or contractual amount of present obligation or amount of cash or cash equivalents expected to pay to settle the liability in daily activities.

Fair value is the price received when selling an asset or the amount to pay when transferring a liability between orderly-trading market participants at the measurement date. The fair value measured or disclosed in the financial statements are determined on aforementioned basis, regardless of whether it is directly observable or estimated using valuation technique.

The fair value measurement is categorized into 3 levels based on the degree to which the inputs to the fair value measurements are observable and the significance of the inputs to the fair value measurement in its entirety, which are described as follows:

- Level 1 inputs are unadjusted quoted prices when acquiring identical assets or liabilities in active markets at the measurement date.

- 12 - BNP PARIBAS (CHINA) LIMITED.

IV. SIGNIFICANT ACCOUNTING POLICIES AND ACCOUNTING ESTIMATES - continued

3. Basis of accounting and principle of measurement - continued

- Level 2 inputs are directly or indirectly observable inputs of related assets or liabilities other than Level 1 inputs.

- Level 3 inputs are unobservable inputs of related assets or liabilities.

4. Cash and cash equivalents

Cash comprises cash on hand and demand deposits. Cash equivalents are short-term, highly liquid investments that are readily convertible to known amounts of cash and which are subject to an insignificant risk of change in value.

5. Financial instruments

When the Bank becomes a party to the contractual provisions of a financial instrument, related financial assets or financial liabilities are recognized. Financial assets and financial liabilities are initially recognised at fair value. For financial assets and financial liabilities classified as fair value through profit and loss (“FVTPL”), related transaction costs are charged to the profit or loss for the current period; for financial assets and financial liabilities classified as other categories, related transaction costs are included in the initial recognition amounts.

5.1 The effective interest method

The effective interest method is a method of calculating the amortised cost of a financial asset or a financial liability (or group of financial assets or financial liabilities) and of allocating the interest income or interest expense over the relevant period, using the effective interest rate. The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts through the expected life of the financial instrument or, when appropriate, a shorter period to the net carrying amount of the financial asset or financial liability.

When calculating the effective interest rate, the Bank estimates the future cash flows considering all contractual terms of financial assets and financial liabilities (without considering future credit loss). The calculation includes all fees paid or received between the parties to the contract that are an integral part of the effective interest rate, transaction costs, and all other premiums or discounts.

5.2 Recognition and measurement of financial assets

On initial recognition, financial assets are classified into the following categories: ‘financial assets at fair value through profit or loss’ (FVTPL), ‘held-to-maturity’ investments, ‘loans and receivables’ and ‘available-for-sale’ (AFS) financial assets. For a financial asset trade in regular way, the Bank recognizes and derecognizes the financial asset with trade date accounting.

Financial assets at FVTPL

Financial assets are classified as at FVTPL where the financial asset is either held for trading or it is designated as at FVTPL. The Bank’s financial assets at FVTPL are mainly financial assets held for trading.

- 13 - BNP PARIBAS (CHINA) LIMITED.

IV. SIGNIFICANT ACCOUNTING POLICIES AND ACCOUNTING ESTIMATES - continued

5. Financial instruments - continued

5.2 Recognition and measurement of financial assets - continued

A financial asset is classified as held for trading if: (1) it has been acquired principally for the purpose of selling in the near future; or (2) it is part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit-taking; or (3) it is a derivative, except for a derivative that is a designated and effective hedging instrument, or a financial guarantee contract, or a derivative that is linked to and must be settled by delivery of an unquoted equity instrument (without a quoted price from an active market) whose fair value cannot be reliably measured.

Financial assets at FVTPL are subsequently measure at fair value, with gains or losses arising from changes in fair value as well as dividends and interest income related to such financial assets recognised in profit or loss for the current period.

Held-to-maturity investments

Held-to-maturity investments are non-derivative financial assets with fixed or determinable payments and fixed maturities that the Bank has the positive intention and ability to hold to maturity.

Held-to-maturity investments are subsequently measured at amortized cost using the effective interest method; gains or losses arising from de-recognition, impairment or amortization is recognized in profit or loss for the current period.

Loans and receivables

Loans and receivables are non-derivative financial assets with fixed or determinable payments that are not quoted in an active market. Loans and receivables of the Bank include cash and deposits of the Central bank, deposits with banks and other financial institutions, placement with banks, loans and advances to customers, interest receivable, and other receivables etc.

Loans and receivables are subsequently measured at amortised cost using the effective interest method. Gains or losses arising from de-recognition, impairment or amortisation are recognized in profit or loss for the current period.

AFS financial assets

AFS financial assets are those non-derivative financial assets that are designated as available-for- sale or are not classified as (1) financial assets at FVTPL, (2) loans and receivables, and (3) held- to-maturity investments.

AFS financial assets are subsequently measured at fair value. Gains or losses arising from changes in fair value (other than impairment loss and foreign exchange gains and losses resulted from foreign currency monetary assets which are recognised in profit or loss for the current period) are recognised directly in other comprehensive income, and recognised in profit or loss for the period when such financial assets are derecognised.

Interest received during the period in which the Bank holds the AFS financial assets and cash dividends declared by the investee are recognised as investment income.

- 14 - BNP PARIBAS (CHINA) LIMITED.

IV. SIGNIFICANT ACCOUNTING POLICIES AND ACCOUNTING ESTIMATES - continued

5. Financial instruments - continued

5.3 Impairment of financial assets

The Bank assesses the carrying amount of financial assets, other than those at FVTPL, at each balance sheet date. If there is objective evidence that financial assets are impaired, the Bank determines the amount of any impairment loss. The objective evidence that financial assets are impaired is the evidence that happened actually, after initially recognized, which will have an impact upon expected future cash flows of the financial asset, and the impact can be reliably measured by the Bank.

Objective evidence that a financial asset is impaired includes evidence arising from the following events:

(1) Significant financial difficulty of the issuer or obligor; (2) A breach of contract by the borrower, such as a default or overdue in interest or principal payments; (3) The Bank, for economic or legal reasons relating to the borrower’s financial difficulty, granting a concession to the borrower; (4) It has become probable that the borrower will enter into bankruptcy or other financial reorganization; (5) The disappearance of an active market for a financial asset because of financial difficulties of the issuer; (6) Upon an overall assessment of a group of financial assets, observable data indicates that there is a measurable decrease in the estimated future cash flows from the group of financial assets since the initial recognition of those assets, although the decrease cannot yet be identified with the individual financial assets in the a group. Such observable data includes: - adverse changes in the payment status of borrowers in the group; - adverse changes in national or local economic conditions of the borrowers that might affect the repayment of the group of financial assets; (7) Other objective evidence indicating an impairment of a financial asset.

Financial assets carried at amortised cost

If financial assets carried at amortised cost are impaired, the carrying amount of the financial asset shall be reduced to the present value of estimated future cash flows discounted at the financial asset’s original effective interest rate (excluding future credit loss that have not been incurred). The amount of reduction shall be recognised as an impairment loss in profit or loss. If, after the recognition of impairment loss, the carrying amount of financial assets increases and the increase can be related objectively to an event occurring after the impairment was recognised, the previously recognised impairment loss are reversed through profit or loss to the extent that the carrying amount of the financial assets at the date the impairment is reversed does not exceed what the amortised cost would have been had the impairment not been recognised.

For a financial asset that is individually significant, the Bank assesses the asset individually for impairment. For a financial asset that is not individually significant, the Bank assesses the asset individually for impairment or includes the asset in a group of financial assets with similar credit risk characteristics and collectively assesses them for impairment. For a financial asset that does not need impairment after individual assessment (include individually significant and non- significant financial asset), the Bank reassesses the asset collectively with a group of financial assets with similar credit risk characteristics for impairment. The financial asset that has impaired in individual assessment does not need to be included in collectively assessment for impairment with a group of financial assets with similar credit risk characteristics.

- 15 - BNP PARIBAS (CHINA) LIMITED.

IV. SIGNIFICANT ACCOUNTING POLICIES AND ACCOUNTING ESTIMATES - continued

5. Financial instruments - continued

5.3 Impairment of financial assets - continued

Impairment of AFS financial assets

Where AFS financial assets are impaired, accumulated loss due to decreases in fair value previously recognised directly in other comprehensive income are reversed and charged to profit or loss for the current period. The reversed accumulated loss are the asset’s initial acquisition costs after deducting amounts recovered and amortised, current fair value and impairment loss previously recognised in profit or loss.

If, in a subsequent period, the carrying amount of financial assets increases and the increase can be related objectively to an event occurring after the impairment was recognised, the previously recognised impairment loss are reversed. The reversal of impairment loss of AFS equity instruments is recognized as other comprehensive income and recorded in equity, and the impairment losses of AFS debt instruments is recognised in profit or loss for the current period.

5.4 Transfer of financial assets

The Bank derecognises a financial asset if one of the following conditions is satisfied: (1) the contractual rights to the cash flows from the financial asset expire; or (2) the financial asset has been transferred and substantially all the risks and rewards of ownership of the financial asset is transferred to the transferee; or (3) although the financial asset has been transferred, the Bank neither transfers nor retains substantially all the risks and rewards of ownership of the financial asset but has not retained control of the financial asset.

If the Bank neither transfers nor reserved nearly all of the risks and rewards of ownership of financial assets, and does not give up control of the financial asset, it shall recognise the financial asset to the extent of its continuing involvement in the transferred financial asset and recognise an associated liability. The extent of the Bank’s continuing involvement in the transferred asset is the extent to which it is exposed to changes in the value of the transferred asset.

When the criteria of financial assets transfer is satisfied, the Bank shall recognise the difference between the carrying amount of the financial assets derecognised plus the consideration from financial assets transfer and accumulated fair value changes recognised in other comprehensive income in profit and loss for the period.

When the partially transferred financial asset satisfy the requirement of derecognition, its book value is allocated between the derecognition and recognition part by their relative fair value, and the difference between the above-mentioned distributed book value and the consideration received from the transfer plus the accumulated fair value change previously recorded as other comprehensive income which should be allocated to the derecognition part is calculated as profit and loss in current period.

- 16 - BNP PARIBAS (CHINA) LIMITED.

IV. SIGNIFICANT ACCOUNTING POLICIES AND ACCOUNTING ESTIMATES - continued

5. Financial instruments - continued

5.5 Classification, recognition and measurement of financial liabilities

Combing the definition of financial liability with equity instruments, the Bank classifies a financial instrument or part of it into a financial liability or equity investment at initial recognition, according to its contract terms and the economic substance it reflects rather than solely considering its law form.

On initial recognition, financial liabilities are classified as either financial liabilities at ‘fair value through profit or loss’ (FVTPL) or ‘other financial liabilities’.

Financial liabilities at FVTPL

Financial liabilities are classified as at FVTPL where the financial liability is either held for trading or it is designated as at FVTPL. The financial liabilities held by the Bank are designated as at fair value through profit or loss.

Financial liabilities that meet one of the following conditions are classified as FVTPL: (1)the financial liability can eliminate or obviously reduce the difference of related profit or loss recognition and measurement due to its different measurement basis; (2)the Bank’s risk management or investment strategy formally specified that the financial liability portfolios or the financial asset and liability portfolios are managed on the basis of fair value, evaluated and reported to key management staff; (3)Eligible mixed instruments embedded with derivatives.

Financial liabilities at FVTPL are subsequently measured at fair value, with gains or losses arising from changes in fair values as well as dividends and interest income related to such financial liabilities recognised in profit or loss for the current period.

Other financial liabilities

Derivative liabilities linked to and which must be settled by delivery of an unquoted equity instrument (without a quoted price in an active market) whose fair value cannot be measured reliably is subsequently measured at cost. Other financial liabilities except for financial guarantee contract and loan commitments are subsequently measured at amortised cost using the effective interest method; gains or losses arising from de-recognition or amortisations are recognised in profit or loss for the current period.

Financial guarantee contracts

Financial guarantee contracts refer to the agreement of guarantor and creditor when the debtor fails to perform his obligation, the guarantor shall perform the obligation or bear the liability of the contract. Financial guarantee contracts that are not designated as financial liabilities at FVTPL are initially recognised at fair value less related trade expenses, and are subsequently measured at the higher of the following two amounts: (1) the amount determined in accordance with Accounting Standard for Business Enterprises No. 13 – Contingencies; and (2) the amount initially recognised less cumulative amortisation recognised in accordance with the principles set out in Accounting Standard for Business Enterprises No. 14 – Revenue.

- 17 - BNP PARIBAS (CHINA) LIMITED.

IV. SIGNIFICANT ACCOUNTING POLICIES AND ACCOUNTING ESTIMATES - continued

5. Financial instruments - continued

5.6 De-recognition of financial liabilities

The Bank shall derecognise a financial liability (or part of it) only when the underlying present obligation (or part of it) is discharged. An agreement between the Bank (a debtee) and a debtor to replace the original financial liability with a new financial liability with substantially different terms shall be accounted for as an extinguishment of the original financial liability and the recognition of a new financial liability.

When the Bank derecognises a financial liability or a part of it, the Bank shall recognise the difference between the carrying amount of the financial liability (or part of the financial liability) derecognised and the consideration paid (including any non-cash assets transferred or new financial liabilities assumed) in profit or loss for current period.

5.7 Derivatives and embedded derivatives

Derivative instruments include interest derivatives, currency derivatives, commodity related derivatives agreements, equity related derivatives agreements and gold derivatives agreements, etc. Derivatives are initially recognised at fair value on the date when related contracts are signed, and are subsequently measured at fair value. Except for the derivatives assigned for hedging and hedging is effective, which the changes in fair value are recognised in the period according to the nature of hedging relationship, the changes in fair value of other derivatives are recognised in profit or loss for the period.

For hybrid instruments containing embedded derivatives, if they are not designated as financial assets or financial liabilities at fair value through profit or loss, where the economic characteristics and risks of the embedded derivative are not closely related to those of the host contract, and where they are of the same condition as embedded derivatives and meet the definition of a derivative on a stand-alone basis, the embedded derivative is accounted for as a stand-alone derivative financial instrument separately from the host contract. If the embedded derivative cannot be measured on a stand-alone basis at the time when acquired or at subsequent balance sheet dates, the hybrid instrument is designated as financial assets or financial liabilities at fair value through profit or loss as a whole.

The Bank designates a hybrid instrument as a financial asset or financial liability at fair value through profit or loss unless:

- the embedded derivative(s) does not significantly modify the cash flows of the hybrid instrument; or - it is clear when a similar hybrid instrument is considered that separation of the embedded derivative(s) is prohibited.

- 18 - BNP PARIBAS (CHINA) LIMITED.

IV. SIGNIFICANT ACCOUNTING POLICIES AND ACCOUNTING ESTIMATES - continued

5. Financial instruments - continued

5.8 Offsetting a financial asset and a financial liability

Financial assets and liabilities are offset and the net amount is reported in the balance sheet if, and only if, the Bank has a currently enforceable legal right to set off the recognized amounts and intends to settle on a net basis, or to realize an asset and settle the liability simultaneously. In all other situations they are presented separately in the balance sheet and are not offset.

5.9 Assets sold under repurchase agreements

Financial assets sold under repurchase agreements indicate the assets (including bonds or bills) sold by the Bank will be repurchased at a certain future date with certain price according to the agreement. The financial assets repurchase in the certain future date are not derecognised in balance sheet. The amount received from sales of such assets is stated as financial assets sold under repurchase agreement. The difference between selling price and repurchase price at the duration of the agreement is recognized by the effective interest method as interest income or interest expense.

6. Fixed assets

Fixed assets are tangible assets that are held for operational and administrative purposes and have useful lives more than one accounting year. A fixed asset shall be recognised only when both of the following conditions are satisfied: (1) it is probable that economic benefits associated with the asset will flow to the Bank; and (2) the cost of the asset can be measured reliably. A fixed asset is initially measured at cost.

Subsequent expenditure incurred on a fixed asset is included in the cost of the fixed asset, only if it is probable that economic benefits associated with the asset will flow into the Bank and relevant cost can be measured reliably. Meanwhile the carrying amount of the replaced part is derecognised. Other subsequent expenditure is charged to profit or loss in current period when incurred.

Depreciation is provided over their estimated useful lives from the month after they are brought to working condition for the intended use, using the straight-line method. The useful lives, estimated net residual values rates and annual depreciation rates of each class of fixed assets are as follows:

Classes Useful Lives Net Residual Annual Value Rates Depreciation Rates

Office equipment 5 years - 20% Electronic equipment 3-5 years - 20-33%

- 19 - BNP PARIBAS (CHINA) LIMITED.

IV. SIGNIFICANT ACCOUNTING POLICIES AND ACCOUNTING ESTIMATES - continued

6. Fixed assets - continued

The carrying amount of a fixed asset shall be derecognised when the asset is on disposal or when no future economic benefits are expected to be generated from its use or disposal. When a fixed asset is sold, transferred, retired or damaged, the Bank recognizes the amount of any proceeds on disposal of the asset net of the carrying amount and related taxes in profit or loss for the current period.

The Bank reviews the useful life and estimated net residual value of a fixed asset and the depreciation method applied at least at each financial year-end. A change in the useful life or estimated net residual value of a fixed asset or the depreciation method used is accounted for as a change in an accounting estimate.

7. Intangible assets

Intangible asset of the Bank includes software and etc.

An intangible asset is initially measured at cost. An intangible asset with a finite useful life is amortized using the straight-line method over its useful life when the asset is available for use. An intangible asset with an indefinite useful life is not amortized.

For an intangible asset with a finite useful life, the Bank reviews the useful life and amortization method at least at each financial year-end and makes changes if necessary.

8. Long-term prepayments

Long-term prepayments are various expenditures incurred but that should be allocated over the current and future periods of more than one year. Long-term prepayments are evenly amortized over expected beneficial period.

9. Impairment of non-financial assets except goodwill

The Bank assesses at each balance sheet date whether there is any indication that fixed assets, intangible assets with finite useful life and long-term prepaid expenses may be impaired. If any indication that an asset may be impaired occurred, the recoverable amount should be estimated.

Recoverable amount is determined based on individual assets. If it is not possible to estimate the recoverable amount of the individual asset, the Bank determines the recoverable amount of the asset group to which the asset belongs to. The recoverable amount of an asset is the higher of its fair value less costs of disposal and the present value of the future cash flows expected to be derived from the asset.

If the recoverable amount of an asset is less than its carrying amount, the difference is recognised as an impairment loss and charged to profit or loss for the current period.

Once an impairment loss is recognized, it is not reversed in a subsequent period.

- 20 - BNP PARIBAS (CHINA) LIMITED.

IV. SIGNIFICANT ACCOUNTING POLICIES AND ACCOUNTING ESTIMATES - continued

10. Contingent liabilities

When the obligations related to contingencies such as loss contracts are the current obligations of the bank and the performance of the obligations is likely to lead to the outflow of economic benefits and the amount of the obligations can be reliably measured, then it is recognized as the contingent liabilities.

On the balance sheet day, the contingent liabilities are measured according to the best estimate of the expenditure required to fulfil the relevant current obligations, considering the risk, uncertainty and the time value of money related to contingencies. If the time value of money has a significant impact, the best estimate is determined by the amount of discounted estimated future cash flows.

11. Employee benefits

During the accounting period when employees rendering services, the bank recognizes the actual short-term compensation as liabilities and accrued into current period profit and loss or related asset cost. Monetary employee welfare is recognised in current period profit and loss or cost of related assets when actually occurred. Non-monetary employee welfare is measured using fair value.

The amount of medical insurance, industrial injury insurance, maternity insurance, other social welfare, housing fund, labour union fee and personnel education fund that the Bank pays for its employee is determined according to the stated basis and ratio, and recognized into related liability, current period profit and loss or related asset cost during the accounting period its employee rendering services.

During the accounting period when the Bank’s employee rendering services, it recognized the amount that it should deposit according to defined contribution plan as a liability and recorded into current period profit and loss or related asset cost.

The bank recognized the payroll related liability arising from dismiss welfare and recorded into current period profit and loss which is earlier between the following: The bank is unable to unilaterally withdraw the plan on due to terminate the labour relationship/the layoff proposal, or the bank confirms the relevant costs/expenses of paying bank termination benefits.

12. Share-based payments

The Bank implements cash-settled share-based payment for certain employees of key positions on the basis of equity from BNP Paribas.

The share-based payments shall be vested after elimination period. The Bank shall, at each balance sheet date during the vesting period, recognise the services received for the current period as related costs or expenses, with a corresponding increase in liability, at an amount equal to the fair value of the liability based on the best estimate of the outcome of vesting.

Until the liability is settled, the Bank shall remeasure the fair value of the liability at each balance sheet date and at the date of settlement, with changes recognised in profit or loss for the period.

- 21 - BNP PARIBAS (CHINA) LIMITED.

IV. SIGNIFICANT ACCOUNTING POLICIES AND ACCOUNTING ESTIMATES - continued

13. Interest income and expenses

Interest income and expenses of interest-bearing financial assets and financial liabilities are determined using the effective interest rate. If the difference between the effective interest rate and the contract interest rate is minor, the contract interest rate can be used.

All fees paid or charged between all sides of financial asset or liability contract, as the component of the actual rate, trading fees and premium or discount, etc., should be considered when determining the effective interest rate. If the future cashflow or duration cannot be measured, the cashflow of the financial asset or liability in the contract period shall be used.

If financial assets are impaired, the relevant interest income is determined by future cash flow discount rate used to measure impairment loss.

Interest receivable refers to the interest accrued but not yet received by the Bank according to the balance of financial assets and their duration and the corresponding contract interest rate or nominal rate, which is presented in the book balance of other assets.

Interest payable refers to the interest accrued but not yet paid by the Bank according to the balance of financial liabilities and their duration and the corresponding contract interest rate or nominal interest rate, which is presented in the book balance of other liabilities.

14. Fees and commission income

Fees and commission income are recognized on an accrual basis when the related services are delivered.

15. Income tax

Income tax expenses comprise current income tax and deferred tax.

15.1 Current income tax

At the balance sheet date, the current income tax liabilities (or assets) for the current period or previous periods are measured at the amount expected to be paid (or recovered) according to the requirements of tax law.

15.2 Deferred tax assets and deferred tax liabilities

Temporary differences arising from the difference between the carrying amount of an asset or liability and its tax base, or the difference between the tax base and the carrying amount of those items that are not recognised as assets or liabilities but have a tax base that can be determined according to tax laws, are recognized as deferred tax assets and deferred tax liabilities using the balance sheet liability method.

In general, deferred tax assets are recognised for all deductible temporary differences to the extent that it is probable that taxable profits will be available against which the deductible temporary differences can be utilised.

The Bank recognizes a deferred tax asset for the carry forward of unused deductible loss and tax credits to the extent that it is probable that future taxable profits will be available against which the deductible loss and tax credits can be utilized.

- 22 - BNP PARIBAS (CHINA) LIMITED.

IV. SIGNIFICANT ACCOUNTING POLICIES AND ACCOUNTING ESTIMATES - continued

15. Income tax - continued

15.2 Deferred tax assets and deferred tax liabilities - continued

At the balance sheet date, deferred tax assets and deferred tax liabilities are measured at the tax rates that are expected to apply to the period when the asset is realized or the liability is settled, according to the requirements of tax laws.

Current income taxes and deferred taxes are recognized in current year profit and loss, except for the transactions related to the other comprehensive income or equity, which should be recognized in the other comprehensive income or equity.

At the balance sheet date, the Bank reviews the carrying amount of any deferred tax asset. If it is probable that sufficient taxable profits will not be available in future periods to allow the benefit of the deferred tax asset to be utilized, the carrying amount of the deferred tax asset is reduced. Any such reduction in amount is reversed to the extent that it becomes probable that sufficient taxable profits will be available.

15.3 Tax asset and tax liability offset

When the Bank has a legal right to offset the recognized amounts and intends to either settle on a net basis, or realize the asset and settle the liability simultaneously, tax asset and tax liability of current period are offset and the net amount is presented in the balance sheet.

When the Bank has a legal right to offset the recognized amounts, and the deferred tax assets and the deferred tax liabilities relate to income taxes levied by the same taxation authority on either the same taxable entity, or different taxable entities which intend to either settle current tax liabilities and assets on a net basis, or to realise the assets and settle the liabilities simultaneously, in each future period in which significant amounts of deferred tax liabilities or assets are expected to be settled or recovered, are reported on a net basis.

16. Entrusted business

The Bank act as the client's trustee in entrusted business. Since the risk and benefit of the entrusted assets are beard by client, those assets are not include in the balance sheet of the Bank.

Entrusted loans are a form of agency business in which the capital is provided by the client (trustor) and is loaned to the target borrower for specified uses, in specified amounts, over specified maturity periods and at a specified interest rate as instructed by the trustor through the Bank (the trustee), who grants, monitors, uses as well as helps retrieve the loan on the trustor’s behalf. The client (trustor) bears the related risks. The Bank earns commission fee only.

- 23 - BNP PARIBAS (CHINA) LIMITED.

IV. SIGNIFICANT ACCOUNTING POLICIES AND ACCOUNTING ESTIMATES - continued

17. Foreign currency transactions

A foreign currency transaction shall be recorded, on initial recognition in the functional currency, by applying the spot exchange rate at the date of the transaction.

At the balance sheet date, foreign currency monetary items are translated into RMB using the spot exchange rates. As for the sale of monetary items measured at amortised cost, exchange differences arising from changes in other book balances, are recognised in other comprehensive income. Apart from this, exchange differences arising from the differences between the spot exchange rates prevailing at the balance sheet date and that on initial recognition or at the previous balance sheet date are recognised in profit or loss for the period.

Foreign currency non-monetary items measured at historical cost are translated to the amounts in functional currency at the spot exchange rates on the dates of the transactions and the amounts in functional currency remain unchanged. Foreign currency non-monetary items measured at fair value are re-translated at the spot exchange rate on the date the fair value is determined. Difference between the re-translated functional currency amount and the original functional currency amount is treated as changes in fair value (including changes of exchange rate) and is recognised in profit and loss or other comprehensive income.

18. Leases

A finance lease is a lease that transfers in substance all the risks and rewards incidental to ownership of an asset. An operating lease is a lease other than a finance lease.

The Bank records operating lease as lessee

Lease payments under an operating lease are recognized on a straight-line basis over the lease term to the cost of the assets or to profit or loss for the period in which they are incurred. Initial direct costs are charged to profit or loss for the current period. Contingent rents are charged to profit or loss in the period when they are actually incurred.

- 24 - BNP PARIBAS (CHINA) LIMITED.

V. THE CRITICAL JUDGMENTS THAT MADE IN THE PROCESS OF APPLYING THE ACCOUNTING POLICY AND KEY ASSUMPTIONS AND UNCERTAINTIES IN ACCOUNTING ESTIMATES

In the application of the Bank’s accounting policies, due to inhering uncertainty of operating activities, which are described in Note IV, the Bank is required to make judgments, estimates and assumptions about the carrying amounts of items in the financial statements that cannot be measured accurately. These judgments, estimates and assumptions are based on historical experience of the Bank’s management as well as other factors that are considered to be relevant. Actual results may differ from these estimates.

The aforementioned judgments, estimates and assumptions are reviewed regularly on a going concern basis. Revisions to accounting estimates are recognised in the period in which the estimate is revised if the revision affects only that period, or in the period of the revision and future periods if the revision affects both current and future periods.

- KEY ASSUMPTIONS AND UNCERTAINTIES IN ACCOUNTING ESTIMATES

As of the balance sheet date, the following are the key assumptions and uncertainties that the Bank has made in the process of applying the accounting estimates and that have the most significant effect on the amounts recognised in financial statements:

Impairment loss of loans and advances

The Bank makes assessment of impairment provision on loan portfolios on a regular basis. For the loan portfolios that have not been found decline in cash flows of single loan, the Bank makes judgment whether or not there is any evidence showing the portfolio’s estimated future cash flows will decrease, so as to determine whether or not any provision for impairment need to be made. For loan portfolio assets with similar credit risk characteristics and objective impairment evidences, the Bank adopts the historical loss experience of similar assets as the basis for calculating the future cash flows of the loan portfolio. The impairment loss of loan and advance assessed individually is the net decreased amount of present value of estimated future cashflow of the loan and advance. The Bank periodically reviews the methods and assumptions used to estimate the amount and time of future cash flows, to reduce the difference between the estimated loan impairment loss and the actual loan impairment loss.

- 25 - BNP PARIBAS (CHINA) LIMITED.

V. THE CRITICAL JUDGMENTS THAT MADE IN THE PROCESS OF APPLYING THE ACCOUNTING POLICY AND KEY ASSUMPTIONS AND UNCERTAINTIES IN ACCOUNTING ESTIMATES - continued

- KEY ASSUMPTIONS AND UNCERTAINTIES IN ACCOUNTING ESTIMATES - continued

Fair value of financial instruments

For the financial instrument without active trading market, the Bank determines its fair value by various valuation methods. The valuation methods that the Bank uses include Discounted Cash Flows (DCF) model analysis, and etc. The Bank needs to make estimates in such aspects as credit risks of itself and counterparties, market volatility and relevance. The changes in the assumptions about these relevant elements will have effects on the fair values of financial instruments.

Income tax

There are a number of transactions for which the final tax determination and calculation is uncertain during the ordinary course of business operation. In particular, the deductibility of certain items is subjected to government approval. Where the final tax outcome is different from the amount that was initially recorded, such differences will impact the income tax and deferred income tax provisions in the period during which such a determination is made.

Deferred tax assets and liabilities

Deferred tax assets and liabilities, are measured at the tax rates that are expected to apply to the period when the assets are realized or the liabilities are settled, according to the requirements of tax laws. Within the limit of sufficient available taxable profits against which the temporary differences can be deductible, the Bank recognizes deferred tax assets against the deductible temporary differences. This requires management judgment to estimate the time of taxable profits and appropriate tax rate, combined with tax strategy, to determine the amount of deferred tax assets and liabilities.

- 26 - BNP PARIBAS (CHINA) LIMITED.

VI. TAXATION

Income tax

Income tax rate is 25%.

In accordance with the Announcement of the State Administration of Taxation 2012 No. 57, the headquarter is responsible for the calculation of its total taxable incomes and the amount of enterprise income tax payable. The headquarter, branches and sub-branch shall prepay enterprise income tax to the local taxation authorities on a monthly or quarterly basis. 50% of the total tax payable shall be paid by the headquarter and remaining 50% shall be allocated among its eligible branches and sub-branch. The headquarter shall calculate the proportions of tax to be borne by different branches and sub-branch according to three factors: operating revenue, employee compensation and total assets, and the 50% of total tax payable shall be allocated in these branches and sub-branch before 15 days after the end of month or quarter (the branches and sub-branch located in the same province with headquarter also allocate the tax payable according to the three factors). Branches and sub-branch shall pay the amount of enterprise income tax they are allocated with respectively to the local state treasuries

Value added tax

VAT payable is the output VAT minus deductible input VAT. The output VAT is calculated by 6% of taxable financial services.

Other taxes

The Bank is liable for paying levies of value-added tax according to local tax bureau’s request. The Headquarter’s urban maintenance and construction tax is 7%, educational surcharge is 3%, and local educational surcharge is 2%. (Since July 2019, Shanghai’s local educational surcharge ratio has been adjusted from 1% to 2%.)

VII. NOTES TO THE FINANCIAL STATEMENTS

1. CASH AND DEPOSITS WITH THE CENTRAL BANK

2020/12/31 2019/12/31 RMB RMB

Statutory deposit reserve with the PBOC 2,365,479,172.11 1,749,697,927.68 Foreign exchange risk reserve with the PBOC 1,950,799,473.10 3,158,308,102.23 Other deposit with the PBOC ______2,465,600,477.11 ______1,262,004,770.08 Total 6,781,879,122.32 6,170,010,799.99 ______

- 27 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

1. CASH AND DEPOSITS WITH THE CENTRAL BANK - continued

Deposit reserve with the PBOC refers to the general deposit reserve with PBOC, which includes RMB deposit reserve, foreign exchange business deposit reserve and offshore RMB deposit reserve. These reserves cannot be used for daily operation without the approval of PBOC. General deposit refers to the collection of savings deposits from individual customers, corporate deposits and other kinds of deposits. According to the relevant provisions of the PBOC, the required reserve ratio for customer deposits denominated in RMB is 10.5% at 31 December 2020 (2019: 10.5%), the required reserve ratio for customer deposits denominated in foreign currencies is 5% at 31 December 2020 (2019: 5%), the required reserve ratio for deposits denominated in offshore RMB is 10.5% (2019: 10%).

According to the PBOC’s "Notice to Enhance The Prudent Macro Management of Forward Exchange Transactions" (Yinfa [2015] No. 273), starting from October 15 2015, financial institutions (including financial companies) that engage in forward foreign exchange transactions should deposit foreign exchange risk reserve. The foreign exchange risk reserve amount is based on the trade volume of forward foreign exchange in the previous month, and is paid at reserve ratio of 20%. According to the PBOC’s "Notice to Adjust Foreign Exchange Risk Reserve" (Yinfa [2020] No. 237), from October 12, 2020, the foreign exchange risk reserve ratio for forward foreign exchange sales business is adjusted from 20% to 0%, while the relevant business sent before October 12, 2020 still deposits foreign exchange risk reserves in accordance with the “Notice of the People’s Bank of China on Adjusting the Policies for Foreign Exchange Risk Reserves” [Yinfa (2018) No.190].

2. DEPOSITS WITH BANKS AND OTHER FINANCIAL INSTITUTIONS

2020/12/31 2019/12/31 RMB RMB

Deposits with domestic banks 345,843,225.03 271,830,144.31 Deposits with overseas banks ______389,840,264.92 ______583,476,221.06 Total 735,683,489.95 855,306,365.37 ______

3. PLACEMENTS WITH OTHER BANKS

2020/12/31 2019/12/31 RMB RMB

Placements with domestic banks 12,022,604,500.00 5,893,574,000.00 Placements with overseas banks ______- ______993,644,200.00 Total 12,022,604,500.00 6,887,218,200.00 ______

- 28 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

4. FINANCIAL ASSETS AT FVTPL

2020/12/31 2019/12/31 RMB RMB Held for trading assets -Government bonds 6,230,855,184.97 1,034,254,801.86 -Financial institutions bonds 235,408,038.30 1,788,508,742.80 -Corporate bonds 80,008,400.00 - -Negotiable certificate of deposits ______119,546,100.00 ______197,054,200.00 Total 6,665,817,723.27 3,019,817,744.66 ______

5. DERIVATIVE INSTRUMENTS

The derivative instruments of the Bank include forwards, swaps, options in foreign exchange and interest rate market commodity-related derivatives, equity related derivatives, gold derivatives contract and derivatives embedded in structured deposits. Derivative transaction is one of the key methods that the Bank adopts to actively manage the risk positions with an objective to ensure the net risk value of the Bank is within the acceptable risk level.

As at 31/12/2020, the notional amount and fair value of the Bank’s derivative financial instruments are as follows:

2020/12/31 Fair value Notional amount Assets Liabilities RMB RMB RMB

Interest rate derivatives 1,318,882,635,086.02 4,263,106,059.88 3,276,435,764.34 Interest rate swaps 1,296,230,968,899.62 3,411,914,321.28 3,187,750,435.53 Cross currency swaps 20,398,800,271.52 849,303,889.63 88,597,967.72 Interest rate options 2,252,865,914.88 1,887,848.97 87,361.09

Foreign exchange derivatives 671,270,152,144.68 12,314,745,624.19 13,236,344,951.45 Foreign exchange swaps 512,797,452,424.20 10,979,764,471.27 11,494,855,948.70 Foreign exchange forwards 111,621,577,110.09 931,850,282.25 1,288,073,699.33 Foreign exchange options 46,851,122,610.39 403,130,870.67 453,415,303.42

Other derivatives 17,370,824,744.80 1,341,278,092.58 1,391,806,927.08 Commodity related derivative contracts 11,480,652,630.70 1,227,619,323.26 1,255,472,784.97 Equity related derivative contract 3,007,471,219.22 57,923,817.29 55,947,101.29 Gold derivative contracts ______2,882,700,894.88 ______55,734,952.03______80,387,040.82 Total 2,007,523,611,975.50 17,919,129,776.65 17,904,587,642.87 ______

- 29 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

5. DERIVATIVE INSTRUMENTS - continued

2019/12/31 Fair value Notional amount Assets Liabilities RMB RMB RMB

Interest rate derivatives 1,898,594,861,661.63 2,920,785,749.57 2,726,472,123.38 Interest rate swaps 1,885,543,989,832.20 2,863,693,230.81 2,542,589,598.02 Cross currency swaps 13,050,871,829.43 57,092,518.76 183,882,525.36

Foreign exchange derivatives 620,294,814,174.99 5,335,933,516.82 4,862,654,210.03 Foreign exchange swaps 479,884,592,247.96 4,692,529,784.46 4,065,904,015.12 Foreign exchange forwards 85,345,749,235.58 446,850,979.99 546,687,880.84 Foreign exchange options 55,064,472,691.45 196,552,752.37 250,062,314.07

Other derivative financial instruments26,146,130,022.09 636,010,588.67 705,260,095.36 Commodity related derivative contracts 22,801,040,887.94 588,769,593.22 588,772,545.15 Equity related derivative contract 1,479,244,000.00 3,560,395.99 3,699,107.38 Gold derivative contracts ______1,865,845,134.15 ______43,680,599.46 ______112,788,442.83 Total 2,545,035,805,858.71 8,892,729,855.06 8,294,386,428.77 ______

6. LOANS AND ADVANCES

(1) Product types:

2020/12/31 2019/12/31 RMB RMB Corporate loans and advances to customers -Loans 12,723,350,138.74 12,400,616,307.38 -Discount 1,750,239,527.96 1,236,441,933.74 -Trade finance ______1,118,591,324.34 ______1,266,381,897.05 Total loans and advances ______15,592,180,991.04 14,903,440,138.17______Less: Allowance for impairment loss on loans and advances(Note) 416,292,290.85 395,766,778.28 Including: Individual assessment 36,153,548.38 30,955,908.27 Collectively assessment ______380,138,742.47 ______364,810,870.01 Net loans and advances 15,175,888,700.19 14,507,673,359.89 ______

- 30 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

6. LOANS AND ADVANCES - continued

(1) Product types - continued

Note: As at 31/12/2020 the allowance for impairment loss on loans and advances including provision accrued according to regulator:

2020/12/31 2019/12/31 RMB RMB

General risk reserve 352,846,878.70 339,998,708.76 Specific risk reserve 37,297,447.90 33,003,839.59 Special risk reserve ______26,147,964.25 ______22,764,229.93 Total 416,292,290.85 395,766,778.28 ______

(2) Industry sector

2020/12/31 2019/12/31 RMB % RMB %

Manufacturing 4,885,400,292.06 38.40 4,384,292,207.76 35.36 Finance 2,596,681,748.08 20.41 999,988,138.27 8.06 Whole-sale and retail services 2,276,439,279.43 17.89 4,727,389,299.55 38.12 Leasing and commercial services 1,478,780,023.19 11.62 385,352,537.44 3.11 Construction and real estate 593,286,621.37 4.67 733,415,283.25 5.92 Agriculture & fishing 490,000,000.00 3.85 450,000,000.00 3.63 Transportation, warehousing and postal businesses 141,673,091.04 1.11 137,000,000.00 1.10 Production and supply of electricity, thermodynamics, gas and water 119,685,473.58 0.94 176,516,478.50 1.42 Accommodation and catering 109,618,320.00 0.86 129,334,425.07 1.04 Scientific research and technical services 31,785,289.99 0.25 23,327,937.54 0.19 IT and computer service - - 200,000,000.00 1.61 Water conservancy, environment and public facilities management ______- ______- ______54,000,000.00______0.44 Total loans __12,723,350,138.74______100.00 ______12,400,616,307.38 ______100.00 Discount 1,750,239,527.96 1,236,441,933.74 Trade finance __1,118,591,324.34______1,266,381,897.05 Total loans and advances 15,592,180,991.04 14,903,440,138.17 ______

- 31 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

6. LOANS AND ADVANCES - continued

(3) Geographic sector:

2020/12/31 2019/12/31 RMB % RMB %

Shanghai 12,754,314,785.97 81.80 11,249,587,507.61 75.48 Beijing 2,205,551,267.34 14.15 2,742,096,187.88 18.40 Tianjin 267,312,390.25 1.71 679,672,740.12 4.56 Guangzhou ______365,002,547.48 ______2.34 ______232,083,702.56 ______1.56 Total loans and advances 15,592,180,991.04 100.00 14,903,440,138.17 100.00 ______

(4) Collateral and security:

2020/12/31 2019/12/31 RMB RMB

Clean loans 10,942,261,010.46 9,496,255,028.48 Loans with guarantee 4,164,915,271.17 4,944,171,771.44 Loans with collateral ______485,004,709.41 ______463,013,338.25 Total loans and advances 15,592,180,991.04 14,903,440,138.17 ______

(5) Loans and advances overdue:

2020/12/31 overdue overdue overdue Total up to 90 days 90 days to 1 year 1 year to 3 years RMB RMB RMB RMB

Loans and advances - - 41,926,835.19 41,926,835.19 ______

2019/12/31 overdue overdue overdue Total up to 90 days 90 days to 1 year 1 year to 3 years RMB RMB RMB RMB

Loans and advances - 41,926,835.19 - 41,926,835.19 ______

Overdue loan refers to the loan of which principal or interest is overdue 1 day or more.

- 32 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

6. LOANS AND ADVANCES - continued

(6) Allowance for impairment loss on loans and advances:

2020 Individual assessment Collective assessment Total RMB RMB RMB

At the beginning of year 30,955,908.27 364,810,870.01 395,766,778.28 Accrual for the year 7,290,620.90 18,455,090.18 25,745,711.08 Discount interest of impairment released in this period (2,092,980.79) - (2,092,980.79) Exchange difference ______- ______(3,127,217.72) ______(3,127,217.72) At the end of year 36,153,548.38 380,138,742.47 416,292,290.85 ______

2019 Individual assessment Collective assessment Total RMB RMB RMB

At the beginning of year - 354,836,191.33 354,836,191.33 Accrual for the year 32,539,878.53 8,984,814.38 41,524,692.91 Discount interest of impairment released in this period (1,583,970.26) - (1,583,970.26) Exch ange difference ______- ______989,864.30 ______989,864.30 At the end of year 30,955,908.27 364,810,870.01 395,766,778.28 ______

7. AVAILABLE-FOR-SALE FINANCIAL ASSETS

Fair value 2020/12/31 2019/12/31 RMB RMB

Government bonds 4,925,540,986.77 1,370,626,192.83 Financial institution bonds 1,773,438,841.14 6,527,215,896.13 Corporate bonds ______298,030,950.00 ______150,000,000.00 Total 6,997,010,777.91 8,047,842,088.96 ______

- 33 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

8. HELD-TO-MATURITY INVESTMENTS

2020/12/31 2019/12/31 RMB RMB

Government bonds ______2,848,852,915.23 ______-

9. FIXED ASSET

Electronic Office Equipment Equipment Total RMB RMB RMB

Cost 31 December 2019 36,336,217.63 75,993,644.36 112,329,861.99 Add: Additions 1,509,736.11 6,094,796.01 7,604,532.12 Less: Disposals ______(1,192,015.61) ______(2,509,659.75) __(3,701,675.36)______31 December 2020 ______36,653,938.13 ______79,578,780.62 ______116,232,718.75 Accumulated depreciation 31 December 2019 34,187,585.58 58,418,596.93 92,606,182.51 Add: Additions 805,690.75 6,434,718.79 7,240,409.54 Less: Disposals ______(1,192,015.61) ______(2,509,659.75) ______(3,701,675.36) 31 December 2020 ______33,801,260.72 ______62,343,655.97 ______96,144,916.69 Net book value 31 December 2019 2,148,632.05 17,575,047.43 19,723,679.48 ______31 December 2020 2,852,677.41 17,235,124.65 20,087,802.06 ______

- 34 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

10. INTANGIBLE ASSETS

Software RMB

Cost 31 December 2019 34,220,635.53 Add: Additions ______7,827,358.38 31 December 2020 ______42,047,993.91 Amortization 31 December 2019 18,331,732.18 Add: Additions ______5,032,485.88 31 December 2020 ______23,364,218.06 Net book value 31 December 2019 15,888,903.35 ______31 December 2020 18,683,775.85 ______

Remaining amortization period 1 month ~5years

11. DEFERRED TAX ASSETS

(1) Unoffset deferred tax assets

Temporary differences Deferred assets/(liabilities) 2020/12/31 2019/12/31 2020/12/31 2019/12/31 RMB RMB RMB RMB

Changes on fair value of derivative assets (14,542,133.78) (598,343,426.29) (3,635,533.45) (149,585,856.57) Changes on fair value of held for trading assets (83,418,914.64) (92,973,855.59) (20,854,728.66) (23,243,463.90) Changes on fair value of available-for-sale financial assets (31,258,490.99) (92,372,925.52) (7,814,622.75) (23,093,231.38) Non-deductible accrued expenses 142,906,374.50 85,387,298.24 35,726,593.63 21,346,824.56 Accrued unpaid salaries 120,217,802.39 113,326,769.21 30,054,450.60 28,331,692.30 Deferred interest income 13,380,057.84 16,038,638.40 3,345,014.46 4,009,659.60 Difference of intangible assets amortization 6,981,461.85 4,818,840.67 1,745,365.46 1,204,710.17 Impairment of loans and advances 284,458,432.26 177,860,194.88 71,114,608.06 44,465,048.72 Provision for other assets 2,105,902.76 732,282.23 526,475.69 183,070.56 Due to BNP Paribas Group 378,897,483.39 286,264,855.92 94,724,370.85 71,566,213.98 Contingent liabilities ______468,402.37 ______651,226.77 ______117,100.59 ______162,806.69 Total 820,196,377.95 (98,610,101.08) 205,049,094.48 (24,652,525.27) ______

- 35 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

11. DEFERRED TAX ASSETS - continued

(1) Unoffset deferred tax assets - continued

The income taxes of the domestic branches and sub-branch of the Bank are settled on a consolidated basis while the deferred tax assets and the deferred tax liabilities are presented on a net basis.

According to the expectation regarding future operations, the Bank believes that sufficient taxable income will be obtained in the future periods to utilize the deductible temporary differences, and thus recognize the relevant deferred tax assets.

(2) Deferred income tax movement

2020 2019 RMB RMB

Net deferred tax liabilities at the end of prior year ______(24,652,525.27) ______(18,114,747.99 ) Net movement in deferred income tax included in income tax expenses this year 214,423,011.12 (4,706,599.31) Net movement in deferred income tax included in other comprehensive income this year ______15,278,608.63 ______(1,831,177.97 ) Net deferred tax assets/(liabilities) at the end of year 205,049,094.48 (24,652,525.27) ______

12. OTHER ASSETS

2020/12/31 2019/12/31 RMB RMB

Others receivables (1) 2,583,069,354.38 1,325,745,252.28 Long-term prepayments (2) 5,180,310.94 5,039,116.83 Interest receivable (3) ______399,317,492.32 ______376,905,540.54 Total other assets ______2,987,567,157.64 ______1,707,689,909.65 Less: other assets provision ______2,105,902.76 ______732,282.23 Net other assets 2,985,461,254.88 1,706,957,627.42 ______

- 36 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS -continued

12. OTHER ASSETS - continued

(1) Others receivables

By nature:

2020/12/31 2019/12/31 RMB RMB

Commission receivables 3,182,946.91 1,075,835.79 Derivative security deposit 1,803,441,647.20 1,092,899,430.00 Deposits 13,269,829.91 12,615,602.50 Advance payments 33,695,493.74 33,023,133.78 Unsettlements 699,443,907.28 145,418,474.53 Receivable from BNP Paribas Group 20,322,310.70 31,596,243.66 Others ______9,713,218.64 ______9,116,532.02 Total other receivables ______2,583,069,354.38 ______1,325,745,252.28 Less: other receivables provision (a) ______2,105,902.76 ______732,282.23 Net other receivables 2,580,963,451.62 1,325,012,970.05 ______

(a)Other receivables provision

Other receivable provision is mainly accrued for guarantee commission fee receivable at the end of 2020 and 2019. The movement is shown below:

2020/12/31 RMB

31 December 2019 732,282.23 Provision for the year 1,346,068.53 Effect of exchange rate ______27,552.00 31 December 2020 2,105,902.76 ______

- 37 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

12. OTHER ASSETS - continued

(2) Long-term prepayments

Leasehold improvement

2020/12/31 RMB

Cost 31 December 2019 70,442,748.89 Add: Additions 2,248,174.93 Less: Disposals ______(19,848.10) 31 December 2020 ______72,671,075.72 Amortization 31 December 2019 65,403,632.06 Add: Additions 2,106,980.82 Less: Disposals ______(19,848.10) 31 December 2020 ______67,490,764.78 Net book value 31 December 2019 5,039,116.83 ______31 December 2020 5,180,310.94 ______

(3)Interest receivable

2019/12/31 Additional Decreased 2020/12/31 RMB RMB RMB RMB

Bond interest receivable 220,675,357.89 362,713,041.79 363,213,746.50 220,174,653.18 Loans and advances interest receivable 82,264,711.92 593,255,965.50 622,297,538.43 53,223,138.99 Central Bank and interbank interest receivable 73,965,470.73 322,030,073.44 270,075,844.02 125,919,700.15 Assets purchased under resale agreements interest receivable - 1,638,532.69 1,638,532.69 - Other interest receivable ______- ______2,557,301.30 ______2,557,301.30 ______- Total 376,905,540.54 1,282,194,914.72 1,259,782,962.94 399,317,492.32 ______

- 38 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

13. DUE TO BANKS AND OTHER FINANCIAL INSTITUTIONS

2020/12/31 2019/12/31 RMB RMB

Due to domestic banks 639,759,951.34 639,464,788.01 Due to overseas banks ______2,129,696,818.82 ______1,973,061,377.70 Total 2,769,456,770.16 2,612,526,165.71 ______

14. TAKINGS FROM OTHER BANKS

2020/12/31 2019/12/31 RMB RMB

Takings from domestic banks 500,000,000.00 - Takings from overseas banks ______9,850,626,421.61 ______7,316,697,534.88 Total 10,350,626,421.61 7,316,697,534.88 ______

15. ASSETS SOLD UNDER REPURCHASE AGREEMENTS

2020/12/31 2019/12/31 RMB RMB

Bonds 4,424,100,000.00 2,620,500,000.00 ______

The balance of assets sold under repurchase agreements refers to repurchase agreements of collateralized bonds. The collateralized bonds amounted to RMB 4,610,000,000.00 (2019: RMB 2,760,000,000.00).

- 39 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

16. CUSTOMER DEPOSITS

2020/12/31 2019/12/31 RMB RMB

Current deposits Corporates 7,043,893,189.98 7,198,708,280.00 Individuals ______21,529,542.78 ______36,600,558.83 Subtotal ______7,065,422,732.76 ______7,235,308,838.83 Term deposits (including notice deposit)) Corporates 17,733,011,900.20 9,527,406,596.33 Individuals ______564,496,332.84 ______567,896,022.68 Subtotal 18,297,508,233.04______10,095,302,619.01______Margin deposit received ______16,180,379.59 ______26,543,303.13 Total 25,379,111,345.39 17,357,154,760.97 ______

17. PAYABLE TO EMPLOYEES

2019/12/31 Accrual Payment 2020/12/31 RMB RMB RMB RMB

Salary and bonus (Note 1) 84,926,851.42 323,916,875.54 324,291,128.56 84,552,598.40 Share-based payment 7,827,205.47 9,487,976.03 9,444,523.00 7,870,658.50 Social insurance 20,572,712.32 54,544,981.27 47,323,148.10 27,794,545.49 Including: Defined contribution plan (Note 2)______- ______1,317,950.89 ______1,317,950.89 ______- Total 113,326,769.21 387,949,832.84 381,058,799.66 120,217,802.39 ______

Note 1: As of 31 December 2020, the bonus payable includes RMB 14,177,524.62 of deferred bonus payable to board directors, senior management and employee with significant influence on risk after the year 2020 (2019: RMB 14,273,804.76 ).

Note 2: The Bank participates the endowment insurance and unemployment insurance plans established by the Government. The Bank and each branch and sub-branch pays for the insurance in accordance with ratio regulated by local regulators. Besides the above- mentioned expense, the Bank does not undertake any further payment obligation. The related expenses are recorded in the current profit and loss in current period. The Bank should pay RMB 1,317,950.89 to the endowment insurance and unemployment insurance plans. (2019: RMB 16,436,707.39). As at 31 December 2020 and 31 December 2019, the Bank has no outstanding insurance payable balance.

- 40 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

18. TAX PAYABLE

2020/12/31 2019/12/31 RMB RMB

Income tax 139,223,662.73 (19,832,517.51) VAT 14,953,655.46 9,411,568.29 Tax and surcharges 2,207,197.12 1,380,658.20 Others ______32,963,660.04 ______28,982,797.55 Total 189,348,175.35 19,942,506.53 ______

Others mainly include accrual taxes, withholding individual income taxes and in-put VAT pending for deduction etc.

19. OTHER LIABILITIES

2020/12/31 2019/12/31 RMB RMB

Interest payable (1) 181,625,157.34 152,372,485.15 Due to BNP Paribas Group 424,323,008.12 292,872,729.44 Accrued expense for BNP Paribas Group 128,514,597.68 71,645,506.88 Deferred income to BNP Paribas Group 1,038,657.63 710,093.79 Other deferred income 16,794,577.33 21,985,248.91 Suspense accounts 93,908,466.24 27,060,907.28 Accrued expense 14,391,776.82 13,741,791.36 Transaction to be settled 98,746,562.00 31,817,023.04 Derivative security deposit payable - 528,046,612.41 Contingent liabilities (2) 468,402.37 651,226.77 Others ______47,056,381.19 ______130,070,372.29 Total 1,006,867,586.72 1,270,973,997.32 ______

- 41 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

19. OTHER LIABILITIES - continued

(1) Interest payable 2019/12/31 Additional Paid 2020/12/31 RMB RMB RMB RMB

Customer deposits 47,893,173.57 269,190,901.88 270,559,007.87 46,525,067.58 Due to banks and other financial institutions 103,781,648.78 285,951,890.68 255,383,311.95 134,350,227.51 Assets sold under repurchase agreements 697,662.80 48,316,483.33 48,264,283.88 749,862.25 Negotiable certificates of deposits ______- ______1,011,600.00______1,011,600.00______- _ Total 152,372,485.15 604,470,875.89 575,218,203.70 181,625,157.34 ______

(2) Contingent liabilities

The contingent liabilities are provision for impairment of the off-balance sheet business. The estimated changes in liabilities are as follows: 2020/12/31 RMB

31 December 2020 651,226.77 Reversal (183,383.35) Exchange difference ______558.95__ 31 December 2020 468,402.37 ______

20. PAID-IN CAPITAL Paid in Capital RMB

Balance at 1 January 2020 ______8,327,555,199.88 Additions in 2020 Including: Capital transferred from retained earnings (Note) ______383,792,706.12 Balance at 31 December 2020 8,711,347,906.00 ______

Note: Upon the approval from the preparatory group of China Banking and Insurance Regulatory Commission Shanghai Branch and resolution of the Bank’s shareholder meeting and board meeting, on 26 March 2020, the Bank increased its capital by RMB 383,792,706.12, transferring from undistributed profits as of 31 December 2019. The capital injection has been verified in capital verification report “De Shi Bao (Yan) Zi (20) No. 00139” issued by Deloitte Touche Tohmatsu Certified Public Accountants LLP.

- 42 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

21. SURPLUS RESERVE

Surplus Reserve RMB

Balance at 31 December 2018 457,742,554.59 ______Translation difference of changing functional currency at 1 January 2019 ______19,435,701.49 Balance at 1 January 2019 ______477,178,256.08 Addition during 2019 (Note) ______62,634,412.16 Balance at 31 December 2019 539,812,668.24 ______

Balance at 1 January 2020 539,812,668.24 Addition during 2020 (Note) ______29,766,107.87 Balance at 31 December 2020 569,578,776.11 ______

Note: In accordance with the “Law of the People’s Republic of China on Foreign-Capital Enterprises” and the Bank’s Articles of Association, after the Bank make up the losses of prior years, an appropriation to the Reserve Fund and the Enterprise Development Fund from profit after tax have to be made prior to profit distribution to the equity owner. The appropriation to the Reserve Fund shall be no less than 10% of the profit after tax and further appropriation may cease when the accumulated appropriation exceeds 50% of the registered capital. The percentage of appropriation to the Enterprise Development Fund is decided by the Bank’s Board of Directors. The Bank appropriated 10% (2019: 10%) of its net profit to Reserve Fund.

Upon approval from the Board of Directors, the Reserve Fund can be used to offset accumulated loss or to increase capital; while the Enterprise Development Fund can only be used, upon approval, to expand production or to increase capital.

- 43 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

22. GENERAL RESERVE

2019/12/31 Addition 2020/12/31 RMB RMB RMB

General reserve 659,373,016.67 - 659,373,016.67 ______

Pursuant to circular issued by Ministry of Finance (Caijin [2012] No.20)“Measures on General Allowance for Impairment Loss for Bad and Doubtful Debts for Financial Institutions”, financial institutes should provide reserve for the risks and loss subject to depreciation of assets. These include loans and advances, available-for-sale financial assets, held-to-maturity investments, long- term equity investments, deposits with banks and other financial institutions, placements with other banks, mortgage assets and other receivables, etc. In principle, not less than 1.5% of proportion from net income should be provided for general risk reserve as the part of owner’s equity. As of 31 December 2020, the general reserve accrued was sufficient.

23. RETAINED EARNINGS

2020 2019 RMB RMB

At the end of prior year 896,987,356.59 2,907,724,827.25 Translation difference of changing functional currency ______- ______125,161,930.51 At the beginning of year ______896,987,356.59 ______3,032,886,757.76 Transferred to capital (383,792,706.12) (2,699,609,110.58) Add: Net profit 297,661,078.68 626,344,121.57 Less: Profit distribution (Note) (513,000,000.00) - Surplus reserve (Note 21) ______(29,766,107.87) ______(62,634,412.16) At the end of year 268,089,621.28 896,987,356.59 ______

Note: According to the resolution of the board of directors of BNP Paribas (China) Co., Ltd. (2020) 003, the proposal on the profit distribution of RMB 513,000,000.00 to BNP Paribas has been approved.

- 44 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

24. NET INTEREST INCOME

2020 2019 RMB RMB

Interest income -Loans and advances 593,255,965.50 591,531,150.58 -Bond investment 362,713,041.79 335,247,468.19 -Deposits and placements with banks and other financial institutions 284,360,690.39 303,418,173.71 -Deposits with the Central Bank 37,669,383.05 32,445,474.27 -Assets purchased under resale agreement 1,638,532.69 9,222,625.55 -Others ______2,557,301.30 ______400,296.97 Subtotal ______1,282,194,914.72 ______1,272,265,189.27 Interest expense -Due to banks and other financial institutions and placements from other banks 285,951,890.68 298,847,189.21 -Assets sold under repurchase agreement 48,316,483.33 56,763,968.99 -Customer deposits 269,190,901.88 181,179,636.23 -Issuance of negotiable certificate deposit ______1,011,600.00 ______- Subtotal ______604,470,875.89 ______536,790,794.43 Net interest income 677,724,038.83 735,474,394.84 ______

25. NET FEE AND COMMISSION INCOME/(EXPENSE) 2020 2019 RMB RMB

Fee and commission income -Commission income allocated by BNP Paribas and related parties 84,964,792.52 57,411,422.08 -Consulting and agency commission income 18,150,602.10 33,948,172.78 -Settlement and clearance commission income 8,645,631.70 10,345,359.14 -Guarantee commission income 26,133,434.48 24,251,317.77 -Asset custody income 3,408,200.97 2,762,638.82 - Others ______20,033,948.75 ______14,669,506.36 Subtotal ______161,336,610.52 ______143,388,416.95 Fee and commission expense -Guarantees and other expenses allocated from BNP Paribas and its branches 8,510,018.62 112,023,368.24 - Others ______70,656,893.90 ______78,201,252.49 Subtotal ______79,166,912.52 ______190,224,620.73 Net fee and commission income 82,169,698.00 (46,836,203.78) ______

- 45 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

26. INVESTMENT INCOME/(LOSSES)

2020 2019 RMB RMB

Realized gains/(losses) arising from derivative financial instruments 2,256,532,205.89 (830,209,222.67) Realized gains arising from financial assets held for trading 28,737,768.13 89,160,343.38 Realized gains arising from available-for-sale financial assets ______36,349,134.25 ______22,914,312.27 Total 2,321,619,108.27 (718,134,567.02) ______

27. FAIR VALUE (LOSSES)/GAINS

2020 2019 RMB RMB

Fair value losses from financial assets held for trading (9,554,940.95) (17,178,882.36) Fair value (losses)/gains from derivative instruments ______(583,801,292.51) ______353,903,696.89 Total (593,356,233.46) 336,724,814.53 ______

28. FOREIGN EXCHANGE (LOSSES)/GAINS

2020 2019 RMB RMB

Revaluation (losses)/gains of net exposure of foreign currency position (74,854,079.75) 33,197,927.90 Losses/(gains) from spot foreign exchange transactions ______(1,299,776,964.29) ______1,135,722,205.58 Total (1,374,631,044.04) 1,168,920,133.48 ______

- 46 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

29. GENERAL AND ADMINISTRATIVE EXPENSES

2020 2019 RMB RMB

Salaries and bonus 333,404,851.57 335,444,530.13 Information support services expenses 160,201,865.43 75,213,977.49 Rental and utilities 53,059,606.37 52,331,981.03 Social insurance 9,109,596.78 26,029,192.10 IT and computer maintenance 26,852,186.18 26,888,301.83 Depreciation and amortization expense 14,379,876.24 13,899,857.25 Other welfare costs 45,435,384.49 38,684,280.58 Travelling expense 2,587,113.10 8,721,430.81 Recruitment and training expense 6,196,762.86 6,516,817.40 Entertainment expense 1,461,915.03 1,448,230.59 Consulting and audit fees 12,914,850.85 10,136,541.76 Others ______24,406,346.57 ______24,861,905.73 Total 690,010,355.47 620,177,046.70 ______

30. IMPAIRMENT LOSS

2020 2019 RMB RMB

Loans and advances 23,652,730.29 39,940,722.65 Other receivables 1,346,068.53 - Others ______(183,383.35) ______(21,455,223.21) Total 24,815,415.47 18,485,499.44 ______

31. NON-OPERATING INCOME

2020 2019 RMB RMB

Indemnity income on service agreement 115,815.96 - Membership transfer income - 1,540.85 Others ______5,199.99 ______4,057.36 Total 121,015.95 5,598.21 ______

- 47 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

32. NON-OPERATING EXPENSES

2020 2019 RMB RMB

Penalty 2,700,000.00 350,000.00 Indemnity ______2,188,171.54 ______- Total 4,888,171.54 350,000.00 ______

33. INCOME TAX

2020 2019 RMB RMB

Current income tax 266,560,441.15 166,592,241.74 Tax settlement difference 31,734,688.90 33,827,127.98 Deferred tax (214,423,011.12)______4,706,599.31 Total 83,872,118.93 205,125,969.03 ______

Reconciliation of income tax expenses to accounting profit is as follows:

2020 2019 RMB RMB

Profit before income tax 381,533,197.61 831,470,090.60 Income tax calculated at statutory tax rate 25% 95,383,299.40 207,867,522.65 Non-deductible expenses 8,001,178.20 5,802,568.94 Implications from utilization of previous year’s unconfirmed deductible temporary tax differences (58,124.57) (29,748,692.54) Tax settlement difference 31,734,688.90 33,827,127.98 Non-taxable proceeds ______(51,188,923.00) ______(12,622,558.00 ) Total 83,872,118.93 205,125,969.03 ______

- 48 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

34. OTHER COMPREHENSIVE INCOME/(LOSS)

(1) Other comprehensive income

2020 2019 RMB RMB

Change in fair value of available-for- sale financial assets (61,114,434.53) 7,324,711.89 Less: Tax impact resulting from change in fair value of available-for-sale financial assets ______(15,278,608.63) ______1,831,177.97 Total (45,835,825.90) 5,493,533.92 ______

(2) Changes in other comprehensive income 2020 2019 RMB RMB

Opening balance 69,279,694.14 63,786,160.22 (Reduction)/Addition ______(45,835,825.90) ______5,493,533.92 Total 23,443,868.24 69,279,694.14 ______

35. CASH AND CASH EQUIVALENTS

2020/12/31 2019/12/31 RMB RMB

Demand deposit with Central Bank 2,465,600,477.11 1,262,004,770.08 Deposits with banks and other financial institutions (originally maturity within three months) 735,683,489.95 855,306,365.37 Inter-bank placement (originally maturity within three months) ______420,000,000.00 ______2,668,408,200.00 Cash and cash equivalents at year end 3,621,283,967.06 4,785,719,335.45 ______

- 49 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

36. NOTES TO THE CASH FLOW STATEMENT

2020 2019 RMB RMB

Reconciliation of net profit to cash flows from operating activities Net profit after tax 297,661,078.68 626,344,121.57 Add:Impairment charge for credit loss 24,815,415.47 20,069,469.70 Discount interest of impairment released in this period (2,092,980.79) (1,583,970.26) Depreciation and amortization 14,379,876.24 13,899,857.25 Decrease in deferred income (4,862,107.74) (8,822,646.93) Fair value losses/(gains) 593,356,233.46 (336,724,814.53) Disposal gain from available-for-sale financial assets (36,349,134.25) (22,914,312.27) (Decrease)/increase in deferred tax liabilities (214,423,011.12) 4,706,599.31 Interest received from bonds investment (362,713,041.79) (335,247,468.19) Interest paid for negotiable certificate deposit issuance 1,011,600.00 - Increase in operating receivables (12,397,643,979.85) (3,585,278,315.05) Increase in operating payables 12,933,468,474.74______6,020,474,811.50 Net cash provided from operating activities 846,608,423.05 2,394,923,332.10 ______Net increase in cash and cash equivalents Cash at the end of year - - Less: Cash at the beginning of year - - Add: Cash equivalents at the end of year 3,621,283,967.06 4,785,719,335.45 Less: Cash equivalents at the beginning of year ______4,785,719,335.45 ______3,404,620,317.64 Net (decrease)/increase in cash and cash equivalents (1,164,435,368.39) 1,381,099,017.81 ______

- 50 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

37. SEGMENT INFORMATION

According to the Bank’s internal organizational structure, regulatory requirements and internal reporting system, the Bank’s businesses are divided into four segments. The Bank’s management periodically evaluates the operating results of these segments reporting, to determine resources allocation and evaluate the performance.

Information of segment reporting is disclosed based on the accounting policies and measurement basis used when segments report provided to the management. This measurement basis should also be consistent with the accounting policies and measurement used when preparing the financial statements.

Segment information:

2020 (RMB) Item Shanghai Beijing Guangzhou Tianjin Elimination Total

Interest income 1,249,185,204.93 145,158,032.86 11,027,813.17 23,872,525.74 (147,048,661.98) 1,282,194,914.72 Interest expense ____(617,289,491.88)______(112,861,431.68)______(7,352,700.65)______(14,015,913.66)______147,048,661.98 ____ (604,470,875.89)______

Net interest income ______631,895,713.05 ______32,296,601.18 ______3,675,112.52 ______9,856,612.08 ______- ______677,724,038.83 Fee and commission income 118,075,733.03 106,513,570.28 18,412,904.70 6,105,792.81 (87,771,390.30) 161,336,610.52 Fee and commission expense ______(164,411,776.17) ______(1,832,085.24) ______(570,287.68) ______(124,153.73) ______87,771,390.30 ______(79,166,912.52) Net fee and commission income ______(46,336,043.14) ______104,681,485.04 ______17,842,617.02 ______5,981,639.08______- ______82,169,698.00 Investment gain 2,322,514,222.37 (964,374.32) 69,260.22 - - 2,321,619,108.27 Fair value gains/(losses) (594,095,528.03) 730,488.29 8,806.28 - - (593,356,233.46) Foreign exchange gains/(losses) (1,392,301,108.18) 13,489,746.44 1,788,527.93 2,391,789.77 - (1,374,631,044.04) Other income ______834,694.17 ______233,367.06 ______25,016.07 ______18,064.59 ______- ______1,111,141.89

Operating income ______922,511,950.24 ______150,467,313.69 ______23,409,340.04 ______18,248,105.52 ______- ______1,114,636,709.49 Tax and surcharges (11,401,829.57) (1,501,190.33) (411,934.86) (195,630.59) - (13,510,585.35) General and administrative expenses (576,270,167.39) (88,023,675.52) (18,870,565.15) (6,845,947.41) - (690,010,355.47) Impairment (charge)/reversal for assets ______(36,223,316.52) ______4,832,011.56 ______(3,374,073.07) ______9,949,962.56 ______- ______(24,815,415.47)

Operating expense ______(623,895,313.48) ______(84,692,854.29) ______(22,656,573.08) ______2,908,384.56 ______- ______(728,336,356.29)

Operating profit ______298,616,636.76 ______65,774,459.40 ______752,766.96 ______21,156,490.08 ______- ______386,300,353.20 Non-operating income 120,315.96 499.99 200.00 - - 121,015.95 Non-operating expense ______(2,700,000.00) ______(2,188,171.54) ______- ______- ______- ______(4,888,171.54)______Total profit 296,036,952.72 63,586,787.85 752,966.96 21,156,490.08 - 381,533,197.61 ______Total assets 69,416,589,538.12 4,684,305,317.68 634,502,742.08 557,666,898.95 (2,916,915,564.04) 72,376,148,932.79 Total liabilities (59,549,553,436.94) (4,536,018,985.74) (536,915,386.14) (438,743,499.71) 2,916,915,564.04 (62,144,315,744.49)

Depreciation and Amortization (NoteVII,29) 11,630,208.96 2,280,208.15 230,669.67 238,789.46 - 14,379,876.24 ______

- 51 - BNP PARIBAS (CHINA) LIMITED.

VII. NOTES TO THE FINANCIAL STATEMENTS - continued

37. SEGMENT INFORMATION - continued

2019 (RMB) Item Shanghai Beijing Guangzhou Tianjin Elimination Total

Interest income 1,247,928,592.95 196,827,749.68 19,147,059.60 61,451,922.64 (253,090,135.60) 1,272,265,189.27 Interest expense ______(586,541,495.91)______(153,460,607.71) ______(10,584,781.68) ______(39,294,044.73) ______253,090,135.60 ______(536,790,794.43)

Net interest income ______661,387,097.04______43,367,141.97 ______8,562,277.92______22,157,877.91 ______- ______735,474,394.84 Fee and commission income 104,093,694.75 129,362,032.84 23,285,488.38 10,961,858.44 (124,314,657.46) 143,388,416.95 Fee and commission expense ______(312,430,718.11)______(1,886,153.69) ______(143,998.70) ______(78,407.69) ______124,314,657.46 ______(190,224,620.73) Net fee and commission income ______(208,337,023.36)______127,475,879.15 ______23,141,489.68 ______10,883,450.75 ______- ______(46,836,203.78) Investment loss (710,198,389.58) (7,926,533.60) (9,643.84) - - (718,134,567.02) Fair value gains/(losses) 334,188,285.74 2,545,335.07 (8,806.28) - - 336,724,814.53 Foreign exchange gains 1,165,515,745.30 1,029,500.45 1,347,640.11 1,027,247.62 - 1,168,920,133.48 Other income ______1,763,101.48______318,260.40 ______23,668.91 ______22,901.73 ______- ______2,127,932.52

Operating income ______1,244,318,816.62______166,809,583.44 ______33,056,626.50 ______34,091,478.01 ______- ______1,478,276,504.57 Tax and surcharges (5,420,296.42) (1,624,957.11) (241,608.21) (463,694.66) - (7,750,556.40) General and administrative expenses (499,540,017.60) (92,254,825.99) (20,403,549.72) (7,978,653.39) - (620,177,046.70) Impairment (charge)/reversal for assets (20,240,444.99) (19,004,236.64) 3,771,673.71 16,987,508.48 - (18,485,499.44) Other expense ______(48,909.64)______- ______- ______- ______- ______(48,909.64)

Operating expense ______(525,249,668.65)______(112,884,019.74) ______(16,873,484.22) ______8,545,160.43 ______- ______(646,462,012.18)

Operating profit ______719,069,147.97______53,925,563.70 ______16,183,142.28 ______42,636,638.44 ______- ______831,814,492.39 Non-operating income 4,846.11 750.01 - 2.09 - 5,598.21 Non-operating expense ______(350,000.00)______- ______- ______- ______- ______(350,000.00) Total profit 718,723,994.08 53,926,313.71 16,183,142.28 42,636,640.53 - 831,470,090.60 ______Total assets 47,599,130,121.75 3,930,665,102.97 292,213,614.13 719,979,897.07 (2,418,820,111.74) 50,123,168,624.18 Total liabilities (37,548,140,538.79) (3,756,275,901.33) (172,548,630.22) (572,015,730.06) 2,418,820,111.74 (39,630,160,688.66)

Depreciation and Amortization (NoteVII,29) 11,541,032.52 1,688,817.93 299,253.39 370,753.41 - 13,899,857.25 ______

VIII. COMMITMENTS AND CONTINGENT LIABILITIES

1. Credit commitments and financial guarantee

Contract amount 2020/12/31 2019/12/31 RMB RMB

Letters of credit 949,495,161.39 465,742,875.85 Guarantee 7,417,008,390.14 7,517,469,670.11 Letter of credit acceptances 322,722,193.36 424,226,752.82 Irrevocable credit commitments 873,100,229.49 816,168,345.21 Bank accepted draft ______2,061,970,003.64 ______1,337,219,153.80 Total 11,624,295,978.02 10,560,826,797.79 ______

- 52 - BNP PARIBAS (CHINA) LIMITED.

VIII. COMMITMENTS AND CONTINGENT LIABILITIES - continued

2. Operating lease commitment

As of the balance sheet day, the minimum lease payments under non-cancelable operating leases:

2020/12/31 2019/12/31 RMB RMB

Within 1 year 58,272,264.59 59,466,019.97 1-3 years 38,230,958.25 66,051,705.48 Above 3 years ______13,689,637.98 ______12,035,313.00 Total 110,192,860.82 137,553,038.45 ______

3. Fiduciary activities

2020/12/31 2019/12/31 RMB RMB

Entrusted loans business 14,653,229,838.01 17,012,852,770.88 ______Asset custody business 10,907,389,860.33 11,693,563,335.40 ______

IX. RELATED PARTY RELATIONSHIPS AND TRANSACTIONS

1. Related parties relationship

1) Related party who controls the Bank or is controlled by the Bank

Relations with Name of entity Registered location Main business the bank Nature CEO

BNP Paribas 16 Boulevard des Italiens, Banking Parent company Foreign company Jean-Laurent Bonnafe 75009 Paris

Changes in share capital and other paid-in capital of related party which controls the Bank or is controlled by the Bank.

Name of entity 31 December 2019 Net addition 31 December 2020 Million EUR Million EUR Million EUR

BNP Paribas 27,070 (17) 27,053 ______

- 53 - BNP PARIBAS (CHINA) LIMITED.

IX. RELATED PARTY RELATIONSHIPS AND TRANSACTIONS - continued

1. Related parties relationship - continued

2) The following are other related parties which have transactions with the Bank while no control relationship exists:

Names of related parties Relationship with the Bank

BNP Paribas Hong Kong Branch Branch of the parent company BNP Paribas Taipei Branch Branch of the parent company BNP Paribas New York Branch Branch of the parent company BNP Paribas Singapore Branch Branch of the parent company BNP Paribas London Branch Branch of the parent company BNP Paribas Tokyo Branch Branch of the parent company BNP Paribas S.A., San Francisco Branch Branch of the parent company BNP Paribas S.A., Madrid Branch Branch of the parent company BNP Paribas Canada Branch Branch of the parent company BNP Paribas S.A Frankfurt Branch Branch of the parent company BNP Paribas USA Chicago Branch Branch of the parent company BNP Paribas German Branch Branch of the parent company BNP Paribas Netherlands Branch Branch of the parent company BNP Paribas Sydney Branch Branch of the parent company BNP Paribas SA (Seoul Branch) Branch of the parent company BNP Paribas Spain Branch Branch of the parent company BNP PARIBAS S.A. NORWAY BRANCH Branch of the parent company BNP PARIBAS S.A., BANKFILIAL SVERIGE Branch of the parent company BNP PARIBAS LABUAN BRANCH Branch of the parent company BNP Paribas Nouvelle Caledonie Controlled by the parent company BNP Paribas (Suisse) S.A. Controlled by the parent company BNP Paribas El Djazair Controlled by the parent company BNP Paribas India Solutions Pvt. Ltd. Controlled by the parent company

- 54 - BNP PARIBAS (CHINA) LIMITED.

IX. RELATED PARTY RELATIONSHIPS AND TRANSACTIONS - continued

1. Related parties relationship - continued

2) The following are other related parties which have transactions with the Bank while no control relationship exists: - continued

Names of related parties Relationship with the Bank

BNP Paribas Commodities Trading (Shanghai) Co., Ltd Controlled by the parent company BNP Paribas (Chengdu) Representative Office Controlled by the parent company BNP Paribas Equities (Asia) Limited, Shanghai Representative Office Controlled by the parent company BNP Paribas Equities (Asia) Limited, Beijing Representative Office Controlled by the parent company Banca Nazionale Del Lavoro S.P.A., Milano Branch Controlled by the parent company Banca Nazionale Del Lavoro S.P.A Controlled by the parent company BNP Paribas Fortis SA/NV Controlled by the parent company BNP Paribas Arbitrage Controlled by the parent company BNP Paribas Net Ltd. Controlled by the parent company BNP Paribas Securities Services S.C.A. Controlled by the parent company Banque International Pour Le Commerce ET L’Industrie Du Gabon Controlled by the parent company BGL BNP Paribas Controlled by the parent company PT Bank BNP Paribas Indonesia Controlled by the parent company Union Bancaire Pour Le Commerce ET L’Industrie Controlled by the parent company BNP Paribas Overseas Investment Fund Management (Shanghai) Co., Ltd Controlled by the parent company BNP Paribas Global Securities Operations Private Limited Controlled by the parent company BNP PARIBAS MALAYSIA BERHAD Controlled by the parent company BNP PARIBAS ASSET MANAGEMENT LUXEMBOURG Controlled by the parent company JOINT STOCK COMPANY UKRSIBBANK Controlled by the parent company BANK OF THE WEST Controlled by the parent company BNP PARIBAS PERSONAL FINANCE SA Controlled by the parent company Annuo Jiutong Car Leasing Company Limited Significantly influenced by the parent Company HFT Investment Management Co., Ltd. Significantly influenced by the parent Company Genius Auto Finance Co., Ltd Significantly influenced by the parent Company Bank of Nanjing Significantly influenced by the parent Company

- 55 - BNP PARIBAS (CHINA) LIMITED

IX. RELATED PARTY RELATIONSHIPS AND TRANSACTIONS - continued

1. Related parties relationship - continued

2) The following are other related parties which have transactions with the Bank while no control relationship exists: - continued

Details for non-bank related parties:

The Name of Entity Registered Address Major Business Economic CEO Paid-in Capital at the Net Paid-in Capital at the End Nature Beginning Of The Year Increase/(Decrease) Of the Year Annuo Jiutong Car No.4 Building Room 3758, Financing leasing ; leasing; purchasing leased property; dealing with Sino-foreign Chen Fang Leasing Company 1628 Lizheng Road, Pudong and repairing the residual value of leased property; consulting and Joint Venture RMB - RMB 549,161,821.67 Limited New District, Shanghai City guaranteeing leasing transactions; vehicle leasing and services of 549,161,821.67 vehicle leasing. BNP Paribas (Chengdu) Floor 28 No. F1, Times Square, Non-profit Business with foreign corporation Foreign Lin Xunli Representative Office No 2 Zongfu Road, Chengdu Investment - - - City BNP Paribas Room A-1068F, 188 Yesheng wholesale of non-ferrous metals (copper, aluminum, lead, zinc, etc.), Sole Mikko Petteri RUSI USD 11,000,000 - USD 11,000,000 Commodities Trading Road, Free Trade Zone, precious metals and their products, mineral products, metal products, proprietorship (Shanghai) Co., Ltd Shanghai City wool, natural rubber, chemical raw materials (except hazardous from Taiwan, chemicals, monitoring chemicals, fireworks and firecrackers, civil Hong Kong and explosives, precursor chemicals), steel, wood (except log), feed and its Macau raw materials, additives, and the import of the above products (except iron ore),Export (excluding precious metals, zinc and iron ore), commission agency (excluding auction) and related supporting services; international trade, warehousing (excluding dangerous goods) and entrepot trade in the bonded port area, trade and trade agency among enterprises in the zone, simple commercial processing in the zone, warehousing (excluding dangerous goods), technical support and research and development in the zone; trade information consultation BNP Paribas Equities Room 2021 C Floor 20, Foreign Ma Siqi (Asia) Limited Beijing Building No.1 Yard No.1, Jian Investment Non-profit Business with foreign corporation - - - Representative Office Guo Men Wai Avenue, Chaoyang District, Beijing City BNP Paribas Equities Room 3513 Floor 35 SWFC, Assist the parent company to contact with Shanghai industry and Foreign (Asia) Limited Shanghai 100 Century Avenue, Pudong commerce, finance and government departments for various Investment Cao Zirong - - - Representative Office New District, Shanghai City investment projects and financial business HFT Investment Floor 36-37, BEA Building, 66 Sino-foreign Fund raising, fund sale, asset management and other businesses Management Co., Ltd HuayuanShiqiao Road, Pudong Joint Venture Yang Cangbing RMB 300,000,000 - RMB 300,000,000 permitted by CSRC New District, Shanghai City Broker dealer, receipt and transmission of orders, underwriting and Foreign Jacques Vigner, BNP Paribas Arbitrage 1 rue Laffitte 75009 Paris EUR 184,756,032 EUR 999,998,496 EUR 1,184,754,528 placing, execution of orders, investment advisory services enterprise Nicolas Marque

- 56 - BNP PARIBAS (CHINA) LIMITED

IX. RELATED PARTY RELATIONSHIPS AND TRANSACTIONS - continued

1. Related parties relationship - continued

2) The following are other related parties which have transactions with the Bank while no control relationship exists: - continued

Details for non-bank related parties:

The Name of Entity Registered Address Major Business Economic CEO Paid-in Capital at the Net Paid-in Capital at the Nature Beginning Of The Year Increase/(Decrease) End Of the Year BNP Paribas Room A-522, No. 188, Overseas investment funds management and related Sole proprietorship Wang EUR 2,000,000 EUR 1,000,000 EUR 3,000,000 Overseas Yesheng Road, China services from Taiwan, Hong Guoguang Investment Fund (Shanghai) Pilot Free Kong and Macau Management Trade Zone (Shanghai) Co., Ltd Genius Auto Room 01,04 Floor 9, 308 (1) To accept fixed deposits of more than 3 months Sino-foreign Joint Li Xia RMB 4,000,000,000 - RMB 4,000,000,000 Finance Co., Ltd Jinkang Road, Free Trade (inclusive) from overseas shareholders and their group's Venture Zone, Shanghai City wholly-owned subsidiaries in China and domestic shareholders; (2) to accept deposits from auto dealers for purchasing vehicles and renters for car leasing; (3) to issue financial bonds upon approval; (4) to engage in inter-bank borrowing; (5) to borrow money from financial institutions; (6) to provide car purchase loans; (7) To provide loans for auto dealers to purchase vehicles and operate equipment, including loans for exhibition hall construction, spare parts and maintenance equipment; (8) to provide auto financing lease business (excluding leaseback business after sale); (9) to sell or repurchase auto loan receivables and auto financing lease receivables to financial institutions; (10) to handle the sale and disposal of residual value of leased cars; (11) Engage in consulting and agency business related to auto financing activities; (12) engage in equity investment business related to auto financing business with approval BNP PARIBAS 10 rue Edward Steichen Foreign STEPHANE EUR 3,000,000 - EUR 3,000,000 ASSET Luxembourg Investment BRUNET Assets management MANAGEMENT LUXEMBOURG

- 57 - BNP PARIBAS (CHINA) LIMITED

IX. RELATED PARTY RELATIONSHIPS AND TRANSACTIONS - continued

1. Related parties relationship - continued

3) Other related parties:

Other related parties of the Bank include key management personnel (directors, supervisors and senior management personnel) and key management personnel and their close family members.

2. Related party transactions

1) Pricing policy

The terms of inter-bank transactions with related parties follow commercial terms arranged in the ordinary course of the Bank’s business.

2) Funding

Deposits and placements business between the Bank and related parties mainly including BNP Paribas, BNP Paribas Hong Kong Branch, BNP Paribas New York Branch, Bank of Nanjing, Genius Auto Finance Co., Ltd, BNP Paribas Overseas Investment Fund Management (Shanghai) Co., Ltd etc. The interest rate is based on market rate. The interest income and expense as below:

2020 2019 RMB % RMB %

Interest income 2,035,022.82 0.16 24,361,932.47 1.91 Interest expense 261,331,150.37 43.23 271,634,671.26 50.60 ______

3) Fee and commission income and expense

2020 2019 RMB % RMB %

Fee and commission income 84,964,792.52 52.66 57,411,422.08 40.04 Fee and commission expense 8,510,018.62 10.75 112,023,368.24 58.89 ______

4) Service received and other expenses

2020 2019 RMB % RMB %

General and administrative expenses 167,174,411.04 24.23 54,574,301.31 8.80 ______

- 58 - BNP PARIBAS (CHINA) LIMITED

IX. RELATED PARTY RELATIONSHIPS AND TRANSACTIONS - continued

2. Related party transactions - continued

5) Non-operating income

2020 2019 RMB % RMB %

Non-operating income 115,815.96 95.70 - - ______

3. Balances with related parties

1) Due from related parties

2020/12/31 2019/12/31 RMB % RMB %

Deposits with overseas banks -BNP Paribas 218,955,963.82 29.76 115,197,424.93 13.47 -BNP Paribas Tokyo Branch 32,260,580.58 4.39 125,637,795.90 14.69 -BNP Paribas New York Branch 24,762,418.77 3.37 54,171,693.65 6.33 -BNP Paribas Hong Kong Branch 18,835,805.96 2.56 25,029,310.82 2.93 -Bank of Nanjing 11,970,978.18 1.63 6,827,411.47 0.80 -BNP Paribas Canada Branch 10,316,129.67 1.40 33,958,273.18 3.97 -BNP Paribas London Branch 5,289,326.03 0.72 27,087,664.61 3.17 -BNP Paribas (Suisse) S.A. ______14,782.70 ___0.00______6,525,126.07 ___0.76___ Total 322,405,985.71 43.83 394,434,700.63 46.12 ______

2) Placements with related parties

2020/12/31 2019/12/31 RMB % RMB %

Placements with overseas banks - BNP Paribas - - 983,644,200.00 14.28 - BNP Paribas Hong Kong Branch ______- ______- ______10,000,000.00 ______0.15 Total - - 993,644,200.00 14.43 ______

3) Loans and advances

2020/12/31 2019/12/31 RMB % RMB %

BNP Paribas 52,683,554.83 0.35 48,618,129.34 0.34 Bank of Nanjing ______10,929,485.74 ______0.07 ______5,129,630.64 ______0.04 Total 63,613,040.57 0.42 53,747,759.98 0.38 ______

- 59 - BNP PARIBAS (CHINA) LIMITED

IX. RELATED PARTY RELATIONSHIPS AND TRANSACTIONS - continued

3. Balances with related parties - continued

4) Interest receivable

2020/12/31 2019/12/31 RMB % RMB %

BNP Paribas - - 42,078.14 0.01 BNP Paribas Hong Kong Branch ______- ______- ______1,272.22 ______0.00 Total - - 43,350.36 0.01 ______

5) Other receivable

2020/12/31 2019/12/31 RMB % RMB %

BNP PARIBAS PERSONAL FINANCE SA 6,200,403.65 0.24 10,066,553.00 0.76 BNP Paribas Hong Kong Branch 6,008,369.38 0.23 8,568,328.97 0.65 BNP Paribas Singapore Branch 4,265,550.60 0.17 4,134,342.13 0.31 BNP Paribas Arbitrage 3,587,520.39 0.14 - - BNP Paribas Taipei Branch 216,151.05 0.01 149,280.99 0.01 BNP Paribas 34,241.92 0.00 8,672,076.33 0.65 BNP Paribas New York Branch 5,529.97 0.00 3,662.51 0.00 BNP Paribas S.A., San Francisco Branch 2,526.77 0.00 - - BNP PARIBAS ASSET MANAGEMENT LUXEMBOURG 1,670.31 0.00 1,999.73 0.00 BNP Paribas (Chengdu) Representative Office 320.10 0.00 - - BNP PARIBAS MALAYSIA BERHAD 25.71 0.00 - - BNP Paribas Canada Branch ______0.85 ______0.00 ______- ______- Total 20,322,310.70 0.79 31,596,243.66 2.38 ______

6) Due to related parties

2020/12/31 2019/12/31 RMB % RMB %

BNP Paribas 1,324,193,485.07 47.81 1,601,774,001.57 61.31 Genius Auto Finance Co., Ltd 449,982,727.42 16.25 603,006,337.26 23.08 BNP Paribas Hong Kong Branch 35,255,807.27 1.27 328,531,953.40 12.58 BNP Paribas Singapore Branch 5,299,085.24 0.19 5,299,085.24 0.20 BNP Paribas Taipei Branch 329,051.50 0.01 234,263.27 0.01 HFT Investment Management Co., Ltd. 16,201.03 0.00 15,777.15 0.00 BNP PARIBAS ASSET MANAGEMENT LUXEMBOURG ______- ______- ______0.10 ______0.00 Total 1,815,076,357.53 65.53 2,538,861,417.99 97.18 ______

- 60 - BNP PARIBAS (CHINA) LIMITED

IX. RELATED PARTY RELATIONSHIPS AND TRANSACTIONS - continued

3. Balances with related parties - continued

7) Takings from related parties

2020/12/31 2019/12/31 RMB % RMB %

BNP Paribas 9,845,626,421.61 95.12 7,316,697,534.88 100.00 BNP Paribas Hong Kong Branch ______5,000,000.00 ______0.05 ______- ______- Total 9,850,626,421.61 95.17 7,316,697,534.88 100.00 ______

8) Customer deposits

2020/12/31 2019/12/31 RMB % RMB %

BNP Paribas Overseas Investment Fund Management (Shanghai) Co., Ltd 8,059,098.23 0.03 5,401,351.01 0.03 BNP Paribas Equities (Asia) Limited, Beijing Representative Office 354,109.16 0.00 299,780.88 0.00 BNP Paribas Equities (Asia) Limited, Shanghai Representative Office 200,249.68 0.00 7,871.19 0.00 Annuo Jiutong Car Leasing Company Limited 145,276.16 0.00 750,137.89 0.00 BNP Paribas (Chengdu) Representative Office 139,348.73 0.00 137,566.63 0.00 BNP Paribas Commodities Trading (Shanghai) Co., Ltd ______30,551.53 ______0.00 ______34,541.16 ______0.00 Total 8,928,633.49 0.03 6,631,248.76 0.03 ______

9) Interest payable

2020/12/31 2019/12/31 RMB % RMB %

BNP Paribas 131,333,923.41 72.31 103,509,863.26 67.93 Genius Auto Finance Co., Ltd 7,502.17 0.00 137,506.76 0.09 BNP Paribas Hong Kong Branch 1,928.55 0.00 11,239.22 0.01 BNP Paribas Overseas Investment Fund Management (Shanghai) Co., Ltd 981.52 0.00 577.69 0.00 BNP PARIBAS ASSET MANAGEMENT LUXEMBOURG 229.74 0.00 - - BNP Paribas Equities (Asia) Limited, Beijing Representative Office 32.46 0.00 32.06 0.00 BNP Paribas Equities (Asia) Limited, Shanghai Representative Office 16.76 0.00 0.86 0.00 Annuo Jiutong Car Leasing Company Limited 13.32 0.00 80.23 0.00 BNP Paribas (Chengdu) Representative Office 12.50 0.00 15.39 0.00 BNP Paribas Commodities Trading (Shanghai) Co., Ltd ______3.05 ______0.00 ______7.02 ______0.00 Total 131,344,643.48 72.31 103,659,322.49 68.03 ______

- 61 - BNP PARIBAS (CHINA) LIMITED

IX. RELATED PARTY RELATIONSHIPS AND TRANSACTIONS - continued

3. Balances with related parties - continued

10) Other payables

2020/12/31 2019/12/31 RMB % RMB %

BNP Paribas 419,945,859.81 59.30 287,014,152.79 53.61 BNP Paribas Singapore Branch 92,450,358.64 13.05 42,730,654.77 7.98 BNP Paribas Hong Kong Branch 20,478,851.46 2.89 17,602,562.01 3.29 BNP Paribas Fortis SA/NV 14,295,414.37 2.02 11,729,321.98 2.19 BNP Paribas New York Branch 3,600,113.58 0.51 3,849,118.35 0.72 BNP Paribas Securities Services S.C.A. 1,227,734.06 0.17 809,403.35 0.15 BNP Paribas India Solutions Pvt. Ltd 509,981.68 0.07 545,996.34 0.10 BNP PARIBAS S.A., BANKFILIAL SVERIGE 155,110.85 0.02 - - BNP Paribas (Suisse) S.A. 116,624.58 0.02 - - BNP Paribas German Branch 24,241.83 0.00 72,237.23 0.01 Banca Nazionale Del Lavoro S.P.A., Milano Branch 21,748.64 0.00 160,624.71 0.03 BNP Paribas Global Securities Operations Private Limited ______11,566.30 ______0.00 ______4,164.79 ______0.00 Total 552,837,605.80 78.05 364,518,236.32 68.08 ______

- 62 - BNP PARIBAS (CHINA) LIMITED

IX. RELATED PARTY RELATIONSHIPS AND TRANSACTIONS - continued

3. Balances with related parties - continued

11) Deferred income

2020/12/31 2019/12/31 RMB % RMB %

BNP Paribas 571,723.06 3.21 14,620.36 0.06 BNP Paribas Canada Branch 254,948.21 1.43 273,533.57 1.21 BNP PARIBAS S.A. NORWAY BRANCH 67,490.37 0.38 331,955.70 1.46 BNP PARIBAS LABUAN BRANCH 40,793.61 0.23 - - BNP Paribas S.A., San Francisco Branch 35,117.76 0.20 30,592.87 0.13 BNP Paribas New York Branch 22,700.97 0.13 4,402.07 0.02 JOINT STOCK COMPANY UKRSIBBANK 22,043.27 0.12 - - BNP PARIBAS MALAYSIA BERHAD 11,603.03 0.07 30,095.37 0.13 BNP Paribas Netherlands Branch 5,478.91 0.03 - - BGL BNP Paribas 3,658.84 0.02 - - BNP Paribas Hong Kong Branch 3,099.60 0.02 11,454.37 0.05 Banca Nazionale Del Lavoro S.P.A., Milano Branch - - 4,623.64 0.02 BNP Paribas S.A Frankfurt Branch - - 3,239.06 0.01 BNP Paribas S.A., Madrid Branch - - 2,453.11 0.01 BNP Paribas London Branch - - 2,077.75 0.01 BNP Paribas SA (Seoul Branch) - - 1,287.05 0.01 BNP Paribas USA Chicago Branch - - 56.51 0.00 Banca Nazionale Del Lavoro S.P.A. - - (22.43) 0.00 BNP Paribas Singapore Branch ______- ______- ______(275.21) ______0.00 Total 1,038,657.63 5.84 710,093.79 3.12 ______

12) Derivative instrument transaction

2020/12/31 2019/12/31 Notional Fair value Notional Fair value amount assets/(liabilities) amount assets/(liabilities) RMB % RMB RMB % RMB

BNP Paribas 261,990,223,494.87 13.05 (444,470,384.16) 165,051,671,770.44 6.49 (449,393,740.76) Bank of Nanjing 39,215,577,840.00 1.95 (146,181,634.00) 79,940,059,883.55 3.14 (65,727,183.98) BNP Paribas Hong Kong Branch 9,877,804,822.89 0.49 337,773,436.37 6,357,721,596.93 0.25 (18,172,790.11) BNP Paribas Arbitrage 6,311,625,670.67 0.31 (130,306,747.94) 11,002,711,018.19 0.43 (93,822,755.69) BNP Paribas London Branch ______2,268,771,477.74 ______0.11 ______(30,420,569.73) ______1,697,969,392.04 ______0.07 ______31,633,976.35 Total 319,664,003,306.17 15.91 (413,605,899.46) 264,050,133,661.15 10.38 (595,482,494.19) ______

- 63 - BNP PARIBAS (CHINA) LIMITED

IX. RELATED PARTY RELATIONSHIPS AND TRANSACTIONS - continued

4. Key management remuneration

Specific remuneration information for board directors, senior management and employee with significant influence on risk as of year 2020:

2020/12/31 2019/12/31 RMB RMB

Compensation of key management personnel 64,639,551.27 62,716,848.23 ______

Note: the definition of senior management refer to “CBIRC Implementation Measures of Administrative Licensing Items for Foreign Banks” related regulation in Charter Six. The remuneration includes director fee (if applicable), compensation, bonus, social insurance, housing provident fund and commercial insurance paid to related personnel of 2020.

X. RISKS MANAGEMENT

1. Overview of risks management

Overview of risks

The Bank is exposed to various risks in its banking and financial business operations. The banks mainly faces credit risk, liquidity risk, market risk and operational risk. The respective risk departments are responsible for identifying, measuring and management of various risks on continuous basis.

The Bank’s risk management objectives are to achieve proper balance between risks and return. Based on these risk management objectives, the Bank’s basic risk management strategy is to identify and measure the exposure to various risks, establish appropriate risk limits for risk tolerance, implement prudent risk management, and monitors these exposures via information from system to ensure appropriate measures are implemented on a timely and effective manner eventually in controlling the risk within the limits.

The framework of risks management

The Board of Directors is responsible to discuss and approve strategy for overall risk management, supervise the risk management and internal control system, and evaluate the overall risks of the Bank. The key responsibilities of Risk Management Committee reporting directly to the Board, include formulating risk management policy framework and guidelines on development strategy applicable for the Bank, ensuring appropriate establishment and approval of risk management and internal control framework, review and approval of risk management policies and procedures, risk monitoring on daily operational management, and periodic risk evaluation which includes credit risk, liquidity risk, market risk and operational risk etc.

- 64 - BNP PARIBAS (CHINA) LIMITED

X. RISKS MANAGEMENT - continued

2. Credit risk

Credit risk arises when the borrower or counterparty fails to meet the required obligations in the agreement on due date.The Bank’s credit risk is mainly arised from credit business,including loans and advances, investmentsin debt securities and placement activities with other banks and financial institution.

Credit risk management

The Bank operates standard credit management including performing due diligence, credit review and approval, post-drawdown monitoring and non-performing loan management.The Bank etsablished its credit grading system by reference to BNP Paribas policy, in which qualitative and quantitative assessment, measurement and regulation under guidelines of the global standardization methods were taking into consideration. This rating system for each counterparty uses 12 levels of internal rating (grade 1 to grade 12, grade 1 is the highest).The credit ratings for all loans are updated once a year. When there is indication of warning signs, the risk rating will be reviewed and adjusted accordingly.

The guideline of relationship of the Bank’s credit rating principle with CBIRC guidelines is listed below(please note that the BNPP internal ratings refers to CBIRC Facility Grades but they are not mapping directly. Adjustments will be made in accordance with actual situation):

Unified Credit Rating CBIRC Classification

1-7 Pass 8 Special Mention 9-10 Substandard 11 Doubtful 12 Loss

(i) Loans and advance

The CBIRC five categories of loan classification of Guideline are set out below:

Pass: Borrowers can honor the terms of their loans. There is no reason to doubt their ability to repay principal and interest in full on a timely basis.

Special mention: Borrowers are able to service their loans currently, although repayment may be adversely affected by specific factors.

Substandard: Borrowers’ ability to service their loans is in question and they cannot rely entirely on normal operational revenues to repay principal and interest. Loss may ensue even when collateral or guarantees are invoked.

Doubtful: Borrowers cannot repay principal and interest in full and significant loss will need to be recognized even when collateral or guarantees are invoked.

Loss: Only a small portion or none of the principal and interest can be recovered after taking all possible measures and exhausting all legal remedies.

- 65 - BNP PARIBAS (CHINA) LIMITED

X. RISKS MANAGEMENT - continued

2. Credit risk - continued

(ii)Debt securities and other bills

At present the Bank has been holding only sovereign (such as government bonds or PBOC bills), Quasi-Sovereign Bonds (policy bank bonds) and corporate debt securities. The bank constantly pays attention to the change in credit rating of issuers.

(iii)Deposits with other banks and financial institutions and due to banks and other financial institutions

The Bank reviews and monitors the credit risk of all financial institutions under coverage on regular basis. Credit limits are in place for each individual bank or non-banking financial institution which has business relationship with the Bank.

(iv)Derivative financial instruments

The Bank strictly controls the derivative transactions. The risk management department is responsible to set the credit limit for each counterparty - with market risk limits defined at operational level (Global Markets activities & Treasury), and closely monitoring the credit risk and market risk.

Risk limit control and mitigation policies

The Bank manages, limits and controls concentrations of identified credit risk especially they are identified in particular, to individual counterparties, groups, industries and areas.

To optimizing credit risk structure, the Bank set limits to individual counterparties, groups, industries and areas. Such risks are monitored on an ongoing basis and subject to an annual or more frequent review, when necessary.

Exposures to credit risk are also managed through regular analysis of the ability of borrowers and potential borrowers to meet interest and principal repayment obligations and by changing the facility where appropriate.

Some other specific control and mitigation measures are outlined below:

(i)Guarantee

The Bank normally requests guarantees for loans to corporate entities. For the loan with third party guarantee, the Bank will evaluate the financial condition, credit history and ability to meet obligations of the guarantor on regular basis.

(ii)Collateral

Taking deposits as pledged security is also used tomitigaterisk.

- 66 - BNP PARIBAS (CHINA) LIMITED

X. RISKS MANAGEMENT - continued

2. Credit risk - continued

Risk limit control and mitigation policies - continued

(iii)Derivative financial instruments

The risk management department takes on the responsibilities for setting the credit limit and trading limit of individual counterparty, and closely monitoring their credit risk and impact of market risk.

(iv)Credit-related commitments

Credit risk of financial guarantee is the same as that of loan. However, risks of non-financial guarantee and commercial letter of credit which are tied with underlying projects or goods are usually guaranteed by shipped goods. Therefore, they have lower risks compared with direct loan. Credit-related commitments are incorporated into applicant’s total facility.

Impairment and provision policies

According to the accounting policy of the Bank, if there is objective evidence that the financial asset is impaired, and the amount can be estimated, the Bank shall recognize the impairment loss and accrue impairment provision.

The Bank continually monitors the asset quality of individual financial assets with materiality. For impairment allowances on individually assessed assets, the bank assesses its loss and confirms the accrual amount of provision. The assessment normally encompasses the guarantee (including re- confirm its cash ability) and the estimated recoverable amount of the single asset.

Maximum credit risk exposure information

Putting aside the consideration of collaterals available or other credit enhancement possibilities, maximum credit risk exposure information represents the worst situation of credit risk exposure as of balance sheet date. The financial assets value, indicative of credit risk exposure class as of the balance sheet date, is the balance of the carrying amount of the financial assets less the following 2 items: 1) the amount offset pursuant to the requirement in the Accounting Standards for Business Enterprises No. 37 -Presentation of Financial Instruments;2) the recognized impairment loss of the financial assets.

- 67 - BNP PARIBAS (CHINA) LIMITED

X. RISKS MANAGEMENT - continued

2. Credit risk - continued

Information on the maximum credit risk exposure of the Bank is as below:

2020/12/31 2019/12/31 RMB RMB

Balance Sheet Maximum Exposure includes: Funding activities with banks 19,540,167,112.27 13,912,535,365.36 Deposits with the Central Bank 6,781,879,122.32 6,170,010,799.99 Deposits with banks and other financial institutions 735,683,489.95 855,306,365.37 Placements with other banks 12,022,604,500.00 6,887,218,200.00 Investments in debt securities 16,511,681,416.41 11,067,659,833.62 Financial assets at FVTPL 6,665,817,723.27 3,019,817,744.66 Available-for-sale financial assets 6,997,010,777.91 8,047,842,088.96 Held-to-maturity investments 2,848,852,915.23 - Derivative assets 17,919,129,776.65 8,892,729,855.06 Loans and advances 15,175,888,700.19 14,507,673,359.89 Other receivables ______2,946,585,450.20 ______1,701,918,510.59 Total ______72,093,452,455.72 ______50,082,516,924.52 Off-Balance Sheet Maximum Exposure includes: Letters of Credit issued 949,495,161.39 465,742,875.85 Guarantee 7,417,008,390.14 7,517,469,670.11 Letter of credit acceptances 322,722,193.36 424,226,752.82 Irrevocable loan commitment 873,100,229.49 816,168,345.21 Bank’s acceptance bills ______2,061,970,003.64 ______1,337,219,153.80 Total ______11,624,295,978.02 ______10,560,826,797.79 Maximum Credit Risk Exposure 83,717,748,433.74 60,643,343,722.31 ______

- 68 - BNP PARIBAS (CHINA) LIMITED

X. RISKS MANAGEMENT - continued

2. Credit risk - continued

Loans and advances

Overdue and impairment Loans and advances 2020/12/31 2019/12/31 RMB RMB

Neither overdue nor impaired(i) 15,550,254,155.85 14,861,513,302.98 Impaired(ii) ______41,926,835.19 ______41,926,835.19 Total 15,592,180,991.04 14,903,440,138.17 Less: allowance for impairment loss ______(416,292,290.85) ______(395,766,778.28) Net amount 15,175,888,700.19 14,507,673,359.89 ______

(i) Loans and advances neither overdue nor impaired

The credit quality of the portfolio of loans and advances that were neither overdue nor impaired can be assessed by reference to the five rating classification system adopted by the Bank.

Loans and advances 2020/12/31 2019/12/31 RMB RMB

Pass 15,493,062,096.42 14,759,259,288.97 Special mention ______57,192,059.43 ______102,254,014.01 Total 15,550,254,155.85 14,861,513,302.98 ______

(ii) Impaired

Loans and advances 2020/12/31 2019/12/31 RMB RMB

Doubtful ______41,926,835.19 ______41,926,835.19 Total 41,926,835.19 41,926,835.19 ______

- 69 - BNP PARIBAS (CHINA) LIMITED

X. RISKS MANAGEMENT - continued

2. Credit risk - continued

Investment in debt securities

The tables below analyze the Bank’s investment in debt securities rated by institution generally recognized by the market:

2020/12/31 (RMB) Available-for-sale Held-to maturity RMB Securities Trading Assets financial asset investments Total

31 December 2020 AAA 80,008,400.00 298,030,950.00 - 378,039,350.00 Unrated: Bonds issued by government 6,230,855,184.97 4,925,540,986.77 2,848,852,915.23 14,005,249,086.97 Financial institutions bonds 235,408,038.30 1,773,438,841.14 - 2,008,846,879.44 NCD _____119,546,100.00______- ______- ______119,546,100.00 Total 6,665,817,723.27 6,997,010,777.91 2,848,852,915.23 16,511,681,416.41 ______

2019/12/31 (RMB) RMB Securities Trading Assets Available-for-sale assets Total

31 December 2019 Unrated: Bonds issued by government 1,034,254,801.86 1,370,626,192.83 2,404,880,994.69 Financial institutions bonds 1,788,508,742.80 6,527,215,896.13 8,315,724,638.93 Corporate bonds - 150,000,000.00 150,000,000.00 NCD ______197,054,200.00 ______- ______197,054,200.00 Total 3,019,817,744.66 8,047,842,088.96 11,067,659,833.62 ______

Deposit with other banks and financial institutions is neither overdue nor impaired at the end of 2019 and 2020.

Analysis on credit risk concentration of financial assets

The Bank manages credit risk concentration of loans and advances by regions. Please refer to Note VII 6(3) for relevant analysis. The Bank manages credit risk concentration of financial assets by industries; please see Note VII 6(2) for relevant analysis.

3. Liquidity risk

Liquidity risk is the risk that no sufficient funds will be available to make debt repayment when falls due. Liquidity risk of the Bank mainly results from early or concentrated withdrawn by depositors, postponed loan repayment by borrowers, amount or maturity mismatch of assets and liabilities.

- 70 - BNP PARIBAS (CHINA) LIMITED

X. RISKS MANAGEMENT - continued

3. Liquidity risk - continued

Liquidity risk management

The Bank implements centralized management on liquidity risk by Headquarter. ALM-Treasury Department is responsible for working capital management.

According to “Regulations of the People’s Republic of China on Administration of Foreign-funded Banks” and related regulations, the Bank controls the liquidity ratio of no less than 25%. At the same time, the Bank manages liquidity risk according to the maturity date of assets and liabilities.

The Bank is exposed to daily calls on its available cash resources from overnight deposits, current accounts, maturing deposits, loan payable, loan draw downs, guarantees and other calls on cash settled derivatives. As experience shows that part of matured deposits will not be withdrawn, however, to satisfy unexpected fund requirement, the Bank establish liquidity management policy and maintain the level of commitment inter-bank placement facilities to cover withdrawals at unexpected levels of demand.

As at 31 December 2020, the Bank maintained 10.5% of the total RMB denominated deposits (31 December 2019: 10.5%), 5% of the total foreign currency denominated deposits (31 December 2019: 5%) and 10.5% of the offshore RMB deposit (31 December 2019: 10%) with PBOC as required deposit reserves.

The reasonable matching and effective control in mismatching of maturities of assets and liabilities is fundamental to the management of the Bank. It is unusual for banks ever to be completely matched since business transactions are often of uncertain terms and of different types. Any unmatched position will be kept under a set of gapping limits.

The maturities of assets and liabilities and the ability to replace, at an acceptable cost, interest- bearing liabilities as they mature are important factors in assessing the liquidity risk of the Bank.

- 71 - BNP PARIBAS (CHINA) LIMITED

X. RISKS MANAGEMENT - continued

3. Liquidity risk - continued

Liquidity risk management- continued

1)Non-derivative cash flows of financial assets and liabilities

The table below presents the cash flows payable by the Bank under non-derivative financial assets and liabilities by remaining contractual maturities at the balance sheet date. The amounts disclosed in the table are the contractual undiscounted cash flows.

2020/12/31 (RMB) Items Undated/Over due Within 1 month 1-3months 3-12months Over 1 year Over 5 years Total

Assets Cash and deposits with the Central Bank 2,365,479,172.11 2,532,785,610.19 333,189,954.89 1,551,486,331.28 - - 6,782,941,068.47 Due from banks and other financial institution - 735,693,858.34 - - - - 735,693,858.34 Placements with other banks - 954,616,138.89 3,072,388,382.58 8,086,544,692.85 211,830,000.00 - 12,325,379,214.32 Financial assets at FVTPL - 114,678,720.20 269,853,172.44 3,244,317,041.33 3,345,463,704.80 355,215,898.70 7,329,528,537.47 Loans and advances 41,926,835.19 6,098,026,635.54 3,803,631,796.47 4,310,517,507.32 1,620,616,374.95 - 15,874,719,149.47 Available-for-sale financial assets - 376,369,000.00 10,070,000.00 1,747,111,000.00 5,432,797,000.00 - 7,566,347,000.00 Held-to-maturity investments ______- ______- ______19,240,000.00______1,459,158,000.00______1,478,283,000.00______-______2,956,681,000.00______

Non-derivative financial assets total 2,407,406,007.30 10,812,169,963.16 7,508,373,306.38 20,399,134,572.78 12,088,990,079.75 355,215,898.70 53,571,289,828.07 ______

Liabilities Due to banks and other financial institution - 1,383,382,438.05 34,110,742.44 84,326,881.59 1,325,645,697.82 - 2,827,465,759.90 Takings from other banks - 2,119,466,024.14 3,277,404,854.75 5,024,102,682.60 137,174,086.24 - 10,558,147,647.73 Assets sold under repurchased agreements - 4,425,569,443.11 - - - - 4,425,569,443.11 Customer deposits ______- 21,469,482,66______6.92 ______2,792,611,265.91 ______1,436,378,307.03 ______168,244,089.73 ______- ______25,866,716,329.59

Non-derivative financial liabilities total - 29,397,900,572.22 6,104,126,863.10 6,544,807,871.22 1,631,063,873.79 - 43,677,899,180.33 ______

Net gap 2,407,406,007.30 (18,585,730,609.06) 1,404,246,443.28 13,854,326,701.56 10,457,926,205.96 355,215,898.70 9,893,390,647.74 ______

- 72 - BNP PARIBAS (CHINA) LIMITED

X. RISKS MANAGEMENT - continued

3. Liquidity risk - continued

Liquidity risk management - continued

1)Non-derivative cash flows of financial assets and liabilities - continued

2019/12/31 (RMB) Items Undated/Over due Within 1 month 1-3months 3-12months Over 1 year Over 5 years Total

Assets Cash and deposits with the Central Bank 1,749,697,927.68 1,444,775,225.25 655,064,523.05 2,321,279,899.55 - - 6,170,817,575.53 Due from banks and other financial institution - 855,314,541.18 - - - - 855,314,541.18 Placements with other banks - 2,063,102,173.41 3,269,296,512.86 1,688,383,660.27 - - 7,020,782,346.54 Financial assets at FVTPL 4,226,092.78 15,985,545.48 408,928,786.27 2,028,555,227.78 1,114,108,124.95 3,571,803,777.26 Loans and advances 41,926,835.19 5,062,533,726.56 3,891,972,395.50 4,502,735,907.57 1,744,975,759.63 - 15,244,144,624.45 Available-for-sale financial assets ______- ______37,269,000.00______226,522,000.00 ______3,501,717,000.00 ______4,908,057,000.00 ______- ______8,673,565,000.00

Non-derivative financial assets total 1,791,624,762.87 9,467,220,759.18 8,058,840,976.89 12,423,045,253.66 8,681,587,987.41 1,114,108,124.95 41,536,427,864.96 ______Liabilities Due to banks and other financial institution - 1,530,367,340.49 772,625,916.67 - 404,192,250.00 - 2,707,185,507.16 Takings from other banks - 534,467,952.14 1,363,919,877.51 5,412,888,030.70 153,575,667.96 - 7,464,851,528.31 Assets sold under repurchased agreements - 2,621,456,052.53 - - - - 2,621,456,052.53 Customer deposits ______- ______12,993,750,313.76______3,634,574,203.78 ______948,248,275.60 ______4,233,419.53 ______- ______17,580,806,212.67

Non-derivative financial liabilities total - 17,680,041,658.92 5,771,119,997.96 6,361,136,306.30 562,001,337.49 - 30,374,299,300.67 ______Net gap 1,791,624,762.87 (8,212,820,899.74) 2,287,720,978.93 6,061,908,947.36 8,119,586,649.92 1,114,108,124.95 11,162,128,564.29 ______

2)Derivative liquidity risk analysis

Derivatives settled on a net basis

The Bank’s derivatives that will be settled on a net basis include interest derivatives (interest rate swaps), equity related derivatives, etc.

The table below analyses the Bank’s derivative contracts that will be settled on a net basis into relevant maturity groupings based on the remaining period at the balance sheet to the contractual maturity date. The amounts disclosed in the table are the contractual undiscounted cash flows, of which positive amounts are cash inflow and negative amounts are cash outflow.

Within 1 month 1-3months 3-12 months 1-5years Over 5 years Total RMB RMB RMB RMB RMB RMB

31 December 2020 Interest rate derivatives (60,060,833.25) 21,048,332.92 669,416,634.78 3,690,703,612.66 5,196,554.80 4,326,304,301.91 Equity related derivatives 4,152.00 (1,822,522.60) 1,851,554.00 1,943,532.60 - 1,976,716.00 ______31 December 2019 Interest rate derivatives (917,808,420.04) (2,632,346,709.61) 782,464,709.36 49,939,888.76 7,825,447.26 (2,709,925,084.27) Equity related derivatives - 1.27 (144,906.81) 6,194.15 - (138,711.39) ______

Derivatives settled on a gross basis

The Bank’s derivatives that will be settled on a gross basis include: Foreign exchange derivatives such as foreign exchange forwards, foreign exchange swap, currency option contract; Interest rate derivatives such as cross currency swap, interest rate option and other derivatives such as commodities related derivatives, gold derivatives contracts.

- 73 - BNP PARIBAS (CHINA) LIMITED

X. RISKS MANAGEMENT - continued

3. Liquidity risk - continued

Liquidity risk management - continued

2)Derivative liquidity risk analysis - continued

The table below analyses the Bank’s derivative contracts that will be settled on a gross basis into relevant maturity groupings based on the remaining period at the balance sheet to the contractual maturity date. The amounts disclosed in the table are the contractual undiscounted cash flows. The positive amounts indicate cash inflow and negative amounts indicate cash outflow.

Within 1 month 1-3 months 3-12 months 1-5years Over 5 years Total RMB RMB RMB RMB RMB RMB

31December2020 Foreign exchange derivatives -Outflow (141,182,702,711.78) (161,764,123,699.74) (305,773,458,938.63) (18,817,786,229.43) - (627,538,071,579.58) -Inflow 141,613,579,988.99 161,230,408,944.19 304,951,193,427.58 18,205,961,578.52 - 626,001,143,939.28 Interest rate derivatives -Outflow (76,949,368.82) (798,226,988.65) (11,784,846,938.55) (6,726,037,804.97) (176,880,714.78) (19,562,941,815.77) -Inflow 107,146,997.71 879,202,721.22 12,396,304,823.41 7,317,848,281.35 195,881,100.85 20,896,383,924.54 Other derivatives -Outflow (691,515,301.12) (411,306,963.51) (1,783,618,927.35) (58,067,301.74) - (2,944,508,493.72) -Inflow ______656,356,689.23 ______411,306,963.51______1,806,030,356.79______57,642,674.04______- ___ 2,931,336,683.57______425,916,294.21 (452,739,022.98) (188,396,196.75) (20,438,802.23) 19,000,386.07 (216,657,341.68) ______

31December2019 Foreign exchange derivatives -Outflow (113,137,097,389.44) (126,091,640,930.53) (309,405,985,919.44) (16,486,775,883.80) (16,371,749.95) (565,137,871,873.16) -Inflow 112,486,989,094.41 126,724,334,085.71 309,861,772,642.67 16,338,489,438.76 15,308,974.20 565,426,894,235.75 Interest rate derivatives -Outflow (1,701,004,598.11) (91,036,609.40) (3,946,962,909.56) (7,899,337,072.05) (384,146,549.42) (14,022,487,738.54) -Inflow 1,696,338,799.31 107,912,492.26 4,015,700,680.81 8,018,719,279.26 400,476,110.17 14,239,147,361.81 Other derivatives -Outflow (811,698,693.77) (820,999,496.16) (883,828,732.48) (9,028,721.79) - (2,525,555,644.20) -Inflow ______813,025,950.00 ______792,573,106.16 ______839,986,949.41______9,028,721.79 ______- ______2,454,614,727.36_

(653,446,837.60) 621,142,648.04 480,682,711.41 (28,904,237.83) 15,266,785.00 434,741,069.02 ______

4. Market risk

Market risk refers to the risk of fluctuation of the fair value or future cash flows of a financial instrument caused by any change in market prices. Market risks arise from open positions on different underlings, interest rate and foreign exchange rate as examples, all of which are exposed to general and specific market movements.

The Bank monitor dedicated separates market risk indicators for trading and non-trading portfolios.

Currently, Market Risk Management Department takes responsibility for monitoring and controlling the market risk of both trading and non-trading books. Market Risk Department reports directly to BNPP Group Market Risk Department and to Local Chief Risk Officer of the Bank at the same time. Market Risk Department is independent from traders of front office. The Market Risk Department will timely inform the related business heads and local management on the excess/limit events and obtain required approvals for limit changes.

- 74 - BNP PARIBAS (CHINA) LIMITED

X. RISKS MANAGEMENT - continued

4. Market risk - continued

Market risk assessment techniques

At present, the Bank uses different indicators to assess the market risk in different books. For trading books, the Bank mainly refers to sensitivity analysis/limits (PV01 or IR Delta) as well as FX Delta limits, Issuer Risk and 1-Day Market VaR(Value at Risk) limits. For Banking books, the Bank assesses the interest rate gapping between assets and liabilities. The Bank has established reporting system for risk analysis and daily reports including the respective exposures are sent to the Management of the Bank.

1-Day Market Value at Risk analysis

Market VaR is the worst loss expected over a given period of time and within a given confidence interval time. The Bank is computing the maximum expected daily loss of a trading activity at 99% confidence level and this indicator is computed by MRX system (Market Risk System). For consolidated Global Markets Trading books, the current limit of 1-Day Market VaR stands at EUR10,000,000 as approved by the Board of Directors as of 31 December 2020. The 1-Day Market VaR is only an internal indicator for risk management within the Bank as the regulatory Market Risk Capital for the entity is under standardized approach.

The table below includes the average value, the maximal value and the minimal value of 1-Day Market VaR for Global Markets Trading Books as of end of 2020 and end of 2019.

2020 Unit: EUR Average Maximum Minimum

31 December 2020 4,300,341 7,849,285 1,726,716 ______

2019 Unit: EUR Average Maximum Minimum

31 December 2019 2,774,445 6,889,171 1,236,256 ______

Stress-Tests

The potential loss beyond the confidence level cannot be well captured by the 1-Day Market VaR.

Therefore, the Bank also applies various stress-tests on a regular basis to simulate potential losses under extreme market conditions. Stress-tests results performed on trading books will provide an effective potential PnL impact as this perimeter is mark-to-market on a daily basis. For non-trading books, we can apply similar method but the results will not reflect an effective potential PnL impact as main of this perimeter is on accrued basis. Risk Management Committee will review the result of the stress-tests regularly. Besides, the Bank will update the stress-tests according to the risk overview and economic conditions on a regular basis.

- 75 - BNP PARIBAS (CHINA) LIMITED

X. RISKS MANAGEMENT - continued

4. Market risk - continued

Derivative financial instruments

The Bank uses derivatives to provide clients with risk management solutions and manage different risk exposures faced directly by the Bank (mainly includes interest rate risk and foreign exchange risk). The value of derivatives changes depending on the change in particular interest rates, exchange rates, financial instrument prices and etc.

The Bank’s main derivative financial instruments are based on derivatives trading/hedging purpose, including currency derivatives and interest rate derivatives. The Bank’s derivatives mainly relates to trading activities including the sales of derivative products to customers, making it able to tolerate, transfer or reduce existing or anticipated risks as well as market making transactions on the interbank market.

The Bank unified the derivatives into the trading accounts monitored by its market risk management system.

Foreign exchange risk

The Bank mainly conducts foreign business in RMB and USD. The domestic exchange rate of RMB to USD or other currencies is basically controlled by PBOC (Daily Fixing and Intraday Trading Band of +/-2%). The foreign exchange risk mainly rose from the transaction risks arising from the Bank’s proprietary and agent transactions and the structure risk arising from maintaining other currency position. Based on its own risk appetite and operation level, with the support of various transaction systems and management information systems, through limit setting, controlling and enhancing the structure of assets and liabilities, utilizing the derivative instruments, the Bank manage and control the exchange rate risks.

- 76 - BNP PARIBAS (CHINA) LIMITED

X. RISKS MANAGEMENT - continued

4. Market risk - continued

Foreign exchange risk - continued

The table below summarizes the Bank’s exposure to foreign exchange rate risk at the end of each reporting period. Included in the table are the Bank’s assets and liabilities at carrying amounts in RMB, categorized by the original currency:

2020/12/31 (RMB) Items RMB USD EUR Other currencies Total

Assets Cash and deposits with the Central Bank 4,730,156,088.32 2,051,680,952.00 - 42,082.00 6,781,879,122.32 Deposits with banks and other financial institutions 94,880,964.37 305,587,823.98 219,044,206.48 116,170,495.12 735,683,489.95 Placements with other banks 10,685,000,000.00 1,337,604,500.00 - - 12,022,604,500.00 Financial assets at FVTPL 6,665,817,723.27 - - - 6,665,817,723.27 Derivative assets - 17,919,129,776.65 - - 17,919,129,776.65 Loans and advances 14,445,813,579.91 669,774,910.87 60,300,209.41 - 15,175,888,700.19 Available-for-sale financial assets 6,997,010,777.91 - - - 6,997,010,777.91 Held-to-maturity investments 2,848,852,915.23 - - - 2,848,852,915.23 Other financial assets ___4,337,899,810.86______(1,864,806,947.92)______251,474,346.02______222,018,241.24______2,946,585,450.20______Financial assets total 50,805,431,859.87 20,418,971,015.58 530,818,761.91 338,230,818.36 72,093,452,455.72 ______

Liabilities Due to banks and other financial institutions 2,113,759,124.20 655,681,444.93 16,201.03 - 2,769,456,770.16 Takings from other banks 9,066,857,679.13 1,281,999,302.20 1,769,440.28 - 10,350,626,421.61 Derivative liabilities - 17,904,587,642.87 - - 17,904,587,642.87 Assets sold under repurchase agreements 4,424,100,000.00 - - - 4,424,100,000.00 Customer deposits 22,031,847,875.49 3,065,513,014.42 261,611,723.59 20,138,731.89 25,379,111,345.39 Other financial liabilities ______331,716,536.55 ______453,894,520.45 ______11,351,981.88 ______1,640,154.82 ______798,603,193.70 Financial liabilities total 37,968,281,215.37 23,361,675,924.87 274,749,346.78 21,778,886.71 61,626,485,373.73 ______Net position 12,837,150,644.50 (2,942,704,909.29) 256,069,415.13 316,451,931.65 10,466,967,081.99 ______

- 77 - BNP PARIBAS (CHINA) LIMITED

X. RISKS MANAGEMENT - continued

4. Market risk - continued

Foreign exchange risk - continued

2019/12/31 (RMB) Items RMB USD EUR Other currencies Total

Assets Cash and deposits with the Central Bank 2,913,719,280.56 3,256,058,616.63 - 232,902.80 6,170,010,799.99 Deposits with banks and other financial institutions 74,173,325.50 392,376,255.08 115,299,556.40 273,457,228.39 855,306,365.37 Placements with other banks 4,020,000,000.00 2,867,218,200.00 - - 6,887,218,200.00 Financial assets at FVTPL 3,019,817,744.66 - - - 3,019,817,744.66 Derivative assets - 8,892,729,855.06 - - 8,892,729,855.06 Loans and advances 13,855,888,398.72 612,803,059.65 38,981,901.52 - 14,507,673,359.89 Available-for-sale financial assets 8,047,842,088.96 - - - 8,047,842,088.96 Other financial assets ______10,565,891,900.33 ______(8,737,327,174.18) ______65,649,058.19 ______(192,295,273.75) ______1,701,918,510.59 Financial assets total 42,497,332,738.73 7,283,858,812.24 219,930,516.11 81,394,857.44 50,082,516,924.52 ______

Liabilities Due to banks and other financial institutions 2,576,552,949.67 35,957,438.89 15,777.15 - 2,612,526,165.71 Takings from other banks 3,610,000,000.00 3,700,720,623.60 5,976,911.28 - 7,316,697,534.88 Derivative liabilities - 8,294,386,428.77 - - 8,294,386,428.77 Assets sold under repurchase agreements 2,620,500,000.00 - - - 2,620,500,000.00 Customer deposits 14,621,216,620.09 2,591,341,402.98 121,857,342.22 22,739,395.68 17,357,154,760.97 Other financial liabilities ______699,688,987.59 ______328,450,416.08 ______2,201,955.08 ______1,828,398.57 ______1,032,169,757.32 Financial liabilities total 24,127,958,557.35 14,950,856,310.32 130,051,985.73 24,567,794.25 39,233,434,647.65 ______Net position 18,369,374,181.38 (7,666,997,498.08) 89,878,530.38 56,827,063.19 10,849,082,276.87 ______

The table below illustrates the potential impact of an appreciation or depreciation of RMB against foreign currencies by 1% on the Bank’s operating profit.1% is the sensitivity rate when foreign exchange risk is reported to the internal key management of the Bank.

2020 2019 Increase/ Increase/ (decrease) (decrease) RMB RMB

Appreciation of foreign currency by 1% (17,776,377) (56,402,189) Depreciation of foreign currency by 1% 17,776,377 56,402,189

The effects on net profit are primarily from the change in net position of monetary assets and liabilities, and non-monetary financial assets and liabilities measured at fair value, resulting from fluctuation in USD.

The above analysis is based on that there are no significant changes to the Bank’s business operations after balance sheet date. In actual operation, the Bank will take the initiative to adjust the foreign currency positions based on the judgment of the exchange rate movements, therefore actual impact on the Bank’s net income from exchange rate fluctuation may vary from the analysis above.

- 78 - BNP PARIBAS (CHINA) LIMITED

X. RISKS MANAGEMENT - continued

4. Market risk - continued

Interest rate risk

Interest rate risk for a specific currency is the risk that the future cash flows of a financial instrument will fluctuate on each currency because of changes in market interest rates. The Bank takes on interest rateexposure and is managing it on a daily basis.

Interest margins may increase as a result of such changes, but may reduce or create loss in the event that unexpected movements arise. The Bank operates its business predominantly in Mainland China under the interest rate scheme regulated by the PBOC.

The table below summarizes the Bank’s exposures to interest rate risks which presents the Bank's assets and liabilities at carrying amounts, categorized by the earlier of contractual re-pricing or maturity dates.

2020/12/31 (RMB) Items Within 3 months 3 - 12months 1-5years Over 5 years Non-interest Bearing/Over due Total

Assets Cash and deposits with the Central Bank 4,730,156,088.32 - - - 2,051,723,034.00 6,781,879,122.32 Deposits with banks and other financial institutions 735,683,489.95 - - - - 735,683,489.95 Placements with other banks 4,328,735,000.00 7,693,869,500.00 - - - 12,022,604,500.00 Financial assets at FVTPL 360,847,610.61 3,017,458,658.92 3,107,347,127.34 180,164,326.40 - 6,665,817,723.27 Derivative assets - - - - 17,919,129,776.65 17,919,129,776.65 Loans and advances 11,296,213,517.65 3,648,049,935.49 226,800,753.29 4,824,493.76 15,175,888,700.19 Available-for-sale financial assets 350,375,486.25 1,555,316,579.70 5,091,318,711.96 - - 6,997,010,777.91 Held-to-maturity investments - 1,403,555,821.50 1,445,297,093.73 - - 2,848,852,915.23 Other financial assets ______- ______- ______- ______- ______2,946,585,450.20 ______2,946,585,450.20

Financial assets total 21,802,011,192.78 17,318,250,495.61 9,870,763,686.32 180,164,326.40 22,922,262,754.61 72,093,452,455.72 ______

Liabilities Due to banks and other financial institutions 1,417,489,840.85 84,326,881.59 1,267,640,047.72 - - 2,769,456,770.16 Takings from other banks 5,448,768,742.48 4,901,857,679.13 - - - 10,350,626,421.61 Derivative liabilities - - - - 17,904,587,642.87 17,904,587,642.87 Assets sold under repurchase agreements 4,424,100,000.00 - - - - 4,424,100,000.00 Customer deposit 23,803,228,469.74 1,416,707,090.26 159,175,785.39 - - 25,379,111,345.39 Other financial liabilities ______- ______- ______- ______- ______798,603,193.70 ______798,603,193.70

Financial liabilities total 35,093,587,053.07 6,402,891,650.98 1,426,815,833.11 - 18,703,190,836.57 61,626,485,373.73 ______Net interest re-pricing gap (13,291,575,860.29) 10,915,358,844.63 8,443,947,853.21 180,164,326.40 4,219,071,918.04 10,466,967,081.99 ______

- 79 - BNP PARIBAS (CHINA) LIMITED

X. RISKS MANAGEMENT - continued

4. Market risk - continued

Interest rate risk - continued

2019/12/31 (RMB) Items Within 3 months 3 - 12months 1-5years Over 5 years Non-interest Bearing/Over due Total

Assets Cash and deposits with the Central Bank 2,913,719,280.56 - - - 3,256,291,519.43 6,170,010,799.99 Deposits with banks and other financial institutions 855,306,365.37 - - - - 855,306,365.37 Placements with other banks 5,253,051,200.00 1,634,167,000.00 - 6,887,218,200.00 Financial assets at FVTPL - 297,174,446.60 1,717,513,458.77 1,005,129,839.29 - 3,019,817,744.66 Derivative assets - - - - 8,892,729,855.06 8,892,729,855.06 Loans and advances 10,480,101,921.14 3,587,089,071.22 430,467,935.87 - 10,014,431.66 14,507,673,359.89 Available-for-sale financial assets 210,360,680.67 3,285,776,240.29 4,551,705,168.00 - - 8,047,842,088.96 Other financial assets ______- ______- ______- ______- ______1,701,918,510.59______1,701,918,510.59 Financial assets total 19,712,539,447.74 8,804,206,758.11 6,699,686,562.64 1,005,129,839.29 13,860,954,316.74 50,082,516,924.52 ______

Liabilities Due to banks and other financial institutions 2,262,526,165.71 - 350,000,000.00 - - 2,612,526,165.71 Takings from other banks 2,028,377,291.28 5,288,320,243.60 - - - 7,316,697,534.88 Derivative liabilities - - - - 8,294,386,428.77 8,294,386,428.77 Assets sold under repurchase agreements 2,620,500,000.00 - - - - 2,620,500,000.00 Customer deposit 16,419,316,282.07 933,802,324.47 4,036,154.43 - - 17,357,154,760.97 Other financial liabilities ______- ______- ______- ______- ______1,032,169,757.32 ______1,032,169,757.32

Financial liabilities total 23,330,719,739.06 6,222,122,568.07 354,036,154.43 - 9,326,556,186.09 39,233,434,647.65 ______Net interest re-pricing gap (3,618,180,291.32) 2,582,084,190.04 6,345,650,408.21 1,005,129,839.29 4,534,398,130.65 10,849,082,276.87 ______

The table below illustrates the potential impact on the Bank’s operating profit after 25 basis points movement in yield rate for all currencies, based on the structure of interest-bearing assets and interest-bearing liabilities (excluding current deposits)as at 31 December 2020.

2020 2019 Increase/ Increase/ (decrease) (decrease) RMB RMB

Appreciate by 25 basis points (5,195,213) 5,094,445 Depreciate by 25 basis points 5,195,213 (5,094,445)

The above impact on net profit includes the impact of change in net interest income and fair value of trading securities.

The Bank believes the assumption does not represent the Bank’s policy on use of funds and interest rate risk management. As a result, the above impact may be different from the real situation.

- 80 - BNP PARIBAS (CHINA) LIMITED

XI. CAPITAL MANAGEMENT

The capital management of the Bank focus on the capital adequacy ratio and return on invested capital, aiming to satisfy the requirements of external regulatory and shareholder returns, and to increase total assets and enhance risk management. In accordance with "Rules for Regulating the Capital Adequacy Requirement of Commercial Banks (for Trial Implementation)”(CBRC 2012[1]) enforced by 1 January 2013, combining the regulator requirements and the Bank’s risk condition, the Bank determined capital adequacy ratio target in a prudent manner, and to ensure management target was met through position management and several other means.

CBIRC requires commercial banks to meet the relevant capital adequacy requirements. For systemically important banks, CBIRC requires that its core tier one capital adequacy ratio should not be lower than 8.5%, the tier one capital adequacy ratio should not be less than 9.5%, and the capital adequacy ratio should not be lower than 11.5%. For non-systemically important banks, CBIRC requires that its core tier one capital adequacy ratio should not be lower than 7.5%, the tier 1 capital adequacy ratio should not be lower than 8.5%, and the capital adequacy ratio should not be lower than 10.5%.

The weighted risk assets in the balance sheet are calculated using different risk weights. The risk weights are determined according to each asset, the counterparty's credit, market and other related risks, and the impact of qualified mortgages and guarantees are also considered. Off-balance sheet exposures are also calculated using the same method, and are adjusted for their contingent characteristics. The counterparty credit risk-weighted assets of OTC derivatives transactions are the sum of the counterparty default risk-weighted assets and the credit valuation adjustment risk- weighted assets. Market risk-weighted assets are measured according to standard methods. Operational risk-weighted assets are measured according to the basic indicator method.

- 81 - BNP PARIBAS (CHINA) LIMITED

XI. CAPITAL MANAGEMENT - continued

The scope of capital adequacy ratio calculation includes all domestic institutions, and the Bank has no oversea institution. As of 31 December 2020, capital adequacy ratio statistics based on the Bank’s regulatory report were as follows: 31/12/2020 in RMB thousand The core tier one capital Paid-in capital 8,711,348 General reserve 659,373 Surplus reserve and retained earnings 837,668 Other comprehensive income ______23,444 The core tier one capital 10,231,833 The core tier one capital deduction Intangible assets after deferred tax liability adjustment ______18,684 Net core tier one capital 10,213,149 ______Other tier one capital ______- Net tier one capital 10,213,149 ______Tier two capital Loan provision exceed regulator limits 374,366 Tier two capital deduction ______- Net capital 10,587,515 ______Credit risk weighted assets 46,708,591 Market risk weighted assets (1) 21,705,771 Operational risk weighted assets ______2,359,520 Total risk weighted assets 70,773,882 ______The core tier one capital adequacy ratio 14.4% ______Tier one capital adequacy 14.4% ______Capital adequacy ratio 15.0% ______

- 82 - BNP PARIBAS (CHINA) LIMITED

XI. CAPITAL MANAGEMENT - continued

The Bank calculate the leverage ratio in accordance with “Administrative Measures for the Leverage Ratio of Commercial Banks (Revised in 2015)”(CBRC 2015[1]) enforced by 1 April 2015. As of 31 December 2020, leverage ratio statistics based on the Bank’s regulatory report were as follows:

31/12/2020 in RMB thousand

Net tier one capital 10,213,149 Adjusted balance of assets on the balance sheet 54,438,335 Balance of derivative assets 27,600,124 Balance of assets in bond financing transactions 4,610,000 Adjusted balance of assets off the balance sheet ______10,158,026 Leverage ratio 10.6% ______

(1) Market risk weighted assets 31/12/2020 in RMB thousand

Total market risk capital requirement (standard method) 1,736,462 -Interest rate risk 1,424,680 - Foreign exchange risk 307,056 - Option risk ______4,726 Market risk weighted assets 21,705,771 ______

XII. FAIR VALUE OF FINANCIAL INSTRUMENTS

The Bank established a market risk management system, by building an internal control framework using fair value measurement as basis, in order to meet the needs of internal management and information disclosure. The Bank also made gradual and systematic improvement to its market risk system management, by grouping all related departments from front, middle and back office, so as to adequately cover all procedures in collection, measurement, monitoring and assessment of fair value of financial instruments. When determining the fair value of financial instruments, the Bank considers the market price as the best approximation of the fair value of financial instruments for which there is an active market. For financial instruments of which the market does not exist, the Bank results from generally-accepted valuation models with observable market index or third party quoted price reviewed by risk management department to determine the fair value of these financial assets and financial liabilities.

Financial assets and liabilities of the Bank mainly includes: Deposits with the Central Bank, due from banks and other financial institutions, placements with other banks, derivative assets, financial assets held for trading, available-for-sale financial assets, held-to-maturity investments, loans and advances, other receivables, derivative liabilities, takings from other banks, due to banks and other financial institutions, assets sold under repurchase agreements, customer deposits, account payables, etc.

- 83 - BNP PARIBAS (CHINA) LIMITED

XII. FAIR VALUE OF FINANCIAL INSTRUMENTS - continued

Except for the following financial assets and liabilities, the fair value of the Bank’s financial assets and liabilities are based on market price.

(i) Deposits with the Central Bank, due from banks and other financial institutions, placement with other banks, held-to-maturity investments, due to banks and other financial institutions, takings from other banks, assets sold under repurchase agreements, interest receivable, interest payable, other assets and other liabilities.

Given that maturities of these financial assets and liabilities are either short-term or re-priced more than once every year; the carrying amount approximates the fair value.

(ii) Loans and advances

Because the loan interest rates follows the movement of PBOC benchmark interest rates, and interest rates for loans denominated in foreign currencies are generally floating rates, fair value of loans is close to carrying value. Expected cash flows are discounted at current market rates to determine fair value

(iii) Customer deposits

The fair value of check, savings and short-term money market accounts are the amount payable on demand at the reporting date. The estimated fair value of fixed interest-earning deposits and placements without quoted market price is based on discounted cash flows using interest rates for existed debts with similar remaining maturity.

The fair value of the customer deposits is approximate to their carrying amount because the majority of customer deposits of fixed interest rate are with maturity less than one year.

Fair value estimation is made on a specific time point according to the related market information and the information related with financial instrument. In the situation of existence of active market, such as the authorized stock exchange, market price best reflects the fair value of the financial instrument. While lacking active market, the fair value is estimated by using valuation technology (for details, please refer to Note IV).

The fair value of financial asset and liability is measured by the following methods:

 The fair value of financial asset and liability with standard terms and conditions in active market is measured by the existing bid price and ask price in the related active market;  The fair value of the other financial asset and liability (excluding derivative instrument) is measured by the common pricing model on basis of the discounted future cash flow or the existing market price in the observable market;  The fair value of the derivative instrument is measured by public quoted price in the active market. If the public quoted price does not exist, the fair value of the derivative instrument with no options is measured by discounted future cash flow on basis of the applicable yield curve; the fair value of the derivative instrument with options is measured by option pricing model (such as binomial model).

- 84 - BNP PARIBAS (CHINA) LIMITED

XII. FAIR VALUE OF FINANCIAL INSTRUMENTS – continued

1. Asset and liability consistently measured by fair value

As at 31 December 2020, the financial assets and financial liabilities measured at fair value by the above three levels are analysed below: 2020/12/31 (RMB) Level 1 Level 2 Level 3 Total

Financial assets at FVTPL - 6,665,817,723.27 - 6,665,817,723.27 Available-for-sale financial assets - 6,997,010,777.91 - 6,997,010,777.91 Derivative assets ______-__ _ _ 17,919,129,776.65______- __ _ __17,919,129,776.65______Financial assets total - 31,581,958,279.65 - 31,581,958,279.65 ______

Derivative liabilities ______- ______17,904,587,642.87 ______- ______17,904,587,642.87 Financial liabilities total - 17,904,587,642.87 - 17,904,587,642.87 ______

2019/12/31 (RMB) Level 1 Level 2 Level 3 Total

Financial assets at FVTPL - 3,019,817,744.66 - 3,019,817,744.66 Available-for-sale financial assets - 8,047,842,088.96 - 8,047,842,088.96 Derivative assets ______- ______8,892,729,855.06 ______- ______8,892,729,855.06 Financial assets total - 19,960,389,688.68 - 19,960,389,688.68 ______

Derivative liabilities ______- ______8,294,386,428.77 ______- ______8,294,386,428.77 Financial liabilities total - 8,294,386,428.77 - 8,294,386,428.77 ______

No transition of fair value measurement of the Bank’s assets and liabilities between different levels in current and prior year.

- 85 - BNP PARIBAS (CHINA) LIMITED

XII. FAIR VALUE OF FINANCIAL INSTRUMENTS - continued

1. Asset and liability consistently measured by fair value - continued

The quantitative information of fair value measurement in Level 2

2020/12/31 (RMB) Fair Value Valuation Technique Input Value

Financial assets at FVTPL 6,665,817,723.27 Discounted future cash flow Yield curve Available-for-sale financial assets 6,997,010,777.91 Discounted future cash flow Yield curve Derivative assets/(liabilities) 17,919,129,776.65 Discounted Forward exchange (17,904,587,642.87) future cash flow rate;Yield curve Fluctuation rate of exchange rate; Strike price

2019/12/31 (RMB) Fair Value Valuation Technique Input Value

Financial assets at FVTPL 3,019,817,744.66 Discounted future cash flow Yield curve Available-for-sale financial assets 8,047,842,088.96 Discounted future cash flow Yield curve Derivative assets/(liabilities) 8,892,729,855.06 Discounted Forward exchange (8,294,386,428.77) future cash flow rate;Yield curve Fluctuation rate of exchange rate; Strike price

2. The hierarchy of fair value of the asset and liability not measured but disclosed by fair value

The financial assets and liabilities not measured by fair value on the balance sheet mainly includes: deposits with the Central Bank, deposits with banks and other financial institutions, placements with other banks, loans and advances, interest receivable, held-to-maturity investments, due to banks and other financial instrument, takings from other banks, assets sold under repurchase agreement, customer deposits and interest payable, etc. Besides items listed below, the fair values of assets and liabilities, which are not measured by fair value but disclosed by fair value on balance sheet date, have no differences from book value, and all the items are on level 2:

31/12/2020 Book value Fair value Level 1 Level 2 Level 3 Total RMB RMB RMB RMB

Loan and advances 15,175,888,700.19 - 15,181,006,956.13 - 15,181,006,956.13 ______Customer deposits 25,379,111,345.39 - 25,222,035,475.15 - 25,222,035,475.15 ______

31/12/2019 Book value Fair value Level 1 Level 2 Level 3 Total RMB RMB RMB RMB

Loan and advances 14,507,673,359.89 - 14,533,343,061.72 - 14,533,343,061.72 ______Customer deposits 17,357,154,760.97 - 17,335,927,316.99 - 17,335,927,316.99 ______

- 86 - BNP PARIBAS (CHINA) LIMITED

XIII. COMPARABLE AMOUNTS

Some comparable amounts was reclassified in accordance with the disclosures in 2020.

XIV. ISSUANCE OF THE FINANCIAL STATEMENTS

The financial statements of the Bank was approved for issuance by the board of the directors of BNP Paribas (China) Limited on 15 April 2021.

*** END OF FINANCIAL STATEMENTS ***

- 87 -

BNP PARIBAS (CHINA) LIMITED. Supplementary information

Contents

Supplementary information I Balance sheet as at 31 December 2020 by CNY and FCY business

Supplementary information II Income statement for the year ended 31 December 2020 by CNY and FCY business

Supplementary information III Taxable income reconciliation for the year ended 31 December 2020

The information above is provided by the Bank management.

BNP PARIBAS (CHINA) LIMITED

SUPPLEMENTARY INFORMATION I BALANCE SHEET AS AT 31 December 2020(REPORTED IN RMB)

2020 RMB business Foreign currency Elimination Total business Assets Deposits with the Central bank 4,730,156,088.32 2,051,723,034.00 - 6,781,879,122.32 Deposits with other banks and financial institutions 29,019,296.00 706,664,193.95 - 735,683,489.95 Placements with other banks 10,685,000,000.00 1,337,604,500.00 - 12,022,604,500.00 Due from inter-branches 650,532,246.50 2,009,719,080.40 (2,660,251,326.90) - Financial assets at FVTPL 6,665,817,723.27 - - 6,665,817,723.27 Derivative assets 2,671,491,879.56 15,473,147,891.78 (225,509,994.69) 17,919,129,776.65 Loans and advance 14,446,715,627.81 729,173,072.38 - 15,175,888,700.19 Available-for-sale financial assets 6,997,010,777.91 - - 6,997,010,777.91 Held-to-maturity investments 2,848,852,915.23 - - 2,848,852,915.23 Fixed assets - 20,087,802.06 - 20,087,802.06 Intangible assets - 18,683,775.85 - 18,683,775.85 Deferred tax assets (55,933,191.12) 260,982,285.60 - 205,049,094.48 Other assets ______679,360,718.79 ______2,337,254,778.54 ______(31,154,242.45) ______2,985,461,254.88 Total assets 50,348,024,082.27 24,945,040,414.56 (2,916,915,564.04) 72,376,148,932.79 ______Liabilities Due to other banks and financial institutions 1,961,792,194.89 807,664,575.27 - 2,769,456,770.16 Placements from other banks 9,066,857,679.13 1,283,768,742.48 - 10,350,626,421.61 Due to inter-branches 650,532,246.50 2,009,719,080.40 (2,660,251,326.90) - Derivative liabilities 2,603,849,434.87 15,526,248,202.69 (225,509,994.69) 17,904,587,642.87 Assets sold under repurchase agreements 4,424,100,000.00 - - 4,424,100,000.00 Customer deposits 22,031,847,875.49 3,347,263,469.90 - 25,379,111,345.39 Payable to employees - 120,217,802.39 - 120,217,802.39 Tax payable 112,110,866.03 77,237,309.32 - 189,348,175.35 Other liabilities ______364,621,020.12 ______673,400,809.05______(31,154,242.45) ______1,006,867,586.72 Total liabilities 41,215,711,317.03______23,845,519,991.50 ______(2,916,915,564.04) ______62,144,315,744.49

Owner’s equity Paid-in capital 8,711,347,906.00 - - 8,711,347,906.00 Other comprehensive income 23,443,868.24 - - 23,443,868.24 Surplus reserve 129,431,369.72 440,147,406.39 - 569,578,776.11 General reserve - 659,373,016.67 - 659,373,016.67 Retained earnings ______268,089,621.28 ______- ______- ______268,089,621.28 Total owner’s equity ______9,132,312,765.24 ______1,099,520,423.06 ______- ______10,231,833,188.30 Total liabilities and Owner’s equity 50,348,024,082.27 24,945,040,414.56 (2,916,915,564.04) 72,376,148,932.79 ______

The above balance sheet is for regulators’ reference only and does not form part of the financial statements.

BNP PARIBAS (CHINA) LIMITED

SUPPLEMENTARY INFORMATION II INCOME STATEMENT FOR THE YEAR ENDED 31 December 2020(REPORTED IN RMB)

2020/12/31 RMB business Foreign currency Elimination Total business

Operating income 1,719,029,201.77 (604,392,492.28) - 1,114,636,709.49 Net interest income 694,385,644.08 (16,661,605.25) - 677,724,038.83 Interest income 1,352,176,342.06 77,067,234.64 (147,048,661.98) 1,282,194,914.72 Interest expense ______657,790,697.98 ______93,728,839.89 ______(147,048,661.98) ______604,470,875.89 Net fee and commission income 25,574,433.05 56,595,264.95 - 82,169,698.00 Fee and commission income 52,437,537.80 196,670,463.02 (87,771,390.30) 161,336,610.52 Fee and commission expense ______26,863,104.75 ______140,075,198.07 ______(87,771,390.30) ______79,166,912.52 Investment gains 563,594,926.87 1,758,024,181.40 - 2,321,619,108.27 Fair value losses (104,406,376.73) (488,949,856.73) - (593,356,233.46) Foreign exchange gains/(losses) 539,246,137.66 (1,913,877,181.70) - (1,374,631,044.04) Other income ______634,436.84 ______476,705.05 ______- ______1,111,141.89 Operating expense 558,291,243.58 170,045,112.71 - 728,336,356.29 Tax and surcharges 12,022,991.88 1,487,593.47 - 13,510,585.35 General and administrative expense 532,209,162.31 157,801,193.16 - 690,010,355.47 Impairment charge for assets ______14,059,089.39 ______10,756,326.08 ______- ______24,815,415.47 Operating profit 1,160,737,958.19 (774,437,604.99) - 386,300,353.20 Add：Non-operating income 0.07 121,015.88 - 121,015.95 Less：Non-operating expense ______- ______4,888,171.54 ______- ______4,888,171.54 Total profit 1,160,737,958.26 (779,204,760.65) - 381,533,197.61 Less: Income tax expense ______361,435,770.27 ______(277,563,651.34) ______- ______83,872,118.93 Net profit 799,302,187.99 (501,641,109.31) - 297,661,078.68 ______

The above income statement is for regulators’ reference only and does not form part of the financial statements.

法国巴黎银行(中国)有限公司

SUPPLEMENTARY INFORMATION III TAXABLE INCOME RECONCILIATION FOR YEAR ENDED 31 DECEMBER 2020

BNP PARIBAS (CHINA) LIMITED Taxable Income Reconciliation for the year ended 31 December 2020

Total RMB

Total revenue ______381,533,197.61 Tax adjustment: Revenue of deemed sales 381,920.87 Cost of deemed sales (362,320.54) Interest income of bonds issued by Chinese government (204,755,692.94) Expenses without legal voucher 717,046.50 Commercial insurance 2,547,967.66 Individual income tax borne by the bank 1,863,696.33 Income tax and business tax borne by the bank 736,543.58 Entertainment fee 584,766.01 Deposit Insurance 1,324,945.29 Supplementary pension plan 15,482,432.18 Fair value changes in trading Financial assets 9,554,940.95 Fair value changes in derivative Financial assets 583,801,292.52 Accrued salary and bonus 6,891,033.18 Accrued expense 57,869,076.26 Deferred interest income (2,658,580.54) Amortization of intangible assets 2,162,621.18 Allowance for impairment loss on loans and advances 106,015,739.98 Provision for other receivables 1,373,620.53 Due to BNP Paribas Group 92,632,627.47 Estimated liability (182,824.40) Social insurance for foreign employees 3,779,501.74 Individual income tax paid for client 60,041.62 Penalty 2,700,000.00 Indemnity ______2,188,171.54 Taxable income ______1,066,241,764.58 Income tax rate ______25% Total tax in 2020 266,560,441.15 ______

Note: In accordance with tax authorities' requirement, the Bank prepared the taxable income reconciliation form. This table is for the tax authorities’ reference only, and does not form part of the financial statements

III: Risk Management

PART I: RISK SITUATION 1. Credit Risk 1.1 Financial Institutions Credit Risk 1.1.1 Key risks encountered by BNPP China Ltd (nature, reason and rationale behind) Financial institutions counterparty risk is one of key risk types in BNPP China. The main counterparty types in our portfolio include sovereign entities, banks, securities firms, insurance companies, bank owned financial leasing companies, central clearing-house and other financial institutions. In 2020, the sudden outbreak of the COVID-19 brought an unprecedented impact on China and the global economy; China benefited from the government's successful anti-epidemic measures so as to bring the epidemic under control at home quickly and effectively; with the full work resumption and the rapid introduction of the government's counter-cyclical macro policy, the pressure over the domestic economy has been partially alleviated. China's GDP grew positively throughout the year, which is better than most countries in the world. In 2020, the liquidity of the financial system was generally reasonable and abundant; during the year, the profits decline, risk costs rise and asset quality differentiation within the banking and insurance industries became more pronounced; the brokerage industry performed well as capital markets recovered.

The overall risk profile of our financial institution clients remained stable in 2020, and there was no special mentioned assets or non-performing assets. The Bank's counterparty exposure mainly comes from large or head Financial institutions, which are highly resilient to risk in stressful situations; at the same time, RISK Institutionals & Securities Services (Risk I2S) has carried out a number of investigations to effectively ensure the credit quality.

1.1.2 Identified risks incidents in 2019, if any (background & outcome) No counterparties in the BNPP China Ltd credit portfolio defaulted, nor on watchlist /doubtful debt file at end of 2020.

1.1.3 Main accomplishments and corrective measures taken by the bank in 2020 In 2020, Risk I2S ensured smooth communication and cooperation with the Business and among RISK teams, strengthened the assessment on the macro, market and sector evolution and enhanced the monitoring and review of the counterparties’ credit profile in more regular basis. We continued to closely monitor counterparties in our portfolio particularly for weaker counterparties, continued to monitor financial performance of the listed banks on a quarterly basis and take necessary credit decision when needed (downgrade, line suspension or reduce credit lines) and remained selective in onboarding new counterparties. 97

We have completed all the annual review (sector review, counterparty credit assessment, counterparties ratings and limits) for financial institutions and sovereigns under RISK I2S China’s coverage. We ensure the reporting to local management in regular basis or in due time if needed, and reporting to the Board through Risk Management Committee on a quarterly basis on the exposure, evolution, quality of all counterparties and major risk issues. Stress tests have been performed on all outstanding counterparties with the assessment on the impact to BNPP China’s Capital Adequacy ratio.

1.1.4 Overall assessment and risk evolution in 2020 The counterparty credit quality in the BNPP China credit portfolio remained good. No counterparty defaulted during the year. There was nil non-performing assets nor special mention assets for files covered by RISK I2S. In 2020, we strengthened the assessment on the macro, market and sector evolution; the monitoring and review of the counterparties’ credit profile in more regular basis；strictly selecting and control of new counterparties, which has ensure the asset quality of the portfolio.

1.2 Corporate Credit Risk 1.2.1 Key risks encountered by the BNPP China Ltd In 2020, the global economy was hit by the Covid-19 situation. China has effectively controlled the pandemic situation and gradually returned to normal economic operation. China announced that official GDP growth rate stood at 2.3% yoy for 2020. China has become the only major economy in the world that has achieved positive economy growth in 2020. Facing the big challenge during the period, China government issued a series of stimulus policies to promote the resumption of work and production in order to reduce the impact of the pandemic to the companies, after the pandemic situation was under control. In the first quarter of 2020, the outbreak of Covid-19 has resulted in a reduction in production, consumption, as well as trading activities. Consequently, most of the companies were adversely impacted, especially for those industries such as retail, international trade, tourism and aviation etc. In the second quarter, with the effective control of the domestic pandemic situation, companies gradually resumed work and production. However, the pandemic has accelerated its spread in the world. The export business of some companies has been affected to a certain extent due to the travel restrictions and demand decline. Coupled with various factors, i.e. weak global economy, disruptions on supply chain, there is still downward pressure on the rebound of the domestic economy.

From the industry prospective, traditional industry is facing various challenges. Meanwhile, the impact of the pandemic led to the acceleration of the application of some technologies and the change of production and lifestyle are also gradually leading to the industries restructuring. In their process of industry transformation and upgrading, they might face problems of rising liability and declining profit margin. 98

Meanwhile, the emerging industry is also facing the situation of limited financing channels, tight cash flow and unsatisfactory profitability.

In view of the above, the Bank continues vigilant due diligence as pre-condition of conducting business, sticks to timely post-drawdown monitoring and periodic portfolio review, in order to ensure timely understanding on client’s business and risk evolution, and managing the credit risk. The Bank closely monitors the coronavirus impact to the companies’ business and financials, especially the industries which face material impact by the situations in terms of demand and supply chain. The Bank has been able to detect early warning signals for some weak and marginal clients and take appropriate and timely actions to reduce risk exposure and ensure the quality of our portfolio.

1.2.2 Identified risk incidents in 2020 Overall asset quality of our corporate clients are satisfactory. Currently, there is one NPL from a local borrower with unchanged risk exposure of RMB41.93m. The group faced liquidity problem and defaulted on its short-term bills on 07 Dec 2018 and then filed an application for a bankruptcy reorganization which was accepted by the Court on 13Mar2019. Due to the impact of Covid-19 situation, there is not much progress of the group’s bankruptcy reorganization. The provision of this NPL was increased from 51% in Dec2018 to 95% in Dec2019.

Since 2020, the number of corporate bond defaults on the market has increased. Debt litigation, macro or industry downside factors are the main external reasons that lead to default; while the deterioration of profit, debt service pressure, financial fraud and radical investment are the main internal factors leading to default. Bond default will further result in cross-default of other debts, refinancing difficulties and so on. With the concern on above risk, we carry on prudent assessment on the borrower’s refinancing ability, and continue to closely monitor the evolution.

Considering that there are many uncertain factors in the macro environment, the risks faced by Private Owned Enterprise (POE) are increasing. We pay close attention to the credit risk of POE companies, especially for the cross guarantee to unrelated parties, share pledge, non-core business by the shareholder, overseas mergers and acquisitions. Moreover, for those customers who has relatively short relationship with our bank, in-depth due diligence is required.

Further, for foreign invested local enterprises, credit evolution of the parent company is still one of the key issues to be watched, since it plays an important role affecting the parent support, business strategy and even repayment capacity of the local entities.

99

For those local corporate and foreign invested corporate clients with weak ratings led by deteriorating financials, we insisted to conduct enhanced quarterly review to monitor their updated financials and market news, to identify early warning signals, when necessary, pro-actively downgrade relevant clients to “Special Mention” or place them on “Watchlist” for closer monitoring and adopt timely measures to manage risk. For foreign-invested companies negatively impacted by restructuring or financials of parent company/group, we also actively communicated with relevant Pilot sites to obtain support such as SBLC and/or funding support (including new equity or shareholder’s loan), through negotiation with respective parent companies, to reduce our risk exposure and negotiate repayment/exit plan.

Concerning the volatility of FX market, we keep ongoing review on impacted clients when there is any sudden market change, and also track the FX position (with our bank) of the big exposure FX client. Through close communication with client by RMs, to understand more thoroughly the negative impact and take proper monitoring/action plan. Up to now, the risk has been reasonably controlled and closely monitored.

1.2.3 Corrective measures taken by the bank From management perspective, Country Management of the Bank, has kept a close dialogue with CBIRC to exchange the view on risk evolution of our portfolio. The Bank firmly believes that in-depth due diligence process and an effective risk monitoring framework are two key successful factors for the Bank to weather market downturn/challenges.

From daily work perspective, we reviewed and updated the Instruction Notes including “CBRC 5-Tier Facility Grade Classification and Quarterly Review”, “Referral Process for Corp Banking China”, “Credit Commercial decision related to branches affiliates”, “ Fixed Asset Loan Administration”, “ China Local Booking Committee Procedure” and etc, mainly to better fit the increasingly challenging macro and micro market situation, and enhance the management on corporate credit risk.

To better monitor the Covid-19 impact to the companies, we have conducted a regular report for those companies with medium/high risk under the pandemic situation. Besides, to timely track the impact on the Bank’s asset quality and capital adequacy led by the changing economic environment in China, we also conducted different portfolio reviews, enhanced the timeline requirement for annual review, and enhanced the stress test by adding 2 scenarios to reflect the current complicated economic environment.

1.2.4 Overall assessment and risk evolution in 2019

100

In the context of sudden hit by the COVID-19 pandemic globally, we have warranted fast responsiveness and maintained high level of vigilance. Leveraging on close collaboration with frontline colleagues and overseas sites, we further strengthened due diligence and risk monitoring and also acted swiftly to market news. All of these measures are of ultimate importance to identify early warning signals and take timely actions for potential problem accounts.

1.3 Loan provision rate and provision coverage ratio Loan provision rate in 2020 is 2.67% (2019: 2.66%) and provision coverage ratio is 992.9% (2019: 944%). According to CBIRC , the required provision coverage ratio shall no lower than 120% and loan provision rate shall no lower than 1.5%.

2. Market Risk Market risk refers to the risk of fluctuation of the fair value or future cash flows of a financial instrument caused by any change in market prices. Market risks arise from open positions on different underlings, interest rate and foreign exchange rate as examples, all of which are exposed to general and specific market movements. Commodities risk arises from changes in the market prices and volatilities of commodities and/or commodity indices. Credit spread risk arises from the change in the credit quality of an issuer and is reflected in changes in the cost of purchasing protection on that issuer. Option products carry by nature volatility and correlation risks, for which risk parameters can be derived from option market prices observed in an active market.

At present, the Bank uses different indicators to assess the market risk in different books. For trading books, the Bank mainly refers to sensitivity analysis/limits (PV01 or IR Delta) as well as FX Delta limits, Issuer Risk and 1-Day Market VaR (Value at Risk) limits. For Banking books, the Bank assesses the interest rate gapping between assets and liabilities. The Bank has established reporting system for risk analysis and daily reports including the respective exposures are sent to the Management of the Bank.

In 2020, there was no market risk incident related to BNPP (China) Ltd. transactions.

Main Market Risk exposure for BNPP (China) Ltd. remains concentrated on RMB and USD for both activities Global Markets and ALM Treasury.

1-Day Market Value at Risk analysis Market VaR is the worst loss expected over a given period of time and within a given confidence interval time. The Bank is computing the maximum expected daily loss of a trading activity at 99% confidential

101

level. The VaR calculation is based on a Monte-Carlo approach, which not only performs normal or log- normal simulations but also accounts for the non-normality often observed in financial markets as well as correlation between risk factors. A one year rolling window of historical market data (updated every month) is used to calibrate the Monte Carlo simulation. For consolidated Global Markets Trading books, the current limit of 1-Day Market VaR stands at EUR 10,000,000 as approved by the Board of Directors. The 1-Day Market VaR is only an internal indicator for risk management within the Bank as the regulatory Market Risk Capital for the entity is under standardized approach. The table below includes the 2019 and 2020 average value, 2020 maximal value and minimal value, end of 2019 and end of 2020 value of 1-Day Market VaR for Global Markets Trading Books, including breakdown by risk type.

Stress-Tests The potential loss beyond the confidence level cannot be well captured by the 1-Day Market VaR. Therefore, the Bank also applies various stress-tests on a regular basis to simulate potential losses under extreme market conditions. Stress-tests results performed on trading books will provide an effective potential PnL impact as this perimeter is mark-to-market on a daily basis. For non-trading books, we can apply similar method but the results will not reflect an effective potential PnL impact as main of this perimeter is on accrued basis. Risk Management Committee will review the result of the stress-tests regularly. Besides, the Bank will update the stress-tests according to the risk overview and economic conditions on a regular basis.

Market Parameter (MAP) review – Independent Price Verification

Price verification is managed jointly by Valuation and Risk Control (V&RC) and RISK Global Markets. Daily controls are performed on the most liquid parameters and a comprehensive and formal review of all the market parameters is performed at month end. The types of parameters controlled by V&RC are

102

precisely listed; these are essentially the parameters for which an automatic control against external sources can be implemented (security prices, vanilla parameters); this may include the use of consensus price services. RISK Global Markets is in charge of controlling valuation methodologies as well as the most complex parameters that are very dependent on the choice of models. The outcome of the market parameter review is the estimation of valuation adjustments communicated to Middle-Office who enters it in the accounting records.

Reserve and other valuation adjustments

RISK Global Markets defines and calculates “reserves”. These are adjustments to the market or model value affecting both the accounting valuation and regulatory capital. They can be considered either as the exit cost of a position or as premium for risks that cannot be diversified or hedged, as appropriate. The reserves cover mainly the bid-offer and liquidity spreads; Reserve methodologies are improved regularly and any change is a Valuation Model event. Reserve improvements are generally motivated by the conclusion of a model review or by the calibration to market information during the Market parameter review process.

Model Approval and Reviews

Front-Office quantitative analysts design and propose the methodologies used to value the product and measure the risks that are used to take trading decisions. Research team and IT are responsible for the implementation of these models in the systems. The independent control of the valuation models is under the responsibility of RISK Global Markets. The main processes are: ■ the approval of models, by which a formal decision to approve or reject a model is taken, including following any modification of the valuation methodology called a “Valuation Model Event”. In all cases, the approval decisions are taken by a senior RISK Global Markets analyst. The review required by the approval decision can be fast track or comprehensive; in the latter case, the reasons and conditions of approval are detailed in a model approval document. If there is a need for a collective debate or for stakeholder information, a meeting of the Model Approval Committee can be called; ■ the review of models can be conducted at inception (linked to an approval) or during the life of a model (re-review); It consists of an investigation on the suitability of the model used to value certain products in the context of a certain market environment; ■ control of the use and implementation of models, which is continuous control of the correct parameterisation or configuration of the models as well as their suitability for the relevant products.

3. Liquidity Risk

103

We have been using various products such as Interbank Borrowing / Deposits, Repos, FX Swaps, Corporate Deposits, RMB cross-border deposits and Equity to meet our funding requirements. The liquidity risk of the bank is daily monitored through regulatory ratios and various internal indicators (e.g. FCY Overnight Guideline, RMB Cash Ceiling Guideline), USD & RMB Daily Cashflow report, monthly Liquidity Stress Tests. The liquidity overall framework is described in various documents (ALCO TOR, Liquidity Risk Management Policy, Intraday Policy, Liquidity Contingency Plan (LCP) Policy and Liquidity Stress Tests Policy). Those documents are reviewed and approved by ALCO. Also, daily USD & RMB Cash flow report methodology and corresponding limit events are also reviewed by ALCO. Liquidity Stress Test as of December 31, 2020 for 1M time-horizon shows that BNP Paribas (China) Ltd had sufficient counterbalancing capacity to weather adverse liquidity scenarios.

4. Interest Rate Risk in the Banking Book Interest Rate Risk in the Banking Book (‘IRRBB’) is the risk of incurring a loss as a result of the mismatches in interest rate, maturities or nature between assets and liabilities, IRRBB arises in non-trading portfolios and primarily relates to global interest rate risk. Interest rate risk in the Banking Book for BNP Paribas (China) Ltd is monitored and kept within defined bounds. It is managed at local level under the supervision of the BNP Paribas group.

5. Country Risk The Bank adopted a pragmatic approach to Country Risk Management. So far, the bank approved Country Risk Limits for 44 countries and most of them are developed countries with satisfactory Sovereign Internal Rating. For smaller countries with lower Sovereign Internal Rating, the limits are contained at a reasonable level based on actual and projected utilization presented by Business units and taking into account of the business strategy as well as Sovereign Internal Rating of the respective countries.

From Country risk limit monitoring and control perspectives, further enhancement was made via deployment of daily country risk database. Business units as well as middle and back office teams could check the adequacy of limit via the daily country risk database before executing any transaction.

With regard to country risk rating classification and provision, the bank’s Sovereign Internal Rating is mapped with CBIRC country risk rating classification to ensure adequate country risk provision was made. The bank has made adequate country risk provision in the year of 2020.

104

As for the regulatory country risk reporting, the bank report its overseas assets and country risk provision coverage to CBIRC quarterly as per the regulatory reporting requirement. During the year of 2020, there was no country risk exposure excessed 25% net equity of the Bank. In 2020, it was noted that the bank’s country risk exposure in France/Canada/Norway/US/Malaysia accounted for average 96% of the bank’s total country risk exposure. Within the country risk exposure in France/Canada/Norway/US/Malaysia, most of the exposure comes from intra-group transactions. Furthermore, considering of the country risk portfolio evolution and intra-group transaction breakdown changes over the Top 5 countries, country risk stress test was established in 2020. Impact on BNPP China’s Captital Adequacy Ratio therefore is assessed under aforementioned three scenarios. Result shows that BNP Paribas (China) Ltd is expected to have sufficient capital to absorb the impact.

6. Operational Risk 6.1. Operational risk: basics The operational risk is one of the key risks focus of the banking activity and corresponds to the risk event of incurring an economic loss due to inadequate or failure of internal processes or external events, whether deliberate, accidental or natural occurrences. Internal processes giving rise to operational risk may involve employees and/or IT systems. External events include, but are not limited to floods, fire, earthquake and terrorist attacks. Operational risk generally encompasses legal risk but not reputation or strategic/business risk. Compliance risk, which is by definition a sub-category of operational risk, is treated separately from operational risk due to its importance and link with the reputation risk. However, its financial implication will be included in operational risk. Operational risk management relies on the analysis of the “cause-event-effect” chain with a particular emphasis once the risk areas have been identified and assessed, on the basis of historical incidents or prospective scenario analysis, on the definition of the preventive actions to be implemented by the relevant teams in the Bank, for example new or adjusted controls and/or procedures, that will either prevent the event from happening or mitigate their impact if it does happen.

6.2. 2020 incidents and operational risk awareness 6.2.1. Incidents and preventative actions undertaken In 2020, the Bank was impacted by 7 loss incidents categorized under the Basel II event type “Execution, delivery and process management” & “Business disruptions and system failures”. All adequate preventive actions have been implemented to prevent recurrence of similar incidents.

6.2.2. Operational risk awareness training

105

In 2020, as continuous effort to reinforce staff operational risk awareness, all staff followed the annual mandatory training session, during which we leveraged on the lessons learned in 2020 from the above mentioned incident and also other near miss incidents. Because Covid-19, this year's training is based on a e-learning. After the online course, employees are required to complete a test quiz with score 80% or above to complete the training .Each month, a mandatory operational risk awareness training session is also held for every new joiner.

6.3. Overall assessment and risk evolution in 2020 The continuous involvement to improve, reinforce and adapt the internal control framework to avoid the occurrence of operational risk incident and to address those which have occurred, is complemented by the prospective analysis performed in 2020 for the new activities and products (see below in Part II) lead us to conclude that our operational risk is within an acceptable level.

7. Compliance Risk Key Compliance Risk Identified for year 2020 included:  Fast evolving regulation change continues to be a big challenge for compliance risk management. The new circulars of Guiding Opinions of the CBIRC for the Recusal of Employees of Banking and Insurance Institutions in Performance of Duties ， PBOC & SAFE Regulations on Funds of Securities and Futures Investment by Foreign Institutional Investors，PBOC and SAFE notice to adjust MPA ratio presents both challenge and opportunity.  The quick business expansion brought challenges for Compliance. The Global Market, Transaction Banking, BP2S, Wealth management all have launched serval new business or activities and more requests are in the pipeline. Increased compliance efforts to support the quick business expansion. Corrective measurement taken includes:  Compliance summarized and analysed the impact of the key new regulations for all staff of the bank and a specific meeting would be called when needed with related departments. Gap analysis will be done for the important regulations.  The bank strictly implemented regulatory requirements. The impacts have been analysed by business lines and function departments. Certain changes have been made to the existing process. RMs had well communications with the clients.  Full sets of AML policy and operation procedures have been established and the daily, monthly, annually monitoring are operated smoothly.  In 2020 Compliance updated various local procedures as Reputation Risk Management, Related-Party Transactions, Internal Control Policy On Anti Money Laundering, Combating Financing of Terrorism and Compliance with Financial Sanctions and Embargoes, Internal Procedure on Know Your Client, Guideline of Important Event and Emergencies Reporting and Professional Ethics related procedures

106

etc.

8. Money Laundering and Terrorist Financing Risk

Banks may face the money laundering and terrorist financing (hereafter ML/TF) risks arising from illegal criminal activities in the course of business and operation management. Any money laundering or terrorist financing risk event or case may result in serious reputation and legal risks, leading to the loss of clients, business and financial loss.

There are also correlation and transferability between money laundering/terrorist financing risks and reputation, legal, liquidity and other risks. Money laundering /terrorist financing risks may have impact on such aspects as reputation, operation and financial affairs.

In 2020, our bank is committed to actively improving the weakness in existing anti-money laundering work pointed out by PBOC Shanghai office in anti-money laundering on-site inspection in 2019. In accordance with the rectification plan, we strengthened our anti-money laundering work effectiveness: that is how to ensure the continuous implementation after the completion of the rectification, and prevent the occurrence of potential issues, and how to effectively implement the suspicious transaction monitoring standards through the information system are all continuous challenges to financial security work.

Based on methodology of Group Compliance, compliance organizes ML/TF risk assessment with contribution from business lines and function departments involved in anti-money laundering and combating financing of terrorism (AML/CFT) work from inherent risk and control environment perspectives to assess residual risk. Meanwhile, third part consultant conducted assessment on ML/TF risks based on PBOC Shanghai Branch Circular on Conducting AML Classification and Rating of Corporate Banks.

9. Reputational Risk Reputation risk is the risk of damaging the trust placed in a corporation by its customers, counterparties, suppliers, employees, shareholders, supervisors and any other stakeholders whose trust is an essential condition for the corporation to carry out its day-today operations. Reputation risk is primary contingent on all the other risks borne by the bank.

Financial implications resulting from reputation risk management are encompassed by operation risk. Reputation risk of BNP Paribas (China) Ltd is reviewed and assessed by the Risk Management Committee and the Board on quarterly basis.

10. Strategic Risk

107

Corporate governance and strategy throughout the organization are geared towards effectively addressing strategy risk. The risk assessment framework is regularly integrated into the Bank’s decision-making and management processes. The entire process is supervised primarily by the Board of Directors (“BOD”) and Senior Management (COMEX) chaired by CEO, who is responsible for measuring and controlling strategy risk at management level.

The Bank strictly follows the global business strategy adopted by the Group. Our current strategy is based on the Bank’s business development plan which is updated and revised based on the changing market conditions and opportunities arising. A revised growth plan has been adopted for the development of our client franchise as well as business lines. Targets are set on an annual basis and updated budgets are submitted to the BOD for approval. It is assessed that the Bank’s strategy risk is low.

PART II: RISK MANAGEMENT CAPABILITY 1. Credit Risk 1.1 Financial Institutions Credit Risk 1.1.1 Organizational structure of Risk within BNPP China Ltd (manpower, set up and reporting line) RISK I2S in BNPP China consists of RISK I2S Credit team and RISK I2S Credit Control team. RISK I2S operates independently from the business lines. Risk I2S Credit team is responsible for managing credit risk for financial institutions, including rating assessment, credit approval and credit risk monitoring. The head of Risk I2S Credit team reports locally to the CRO of BNPP China Ltd. RISK I2S Credit Control team is mainly in charge of monitoring and reporting of the exposure utilization and limit excess. 1.1.2 Implementation of risk policy in 2020 (how, when & what) In 2020, we strictly followed the bank’s risk policy to perform credit review, credit approval and credit monitoring; and we ensured that the risk policies and practices are in line with CBIRC requirements applicable to financial institutions.

1.1.3 Full compliance of predefined credit approval process In 2020, the credit files (including annual review, ad-hoc credit reviews and new counterparty requests) were approved by the applicable credit committees in line with the existing procedure. The RISK I2S credit team performed independent credit assessment, in which credit team reviewed the counterparty credit risk standing with proposed credit rating (based on BNPP global rating methodology), reviewed the credit requests and rational, and recommended the rating and credit lines to credit committee for review and approval.

108

1.1.4 Availability of local credit delegations Local credit delegation was granted to credit officer in RISK I2S Credit team to approve ad-hoc and regular credit requests whenever applicable. All the credit files are submitted to credit committee with adapted delegation level. For credit files above local delegation, the credit assessment and recommendation from the local credit team is submitted to upper credit committee. Upon approval from upper credit committees, the credit files need to be signed off by CEO of BNPP China and local head of RISK I2S Credit team.

1.1.5 Rating methodology BNPP China uses the BNPP global rating methodology to assess, measure and monitor counterparty risk to ensure credit quality of counterparties. Such rating methodology applies to credit assessment process for all types of credit facilities and all counterparties.

1.1.6 Risk Monitoring (frequency, methodology, reporting) RISK I2S Credit team monitors the credit standing of the counterparty in regular basis (incl. daily, quarterly and annually). RISK I2S Credit control team monitor the limit excess in daily basis and report when necessary. 1) On-going monitoring of all existing counterparties - follow up the daily news on the counterparties to spot the early warning of counterparty risk. - perform annual credit review on all existing counterparties. - review daily excess report 2) Close monitoring of credit files under watchlist or doubtful debt file if applicable - place or remove from watchlist and doubtful debts - quarterly review and watchlist and doubtful file committee - review level of provision for doubtful debt files In 2020, there was no watchlist or doubtful debt files for financial institutions. 3) Reporting to senior management of the bank - Credit officer covering financial institutions credit reports to CRO and CEO immediately on any significant risk issue whenever applicable. - Major credit events, issues, limits approved during the quarter, counterparty distribution and counterparty credit quality are reported to the Risk Management Committee on a quarterly basis. - All local credit committee decisions are co-signed by the CEO whenever applicable. - Monthly KPI/KRI (key performance indicator and key risk indicator) to control key risk areas and report to local management. - Credit Risk Control team produces TMV trade excess report and send to head of business and CEO whenever applicable.

109

1.1.7 Reporting and communication with the Board: Risk Management Committee (content, participants & frequency) In 2020, Risk Management Committee meetings have been taken place in quarterly basis. Risk I2S Credit team head has presented risk analysis report to the chairman of the Risk Management Committee. The report summarizes the evolution of financial institutions credit exposure, quality of portfolio, counterparty ratings, watchlist/doubtful debt files if any, and recent regulations, credit evolution or special risk issues and all credit limits approved during the quarter.

1.1.8 Counterparty Credit Risk Exposure Mitigate and Wrong Way Risk Management Counterparty risk is the translation of the credit risk embedded in the market, investment and/or payment transactions. Those transactions include bilateral contracts (i.e. OTC), which potentially expose the Bank to the risk of default of the counterparty faced. The Bank mitigates the counterparty risk exposure via signing of the netting agreements and credit support annex, managing the collaterals and margining by a collateral team, and central clearing with CCP etc. As for the eligible collaterals, the Bank follows the Group policies and assess eligibility of the collateral based on various factors such as liquidity, maturity, concentration.

Wrong Way Risk is a correlation risk. General Wrong Way Risk arises when the likelihood of default by counterparties is positively correlated with general market risk factors. Specific Wrong Way Risk arises if the future exposure to a specific counterparty is expected to be high when the counterparty’s default probability is also high. The Bank follows the Group’s policies and best practices in the wrong way risk management. Firstly, the Bank sets up correlated envelop to control overall wrong way risk. Secondly, the Bank identifies the main products that generate the wrong way risk (e.g. reverse repo) and sets correlated guidelines for such products by counterparty. Those guidelines are reviewed regularly and can be adjusted based on the counterparty credit profile, internal rating, business development etc. In addition, monitoring of collaterals concentration is also part of wrong way risk control.

1.2 Corporate Credit Risk 1.2.1 Organizational structure of corporate credit risk within BNPP China Ltd Risk Corporate is responsible for management of credit risk for corporate clients of the Bank. Risk Corporate operates independently from the business lines, reporting directly to the Chief Risk Officer locally.

1.2.2 Implementation of risk policy in 2020

110

Risk Corporate is strictly following the Bank’s risk policy to review all the requests for annual review/ new money/ amendments/ excesses and provide concurrence comments. Risk Corporate has also followed up on early warning signals and implemented monitoring on risk exposure. We have also implemented various corrective measures as laid down by CBRC on-site inspection team. In addition, the Bank continued the effort to reduce the rate of overdue annual review, and successfully achieved zero overdue of annual review for the whole year of 2020. 1.2.3 Full compliance of pre-defined credit approval process All credit commitments of any amount or nature, whatsoever, even fully cash-collateralized or fully backed by stand-by letter of credit transaction, must be subject to duly approved credit proposal. All credit proposals are approved either by way of circulation of files or under credit committee. Credit delegations have been granted to business delegation holders and Senior Credit Officers of Risk Corporate. A credit approval is considered granted when business delegation holder approves the credit proposal with concurrence from Risk Corporate.

1.2.4. Rating methodology All the commitment clients have been assigned with one counterparty rating intended to reflect this counterparty’s default risk over its business cycle. The rating of each borrower is reviewed at least once a year based on in-depth analysis, model result and expert’s judgment on the credit quality of the borrower.

1.2.5. Risk monitoring Risk Corporate, together with ITO-3C (Corporate Credit Control) has conducted risk monitoring via the following approaches: (1) Standard credit risk monitoring – for performing loans  Daily monitoring in the areas of unauthorized utilization and excess.  Follow up of covenants, guarantees and collateral  Mandatory annual review of each file.  Quarterly review on CBRC facility grade based on updated information of the corporate clients. (2) Close monitoring of watchlist and doubtful debts files  Placement on and removal from watchlist and doubtful debts  Quarterly watchlist and doubtful debts committee  Review/assess the level of provision for doubtful debts files (3) Reporting to CRO/CEO / Business Heads and / or Senior Credit Officers  Collateral report, covenant monitoring report on monthly basis  Annual/quarterly review overdue report on monthly basis

111

 Credit decision status report

1.2.6. Reporting and communication with the Board Four Risk Management Committees were held in 2020. Head of Risk Corporate presented dynamic analysis reports to the Chairman of Committee who is also the director of the board of BNP Paribas (China) Ltd. The reports summarize the quality of the corporate client portfolio, utilization, limit excess, including portfolio ratings, watch-list / doubtful debts files and provision evolution and credit stress-testing.

1.2.7. Overall assessment of Risk Management Capability Overall, we considered risk management capability for corporate clients sufficient and is in line with the Bank’s risk policy.

2. Market Risk In 2020, we kept a similar set-up with one senior officer and one analyst in charge of market risk monitoring under Risk Global Markets – Market Risk team. The team has a local reporting line to the CRO of BNPP (China) Ltd.. Market risk team is taking the leading role in the BNPP (China) Ltd. market risk limits review/monitoring in close collaboration with BNPP Group Market Risk team and BNPP Group Heads of business. This includes daily monitoring/reporting of a full set of limits, providing opinions/recommendations for limit reviews when deemed necessary, participating to NAC/TAC and LATAC committees and providing RISK Global Markets input on any transversal issue. Any limit event (excesses, temporary/permanent limit changes) have been reported to BNPP (China) Ltd.’s CEO and CRO, BNPP Group Head of Business and BNPP Group RISK Global Markets – Market Risk teams and required approval have been obtained. The set of permanent limits used by BNPP (China) Ltd. is in line with the BNPP Group’s set of limits and has been validated by the Board of the BNPP (China) Ltd. All limit events have also been reviewed and ratified by the Board of Directors. The set of market risk limits for BNPP (China) Ltd. businesses is divided into 2 parts: ALM Treasury (mainly Banking Books) and Global Markets (mainly Trading Books). Trading Books Limits are covering the main risks BNPP (China) Ltd. is facing including Interest Rate (IR Delta by tenor, currency and net ceiling + Basis Spreads), FX (Nominal Limits), Issuer Risk, 1-Day Market VaR limit. Banking Books limits have been set-up mainly on Interest Rate gapping by currency. Finally, on a regular basis, stress-tests - validated by the Risk Management Committee and ultimately by the Board of Directors - are performed on China Trading and Banking Books and the results are made available to the respective businesses as well as China Management.

112

Results are also reviewed by the Risk Management Committee and ultimately presented to the Board of Directors by the Risk Management Committee chairman. In 2020, based on our Capital and CAR ratio, the Risk Management Committee and the BoD acknowledged that there was no need to trigger any contingency plan.

3. Liquidity Risk BNPP (China) Ltd. Liquidity Risk Management framework consists of 5 main policies which are validated by ALCO o Liquidity Risk Management Policy o ALCO Terms of Reference (ToR) o Liquidity Stress Testing Policy o Intraday Liquidity Management Policy o Liquidity Contingency Plan We have implemented locally liquidity management principles simultaneously taking into account local needs/regulations and contributing to the Group’s global framework. These principles are designed to cover both normal conditions (BAU) and crisis situation. BNPP (China) Ltd. ALM Treasury and Risk Global Markets – Market Risk team – in collaboration with local Finance - are taking the leading roles in the BNPP (China) Ltd. liquidity risk management framework. Specific issues may be escalated to local ALCO (Assets-Liabilities Committee) and to BNPP Group level when deemed necessary. In addition to regulatory ratios applicable to BNPP (China) Ltd. and various other internal indicators, we also defined 3 liquidity guidelines which are Net, Gross O/N guidelines (covering mainly our last minute FCY funding) and RMB Cash Ceiling (to quantify our funding needs in RMB for the next 3 days). These 3 guidelines are monitored on a daily basis by Risk Global Markets – Market Risk team. Also, Risk Global Markets – Market Risk team is monitoring the daily USD & RMB cash flow limits approved by ALCO. Furthermore, funding stress tests are performed periodically by Risk Global Markets – Market Risk team (at least once every quarter) and the results are made available to BNPP China Management. Finally, liquidity stress tests are performed monthly by ALMT, reviewed by RISK GM before being made available to BNPP China Management. Risk Global Markets – Market Risk team Head for China is reporting locally to CRO on any significant liquidity issue identified on its side. ALM Treasury is responsible for monitoring the liquidity situation, including the EWIs. A trigger framework is set up to provide a view of the current liquidity situation and helps in identifying if the crisis management mode should be activated. The trigger framework relies on: • Quantitative Early Warning Indicators (EWIs) accompanied with thresholds, and, • Qualitative assessment of the situation provided by ALM Treasury

113

Based on facts and circumstances, the BNPP (China) Ltd. CEO (acting as Chairman of the ALCO) is responsible for the decision whether to trigger the LCP and convening the LCC when appropriate.

4. Interest Rate Risk in Banking Book

BNPP (China) Ltd. IRRBB Management framework relies mainly on two complementary processes.

Market risk team has defined in collaboration with ALM Treasury a set of gapping limits. These limits are monitored daily by market risk team. They aim at capturing the mismatch between assets and liabilities at BNPP (China) Ltd. Level, by tenor bucket and currency. The limit framework also includes a control on gapping positions by tenor buckets across all currencies. The latter limits are owned by the ALCO. On yearly basis, ALM treasury proposes a review of the limits based on the their needs and the development of the activity. The proposal is reviewed by RISK and finally validated by the ALCO meeting.

The second process on which BNP Paribas (China) Ltd IRRBB framework relies is stress test. BNP Paribas (China) Ltd applies a stress testing template based on the Basel methodological guidelines published in BCBS paper “Principles for the Management and Supervision of Interest Rate Risk”. This stress testing exercise aims at measuring the respective impacts of different scenarios of shifts, with mainly 200bps parallel upward / downward shift (severe scenario) of interest rates on the economic value in the Banking Book. Additionally to this stress scenario, impacts for flattening shifts with +100 bps on tenors up to 1Y and -100bps on tenor above 1Y (medium scenario), impacts for steepening shifts with -100 bps on tenors up to 1Y and +100bps on tenor above 1Y and a stress at 50 bps (mild scenario) are also measured.

The IRRBB Stress Test as of December 31, 2020 shows that the worst stress test impact from above scenario is a loss of -432 million RMB and the Capital Adequacy Ratio is still above the regulatory requirement after applying this stress test impact.

5. Country Risk The Bank performed regular monitoring on Country Risk Limit Utilization. Utilization report will be submitted to CEO, CRO and all relevant department heads for information and action on monthly basis. Sovereign Internal Rating will be updated on an on-going basis via close coordination with the Country Risk Research Team. Furthermore, the bank has paid close attention to the relevant reports and regulations (including but not limited to the internal country risk reports circulated from Country Risk Research Team in Head Office and guidance from the local regulators) in daily country risk management. The bank will enhance the

114

frequency of the monitoring and take additional measures on the risk management of Country Risk, when necessary. On a quarterly basis, the overall Country Risk situation (including but not limited to Country Risk Limit and Utilization, Sovereign Internal Rating, Country Risk Limit Excess and Significant Country Risk Exposure) as well as new or additional limits requests if any, has to be submitted to Risk Management Committee for review and endorsement before submitting to the Board for approval. Overall speaking, country risk is prudently managed by the Bank.

6. Operational Risk Transversal Local Activity and Transaction Approval Committee All new risks and products are required to be approved by the Local Activity and Transaction Approval Committee (LATAC). It applies to all new activities and new products or new risk situation that can generate risk of any nature, which have not been arisen before under similar conditions and / or need additional monitoring. Specialists in all areas affected by the new product or risk situation must perform an analysis of impact and must sign-off confirming that legal and compliance issues have been addressed and that risk monitoring limits and controls, compliance monitoring and procedures are in place before they can begin. The permanent members of this committee chaired by the Bank’s Chief Executive Officer are: the Bank’s Chief Operating Officer, the Bank’s relevant representatives from Risk Function Department, the Operational Permanent Control representative , the Bank’s Compliance representative, the Bank’s Legal representative, the Bank’s Finance representative, the Bank’s Operations representative and the relevant Business and other functions’ managers to attend the LATAC meeting, depending on the nature of the concerned product/service/transaction.

6.1. Operational risk management framework The Bank has no particular appetite for operational risk, which must therefore be managed in order to contain it within acceptable limits, while complying with the various regulatory requirements on this topic. However, given its specific nature and characteristics (i.e. it can result from internal or external failures, its occurrence can never be totally avoided), there is no risk limitation system for operational risk as done for credit or market risk for example.

The operational risk management framework is part of the Permanent Control framework summarized in the diagram below and defined in the Internal Control Charter of the Bank, according to which the operational risk must be: - identified, assessed and when relevant quantified while considering external and business data as

115

well as internal control factors, - managed within a formalized framework based on procedures, organizational principles based on a strict segregation of duties and controls, which can be performed pre-or- post execution, automated or not, - communicated to the various management levels so they can define the necessary actions in compliance with the risk tolerance and then monitor their proper implementation.

6.2. Key players and governance Everyone is involved in the daily operational risk management through the performance of controls and update of procedures in their scope of responsibility. The first line of defense supporting Business and Functions, Operational Permanent Control (OPC) team reporting to the Chief Operating Officer is responsible for: (i) the coordination of the implementation of the operational risk framework and (ii) the regular information of the management about achievements and issues.

The second line of defence, Operational Risk Control (ORC) team reporting to the Chief Risk Officer is responsible for: (i) the support of first line of defence on operational risk topics (ii) the supervision of management and process of the permanent control framework

In this framework, the following three committees are held regularly:  the quarterly Risk Management Committee (see details in the Report on the Self-assessment of Corporate Governance),

116

 the semi-annual Territory Internal Control Committee chaired by the CEO and attended by all Heads of Business and Function to better promote Operational Risk and Permanent Control awareness in the Bank by: o ensuring a good monitoring and circulation of Operational Risk & Permanent Control issues within the Bank, o improving the follow-up and monitoring of Operational Risks in the Bank.  The regular Operational Risk Incident Review Committee, chaired by the COO to review with the parties involved the incidents occurred since the last committee in order to agree on their analysis, the corrective and preventive actions to be implemented and to follow up their implementation.

7. Compliance Risk 7.1 Compliance structure With a new Financial Security (FS) compliance officer on boarding, as of 2020, we have 15 compliance officers in Shanghai and each branch still keep to have one full time compliance officer to ensure the effectiveness of compliance risk control.

7.2 Compliance policy implementation We have set a target of our compliance management, that is, through the construction of a comprehensive management structure, to achieve effective identification and managements against compliance risks. Promote the building of a risk management system for the purpose of ensuring a compliance and legal operation of our businesses. The guidelines of our compliance management are: • A Collective Responsibility: Compliance is the responsibility of every staff. It could not be removed from any business activities of any line. Everyone shall take their own compliance responsibility. • A Comprehensive Compliance: The mission and responsibilities of compliance run through the whole bank. For the purpose of achieving this mission, we shall ensure that compliance staffs are able to get all necessary information. Compliance or authorized person who performs the same responsibilities shall guarantee their independence when making judgments or conducting actions. • The Construction of Compliance Culture: The board of directors and senior management shall set the tone of compliance and the expectation of compliance by all employees, on a pro-active basis, and of compliance adding value, promote the values and ethical standards of honesty and integrity throughout the organization, enhance awareness of compliance by all employees, and ensure that the compliance function in the bank interact effectively with external regulators. • Perform according to the highest level of requirements: Regarding Compliance, if the BNPP Group Policies regulates a stricter internal standard than Chinese laws and regulations, the internal procedures

117

shall be complied in advance. Conversely, if Chinese laws and regulations are more stringent than those standards will be applied and met.

7.3 Compliance control Compliance head attended the Comex meeting and various business meetings, so as to understand the bank’s business status, assess the compliance risk, report to the senior management and establish control procedure to ensure the compliance risk is under proper control. Regular compliance and control committee meetings were arranged semi-annually with the participant of Compliance, OPC, Legal, CRO and COO. The meeting discusses comprehensive compliance and controlling issues of the bank such as regulatory development, regulatory examination or internal self-assessment, internal policy and procedure setup or updating, AML and sanction compliance, new products and business plan, etc. As leading department of AML work, Compliance also arranges annual AML Working Group meeting with the participation of COO and working group members to discuss and summarize annual AML work, new AML working plan etc.

8. Money Laundering and Terrorist Financing Risks Bank confirms that anti-money laundering, anti-bribery and corruption, combating financing of terrorism and sanction compliance is the responsibility of each staff. Bank sets up AML Working Group to be responsible for the detailed organization, management, allocation of resources, and assignment of AML （Anti-money Laundering）/CFT (Combating Financing of Terrorism) related works of the bank. COO as the leader of AML Working Group Committee is in charge of AML & CFT issue of the Bank in general; Compliance is leading department in charge of AML & CFT work of the Bank; other member departments cover bank’s front lines, middle and back offices, and internal audit which is responsible for independent inspection. At branch level, a correspondent AML Working Team is set up to be responsible for branch AML/CFT related works and chaired by branch manager. For FTZ Sub-branch (including respective FTU business), respective AML/CFT work is directly under HO AML Working Group’s coverage.

Bank’s main AML/CFT work includes: (1) Establishment of internal AML & CFT procedures; (2) Execution of KYC procedure and transaction monitoring; (3) Periodical reporting of Big-Amount Transactions and Suspicious Transactions to the PBOC and reporting to the Police when suspicious criminal case is detected; (4) Reporting of Clients and Transactions Suspected to be related to Terrorist Financing and Measures to Freeze Assets Related to Terrorist Activities (5) Confidentiality of AML & CFT information;

118

(6) Record-keeping of account opening documentation and transaction documentation; (7) Assistance to supervisory bodies in investigation; (8) Schedule staff training on KYC, AML and CFT and organize AML Publicity activities; (9) Make annual AML/CFT report and organize AML risk self-assessment and report the result to the PBOC

AML Working Group Committee meeting is called on quarterly basis to review AML/CFT related work of this year, to set up work plan for next year, discuss and set up AML Strategy based on key focus of current AML work and regulatory requirements, etc.

As an important work of anti-money laundering rectification, the new transaction monitoring and reporting system is used to monitor and analyse customer transactions, and timely identify and report suspicious transactions involving money laundering to PBOC.

9. Reputational Risk The board set out the comprehensive risk management principle, and the Risk Committee under the board ensures the risk factors are correctly identified and measured, so that the overall reputational risk is properly managed. The bank also places high importance on event in daily operations that may have an effect on reputation and stringently managed such event, which includes the handling of customer compliant, respond to the customer and public’s inquires, close monitoring the related media report, and maintain good relationship with the media.

10. Strategic Risk COMEX meeting • The Bank holds bi-weekly COMEX meetings comprising Senior Management and heads of business lines. The Chairman of the Board can attend the meeting. • The meeting focuses on day-to-day management issues of the Bank. Business, operational, administrative and compliance issues are discussed and monitored to ensure strategy risk is assessed on a timely manner. Business review sessions are organized on a monthly basis to review the operational performance of the Bank, and to ensure that latest legal, compliance and regulatory issues are discussed and complied with.

119

IV Corporate Governance

1. Members of the board and their performance 1.1 Members of the board of directors Members of the Board are senior Managers of BNP Paribas SA with diverse experience relevant to BNP Paribas (China) Limited’s activities complemented, in 2020, by two Independent Directors with extensive academic and business experience. The Board is supported by six specialised committees: Audit Committee, Risks Management Committee, Related Parties Transactions Committee, IT Management Committee, Compensation Committee and Strategy Committee for which Terms of Reference have been formalised and approved by the Board.

1.2 Performance of the Board of Directors Board Meetings are held on a quarterly basis during which are presented Business Performance (previous quarter and YTD), information for the Board on important changes in the activities of BNP Paribas (China) Limited and laws and regulations in the PRC, resolutions for the Board, reporting by the Board Committees, reporting by Heads of Business and Functions, etc.

2. The Supervisor and his performance The Board Supervisor is similarly a senior member of staff from BNP Paribas SA and with considerable experience working in the banking industry. With BNP Paribas he has held senior positions in IT & Operations of Global Market, and is now Chief Operating Officer, APAC . In order to monitor the performance of the Board of Directors, the work done includes the followings:  Review of Board meeting agenda, presentations, proposals of resolutions, proposals of appointments, proposals for revision of Terms of References of committees.  Attendance to Board meetings.  Attended the Risk Committee and Audit Committee meetings. In order to monitor the company’s important financial affairs, the work done includes the followings:  Review of BNP Paribas China Ltd financial statements for the period from 1 January 2020 to 31 December 2020.  Review of financial information provided to Board of Directors. In order to ensure directors’ and senior management’s performance of functions and duties related to compliance management, the Supervisor has performed the following work:  Review of major reports to regulators  Review of internal audit reports  Attend Audit Committee  In order to complement his review of above listed documents, the Supervisor has fulfilled the following duties:  Regular meetings with China Ltd Chief Executive and Chairman  Regular contacts, conference calls and meetings with the Chief Operational Officer. During the due diligence works described above, the Supervisor has not been made aware of any conduct by senior management, Board member or committee members who would be in contravention of the Article of Association or Bank’s policies or any law or regulation applicable to the Bank.

3. The senior managements and their performance The senior positions of the Bank are occupied by suitably qualified and experienced staff members. The annual appraisals for those staff in 2020 ranged have minimum performance ratings of “mostly met expectation” including recently appointed managers.

120

The CEO, COO, CFO, CRO, Beijing Branch Manager, Guangzhou Branch Manager, Tianjin Branch Manager, Head of Compliance, Head of HR, Head of Global Market, Head of Commodity Corporate Coverage, Head of Transaction banking, Head of Corporate Coverage, Head of ALM and Head of Multi- National Corporate, Head of Wealth Management makes up the Executive Committee of BNP Paribas (China) Limited (Comex) which meets twice every month under the chairmanship of the Chief Executive Officer.

4. Organizational Structure

5. Disclosure of the performance of independent directors BNP Paribas (China) Limited has two Independent Directors appointed to its Board:

 Mr. Zhi Qiang YU has been appointed as independent director and been approved by CBIRC on 8 December 2014. He has been re-appointed for another 3 years from 8th December 2017. Due to expiration of appointment, Mr. Zhi Qiang YU resigned on 7th December 2020.  Jean-Claude Bergadaa has been appointed as independent director and been approved by CBIRC on 23 December 2019. For information beyond the year 2020  Mr. Yan Yan has been appointed as independent director and been approved by CBIRC on 16 March 2021.  Mr. TSE, CHEE KAY TERRY has been appointed as independent director and been approved by CBIRC on 22 March 2021.

6. Compensation Management System

121

The Compensation Management Committee (hereafter “Committee”) of BNP Paribas (China) Limited (hereafter “Bank”) is formulated in accordance with the “Supervisory Guidelines on Sound Compensation in Commercial Banks” of China Banking and Insurance Regulatory Commission (“CBIRC”). The Committee is primarily responsible for establishing compensation system which is good for the Bank’s strategic and enhancing its competitiveness, is suitable for fostering and retaining talent as well as controlling risks. The Committee reports directly to the Board of Directors of the Bank and functionally to the Compensation Committee of the BNP Paribas Group Headquarters.

The Committee is made up of 3 members and is chaired by an Independent Director. Committee members include:

 Two Independent Directors, and  Chairman of the Board of the Bank.

The Committee is responsible for:

 Reviewing the relevant Compensation system and policies effectively in line with the corresponding policies of the BNP Paribas Group;  Establishing a scientific and reasonable Compensation Management system that can ensure the Bank’s long-term, sound and sustainable development;  Establishing a scientific system of performance assessment with relevant indicators;  Establishing an effective mechanism for the supervision of Compensation; and  Reporting on Compensation Management to the Bank’s Board of Directors annually.

Two Committee meetings were held in December 2019 and February 2020 respectively to review and approve the general guidelines on 2019 performance bonus and 2020 salary increase.

In accordance with the BNP Paribas Group's relevant policies and compensation guidelines, the Compensation Management Committee is mainly responsible for establishing and regularly reviewing the Bank's related compensation systems/ policies and performance evaluation mechanism. These policies are applicable to all permanent employees (including those who have signed a labour contract with the Bank and expatriates who are assigned to work for the Bank from overseas entities of the Group).

The Committee has developed a competitive compensation management mechanism that is suitable for risk control, which is designed to attract talents and motivate outstanding employees to pursue long-term career development in the Group, so as to achieve sustainable business development of the Bank's business. This mechanism will ensure that Risk and Compliance staff’s compensation is independent of the business performance under their monitoring. This compensation management mechanism is also one of the main components of corporate governance, which effectively combines the compensation system with the development strategy of the Bank.

7. Compensation Review

122

For the measurement of annual remuneration, the Bank emphasizes total compensation and considers the factors of risk control as well as combing employee incentive mechanisms and performance management, so that compensation is linked with performance. Total compensation takes all the components of compensation into consideration, including fixed salary (monthly basic salary, fixed allowance, etc.) and variable compensation (i.e. performance bonus). This will not only balance the difference in basic salary, but also ensure the fairness and consistency of the Bank's internal compensation design. In determining variable compensation, considering factors include a variety of financial data, which reflects sustainable operation level including risk indicators. The variable compensation reflects sufficient types of risks, and the incentive and restraint requirements of the sustainable development of the Bank.

In order to ensure objectivity in the process of compensation planning and in line with the relevant human resources policies of BNP Paribas Group, the Bank regularly participates in market surveys of compensation and benefits for banks. This kind of information from market surveys provides the Bank with the basis to formulate and update our compensation plans so that the Bank can remain fair and competitive in the job market. The management of the Bank continuously review the compensation and benefits plans to ensure that the Bank's compensation, benefits and other incentives (such as the total reward package) are in line with the market, so as to attract, motivate, retain and reward all employees who are contributing to the Bank's business development. Meanwhile, this will ensure that remuneration will play a guiding role in the risk management of the Bank.

The Bank usually conducts compensation review annually. In line with the Bank's compensation review guidelines, all increments and bonuses will be determined according to the performance of the whole bank and business lines’ results, market conditions, performance of individual employees, and such other factors that the Bank considers relevant.

8. Deferred Compensation Policy and Payment

For senior management personnel and employees with material impact on risks, the Bank has established a deferred compensation policy in line with the local regulatory requirements and the BNPP Group policies. Depending on the amount of the individual employee’s performance bonus, a certain percentage of the performance-based compensation will be deferred, and the deferred payment period is generally not less than 3 years.

For the deferred performance compensation, the relevant employees must satisfy the corresponding payment conditions, as well as the performance indicators set by each business line and BNP Paribas Group. Dismissal due to employees’ misconduct (or if the employee has left the Group but his/her previous misconduct, which will lead to the employee’s dismissal if he/she was still employed, discovered after he/she had already left the Bank), the Bank also reserves the right to claw back all or part of the cash bonuses or deferred bonuses paid in accordance with relevant local laws. The Bank may exercise this right within 5 years from the date of the last payment of the deferred bonus plan or from other periods (which may be less or longer than 5 years in accordance with local laws and regulations).

123

In 2020, the Bank has paid the performance bonus of CNY 14.92 million to employees, who are senior management executives and employees with material impact on risks. This amount includes a total of CNY 9.72 million of the performance bonus deferred from the previous three years. In addition, the Bank has not made any severance payment to any of the senior management executives or employees with material impact on risks.

Specific remuneration information for senior management executives and employees with material impact on risks is as follows:

Fixed Variable Deferred Others Compensation Compensation Compensation Senior Management Executives and CNY 40.85 CNY 5.20 CNY 9.71 CNY 8.23 Employees million million million million with Material Impact On Risks

For deferred and retained compensation, the Bank has not made any explicit or implicit adjustment in 2020.

9. Basic Information of Major Senior Management Executives and Employees with Material Impact On Risks

The list of Major Senior Management Executives and Employees with Material Impact On Risks for 2020 is as follows:

SN Name Position Department 1 LAI Chang-geng Deputy Chief Executive Officer CEO Office

2 David GOYON Deputy Chief Executive Officer IT and Operations Chief Operating Officer 3 You Fang Deputy Chief Executive Officer Commodity Corporate ZHANG Head of Commodity Corporate Coverage Coverage, China 4 George H SUN Head of Global Markets, China Global Markets 5 KANG Ying Chief Risk Officer Risk Management 6 ZHANG Jin Chief Financial Officer Finance & Control 7 ZHU Yunlan Head of Internal Audit Internal Audit 8 BAO Xutao Head of Compliance, China Compliance 9 Hui Ling WONG Chief Information Officer Information Technology 10 QIU Ju Branch Manager Beijing Branch 11 YU Tingtao Branch Manager Tianjin Branch 12 JIE Xiaobo Branch Manager Guangzhou Branch

124

V. Capital Adequency Ratio Situation

1. Banking Group Name, Capital Adequency Ratio calculation scope and consolidation scope and differences

BNP Paribas (China) Ltd. belongs to BNP Paribas Group and is the whole owned subsidiary of BNP Paribas S.A.

BNP Paribas calculates the capital adequacy ratio in accordance with "Rules for Regulating the Capital Adequacy Requirement of Commercial Banks” and relevant regulations. The scope of capital adequacy ratio calculation is legal person, including Head office and all branches.

BNP Paribas (China) Ltd. has no equity investment inside and outside China, therefore there is no need to consolidate financial statements or calculate capital adequency ratio on consolidated basis. And there is no difference in the two scopes, both at legal person level. In the reporting period, there is no capital transfer constraint.

2. Amount of capitals and all level of capital adequency ratios

In CNY’000 Item Dec. 31 2020 The core tier one capital Paid-in capital 8,711,348 General reserve 659,373 Surplus reserve and retained earnings 837,668 Other comprehensive income 23,444 The core tier one capital 10,231,833 The core tier one capital deduction Intangible assets after deferred tax liability adjustment 18,684 Net core tier one capital 10,213,149 Other tier one capital - Net tier one capital 10,213,149 Loan provision exceeding regulator limits 374,366 Other tier two capital - Net capital 10,587,515 Risk weighted assets 70,773,882 Core tier one capital adequency ratio 14.4% Tier one capital adequency ratio 14.4% Capital adequency ratio 15.0% Minimum regulatory requirements Core tier one capital adequency ratio 7.5% Tier one capital adequency ratio 8.5% Capital adequacy ratio 10.5% Loan provision exceeding regulator upper limit and included as tier two capital The upper limit under weighted approach 588,537 The difference between actual amount and the upper limit 214,171 Undeduction amount in threshold deduction Intangible assets after deferred tax liability adjustment 205,049 Limit of capital deduction 1,021,315 Difference between the actual amount and limit 816,266

125

In 2020, the paid-in capital was increased from CNY8,327,555,199.88 to CNY8,711,347,906.

3 Risk Weighted Assets

Up to Dec. 31 2020, BNP Paribas (China) Ltd. adopted the following approach to calculate risk weighted assets: weighted approach in credit risk weighted assets, standarded approach in market risk weighted assets and basic indicator approach in operational risk weighted assets. The amount are as follows.

In CNY’000 Item Amount as at Dec. 31 2020 Credit risk weighted assets 46,708,591 Market risk weighted assets 21,705,771 Operational risk weighted assets 2,359,520 Risk Weighted Assets 70,773,882

The market risk capital requirement are as follows:

In CNY’000 Item Amount as at Dec. 31 2020 Market risk weighted assets rqeurement 1,736,462 (standarded approach) -interest rate risk 1,424,680 -foreign exchange risk 307,056 -Option risk 4,726

4 Internal Capital Adequacy Assessment Process, Capital Planning and capital adequency ratio monitoring

The Internal capital adequacy assesement process of BNP Paribas (China) Ltd. includes governance framework, risk identification and assessment, stress test, capital assessment, capital planning and emgergency manamgent, which assess the capital adequency under comprehenseive considering and evaluation of the major risk faced by the bank. Capital planning is to ensure the capital adequency ratio level is in line with the china business development strategy, risk apetite, risk manage ability and external operating enviounment, to fulfil short term and long term capital needs, and take into consideration the capital supplement source and long term sustainability. BNP Paribas (China) Ltd. minitors dynamically and closely the capital adequency ratio situation through calculation of capital adequency ratio, and reasonably forecast and improve the efficiency of capital utilization.

126

V. Annual significant events Changes on the Senior Management:  Appointment of Ms. Cathy Kang as Director of BNP Paribas (China) Limited with effect from Dec 3, 2020.  Resignation of Mr. Zhiqiang Yu from the position of Independent Director of BNP Paribas (China) Limited due to the term expired with effect from Dec 7, 2020.  Appointment of Ms. Fang Zhang as Head of Corporate Coverage of BNP Paribas (China) Limited with effect from Sep 5, 2020.  Appointment of Mr. Yujiang Wang as Head of Financial Institution Coverage of BNP Paribas (China) Limited with effect from Sep 15, 2020.

127

VI. Corporate Social Responsibility

“We are at the service of our clients and the world we live in”, BNP Paribas’ mission is to contribute to responsible and sustainable economy by financing and advising its clients according to the highest ethical standards. We offer secure, sound and innovative financial solutions to individuals, professional clients, corporate and institutional investors while striving to address the fundamental challenges of today with regard to the environment, local development and social inclusion.

Our Corporate Social Responsibility approach allows us to take part in building a sustainable future while promoting the Group’s performance and stability. This strategy relies on four pillars of responsibility: The Economy, Our People, The Community and The Environment, which are in line with the United Nations 17 Sustainable Development Goals (SDGs). As the bank for a changing world, BNP Paribas has become one of the first companies to include a clear reference to the SDGs in our CSR strategy since 2015.

The China CSR Committee (the “Committee”) was established in October 2013. The purpose of the “Committee” is to support the BNP Paribas global vision to be a CSR leader in the banking sector while extending the reach of CSR in China. This Committee is responsible for setting guidance, directions and overseeing policies and progress on the CSR strategy for BNP Paribas in China. In particular, the Committee considers all key impact areas of the four pillars: our economic, social, civic and environmental responsibility. The membership consists of 14 senior staff with roles in China, representing business lines, branches and functions.

The Economy

Financing the economy in an ethical way  Investments and financing with a positive impact  Ethics of the highest standard  Systematic integration and management of environmental, social and governance risks

BNP Paribas strives to conduct its businesses in an ethical and responsible way as a major player in financial products and services. By contributing to economic development and job creation in 71 locations, the Group makes every effort to pursue this commitment.

BNP Paribas has developed a procedure governing the management of climate related risks, both specific to this type of risk and fully integrated in its overall risk management system.

Since 2010, BNP Paribas has integrated Environmental, Social and Governance (ESG) factors in its risk framework for all financing and investment across the Group. The bank has developed ESG policies for 8 sensitive sectors: Agriculture, Coal-fired power Gen., Defense, Mining, Nuclear, Palm oil, Wood pulp, Unconventional Oil and Gas, applying to all products and services and have integrated ESG assessment into our risk policies and monitoring tools for large corporate clients.

Sustainable Finance

Sustainability is at the heart of BNP Paribas’ strategy.

128

BNP Paribas assisted Green Bond issuance for Chinese banks & corporates to finance the eligible green projects in renewable energy, pollution control and prevention, clean transportation and sustainable water management in China:

o The Asian Infrastructure Investment Bank tapped the Panda bond market for the first time, supported by BNP Paribas as a joint-lead underwriter on the RMB 3 billion deal.

o BNP Paribas assist Bank of China for the first blue bond to support oceans by a private player. The bond is a three-year $500 million tranche and a two-year CNH (offshore Chinese yuan) 3 billion tranche, with proceeds earmarked for the financing or refinancing of marine- related eligible green projects defined in the issuer's Sustainability Series Bonds Management Statement. BNP Paribas was Global Coordinator and Joint Lead Manager.

o Zhejiang Geely Holding Group, owner of Volvo Cars, launched its electric car-only platform. BNP Paribas acted as green structuring advisor to Volvo Cars in the establishment of the Green Financing Framework for Volvo Car. Under this framework, Volvo Cars has raised funds to finance its own investment in passenger EVs, with a plan to move 50% entirely EV cars and 50% hybrid vehicles by 2025.

A key member of the China Green Finance Committee (GFC)

As one of few foreign banks, BNP Paribas is one key member of the China Green Finance Committee. By actively engaging in committee’s activities, BNP Paribas provided strong and professional contribution to the development of China Green Finance industry with its global network expertise and technology.

Membership to trade Carbon Emission Allowance

BNP Paribas (China) Ltd got Shanghai Environment and Energy Exchange membership to trade Carbon Emission Allowance in June 2018.

China aims to have CO2 emissions peak before 2030 and achieve carbon neutrality before 2060, Chinese President Xi Jinping announced on 22 Sep. The operational phase of China’s national emission trading scheme will be launched on 1 February 2021. We will continue to pay close attention to the development of China carbon market.

BNP Paribas supports China-France developments

BNP Paribas, China Investment Corporation and Eurazeo announced the launch of France-China Cooperation Fund with the first close for Euro 400 mio. The fund completed the first 2 investments in Dutch mid-cap company and French SME company aiming to open their new pathways for growth in China. Our People

Promoting employee development and commitment

Our social responsibility is rooted in three principles: promoting diversity and inclusion; providing a “good place to work” and ensuring responsible employment management; and acting as a learning business offering dynamic professional path. By adopting these three ambitious objectives, our aim is to facilitate employee development and commitment. 129

 Promotion of diversity and inclusion in the workplace  A good place to work and responsible employment management  A learning company supporting dynamic professional path

Diversity and inclusion are core commitments of BNP Paribas. Going beyond regulatory and legal requirements, BNP Paribas has for years developed a committed and responsible Diversity & Inclusion policy in all countries where the Group does business. Diversity & Inclusion, ensuring respect and professional equity for all within the Group. Wide diversity and a real inclusion of differences are essential ingredients for everyone to flourish and for the continuous reinforcement of our “Agility”, “Openness” and “Good Place to Work” values.

BNP Paribas has based its policy on three priorities that we pursue on an international level: Professional equality between women and men, Multiculturalism and Diversity of origin, Disability.

Taking action for diversity and inclusion also requires training and raising the awareness of all employees. BNP Paribas reaches out to all its employees through an increasing number of local initiatives (e-learning, conferences, signing of charters, etc.), while also contributing to developing these values beyond our company gates. Diversity & Inclusion Week is a highlight for BNP Paribas and all of its employees around the world: an opportunity for the Group to promote diversity, respect for others and to demonstrate the importance of everyone’s commitment on a daily basis.

BNP Paribas employees have a personalized space to monitoring their professional development. Throughout the year, employees can enrich their Personal Development Plan to receive development offers tailored to their needs and those of the company, by providing information on their skills. The platform also enables staff to enrich their interactions between their manager and HR, thus promoting professional development and notably transversal mobility within the Group.

BNP Paribas developes a dedicated, personalised and increasingly digital experience to support the professional development of all employees. Continuously grow and develop. This is what we are committed to - the professional development of our people day after day, and belief in continuously learning. They can choose from a wide range of learning programmes in innovative formats. We also want them to be proactive: they decide which courses they want to take and when. During the recruitment process (and at every step in their careers), all of our employees benefit from an equal playing field. They have access to the same level of information concerning job openings, while we always evaluate their skills and qualifications in total objectivity. Our human resources approach is rooted in a strong principle: diversity. In other words, we welcome people from every background so that our company represents the diversity of our society. All of our sites and locations are also managed in a way that respects our own values – outlined by general management and our employees in the BNP Paribas Way – and promotes diversity and equal opportunity!

The Community

Serving as a bank committed to improving society

BNP Paribas takes action through its different commitments to improve every aspect of society including combatting social exclusion and human rights violations, promoting equal opportunity through financial education and microfinance and encouraging artistic creation and solidarity actions led by employees. Our work is conducted in line with our three commitments

130

 Products and services that are widely accessible  Combat social exclusion and support human rights  Corporate philanthropy policy focused on the arts, solidarity and the environment

BNP Paribas supports the fight against Covid-19

BNP Paribas donated RMB 2 million to Shanghai United Foundation and Beijing UU Charity to support the fight against COVID-19 and purchase much-needed medical supplies for areas in China’s Hubei Province.

Sponsoring China Development Research Foundation

Since 2016, BNP Paribas supported China Development Research Foundation(CDRF), as one of sponsoring corporates, for RMB 1.4 million annual sponsorship . Funding is used to support China policy research, publications, leadership training, development forums, and academic exchanges. CDRF is a public foundation initiated by the Development Research Center of the State Council (DRC). Its mission is to advance good governance and public policy to promote economic development and social progress.

In November 2020, Jean Lemierre, BNP Paribas Chairman attended the 21th China Development Forum. The forum gathered policymakers and business leaders in person or virtually across the globe, to explore an agenda encompassing restoring regional growth, China’s dual circulation strategy and combating climate change as the pandemic has bolstered the need for enhanced international cooperation. Jean Lemierre spoke at the session on “Empowering the World Economy with Green Recovery” and emphasis the importance of cooperation for a sustainable future.

Microfinance Location: Nanchong Introduction:

MicroCred Nanchong is one of the first microfinance institutions under the People’s Bank of China initiative. It is a foreign-owned enterprise licensed by the Sichuan AIC on September 3, 2007. Over the following 2 years, PBOC granted MicroCred Nanchong permission to expand into Gaoping, Langzhong, Nanbu, Peng’an, Shunqing, Xichong, Yingshan and Yilong districts. MicroCred Nanchong’s mandate is to provide financial services to the under-served and unserved micro and small entrepreneurs in both rural and urban areas.

Following the global microfinance initiative as well as existing relationship with MircoCred in Senegal and Ivory Coast, BNP Paribas (China) Ltd. decided in 2011 to provide credit facility to MicroCred Nanchong. As of April 2020, MicroCred Nanchong serves 15,735 clients, for a total gross loan portfolio of RMB 906 M (EUR 117M). It has 28 fast-growing branches spread over 12 regions. They offer two types of products: micro and SME loans. Both are individual loans.

Location: Sichuan Introduction:

131

MicroCred Sichuan is a regulated Microcredit Company (MCC) which was established in November 2010 and launched its activities in January 2011. It provides individual microloans to farmers, business owners and micro enterprises in the namely Sichuan province.

MicroCred Sichuan benefits from MicroCred Nanchong experience in the region (Nanchong being the northeast of Sichuan Province). They are Sisters Company. Their management and processes are the same.

As of April 2020, MicroCred Sichuan serves 5,143 clients, for a total loan portfolio of RMB 437M (EUR 56M). It has 18 branches spread over 4 districts. The MFI’s activities are mainly concentrated in the city of Chengdu, especially in the rural areas. They offer two types of products: micro and SME loans. Both are individual loans.

Location: Beijing Introduction:

China Foundation for Poverty Alleviation (CFPA) Microfinance is a non-profit organization dedicated to poverty alleviation and economic development, registered under the Ministry of Civil Affairs since March 1989. The Foundation is regulated by the State Council Leading Group Office of Poverty Alleviation and Development (SCLGOPAD). Currently, CFPA is the largest NGO working in the area of poverty reduction. It was awarded Class 5A status foundation, the highest rank for a non-profit organization by the Ministry of Civil Affairs since 2007. The CFPA microfinance program was launched in 1996 with the strong support of the SCLGOPAD. The microfinance program started with the aim to build farmers’ ability to be independent and increase their incomes. At the end of 2008, CFPA founded a subsidiary, CD Finance (formerly CFPA Microfinance), specialized in the management and implementation of microfinance projects. It has also recently received further support from Ant Finance, Ant Finance Group via its subsidiaries became the largest shareholder in CD Finance.

In September 2020, CD Finance served 405,469 micro-borrowers and managed a RMB 8bn (USD 1.2bn) loan portfolio through a network of 376 branches in 20 provinces.

BNP Paribas continued its commitment to support Sichuan underprivileged children by “Dream Up” Creative Development Project and Sichuan Scholarship Location: Qingshen, Sichuan, Shanghai Introduction:

“Dream Up” is the flagship programme conducted by BNP Paribas Foundation at the group level. Under the Dream Up umbrella, the three-year Creative Development Project was launched by BNP Paribas (China) Ltd. in September 2015 to support children in Qingshen, Sichuan with a total grant of 60,000 euros. By providing music, dancing and art workshops, the Creative Development project has been helping to build up the confidence along the growing path of the underprivileged children. The project engages professional teachers to provide two hours workshops on music, dancing and art each week for students of Ruifeng, Hebazi and Luobo elementary schools in Qingshen county, Sichuan.

Dream Up project had been renewed from September 2018 for another 3 years. BNP Paribas Foundation sponsored Euro 20,000 annually for regular art, music and dance workshops at 3 beneficiary schools. Leveraging local CSR budget, we expanded the project from 3 to 6 beneficiary 132

schools, increased workshops from add instrumental music class Teachers’ workshop for experience sharing.

In 5 years, totally 3,552 workshops had been brought to children from 14 professional teachers to more than 2200 students in 6 beneficiary schools in Qingshen, Sichuan.

Moreover, BNP Paribas has been distributing scholarship to 102 left behind children in Qingshen Sichuan, the same region under Dream up project, to subsidize the living expenses of those children in need(RMB 1,500 per student per year). Since the Sichuan Scholarship first launch in 2014, the accumulative contributions have been totalled RMB 850k.

1MillionHours2Help Global Volunteering Campaign Location: Shanghai, Beijing, Guangzhou, Tianjin Introduction:

The aim of the 1MillionHours2Help programme is for the Group’s employees to use their working time to contribute to the efforts of organisations seeking to build a more inclusive, environmentally- aware world. To achieve the collective total of 1 million hours of voluntary work provided by the Group’s employees worldwide in 2020 – equivalent to just over half a day of paid volunteer hours per employee per year.

The 2020 campaign rolled out in China from January to December with more than 10 volunteer activities. A total of 475 volunteers participated from Beijing, Shanghai, Guangzhou and Tianjin contributing 1375 volunteering hours. Throughout the campaign, volunteers took part in various projects including:

 Partnering with Pick Up China for Shanghai staff’s plogging volunteering  Sponsor and volunteering for charity event on World Autism Awareness Day with Shanghai Qingcongquan training centre for children with special needs  Sponsoring and invite colleagues to participate KEEP EGGxercising-Burn Calories for kids which is organized by Shanghai United Foundation  Beach cleaning volunteering in Shanghai, Guangzhou and Tianjin, partnered with Shanghai Rendu Ocean  Participate the Trash Hunter-World Clean-up Day volunteering event organized by Pick-up China  Participate as volunteer judge of student company competition organized by Junior Achievement  Organize staff volunteering to deliver weekly video online class for 1 elementary rural school in Henan province, partnering with Chi Heng Foundation  Partnering with Chi Heng Foundation to organize Sweet Bakery charity program to support Village 127, social enterprise of Chi Heng Foundation, to help HIV-affected and other underprivileged children in rural China to continue their education  Beijing office initiate a special fundraising event to donate school packs for those poverty students supported by Chi Heng Foundation  BNP Paribas volunteers joined the "Christmas Passion Chorus" flash event together with other volunteers in the lobby of Shanghai World Finance Center, where BNP Paribas office located, to promote diversity and inclusion to support the disabled community  BNP Paribas volunteers visited aShanghai Yuemiao Caring Center for disabled people

133

APAC Fundraising Campaign in China Location: Shanghai, Beijing, Tianjin, Guangzhou Introduction:

In 2020, BNP Paribas continued APAC Fundraising Campaign to help more children in rural areas with equal access to quality education. Through both online and offline fundraising events including charity bazaar, online bake sale, flower market, online quiz, sharing session, sharing workshop etc. During the whole fundraising campaign in APAC, BNP Paribas also matched the donation of staff contribution.

“Help2Help” Projects Location: Shanghai, Yunnan, Sichuan Introduction:

The “Help2Help” projects were introduced to BNP Paribas staff in China since year 2013. It is sponsored directly by the BNP Paribas Foundation in Paris aiming to encourage the staff engagement in volunteering activities.

In the year of 2020, 3 “Help2Help” projects supported by China employees were each granted from 1,000 euro to 4,000 euros’ sponsorship from the Foundation, including:  Support UU Charity for its White Shell Physiological Health-Care Project for those young female population aged between 12 and 16 from schools in poorer region of China.  Support Yuemiao Caring Center’s handcraft workshops for the handicapped students.  Support Qingcongquan Training Center for autistic children’s rehabilitation training courses.

Support Patients Suffering from Kashin-Beck Disease

Location: Sichuan Introduction:

BNP Paribas sponsored Kashin-Beck Disease Fund (KBDF) in 2020 with an annual fund of RMB 60,000 to support 2 villages for 10 greenhouse in Ganze, Sichuan.The fund covered material, construction work, gardening tools and seeds, and enabled 10 families to grow vegetable all year long for a better daily diet.

Kashin-Beck disease is a permanent and disabling disease involving growth cartilage and, secondarily, the joint development. Its causes remain unclear. When starting in the childhood, the disease causes shortening of the limbs.

Environmental Responsibility

Accelerating the ecological and energy transition

BNP Paribas has made the ecological and energy transition its top environmental priority as a global player that finances the energy sector. Our commitment aligns with the Paris agreement, which aims to make financial flows compatible with low-carbon development.

134

 Enabling our clients to transition to a low-carbon, respectful of the environment economy  Reduce the environmental impact of our operations  Advance awareness and sharing of best environmental practices

At BNP Paribas, we firmly believe in the importance of climate-related risks and opportunities, and have made the fight against climate change a priority since 2011. BNP Paribas has developed a procedure governing the management of climate related risks, both specific to this type of risk and fully integrated in its overall risk management system. Since 2010, we have integrated ESG factors into our risk framework for all our financing and investments across the Group. We have specific CSR policies for 8 sensitive sectors applying to all products and services and have integrated ESG assessment into our risk policies and monitoring tools for large corporate clients. Reducing the Group’s impact on the environment within its operational scope, a goal that was met ahead of schedule in 2017 when BNP Paribas achieved carbon neutrality.

BNP Paribas accelerates Energy Transition

The BNP Paribas Group announces its complete withdrawal from coal, and raises its financing targets for renewable energies. The Group has announced its intention to reduce its exposure to thermal coal to zero by 2030 in the EU and by 2040 in the rest of the world. The group has also increased its financing target for renewable energy projects from €15bn to €18bn by 2021.

BNP Paribas is accelerating its timeframe for a complete coal exit

BNP Paribas is expanding to all OECD countries its target to end the use of coal by its electricity-producing customers by the end of 2030. The Group will continue its commitment to put an end, in the near future, to relations with any customer developing new coal-based production capacity. BNP Paribas will no longer accept any new customers with a coal related revenue share of more than 25%. The implementation of this policy will quickly lead to a reduction of around half of the number of BNP Paribas corporate customers using coal for a share of their electricity generation.

BNP Paribas Carbon Neutral since 2017 BNP Paribas has been carbon neutral on its operational scope (direct greenhouse gas emissions and indirect emissions linked to the purchase of energy and to business travels) since 2017, through careful monitoring and reductions of CO2 emissions, the use of renewable energy and offsetting residual emissions. However, the work toward reducing the Group’s carbon footprint did not stop there. Specific and regularly enforced objectives have continued to reduce BNP Paribas’ direct environmental impact in terms of energy, travel and the responsible use of resources, allowing the Group to have already met its 2020 objectives.

Sustainable Development Goals Education Series As the bank for a changing world, BNP Paribas has become one of the first companies to include a clear reference to the Sustainable Development Goals (SDGs) in our CSR strategy since 2015. Given the importance of achieving SDGs to our success in creating a more sustainable future, BNP Paribas launched SDG education series to connect employees across Asia Pacific with practical knowledge about how these ambitions relate to our lives and works, and how we can help in achieving them. China also organized a lot 135

of staff engaged events across China offices in 2020.

Green Company for Employee Green Company for Employees is a global campaign to eliminate single-use plastic in our working environment, with our employees at the heart of this initiative. China launched its 1st “Green Company for Employees” month in July 2020 to raise awareness to eliminate single-use plastic in our working environment and learn how to become “more green” in all elements of your lives, sharing best practices and learning from each other. In this month, we have arranged series of communications, events and challenges to highlight the importance of sustainability:

 Going Plastic Free Challenge- We shared some green tips and invited colleagues to share their day to day practices of not using single use plastics in any creative format like photos, posters and videos.  Beach Cleaning- Our volunteers in Shanghai, Guangzhou and Tianjin joined the force together to clean the beaches to reduce our direct impact to the environment. Volunteers contributed 108 volunteer hours to 1MillionHours2Help volunteering campaign.  Green Monday & Lunch Sharing Event Sustainable Life Style Sharing- shared the sustainability stories of B Corps and introduced how business have great impact on sustainability, as a force for good.  GoZeroWaste Speaker Event- shared with China colleagues on how to practice zero waste lifestyle and gave us practical tips. They inspire and engage people to take their first step to a more sustainable life.

136

VIII Consumer Rights and Interest Protection

BNP Paribas (China) Limited has established a sound organizational structure for Consumer Rights and Interests protection, and set up a Consumer Rights and Interests Protection Committee, which is chaired by Wealth Management department with the participation of COO, Compliance, Legal, Human Resources and Operation Permanent Control department to guide and urge the establishment and improvement of Consumer Rights and Interests protection related management institutional strategies, and to ensure the execution and implementation of Consumer Rights and Interests protection strategies, policies and objectives. Consumer Rights and Interests Protection Committee will be held twice a year and submit the Consumer Rights and Interests protection working reports to the board of directors regularly. In 2020, there is no complaint received from consumers or forwarded from regulator for the bank.

137