BNP Paribas L1 SICAV

SEMI -ANNUAL REPORT at 30/06/2020 R.C.S. Luxembourg B 32 327

BNP Paribas L1

Table of contents

Page

Organisation 2 Information 3 Financial statements at 30/06/2020 4 Key figures relating to the last 3 years 5 Securities portfolio at 30/06/2020 Bond Euro Premium 6 Equity Europe Low Volatility 7 Notes to the financial statements 8

1

No subscription can be received on the basis of the financial statements alone. Subscriptions are only valid if made on the basis of the current prospectus, accompanied by the latest annual report and the most recent semi-annual report, if published thereafter. Page 1 BNP Paribas L1 Organisation

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

Board of Directors Chairman

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

Mr. Marnix ARICKX, Chief Executive Officer, BNP PARIBAS ASSET MANAGEMENT Belgium, Brussels

Mr. Emmanuel COLLINET DE LA SALLE, Head of Group Networks, BNP PARIBAS ASSET MANAGEMENT France, Paris

Mr. Fabien MADAR, Co-Head of Europe and Head of Southern Europe, BNP PARIBAS ASSET MANAGEMENT France, Paris

Mr. Roger MINERS, Global Chief Marketing Officer, BNP PARIBAS ASSET MANAGEMENT UK,

Mr. Christian VOLLE, Independent Director, Paris, France Company Secretary (non-member of the Board) Mr. Stéphane BRUNET, Chief Executive Officer, BNP PARIBAS ASSET MANAGEMENT Luxembourg, Luxembourg

Management Company BNP PARIBAS ASSET MANAGEMENT Luxembourg, 10 Rue Edward Steichen, L-2540 Luxembourg, Grand Duchy of Luxembourg BNP PARIBAS ASSET MANAGEMENT Luxembourg is a Management Company as defined in chapter 15 of the Luxembourg Law of 17 December 2010, as amended, concerning undertakings for collective investment. In this capacity, the Management Company is responsible for administration, portfolio management and marketing duties. Net asset values calculation, transfer and registrar agent are delegated to: BNP Paribas Securities Services, Luxembourg Branch, 60 Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Portfolio management is delegated to: Effective Investment Managers BNP Paribas Group management entities (generally named BNP PARIBAS ASSET MANAGEMENT) • BNP PARIBAS ASSET MANAGEMENT France, 1 Boulevard Haussmann, F-75009 Paris, France • BNP PARIBAS ASSET MANAGEMENT UK Ltd., 5 Aldermanbury Square, London EC2V 7BP, Depositary BNP Paribas Securities Services, Luxembourg Branch, 60 Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Auditor PricewaterhouseCoopers, Société coopérative, 2 Rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg, Grand Duchy of Luxembourg

Page 2 BNP Paribas L1 Information

BNP Paribas L1 is an open-ended investment company ( Société d’Investissement à Capital Variable - SICAV) incorporated on 29 November 1989 under the name “INTERSELEX WORLD” for an indefinite period in accordance with the provisions of Part I of the law of 30 March 1988 on undertakings for collective investment. The name was changed to “INTERSELEX EQUITY” by an extraordinary general meeting of shareholders on 4 November 1996, and then to “INTERSELEX” by an extraordinary general meeting of shareholders on 4 May 1998 and to “FORTIS L FUND” by an extraordinary general meeting of shareholders on 30 September 1999. By an extraordinary general meeting of shareholders held on 14 May 2010, the company changed its name to “BNP Paribas L1” (abbreviated as BNPP L1) with effect from 1 August 2010. The Company is currently subject to Part I of the law of 17 December 2010, as amended, on undertakings for collective investment and to European Directive 2009/65/EC (UCITS IV), as amended by the Directive 2014/91 (UCITS V). The Articles of Association of the Company have been filed with the Registrar of the District Court of Luxembourg, where any interested party may consult them and obtain a copy. They were last modified on 25 April 2016, with publication in the Mémorial on 29 April 2016. The Company is registered in the Luxembourg Trade and Companies Register under the number B 32 327. Net asset values are calculated on each day of the week on which banks are open for business in Luxembourg. As to net asset values and dividends, the Company publishes the legally required information in the Grand Duchy of Luxembourg and in all other countries where the shares are publicly offered. This information is also available on the website: www.bnpparibas-am.com. The Articles of Association, the Prospectus, the KIID, and periodic reports may be consulted at the Company’s registered office and at the establishments responsible for the Company’s financial service. Copies of the Articles of Association and the annual and interim reports are available on request. Except for newspaper publications required by Law, the official media to obtain any notice to shareholders from the Company will be the website www.bnpparibas-am.com. Documents and information are also available on the website: www.bnpparibas-am.com.

Page 3 BNP Paribas L1

Financial statements at 30/06/2020

Equity Europe Low Bond Euro Premium Combined Volatility

Expressed in EUR EUR EUR Notes Statement of net assets Assets 60 099 621 215 623 469 275 723 090 Securities portfolio at cost price 65 347 766 204 917 485 270 265 251 Unrealised gain/(loss) on securities portfolio (8 827 887) 9 489 969 662 082 Securities portfolio at market value 2 56 519 879 214 407 454 270 927 333 Cash at banks and time deposits 3 579 742 279 788 3 859 530 Other assets 0 936 227 936 227 Liabilities 298 059 935 863 1 233 922 Net Unrealised loss on financial instruments 10 159 572 0 159 572 Other liabilities 138 487 935 863 1 074 350 Net asset value 59 801 562 214 687 606 274 489 168 Statement of operations and changes in net assets Income on investments and assets 2 0 43 302 43 302 Management fees 3 183 158 1 783 108 1 966 266 Bank interest 10 129 5 332 15 461 Other fees 5 85 967 37 593 123 560 Taxes 6 15 818 0 15 818 Distribution fees 4 1 095 0 1 095 Total expenses 296 167 1 826 033 2 122 200 Net result from investments (296 167) (1 782 731) (2 078 898) Net realised result on: Investments securities 2 (2 979 476) 16 308 639 13 329 163 Financial instruments 10 206 207 5 10 206 212 Net realised result 6 930 564 14 525 913 21 456 477 Movement on net unrealised gain/(loss) on: Investments securities 2 (6 882 267) (45 940 183) (52 822 450) Financial instruments (153 654) 0 (153 654) Change in net assets due to operations (105 357) (31 414 270) (31 519 627) Net subscriptions/(redemptions) (4 145 862) (142 434 284) (146 580 146) Increase/(Decrease) in net assets during the (4 251 219) (173 848 554) (178 099 773) year/period Net assets at the beginning of the financial 64 052 781 388 536 160 452 588 941 year/period Net assets at the end of the financial 59 801 562 214 687 606 274 489 168 year/period

The accompanying notes form an integral part of these financial statements Page 4 BNP Paribas L1

Key figures relating to the last 3 years (Note 8)

Bond Euro Premium EUR EUR EUR Number of shares 31/12/2018 31/12/2019 30/06/2020 30/06/2020 Net assets 92 319 556 64 052 781 59 801 562 Net asset value per share Share “Classic - Capitalisation” 143.29 144.43 144.32 117 051.434 Share “Classic - Distribution” 104.10 104.93 104.85 237 732.618 Share “N - Capitalisation” 101.05 101.25 100.87 4 324.762 Share “Privilege - Capitalisation” 106.94 108.17 108.27 152 454.647 Share “Privilege - Distribution” 105.43 106.64 106.74 9 755.000

Equity Europe Low Volatility EUR EUR EUR Number of shares 31/12/2018 31/12/2019 30/06/2020 30/06/2020 Net assets 293 101 052 388 536 160 214 687 606 Net asset value per share Share “Classic - Capitalisation” 98.16 119.96 106.75 1 903 981.335 Share “I - Capitalisation” 101.03 124.78 111.53 10 311.018 Share “Privilege - Capitalisation” 96.85 119.24 106.50 96 686.581

Page 5 BNP Paribas L1 Bond Euro Premium

Securities portfolio at 30/06/2020 Expressed in EUR % of net Quantity Denomination Quotation currency Market value assets Transferable securities admitted to an official stock exchange listing and/or traded 55 498 821 92.80 on another regulated market Shares 55 498 821 92.80

France 40 093 204 67.04 64 598 ACCOR SA EUR 1 563 918 2.62 21 924 SA EUR 2 815 042 4.71 34 598 SE EUR 2 197 665 3.67 100 000 BNP PARIBAS EUR 3 537 000 5.91 165 388 CARREFOUR SA EUR 2 274 912 3.80 37 568 EUR 2 312 686 3.87 40 896 ESSILORLUXOTTICA EUR 4 672 368 7.81 21 356 LOREAL EUR 6 101 408 10.21 170 000 ORANGE EUR 1 809 650 3.03 43 451 RENAULT SA EUR 981 124 1.64 62 637 AVENTIS EUR 5 678 043 9.49 29 872 SE EUR 2 953 743 4.94 87 648 SOCIETE GENERALE SA EUR 1 297 190 2.17 55 878 TOTAL SA EUR 1 898 455 3.17

Spain 7 734 107 12.94 36 907 AMADEUS IT GROUP SA EUR 1 711 747 2.86 499 976 BANCO BILBAO VIZCAYA ARGENTARIA EUR 1 531 926 2.56 1 183 942 SA EUR 2 574 482 4.31 34 141 INDUSTRIA DE DISENO TEXTIL EUR 804 703 1.35 261 655 TELEFONICA SA EUR 1 111 249 1.86

The 3 908 528 6.53 341 045 ING GROEP NV EUR 2 113 797 3.53 73 979 KONINKLIJKE NV EUR 1 794 731 3.00

Germany 2 457 033 4.11 164 405 AG - REG EUR 2 457 033 4.11

Belgium 1 305 949 2.18 29 772 ANHEUSER - BUSCH INBEV SA/NV EUR 1 305 949 2.18

Shares/Units in investment funds 1 021 058 1.71

France 1 021 058 1.71 44.56 BNP PARIBAS MOIS ISR - I - CAP EUR 1 021 058 1.71 Total securities portfolio 56 519 879 94.51

The accompanying notes form an integral part of these financial statements Page 6 BNP Paribas L1 Equity Europe Low Volatility

Securities portfolio at 30/06/2020 Expressed in EUR % of net Quantity Denomination Quotation currency Market value assets

Shares/Units in investment funds 214 407 454 99.87

Luxembourg 214 407 454 99.87 1 730 460.00 BNP PARIBAS EASY EQUITY LOW VOL EUROPE UCITS ETF CAP EUR 214 407 454 99.87 Total securities portfolio 214 407 454 99.87

The accompanying notes form an integral part of these financial statements Page 7

Notes to the financial statements

Page 8 BNP Paribas L1

Notes to the financial statements at 30/06/2020

Note 1 - General information

a) Events that occurred during the financial period ended 30 June 2020

No special event occurred during this financial period.

b) Sub-funds open All sub-funds whose securities portfolios are detailed in this document were available for subscription as at 30 June 2020.

c) Master-feeder structures The following sub-funds are involved in a master-feeder structure: Master sub-fund Feeder sub-fund BNP Paribas Easy Equity Low Vol Europe BNP Paribas L1 Equity Europe Low Volatility

The information regarding the description of the master-feeder structure, the investment objective and policy of the Master UCITS are detailed in the prospectus of the Fund. The audited financial statements and the prospectus of the Master UCITS and Feeder UCITS are available on www.bnpparibas-am.com. The valuation of the Master sub-fund for the BNP Paribas L1 Feeder is dated 30 June 2020.

Note 2 - Principal accounting methods

a) Net asset value This semi-annual report is prepared on the basis of the last net asset value calculated as at 30 June 2020.

b) Presentation of the financial statements The financial statements of the Company are presented in accordance with the legislation in force in Luxembourg on undertakings for collective investment. The consolidation currency of the Company is the euro (EUR). The statement of operations and changes in net assets covers the financial period from 1 January 2020 to 30 June 2020 for the sub-funds whose securities portfolio are detailed in this document.

c) Valuation of the securities portfolio The valuation of all securities listed on a stock exchange or any other regulated market, which functions regularly, is recognised and accessible to the public, is based on the last known closing price on the Valuation Day, and, if the securities concerned are traded on several markets, on the basis of the last known closing price on the major market on which they are traded. If the last known closing price is not a true reflection, the valuation shall be based on the probable sale price estimated by the Board of Directors in a prudent and bona fide manner. The Board of Directors use this possibility for the valuation of the securities listed on East Asia, South Asia, Southeast Asia and Oceania markets. In these cases, the aforesaid last known closing price is adjusted by using a method monitored by the Management Company to reflect a fair value price of the concerned assets. Unlisted securities or securities not traded on a stock exchange or another regulated market which functions in a regular manner, is recognised and accessible to the public, shall be valued on the basis of the probable sale price estimated in a prudent and bona fide manner by a qualified professional appointed for this purpose by the Board of Directors. If permitted by market practice, liquid assets, money market instruments and all other instruments may be valued at their nominal value plus accrued interest or according to the linear amortisation method. Any decision to value the assets in the portfolio using the linear amortisation method must be approved by the Board of Directors, which will record the reasons for such a decision. The Board of Directors will put in place appropriate checks and controls concerning the valuation of the instruments. Investments in open-ended UCIs are valued on the basis of the last net asset value of the units or shares of such UCIs available on the Valuation Day.

Page 9 BNP Paribas L1

Notes to the financial statements at 30/06/2020

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

e) Conversion of foreign currencies Values expressed in a currency other than the currency in which the relevant sub-fund is denominated will be converted on the basis of the exchange rate applicable on the valuation day.

f) Income on investments Dividends are recognised as income on the date on which they are declared and to the extent that the information in question is available to the Company. Interest is recognised on a daily basis.

g) Valuation of swaps A Total Return Swap (TRS) is a bilateral agreement in which each party agrees to exchange payments based on the performance of an underlying instrument represented by a security, commodity, basket or index thereof for a fixed or variable rate. One party pays out the total return of a specific reference asset, and in return, receives a regular stream of payments. The total performance will include gains and losses on the underlying, as well as any interest or dividends during the contract period according to the type of underlying. The cash flows to be exchanged are calculated by reference to an agreed upon notional amount or quantity. Total return swaps are marked to market at each NAV calculation date. The unrealised appreciation/(depreciation) is disclosed in the Statement of net assets under “Net Unrealised gain on financial instruments” or “Net Unrealised loss on financial instruments”. Realised gains/(losses) and change in unrealised appreciation/(depreciation) as a result thereof are included in the Statement of operations and changes in net assets respectively under “Net realised result on Financial instruments” and “Movement on net unrealised gain/(loss) on Financial instruments”.

Note 3 - Management and advisory fees (maximum per annum) The maximum annual fees are calculated and deducted monthly from the average net assets of a sub-fund, share category, or share class. The fees are paid to the Management Company and serving to cover remuneration of the investment managers and also distributors in connection with the marketing of the Company's stock. The management fees applicable to the “Classic” category are applicable to all share sub-categories and classes with the word “Classic” in their denomination. The management fees applicable to the “I” category are also applicable to all share sub-categories and classes with the word “I” in their denomination. The management fees applicable to the “Privilege” category are also applicable to all share sub-categories and classes with the word “Privilege” in their denomination. No management fee is applied to the “X” class.

Sub-fund Classic I N Privilege Bond Euro Premium 0.75% N/A 0.75% 0.40% Equity Europe Low Volatility 1.50% 0.60% 1.50% 0.75%

Page 10 BNP Paribas L1

Notes to the financial statements at 30/06/2020

Note 4 - Distribution fees

Distribution fees are calculated and deducted monthly from the average net assets of a sub-fund, share category, or share class, paid to the Management Company and serve to cover remuneration of the distributors, supplemental to the share of the management fee that they receive. As per prospectus, such fees are charged on share class “N”.

Note 5 - Other fees

Other fees are calculated and deducted monthly from the average net assets of a sub-fund, share category, or share class and serve to cover general custody assets expenses (remuneration of the Depositary) and daily administration expenses (NAV calculation, record and book keeping, notices to the shareholders, providing and printing the documents legally required for the shareholders, domiciliation, auditors cost and fees...), except for brokerage fees, commissions for transactions not related to the deposit, director fees, interest and bank fees, extraordinary expenses, reporting cost in relation with regulation requirements including the European Market Infrastructure Regulation (EMIR), and the “taxe d’abonnement ” in force in Luxembourg, as well as any other specific foreign tax and other regulators levy e.g. the tax specific to Belgium.

Note 6 - Taxes In the Grand Duchy of Luxembourg, the Company is subject to an annual subscription tax (“taxe d’abonnement”) of 0.05% of the value of the net assets. This rate is reduced to 0.01% for: a) sub-funds with the exclusive objective of collective investment in money market instruments and deposits with credit institutions; b) sub-funds with the exclusive objective of collective investment with credit institutions; c) sub-funds, categories or classes reserved for Institutional Investors, Managers and UCIs. The following are exempt from this “taxe d’abonnement”: a) the value of assets represented by units or shares in other UCIs, provided that these units, or shares have already been subject to the “taxe d’abonnement”; b) sub-funds, share categories and/or classes: (i) whose securities are reserved for Institutional Investors, Managers, or UCIs and (ii) whose sole object is the collective investment in money market instruments and the placing of deposits with credit institutions, and (iii) whose weighted residual portfolio maturity does not exceed 90 days, and (iv) that have obtained the highest possible rating from a recognised rating agency; c) sub-funds, categories and/or classes reserved to: (i) institutions for occupational retirement pension or similar investment vehicles, set up at the initiative of one or more employers for the benefit of their employees, and (ii) companies having one or more employers investing funds to provide pension benefits to their employees; d) sub-funds whose main objective is investment in microfinance institutions; e) sub-funds, categories and/or classes: (i) whose securities are listed or traded on at least one stock exchange or another regulated market operating regularly that is recognized and open to the public, and (ii) whose exclusive object is to replicate the performance of one or several indices. When it is due, the “taxe d’abonnement” is payable quarterly on the basis of the relevant net assets and is calculated at the end of the quarter for which the tax is applicable. In addition, the Company may be subject to foreign UCI’s tax, and/or other regulators levy in the country where the sub-fund is registered for distribution. The value of the assets represented by units/shares held in other UCIs that have already been subject to the “ taxe d'abonnement ” are exempt from the “ taxe d'abonnement ”.

Page 11 BNP Paribas L1

Notes to the financial statements at 30/06/2020

Note 7 - Dividends

It has been decided not to pay dividends for the following sub-funds this period:

Sub-fund Class Bond Euro Premium Classic - Distribution Bond Euro Premium Privilege - Distribution

Note 8 - Share currencies

The net asset value per share is priced in the currency of the share class and not in the currency of the sub-fund in the section “Key figures relating to the last 3 years”.

Note 9 - Exchange rates

As at 30 June 2020, all sub-funds and share classes are denominated in EUR, the Fund's currency.

Note 10 - Swaps

Total Return Swaps A Total Return Swap (TRS) is an agreement to exchange the total performance of a bond or other underlying asset (share, bond, index, etc.) for a benchmark rate plus a spread. The total performance includes the interest coupons, dividends and profits and losses on the underlying asset over the life of the agreement, depending on the type of underlying concerned. The risk in this type of agreement is linked to the fact that the benefit for each counterparty will depend on how the underlying asset performs over time, which is unknown at the time at which the agreement is entered into. Bond Euro Premium

% of net Nominal assets Counterparty Currency Maturity Sub-fund paid Sub-fund received engaged PERFORMANCE BNP PARIBAS EURIBOR 3M 55 200 000 92.31% EUR 07/08/2020 OF THE BASKET PARIS, FRANCE -0.03% SHARES (*) Iboxx Euro SOCIÉTÉ EURIBOR 3M Sovereigns 60 400 000 101.00% GÉNÉRALE EUR 09/12/2020 +0.02% 3-5 PARIS, FRANCE Total Return Net unrealised (159 572) loss (in EUR)

(*) The basket of shares consists of the following:

ACCOR SA CARREFOUR SA ORANGE AIR LIQUIDE SA DANONE RENAULT SA AIRBUS SE DEUTSCHE TELEKOM AG - REG SANOFI AVENTIS AMADEUS IT GROUP SA ESSILORLUXOTTICA SCHNEIDER ELECTRIC SE ANHEUSER - BUSCH INBEV SA/NV INDUSTRIA DE DISENO TEXTIL SOCIETE GENERALE SA BANCO BILBAO VIZCAYA ARGENTARIA ING GROEP NV TELEFONICA SA BANCO SANTANDER SA KONINKLIJKE AHOLD DELHAIZE NV TOTAL SA BNP PARIBAS LOREAL

Counterparties to Swaps contracts: BNP Paribas Paris, France Société Générale Paris, France

Page 12 BNP Paribas L1

Notes to the financial statements at 30/06/2020

Note 11 - Securities lending

As at 30 June 2020, the Company has not concluded securities lending agreement.

Note 12 - Global overview of collateral

As at 30 June 2020, the SICAV pledged the following collateral in favour of financial instruments counterparties:

OTC Sub-fund Currency Type of collateral collateral Bond Euro Premium EUR 40 000 Cash

Note 13 - Change in the composition of the securities portfolio

The list of changes to the composition of the securities portfolio during the period is available free of charge at the Management Company’s registered office and from local agents.

Note 14 - List of Investment managers

• BNP PARIBAS ASSET MANAGEMENT France, abbreviated to BNPP AM France • BNP PARIBAS ASSET MANAGEMENT UK Limited, abbreviated to BNPP AM UK Sub-fund Investment managers BNPP AM France Bond Euro Premium Subdelegating to BNPP AM UK for the Cash Management Equity Europe Low Volatility BNPP AM France

Note 15 - Transaction fees

Transaction fees incurred by the Fund relating to purchase or sale of transferable securities, money market instruments, derivatives or other eligible assets are mainly composed of standard fees, sundry fees on transaction, stamp fees, brokerage fees, custody fees, VAT fees, stock exchange fees and RTO (Reception and Transmission of Orders) fees. In line with bond market practice, a bid-offer spread is applied when buying and selling these securities. Consequently, in any given transaction, there will be a difference between the purchase and sale prices quoted by the broker, which represents the broker’s fee.

Note 16 - Tax reclaims as part of the Aberdeen/Fokus Bank Project

In several European Union member states, community law grants undertakings for collective investments (UCIs) the right to file claims with a view to recovering taxes they have been unjustly forced to pay. When one member state imposes a greater tax burden on a foreign UCI than on a resident UCI, this constitutes discrimination under community law.

This principle was confirmed by the ruling of the Court of Justice of the European Union (CJEU) in the “Aberdeen” case (18 June 2009). This ruling acknowledges that a non-resident UCI can be subject to discriminatory taxation, which constitutes an obstacle to freedom of establishment and/or the free movement of capital. Other CJEU rulings have subsequently confirmed this jurisprudence. Key examples are the rulings in the Santander (10 May 2010) and Emerging Markets (10 April 2014) cases regarding French and Polish tax legislation, respectively.

In light of this jurisprudence and in order to safeguard the right of UCIs to receive tax rebates, the management company has decided to file claims with the tax authorities in several member states whose discriminatory legislation fails to comply with community law. Preliminary studies will be carried out to determine whether or not the claims are viable, i.e. for which funds, in which member states and over what period of time it is necessary to request a rebate.

Page 13 BNP Paribas L1

Notes to the financial statements at 30/06/2020

To date, there is no European legislation establishing a uniform framework for this type of claim. As a result, the time taken to receive a rebate and the complexity of the procedure vary depending on the member state in question. This means that it is necessary to constantly monitor developments in this regard.

Due to the uncertainty of the recoverability of the amounts, no accrual is recorded and it is booked under the caption “Income on investments and assets” when received.

Note 17 - Recovery of Belgian tax collected in Belgium

The Management Company has introduced recovery requests to Belgian tax authorities so as to safeguard SICAV rights, and so the interest of the shareholders, to benefit from a refund of Belgian tax levied. A potential tax refund is contingent upon the end of court and trial legal proceedings.

Note 18 - Regulation on transparency of Securities Financing Transactions and Reuse of collateral (SFTR)

This collateral applies to all OTC activity of this Fund. There is no way to distinguish it upon type of instrument it is related to. Bond Euro Premium Safekeeping of Safekeeping of Market Value Counterparty name Type Currency Maturity collateral collateral Reinvestment (absolute value) received granted

Less than BNP PARIBAS Cash EUR 40 000 N/A Pooled N/A one day Total (absolute value) EUR 40 000

Note 19 - Subsequent events • Since the end of 2019, the development of the coronavirus (COVID-19) outbreak initially in China and has reached all continents leading to an unprecedented sanitary and economic crisis. The Board continues to follow the efforts of governments to contain the spread of the virus and monitor the economic impact on the companies in the portfolio of the Fund. • The sub-fund Bond Euro Premium will be merged into the sub-fund “Euro Medium Term Bond” of “BNP Paribas Funds” SICAV on 11 September 2020.

Page 14

ADDITIONAL INFORMATION FOR INVESTORS IN THE FEDERAL REPUBLIC OF

For the following sub-funds of BNP Paribas L1 no notification for distribution in the Federal Republic of Germany was submitted and shares in these sub-funds may NOT be offered to investors within the scope of the German investment law. As a consequence, the following sub-funds are NOT available to investors in Germany:

Equity Europe Low Volatility

BNP PARIBAS ASSET MANAGEMENT Belgium, Zweigniederlassung Deutschland, Europa-Allee 12, 60327 Frankfurt am Main, has undertaken the function of Information Agent in the Federal Republic of Germany (hereinafter the “German Information Agent”). Applications for the redemptions and conversion of shares may be sent to BNP Paribas Securities Services, Luxembourg Branch, 60, Avenue J.-F. Kennedy, L-1855 Luxembourg (hereinafter “the Paying Agent”). All payments to investors, including redemption proceeds and potential distributions may, upon request, be paid through the Paying Agent. The prospectus, the key investor information documents, the articles of association of the company and the annual and semi-annual reports may be obtained, free of charge, in hardcopy form at the office of the German Information Agent during normal opening hours. Issue, redemption and conversion prices of shares and any other information to the shareholders are also available, free of charge, from The German Information Agent. No units of EU UCITS will be issued as printed individual certificates. The issue, redemption and conversion prices of shares are published on www.bnpparibas-am.de and any other information to the shareholders will be published in Germany in the Federal Gazette (“www.bundesanzeiger.de”) and on the website “www.wmdaten.de”, except for the publications concerning the payment of dividends, the exchange ratio and the convening notices to General Meeting which are available via the website.

In addition, communications to investors in the Federal Republic of Germany will be by means of a durable medium (section 167 of the Investment Code) in the following cases: • suspension of the redemption of the units, • termination of the management of the fund or its liquidation, • any amendments to the company rules which are inconstant with the previous investment principles, which affect material investor rights or which relate to remuneration and reimbursement of expenses that may be paid or made out of the asset pool, • merger of the fund with one or more other funds and • the change of the fund into a feeder fund or the modification of a master fund.

The asset manager for a changing world