Annual report STOXX EUROPE 600 THEAM EASY UCITS ETF...STOXX EUROPE 600 THEAM EASY UCITS ETF - Annual...

STOXX EUROPE 600 THEAM EASY UCITS ETF

Annual report

31 December 2015

Management Company: THEAM Depositary: BNP Paribas Securities Services

Registered office: 1, boulevard Haussmann 75009 Paris Paris Trade and Companies Register no. 797 774 783

Publication of subscription and redemption prices: available to unitholders at the Management Company

Table of Contents

STOXX EUROPE 600 THEAM EASY UCITS ETF - Annual report at 31 December 2015

STOXX EUROPE 600 THEAM EASY UCITS ETF

MANAGEMENT REPORT

Board of directors ................................................ 3 Appropriation of distributable sums ..................... 30

Investment strategy ............................................. 5 Results and other items ....................................... 33

Report of the board of directors and investment policy ............................................................................

9 Inventory .............................................................. 35

Resolutions .......................................................... 37

ANNUAL FINANCIAL STATEMENTS

Balance sheet Assets .......................................... 15

Balance sheet Liabilities ...................................... 16

Off-balance sheet items ....................................... 17

Income statement ................................................ 18

ANNUAL FINANCIAL STATEMENTS - NOTES

Accounting methods and rules ............................ 19

Change in net assets ........................................... 22

Additional information 1 ....................................... 23

Additional information 2 ....................................... 24

Breakdown by type of receivables and payables . 25

Breakdown by the legal or economic structure of the instrument

26

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

27

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

28

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

29

Board of Directors

STOXX EUROPE 600 THEAM EASY UCITS ETF - Annual report at 31 December 2015 3

SICAV THEAM EASY ETF

----------

Management - Administration - Auditor

----------

AT 31 DECEMBER 2015

CHAIRMAN

Mr Laurent Gaude

MANAGING DIRECTOR

(Director)

Ms Diane Terver-Agazzotti

DIRECTORS

Ms Marie-Sophie Pastant

Mr Sébastien Denry

Mr Grégory Guerrand

Mr Guido Stucchi

STATUTORY AUDITOR

Cabinet PWC, represented by Mr Benjamin Moise

Board of Directors


List of mandates and positions held in any company by corporate officers of THEAM EASY ETF SICAV during the financial year ended 31 December 2015

Mr Laurent Gaude

Name of company Mandates/Positions

SICAV - THEAM EASY ETF Chairman

LUXEMBOURG SICAV BNP PARIBAS EASY Director


THEAM Deputy Chief Executive Officer



LUXEMBOURG SICAV PARWORLD Director

LUXEMBOURG SICAV THEAM QUANT Director

SICAV - THEAM EASY ETF Chief Executive Officer



SICAV - THEAM EASY ETF Director




Mr Guido Stucchi



Mr Sébastien Denry



Strategy


IDENTIFICATION

CLASSIFICATION:

International equities

INVESTMENT OBJECTIVE:

The investment objective of Stoxx Europe 600 THEAM Easy UCITS ETF (the “Sub-fund”) is to replicate the performance of the Stoxx Europe 600 index, both to the upside and the downside. As the Sub-fund is a tracker, its objective is to maintain the absolute tracking error between the change in the Sub-fund’s net asset value and that of the index at a level below 1%. If this tracking error exceeds 1%, it must not under any circumstances exceed 5% of the volatility of the index.

BENCHMARK INDEX

The benchmark index is the Stoxx Europe 600 index, published in EUR by Stoxx Limited. The Stoxx Europe 600 index is an index consisting of shares of European companies of all sizes. The index combines 600 stocks (200 large caps, 200 mid-caps, 200 small-caps). The selection is made on the basis of the stocks' market capitalisation. The index is revised quarterly and includes the dividends paid by the shares that constitute the index. Its Bloomberg code is the Index. A full description of the index and the publication of its stocks are available on the website www.stoxx.com

Publication of the index: Dow Jones is responsible for calculating and publishing the value of the Stoxx Europe 600 index. The closing value of the Stoxx Europe 600 index is calculated daily using the official closing price of the stock exchange on which the securities constituting the index are listed. The Stoxx Europe 600 index is also calculated in real time on each trading day of the stock exchange on which it is listed. The Stoxx Europe 600 index is published in real time via Reuters and Bloomberg: Reuters: .STOXXR Bloomberg: SXXR

Disclaimer by Stoxx Limited: The Stoxx Europe 600 index is protected by intellectual property law. Euro Stoxx 600 is a registered trademark of Stoxx Limited and is the subject of a user licence granted to THEAM (the holder). Stoxx and its licensors have no other connection with the holder of the license given in respect of the Stoxx Europe 600 index and its registered trademarks for use in connection with the Sub-fund. Stoxx and its licensors:

- Make no warranty as to the suitability of an investment in shares of the Stoxx Europe 600 THEAM Easy UCITS ETF sub-fund, which they also refrain from selling or promoting.

- Make no investment recommendation to anyone whatsoever regarding the Stoxx Europe 600 THEAM Easy UCITS ETF sub-fund or any other securities whatsoever.

- Disclaim any responsibility or liability regarding the launch date, quantity and pricing of shares of the Stoxx Europe 600 THEAM Easy UCITS ETF sub-fund and make no decisions in this regard.

- Disclaim any responsibility or liability regarding the administration, management or marketing of the Stoxx Europe 600 THEAM Easy UCITS ETF sub-fund.

- Shall not be bound to take the needs of the Stoxx Europe 600 THEAM Easy UCITS ETF sub-fund or shareholders thereof into consideration when determining, composing or calculating the Stoxx Europe 600 index.

Stoxx and its licensors decline all responsibility regarding the Stoxx Europe 600 THEAM Easy UCITS ETF Sub-fund. More specifically: STOXX and its licensors make no warranty, whether express or implied, and disclaim any warranty whatsoever, whether

express or implied, regarding: The performance to be achieved by the Stoxx Europe 600 THEAM Easy UCITS ETF sub-fund, holders of shares in the Stoxx

Europe 600 THEAM Easy UCITS ETF sub-fund or any other person involved in using the Stoxx Europe 600 index and the data included in the Stoxx Europe 600 index;

Strategy


- The accuracy or completeness of the Stoxx Europe 600 index and the data it contains; - The tradability of the Stoxx Europe 600 index and its data as well as their suitability for a specific use or purpose;

STOXX and its licensors shall not be held liable for any errors, omissions or interruptions whatsoever in the Stoxx Europe 600 index or the data it contains;

Under no circumstances shall STOXX or its licensors be held liable for any loss in earnings whatsoever. The same shall apply to any indirect loss or damage even if STOXX and its licensors have been warned of the existence of such risks.

The licensing agreement between THEAM and STOXX has been drawn up in their exclusive interest rather than in that of the shareholders of the Stoxx Europe 600 THEAM Easy UCITS ETF Sub-fund or third parties.

INVESTMENT STRATEGY

1. Strategy used to achieve the investment objective

To achieve the investment objective of offering investors exposure to the Stoxx Europe 600 index, the Sub-fund shall put in place techniques that synthetically replicate the Stoxx Europe 600 index. These techniques make it possible to swap the performance of the Sub-fund's assets using OTC forward financial instruments (swaps, etc.) against indexation to the benchmark index. Thus, the portfolio's risk characteristics are similar to those of the benchmark index. In accordance with the regulations in force, the Management Company may replace the Stoxx Europe 600 index, in the event of significant events affecting the operation of the index (if it is no longer published, or is withdrawn) or if the conditions of its replication are no longer optimal with regard to achieving the investment objective.

2. Main asset classes used (excluding embedded derivatives)

Equities: The Sub-fund is eligible for the French Equity Savings Plan (PEA), so at least 75% of its assets are securities eligible for the PEA. The Sub-fund invests in the shares of large and, where appropriate, mid-cap companies in all sectors, issued on the markets of one or more European countries, and whose performance is intended to be swapped against an indexation to the benchmark index. The Sub-fund may invest, using exemption ratios, in the shares of index-based funds, i.e. up to 20% of its assets in the shares of a single issuing entity subject to the conditions of article R214-22(1) of the French Monetary and Financial Code. Where justified by unusual market conditions, particularly if certain securities are predominant, this 20% limit for a single issuing entity may be raised to 35%.

Debt securities and money market instruments: For cash management purposes and/or depending on market conditions, the Sub-fund may invest in money market instruments (French Treasury bills, certificates of deposit) or in transferable debt securities. These instruments have a minimum credit rating of A-3 (Standard & Poor’s) or P-3 (Moody’s) at the time of their acquisition or failing that a “long term investment grade” rating or an internal rating of the Management Company which satisfies equivalent criteria. The issuers selected may be in either the private or the public sector (governments, local government entities, etc.), while private debt may represent up to 100% of debt instrument assets. Foreign bonds and complex or transferable debt securities will be denominated in one of the currencies of the OECD member countries.

Units or shares of undertakings for collective investment: The Sub-fund may invest up to 10% of its net assets in units or shares of UCITS, AIFs or investment funds. UCITS, AIFs and investment funds are:

- French or foreign UCITS; - French AIFs or foreign AIFs established in other European Union Member States or investment funds incorporated on the

basis of a foreign law complying with criteria laid down in article R 214-13 of the French Monetary and Financial Code. These UCITS, AIFs and investment funds may be managed by management companies which are part of the BNP PARIBAS Group.

Strategy


Derivatives The sub-fund may use instruments traded on French and/or foreign regulated futures markets in accordance with relevant regulations, such as futures and options. The Sub-fund may also enter into financial contracts traded on OTC markets (swaps). Transactions involving such instruments are carried out within a limit of approximately 100% of the Sub-fund's assets, and will mainly be swap contracts. The forward financial instruments used by the Sub-fund to generate exposure to the investment strategy in order to achieve its investment objective will be:

- OTC options; - swap contracts: performance swaps on the benchmark, equity swaps; - forward contracts to hedge currency risk, currency swaps.

These transactions in financial instruments may be concluded with counterparties selected by the Management Company in accordance with its best execution policy; these counterparties may be companies that are connected to the Management Company. In order to achieve its investment objective, the sub-fund may receive or issue the guarantees referred to in article L. 211-38 of the French Monetary and Financial Code in accordance with the Management Company’s risk policy. These guarantees may take various forms, including cash, money market instruments, bonds issued or guaranteed by a member of the OECD, shares and daily traded UCITS units, etc. A discount appropriate to the asset category and in line with the risk policy of the Management Company will be applied to each guarantee. Guarantees received in cash may be reinvested in accordance with the applicable regulations. As a guarantee, the Sub-fund may receive up to 100% of its net asset value in securities issued or guaranteed by OECD Member States in accordance with the Management Company’s risk policy. The Sub-fund may thus be fully guaranteed by securities issued or guaranteed by a sole eligible OECD Member State.

Securities with embedded derivatives The Sub-fund shall not seek to acquire this type of asset directly. Any warrants will be held in the portfolio only as a result of securities transactions involving the allocation of this type of security.

Deposits The Sub-fund may deposit up to the equivalent of 100% of the net assets in cash at one or more banks for a maximum period of 12 months.

Cash borrowing In the normal course of operations, the Sub-fund may occasionally become overdrawn and need to borrow cash, up to a limit of 10% of its net assets.

Temporary purchases and sales of securities Any temporary purchases and sales of securities will be conducted with reference to the French Monetary and Financial Code. They will be carried out as part of the Sub-fund’s cash management and/or to optimise income. These operations will consist of securities lending and borrowing and repurchase and reverse repurchase agreements. Such transactions may be carried out to a value of 100% of the Sub-fund’s assets. These transactions may be carried out with companies connected to the BNP Paribas Group. All these transactions will be conducted under normal market conditions and any income will belong in full to the Sub-fund. The guarantees received in connection with these transactions will be of the same type as those eligible under the “Derivatives” heading above, with the exception of units of UCITS.

OVERALL RISK:

The method used to calculate the overall risk of the Sub-fund is the commitment method.

RISK PROFILE:

General considerations: The Sub-fund’s risk profile is suitable for an investment horizon of five years or more. As with any financial investment, potential investors should be aware that the value of the Sub-fund's assets is exposed to the fluctuations of the assets included in the benchmark index and that it may vary significantly. The Sub-fund is categorised as an “international equities” UCITS. Investors are therefore exposed to the following risks:

Strategy


Market risk: Shareholders are fully exposed to the Stoxx Europe 600 index. A fall in the shares making up the Stoxx Europe 600 index will lead to a fall in the Fund’s net asset value.

Risk of capital loss: Investors are advised that the Sub-fund's performance may not meet its objectives and that they may not recover the full amount of the capital invested (less subscription fees).

Counterparty risk: The Sub-fund will be exposed to counterparty risk resulting from the use of OTC forward financial instruments or temporary purchases or sales of securities to achieve the investment objective. Counterparty risk is the risk of loss incurred by the Sub-fund with respect to its commitments with a counterparty in the event of default by said counterparty. Counterparty risk is nevertheless reduced by setting up a guarantee in favour of the sub-fund in accordance with regulations in force.

Liquidity risk: As a market’s liquidity is reflected in particular in the form of a wide price range, shareholders run the risk of loss due to adjustments in the forward financial instruments held by the Sub-fund when markets are illiquid. As a consequence of such situations, the costs relating to adjustments in the instruments held by the Sub-fund in the event of subscriptions or redemptions may become particularly high and will be reflected in the Sub-fund’s net asset value.

Liquidity risk on a listing market: The ETF’s market price may differ from its indicative net asset value. The liquidity of the Sub-fund's units on a market on which they are listed may be affected by any suspension due in particular to:

- calculation of the Stoxx Europe 600 index being suspended or halted; - - a suspension of the market(s) on which the components of the Stoxx Europe 600 index are listed; - Inability of the listing market concerned to obtain or calculate the Sub-fund’s indicative net asset value; - an infringement by a market maker of the rules applicable to this market; - a system failure affecting the market’s computer or electronic systems in particular.

Risks arising from entering into transactions with affiliated counterparties: When entering into financial contracts or temporary sales or purchases of securities, the Management Company may be led to conclude this type of transaction with counterparties affiliated to the group to which the Management Company belongs. In such cases, a potential conflict of interest exists between the interests of clients and those of the group to which the Management Company belongs. The implementation of an effective conflict of interest policy enables the Management Company to prioritise the interests of its clients in such cases.

Risk linked to the use of derivatives: To achieve its investment objective, the Sub-fund may use OTC or listed derivative products to hedge and/or optimise the performance of its portfolio. Investors’ attention is drawn to the fact that the above increases the volatility of the Sub-fund's performance and the use of these instruments may significantly modify the portfolio’s exposure compared to a simple, direct investment. The occurrence of this risk could decrease the net asset value of the Fund.

Risk of conflict of interest: When entering into financial contracts or temporary sales or purchases of securities, the Management Company may be led to conclude this type of transaction with counterparties affiliated to the group to which the Management Company belongs. In such cases, a potential conflict of interest exists between the interests of clients and those of the group to which the Management Company belongs. The implementation of an effective conflict of interest policy enables the Management Company to prioritise the interests of its clients in such cases.

MINIMUM RECOMMENDED INVESTMENT HORIZON:

5 years.

Management Report


MANAGEMENT REPORT OF THE BOARD OF DIRECTORS

Report of the Board of Directors to the Ordinary Annual General Meeting of 15 April 2016

Dear Sir/Madam,

In accordance with the articles of association and the law, we have called an ordinary annual general meeting to report to you on the position and the activities of the company during the financial year ended 31 December 2015 and to submit the accounts for your approval.

Accordingly, we invite you to vote on the resolutions to be submitted to you.

We hope that all these proposals will receive your approval.

The Board of Directors

INVESTMENT POLICY

Economic and financial environment

It seems even more difficult than usual to draw useful lessons from the past year on the markets. The figures stated below represent the changes in index prices excluding reinvested dividends. The MSCI AC World index (in dollars) posted an annual fall of 4.3% and the MSCI Emerging index (in dollars) lost 17%. From this point of view, 2015 was a bad year. At the same time, the S&P 500 fell 0.7%, which is a disappointing performance, while the Eurostoxx 50 gained 3.9% and the Nikkei 225 9.1%, all these indices being denominated in local currencies. The first half of the year was positive overall, especially in Europe and Japan, and the gains made during this period more or less offset a negative second half on all the major markets. It is difficult to see what these changes have in common, except volatility, which peaked several times during the year, including one high over the summer that was comparable to the stress levels encountered during the European sovereign debt crisis.

Investors are jittery due to several factors. The problems in Greece became the centre of attention after Alexis Tsipras was voted Prime Minister of the country; his platform had been built on the promise to reject the reforms demanded as a condition of European and international bail-out packages. It would take too long to list all the events that fuelled this saga, which was mainly driven by domestic and European politics, and which led Greece to the brink of bankruptcy and threatened to tear the eurozone apart in July. The compromises reached in extremis managed to reassure investors, although Greece’s enormous debt still casts a shadow over the country’s future. A new source of concern then emerged, this time far from Europe and in a country of an entirely different scale from Greece, as anxieties became focused on China. The sharp correction in mainland Chinese stock markets starting in mid-June led the authorities to introduce support and monitoring measures, without any tangible results. Disappointing economic data then stoked fears over the health of the Chinese economy. August’s surprise devaluation of the yuan against the dollar fuelled concerns. The renewed fall in oil prices beginning at the end of June (after the price per barrel of WTI had returned to USD 60, compared to less than USD 45 in March) was seen as heralding a pronounced slowdown in the global economy. In reality, the oil slump was due above all to the conditions of supply and demand on the market, as demonstrated when the downward trend accelerated at year-end. OPEC’s decision to refrain from setting a production quota then pushed the price per barrel of WTI below USD 35. In the space of a year, the oil price fell by 30%, after already plummeting by 46% in 2014.

Global equities, which rose in fits and starts in the first half of the year, fell steeply in August, with sell-offs across all sectors, stocks and indices. Investors were still influenced by the Chinese factor in September despite the authorities’ efforts to steady the markets and convince observers of the existence of monetary and budgetary means able to bring the growth rate back under control. Finally, we should say a word or two about central bankers, who again played a decisive role this year. The changes in monetary policy expectations, especially in the US and the eurozone, caused significant fluctuations on the stock markets, reflecting the fact that equity investors have gotten used to liquidity. European equities benefited in the first half of the year from the introduction of quantitative easing measures by the ECB, and considerably outperformed the US indices. The rebound in global equities in October (which did not last) was driven by hopes of further monetary easing by the ECB. It took a while before the Fed chair’s message was properly understood, but the key rate hike announced in December was ultimately quite well received.

Management Report


Management Policy

STOXX Europe 600 THEAM Easy UCITS ETF is mainly invested in a total return swap. We have swapped the performance of a basket of European equities against the performance of the STOXX Europe 600 index. This synthetic replication generates a yield very close to the benchmark index.

During the year under review, the STOXX Europe 600 TR index (dividends reinvested), calculated in EUR, gained 9.60%. The tracking error between the Fund and its benchmark index was 0.05%. This (ex post) tracking error for the period in question is in line with expectations.

The tracking error between the Fund and its benchmark index was 0.05%. This (ex post) tracking error for the period in question is in line with expectations.

The performance gap between the fund and its reference index can be explained by enhanced replication methods.

The Fund’s annual performance was: - A shares: 9.92%

- Classic shares:

9.93%

Past performance is not a guide to the future results of the SICAV.

Reduction

In application of the provisions of article 158 of the French general tax code (Code général des impôts) relating to information concerning the share of income eligible for the 40% reduction and the share not eligible for this reduction, we inform you that the income that the Fund plans to distribute breaks down as follows:

Shares (A): 31/12/2014 31/12/2015

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

Dividend per share: 0.00 0.90 0.00 0.92

- share eligible for the 40% reduction:

0.00

0.00

- share not eligible for the reduction:

0.90

0.92

Changes during the financial year: None

Information on efficient portfolio management techniques (EPMT)

Exposure gained through EPMT

Type of trade Amount in ptf curr.

Securities repurchase agreements*

Securities reverse repurchase agreements*

Securities lending

Securities borrowing

Management Report


* Securities received as a guarantee were not reused

Identity of counterparties, type and amount of financial guarantees received to reduce counterparty risk

Name of counterparty Type of guarantee received Valuation in ptf curr.

Income from EPMT received during the financial year as well as direct and indirect operating fees and expenses

Type of trade Income for the year in ptf curr. Operating fees and/or expenses in ptf curr.

Information on derivatives

Underlying exposure gained through derivatives

Type of trade Counterparty Amount in ptf curr.

Swap BNP PARIBAS ARBITRAGE ISSUANCE B 1,396,035,239.00

Swap SOCIETE GENERALE 726,577,238.90

Identity of counterparties, type and amount of financial guarantees received

Name of counterparty Type of financial guarantee Valuation in ptf curr.

Management Report


CODE OF ETHICS

PEA The fund complies with the principle of keeping 75% of its assets in securities or rights eligible for the PEA. The management company shall confirm the percentage upon request.

Group financial instruments invested in the Fund: This information appears in the appendix to the annual report under Additional Information 1.

Within the framework of collective investment management, transaction fees are invoiced for trades involving financial instruments (purchase and sale of securities, repurchase agreements, futures, and swaps).

Adoption of environmental, social and governance (ESG) criteria

In application of article L.533-22-1 of the French Monetary and Financial Code, we present information relating to the incorporation of environmental, social and governance (ESG) criteria in our investment policy.

THEAM applies a Responsible Investment Policy, which defines a number of ESG criteria applicable to our investment decisions. This policy is based on the criteria of the United Nations Global Compact, an international initiative based on international agreements covering human rights, employment standards, respect for the environment and the fight against corruption. This global framework is supplemented by minimum ESG standards which are defined and applied in order to set guidelines for investments in certain “sensitive” business sectors, such as palm oil, nuclear power and coal-fired power stations. Furthermore, in accordance with regulations, no investment may be made in certain areas such as controversial weapons (land mines and cluster bombs). The investment criteria and principles for implementing this Responsible Investment policy are available on our website: www.theam.bnpparibas.fr.

NB: the index-linked and structured management used by THEAM mean that it is not always possible to follow the above criteria. - Indeed, with index-linked management, we are often obligated to replicate market indices with maximum accuracy; these

indices do not necessarily meet ESG criteria. However, we adopt a responsible investor approach: for instance, in 2014 THEAM was the first European fund manager to systematically use indices that exclude controversial arms for its range of index tracker equity funds.

- In structured management, the underlying investments are sometimes frozen when the fund is created, and cannot follow changes in ESG policy.

Information on the management company’s remuneration policy

Information on the remuneration policy applicable for financial year 2015 is available on request from the Management Company: THEAM -14, rue Bergère - 75009 Paris

In accordance with the provisions of article 314-75-1 of the General Regulation of the AMF, THEAM's “information on the selection policy and evaluation of investment decision-making support services and order execution” is available on the website: www.theam.bnpparibas.fr

Management Report


In accordance with the provisions of article 314-82 (UCITS) or article 319-18 (AIF) of the General Regulation of the AMF, the latest “statement on intermediary fees” is available on the website www.theamfunds.fr.

Best selection and best execution policy adopted by THEAM acting as financial manager by delegation to the SICAV

Information regarding the Management Company's best selection and execution policy is available on the www.theam.bnpparibas.fr website.

Exercise of voting rights report (2015)

Information regarding voting policy is available on the Management Company’s website, www.theam.bnpparibas.fr.

Management Report


Activities of the Board of Directors over the financial year:

The Board met on 13 February 2015 and voted on the following items:

1. Approval of the minutes of the previous meeting of the Board of Directors

2. Administration of the SICAV

3. Report of the Board of Directors on the SICAV’s activities and closing of the accounts for the financial year ended 31 December 2014

4. Convening of an Ordinary Annual General Meeting

5. Sundry items

The Board met on 16 March 2015 and voted on the following items:

1. Approval of the minutes of the previous meeting of the Board of Directors

2. Proposed transfer of the entire assets of two FCPs to two sub-funds to be created within the SICAV – Analysis of the proposed transfer and the related terms and conditions

3. Proposed amendment to the articles of association (article 25)

4. Convening of an Extraordinary General Meeting (report of the Board of Directors, proposed agenda, setting of the date and location of the meeting, and examination and adoption of the proposed wording of the resolutions)

5. Sundry items

The Board met on 28 July 2015 and voted on the following items:

1. Approval of the minutes of the meeting of the Board of Directors of 16 March 2015;

2. Creation of a new sub-fund within the SICAV through the total transfer of assets from the Euro STOXX 50 THEAM EASY UCITS ETF FCP;

3. Creation of a new sub-fund within the SICAV through the total transfer of assets from the BNP PARIBAS NEXT 11 EMERGING THEAM EASY UCITS ETF FCP;

4. Resignation of Mr Denis Panel from his office as Chairman and director;

5. Replacement of a director;

6. Appointment of the SICAV’s Chairman;

Sundry items

Annual financial statements


Balance sheet Assets

Financial Year Financial Year

31/12/2015 31/12/2014

Net fixed assets - -

Deposits - -

Financial instruments 1,051,610,976.74 700,266,712.63

Equities and similar securities 1,048,812,255.58 663,805,978.60

Traded on a regulated or similar market 1,048,812,255.58 663,805,978.60 -

Not traded on a regulated or similar market -

-

Bonds and similar securities -

Traded on a regulated or similar market - -

Not traded on a regulated or similar market - -

Debt securities - -

Traded on a regulated or similar market - Transferable debt securities - -

Traded on a regulated or similar market - Other debt securities - -

Not traded on a regulated or similar market - -

Units of undertakings for collective investment - -

Standard UCITS and AIFs for non-professionals and equivalents from other European Union member states

- --

30,000,829.94

Other funds for non-professionals and equivalents from other European Union member states

- 30,000,829.94

Professional standard funds and equivalents from other European Union member states and listed securitisation undertakings

- -

Other professional investment funds and equivalents from other European Union member states and non-listed securitisation undertakings

- -

Other non-European undertakings - -

Temporary transactions on securities - -

Receivables on securities received under a repurchase agreement (pension) - -

Receivables on securities lent - -

Securities borrowed - -

Securities transferred under a repurchase agreement (pension) - -

Other temporary transactions - -

Forward financial instruments 2,798,721.16 -

Transactions on a regulated or similar market - 6,459,904.09

Other transactions 2,798,721.16 -

Other financial instruments - 6,459,904.09

Receivables -

Currency forwards

Other

Financial accounts 63,043,326.91 28,258,084.50

Cash 63,043,326.91 28,258,084.50

TOTAL ASSETS 1,114,654,303.65 728,524,797.13



Balance sheet Liabilities


31/12/2015 31/12/2014

Equity capital

Share capital 879,037,745.54 663,579,864.01

Previous net capital gains and losses not distributed 31,307,363.08 -

(a) Retained earnings (a) 2,256,950.92 -

Net capital gains and losses for the financial year 181,056,475.00 58,010

(a,b) Profit/(loss) for the financial year (a,b) -782,254.30 737.05

Total equity capital 1,092,876,280.24 3,834,389.63

(= Amount corresponding to the net assets) 725,424,990.69

Financial instruments 21,494,875.84 2,932,084.79

Sales of financial instruments -

-

Temporary transactions on securities -

Payables on securities transferred under a repurchase agreement (pension) Payables on securities borrowed

- -

- -

- -

Other temporary transactions -

21,494,875.84

Forward financial instruments - 2,932,084.79

Transactions on a regulated or similar market Other transactions

21,494,875.84 -

2,932,084.79

283,147.57 -

Payables -

Currency forwards 283,147.57 167,721.65

Other -

- 167,721.65

Financial accounts - -

Short-term bank loans -

Borrowings -

TOTAL LIABILITIES 1,114,654,303.65 728,524,797.13

(a) Including accruals accounts (b) Less interim dividends paid for the financial year



Off-balance sheet items


31/12/2015 31/12/2014

HEDGING TRANSACTIONS

Commitments on regulated or similar markets - -

- -

OTC commitments

- -

Equity swaps

EQSI7204 - 670,000,000.00

EQSJF001 353,396,006.63

EQSJF002 675,000,000.00 -

Other commitments - -

-

- -

OTHER TRANSACTIONS

Commitments on regulated or similar markets - -

- -

OTC commitments

Equity swaps -

EQSI7203 -

EQSI7205 -

EQSJF003 373,181,232.27 579,463,398.00

EQSJF004 721,035,239.00 148,706,003.00

Other commitments - -

-

- -



Income statement


31/12/2015 31/12/2014

Income from financial transactions

Income from equities and similar securities Income from bonds and similar securities

2,298,630.84 5,507,409.90

Income from debt securities - -

Income from temporary purchases and sales of securities - -

Income from forward financial instruments Income from deposits and financial accounts

230,754.35 261,638.42

Other financial income - -

Total I 2,529,385.19 5,769,048.32

Payables on financial transactions

Payables on temporary purchases and sales of securities - -

Payables on forward financial instruments -269,390.04 -1,105,092.59

Payables on financial debts -1,127.46 -468.09

Other payables - -

Total II -270,517.50 -1,105,560.68

Profit/(loss) on financial transactions (I+II) 2,258,867.69 4,663,487.64

Other income (III)

Management fees and depreciation allowance (IV) -2,990,461.07 -1,440,134.66

Net profit/(loss) for the financial year (I+II+III+IV) -731,593.38 3,223,352.98

Income equalisation for the year (V) -50,660.92 611,036.65

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

Profit/(loss) (I+II+III+IV+V+VI) -782,254.30 3,834,389.63

Accounting methods and rules


The undertaking complies with ANC regulation number 2014-01 of 14 January 2014 on the Chart of Accounts for open-ended undertakings for collective investment.

The accounting currency is the euro. All the transferable securities in the portfolio are recorded at historical cost, excluding fees. Securities and financial futures and options held in the portfolio denominated in foreign currencies are converted into the accounting currency on the basis of exchange rates observed in Paris on the valuation day. The portfolio is valued at the time of each net asset value and when the accounts are closed, using the following methods:

Transferable securities

Listed securities: at the market value - including accrued coupons (closing price) However, transferable securities whose prices have not been determined on the valuation day or quoted by contributors and whose prices have been adjusted, as well as securities that are not admitted for trading on a regulated market, are valued under the Management Company’s responsibility (or that of the Board of Directors for a SICAV) at their foreseeable sale prices. Prices are adjusted by the Management Company on the basis of its knowledge of the issuers and/or markets.

Undertakings for collective investment: at the last-known net asset value, failing which at the last estimated value. The net asset values of securities of foreign undertakings for collective investment valued on a monthly basis are confirmed by the fund administrators. Valuations are updated weekly on the basis of estimates provided by the administrators of these undertakings for collective investment and validated by the fund manager.

Transferable debt securities and equivalent securities not involved in significant trades are measured by applying an actuarial method, the rate used being that applicable to issues of similar securities adjusted, where appropriate, for a deviation representative of intrinsic characteristics of the issuer. In the absence of sensitivity, securities with a residual maturity of three months are valued at the most recent rate until they mature; for those with maturities of less than three months, interest is calculated on a straight-line basis

Temporary purchases and sales of securities: - Securities lending: the claim represented by loaned securities is valued at the market value of the said securities. - Securities borrowing: securities borrowed as well as the claim represented by such securities are valued at their market value. - Collateral: the UCI has opted to record securities received as collateral in securities lending transactions in the balance sheet

accounts at the amount of the debt corresponding to the obligation to return said securities. - Reverse repurchase agreements with a residual maturity of three months or less: individualisation of the receivable on the

basis of the contract price. In such cases, the remuneration is calculated on a straight-line basis. - Long-term repurchase agreements: recorded and valued at their nominal amount, even if their maturity exceeds three months.

This amount is increased by the accrued interest attached. However, certain contracts stipulate specific conditions in the event of a request for early redemption to reflect the impact of a rise in the counterparty's financing curve. Accrued interest can then be reduced from this impact, without any minimum value. The impact is proportional to the residual maturity of the repurchase agreement and the difference observed between the contractual margin and the market margin for an identical maturity date.

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

Financial futures and options

Futures: daily settlement price. Off-balance sheet valuations are calculated on the basis of the nominal amount, the settlement price and, where appropriate, the exchange rate.

Options: closing price of the day or, if unavailable, the last known price. OTC options: these options are valued at their market value, on the basis of the prices communicated by the counterparties. These valuations are checked by the Management Company. Off-balance sheet valuations are calculated on an underlying-equivalent basis, depending on the delta and the price of the underlying and, where appropriate, the exchange rate. Exception: Floor: these options are valued by third-party counterparties using a mark-to-market discount model based on a volatility and a yield curve, both of which are verified by the fund manager, taken at the close of trading every Thursday.



Currency forwards: revaluation of currencies committed at the daily price, carry-over/backwardation calculated on the basis of the maturity of the contract.

Term deposits: term deposits are recorded and valued at their nominal amount, even if their maturity exceeds three months. This amount is increased by the accrued interest attached. However, certain contracts stipulate specific conditions in the event of a request for early redemption to reflect the impact of a rise in the counterparty's financing curve. Accrued interest can then be reduced from this impact, without being able to be negative. Term deposits are then at least valued at their nominal value.

Interest rate swaps: - for swaps maturing in less than three months, interest is calculated on a straight-line basis - swaps maturing in more than three months are revalued at their market value.

Synthetic products (combining a security with a swap) are accounted for on an overall basis. Interest on swaps due within the framework of these products is valued on a straight-line basis.

Asset swaps and synthetic products are valued on the basis of their market value. Asset swap valuations are based on the valuation of hedged securities less the impact of change in credit spreads. This impact is assessed on the basis of the average of spreads communicated by 4 counterparties questioned on a monthly basis, adjusted by a margin depending on the issuer's credit rating. Off-balance sheet swap commitments correspond to the nominal amount.

Structured swaps (swaps with an option-related component) are valued at their market value, on the basis of prices communicated by counterparties. These valuations are checked by the Management Company. The valuation of index swaps, calculated by the “THEAM Risk team”, is used in the net asset value calculation after being checked for consistency with the counterparty’s valuation, if this is received within the relevant deadlines. If the valuation is unavailable or inconsistent, THEAM Risk contacts the counterparty to identify and resolve the issue. Off-balance sheet commitments relating to these swaps correspond to the nominal amount.

Management fees

- Maximum 0.40% (inclusive of tax) for Classic and A shares

The allowance is calculated on the basis of net assets. These fees, which do not include transaction costs, are recorded directly in the Fund’s income statement.

These fees cover all the costs invoiced directly to the UCIs, except transaction costs. Transaction costs include intermediary fees (brokerage, stock market taxes, etc.) as well as transaction fees, if any, that may be charged by the depositary and the Management Company, in particular.

Performance fees :

None

Refund of management fees

None

Method for recording interest

Interest received method

Dividend policy

Accumulation for Classic shares Accumulation and/or distribution for A shares



Allocation of net capital gains realised

Accumulation for Classic shares Accumulation and/or distribution for A shares

Changes affecting the Fund:

None

Annual financial statements - Notes


Change in net assets


31/12/2015 31/12/2014

Net assets at the beginning of the financial year 725,424,990.69 -

Subscriptions (including subscription fees paid to the Fund) 534,732,365.77 830,600,686.48

Redemptions (after deduction of fees paid to the Fund) -226,771,027.62 -144,062,645.23

Gains realised on deposits and financial instruments 187,813,002.34 49,272,211.53

Losses realised on deposits and financial instruments -112,494,404.56 -28,030,671.24

Gains realised on forward financial instruments 753,730,866.04 281,908,373.79

Losses realised on forward financial instruments -687,902,007.14 -278,182,711.48

Transaction costs - -

Foreign exchange differences - -

Changes in the valuation differential of deposits and financial instruments -56,152,444.92 7,168,574.56

Valuation differential for the financial year N -48,983,870.36 7,168,574.56

Valuation differential for the financial year N-1 -7,168,574.56 -

Changes in the valuation differential of forward financial instruments -22,223,973.98 3,527,819.30

Valuation differential for the financial year N -18,696,154.68 3,527,819.30

Valuation differential for the financial year N-1 -3,527,819.30 -

Dividend for the previous financial year on net capital gains and losses -2,549,493.00 -

Dividend paid in the previous financial year on profit/(loss) - -

Net profit/(loss) for the financial year excluding the income equalisation account

-731,593.38 3,223,352.98

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

- -

Interim dividend(s) paid during the financial year paid on profit/(loss) - -

Other items - -

Net assets at the end of the financial year 1,092,876,280.24 725,424,990.69



Additional information 1

Financial Year

31/12/2015

Non-current assets None

Value of non-current assets -

Depreciation of non-current assets -

Commitments received or given

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

Current value of financial instruments held in the portfolio used as guarantees None

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

Financial instruments given as a guarantee and kept as original entry -

Financial instruments issued by the service provider or entities belonging to its group held in the portfolio

Deposits -

Equities -

Interest rate securities -

UCIs -

Temporary purchases and sales of securities -

Swaps (in nominal) 1,396,035,239.0000

Current value of financial instruments subject to a temporary purchase transaction None

Securities purchased à réméré (with option of repurchase) -

Securities received under a repurchase agreement -

Securities borrowed -

(*) For guaranteed funds, the information is provided in the accounting methods and rules



Additional information 2

Financial Year

31/12/2015

Subscriptions and redemptions during the accounting year Number of securities

Class A (Currency: EUR)

Number of units subscribed 1,679,322

Number of units redeemed 439,449

CLASSIC Class (Currency: EUR)

Number of units subscribed 7,200,180

Number of units redeemed 3,828,616

Subscription and/or redemption fees Amount (EUR)

Subscription fees payable to the Fund 33,772.8500

Redemption fees payable to the Fund -

Subscription fees received and shared -

Redemption fees received and shared -

Management fees

Amount (EUR) % of average net

assets

Class A (Currency: EUR)

Management and administration fees (*) 1,290,871.4400 0.30

Performance fees - -

Other fees - -

CLASSIC Class (Currency: EUR)

Management and administration fees (*) 1,699,589.6300 0.30

Performance fees - -

Other fees - -

Refund of management fees (all units taken together) - -

(*) For funds with a financial year that is shorter or longer than 12 months, the percentage of the average net assets corresponds to the annualised average rate.



Breakdown by type of receivables and payables

Financial Year

31/12/2015

Breakdown by type of claims None

Deposits in euro -

Deposits in other currencies -

Cash collateral -

Valuation of forward currency purchases -

Counter-value of forward sales -

Other sundry debtors -

Receivable interest -

TOTAL CLAIMS

Breakdown by type of debts

Deposits in euro

Deposits in other currencies -

Cash collateral -

Provision for interest expense -

Valuation of forward currency sales -

Counter-value of forward purchases -

Fees and charges not yet paid 283,147.57

Other sundry creditors -

Provisions for market liquidity risk -

TOTAL DEBTS 283,147.57




Financial Year

31/12/2015

Assets None

Bonds and similar securities -

Indexed bonds -

Convertible bonds -

Participation certificates -

Other bonds and similar securities -

Debt securities -

Traded on a regulated market -

Treasury bonds -

Other transferable debt securities -

Other debt securities -

Not traded on a regulated market -

Liabilities None

Sales of financial instruments -

Equities -

Bonds -

Other -

Off-balance sheet items

Hedging transactions

Interest rates -

Equities 1,028,396,006.63

Other -

Other transactions

Interest rates -

Equities 1,094,216,471.27

Other -



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

Fixed interest rate

Floating interest rate

Revisable interest rate

Other

Assets None None None

Deposits - - - -

Bonds and similar securities - - - -

Debt securities - - - -

Temporary transactions on securities - - - -

Financial accounts - - - 63,043,326.91

Liabilities None None None None

Temporary transactions on securities - - - -

Financial accounts - - - -

Off-balance sheet items None None None None

Hedging transactions - - - -

Other transactions - - - -



Breakdown by residual maturity

[0 - 3 months]

]3 months - 1 year]

]1 - 3 years] ]3 - 5 years] > 5 years

Assets None None None None

Deposits - - - - -

Bonds and similar securities - - - - -

Debt securities - - - - -

Temporary transactions on securities - - - - -

Financial accounts 63,043,326.91 - - - -

Liabilities None None None None None

Temporary transactions on securities - - - - -

Financial accounts - - - - -

Off-balance sheet items None None None None None

Hedging transactions - - - - -

Other transactions - - - - -



Breakdown by listing currency

Assets None

Deposits

Equities and similar securities

Bonds and similar securities

Debt securities

Units of UCIs

Temporary transactions on securities

Other financial instruments

Receivables

Financial accounts

Liabilities None

Sales of financial instruments

Temporary transactions on securities

Payables

Financial accounts

Off-balance sheet items None

Hedging transactions

Other transactions

Only the five currencies that are the most representative of net assets are included in this table



Appropriation of distributable sums

Class: A (Currency: EUR)

Table of allocation of distributable income


31/12/2015 31/12/2014

Amounts to be allocated

Retained earnings 2,256,950.92 -

Profit/(loss) -336,273.41 1,570,350.54

TOTAL 1,920,677.51 1,570,350.54

Allocation

Dividend payments - -

Retained earnings for the financial year - 1,570,350.54

Accumulation 1,920,677.51 -

TOTAL 1,920,677.51 1,570,350.54

Information on securities eligible to receive dividends

Number of securities - -

Dividend per unit - -

Tax credits linked to dividend payments

Total tax credits linked to dividend payments: - -

for the financial year - -

for financial year N-1 - -





Table of allocation of distributable income relating to net capital gains or losses


31/12/2015 31/12/2014


Previous net capital gains and losses not distributed 31,307,363.08 -

Net capital gains and losses for the financial year 78,082,328.84 24,193,820.79

Interim dividends paid on net capital gains and losses for the financial year - -

TOTAL 109,389,691.92 24,193,820.79

Allocation

Dividend payments 3,543,511.56 2,350,593.00

Net capital gains and losses not distributed 105,846,180.36 21,843,227.79

Accumulation - -

TOTAL 109,389,691.92 24,193,820.79


Number of securities 3,851,643.00 2,611,770.00

Dividend per unit 0.92 0.90


Class: CLASSIC (Currency: EUR)

Table of allocation of distributable income Financial Year Financial Year

31/12/2015 31/12/2014


Retained earnings - -

Profit/(loss) -445,980.89 2,264,039.09

TOTAL -445,980.89 2,264,039.09

Allocation


Retained earnings for the financial year - -

Accumulation -445,980.89 2,264,039.09

TOTAL -445,980.89 2,264,039.09




Tax credits linked to dividend payments

Total tax credits linked to dividend payments: - -

for the financial year - -





Table of allocation of distributable income relating to net capital gains or losses Financial Year Financial Year

31/12/2015 31/12/2014


Previous net capital gains and losses not distributed - -

Net capital gains and losses for the financial year 102,974,146.16 33,816,916.26

Interim dividends paid on net capital gains and losses for the financial year - -

TOTAL 102,974,146.16 33,816,916.26

Allocation


Net capital gains and losses not distributed - -

Accumulation 102,974,146.16 33,816,916.26

TOTAL 102,974,146.16 33,816,916.26






Table of results and other material items in the last five financial years

Class: A (Currency: EUR)

16-Sep-2013 (*) 31-Dec-2014 31-Dec-2015

Net asset value (in EUR)

D shares 100.0000 112.3489 122.0096

Net assets (in EUR thousands) 293,429.55 469,937.53

Number of securities

D shares 1.00 2,611,770.000 3,851,643.000

Date of payment 31/12/2014 31/12/2015

Dividend per unit on net capital gains and losses

0.90 0.92

(including interim dividends) (in EUR)

Dividend per unit on income - -


Tax credit per unit (*) - -

natural persons (EUR)

Accumulation per unit on net capital gains and losses

C shares - -

Date of payment 31/12/2014 -

D shares - -

Accumulation per unit on income

C shares - 0.49

D shares - -


Class: CLASSIC (Currency: EUR)

16-Sep-2013 (*) 31-Dec-2014 31-Dec-2015

Net asset value (in EUR)

C shares 36.3757 40.8670 44.6797

Net assets (in EUR thousands) 185,132.04 431,995.44 622,938.75

Number of securities

C shares 5,089,446.00 10,570,771 13,942,335.000

Date of payment 31/12/2014 31/12/2015

Dividend per unit on net capital gains and losses

- -


Dividend per unit on income - -


Tax credit per unit (*) - -

natural persons (EUR)

Accumulation per unit on net capital gains and losses

Date of payment 31/12/2014

C shares 3.19 7.38

Accumulation per unit on income

C shares 0.21 -0.03

(*) DATE OF FIRST NAV

(*) The tax credit per unit is calculated on the date of payment by applying the fiscal instruction of 04/03/1993 (Inst.4 K-1-93). Theoretical amounts, calculated in accordance with the rules applicable to natural persons, are provided here as an indication. "Instruction 4 J-2-99 of 08/11/1999 also states that beneficiaries of tax credits other than natural persons calculate the amount of the tax credits to which they are entitled under their sole responsibility."



Inventory of financial instruments at 31 December 2015

Asset items and name of securities Quantity Price Listing

currency Current value

Rounded percentag

e of the net assets

Equities and similar securities 1,048,812,255.58 95.97

Traded on a regulated market or similar market

232,951.00 89.91 EUR 20,944,624.41 1.92

AIRBUS GROUP 435,197.00 62.00 EUR 26,982,214.00 2.47

ALLIANZ SE-REG 299,801.00 163.55 EUR 49,032,453.55 4.49

ANHEUSER-BUSCH INBEV 513,547.00 114.40 EUR 58,749,776.80 5.38

ASML HOLDING NV 156,720.00 82.55 EUR 12,937,236.00 1.18

BANCO SANTANDER 6,454,650.00 4.56 EUR 29,420,294.70 2.69

BASF NOM. 624,501.00 70.72 EUR 44,164,710.72 4.04

BAYER 515,621.00 115.80 EUR 59,708,911.80 5.46

BCO BILBAO VIZCAYA ARGENTARIA 7,500,000.00 6.74 EUR 50,542,500.00 4.62

BMW 169,651.00 97.63 EUR 16,563,027.13 1.52

COMMERZBANK AG 1,270,867.00 9.57 EUR 12,164,738.92 1.11

DAIMLER 915,044.00 77.58 EUR 70,989,113.52 6.50

DEUTSCHE BANK 2,035,211.00 22.53 EUR 45,843,127.78 4.19

DEUTSCHE BOERSE 100,000.00 81.39 EUR 8,139,000.00 0.74

DEUTSCHE POST NOM. 1,992,277.00 25.96 EUR 51,709,549.54 4.73

DEUTSCHE TELEKOM 3,170,886.00 16.69 EUR 52,922,087.34 4.84

E.ON NOM. 4,496,041.00 8.93 EUR 40,154,142.17 3.67

FRESENIUS 742,941.00 65.97 EUR 49,011,817.77 4.48

HEIDELBERGCEMENT 216,913.00 75.62 EUR 16,402,961.06 1.50

ING GROEP 3,469,572.00 12.45 EUR 43,196,171.40 3.95

KONINKLIJKE AHOLD NV 857,880.00 19.48 EUR 16,707,213.00 1.53

KONINKLIJKE DSM NOM. 391,111.00 46.28 EUR 18,100,617.08 1.66

KON.PHILIPS ELECTRONICS 1,861,379.00 23.56 EUR 43,854,089.24 4.01

LINDE 87,702.00 133.90 EUR 11,743,297.80 1.07

LVMH MOET HENNESSY VUITTON 277,990.00 144.90 EUR 40,280,751.00 3.69

MERCK KGAA 166,635.00 89.57 EUR 14,925,496.95 1.37

ROYAL DUTCH SHELL CL.A 1,389,998.00 21.10 EUR 29,322,007.81 2.68

SAP 623,058.00 73.38 EUR 45,719,996.04 4.18

SIEMENS 188,007.00 89.88 EUR 16,898,069.16 1.55

TOTAL 296,926.00 41.27 EUR 12,252,651.39 1.12

UNILEVER 757,000.00 40.11 EUR 30,359,485.00 2.78

VOLKSWAGEN PRIV. 67,814.00 133.75 EUR 9,070,122.50 0.83

Forward financial instruments -18,696,154.68 -1.71


Margin calls 0.00 0.00

0.00 0.00

Swaps -18,696,154.68 -1.71

-18,696,154.68 -1.71

Receivables

Payables -283,147.57 -0.03

Deposits

Other financial accounts 63,043,326.91 5.77

TOTAL NET ASSETS 1,092,876,280.24 100.00

Resolutions


WORDING OF THE RESOLUTIONS OF THE ORDINARY ANNUAL GENERAL MEETING

FIRST RESOLUTION

The Ordinary General Meeting, having taken note of the Board of Directors’ management report and the Statutory Auditor’s report, approves the statement of assets and the annual financial statements, namely the balance sheet, the income statement and the notes, prepared as at 31 December 2015, as they were presented to it, and the transactions reflected in these statements and summarised in these reports.

It therefore appears that for:

i. THE BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF:

At 31 December 2015:

- The number of “H” class shares (FR0011550672) outstanding was 3,851,643, versus 2,611 - at the end of the previous financial year. - The number of “C” class shares (FR0011550193) outstanding was 13,942,335, versus 10,570 - shares at the end of the previous financial year. - The net assets amounted to EUR 1,092,876,280.24, versus EUR 725,424,990.69 at the end of the previous financial

year.

ii. THE BNP PARIBAS EASY S&P 500 UCITS ETF SUB-FUND:


- The number of EUR “C” class shares (FR0011550185) outstanding was 3,689,398, versus 2,984,751 at the end of the previous financial year.

- The number of USD “C” class shares (FR0011550177) outstanding was 2,945,834, versus 2,042,691 at the end of the previous financial year.

- The number of “H” class shares (FR0011550680) was 1,463,063, versus 812,391 at the end of the previous financial year.

- The number of “EUR-Hedge” class shares (FR0013041530), created on 28 October 2015, stands at 130,000. - The Sub-fund’s net assets amounted to EUR 825,486,335.06, versus EUR 517,621,691.67 at the end of the previous

financial year.

iii. THE BNP PARIBAS EASY VOLATILITY ARBITRAGE US UCITS ETF SUB-FUND:


- The number of A shares (USD) (FR11528348) outstanding was 2,249, versus 38,831 on 31 December 2014. - The net assets amounted to EUR 1,332,864.15, versus EUR 32,121,859.82 at the end of the previous financial year.

iv. THE BNP PARIBAS EASY VOLATILITY US ENHANCED UCITS ETF SUB-FUND


- The number of A-USD class shares (FR001161944) outstanding was 10,807 versus 2,007 at the end of the previous financial year.

- The net assets amounted to EUR 6,492,481.72, versus EUR 1,562,644.71 at the end of the previous financial year.

Resolutions


v. THE BNP PARIBAS EASY EURO STOXX 50 UCITS ETF SUB-FUND (CREATED ON 27 JULY 2015)


- The number of EUR C class shares (FR0012739431) outstanding amounted to 10,901,426. - The number of EUR-C/D class shares (FR0012740975) outstanding amounted to 5,001 - The number of EUR-D class shares (FR0012740983) outstanding amounted to 6,837,655 - The Sub-fund’s net assets amounted to EUR 736,521,972.93

vi. THE BNP PARIBAS EASY NEXT 11 UCITS ETF SUB-FUND (CREATED ON 27 JULY 2015)


- The number of EUR C class shares (FR0012739423) outstanding was 559,289, versus 627,956 on the day of the unit’s creation.

- The number of USD C class shares (FR0012739928) outstanding was 17,435, versus 30,261 on the day of the unit’s creation

- The number of EUR-C/D class shares (FR0012740934) outstanding was 364, versus 1 on the day of the unit’s creation - The Sub-fund’s net assets amounted to EUR 62,849,736.096

The shareholders therefore grant full and unreserved discharge to the directors for their management during the past financial year.

SECOND RESOLUTION

Firstly the general meeting is advised that in accordance with the articles of association of the SICAV and the legislation in force, the sums distributable are made up of:

- The net income plus retained earnings, plus or minus the balance of the income equalisation account; - Realised capital gains, net of fees, less any realised capital losses, net of fees, recognised during the financial year, plus

net capital gains of the same kind recognised during previous financial years and not yet distributed or accumulated, plus or minus the balance of the capital gains equalisation account.

i. THE BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETS SUB-FUND:

The shareholders acknowledge that in respect of the financial year ended on 31 December 2015, the net loss is EUR -782,254.30 and the sums to be allocated from the net realised capital gains and losses amount to EUR 181,056,475, and decide, in accordance with the provisions of the articles of association:

- For H Class shares (FR0011550672): ⌐ To allocate to the capital account: EUR 1,920,677.51 consisting of all the retained earnings, i.e. EUR 2,256,950.92,

less the EUR -336,273.41 net loss for the financial year; ⌐ To allocate to the non-distributed net capital gains and losses account: EUR 105,846,180.36 ⌐ To distribute: EUR 3,543,511.56 in respect of the net realised capital gains for the financial year, i.e. a distribution

per unit of EUR 0.92 for each of the 3,851,643 shares comprising the share capital as at 31 December 2015.

The ex-date has been set at 11 May 2016 and the payment date will be 13 May 2016.

In addition, in accordance with the law, a dividend of EUR 0.9 per share was distributed for the financial year ended 31 December 2014.

Resolutions


- For C class shares (FR0011550193): to post the whole net loss, i.e. EUR -445,980.89, and all the net realised capital gains, i.e. EUR 102,974,146.16, to the capital account.

ii. THE BNP PARIBAS EASY S&P 500 UCITS ETF SUB-FUND

The shareholders acknowledge that in respect of the financial year ended 31 December 2015, the sums to be allocated from the net profits amount to EUR 4,194,506.07, and from the net realised capital gains and losses to EUR 152,585,870.27, and decide, in accordance with the provisions of the articles of association:

- For H Class shares (FR0011550680): ⌐ To transfer to retained earnings: the whole net profit, i.e. EUR 889,467.48 ⌐ To allocate to the non-distributed net capital gains and losses account: EUR 55,466,447.94 in respect of the net

realised capital gains for the financial year; and ⌐ To distribute: EUR 1,199,711.66 in respect of the net realised capital gains for the financial year, i.e. a distribution of

EUR 0.82 for each of the 1,463,063 shares comprising the share capital as at 31 December 2015.

It should be noted that this distribution will be declared and paid in USD. The date of the EUR/USD conversion is the last day of the financial year. The EUR/USD exchange rate at 31 December 2015 was 1.0863, resulting in a capital gains distribution per unit of USD 0.90.

The ex-date has been set at 11 May 2016 and the payment date will be 13 May 2016.

In addition, in accordance with the law, a dividend of EUR 0.9 per share was distributed for the financial year ended 31 December 2014

- For C Class shares in USD (FR0011550177): to allocate the whole net profit, i.e. EUR 1,479,491.49, and all the net realised capital gains, i.e. EUR 53,487,389.91, to the capital account.

- For EUR C Class shares (FR0011550185): to allocate the whole net profit, i.e. EUR 1,854,847.66, and all the net realised capital gains, i.e. EUR 67,061,022.43, to the capital account.

- For EUR H Class shares (FR0013041530): to allocate the whole net loss, i.e. EUR -3,506.03, and all the net realised capital losses, i.e. EUR -879,874.58, to the capital account.

iii. THE BNP PARIBAS EASY VOLATILITY ARBITRAGE US UCITS ETF SUB-FUND

The shareholders acknowledge that in respect of the financial year ended 31 December 2015, the sums to be allocated from the net loss amount to EUR -8,008.04, and from the net capital gains and losses to EUR -2,625,606.70, and decide, in accordance with the provisions of the articles of association, to offset all the losses against the capital.

iv. THE BNP PARIBAS EASY VOLATILITY US ENHANCED UCITS ETF SUB-FUND

The shareholders acknowledge that in respect of the financial year ended 31 December 2015, the sums to be allocated from the net loss amount to EUR -34,949.24, and from the net realised capital gains and losses to EUR -1,839,386.83, and decide, in accordance with the provisions of the articles of association, to offset all the losses against the capital.

v. THE BNP PARIBAS EASY EURO STOXX 50 UCITS ETF SUB-FUND (CREATED ON 27 JULY 2015)

The shareholders acknowledge that in respect of the financial year ended 31 December 2015, the sums to be allocated from the net profit amount to EUR 2,999,238.67, and from the net realised capital losses to EUR -5,070,380.24, and decide, in accordance with the provisions of the articles of association:

Resolutions


- For EUR C Class shares (FR0012739431): to allocate the whole net profit, i.e. EUR 2,105,607.07, to the capital account, and all the net realised capital losses, i.e. EUR -3,559,578.16, to the net non-distributed capital gains and losses account.

- For EUR-C/D Class shares (FR0012740975): to allocate the whole net profit, i.e. EUR 1,893.57, to the capital account, and all the net realised capital losses, i.e. EUR -3,183.21, to the net non-distributed capital gains and losses account.

- For EUR-D Class shares (FR0012740983): ⌐ To allocate EUR 2,842.88 in respect of the net profit to retained earnings. ⌐ To distribute EUR 888,895.15 in respect of the net profit for the financial year, i.e. a distribution of EUR 0.13 for each

of the 6,837,655 shares comprising the share capital as at 31 December 2015. ⌐ To offset all the capital losses, i.e. EUR -1,507,618.87, against the capital account. The ex-date has been set at 11

May 2016 and the payment date will be 13 May 2016.

vi. THE BNP PARIBAS EASY NEXT 11 UCITS ETF SUB-FUND (CREATED ON 27 JULY 2016)

The shareholders acknowledge that in respect of the financial year ended 31 December 2015, the sums to be allocated from the net losses amount to EUR -92,292.08, and from the net realised capital losses to EUR -3,142,714.17, and decide, in accordance with the provisions of the articles of association:

- For EUR C Class shares (FR0012739423): to offset the whole net loss, i.e. EUR -89,492.43, and all the net realised capital losses, i.e. EUR -3,043,996.60, against the capital account.

- For USD C Class shares (FR0012739928): to offset the net loss, i.e. EUR -2,793.76, and all the net realised capital losses, i.e. EUR -94,991.80, against the capital account.

- For EUR-C/D Class shares (FR0012740934): to allocate the net loss, i.e. EUR -5.89, and all the net realised capital losses, i.e. EUR -3,725.77, to the capital account.

THIRD RESOLUTION

The General Meeting acknowledges the special report of the Statutory Auditors on the agreements specified in article L 225-38 of the Commercial Code, and approves the conclusions thereof.

FOURTH RESOLUTION

The ordinary general meeting, having taken note of the report of the board of directors, approves the co-opting of Mr Laurent Gaude as director to replace Mr Denis Panel, who has resigned, for the remaining term of his office as director, i.e. until after the next annual general meeting called to vote on the financial statements for the financial year ended in December 2017.

Mr Laurent Gaude has given prior notice of his acceptance of this appointment, and that he meets all the conditions required by law for the position of director.

FIFTH RESOLUTION

The annual general meeting grants full powers to the bearer of a copy or an extract hereof to make any filings and publications required by law.

VOLATILITY ARBITRAGE US THEAM EASY UCITS

ETF

Annual report

31 December 2015

Management Company: THEAM Depositary: BNP Paribas Securities Services

Registered office: 1, boulevard Haussmann 75009 Paris 797 774 783 R.C.S. PARIS

Publication of subscription and redemption prices: available to unitholders at the Management Company

Table of Contents

VOLATILITY ARBITRAGE US THEAM EASY UCITS ETF - Annual report at 31 December 2015

VOLATILITY ARBITRAGE US THEAM EASY UCITS ETF

MANAGEMENT REPORT

Board of directors ............................................... 3 Appropriation of distributable sums ..................... 31

Investment strategy ............................................ 5 Results and other items ...................................... 33

Report of the board of directors and investment policy ...........................................................................

10 Inventory ............................................................. 34

ANNUAL FINANCIAL STATEMENTS Resolutions ......................................................... 35

Balance sheet Assets ......................................... 16

Balance sheet Liabilities ..................................... 17

Off-balance sheet items...................................... 18

Income statement ............................................... 19

ANNUAL FINANCIAL STATEMENTS - NOTES

Accounting methods and rules ........................... 20

Change in net assets .......................................... 23

Additional information 1 ...................................... 24

Additional information 2 ...................................... 25

Breakdown by type of receivables and payables 26


27

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

28

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

29

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

30

Board of Directors

VOLATILITY ARBITRAGE US THEAM EASY UCITS ETF - Annual report at 31 December 2015 3

SICAV THEAM EASY ETF

---------------

Management - Administration - Auditor

---------------

AT 31 DECEMBER 2015

CHAIRMAN

Mr Laurent Gaude

MANAGING DIRECTOR

(Director)


DIRECTORS


Mr Sébastien Denry


Mr Guido Stucchi

STATUTORY AUDITOR

Cabinet PWC, represented by Mr Benjamin Moise

Board of Directors


List of mandates and positions held in any company by corporate officers of THEAM EASY ETF SICAV during the financial year ended 31 December 2015

Mr Laurent Gaude


SICAV - THEAM EASY ETF Chairman



THEAM Deputy Chief Executive Officer



LUXEMBOURG SICAV PARWORLD Director

LUXEMBOURG SICAV THEAM QUANT Director

SICAV - THEAM EASY ETF Chief Executive Officer







Mr Guido Stucchi



Mr Sébastien Denry



Strategy


IDENTIFICATION

CLASSIFICATION:

Diversified

INVESTMENT OBJECTIVE:

The objective of the Volatility Arbitrage US THEAM Easy UCITS ETF sub-fund (hereinafter the "Sub-fund") is to deliver to shareholders an absolute return via a strategy on the implied volatility of the S&P 500 index - Bloomberg code: SPTR500N index, less management and administration fees and structuring costs. This objective will be achieved by replicating, both to the upside and the downside, the performance of the BNP Paribas Volatility Arbitrage US ER strategy index (hereinafter the “Strategy Index”).

BENCHMARK INDEX

In view of its investment strategy, the Sub-fund cannot be comparable to a benchmark. It will however be exposed to the Strategy Index.

Description of the Strategy Index:

The Strategy Index is an index sponsored by BNP Paribas. The calculation agent for the Strategy Index is Solactive AG. The values of the Strategy Index are denominated in USD. The objective of the Strategy index is to offer an absolute return via a strategy on the short/medium term implied volatility of the S&P 500 index, by taking long or short positions on the Chicago CBOE on the implied volatility of the S&P 500 index. The investment universe of the Strategy Index is the universe of the seven futures contracts that expire the earliest, replicating the implied short/medium term volatility of the S&P500 index. The investment strategy of the Strategy Index uses a quantitative mechanism adjusted daily according to a given algorithm that aims to generate positive performance irrespective of market conditions by putting in place long or short exposure to the various futures contracts that make up the investment universe, by minimising roll costs in a contango situation (rising long-term curve) and maximising roll gains in a backwardation situation (declining long-term curve). “Rolling” a futures position involves a cost/gain that is equal to the price difference between the futures contract held and the one into which the position is rolled. The investment strategy of the Strategy Index will then use the distortion of the structure by term of the implied volatility of the S&P 500 index rather than rises or falls of an implied volatility contract. There are costs relating to replication and execution, which depend on the underlying, and which by their very nature and the nature of the strategy vary over time. These costs will be reflected in the value of the Strategy Index and will reduce the Sub-fund's performance. The S&P 500 is an index composed of the 500 largest listed US companies, and is denominated in US dollars. The strategy index is sponsored by BNP Paribas and calculated by Solactive AG. For further information on the Strategy Index, investors are invited to consult the following website: https://indicesglobalmarkets.bnpparibas.com (see page corresponding to each Strategy Index). A comprehensive breakdown of the Strategy Index is available on the same page. The Strategy Index calculation method can be found at: https://indicesglobalmarkets.bnpparibas.com/nr/VALSER.pdf

Publication of the Strategy Index:

The Strategy Index is calculated daily, using the weighted average price (“TWAP”) calculated in Chicago between 13:00 and 15:00. The Strategy Index is available on Reuters and on Bloomberg Reuters: .BNPIVALS Bloomberg: BNPIVALS Index

Strategy


The Strategy Index level can be obtained from the index publisher's website: https://indicesglobalmarkets.bnpparibas.com

Allocation of the components of the Strategy Index:

The components of the Strategy Index, allocation of the weighting and the direction of exposure will be adjusted on a daily basis and are achieved using a quantitative method. The Strategy Index is protected by intellectual property law. Solactive AG and BNP Paribas provide no guarantee as to the results obtained by using the index or the value of the Strategy Index at any given moment of any given day. The Strategy Index is calculated and published by Solactive AG, which endeavours to provide an accurate calculation. Solactive AG’s publication of the Strategy Index does not constitute any kind of opinion on any investment nor the opinion of Solactive AG on an investment in a financial product based on this index.

INVESTMENT STRATEGY

1. Strategy used to achieve the investment objective

The Sub-fund's objective is to replicate changes in the Strategy Index, both to the upside and the downside. To achieve the investment objective, the Sub-fund may invest its assets in money market instruments, in particular as part of efficient portfolio management techniques. The Sub-fund may also invest in financial instruments (equities, etc.), whose return it will exchange for a money market rate by entering into swap contracts. The Sub-fund will also purchase and periodically renew a forward financial instrument that will provide it with synthetic exposure to the Strategy Index. However, in extreme market conditions and as soon as the level of VaR exceeds its target level of 18%, exposure to the Strategy Index will be adjusted downwards. Exposure to the Strategy Index will be reduced in stages. The new exposure to the Strategy Index will be lower than or equal to the target level imposed by the VaR model. By applying the VaR model, exposure to the Strategy Index will range between 0% and 100%. Thus, under these exceptional market conditions, the Strategy Index may be below 100%, as exposure to the Strategy Index will be reduced in

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