1 Global Capital Derivatives Awards 2017

Derivatives Bank of the Year

The Banker Investment Banking Awards 2017 Most Innovative Investment Bank for

Climate Change and Sustainability

IFR Awards 2017 Derivatives House of

the Year

BNP Paribas Corporate & Institutional Banking March 2019

MARKIT INDICES ITRAXX EUROPE MAIN INDEX

SERIES 31

MARKETING COMMUNICATION

2

MARKETING COMMUNICATION | MARCH 2019

INDEX DESCRIPTION

The Markit iTraxx Europe Main index iTraxx comprises 125 equally weighted credit default swaps on investment grade (IG) European corporates. The 125 Reference Entities are selected as the most liquid ones and are subject to the following filters:

o The Reference Entities are sorted according to their liquidity

o Selected Reference entities are considered the most stable ones in Europe1

o The Index must have the following maximum sector distribution:

The Index constitution is reviewed (according to liquidity criteria and current credit rating) every 6 months and a new series is launched: this is known as index rolling. The composition of a given series remains the same until maturity

ITRAXX MAIN S31 REFERENCE ENTITIES COUNTRY DISTRIBUTION ITRAXX MAIN S31 REFERENCE ENTITIES INDUSTRY DISTRIBUTION

ITRAXX MAIN SERIES 31 OVERVIEW

iTraxx Main S31 is the latest iTraxx Main series, launched on 20 March 2019.

The Index trades in four different maturities: 3Y (20-Jun-22), 5Y (20-Jun-24), 7Y (20-Jun-26), and 10Y (20-Jun-29).

These names proceed from 14 Countries across 18 Industries.

The Reference Entities have a current average rating of BBB+ (current minimum rating: BBB-).

Sources: Bloomberg , Markit as of March 2019. Sources: Bloomberg, Markit as of March 2019.

ITRAXX MAIN S31 REFERENCE ENTITIES RATING DISTRIBUTION

Sources: Bloomberg as of March 2019.

20th Mar. 2019 New on-the-run series

Maturity in Jun. 2024

20th Jun. 2019 20th Sep. 2019 New on-the-run series Maturity in Dec. 2024

20th Dec. 2019 20th Mar. 2020

Series 31 is on-the-run Series 31 gets off -the-run

Series 32 gets on-the-run

Sources: Markit as of March 2019. For illustrative purpose only. Additional information is available at: https://ihsmarkit.com/index.html. 1 Only the reference entities with a credit rating of BBB- luding negative outlook

if the minimum rating is attributed).

Illustration of the roll process

30 from Autos & Industrials

25 from Consumers

20 from Energy

20 from TMT

30 from Financials

United Kingdom, 26%

France, 20%

Germany, 16%

Netherlands, 11%

Switzerland, 6%

Italy, 5%

Spain, 5%

Sweden, 2%Others, 9%

Financial, 16%

Utilities, 11%

Consumer, 9%

Telecom, 8%

Insurance, 8%Retail, 6%Cable-Media,

7%

Auto, 6%

Chemicals, 6%

Building, 4%

Energy, 5%

Others, 14%

0%

10%

20%

30%

AA2 AA3 A1 A2 A3 Baa1 Baa2 Baa3 NA

Moody's rating

PRINCIPAL PROTECTED GROWTH | INCOME

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0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

0

1

2

3

HISTORICAL NUMBER OF CREDIT EVENTS PER SERIES

Sources: Markit as of March 2019. For illustrative purpose only. Additional information is available at: https://ihsmarkit.com/index.html.

ROLL INFORMATION ITRAXX MAIN S230 TO S31 Added Reference Entities Removed Reference Entities

ASTRAZENECA PLC

CNH INDUSTRIAL N.V.

STORA ENSO OYJ

EXPERIAN FINANCE PLC

RECKITT BENCKISER GROUP PLC

TATE & LYLE PUBLIC LIMITED COMPANY

ATLANTIA S.P.A.

UNIBAIL-RODAMCO SE

WENDEL

CECONOMY AG

MARKS AND SPENCER P.L.C.

SUEDZUCKER AG

Sources: Bloomberg, Markit as of March 2019.

Not matured

Series/Launch date

ITRAXX MAIN INDEX SERIES AT 5Y ITRAXX MAIN INDEX SERIES AT 3Y

Not matured

Series/Launch date

MARKETING COMMUNICATION | MARCH 2019

19

Credit Events (lhs) Default rate (rhs)

Credit Events (lhs) Default rate (rhs)

19

Not matured

Series/Launch date

ITRAXX MAIN INDEX SERIES AT 10Y ITRAXX MAIN INDEX SERIES AT 7Y

Not matured

Series/Launch date

19

Credit Events (lhs) Default rate (rhs)

Credit Events (lhs) Default rate (rhs)

19

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

0

1

2

3

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

0

1

2

3

4

5

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

0

1

2

3

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CREDIT EVENTS DETAILS

MARKETING COMMUNICATION | MARCH 2019

Credit Event Date Reference Entity Impacted Series Recovery Rate Type

12/01/2009 TECHNICOLOR1 1 to 7 77.75% Bankruptcy

06/20/2016 PORTUGAL TELECOM INTERNATIONAL

FINANCE B.V. 5

8 to 15 20.00% Bankruptcy

08/02/2017 BANCA MONTE DEI PASCHI DI SIENA S.P.A. 1 to 17 99.88% Restructuring

intervention

Sources: Markit as of March 2019. For illustrative purpose only. Additional information is available at: https://ihsmarkit.com/index.html. 1 Thompson SA has also experienced a Restructuring on 06/15/2009.

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COMPONENTS # Reference entity S&P 1 ACCOR BBB-

2 AEGON N.V. A- A3

3 KONINKLIJKE AHOLD DELHAIZE N.V. BBB Baa1

4 AKZO NOBEL N.V. BBB+ Baa1

5 ALLIANZ SE AA Aa3

6 ANGLO AMERICAN PLC BBB Baa2

7 ANHEUSER-BUSCH INBEV A- Baa1

8 ASTRAZENECA PLC BBB+ A3

9 AUCHAN HOLDING BBB

10 AXA A A2

11 BAE SYSTEMS PLC BBB Baa2

12 BARCLAYS PLC BBB Baa3

13 BASF SE A A1

14 BRITISH AMERICAN TOBACCO P.L.C. BBB+ Baa2

15 BAYER AKTIENGESELLSCHAFT BBB Baa1

16 BBVA, SOCIEDAD ANONIMA A- A3

17 INTESA SANPAOLO SPA BBB Baa1

18 BERTELSMANN SE & CO. KGAA BBB+ Baa1

19 BAYERISCHE MOTOREN WERKE

AKTIENGESELLSCHAFT A+ A1

20 BOUYGUES BBB+ A3

21 BP P.L.C. A- A1

22 SKY LIMITED BBB Baa2

23 BRITISH TELECOMMUNICATIONS PUBLIC LTD CO. BBB Baa2

24 CARLSBERG BREWERIES A/S Baa2

25 CARREFOUR BBB+ Baa1

26 CENTRICA PLC BBB+ Baa1

27 DAIMLER AG A A2

28 COMPAGNIE FINANCIERE MICHELIN SCMA A- A3

29 CNH INDUSTRIAL N.V. BBB Baa3

30 AVIVA PLC A- A2

31 COMMERZBANK AKTIENGESELLSCHAFT A- A1

32 COMPASS GROUP PLC A A3

33 CONTINENTAL AKTIENGESELLSCHAFT BBB+ Baa1

34 CREDIT SUISSE GROUP AG BBB+ Baa2

35 CREDIT AGRICOLE SA A+ A1

36 DANONE BBB+ Baa1

37 DANSKE BANK A/S A A2

38 DEUTSCHE BANK AKTIENGESELLSCHAFT BBB+ A3

39 DEUTSCHE TELEKOM AG BBB+ Baa1

40 DIAGEO PLC A- A3

41 AIRBUS SE A+ A2

42 ELECTRICITE DE FRANCE A- A3

43 EDP FINANCE B.V. BBB- Baa3

44 AKTIEBOLAGET ELECTROLUX A-

45 ENEL S.P.A. BBB+ Baa2

46 ENI S.P.A. A- Baa1

47 E.ON SE BBB Baa2

48 FORTUM OYJ BBB Baa2

49 ORANGE BBB+ Baa1

50 NATURGY ENERGY GROUP,S.A. BBB Baa2

51 ENGIE A- A2

52 ASSICURAZIONI GENERALI - SOCIETA PER AZIONI Baa1

53 GLENCORE INTERNATIONAL AG BBB+

54 EXPERIAN FINANCE PLC A- Baa1

55 HANNOVER RUECK SE AA-

56 HEIDELBERGCEMENT AG BBB- Baa3

57 HEINEKEN N.V. BBB+ Baa1

58 HENKEL AG & CO. KGAA A A2

59 LAFARGEHOLCIM LTD BBB Baa2

60 HSBC HOLDINGS PLC A A2

61 IBERDROLA, S.A. BBB+ Baa1

62 IMPERIAL BRANDS PLC BBB Baa3

63 ING GROEP N.V. A- Baa1

# Reference entity S&P 64 ITV PLC BBB- Baa3

65 KONINKLIJKE KPN N.V. BBB- Baa3

66 LANXESS AKTIENGESELLSCHAFT BBB Baa2

67 LLOYDS BANKING GROUP PLC BBB+ A3

68 DEUTSCHE LUFTHANSA AKTIENGESELLSCHAFT BBB- Baa3

69 LVMH MOET HENNESSY LOUIS VUITTON A+

70 MEDIOBANCA BANCA DI CREDITO FINANZIARIO

SOCIETA PER AZIONI BBB

71 ARCELORMITTAL BBB- Baa3

72 MUENCHENER RUECKVERSICHERUNGS-

GESELLSCHAFT AKTIENGESELLSCHAFT IN MUENC Aa3

73 NATIONAL GRID PLC A- Baa1

74 NESTLE S.A. AA- Aa2

75 NEXT PLC BBB Baa2

76 BNP PARIBAS A Aa3

77 PEARSON PLC BBB Baa2

78 PERNOD RICARD BBB Baa2

79 KONINKLIJKE PHILIPS N.V. BBB+ Baa1

80 KERING BBB+

81 PRUDENTIAL PUBLIC LIMITED COMPANY A A2

82 PUBLICIS GROUPE SA BBB+ Baa2

83 COOEPERATIEVE RABOBANK U.A. A+ Aa3

84 THE ROYAL BANK OF SCOTLAND GROUP PUBLIC

LIMITED COMPANY BBB- Baa2

85 RECKITT BENCKISER GROUP PLC A- A3

86 RELX PLC BBB+

87 RENAULT BBB Baa3

88 REPSOL, S.A. BBB Baa1

89 ROLLS-ROYCE PLC BBB+ A3

90 ROYAL DUTCH SHELL PLC AA- Aa2

91 INNOGY SE Baa3

92 SANOFI AA A1

93 BANCO SANTANDER, S.A. A A2

94 SSE PLC BBB+ Baa1

95 SES BBB- Baa2

96 SIEMENS AKTIENGESELLSCHAFT A+ A1

97 SOCIETE GENERALE A A1

98 SODEXO A-

99 SOLVAY BBB Baa2

100 COMPAGNIE DE SAINT-GOBAIN BBB Baa2

101 EQUINOR ASA AA- Aa2

102 STMICROELECTRONICS N.V. BBB Baa3

103 STANDARD CHARTERED PLC BBB+ A2

104 STORA ENSO OYJ Baa3

105 SWISS REINSURANCE COMPANY LTD AA- Aa3

106 TATE & LYLE PUBLIC LIMITED COMPANY BBB Baa2

107 TELEFONICA, S.A. BBB Baa3

108 TELENOR ASA A A3

109 TELIA COMPANY AB BBB+ Baa1

110 TELEKOM AUSTRIA AKTIENGESELLSCHAFT BBB Baa1

111 TOTAL SA A+ Aa3

112 UBS GROUP AG A-

113 UNICREDIT, SOCIETA PER AZIONI BBB Baa1

114 UNILEVER N.V. A+ A1

115 UNITED UTILITIES PLC BBB+ Baa1

116 VALEO BBB Baa2

117 VINCI A- A3

118 VIVENDI BBB Baa2

119 VEOLIA ENVIRONNEMENT BBB Baa1

120 VODAFONE GROUP PUBLIC LIMITED COMPANY BBB+ Baa2

121 AKTIEBOLAGET VOLVO BBB+ Baa1

122 VOLKSWAGEN AKTIENGESELLSCHAFT BBB+ A3

123 WOLTERS KLUWER N.V. BBB+ Baa1

124 WPP 2005 LIMITED

125 ZURICH INSURANCE COMPANY LTD AA- Aa3

Sources: Markit as of March 2019. For illustrative purpose only. Additional information is available at: https://ihsmarkit.com/index.html.

MARKETING COMMUNICATION | MARCH 2019

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DISCLAIMER

This document is CONFIDENTIAL AND FOR DISCUSSION PURPOSES ONLY; it constitutes a marketing communication and has been prepared by a Sales and Marketing function within BNP Paribas and/or its subsidiaries or affiliates (collectively or . As a confidential document it is submitted to selected recipients only and it may not be made available (in whole or in part) to any other person without BNP

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None of BNP Paribas, its members, directors, officers, agents or employees accepts any responsibility or liability whatsoever or makes any representation or warranty, express or implied, as to the accuracy or completeness of the information, or any opinions based thereon, contained in this document and it should not be used in place of professional advice. Additional information may be provided on request, at our discretion. Any scenarios, assumptions, historical or simulated performances, indicative prices or examples of potential transactions or returns are included for illustrative purposes only. Past performance is not indicative of future results. Investors may get back less than they invested. BNP Paribas gives no assurance that any favourable scenarios described are likely to happen, that it is possible to trade on the terms described herein or that any potential returns illustrated can be achieved. 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This document is intended for, and is directed at, (a) Professional Clients and Eligible Counterparties as defined by the European Union Markets in Financial Instruments Directive and (b) where relevant, persons who have professional experience in matters relating to investments falling within Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005, and at other persons to whom it may lawfully be communicated (together . Any investment or investment activity to which this document relates is available only to and will be engaged in only with Relevant Persons. Any person who is not a Relevant Person should not act or rely on this document or its content. This document is being communicated by BNP Paribas London Branch, 10 Harewood Avenue, London NW1 6AA; tel: +44 (0)20 7595 2000; fax: +44 (0)20 7595 2555 (www.bnpparibas.com). Incorporated in France with Limited Liability. Registered Office: 16 boulevard des Italiens,75009 Paris, France. 662 042 449 RCS Paris. BNP Paribas London Branch is lead supervised by the European Central Bank (ECB) and the Autorité de Contrôle Prudentiel et de Résolution (ACPR). BNP Paribas London Branch is authorised by the ECB, the ACPR and the Prudential Regulation Authority and subject to limited regulation by the Financial Conduct Authority and Prudential Regulation Authority. Details about the extent of our authorisation and regulation by the Prudential Regulation Authority, and regulation by the Financial Conduct Authority are available from us on request. BNP Paribas London Branch is registered in England and Wales under no. FC13447. © BNP Paribas 2018. All rights reserved. iTraxx® is a registered trade mark of International Index Company Limited. iTraxx® is a trade mark of International Index Company Limited and has been licensed for the use by BNP Paribas. 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No representation, warranty or condition, express or implied, statutory or otherwise, as to condition, satisfactory quality, performance, or fitness for purpose are given or assumed by International Index Company Limited or any of the iTraxx Associates in respect of iTraxx® derivatives products or any data included in such iTraxx® derivatives products or the use by any person or entity of iTraxx® derivatives products or that data and all those representations, warranties and conditions are excluded save to the extent that such exclusion is prohibited by law. None of International Index Company Limited nor any of the iTraxx Associates shall have any liability or responsibility to any person or entity for any loss, damages, costs, charges, expenses or other liabilities whether caused by the negligence of International Index Company Limited or any of the iTraxx Associates or otherwise, arising in connection with the use of iTraxx® derivatives products or the iTraxx® indices.

MARKETING COMMUNICATION | MARCH 2019