BNP Paribas Securities Services

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1 BNP Paribas Securities Services Solvabilité II Le reporting une offre modulable BNP Paribas Securities Services Solvabilité II Le reporting une offre modulable Philippe DENIS Head of FS-Produit-R&D

2 nalyse de la chaine de valeur Pilier 1: Exigences quantitatives Pilier 2: Gouvernance Pilier 3: Reporting Gestion des Données nalyse du Risque nalyse du Passif Décisions Stratégiques Mesure des stratégies Diffusion Modèle Interne OU Modèle Standard llocation d ctifs Comptabilité Générale nalyse Reporting Solvency & Suivi Financier Provision Consolidation dossement du Passif (eg: Risque / devises.) Comptabilité Générale Vision consolidée & Diffusion Reporting Produits BP2S Solvency II Client Provision comptable Données enrichies Information sur SCR Transparisation portefeuilles Collecte données externes Support modèle Standard Support Modèle Standard Société de Gestion & Etablissements Financiers Support données (S2 set ) cquisition données & contrôle Qualité Calcul SCR (actif) Consolidation & Stress Testing ide à la décision Calcul SCR (passif) Consolidation & Stress Testing ide à la décision Offre Fonds Middle Office OTC dmin. Collateral Mgt Financement Finance Moteur Gestion Reporting SCR facts Dirigeants BNP Paribas Securities Services Prestataire externe Externe

3 1 Provision des Données ( Provision) Le périmètre relatif à l envoi de données peut aller de la simple donnée comptable à des informations plus complexes Le schéma illustre notre accompagnement modulable au travers de différentes solutions intégrées : Niveau 1: Données comptables Stock, Quantité, Prix, Niveau 2: Consolidation Données de référence des titres sous-jacents, codification émetteur Information mutli-sources notamment pour les fonds de fonds)/ consolidation de multi-gestion pour fins réglementaires Niveau 3: Enrichissement Classification SCR Données Front office (rating société de gestion, ) Modélisation des instruments (préparation transparence instr. Complexes) Niveau 4: Standardisation Recherche de la cohérence des informations Recalcul du prix sur les obligations par exemple Niveau 5: Transparisation Transparisation des portefeuilles Niveau 1 Niveau 2 Niveau 3 Niveau 4 Niveau 5 Pillar 1: Quantitative Requirements Pillar 2: Supervisor Review Pillar 3: Disclosure Management cquisition Provision of information only Quality ggregating 1 Support (S2 set ) cquisition & Quality control Risk SCR (assets) SCR Hosting & Stress Testing Decision Support Internal Model OR Standard Model Standard Model Support Liability Support for sset Manager &/or Investment Bank SCR (liabilities) Liabilities Hosting & Stress Testing Decision Support Strategy Decisions sset llocation BNP Paribas Securities Services Corporate Balance Sheet Passive Hedging (eg: Risk / Currency overlays) Balance Sheet Engineering Fund Service Middle Office OTC dmin. Collateral Mgt Financing Financial Engineering Measure Strategies Oversight Données Comptables Oversight Monitor Strategies Consolidation Enrichissement Standardisation Transparisation Disclosure Solvency & Financial Condition Reporting Support oversight & Disclosure Reporting Reporting SCR facts Content Mgt

4 2 nalyse Risque de Marché SCR Pillar 1: Quantitative Requirements Pillar 2: Supervisor Review Pillar 3: Disclosure Management Risk Liability Strategy Decisions Measure Strategies Disclosure cquisition Quality Internal Model OR Standard Model sset llocation Corporate Balance Sheet Oversight Solvency & Financial Condition Reporting nalyse SCR peut être menée à partir de : llocation d actifs Mesure des perspectives de risques : llocation d ctifs Taux d Intérêts Crédit Change En parallèle : Considération des risques de scénarios connus à compléter Provision of information only ggregating Support (S2 set ) cquisition & Quality control Standard Model Support 2 SCR (assets) SCR Hosting & Stress Testing Decision Support Support for sset Manager &/or Investment Bank SCR (liabilities) Liabilities Hosting & Stress Testing Decision Support Passive Hedging (eg: Risk / Currency overlays) Balance Sheet Engineering Fund Service Middle Office OTC dmin. Collateral Mgt BNP Paribas Securities Services Stress MONT Financing Financial Engineering Support oversight & Disclosure Reporting Oversight Reporting Monitor SCR facts Strategies Content Mgt L exemple SCR Portfolios Market Risk fact sheet est une illustration de notre offre. Ce service se base sur notre offre de Provision de Données ( Provision) Stress VL

5 SOLVBILITE II - Factsheet Suivi SCR 31 janvier 211 Fund Type : Fixed Income Benchmark : Iboxx Corporate NV : SCR Breakdown by asset type sset type Fixed Income Equit y Global Ot hers Real Est ate Cash % 99 % % % % % 1 % Cost in capit al per 1 invest ment Interest Up 5,9 4 Interest Down -5,3 7 Issuer Top 1 ( ll asset classes included) BNP Paribas ING Groep NV Emetteur Int esa Sanpaolo Sp BPCE S Banco Santander S ssicurazioni Generali Sp Bayerische Mot oren Werke G Groupama Holding Lloyds Banking Group PLC Kingdom of Sweden Barclays PLC t lantia Sp Concentration limits: - : 3 % Disclaimer 1 : Definit ion of t he SCR st abilit y Fixed I ncom e Fund Sam ple Fund annual volat ilit y : 4 % 6,8 4 Equity Property Currency Conc.,2 SCR 9, 6 SOLVENCY II Source : BPSS VR 99.5 % 1YR : 8 SCR volat ilit y (1 2M roll) : Turnover : XX nnual Risk adj. Return XX Interest Up SCR : SCR st abilit y : Interest Down Equity Property Currency Fixed Income Equity Real Estate Cash < BBB : 1.5 % Rat ing Poids 5,15% 4,42% 2,8% 2,8% 2,4% 2,26% 2,25% 2,15% 2,6% 2,3% 2,% 1,95% 32,2 6% Exposure ssicurazioni Generali Sp ING Groep NV Banco Santander S BPCE S Intesa Sanpaolo Sp BNP Paribas Disclaimer 2 : The asset allocat ion and SCR breakdown present ed are t he complet e list of t he ones needed t o comput e against t he liabilit y SCR Conc. uthorised In excess,% 1,% 2,% 3,% 4,% 5,% 6,% COPYRIGHT BPSS 1 SCR Global indicatif Répartition du SCR par actif et monnaie Répartition du SCR par maturité Graphiques des répartitions du SCR (tableau précédent) Représentation graphique de la répartition du SCR par maturité Représentation du SCR de concentration 1 premiers émetteurs par poids Répartition du SCR par notation Représentation graphique de la répartition du SCR par notation Maturity bucket [ ; 1 year] [ 1 ; 3 years] [ 3 ; 5 years] [ 5 ; 7 years] [ 7 ; 1 years] [ 1 ; + years] TOTL Solvency II Fact sheet - Fixed income fund sample - 31t h january 211 This sect ion analyses t he fixed income asset class (99% um) SCR Breakdown by maturity bucket Cost in capit al is expressed in port folio base currency 35, 3, 25, 2, 15, 1, 5, TOTL, -5, SCR Breakdown by rating Interest Up Interest Down Concentration, , , , , ,1, , , , , ,5, , , , , ,27 Cash Flow , , , , 97 45, 8 4, , , , , , , , ,66, , , , ,36 Rating Interest Up Interest Down Concentration , , , , , , , ,61 BBB , , , ,93 Unrat ed,,,, Cost in capit al is expressed in port folio base currency 5, 4, 3, 2, 1,, -1,, Interest Up Interest Down Concentration Cash flow : [-1an] B : [1-3ans] C : [3-5ans] D : [5-7ans] E : [7-1ans] F : [1-15ans] Cash Flow 96 9, , , , , ,67 Interest Up Interest Down BBB Unrated Concentration Cash flow Source : BPSS COPYRIGHT BPSS 2

6 2 SOLVBILITE II - Factsheet Suivi SCR Solvency II Fact sheet - Fixed income fund sample - 31t h january 211 Source : BPSS Solvency Capit al Requirement evolut ion over t he last 12 mont hs Répartition historique du SCR par actif et monnaie Graphiques de l évolution historique des différentes répartitions du SCR (tableau précédent) 8, 6, 4, 2,, -2, 2/ 21 3/ 21 4/ 21 5/ 21 6/ 21 7/ 21 8/ 21 9/ 21 1/ 21 11/ 21 12/ 21 1/ 211 NV (M ) 993,43 1 6, ,84 961,94 938,69 968,31 986,6 923,39 876,35 825,8 88,63 Interest Up (%) 4,96 5,28 4,77 4,44 4,83 5,2 3,67-4,9 4,53 6,3 5,4 5,43 Interest Down ( %) -4,45-4,71-4,26-4,7-4,37-3,87-4,47-3,35-4,49-4,86 (%) 6,92 7,6 7,2 7,12 7,15 6,94 7, 7,28 7,32 7,7 6,92 Equity (%),,,,,,,,,,, Property (%) 84,57 88,77 86,16 8,74 71,15 86, 5,94-5,37 6,84,,,,2 73, 2,61%,,,,,,,,,,, Currency (%),,,,,,,,,,, Conc. (%),3,3,3,3,3,3,3,3,3,3,2 Tot al SCR (M ) févr.-1 mars-1 avr.-1 mai-1 juin-1 juil.-1 août-1 sept.-1 oct.-1 nov.-1 déc.-1 janv.-11 8,97 83,96 77,91 79,22 83,13 71,66 %var - 4,97% -2,93% -6,3%,29% 3,7% -7,21% 1,68% 4,93% -13,8% -,71% -4, -6, -8, Interest Up Interest Down Concentration Total SCR over time 9, Représentation de la stabilité historique du SCR 85, 8, 75, 7, févr.-1 mars-1 avr.-1 mai-1 juin-1 juil.-1 août-1 sept.-1 oct.-1 nov.-1 déc.-1 janv.-11 Focus on t he rat ing allocat ion over t he last 12 mont hs Répartition historique du SCR par notation 2/ 21 3/ 21 4/ 21 5/ 21 6/ 21 7/ 21 8/ 21 9/ 21 1/ 21 11/ 21 12/ 21 1/ 211 verage SCR BBB CCC Unrat ed % SCR % SCR % SCR % SCR % SCR % SCR -1,24,56 17,68 1,28 54,82 4,85 22,89 2,71,12,1 1,4, -2,3,12 15,22 1, 54,22 4,77 25,7 3,16,, 2,89,,14 1,43,9,28,33,14 15,16 16,4 16,84,96,98,99 5,72 52,98 53,38 4,31 4,3 4,25 27,7 26,65 27,62 3,42 3,32 3,34,,,,,, 5,1 2,27,,,, 1,42,52 17,38 1,2 51,5 4,13 26,76 3,24,, 2,27, 1,21,21 17,38,92 53,1 3,96 26,5 3,14,, 1,25, -1,42 -,74,,,,1 1,1,,, 16,6 14,25 12,94 13,17 12,38,92,8,75,77,77 53,86 55,52 57,52 6,82 61,14 4,3 4,47 4,61 4,93 5,9 28,9 29,95 28,4 25,53 25,35 3,44 3,64 3,41 3,18 3,29,,,,,,,,,, 1,18,27 1,14,48 1,13,,,,,,27,93 4,5 3,27,, COPYRIGHT BPSS 3

7 DN* SCR Enhanced sset Monitoring * DN ( Navigator dvanced) SCR Monitoring 7

8 DN* SCR Enhanced sset Monitoring 8

9 DN* SCR Enhanced sset Monitoring 9

10 7 Pilier 3 - Reporting Contenu du SFCR et RTS (intègre des informations SFCR) Structure: Executive summary ctivités et performance Gouvernance d entreprise Profile de risque Bilan réglementaire Pilotage du capital Reporting quantitatif Public SFCR Qualitatif, structure harmonisée, annuel Possibilité d inclure les données qualitatives Données quantitatives définies au pilier 3 Pillar 1: Quantitative Requirements Pillar 2: Supervisor Review Pillar 3: Disclosure Management cquisition Provision of information only Quality ggregating Support (S2 set ) cquisition & Quality control Risk SCR (assets) SCR Hosting & Stress Testing Decision Support Internal Model OR Standard Model Standard Model Support Liability Support for sset Manager &/or Investment Bank SCR (liabilities) Liabilities Hosting & Stress Testing Decision Support Strategy Decisions sset llocation BNP Paribas Securities Services Corporate Balance Sheet Passive Hedging (eg: Risk / Currency overlays) Balance Sheet Engineering Fund Service Middle Office OTC dmin. Collateral Mgt Privé RTS Financing Financial Engineering Measure Strategies Oversight Oversight Monitor Strategies Disclosure Solvency & Financial Condition Reporting Support oversight & Disclosure Reporting 7Reporting SCR facts Content Mgt Intègre le SFCR détail annuel Plus de données qualitatives, plus détaillées, structure harmonisée, fréquence annuelle Données quantitatives, harmonisées annuelle et trimestrielle ou spécifique nationale

11 Fund Type : Fixed Income Benchmark : Iboxx Corporat e NV : sset type Fixed Income Equit y Global Ot hers Real Est at e Cash % 99 % % % % % 1% Cost in capital per 1 invest ment Interest Up 5,94 Fund annual v olat ilit y : 4 % SCR : VR 99.5 % 1 YR : 8 SCR volat ilit y (12 M roll) : Turnover : XX SCR st abilit y : nnual Risk adj. Return XX Interest Down -5,37 6,84 Equity Property Currency Emetteur Rating Poids Exposure ssicurazioni Generali Sp BNP Paribas 5,15 % Int esa Sanpaolo Sp 4,42 % uthorised BPCE S 2,8 % In ex ces s ING Groep NV Banco Santander S 2,8 % ING Groep NV 2,4 % ssicurazioni Generali Sp 2,26 % Banco Santander S Bayerische Mot oren Werke G 2,25 % Groupama Holding 2,15 % Lloyds Banking Group PLC 2,6 % BPCE S Kingdom of Sweden 2,3 % Barclays PLC 2, % t lant ia Sp 1,95 % Intesa Sanpaolo Sp 32,26 % Concent ration limits: - : 3 % < BBB : 1.5 % BNP Paribas,% 1,% 2,% 3,% 4,% 5, % 6,% Disclaimer 1 : Defi nit ion of t he SCR st abilit y COPYRIGHT Disclaimer 2 : The asset allocat ion and SCR breakdown present ed are t he complet e list of t he ones needed t o compute against t he liabilit y SCR BPSS 1 Conc.,2 Interest Up Interest Down Fixed Income Equity Real Estate Cash Equity Property Currency Conc. SCR 9, 6 Processus, Culture, Discipline, Certification, Experts 31 janvier 211 Fixed I ncom e Fund Sam ple SOLVENCY II Source : BPSS SCR Breakdown by asset t ype Issuer Top 1 ( ll asset classes included) dministration Fonds dministration fonds Gestion des données Calculs SCR Reporting SCR Ptf & Données Contribution reporting pilier3 dministration Fonds Solutions d accompagnement Middle Offce Gestion produits dérivés & gestion du collatéral Valoriosation d instruments complexes

12 The information contained within this document ( information ) is believed to be reliable but BNP Paribas Securities Services does not warrant its completeness or accuracy. Opinions and estimates contained herein constitute BNP Paribas Securities Services judgment and are subject to change without notice. BNP Paribas Securities Services and its subsidiaries shall not be liable for any errors, omissions or opinions contained within this document. This material is not intended as an offer or solicitation for the purchase or sale of any financial instrument. For the avoidance of doubt, any information contained within this document will not form an agreement between parties. dditional information is available on request. BNP Paribas Securities Services is incorporated in France with limited liability and is authorised by the CECEI and supervised by the MF. BNP Paribas Securities Services' London branch is subject to limited regulation by the Financial Services uthority for the conduct of its investment business in the United Kingdom and is a member of the London Stock Exchange. BNP Paribas Trust Corporation UK Limited and Investment Fund Services Limited are wholly owned subsidiaries of BNP Paribas Securities Services, incorporated in the UK and are authorised and regulated by the Financial Services uthority. Details on the extent of our regulation by the Financial Services uthority are available from us on request. The services described in this document, if offered in the U.S., are offered through BNP Paribas and its subsidiaries and its affiliates. Securities products are offered through BNP Paribas Securities Corp., a subsidiary of BNP Paribas, a broker-dealer registered with the Securities and Exchange Commission and a member of SIPC, the Financial Industry Regulatory uthority, New York Stock Exchange and other principal exchanges.