1. SECURITISATION - UCITS LOANS
Cash flow-driven investments
For Professional Investors
Marketing Communication
STephane blanchoz, DAVID FAVIER
London, 3 October 2017

2. An investment platform with almost 50 credit professionals
PRIVATE DEBT AND REAL ASSETS
David Bouchoucha
Global loans
Real assets, SME lending
and structured finance
SME advanced solutions
Structured finance
SME lending
Infrastructure debt
Real-estate debt
Business development
Structuring
Drawing upon the group’s wider resources
ESG1 Research
Investment Research
Financial Engineering
Fixed Income platform
Global Trading Functions
Source: BNP Paribas, July ESG: Environmental, Social and Governance
See risk factors p. 14
09/11/2018 2

3. Banking disintermediation
The term of “banking disintermediation” refers to a situation ...
… where banks no longer hold the loans they originated on their balance sheets but sell them off to financial investors
… where borrowers go directly to the capital markets rather than to banks to obtain credit
… where savers invest directly in securities rather than leaving their money in savings accounts on banks’ balance sheets 
Financial Market 
Borrowers
Investors 
Political willingness to reduce economy’s dependence on bank financing:
Increased presence of non-bank financial institutions
Transformation of loans into tradable securities
See risk factors p. 14

4. Private debt funds
High concentration of risk in a limited universe of firms
No/little liquidity
These funds are not eligible for many investors (non-UCITS funds)
Source: Preqin, June 2016
See risk factors p. 14

5. Access to loan portfolios with tradable securities
Transformation of loans into
tradable and
liquid securities
Loans to end-borrowers
Securities
Funds (UCITS)
Developed in the 1960s
Efficient tool for banks to manage their balance sheet: refinancing and risk transfer
Floating rate bonds with regular cash flows
Securities backed by granular portfolios of loans
UCITS funds can invest in these securities
See risk factors p. 14

6. Historical perspective
Structured Finance1: Cumulated defaults by region (2007 to end 2016 )
United-States
Europe
Efficient tool for refinancing and risk transfer
Inappropriate use led to dramatic consequences (United States)
1Source: Standard & Poor’s, End 2016, cumulated defaults observed on securitised assets issued in 2007 and before.
See risk factors p. 14

7. Developments since 2007 normalisation Regulation Transparency
Governance
Transparency
Risk assessment
normalisation
Promotion
Economy refinancing
See risk factors p. 14

8. Credit spreads (basis points) by rating, Europe1
Risk premium
Credit spreads (basis points) by rating, Europe1
Stats sur CLO nombre taille emis ytd
WA default des LL
1 Sources:
Securitisation: Average discount margin by rating for blended sectors of the European securitisation market (source Markit, 31 August 2017)
Corporate bonds: Average Libor option-adjusted spread by rating for corporate bonds with comparable duration to ABS (source Merril, ER00, 31 August 2017)
Based on available ratings from Moody's, S&P or Fitch.
Past spreads are not a reliable indicator of future spreads
See risk factors p. 14

9. Access to loan portfolios: BNPP AM strategies
AAA European ABS strategy
IG European ABS
strategy
Flexible ABS
strategy
Instruments
Listed securities
Investment universe
Asset-Backed Securities
Investment horizon
1 year
3 years
5 years
Perf. target (net) 1
E3M + [0.50]%
E3M + [1.50]%
E3M + [3.50]%
Volatility range2
[0.20 to 0.30]%
[1.0 to 2.0]%
[2.0 to 5.0]%
1 The investments in these strategies are subject to market fluctuations and the risks inherent in investments in securities. The value of investments and the income they generate may go down as well as up and it is possible that investors will not recover their initial outlay, the strategies described being at risk of capital loss. For a Complete description and definition of risks, please see the risk factors p.14.
2 Historical volatilities observed over the last 5 years (annualised data) - Source : BNPP AM, 31 August 2017 Past performance or achievement is not indicative of current or future performance
See risk factors p. 14

10. Overview of UCITS strategies
AAA European ABS strategy
IG European ABS strategy
Flexible ABS strategy
* CLOs, 85% of which from core-countries
Data as of August 31st Any references to specific countries and sectors should not be construed as recommendations to buy, sell or hold investments in such countries and sectors.
See risk factors p. 14

11. Zoom on Senior European Securitisation strategy
IG European ABS (last five years)
ECB’s support to the Economy
ABS market rebranding initiatives, ABSPP
“Grexit” fears, China/oil worries, Brexit vote
Search for yield
carry + spread tightening
Mario Draghi’s “Whatever it takes”
Zoom on recent performance trends (STESF)
Solution for stable cash-balances management, especially designed for investors hit by negative returns on MMF
Performance above target, with smooth oscillations around average return
Apparent volatility can be explained by major market events seen recently
See risk factors p. 14
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12. Track record E3M + 0.78% 0.26% E3M + 2.87% 1.31% E3M + 5.43% 2.99%
AAA European ABS (since inception)
IG European ABS (last 5 years)
Flexible ABS (last 5 years)
Net performance (Since inception, annualised)
E3M %
Volatility (Since inception, annualised)
0.26%
Net performance (Last five years, annualised)
E3M %
Volatility (Last 5 years, annualised)
1.31%
Net performance (Last five years, annualised)
E3M %
Volatility (Last 5 years, annualised)
2.99%
Source: BNP Paribas AM, performances and volatilities are annualised as of 31 August 2017 for the last five years (Senior European Sec. Strategy and Flexible Sec.Strategy) and since inception (2 September 2013) for the Short Term European Sec. Strategy. Past performance is not a guide to future performance
See risk factors p. 14

13. UCITS strategies – Exposure to loan portfolios
Asset-Backed Securities in a context of disintermediation
MAIN STRENGTHS
Floating-rate securities
Regular cash flows
Income premium (versus corporate bonds)
CURRENT ENVIRONMENT
Controlled disintermediation
Expectations of rising interest rates
Limited default rate
BNP PARIBAS ASSET MANAGEMENT
Available product range
Solid track record
Team has worked through different economic cycles
See risk factors p. 14

14. Risk factors
The fluctuation risk in interest rates related to the use of structured products : this is the risk of lower rate instruments arising from changes in interest rates. It is measured by a sensitivity of between -1 and +2. In the event of rising interest rates, the value of the products invested in fixed rate can drop and lower the net asset value of the fund.
Risk associated with securitisation instruments : credit risk is mainly based but not only on the underlying assets quality. Those assets may be different (mortgages, consumer loans , corporate loans or other debt type). Those instruments are complex financial packages, which include default risk depending on "credit enhancement " specific to each instrument. Finally they can carry specific risks, including market and / or liquidity risk . Such risks may result the fund’s closure or the fall of it net asset value.
Liquidity risk: There is a risk that investments made in sub-funds may become illiquid due to an over-restricted market (often reflected by a very broad bid-ask spread or by substantial price movements), or if their “rating” declines or their economic situation deteriorates.
Credit risk: This is the risk that may derive from the rating downgrade of a bond issuer to which the sub-funds are exposed, which may therefore cause the value of the investments to go down. Sub-funds investing in high-yield bonds present a higher-than-average risk due to the greater fluctuation of their currency or the quality of the issuer.
Risk of capital loss: Investors are warned that the performance of the fund which offers no guarantee, may not be consistent with its objectives and the invested capital ( after deduction of subscription fees) may not be fully recovered .
Risk related to investments in high yield securities : the Fund should be considered as partly speculative and intended specially for investors aware of the inherent risks linked to invest in securities with a low rating or without it. Thus, the use of High Yield securities may result in a risk of greater decline in NAV.
Counterparty risk: this risk relates to the quality of the counterparty with whom the funds do business or enter into various transactions. This risk reflects the counterparty’s ability to honor its commitments (payment, delivery, repayment, etc.). 14

15. Disclaimer
BNP PARIBAS ASSET MANAGEMENT UK Limited, “the investment company”, is authorised and regulated by the Financial Conduct Authority. Registered in England No: , registered office: 5 Aldermanbury Square, London, England, EC2V 7BP, United Kingdom.
This material is produced for information purposes only and does not constitute:
1. an offer to buy nor a solicitation to sell, nor shall it form the basis of or be relied upon in connection with any contract or commitment whatsoever or
2. investment advice.
This material makes reference to certain financial instruments authorised and regulated in their jurisdiction(s) of incorporation.
No action has been taken which would permit the public offering of the financial instrument(s) in any other jurisdiction, except as indicated in the most recent prospectus and the Key Investor Information Document (KIID) of the relevant financial instrument(s) where such action would be required, in particular, in the United States, to US persons (as such term is defined in Regulation S of the United States Securities Act of 1933). Prior to any subscription in a country in which such financial instrument(s) is/are registered, investors should verify any legal constraints or restrictions there may be in connection with the subscription, purchase, possession or sale of the financial instrument(s).
Investors considering subscribing to the financial instrument(s) should read carefully the most recent prospectus and Key Investor Information Document (KIID) and consult the financial instrument(s’) most recent financial reports. These documents are available on the website.
Opinions included in this material constitute the judgement of the investment management company at the time specified and may be subject to change without notice. The investment management company is not obliged to update or alter the information or opinions contained within this material. Investors should consult their own legal and tax advisors in respect of legal, accounting, domicile and tax advice prior to investing in the financial instrument(s) in order to make an independent determination of the suitability and consequences of an investment therein, if permitted. Please note that different types of investments, if contained within this material, involve varying degrees of risk and there can be no assurance that any specific investment may either be suitable, appropriate or profitable for an investor’s investment portfolio.
Given the economic and market risks, there can be no assurance that the financial instrument(s) will achieve its/their investment objectives. Returns may be affected by, amongst other things, investment strategies or objectives of the financial instrument(s) and material market and economic conditions, including interest rates, market terms and general market conditions. The different strategies applied to financial instruments may have a significant effect on the results presented in this material. Past performance is not a guide to future performance and the value of the investments in financial instrument(s) may go down as well as up. Investors may not get back the amount they originally invested.
The performance data, as applicable, reflected in this material, do not take into account the commissions, costs incurred on the issue and redemption and taxes.
This document is directed only at person(s) who have professional experience in matters relating to investments (“relevant persons”). Any investment or investment activity to which this document relates is available only to and will be engaged in only with Professional Clients as defined in the rules of the Financial Conduct Authority. Any person who is not a relevant person should not act or rely on this document or any of its contents.
All information referred to in the present document is available on
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