2020 Universal registration document and annual financial report - BNP PARIBAS 95

2CorPorate GovernanCe and internal Control

2

Report on Corporate governance

➤ ASSUMPTIONS USED TO VALUE THE LTIP IN ACCORDANCE WITH THE METHOD ADOPTED FOR THE CONSOLIDATED FINANCIAL STATEMENTS

Valuation at award date

Award date of the plan 04/02/2020 04/02/2021

Opening BNP Paribas share price EUR 48.72 EUR 42.03

Opening level of the EURO STOXX Banks index EUR 92.11 EUR 74.41

Zero-coupon rate Euribor Euribor

Volatility of the BNP Paribas share price 19.48% 21.25%

Volatility of the EURO STOXX Banks index 18.36% 24.11%

Correlation between the BNP Paribas share and the EURO STOXX Banks index 89.77% 92.13%

Financial model used Monte-Carlo Monte-Carlo

Fair value of the plan at award date(*) 39.56% 41.59%

(*) As a percentage of the amount awarded.

Valuation on closing date

Initial value of the share at the

award date Fair value at

date of award(3)

Valuation at closing date

31/12/2019

Valuation at closing date

31/12/2020

Closing price of BNP Paribas shares EUR 52.83 EUR 43.11

Closing level of the EURO STOXX Banks index EUR 96.71 EUR 73.77

Zero-coupon rate Euribor Euribor

Volatility of the BNP Paribas share price 20.59% 22.00%

Volatility of the EURO STOXX Banks index 21.11% 24.12%

Correlation between the BNP Paribas share and the EURO STOXX Banks index 90.37% 92.05%

Financial model used Monte-Carlo Monte-Carlo

Fair value of the plan awarded on 4 February 2016 EUR 54.07(1) 17.43% 14.95% 0.00%(3)

Fair value of the plan awarded on 6 February 2017 EUR 48.35(2) 49.67% 57.41% 52.40%(3)

Fair value of the plan awarded on 5 February 2018 EUR 63.99(2) 30.67% 35.31% 36.90%(3)

Fair value of the plan awarded on 5 February 2019 EUR 53.03(2) 18.10% 43.91% 42.29%(3)

Fair value of the plan awarded on 4 February 2020 EUR 45.27(2) 39.56% 44.33%(3)

(1) The initial amount is the higher of the average opening price of the BNP Paribas share in the rolling 12-month period prior to the award date, and the opening BNP Paribas share price at the award date.

(2) The initial value is the average of the opening price of the BNP Paribas share for the rolling 12-month period prior to the award date. (3) As a percentage of the amount awarded.