TCFD REPORT 2021 TACKLING CLIMATE CHANGE 53 METRICS AND TARGETS USED BY NATIXIS TO MONITOR CLIMATE RISKS AND OPPORTUNITIES Financing carbon intensity (measured in tons of equivalent CO 2 per million euros of outstandings, tCO 2 e/€m) The sum of the carbon footprint attributable to each financing divided by its amount of outstandings. This indicator  covers all balance sheet assets excluding the financial sector and sovereign exposures (same scope as the GWF Color Rating mix and Implied Temperature Rise (ITR)), i.e., €115 bn in outstandings at end-2020. Financing carbon intensity is calculated using  two defined scopes. On the one hand, general-purpose financing (approximately 70% of outstandings covered). On the other, dedicated-purpose financing(approximately30%ofoutstandingscovered). (i) As regards general-purpose financing , generated scope 1, 2 and 3 greenhouse gas (GHG) emissions for each company are sourced from Carbon4Finance, irrespective of “prevented” emissions. To calculate the carbon intensity of the financed company, emissions are then divided by a company’s enterprise value (which equals equity plus financial debt), irrespective of the market value of the listed companies. Furthermore, a sector-specific average for carbon intensity is calculated across Carbon4Finance’s entire coverage universe. For each sector, it is allocated to each non-specific exposure that is not covered by individual analysis by Carbone4Finance. Carbon intensity for sovereign exposures is calculated in €m of gross domestic product (GDP). Portfolio intensity is equal to the average intensity of each line, weighted against the amount of outstandings. Natixis applies a rule established by Carbon4 in order to prevent multiple counts of scope 3 portfolio emissions. The rule consists of dividing corporate emissions by three and allocating them between public and private sectors based on their average share of GDP (28% / 72%). (ii) Regarding dedicated-purpose financing the economic carbon intensity (tCO 2 e/€m) of individual financed objects is measured through the physical carbon intensity of each individual asset. This measurement is based on combined data from their GWF Color Rating. Examples include gCO 2 e/kWh for power generation, gCO 2 e/per km for passenger transport and gCO 2 /m²/per year for real estate. Physical intensity is multiplied by an asset’s average annual activity to obtain its average carbon footprint over a year in absolute terms. This data is then compared with the asset’s economic value (capex) to calculate its intensity per million euro (€m) in terms of value and financing. Line-by-line carbon intensity measure including scope 3 emissions Assessing the alignment of dedicated-purpose financing deals with P aris-aligned scenarios was a challenging assignment. We worked with Natixis to adapt our Science- Based 2°C Alignment methodology to the specificities of dedicated projects, assets and commodities. Inspired by the Science-Based Targets Initiative and ACT frameworks, and built upon IEA scenarios, this innovative methodology calculates an “Implied Temperature Rise” (ITR) by comparing the integrated carbon emissions of the financed asset over its financing duration with its sectorial carbon budget in the Paris-aligned scenario. It includes a strong forward-looking element based on the feasibility of the climate transition, on a sectoral and bottom-up basis. After implementing the Green Weighting Factor, this major new innovation by Natixis will allow the bank to monitor the climate trajectory of its entire loan portfolio. Guillaume Neveux Director-Partner, I Care & Consult