TCFD REPORT 2021 TACKLING CLIMATE CHANGE 41 CLIMATE-RELATED RISK MANAGEMENT DIRECT CORPORATE OPERATIONS As part of its operational risk management framework, on an annual basis, Natixis measures its resilience to extreme weather events (example scenarios include: storms, heatwaves, River Seine flooding, etc.) for its activities in France and abroad. The impacts of these scenarios lead to a Value at Risk (VaR) measurement which factors in external data,thequalityoftheBusinessContinuityPlan(BCP)andinsurancecoverage. CORPORATE & INVESTMENT BANKING A range of deployed climate risk management tools Within Corporate & Investment Banking, Natixis has gradually rolled out several tools to assess and monitor its exposure. This approach will be strengthened in the years ahead, withimprovedriskquantificationapproachesandphysicalriskmonitoringtools. ESR sectoral policy With regard to its financing and investment activities, Natixis decided to exclude sub-sectors or specific borrowers which do not fit in its climate related risk appetite. Exclusion lists have been implemented for the coal and oil & gas sectors. These lists, which  are updated annually with support from external data providers, are notably applicable  to general-purpose financing and Global Market activities. As for dedicated-purpose  financing, a more in-depth analysis is conducted to determine whether a transaction is allowed or not. The Green Weighting Factor (GWF) Natixis assesses the impacts of its climate transactions by assigning a climate rating either to the asset or financed project, or to the borrower in the case of general-purpose financing. Thisrating (or Green Weighting Factor color rating) results from an assessment of the impact of the transaction on climate and takes account of all important environmental externalities such as water use, pollution, waste and biodiversity. This proprietary tool enablessystematicintegrationoftransitionriskinNatixis'financingactivities. The “Equator Principles” process Since October 2020, Natixis has implemented the fourth version of the Equator Principles (Amended EP IV) which strengthens the integration of climate change in the environmental impact analysis framework for large scale projects. As a result, borrowers are required to: 1) make an assessment of physical risk related to climate change for most projects, 2) conduct climate transition risk assessments and an analysis of alternatives with lower greenhouse gas emissions, for projects with projected total CO 2 equivalent emissions above100,000 tonsperyear.Based onthe identified risks andthe typeof related impacts, mitigation measures can be required from clients. These are subject to specific covenants intherelatedfinancialdocumentation. Several tools deployed to assess and monitor climate risk exposure