TCFD REPORT 2021 TACKLING CLIMATE CHANGE 51 METRICS AND TARGETS USED BY NATIXIS TO MONITOR CLIMATE RISKS AND OPPORTUNITIES The GWF Color Rating for each transaction is assigned using a scale with seven levels, consistent with the climate impact of the underlying and other environmental concerns when they are considered material based on lifecycle analysis. Related greenhouse gas (GHG) emissions cover scope 3 upstream and downstream for all high-impact sectors. For all general-purpose corporate and sovereign exposure (when the object of the transaction is not specified), data is sourced from the Carbon4Finance firm, which assesses past and present GHG emissions and calculates companies’ future trajectories from specific operational data (using a bottom-up approach). For all dedicated-purpose financing (projects, assets, products and commodities), the GWF is identified through a sector- specific decision tree. To date, the methodology includes 49 decision trees which were designed with external consulting firms, ICare & Consult and Quantis. The GWF Color Rating is assigned when each credit is granted and reviewed annually for financing and quarterly for all other balance sheet items (particularly trading transactions and capital markets). As of 12/31/2020, the GWF tool was applied to all of the bank balance sheet excluding the finance sector, i.e., €154bn in outstandings, with more than70% rated. Natixis manages its balance sheet mix using the tool’s seven color shades, and provides external reporting on an aggregated three-tiered system: brown, neutral, green. The published indicator covers GWFscopeexcludingsovereignexposure,i.e.,€115bninoutstandingsatend-2020. Implied Temperature Rise (ITR, measured in degrees Celsius, °C)  It estimatesthe balance sheet’s aggregate potential temperature increase, i.e., the implied temperature rise versus pre-industrial levels for all balance sheet assets, excluding the finance sector and sovereign exposure (same scope astheGWFColorRating). Natixis combines two different methods to determine the ITR of its balance sheet: (i) General-purpose exposures use the Carbon Impact Analytics (CIA) method developed by Carbon4Finance. The CIA rating of each company is determined using the same GHG emission data as that processed by the GWF Color Rating for each corporate client. This method establishes a link between the CIA rating of the company and/ or a portfolio and its temperature trajectory of between 1.5°C and 6°C. The model is calibrated using two benchmark scenarios: the 2°C trajectory (scenario 2DS) from the International Energy Agency (IEA), as illustrated by the Euronext Low Carbon 100 index (mainly comprising active energy transition players); and the 3.5°C scenario of the Intergovernmental Panel on Climate Change’s (IPCC) RCP6.0 scenario, as demonstrated by the World Large Cap Equity Index as a proxy for the global economy. ITR calculated from IPCC and IEA scenarios Coverage of entire bank balance sheet excluding finance sector exposure C2 - Internal Natixis CALIBRATION OF THE MODEL 3.5°C = Business as usual benchmark 2°C = Aligned benchmark Best-in-class by sector (2DS scenario of the IEA) Benchmark index Euronext Low Carbon 100, proxy for a 2°C-aligned economy Business as usual (IPCC scenario RCP 6.0) Benchmark index World Large Cap Equity Index, proxy for the global economy Equivalence in degree Celsius of CIA overall rating score 6°C 3°C 1,5°C Source: Carbone 4 Finance 3.5°C = business as usual benchmark 2°C = aligned benchmark PORTFOLIO TEMPERATURE (°C) CIA OVERALL RATING SCORE 0 1 2 3 4 5 6