TCFD REPORT 2021 TACKLING CLIMATE CHANGE 58 METRICS AND TARGETS USED BY NATIXIS TO MONITOR CLIMATE RISKS AND OPPORTUNITIES For corporate assets, climate indicators have been calculated for NIM's aggregated portfolio on the one hand and for a composite benchmark index on the other. This enables a comparison of NIM's performance with that of the market. This benchmark index is composed of the MSCI All Country World Index (MSCI ACWI) (50%) and the Bloomberg BarclaysGlobalAggregateindex(50%). NIM uses the following four indicators to monitor the climate impact of its aggregated portfolios Investment carbon intensity (measured in tons of equivalent CO 2 per million euros invested, tCO 2 e/€m)  The carbon footprint of investment divided by the value of assets under management (AuM). The scope of this indicator is corporate assets, which include €515bn covered by S&P Trucost data. The method used to calculate the carbon footprint of investments is based on apportioning between (i) the share of the investment in the value of each issuer and (ii) the share of the issuer's scope 1, 2 and 3 carbon emissions attributable to the investor (apportioning). The method uses the larger of the enterprise value (EV) or market capitalization as a metric. Implied Temperature Rise (ITR, measured in degrees Celsius, °C) Calculates portfolio alignment with a given climate trajectory measured in degrees Celsius above preindustrial levels. The scope of this indicator covers corporate assets, which include €476bn covered by S&P Trucost data. S&P Trucost’s  suggested approach uses two methods introduced by the Science-Based Targets initiative (SBTi): (i) The Sectoral Decarbonization Approach (SDA) for issuers whose business is largely conducted in carbon-intensive sectors. This method is based on the carbon budgets of the scenarios outlined by the International Energy Agency (IEA) in the 2017 Energy Technology Perspectives (ETP) report, which provide SDA analysis parameters consistent with 1.75°C, 2°C and 2.7°C warming levels. (ii) Greenhouse gas Emissions per unit of Value Added (GEVA) for issuers in diversified or low-carbon intensive sectors. This method is based on the Representative Concentration Pathway (RCP) scenarios used by the Intergovernmental Panel on Climate Change (IPCC) in its fifth Assessment Report (AR5). Such scenarios provide analysis parameters consistent with warming levels between 2°C and 5°C. S&P Trucost also uses a 1.5°C scenario aligned with recent SBTi recommendations and the European Union Paris- Aligned Benchmark requirements. Both methods conduct a transition pathway assessment of each portfolio issuer. Moreover, they review the adequacy of projected emission reductions compared against a carbon budget that is compatible with a range of temperature increase scenarios. Issuers’ scope 3 emissions are not taken into account. The difference between issuer trajectory and target scenario is then converted into an equivalent temperature. Each issuer’s trajectory assessment uses historic data collected over six years (business activity and carbon emissions) and forward-looking projections over a six-year timeframe. When applied to aggregated asset management portfolios, S&P Trucost’s research method produces resultsmeasuredinatemperaturerange:<1.5°Cand1.75°C,<2°C,<2.7°Cand3°C,>3°C. < 3°C 5°C 4°C 3°C NIM 1°C 2°C 5°C 4°C 3°C > 3°C Benchmark 1°C 2°C Calculation of the consolidated carbon intensity of all liquid assets under management, i.e. €515bn in investments