TCFD REPORT 2021 TACKLING CLIMATE CHANGE 52 METRICS AND TARGETS USED BY NATIXIS TO MONITOR CLIMATE RISKS AND OPPORTUNITIES (ii) With respect to specific exposures, the Implied Temperature Rise indicator (ITR) calculation uses the Science-Based 2°C Alignment (SB2A) 11 method developed by ICare & Consult to assess alignment of sector-specific companies with the Paris Agreement climate targets. Inspired by the Science-Based Targets (SBTi) and Assessing low-Carbon Transition (ACT) initiatives, the method was adapted to factor in the specifics of transactions dedicated to project financing, assets and commodity trading. The method compares the climate impact of the financed object throughout its lifecycle and/or its financing (one year as is standard for transactions with a maturity of less than a year) with the corresponding business area’s “carbon budget” in the context of Paris-aligned scenarios. The financed object’s climate impact is measured through the physical carbon intensity of each individual asset, which is based on combined data from their Green Weighting Factor (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. The ITR index is identified by calculating the difference between the asset’s trajectory and its sector-specific 2°C reference trajectory. The International Energy Agency (IEA) and Science-Based Targets initiative (SBTi) reference trajectories are available and in use for the following sectors: electricity, oil & gas, real estate, transport, telecoms and heating networks. In sectors without an IEA or SBTi reference trajectory—mining & metals, petrochemicals, water & waste management and agricultural commodities—each individual asset’s temperature is calibrated using sector-specific low-carbon and business-as-usual scenarios. ACTIVITY SECTOR REFERENCE TRAJECTORY SOURCE SCENARIO USED Power Yes IEA - ETP 2020 & Sustainable Development Scenario Oil & Gas Yes IEA - ETP 2020 & Sustainable Development Scenario Real estate Yes IEA – ETP 2020 & Sustainable Development Scenario Transport Yes SBTi Transport Telecom Yes IEA – ETP 2020 & Sustainable Development Scenario Environmental Services No 12 IEA – ETP 2020 & Sustainable Development Scenario Metals & Mining No 13 USGS 2019 14 , Nuss and al. 2014 15 Commodities Yes 16 IEA & ETP 2020, SBTi referential, FAO, Agribalyse Asset and project temperature calculated from their physical carbon intensity 11. The Alignment cookbook: A Technical Review of Methodologies Assessing a Portfolio’s Alignment with Low-Carbon Trajectories or Temperature Goal, 2020. https://www.louisbachelier.org/wp-content/uploads/2020/07/rapport-0607.pdf The SB2A methodology was transferred to Iceberg Data Lab in July 2020. 12. Except heating networks whose reference trajectory is the same as the electric sector. 13. Except for steel and aluminum whose reference trajectory is taken from the SBTi reference system. 14. USGS 2019 – Mineral commodity summaries 15. Nuss P, Eckelman MJ (2014) Life Cycle Assessment of Metals: A Scientific Synthesis. 16. Except coffee and cotton agricultural commodities.