TCFD REPORT 2021 TACKLING CLIMATE CHANGE 62 METRICS AND TARGETS USED BY NATIXIS TO MONITOR CLIMATE RISKS AND OPPORTUNITIES Since 2018, Natixis Assurances has measured and published the climate impact of its investment portfolios - €59.9 bn at end-2020 of which €53.5 bn in assets held in the life insurance general-purpose fund (BPCE Life), using the five following indicators: Investment carbon intensity (measured in tons of equivalent CO 2 per million euros invested, tCO 2 e/€m)   The carbon footprint of investments divided by their value (market capitalization for listed assets). The carbon footprint of each portfolio line is calculated using Carbon Impact Analytics 18 (CIA) methodology as well as the data provided by Carbon4. The latter integrates both “generated” emissions by company activity, adopting a lifecycle approach (scope 1, 2 and 3 – direct emissions and those of suppliers and company products), and “prevented” emissions through performance initiatives and the company’s rollout of low-carbon solutions. Natixis Assurances calculates and publishes the carbon intensity of its individual asset classes. This applies to equities, corporate and sovereign bonds, and illiquid assets (real estate and infrastructure). Implied Temperature Rise (ITR, measured in degrees Celsius, °C) Calculates the aggregate warming potential of investments, i.e., the temperature increase on preindustrial levels generated by the assets in the portfolio. Natixis Assurances deploys methods developed by Mirova to align generated and prevented carbon emissions provided by Carbon4, which are aggregated at the level of investment portfolio and the portfolio’s Implied Temperature Rise (ITR) using International Energy Agency scenarios. Share of portfolio green assets (as a % of total portfolio investment)   Assets categorized as “green” constitute green bonds (green bonds, sustainable bonds, climate-related underlying investments) and bonds and equities of issuers eligible for GreenFin-labeled investment funds. Carbon intensity calculation for investments in all asset classes UN-PRI signature Coal policy Trajectory 2°C 10% green investments goal UN-PRI Climate Leaders' Group 2°C trajectory by 2024, 1.5°C by 2030 EVOLUTION OF NATIXIS ASSURANCES CLIMATE INVESTMENT STRATEGY 2016 Engagement 2017 ESG integration 2018 Climate strategy 2019 Green investments 2020 Action plan 2021 Trajectory acceleration 18. http://www.carbone4.com/wp-content/uploads/2016/08/CarbonImpactAnalytics.pdf