TCFD REPORT 2021 TACKLING CLIMATE CHANGE 57 METRICS AND TARGETS USED BY NATIXIS TO MONITOR CLIMATE RISKS AND OPPORTUNITIES Third-party asset management: Natixis Investment Managers (NIM) With its multi-brand model, Natixis Investment Managers (NIM) uses a range of tools and indicators to measure and monitor the climate impact of its 23 affiliates’ third-party asset management portfolios. In 2021, NIM completed extensive work to measure the consolidated impact of portfolio-linked climate risks for all of its affiliates. NIM focused on 75% of its assets under management (AuM), representing more than €850bn of the €1,136bn in assets managed by NIM. The remaining 25% of AuM are not compatible with climate analysis because of their activities (cash, derivatives, synthetics and funds of funds). In respect of liquid asset portfolios (managed by 15 affiliates), the S&P Trucost methods and data are used – see below for a short description of selected methods. Several methods and data sources, including Carbon Delta, Carbon4, PwC and EthiFinance, are used for illiquid asset portfolios managed by 8 of NIM’s 23 affiliates. Illiquid portfolio indicators are not consolidated in this report because of methodological differences. The liquid assets covered by S&P Trucost account for 72% of total assets managed by NIM affiliates, i.e., €814bn, of which approximately 70% is in listed company equities and bonds (corporate assets)and30%insovereigndebt. Climate impact analysis of €850bn in AuM, i.e., 75% of NIM’s portfolio 3 Total assets covered 75% €851bn Total NIM AuM €1,136bn Composite benchmark index: 50% MSCI ACWI+50% Bloomberg Barclays Global Aggregate (benchmark) NIM Solutions line-by-line analysis (S&P Trucost data used) Listed assets covered €814.3bn Corporate assets €576.7bn Bonds €284.9bn Equities €291.8bn Sovereign bonds €237.6bn Unlisted assets covered €36.3bn Indicators not included in this report Indicators not included in this report BREAKDOWN OF CONSOLIDATED ASSETS MANAGED BY NATIXIS INVESTMENT MANAGERS (NIM) AFFILIATES Assets not covered 25% €285bn