BPCE - 2020 Universal Registration Document

NON-FINANCIAL PERFORMANCE STATEMENT

SUPPORTING THE ENERGY, ECOLOGICAL AND SOCIAL TRANSITION IN LOCAL REGIONS

bank’s IT systems and integrated into the bank’s processes throughout the loan value chain. The GWF is gradually being rolled out globally across all business sectors. As of December 31,2020, the GWF tool is applied to the bank’s entire balance sheet excluding the financial sector, i.e. outstandings in the amount of €154 billion, of which 70% had been rated. Additional work is underway to translate the combination of balance sheet ratings derived from the GWF methodology into a temperature trajectory. Natixis is committed to using the GWF initiative to set climate impact targets for all its banking activities. The objectives in terms of climate impact will be set with different time horizons (short-, medium- and long-term) bank-wide, and for each business line in 2021. Asset & Wealth Management: aligning investment portfolios Several Natixis entities have also committed to aligning their investments with the trajectory of the Paris Agreement. NIM also helps its affiliates to better take into account climate issues in their strategies, in particular through a specific working group, co-led by Loomis Sayles, enabling affiliates to exchange best practices. Ostrum AM As the integration of climate issues is key for Ostrum AM, a review of the carbon measurement of the portfolios has been under way since 2019, and a new alignment methodology with the IPCC temperature scenarios was initiated in 2020, so it could report to its clients on the impact of their portfolio.

Dedicated training courses have been set up, and the climate theme is systematicallyincorporated into direct discussionswith company management. On open-ended funds ( i.e. 13% of assets under management), the carbon intensity of Ostrum’s portfolios amounted to 185.8 tCO 2 eq per million euros of revenue at the end of 2020. In addition, a TCFD report will be published in 2021. AEW CILOGER In 2017, AEW CILOGER calculated the carbon footprint of its portfolio of institutional assets in France, which equals 824 buildings. The international GHG Protocol method was used; the results obtained in terms of carbon intensity were 10.4teqCO 2 /millions of euros and 28.3kgeqCO 2 /m 2 . Since 2018 this calculation has been carried out for two of our investors. The average carbon emissions for the managed portfolio of buildings equipped with remote reading meters for 2019 are, by type, as follows: logistics 5kgeqCO 2 /m 2 , offices 12kgeqCO 2 /m 2 , shops 15kgeqCO 2 /m 2 . Since 2018, reporting on climate risk and alignment with the 2°C objective has been carried out for several investors, using the Science Based Target (SBT) method. These portfolios are aligned with the objectives of the Paris Agreement. To learn more about Natixis’ affiliate alignment strategies, please refer to Chapter 6.3.2.6, Alignment with the Paris Agreement targets, in Natixis’ URD.

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KEY EVENT 2020 DNCA launches the DNCA Invest Beyond Climate fund. DNCA places the climate issue at the heart of the management strategy of this SRI fund launched in April 2020, by applying a management methodology based on a two-tiered analysis: a transition analysis conducted on the way in which the company decarbonizes its own activities to reach a minimum trajectory • of 2°C (carbon footprint on Scopes 1,2 and 3, brown share of revenue, alignment of 2°C according to SBT); a contribution analysis to measure the positive contribution made by the company’s products and services (green share of • revenue, R&D spending or green capex, carbonemissions avoided). DNCA Invest Beyond Climate meets the requirements of the Paris Agreements by excluding companies with a negative green contribution and limiting the share of companies without contribution to 30%.

ECOFI Since October 2020, Ecofi has published the alignment with the 2°C climate scenario by 2050 for all its open-ended funds. The calculation methodology is based on the difference between the following two factors, provided by ISS ESG: the annual emissions of a company by 2050 (estimatedon the • basis of past emissions, adherence to the Science Based Target, and the quality of the climate strategy) with the carbon budget allocated to the same company for the 2°C • scenarios (2DS), estimated on the basis of the sector budget

forecast by the International Energy Agency (IEA report: “World Energy Outlook”) and recalculated on the basis of the company’s market share in the sector. The carbon emissions budget for each company is calculated through the allocation by sector and then by company according to market shares, based on the Sectoral Decarbonization Approach (SDA), developed by the Science Based Target initiative. The percentage of aligned assets is included in the monthly impact reporting of all Ecofi open-ended funds and compared to the performance of the ESG universe for each fund.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE