NATIXIS -2020 Universal Registration Document

6 2020 NON-FINANCIAL PERFORMANCE REPORT

Business line contributions to green and sustainable growth

Green growth: financing the energy transition 6.4.2 and combating climate change GWF: an innovative solution for a greener loan book 6.4.2.1

It therefore encourages financing solutions with the most positive impact (“green” transactions)and penalizesnegative impact (“brown” transactions).All loans with a green color rating receive a discount of up to 50% in their weighted assets, while the weighting of loans with a negative impact on the climate and the environment is increased by up to 24%. It has proved to be a concrete way of triggering behavioural change amongst teams in order to develop sustainable finance. The GWF rating methodology was finalized in 2019 for all sectors financed by the bank, with the exception of the financial sector. After the methodological development and a proof of concept phase, the GWF was implemented in the bank’s IT systems and incorporated in the bank’s processes along the lending value chain. The GWF is being gradually deployed globally to all business lines. At December 31, 2020, the GWF tool is applied to the entire bank balance sheet with the exception of the financial sector, representing€154 billion in outstandings, of which 70% has been rated. Because the GWF is fully imbedded in the bank’s credit process, it has proved to be much more than a mere assessment and reporting tool. Since it was rolled-out a year ago, it has become a true decision making, strategic dialogue and operation incitation tool. The GWF has indeed been used for several purposes in 2020, including the following use cases: credit process and lending decision making; V credit risk assessment: the GWF is used to monitor the bank’s V overall climate transition risk as well as for projecting the balance sheet until 2050 as requested by the French banking regulator ACPR as part of an inaugural climate stress test exercise currently being completed; strategic dialogue with clients and the resulting sustainable V finance product structuring; active portfolio management, including distribution and V securitization; commercial strategic planning, including client tiering, priority V setting and identification of sustainable finance opportunities. In 2020, an extensive screening exercice was completed to assess both the transitionpotential of existing clients’ businessmodels as well as the opportunity to develop sustainablefinance solutions for clients with exposures rated “brown”. This resulted in a differentiated client tiering and adapted commercial activity in order to accelerate the development of sustainable finance. It was also decided to exit some client relationships with no transition potential.

Climate change is one of the most critical challenges facing our global society. Through its various assessment reports, the IPCC (1) provides scientific evidence that urgent action is needed to limit greenhouse gas emissions and address climate-related risks. In 2015, governments agreed in Paris to limit global warming to well below 2°C above pre-industrial levels while pursuing efforts to hold it to 1.5°C. The financial sector has an important role to play in addressing the climate crisis by supporting the transition to a low-carbon climate-resilient economy that balances the environmental, social and economic needs of society. Recognizing its responsibility as a financial actor, Natixis has committed to align its balance sheet with the objective of the Paris Agreement. By joining the Collective Commitment to Climate Action (CCCA) under the Principles for ResponsibleBanking in 2019, Natixis committed to mobilize its products, services and relationships to help facilitate the economic transition necessary to achieve climate neutrality. The Green Weighting Factor (GWF) is a unique proprietary tool developed by Natixis in order to achieve several objectives: accelerate its transition to sustainable finance, integrate climate transition risk systematically in its financing activities, monitor its climate alignment, and eventually prepare for upcoming climate regulation. This internal tool will enable Natixis to set climate impact targets for each of its business activities in 2021, and ultimately deliver on its commitment to align its balance sheet with the objective of the Paris Agreement. The tool includes both (i) a comprehensivemethodology to assess the climate impact and climate transition risk of each financing (rated on a 7-level color scale from brown to green), and (ii) an internal capital allocation mechanism that links the amount of internal capital being allocated of each transaction to its level of positive or negative impact on climate change (and other environmental impacts when material). By using a favourable or adverse adjustment to risk weighted assets (credit RWA), the GWF adapts the expected return of each transaction depending on the environmental impact of the object being financed (project, asset, general corporate purpose). This is an internal mechanism that has no impact on the regulatory RWAs.

The Intergovernmental Panel on Climate Change (IPCC) was created in 1988 by the World Meteorological Organization (WMO) and the United Nations Environment (1) Programme (UNEP) to assess the science related to climate change and provide governments with scientific information to develop climate policies. The IPCC provides regular assessments of the scientific basis of climate change, its impacts and future risks, and options for adaptation and mitigation. Its latest special report « Global Warming of 1.5°C » demonstrates climate change is already affecting many industries and regions globally, and that related impacts are only expected to increase. IPCC’s Sixth Assessment Report is expected to be released in 2021.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020