NATIXIS - Universal registration document and financial report 2019

6 NON-FINANCIAL PERFORMANCE REPORT

Managing environmental, social and governance risks

Climate risks 6.4.3

In 2019, Natixis took part in banking sector discussions with the ACPR on two major topics: climate strategy and governance, and climate risk metrics. These meetings allowed banks to present and compare their systems and will allow the ACPR to publish a guide to best practice in taking climate risk into account in the first quarter of 2020. Natixis was invited to present its system for analyzing transition risk in its financing activities by the NGFS (Network for Greening the Financial System), which includes 45 central banks and banking sector supervisors. Transition risks Transition risks arise when a company’s business model needs to be adapted to a low carbon economy be it due to the introduction of stricter carbon regulations, a change in customer behavior, or technological innovation. These changing market conditions can give rise to stranded assets or a significant loss in revenue, thereby exacerbating the Company’s credit risk. In 2018, Natixis took the innovative step of introducing a Green Weighting Factor to support its clients in the shift towards lower carbon activities and gradually decarbonize its balance sheet. Climate and transition risk will be systematically incorporated into the assessment of financing opportunities (see Chapter 6.3.2.1 Green Weighting Factor: an innovative solution for a greener loan book). Over and above the GWF methodology described above, this initiative has raised awareness of the risks and opportunities associated with climate change among business line and risk management teams. Insofar as since September 2019 each loan file reviewed by the Credit Committee and covered by the initiative must be rated for its climate impact, in-depth discussions are held during the loan approval process on the consequences of climate change on the borrower’s activity. In addition, training for the roll-out of the GWF also raised awareness among business line and risk management teams on the key concepts of climate risk analysis (materiality and intensity of climate risks, life-cycle analysis, supply chain analysis, associated reputation risk). In accordance with Article 173, Provision VI of the Energy Transition for Green Growth Act establishing new ESG reporting obligations, certain Natixis subsidiaries have made extensive efforts to measure the carbon footprint of their portfolios (see Chapter 6.3.2.6 Aligning with the objectives of the Paris Agreement) : Mirova and Natixis Assurances use the Carbon Impact Analytics V method co-developed by Mirova and Carbone 4 to calculate the carbon footprint of their portfolios. This innovative approach covers generated emissions, prevented emissions and each company’s overall contribution to the fight against climate change. It assesses investments made relative to a benchmark scenario and compared to the principal market indices. Applied to the strategies managed by Mirova, the methodology shows that the investments made by the Natixis subsidiary are below the 2°C scenario and are much better than the main benchmark indices. Natixis Assurances has pledged to align its investment policy with the 2°C climate scenario and each year it will its devote nearly 10% of new investments to green assets, with a target of 10% of its total investments being in green assets by 2030;

The environment and climate emergency is one of the biggest challenges facing the world’s economies and every one of us. The world’s leading scientists contributing to the Intergovernmental Panel on Climate Change (IPCC) have warned there is only 10 years left to limit global warming to 1,5 ° C and avoid catastrophic environmental (see the IPCC 2018 report https://www.ipcc.ch/sr15/) The financial sector can and must spearhead the ecological transition by channeling funds into a sustainable economy. As a provider of financial solutions, Natixis has a role to play in this movement. As a financial institution and major economic player, Natixis is exposed to climate risk in the running of its operations and business activities. Taking this climate risk into consideration is crucial for the bank in all its areas of business: Asset Management, Financing and investments, insurance and Payments. Natixis has taken a series of measures to adapt to the effects of climate change: the consequences of extreme climate events (e.g. storms, V heatwaves, flooding of the Seine, etc.) that can directly impact Natixis in France and internationally are addressed in the Business Continuity Plan (BCP). The impact of the different scenarios is assessed in the operational risk map, resulting in the calculation of a VaR (value at risk) that takes into account external data, the quality of the BCP and insurance coverage; the climate risks linked to our business operations are taken into V account insofar as Natixis’ clients may themselves be subject to climate risks. These include physical risks (exposure to physical consequences caused directly by climate change) and transition risks (exposure of certain sectors to the adjustments brought about by the transition to a low-carbon economy). Since 2019, these risks have been incorporated into Natixis’ risk monitoring system, the Risk Appetite Framework. Pursuant to Article 173 of the French Energy Transition Act, Natixis is required to report on the climate risk management tools it has put in place and on its low carbon strategy. Measuring the climate change risks associated with our activities: physical and transition risks Since 2016, Natixis has been part of a working group to improve recognition of these risks: specifically, and in line with the Autorité de Contrôle Prudentiel et de Résolution (ACPR — French Prudential Supervisory Authority for the Banking and Insurance Sector), BPCE and Natixis participated in a working group addressing Article 173, Provision V of the Energy Transition for Green Growth Act of August 17, 2015, with a view to drawing up stress test scenarios. The working group reviewed the sectors most exposed to physical risk and to transition risk. In 2018, Natixis joined the UN Environment Program Finance Initiative (UNEP-FI) to address climate risks alongside 16 international banks. Their aim is to meet the challenges of implementing some of the recommendations made by the Task Force on Climate-Related Financial Disclosure (TCFD) by establishing a joint methodology for conducting stress tests on climate change-related risks (physical and transition risks).

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019