2024 DISCLOSURE STATEMENTOPERATING PRINCIPLESFOR IMPACT MANAGEMENT
Marketing Communication - For professional investors - July 2024

The sustainable
investor for achanging world

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 2 -JANE AMBACHTSHEER
Global Head of Sustainability
BNP Paribas Asset Management“BNP Paribas Asset Management (BNPP AM) hereby affirms its status as a founding
signatory to the Operating Principles for Impact Management1 (the Impact Principles).
The Impact Principles provide a reference point against which the impact management
systems of funds and institutions may be assessed. They seek to bring greatertransparency, credibility, and discipline to the impact investing market and draw onemerging best practices from a range of asset managers, asset owners, asset allocators,
development banks and finance institutions. This statement reasserts BNPP AM’s intent
to use the Impact Principles as a framework to help inform our approach to impact
investment.
This Disclosure Statement applies to the following assets (Covered Assets):• BNP Paribas Green Bond Fund (Green Bonds), a fund investing in global green
bonds supporting environmental projects, assets and/or activities that contribute
positively towards environmental objectives. These green bonds are issued bysupranationals, sovereigns, agencies, corporates.
• BNP Paribas Social Bond Fund (Social Bonds), a fund investing in social andsustainability bonds issued by entities supporting projects, assets and activities
that have positive social and sustainability outcomes. These bonds are issued bycorporates, supranationals, central governments, agencies, local entities and local
governments.
• BNP Paribas Social Business Impact Fund (Social Business), a fund investing in
French non-profit organisations and unlisted companies operating in France andabroad to solve specific social and/or environmental problems.
• BNP Paribas European Social Impact Bonds and BNP Paribas European Impact
Bonds Fund II (Impact Bonds), funds investing through Impact Bonds in European
non-profit organizations or social enterprises operating in the European Union tosolve specific social and/or environmental problems. These Impact Bonds are repaid
based on the success of impact indicators.
• BNP Paribas Towards Impact Fund I (Towards Impact), a private equity fund offunds with an impact investment approach focusing on sustainable growth trends.
It targets both impact investing funds and thematic funds that have an impact
potential and the willingness to increase their impact. The fund of funds supports
the latter in their adoption of impact investing practices with the aim to optimize
their impact through its engagement and learning platform.
• BNP Paribas Climate impact private debt fund, an infrastructure debt fund investingin assets which contribute to mitigating climate change.
The total Assets under Management in alignment with the Impact Principles is
EUR 1917 million (roughly 2 117USD million) as of 31 December 2023.
In addition, EUR 70 million (roughly USD 77 million) were committed to Climate Impact
Private Debt as of 31 December 2023.

*
1

Includes all Covered Assets with the exception of Climate Impact Private Debt
The Operating Principles for Impact Management were launched on April 12, 2019; more information about the Impact Principles
can be found here: https://www.impactprinciples.org/

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 3 -PRINCIPLE 1

DEFINE STRATEGIC IMPACT OBJECTIVE(S),CONSISTENT WITH THE INVESTMENT STRATEGYThe Manager shall define strategic impact objectives for the portfolio or fund to achieve positive and measurablesocial or environmental effects, which are aligned with the Sustainable Development Goals (SDGs), or otherwidely accepted goals. The impact intent does not need to be shared by the investee. The Manager shall seek
to ensure that the impact objectives and investment strategy are consistent; that there is a credible basis forachieving the impact objectives through the investment strategy; and that the scale and/or intensity of theintended portfolio impact is proportionate to the size of the investment portfolio.
•With the launch of our Global Sustainability Strategy2 in 2019, we announced our goal to increase the positive
impact of our AUM, and to track and measure that impact in three areas: the energy transition, environmental
sustainability and equality and inclusive growth (the “3Es”). These issues are critical pre-conditions for a moresustainable and inclusive economic system, which in turn will enable us to safeguard long-term returns for ourclients. However, we believe there is a difference between aspiring for our firm wide AUM to have a positive
impact and the smaller set of our assets which fall under the ‘impact investments’ category.

•

Impact investments are investments that intend to contribute to positive, measurable social and/or environmental
impact alongside financial returns3. At BNPP AM, our impact investment framework is built on three mainbuilding blocks – intentionality, additionality and impact measurement and reporting.

2
3

INTENTIONALITY(CLEAR IMPACT OBJECTIVES)ADDITIONALITY(INVESTMENT CONTRIBUTION)

IMPACT MANAGEMENT

The formalised intention of theinvestor to contribute to positivesocial and/or environmental impact
and do no significant harm

The channels through which theinvestor claim to contribute to
the stated impact are clearly
documented (e.g. theoryof change document).

The impact is managed andmonitored at all stages of theinvestment process, and is the
subject of transparent
and frequent reporting.

Our Global Sustainability Strategy is available at this link: https://docfinder.bnpparibas-am.com/api/files/2818EAAE-D3CF-4482-A3BA-A2EA898AFD0D
This definition is based on the GIIN’s: https://thegiin.org/impact-investing/need-to-know/#what-is-impact-investingO P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 4 -Our Covered Assets have an explicit intention of having a positive and measurable impact and contribute to thefollowing impact themes (which are themselves further aligned with the following SDGs), as explained in eachfund’s theory of change in the Appendix.
•

The Green bonds fund has a sustainable investment objective in accordance with Article 9 of Sustainable
Finance Disclosure Regulation. The fund is invested in bonds issued by entities supporting projects, assets andactivities that have positive environmental outcomes.
THEMES: energy transition; energy efficiency; sustainable water management;sustainable agriculture and transportation; environmentally sustainable
management of living natural resources and land use; green buildings; circular
economy adapted products, production technologies and processes; terrestrial andaquatic biodiversity conservation; climate change adaptation.
Green Bonds•

The Social bonds fund has a sustainable investment objective in accordance with Article 9 of Sustainable
Finance Disclosure Regulation. The fund is invested in bonds issued by entities supporting projects, assets andactivities that have positive social and sustainability outcomes.
THEMES: access to affordable basic infrastructure (e.g. clean drinking water, sewers,
sanitation, transport, energy); access to essential services; affordable housing;
employment generation, and programs designed to prevent and/or alleviate
unemployment stemming from socioeconomic crises; food security and sustainable
food systems; renewable energy; energy efficiency; clean transportation; climatechange adaptation; green buildings.
Social Bonds

The Social Bonds fund invests both in social bonds and sustainability bonds•

European Social Impact Bonds fund and European Impact Bonds fund 2 aim to support the development of
the positive impact economy through exclusive investments in impact bonds favoring social or environmental
innovations in the European Union. Thematics are very diverse. Repayment and returns of these impact bonds
are directly linked to the achievement of specific measurable and verified impact results.
THEMES: access to housing, programs designed to prevent and/or alleviate
unemployment, environmental protection, responsible consumption, access to
education, access to healthcare, climate change adaptation.

Impact Bonds

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 5 -•BNP Paribas Social Business Impact Fund’s mission is to contribute to solutions for people in situation ofvulnerability by bridging the financing gap for non-profit organizations and social businesses in France and inEurope. The fund finances non-profit organizations and social businesses that aim at answering the needs ofvulnerable people, by offering them directly products and services with a positive social and/or environmental
impact. For Social Business, the intention to have a positive measurable impact intent is shared with theinvestees, which are pure impact players.
THEMES: access to essential needs and goods for vulnerable people (long-term
unemployment, low-income, social exclusion, old-age, disabilities, …); and more
specifically: access to work; financial inclusion; access to quality and affordablesocial services; access to housing; fair trade; and humanitarian intervention.

Social Business•

The Towards Impact fund's objective is to contribute to bridging the gap between thematic investing and impact
investing in private equity, by investing in funds that have the potential to generate positive E&S impacts andsupport them in demonstrating these impact, and to demonstrate that a fund of fund is a way to promote bestpractices in the private equity market.
THEMES: challenges emerging from the demographic and social transitions, as well
as from climate change and resource scarcity in alignment with several UN SDGs.

BNPP Towards Impact
Fund I•

Climate Impact infra debt: the fund’s objective is to contribute to climate change mitigation by targeting EU
Taxonomy aligned or SDG aligned projects applying BNPP Matters SDG methodology. All the deals also alsoneed to meet minimum Net Environmental Contribution (NEC) thresholds; this constraint’s goal is to financeonly projects with positive environmental impacts.
THEMES: climate change mitigation. The fund will use the EU Taxonomy as aframework to identify assets aligned with the strategy of the fund as well as several
SDGs such as:

Climate impact infra debt

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 6 -PRINCIPLE 2

MANAGE STRATEGIC IMPACT
ON A PORTFOLIO BASIS
The Manager shall have a process to manage impact achievement on a portfolio basis. The objective of the process
is to establish and monitor impact performance for the whole portfolio, while recognizing that impact may varyacross individual investments in the portfolio. As part of the process, the Manager shall consider aligning staff
incentive systems with the achievement of impact, as well as with financial performance.
•		For our Covered Assets, impact is managed during the lifecycle of the investment, following established strategyspecific processes to track and measure impact performance at portfolio level.
•		Pre-investment, we set impact indicators, taking into account impact characteristics of the investee or projects
financed.
- Green Bonds: the environmental impact of green bonds is assessed on an ex-ante basis during primaryissuance. Only green bonds with a high level of positive environmental impact – as per our in-house green
bonds framework – are eligible for our portfolio investible universe. Our green bonds framework includes anassessment of the alignment of the green bonds’ use of proceeds against the EU Taxonomy where applicable,
and our internal taxonomy of eligible and ineligible activities which are based on market best practices(e.g. Climate bonds initiative, ICMA Green Bond Principles). In addition, our green bonds framework pays
special attention to the ESG characteristics of the issuer and their impact methodology. More specifically,as part of our assessment of issuer’s ESG credentials, we exclude those bonds whose issuer’s ESG decile
is 10 (i.e. bottom 10% of peer group in terms of ESG score). We exclude them as we believe that the issuer
has low credibility in successfully carrying out the green projects/activities financed.
- Social Bonds: the social impact of social and/or sustainability bonds, and the environmental impact ofsustainability bonds are assessed on an ex-ante basis during primary issuance. Only social and sustainability
bonds with a high level of positive social impact of both instruments, and the environmental impact ofsustainability bonds – as per our in-house social and green bond frameworks – are eligible for our portfolio
investible universe. Our social bonds framework includes an assessment of the alignment of the social
bonds’ use of proceeds against the Capital Markets Association Social Bond Principles. Similarly to the Greenbonds framework, our social bonds framework pays special attention to the ESG characteristics of the issuer
and their impact methodology. More specifically, as part of our assessment of issuer’s ESG credentials, we
exclude those bonds whose issuer’s ESG decile is 10 (i.e. bottom 10% of peer group in terms of ESG score).
We exclude them as we believe that the issuer has low credibility in successfully carrying out the social/sustainability projects/activities financed.
- Social Business: we have a formal governance process to analyse and validate the impact framework
analysis for each investee entity, focusing on ensuring impact relevance and fit with BNPP AM’s strategy.
We developed an internal methodology for impact analysis, used for each new investee at the beginningof the due diligence (intentionality, remuneration criteria, governance, safeguards of a sustainable social
intentionality, main impact KPIs). A synthesis is prepared and presented to a dedicated committee that willvalidate the adequacy of the prospect to BNPP AM’s impact strategy for Social Business investments.
- Impact Bonds: for each project, impact objectives are set depending on the track record of the investee andforecasted based on potential impact improvements linked to the deployment of the impact bond contract.
Impact objectives result from negotiations between public authorities, which aim at setting impact objectives
as ambitious as possible, and investors (in the Impact Bonds fund), who make sure that those objectives
are achievable. In case of achieving the described impact objectives, the public authority is responsible forrepaying investors with a potential premium in case of overachievement. The result of these negotiations
are presented to a BNPP AM investment committee which validates the adequacy of the project to BNPP
AM’s strategy for Impact Bonds. The valuation of the impact bonds is dependent on the achievement of
impact, and therefore that impact management and portfolio management are interlinked.
- Towards Impact Fund I: the management team screens investment funds through its impact potential
framework. The framework assesses the impact fundamentals of the investment strategy of the funds underreview, as well as their capacity to deliver on their impact thesis. It also ensures they adhere to the fund offunds’ minimum sustainability criteria. Finally, it evaluates the potential that exists for engagement between

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 7 -the fund of funds and the fund to improve their impact and ESG practices over the life of its commitment.
In terms of governance, the Fund’s impact committee validates the fund of funds’ impact strategy andprocesses. It also approves every transaction of the fund of funds into underlying funds or co-investments
and secondaries, focusing on ensuring their impact relevance with the fund of funds’ strategy and theirimpact potential- Climate Impact Infra Debt: investment opportunities are analyzed pre-investment in order to evaluate thesustainability of their practices and potential for impact. These ESG and impact analyses are done at different
levels: by verifying that sponsors are not in violation of our Responsible Conduct Policy, by assessing theinvestment opportunity’s contribution to climate change mitigation using the EU Taxonomy framework, byassessing overall ESG risks and opportunities and by asking an external expert to analyze the opportunity
and to produce a series of ESG and impact metrics.
• 	During the investment period, we continuously track the impact performance of our funds, which is formallyassessed and communicated to investors on an annual basis.
-		Green Bonds: portfolio impact is mainly calculated in the form of avoided emissions via investing in green
bonds. Data is provided by a third party where they assist in standardizing some of the reported avoided
emissions by issuers of green bonds. We publish our portfolio impact annually on our website.
- Social and Sustainability Bonds: in contrast to green bonds where the benefits may be measured primarily
in terms of avoided emissions, the benefits of social bonds can vary depending on how the proceeds areused. For example, a social bond financing affordable housing may measure its benefits using number ofunits built and number of households benefiting from the affordable housing. We publish our portfolio
impact annually on our website.
- Social Business: the process takes into account the impact of each investment annually through an impact
measurement grid that was developed in 2015. Sector-level indicators allow us to aggregate and reportnumerous categories of impacts at the portfolio level, while individual indicators allow us to follow andmonitor company-specific impact at the investee level.
- Impact Bonds: the impact of each project is assessed through a pre-defined set of indicators measured byan independent third party on a yearly basis. The indicators are assessed in-depth during dedicated steeringcommittee.
- Towards Impact Fund I: a three-tiered impact measurement framework – at the company level, fund leveland fund of funds level - has been established and an annual impact measurement report is being produced
for investors. Specific indicators are being tracked at each level and aggregated. Finally, a portion of the
management team’s financial compensation is aligned with the delivery of impact across these three levels.
- Climate Impact Infra Debt: the Fund’s impact objectives is to make Investments in Infra Debt which aim
to contribute substantially to the objective “climate change mitigation” as referred to in Article 9 of the
EU Taxonomy. Accordingly, all Investments in Infra Debt by the Fund will, at the time of the Investment ismade, either be:(a) aligned with the EU Taxonomy, it being provided that the Fund does not commit to a minimum percentage
of Investments aligned with the EU Taxonomy; or(b) eligible to the EU Taxonomy, it being provided that, in such a case, the relevant Infra Debt shall be alignedwith the United Nations Sustainable Development Goals (SDGs) and with a minimum NEC of twenty per cent(20%), as determined pursuant to an internal proprietary methodology developed by the Manager.
• 	For the Covered strategies, defining and achieving impact targets forms a core part of role description andperformance measurement for related teams. Beyond this, CIOs and ‘ESG Champions4’ across BNPP AM
investment and commercial teams have specific sustainability KPIs included in their formal objectives, thus
linking their performance review remuneration to the successful incorporation of sustainability investment
approaches in their strategies.
- Towards Impact: impact performance is included in the compensation structure of the fund. More concretely,
20% of the carry fee that compensates the investment team is subject to the achievement of a set of impact
objectives. These objectives are cover both impact management and performance over the life of the fundof funds.

4

As part of our efforts to implement a true firm-wide approach to ESG integration, each investment team is assigned one or more ESG Champions. ESG Champions
have specific sustainability-related objectives, including undertaking an external ESG certification, joining monthly calls with in-house and external experts onsustainability and accessing dedicated sustainability resources. They act as sustainability integration lead within their team, ensuring processes to integratesustainability are well-embedded in their investment strategies and overseeing the articulation of said sustainability integration in teams’ materials. They aresustainability experts within their team, first in line to help their colleagues with issues around sustainability, encouraging sustainability allocation of capitaland engagement efforts. They are also the primary point of contact of the Sustainability Centre within investment teams, BNPP AM’s centre of expertise on
sustainability.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 8 -PRINCIPLE 3

ESTABLISH THE MANAGER’S CONTRIBUTION
TO THE ACHIEVEMENT OF IMPACT
The Manager shall seek to establish and document a credible narrative on its contribution to the achievementof impact for each investment. Contributions can be made through one or more financial and/or non-financial
channels. The narrative should be stated in clear terms and supported, as much as possible, by evidence.
•

BNPP AM contributes to the development of the broader impact market, being involved in numerous industry
initiatives-

BNPP AM sits at the board of FAIR
BNPP AM is an member of the Global Steering Group for Impact Investments’ French NAB
BNPP AM is a member of the GIIN Listed Equities Working Group
BNPP AM is a member of the IMP Impact Frontiers
BNPP AM is a member of numerous Finance for Tomorrow Working Group on Impact Investing
BNPP AM co-piloted the ‘Forum Investissement Responsable’ (FIR) – France Invest’ Impact Working Group.

Through our participation in these organizations and working groups, we aim to promote greater transparency inwhat constitutes impact investing for a mainstream asset manager, to share best practices between investors andto contribute to the growth of the market•

For our Covered Assets, a dedicated process to enable us to contribute as an “impact investor” is achieved at every
step of the investment process, where the specific approach will differ between asset classes and strategies.
Green Bonds: engagement with green bonds issuers is key to contribute to the achievement and improvement ofgreen bonds’ impact but also protect our clients’ investments from the potential risk of reputational ‘impact
washing’.
••

At-issuance engagement: we focus on three main areas: an issuer’s sustainability credentials and integrity,alignment with BNPP AM’s taxonomy, and the green bond’s proposed project ambition, expected allocationand implementation. A project’s non-alignment with BNPP AM’s taxonomy, a weak issuer ESG rating or
unsatisfactory engagement feedback all may trigger an exclusion of the issuance from our investment
universe.
Engagement after green bond investment: we focus our engagement on three key areas: output andimpact indicators and actual project allocation. If the issuer fails to provide a satisfactory explanation for
not providing impact indicators, the green bond will be excluded from the investment universe and soldif the bond is already in the portfolio.

- Social Bonds: Engagement with social and/or sustainability bonds issuers is key to contribute to theachievement and improvement of social bonds’ impact but also protect our clients’ investments from thepotential risk of reputational ‘impact social washing’.
••

At-issuance engagement: we focus on three main areas: an issuer’s sustainability credentials and integrity,alignment with BNPP AM’s taxonomy, and the social and/or sustainability bond’s proposed project ambition,
expected allocation and implementation. A project’s non-alignment with BNPP AM’s taxonomy, a weakissuer ESG rating or unsatisfactory engagement feedback all may trigger an exclusion of the issuancefrom our investment universe
Engagement after social and/or sustainability bond investment: we focus our engagement on three key
areas: output and impact indicators and actual project allocation. If the issuer fails to provide a satisfactory
explanation for not providing impact indicators, the social and sustainability bond will be excluded fromthe investment universe and sold if the bond is already in the portfolio.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 9 -- Social Business: contribution to impact is achieved through the deployment of more favourable terms(e.g. lower interest rates, accommodating liquidity or profitability requirement, no guarantee of return on
investment) compared to market. In addition, we have developed a wide range of financial instruments toaddress the various financial needs of Social Businesses, with a focus on identifying and remedying financial
gaps.
Beyond financing, we provide investees with support and advices on various aspects of their business (suchas management, governance, strategy…). (e.g. lower interest rates, accommodating liquidity or profitability
requirement, no guarantee of return on investment) compared to market. When it is relevant, analysts areactively involved in the Board of investees, on the behalf of the fund's manager. The fund's manager makes
the final decision on critical topics.
- Impact Bonds: we have launched the first fund dedicated to impact bonds in Europe. This category of asset
is designed to allow field experimentation of social and environmental innovations. It supports non-profit
organizations or social enterprises, which often would not have access to other kinds of mid-term financing,in structuring their project and developing impact measurement. It creates a unique coalition with private
investors and a public authority that actively monitors the results of the experimentation through steeringcommittees which favor the continuity of the projects beyond impact bond maturity if they prove impactful.
- Towards Impact Fund I: contribution to impact will be achieved through an engagement providing technicaladvice and capacity building to selected funds on their management of impact and ESG factors. We aim
to build long term partnerships with management teams, supporting them in meeting higher operational
standards in these areas. We also aim to be a long-term provider of capital by providing additional capital
as a co-investment resource for our funds. The fund of funds’ contribution to impact is being assessed bytracking the engagement with each fund in the portfolio, collecting their feedback on the fund’s support, andevaluating fund’s progress over time through the fund of funds scoring system.
- Climate Impact Infra Debt: engagement is done pre-investment during the due diligence phase and canhappen post investment in the form of questions or advice on a case by case when we lack specific information
to demonstrate the alignment of the project with our ESG process. However as the investment strategy isprivate debt, we do not have a direct relationship with the sponsor and have limited ability to influence
the project owner. The main source of additionality is therefore financial and predicated on the fact that we
provide liquidity to those sponsors which allow them to allocate more capital towards green projects.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 1 0 -PRINCIPLE 4

ASSESS THE EXPECTED IMPACT OF EACHINVESTMENT, BASED ON A SYSTEMATIC APPROACH
For each investment the Manager shall assess, in advance and, where possible, quantify the concrete, positive
impact potential deriving from the investment. The assessment should use a suitable results measurement
framework that aims to answer these fundamental questions: (1) What is the intended impact? (2) Who experiences
the intended impact? (3) How significant is the intended impact? The Manager shall also seek to assess thelikelihood of achieving the investment’s expected impact. In assessing the likelihood, the Manager shall identify
the significant risk factors that could result in the impact varying from ex-ante expectations.
In assessing the impact potential, the Manager shall seek evidence to assess the relative size of the challenge
addressed within the targeted geographical context. The Manager shall also consider opportunities to increase
the impact of the investment. Where possible and relevant for the Manager’s strategic intent, the Manager may
also consider indirect and systemic impacts. Indicators shall, to the extent possible, be aligned with industry
standards and follow best practice.
•

For our Covered Assets we have put in place specific impact measurement frameworks:- Green Bonds: we have set up our green bond methodology to assess the contribution to environmental
objectives (such as climate mitigation) by green bonds. We analyze how each green bond performs in termsof green-ness of the projects, the alignment of the projects with the issuer’s sustainability strategy, and theintegrity of the issuer in implementing the green bond projects and reporting. After the bond is issued, we
follow up with the bond in 12 to 24 months to analyze the report publised by the issuer in disclosing how
they allocated the proceeds and the positive environmental benefits from the projects. At the fund level, we
aggregate and estimate the fund’s aggregate contribution to the environmental objectives. We express thefund’s contribution via a number of metrics that quantify the physical impacts of different projects financedby the Green bonds included in the Green Bond Fund. These include green energy produced, area coveredfor green buildings, passenger km travelled on green transport, and energy saved through green products.
This is made available to investor in the fund’s annual impact report5.
- Social Bonds: we have set up our social bond methodology to assess the contribution to social objectives(such as affordable housing) by social bonds. We analyze how each social bond performs in terms of social
benefits of the projects, the specificity of the target populations and social gaps, and the integrity of theissuer in implementing the social bond projects and reporting. After the bond is issued, we follow up withthe bond in 12 to 24 months to analyze the report published by the issuer in disclosing how they allocatedthe proceeds and the positive social benefits from the projects. At the fund level, we aggregate and estimate
the fund’s aggregate contribution to the social objectives. We express the fund’s contribution via a numberof metrics that quantify the impacts of different projects financed by the social and/or sustainability bonds
included in the Social Bond Fund such as contribution to unemployment benefits, supporting Small andMedium Enterprises through financing and contributing towards access to healthcare, supporting social
inclusion and education purposes. This is made available to investors in the fund’s annual impact report.6- Social Business: we have a systematic approach to impact measurement, with a framework that focuses onanswering three questions: i) WHO are the beneficiaries; ii) WHAT are the products and/or services developed
to answer social needs; iii) what are the excepted and effective impact on the beneficiaries (cf. HOW MUCH
dimension of impact from the IMP). The due diligence relies on robust screening solidarity criteria (social
utility, remuneration, governance) and strong understanding of the strategy of each investee to achieve asustainable social/environmental impact. Although qualitative, this screening process is set up to ensurethat each investee will not deviate from its intended impact objective. Once an investment is validated, we
define with the investee impact indicators that must be followed, included “mandatory” indicators according
to the sector, and “specific” indicators adapted to each investee. Indicators are then aggregated in an annual
impact report.

5
6

Our latest Green Impact Report can be found here: 4e5b2060-33c8-41fc-893e-faed3548b5d0 (bnpparibas-am.com)
Our latest Social Impact Report can be found here: 9ab279c1-7eae-422d-91d0-4c3391509084 (bnpparibas-am.com)

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 1 1 -- Impact Bonds: impact is at the very heart of the impact bond mechanism since remuneration of investors
depends on the achievement of pre-defined impact objectives. The contract sets the social/environmental
impact intent (1), the target beneficiary (2) and the magnitude of expected impact (3) at the beginningof the projects. During the due diligence phase, we analyze the capacity of the non-profit organization/social enterprise to achieve the impact objectives considering its track record or all other available data(including data from public database if available). The objective is to set up ambitious yet realistic targets
on the impact to be achieved. We systematically identify and present to the investment committee the risks
associated to the project.
- Towards Impact Fund I: first, the fund of funds tracks that underlying portfolio companies have a positive
impact. Each fund is asked to select key impact and ESG objectives and indicators each time they add acompany to their portfolio. To define these, we encourage funds to use the best practice of assessing theircompanies against the IMP’s 5 dimensions of impact. Secondly, it monitors that selected funds promotestrong impact and ESG practices while deploying capital in portfolio companies and that they progressively
adhere to better standards on these aspects when room for improvement exists. All the above will enable
the fund of funds to assess if these funds’ strategy can effectively be deemed to be generating a positive
impact. Finally, the fund of funds will report on its own engagement activities with funds to promote bestpractices in impact and ESG management. The adequacy and efficacy of these engagement activities will
also be assessed and reported on.
- Climate Impact Infra Debt: impact metrics will be assessed on a regular basis by a third party expert andpublished in a yearly report. Extra financial data can also be shared by borrowers or sponsors. We will track
induced emissions, avoided emissions, 2° Alignment, Net Environmental contribution as well as renewableelectricity produced and other impact metrics relevant to the nature of the project financed.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 1 2 -PRINCIPLE 5

ASSESS, ADDRESS, MONITOR, AND MANAGE POTENTIAL
NEGATIVE IMPACTS OF EACH INVESTMENT
For each investment the Manager shall seek, as part of a systematic and documented process, to identify andavoid, and if avoidance is not possible, mitigate and manage Environmental, Social and Governance (ESG)
risks. Where appropriate, the Manager shall engage with the investee to seek its commitment to take action toaddress potential gaps in current investee systems, processes, and standards, using an approach aligned withgood international industry practice. As part of portfolio management, the Manager shall monitor investees’ ESG
risk and performance, and where appropriate, engage with the investee to address gaps and unexpected events.
•

All BNPP AM funds are committed to implement our Global Sustainability Strategy and relevant and applicablesustainable finance regulations. This includes respecting BNPP AM’s policies on ESG integration, Responsible
Business Conduct7, as well as requirements linked to Principal Adverse Sustainability Impacts defined in the
REGULATION (EU) 2019/2088 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 27 November 2019 on
sustainability-related disclosures (SFDR) in the financial services sector, as outlined below. Together, thesepolicies act as a “do no significant harm” safety net, helping us to screen out investments that are at risk ofcreating significant negative impact.

In particular, Covered Assets meet the following requirements:
BNP Paribas requirements•

ESG integration: thoughtful ESG assessment and monitoring is an integral part of our investment processes
and we have a firm-wide commitment to integrate ESG into all our AUM.
- At BNPP AM (Green Bond and Social Bond Funds), the process to integrate and embed ESG factors is guided
by formal ESG Integration Guidelines8, which include strong commitments, including not to invest in an
entity without first establishing an ESG point of view (i.e. without an ESG score, or – if no ESG score isavailable – without undertaking a qualitative ESG analysis). This process enables us to make sure that weare mindful of potential ESG risks and opportunities before investing. We also consider the following - The
issuer must also meet several conditions: not be on BNPP AM Responsible Business Conduct Watchlist or
Exclusion list, have controversies worse or equal to level 4 nor 5 severities, not in the Oil & Gas sector (asdefined by BICS), Governance pillar score must be better than -10 points, and must not be in the bottom
10% (decile 10) of its peer group, according to our internal ESG scoring model. These issuer conditions
provide a baseline expectation of the issuer at the broader ESG level, such that there is some credibility on
the issuer’s part to successfully carry out the green & social projects/activities per commitment. We also
check that the issuer has formalized or implemented management systems to mitigate potential negative
risks to the financed projects, where certifications such as ISO 14001 or standards such as Equator Principles
are referenced to reflect the issuer‘s management systems.
- For Towards Impact Fund I a dedicated ESG integration policy and due diligence framework ensures that
underlying funds meet minimum requirements in integrating ESG throughout their investment lifecycle,
from origination to investment and reporting. This ESG integration is monitored over time. On an annual
basis, funds are asked how they mitigate the negative impact of their investments.
- For the Climate Impact Infra Debt strategy, Investment opportunities are analyzed pre-investment in orderto evaluate the sustainability of their practices and potential for impact. These ESG and impact analyses aredone at different levels: by verifying that sponsors are not in violation of our Responsible Conduct Policy, byassessing the investment opportunity’s contribution to climate change mitigation using the EU Taxonomy
framework, by assessing overall ESG risks and opportunities and by asking an external expert to analyze
the opportunity and to produce a series of ESG and impact metrics.

7
8

Our Responsible Business Conduct Policy: https://docfinder.bnpparibas-am.com/api/files/D8E2B165-C94F-413E-BE2E-154B83BD4E9B
BNPP AM’s ESG Integration guidelines can be found at this link: https://docfinder.bnpparibas-am.com/api/files/517E383E-5094-4908-A7CB-A0C0795C0288

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 1 3 -- For Social Business Impact, a dedicated ESG integration policy ensures that investees meet minimum
requirements in integrating ESG before investment (ESG risks analysis through a proprietary method +qualitative assessment of investments’ SFDR Principal Adverse Sustainability Impacts). This ESG integration
is monitored over time with an annual update of ESG analysis.
- For European Social Impact Bonds and European Impact Bonds fund 2, the projects invested in (deliveredby pure impact players pursuing defined social/ environmental missions, mainly consisting in social support
to vulnerable people) present by nature limited ESG risks. However, since 2023, a systematic ESG analysis
is formalized before each investment, to ensure that they meet minimum ESG requirements and that noESG risk is overlooked.
•

Responsible Business Conduct: we expect companies to meet their fundamental obligations in the areas ofhuman and labour rights, protecting the environment and ensuring anti-corruption safeguards, wherever they
operate, in line with the UN Global Compact Principles, OECD MNE Guidelines and UN Guiding Principles on
Human Rights. We aim to engage with companies when they fall short, and exclude the worst offenders. We also
have a series of policies that set out the conditions for investing in particular sectors, and guide our screening
requirements and engagement. We do this because if not conducted properly the activities in question could
cause serious social or environmental damage (such as palm oil). We have another set of policies that commit
us to exclude particular sectors or activities (tobacco, coal, controversial weapons or asbestos), as we deem
them to be in violation of international norms, or to present unacceptable harm to society or the environment,
without counterbalancing benefits. These are generally sectors where engagement makes little sense.

In the case of our Green Bond and Social Bond Fund, we take a proactive approach to managing environmental
and social risk, with the goal to manage and mitigate potential negative externalities arising from green and social
bond projects/activities (e.g. hazardous waste, water run-off, health & safety hazards). In order to do so, as partof our green and social bond framework we assess whether the issuer has adequate management systems andstandards to safeguard against negative externalities. For example, we will expect the issuer to follow national
standards at a minimum, or use international standards such as ISO14001 to manage overall environmental risks,or as best practice implement the Equator Principles.
Regulatory requirements
To comply with the “Do No Significant Harm” principle, as defined by the SFDR, the financial product takes into
account the indicators for adverse impacts in Table 1 of Annex I and any relevant indicators in Tables 2 and 3 ofAnnex I (Register of Commission Documents - C(2022)1931 (europa.eu)) and aligns with international norms andconventions detailed in the SFDR. Note BNPP AM’s Principle Adverse Sustainability Impact Statements can beaccessed at this link: https://www.bnpparibas-am.com/en/sustainability-documents/

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 1 4 -PRINCIPLE 6

MONITOR THE PROGRESS OF EACH INVESTMENT
IN ACHIEVING IMPACT AGAINST EXPECTATIONSAND RESPOND APPROPRIATELYThe Manager shall use the results framework (referenced in Principle 4) to monitor progress toward theachievement of positive impacts in comparison to the expected impact for each investment. Progress shall bemonitored using a predefined process for sharing performance data with the investee. To the best extent possible,
this shall outline how often data will be collected; the method for data collection; data sources; responsibilities
for data collection; and how, and to whom, data will be reported. When monitoring indicates that the investment
is no longer expected to achieve its intended impacts, the Manager shall seek to pursue appropriate action. The
Manager shall also seek to use the results framework to capture investment outcomes.
For all portfolios, impact KPI data is collected and managed throughout the investment lifecycle. At each pointof the investment process (and no later than annually), we review the impact against expectations and conduct
appropriate follow-ups whenever necessary (e.g. potential engagement and escalation, wherever appropriate).
•

Green Bonds: we assess progress on achieving impact and there is the opportunity to demote our green bondassessment should there be concerns. Our first assessment occurs when the issuer comes to the primarymarket. Data is collected through our internal scorecard based on the issuers’ disclosures, focusing on theissuer’s green finance framework and engagement with green bonds issuers In addition to primary data, ouranalysts use secondary data sources such as “second party opinions” provided by the ESG rating agencies
that evaluate the level of “greenness” and the alignment of Green Bonds with the Green Bonds Principles
and the EU Green Taxonomy. The second catalyst for assessment is when the issuer publishes its impact
report 12-24 months after the issuance. Our analysts use an internal scorecard template to collect key
impact information, focusing on i) actual project allocation; ii) output indicators (for example clean energy
installed capacity); and iii) impact indicators (GHG avoided). If the issuer doesn’t publish an appropriate
impact report, we demote the issuer i.e. recommendation becomes to not invest or sell if the bond is alreadyin a portfolio. If engagement is satisfactory and the green bond issuer publishes an appropriate impact
report, then we retain our initial recommendation to keep the bond as eligible for investment.

•

Social Bonds: we assess progress on achieving impact and there is the opportunity to demote our socialand sustainability bonds assessment should there be concerns. Our first assessment occurs when theissuer comes to the primary market. Data is collected through our internal scorecard based on the issuers’
disclosures, focusing on the issuer’s social or sustainability finance framework and engagement with social
or sustainability bonds issuers. In addition to primary data, our analysts use secondary data sources suchas “second party opinions” provided by the ESG rating agencies that evaluate the level of “socialness” andthe alignment of Social Bonds with the Social Bond and Sustainability Bond ICMA Standards. The second
catalyst for assessment is when the issuer publishes its impact report 12-24 months after the issuance.
Our analysts use an internal scorecard template to collect key impact information, focusing on i) actual
project allocation; ii) output indicators (for example unemployment benefits, access to affordable housing
or healthcare related projects); and iii) impact indicators (i.e. number of beneficiaries who received support
or number of affordable housing units constructed, renovated or acquired). If the issuer doesn’t publish
an appropriate impact report, we demote the issuer i.e. recommendation becomes to not invest or sell if
the bond is already in a portfolio. If engagement is satisfactory and the social or sustainability bond issuer
publishes an appropriate impact report, then we retain our initial recommendation to keep the bond as
eligible for investment.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 1 5 -•Social Business: evolution of the impact is assessed annually, through impact KPIs and qualitative interviews
with the investees. Once an investment is validated, we may define with the investee impact indicatorsthat must be followed, including “mandatory” indicators according to its sector and “specific” indicators
adapted to each investee (data collection may not be standardized, as it often depends on the size andnature of the investee company). The objective is to analyse how impact considerations are integrated
in the investees’ strategic plan. The annual assessment enables us to compare impact expectations to
the effective impact achievements: are the targeted beneficiaries the effective ones? Do the products andservices deployed enable the changes excepted for the beneficiaries? How is the impact strategy evolving
taking into account the effective results? There is an opportunity to engage with investees and potentiallyexit investments if the impact is deemed insufficient (which never occured so far). We also assess the risksof negative externalities through ESG questionnaires designed prior to investment and allowing to engage
with investees all along the investment lifecycle on ESG risks encompassed by impact achievment.

•

Impact Bonds: along the life of impact bonds, impact results are shared by the investees to the investors atleast once a year. Impact indicators are certified by an independent third party. Data collection process anddata source are contractually defined for each impact bond. All stakeholders of impact bonds (investors,
outcome funder and investee) have at heart to maximize the impact of the project. If impact indicators
occur to be below expectations, adaptation to improve impact performance of the project may be proposedand validated during the steering committees to which all stakeholders actively participate. If a project
obviously fails to generate the expected impact, exit is discussed in steering committee and contractual
provisions allow to stop financing the project.

•

Towards Impact fund I: Evolution of the impact is assessed annually and disclosed in an annual report.
We contractually agree upon - to the extent feasible – though side letter with each investee fund on thefollowing elements: impact and ESG data collection process and data source at both investee funds andportfolio companies levels, recognition of our impact mandate and hence need for regular exchanges withfunds for the purpose of defining action points to improve their impact and ESG practices. When funds fallshort of answering our data requests, of making themselves available for regular engagement interviews,
or of considering our recommendations for improvement, we notify them that it is not on par with our
expectations, in formal or unformal ways. To data all funds held in the portfolio for more than a year have
improved their practices. At portfolio company level, it is too early to fully document the impact natureof companies’ activities, their impact achievements and their ESG progresses or lack thereof for all thecompanies in the portfolio.

•

Climate Impact Infra Debt: impact metrics will be assessed on a regular basis by a third party expert andpublished in a yearly report. Extra financial data can also be shared by borrowers or sponsors.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 1 6 -PRINCIPLE 7

CONDUCT EXITS CONSIDERING THE EFFECTON SUSTAINED IMPACT
When conducting an exit, the Manager shall, in good faith and consistent with its fiduciary concerns, consider
the effect which the timing, structure, and process of its exit will have on the sustainability of the impact.
•

As a global asset manager, we manage a comprehensive range of active, passive and quantitative investment
solutions covering a broad spectrum of asset classes and regions. Exit considerations and our influence on
those considerations are dependent on the type of investments, whether public or private, direct or indirect,
the relative size of our positions, and fiduciary duty.

•

Green Bonds: several events can prompt a change in the team’s recommendation for inclusion in the investment
universe ex ante or ex post:- lack of ex-post reporting or sufficient detail and quality in ex-post reporting with no plan to improve despite
attempted engagements with the issuer.
- allocation of proceeds toward activities that are excluded by BNPP AM as part of its Responsible BusinessConduct policy.
- downgrade of the issuer’s ESG score to decile 10 (which is the bottom 10% within its peer group, according to
our internal ESG scoring model), which is considered a criteria for exclusion in the green bonds proprietary
framework as stated above- significant issuer controversy which incurs high negative environmental, social and/or reputation risks, ahistory of negative practices in managing environmental and social impacts in its activities and a failure tomeet the DNSH requirements.

•

Social Bonds: several events can prompt a change in the team’s recommendation for inclusion in the investment
universe ex ante or ex post:- lack of ex-post reporting or sufficient detail and quality in ex-post reporting with no plan to improve despite
attempted engagements with the issuer.
- allocation of proceeds toward activities that are excluded by BNPP AM as part of its Responsible BusinessConduct policy.
- downgrade of the issuer’s ESG score to decile 10 (which is the bottom 10% within its peer group, according to
our internal ESG scoring model), which is considered a criteria for exclusion in the green bonds proprietary
framework as stated above- significant issuer controversy which incurs high negative environmental, social and/or reputation risks, ahistory of negative practices in managing social and environmental impacts in its activities and a failure tomeet the DNSH requirements.

•

Social Business: in the event that a decision to exit must be made, we would take into consideration the impactof the decision for all stakeholders involved, including, but not limited to, the impact on sustainability of theinvestee’s business model and fiduciary duty to our clients. Nevertheless, such an event does not often occur
because of asset class dealed with by the fund. Equity is invested for a long period of time and the fund has
low liquidity requirements. Moreover, there are no “exit” in the case of debt investments but we do not hesitate
to ease our repayment conditions or postpone them should the situation require it. As a concrete example, we
decided to offer the possibility to delay – free of interest – the repayment terms initially due for Q2 2020, taking
into account the cash and economic issues encountered by our investees because of the COVID-19 crisis..

•

Impact Bonds: impact bonds are designed so that at the maturity of the investment, projects have made theproof of their efficiency and can be offered a permanent financing by public authority or private investors
depending on the nature of the project. For projects eligible to private financing, we liaise with and promote
the project toward BNP Paribas’s teams which would likely be interested by such an investment. When theefficiency is not fully demonstrated at the end of the impact bond we have the possibility to extend the maturityof the financing so that the project can be fully deployed. If a project obviously fails to generate the expected
impact, exit is discussed in steering committee and contractual provisions allow to stop financing the project.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 1 7 -•Towards Impact Fund 1: due to its nature as a fund of funds in private equity, the fund cannot conduct exits
considering the effect on sustained impact. However, it can favour investment funds that do and promote thispractice.

•

Climate Impact Infra Debt: due to its Buy & Hold nature, the fund cannot conduct exits considering the effecton sustained impact (there is usually no early exist in a Buy & Hold fund).

PRINCIPLE 8

REVIEW, DOCUMENT, AND IMPROVE DECISIONSAND PROCESSES BASED ON THE ACHIEVEMENTOF IMPACT AND LESSONS LEARNEDThe Manager shall review and document the impact performance of each investment, compare the expected
and actual impact, and other positive and negative impacts, and use these findings to improve operational andstrategic investment decisions, as well as management processes.
•

We learn from each of our impact investments. The impact market is evolving rapidly and there is constantinnovation. We continually innovate and strive to improve our impact management practices and processes,
including our impact investment analysis and measurement methodologies. We firmly believe there is a “feedbackloop” between us as an investor, the companies we engage with and our peers to share best practices and push
for improvements on impact and assessment methodologies and reporting. For example, we often consider
evolutions to our internal taxonomy of eligible green projects/activities for green bonds based on new available
information (e.g. adding large hydropower projects to our exclusion list, due to large negative social externalities).

•

Our Covered Assets’ impact frameworks are reviewed at least annually. From a governance perspective, BNPP
AM’s Investment and Executive Committees oversees the firm’s approach, policies, targets and reporting as they
relate to sustainability and impact.

•

Operationally, BNPP AM’s impact approach is piloted by an internal Impact Taskforce. The Taskforce is in chargeof the development and evolution of the firm’s impact framework, as well as related guidelines, checklists andpolicies. Strategies that desire to fall under the impact category are followed and vetted by members of the
Impact Taskforce to ensure impact considerations are wedded via a cohesive theory of change throughout theinvestment process, before validation of strategies’ classification at the Global Product Committee.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2022
4 D I S C LO S U R E STAT E M E N T - 1 8 -PRINCIPLE 9

PUBLICLY DISCLOSE ALIGNMENT WITH THE IMPACT
PRINCIPLES AND PROVIDE REGULAR INDEPENDENTVERIFICATION OF THE ALIGNMENTThe Manager shall publicly disclose, on an annual basis, the alignment of its impact management systems with the
Impact Principles and, at regular intervals, arrange for independent verification of this alignment. The conclusionsof this verification report shall also be publicly disclosed. These disclosures are subject to fiduciary and regulatory
concerns.
•

This Disclosure Statement reaffirms the alignment of the Covered Assets’ impact management systems with
the Impact Principles and will be updated annually.

•

The latest independent assurance report on the alignment of BNPP AM’s Covered Assets with the Impact Principles
is posted at https://www.bnpparibas-am.com/en/sustainability-documents/.

•		Independent verification of the Covered Assets’ impact management systems will be conducted on a regular basis(and no later than at 3-year intervals, or earlier if there is a significant change to our impact management systems).
•

Information on the current independent verifier is as follows:
Name and Address
EY & AssociésTour First 1 place des Saisons TSA 14444
92037 Paris La Défense Cedex France
Qualifications“EY is a global leader in assurance, tax, transaction and advisory services. The insights and quality
services we deliver help build trust and confidence in the capital markets and in economies theworld over. We develop outstanding leaders who team to deliver on our promises to all of our
stakeholders. In so doing, we play a critical role in building a better working world for our people,
for our clients and for our communities. EY refers to the global organization, and may refer toone or more, of the member firms of Ernst & Young Global Limited, each of which is a separate
legal entity. Ernst & Young Global Limited, a UK company limited by guarantee, does not provide
services to clients. Information about how EY collects and uses personal data and a description of
the rights individuals have under data protection legislation are available via ey.com/privacy. For
more information about our organization, please visit ey.com.”
Most Recent Review
July 26 2024

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2022
4 D I S C LO S U R E STAT E M E N T - 1 9 -ABOUT BNP PARIBAS ASSET MANAGEMENT
BNP Paribas Asset Management (BNPP AM) is BNP Paribas Group’s dedicated asset
management business that employs 3,207 people in 34 countries, including a largecommercial presence in Europe and the Asia-Pacific region. Through the BNP Paribas
Group integrated model, BNPP AM has access to a broad international client base andhas close relationships with BNP Paribas’ distribution networks.
Ranked the 10th largest asset manager in Europe*, BNPP AM manages €540 billion ofassets and benefits from the expertise of more than 500 investment professionals andaround 400 client-servicing specialists, serving individual, corporate and institutional
clients in 67 countries.
We offer investment solutions for individual investors (through internal distributors
within BNP Paribas Group and external distributors), and corporate and institutional
investors including insurance companies, pension funds and official institutions.
We offer portfolio investment expertise in line with clients’ long-term sustainable
performance expectations, including active, conviction-based strategies, liquidity
solutions, emerging markets, multi-assets, systematic, quantitative & index and private
assets.
BNP Paribas Asset Management, 31 December 2023. Joint ventures included in the
figures.
*Source: IPE Top 500 Asset Managers 2023.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 2 0 -APPENDIX – FUNDS’ THEORY OF CHANGETOWARDS IMPACT FUND I

CONTEXTA ‘theory of change’ describes the change that an initiative wishes to see and its understanding of how it will contributeto that change. BNP Paribas Towards Impact Fund I has been designed based on the following reasoning:

1
THE PROBLEM WE ARE TRYING TO ADDRESSAs described in the GIIN 2019’s Core Characteristics of Impact Investing’ report by their CEO: “To tackle issues on thescale of the Sustainable Development Goals and global climate targets, we must think much bigger and engage a muchbroader set of investors. Scale is essential. But it must be scale with integrity, to ensure we are achieving impact at scale,not just capital at scale.”
McKinsey’ Global Private Markets Review 2022 estimates the private equity market at USD 6.3 trillion. The Global Impact
Investing Network (GIIN)’s 2020 Annual Impact Investor Survey estimated the global impact investing market at USD 715
billion, 16% of which is in private equity. As a matter of a fact, self-labeled impact funds still represent a marginal subsetof the private equity market but the impact investment opportunity in the asset class is growing.
Across the private equity universe we distinguish thematic investors from impact investors. While the former focus onseizing the commercial opportunities that megatrends embedded in sustainability challenges offer, the others intentionallyfocus on solving sustainability issues in the first place.
We look at both because our conviction is that both have the potential to create measurable societal impact and attractiverisk-adjusted financial returns. We do observe that private equity managers integrate sustainability factors in theirinvestment strategies to varying degrees. The same goes for their investment process. There is a wide gap among
established players and emerging ones in terms of track records, expertise and knowledge on both impact and financial
aspects that must be addressed across the investment chain to scale the creation of a net positive impact in the asset class.

2
OUR IMPACT GOAL IS TWOFOLD• BNP Paribas Towards Impact Fund I’s mission is to bridge the gap between thematic investing and impact investing andhence contribute to the scaling of impact investing and to do so with integrity. Therefore we aim to:• Demonstrate that fostering economic growth and development while intentionally protecting natural assets and favoring
well-being across society represents a strong opportunity to generate risk-adjusted returns for investors• Showcase the structural added value of a fund of funds product in scaling impact investing and ESG in private equity.

The investments in the fund are subject to market fluctuations and the risks inherent in investments in securities. The value of investments and the income they generate
may go down as well as up and it is possible that investors will not recover their initial outlay, the fund described being at risk of capital loss.
For a Complete description and definition of risks, please consult the last available prospectus and KID of the fund. Investors considering subscribing to a fund should read
carefully its most recent prospectus and KID that can be downloaded free of charge from our site.
Past performances or achievement is not indicative of current or future performance.e.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 2 1 -LOGIC MODELBNP Paribas Towards Impact Fund I aims to reach these goals by investing and engaging with stakeholders in the following manner:

INPUTS
Raise a Fund of funds
to build a diversified
portfolio of growthand buy-out private
equity funds withthe potential togenerate positive,
measurable social andenvironmental impact
and risk-adjusted
financial returns.

Build a dedicatedinvestment teamwith financial andimpact expertize andincentivized to creating
both an impact andfinancial performance

Leverage BNPParibas’ expertise insustainability acrossimpact and ESG.

ACTIVITIESAsset Allocation:
Anchor the Fund’sinvestments instrategies, themes andsectors that have thepotential to generatesocietal impact.
Portfolio Construction:
Select GPs who see
the potential value ofmanaging impact andsustainable practices
and that are willing tocollaborate with theFund to advance onthese matters.
Portfolio engagement:
Actively engage with
GPs to support them inenhancing impact andsustainable beliefs andpractices along theirinvestment process.
Market engagement:
Join the impact sector
in advancing key
structural issues toadvance impact and
ESG practices andpromote these in the
broader private equity
sectorOUTPUTSGPs are better
equipped to select andscale companies thathave a positive societal
impact and sustain andgrow that impact.

OUTCOMES

Most companies in theportfolio have businessmodels that generate
a positive impact
on society ina sustainable way.

IMPACTThe Fund delivers
both social andenvironmental impact
and a financial return
contributing to global
sustainability goals.

GPs are better
equipped to support
companies in managing
material ESG factors
to address risks andcreate value.

The investment team isat the forefront of bestpractices and wellequipped tosupport GPs .

Most companies in
the portfolio have theknow-how to manage
and build value fromtheir exposure to andimpact on ESG factors,
and can operate theirbusiness in the mostsustainable way.

GPs launch successor
funds with improved
impact and ESG
strategies andprocesses.

.

The investments in the fund are subject to market fluctuations and the risks inherent in investments in securities. The value of investments and the income they generate
may go down as well as up and it is possible that investors will not recover their initial outlay, the fund described being at risk of capital loss.
For a Complete description and definition of risks, please consult the last available prospectus and KID of the fund. Investors considering subscribing to a fund should read
carefully its most recent prospectus and KID that can be downloaded free of charge from our site.
Past performances or achievement is not indicative of current or future performance.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 2 2 -APPENDIX – FUNDS’ THEORY OF CHANGE

BNP PARIBAS EUROPEAN SOCIAL IMPACT BONDS FUND AND BNP PARIBAS EUROPEAN
IMPACT BONDS FUND IICONTEXTA ‘theory of change’ describes the change that an initiative wishes to initiate and its understanding of how it will contributeto that change. Both BNP Paribas Impact Bonds Funds have been designed based on the following reasoning:
1
THE PROBLEM WE ARE TRYING TO ADDRESSThe fund aims to address a very large range of social and environmental issues.
Social topics:
In France and in Europe, millions of people are still living in poverty or experiencing social exclusion. It can take many forms.
In France, INSEE estimates that 9.2 million people – mostly unemployed people, single-parent families and migrants– areliving below the poverty line, accounting for almost 15% of the national population. INSEE also explains that more than
13% of the population is living in a situation of material and social deprivation, albeit more than 50% not living under thepoverty line. Material and social deprivation means that, for financial reasons, those persons are unable to cover at least
5 of the basics needs (i.e. heat their homes, buy new clothes, have a personal vehicle, spend one week of vacation outsideof their homes per year).
Another cause of vulnerability and exclusion is dependence or disability. INSEE estimates that there are 12 millions disabled
people in France. The statistics demonstrate that they are under-educated and under-employed. Access to mobility and toleisure are more difficult. They suffer stigma and discrimination.
Environmental topics:
Climate and resource conservation are major challenges for humanity.
According to analysis from the European Environment Agency, over the past 50 years, human consumption of natural
resources and raw materials has increased tenfold. Materials used to produce consumer goods are therefore becoming
increasingly scarce and their manufacture involves the emission of greenhouse gases. Moreover, throwing away a productafter use increases the volume of waste, which is a source of pollution with negative effects on human health and biodiversity.
According to estimates by the Intergovernmental Panel on Climate Change (IPCC), human activities have caused global
warming of between 0.8°C and 1.2°C above pre-industrial levels. At the current rate, global warming is likely to reach
1.5°C between 2030 and 2050.
The consequences of global warming observed and predicted by climatologists are numerous. They concern in particular:
rising sea and ocean levels; intensification of a number of natural disasters which will lead to large population movements;
loss of biodiversity; tensions around access to water or food; public health problems; risk of climate conflicts; etc.
2
OUR IMPACT GOAL
BNP Paribas European Social Impact bonds fund and BNP Paribas European Impact bonds Fund II mission is to contributeto solutions for people in situation of vulnerability or the planet by financing innovative social or environmental projects
run by non-profit organizations or social enterprises in the European Union.
In addition, the specific governance on impact bonds through steering committee allows all stakeholders (NGOs/Social
Enterprise, Private Funders, Public authority) to monitor the progress of the project as well as its social and/or environmental
impact measures which favor the continuation of most efficient solutions after impact bond maturity.
The investments in the fund are subject to market fluctuations and the risks inherent in investments in securities. The value of investments and the income they generate
may go down as well as up and it is possible that investors will not recover their initial outlay, the fund described being at risk of capital loss.
For a Complete description and definition of risks, please consult the last available prospectus and KID of the fund. Investors considering subscribing to a fund should read
carefully its most recent prospectus and KID that can be downloaded free of charge from our site.
Past performances or achievement is not indicative of current or future performance.e.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 2 3 -LOGIC MODELBNP Paribas Impact Bonds Funds aim at reaching these goals by investing and engaging with stakeholders in the following manner:

INPUTS

Raise a fund to build adiversified portfolio ofexperimental projects
proposed by NGOs
and social enterprisewith the potential togenerate positive andmeasurable social
impactBuild a dedicatedteams with financial
and impact expertiseworking in the entire
value chain: fromprospection, to analysis
and investment
recommendations, tofollow-up and support

Leverage on
BNP Paribas presencein France and in Europe
to finance local projects

ACTIVITIESProspection:
Rely on BNP Paribas
SA Impact bonds
structuring team
to source newopportunities

Analysis of theinvestment
opportunities: relyon BNP Paribas SA
Impact bonds analysis
team to confirm theinvestments alignment
with the fund strategy,
including impact,
governance, ESG

Portfolio follow-up& support: assess
the evolution of the
projects in terms ofimpact, participatingin the steeringcommittees

OUTPUTSBNP Paribas leaderrole on impact
bonds has attracted
institutional investors
who will be regularly
informed of thesocial/environmental
performance of the
project financed
and may favor theircontinuity

BNP Paribas European
Social Impact bonds
fund has invested in
8 projects. At the endof 2023, 4 projects had
been financed through
BNP Paribas European
Impact bonds Fund2 and a pipeline of new
projects were readyto be signed in 2024.

The team is at theforefront of bestpractices and wellequipped to support
NGOs and social
enterprises

OUTCOMES

The large size of the
new fund will allow toaccelerate the financingof Impact bonds andthus the structuring ofinnovative projects

NGOs and social
enterprises canexperiment new
projects and scale-up,
reaching a broader
type and/or numberof beneficiaries and/or
delivering additional
solutions with apositive impact for
beneficiaries

IMPACT
Financing gap for nonprofit organizations
is reduced Impacts ofsocial / environmental
projects are assessedby an independent
third party, bringing
knowledge on the issue
tackled
Projects whichefficiency has been
demonstrated findpermanent financing
to maintain their highimpact level

Vulnerable people
benefit from products
and services to increasesocial inclusion,
environmental
solutions are developed
to tackle the climate
and biodiversity crisis

The investments in the fund are subject to market fluctuations and the risks inherent in investments in securities. The value of investments and the income they generate
may go down as well as up and it is possible that investors will not recover their initial outlay, the fund described being at risk of capital loss.
For a Complete description and definition of risks, please consult the last available prospectus and KID of the fund. Investors considering subscribing to a fund should read
carefully its most recent prospectus and KID that can be downloaded free of charge from our site.
Past performances or achievement is not indicative of current or future performance.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 2 4 -APPENDIX – FUNDS’ THEORY OF CHANGE
GREEN BONDSCONTEXTA ‘theory of change’ describes the change that an initiative wishes to see and its understanding of how it will contributeto that change.
The BNP Paribas Green Bond Fund is a SFDR Article 9 fund which applies our BNP Paribas Asset Management proprietary
Sustainable Investment Policy and invests in securities that provide solutions to environmental and/or social challenges.
Each issuer must respect sustainable development criteria in terms of social, environmental and/or governance factors.
The security selection criteria for this green bond fund includes BNP Paribas Asset Management’s own thematic bondassessment methodology, taking into account the extent of contribution of the use of proceeds towards environmental
objectives. We apply a strict and comprehensive in-house definition of a green bond through our ESG research, placinga high level of importance on reputational risk (avoiding green-washing). For more information about our Green Bond
methodology, please see BNPP AM Sustainability documents.

1
THE PROBLEMS WE ARE TRYING TO ADDRESSGreen bonds are specifically used to raise money for projects with environmental benefits such as energy transition; energy
efficiency; sustainable water management; sustainable agriculture and clean transportation; environmentally sustainable
management of living natural resources and land use; green buildings; circular economy adapted products, production
technologies and processes; terrestrial and aquatic biodiversity conservation; climate change adaptation.
Policy developments and increased client awareness means that investors are under increasing pressure to better manage
and report on their positive environmental and societal impacts. While the investment community has demonstrated
appetite for instruments which meet positive environmental criteria, there are limited solutions in the market to help
them systematically assess and quantify the positive impacts of green bonds.
The fund has a sustainable investment objective in accordance with Article 9* of Sustainable Finance Disclosure Regulation.
The fund is invested in bonds issued by entities supporting projects, assets and activities that have positive environmental
outcomes. The sub-fund invests at least 2/3 of its assets in green bonds denominated in hard currencies. Green bonds
are use-of-proceeds bonds issued by corporates, supranationals, central governments, agencies, local entities and local
governments.
2
OUR IMPACT GOALS
There are a number of metrics that quantify the physical impacts of different projects financed by the Green bonds
included in the Green Bond Fund. These include green energy produced, area covered for green buildings, passenger km
travelled on green transport, and energy saved through green products. Impact assessment and measurement of thepositive environmental impacts of green bonds helps to address the growing market concern regarding the number ofself-proclaimed financial which are either not audited at all or assessed inconsistently in the market. Therefore, the Green
Bond fund is represented by an impact dataset that is designed to estimate the potential positive impacts and avoided
carbon emissions from green bond investments.

The investments in the fund are subject to market fluctuations and the risks inherent in investments in securities. The value of investments and the income they generate
may go down as well as up and it is possible that investors will not recover their initial outlay, the fund described being at risk of capital loss.
For a Complete description and definition of risks, please consult the last available prospectus and KID of the fund. Investors considering subscribing to a fund should read
carefully its most recent prospectus and KID that can be downloaded free of charge from our site.
Past performances or achievement is not indicative of current or future performance.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 2 5 -LOGIC MODELBNP Paribas Green Bond Fund aims to reach these goals by investing and engaging with stakeholders in the following manner:

INPUTS

Raise funds tobuild a diversified
portfolio of thematicbonds to generate
positive, measurable
environmental
impactand riskadjusted financial
returns

Build a dedicatedinvestment team
together with the ESG
analysts with financial,
ESG and impact
expertise to incentivize
and create
a positive impact
and the financial
performance

Leverage BNPP AM’s
Sustainability Centre
analysts and expertisein sustainability acrossthematic strategies,
sustainable financeand impact

ACTIVITIESOUTPUTSOUTCOMESIMPACT

Portfolio construction:
minimum 95.4*% oftotal assets invested
in Global green bonds;
Aggregate: corporate
and governmentissuances, agencies,
covered bonds, ABS
Global but emphasis on
European market

The focus of the ESG
scoring system is
on: actual project
allocation; output
indicators (clean
energy installedcapacity): impact
indicators (GHG
avoided). If the issuer
doesn’t publish
an appropriate
impact report, therecommendation
becomes to engage
with an issuer, or notinvest, or sell if thebond is already in a
portfolio

Issuers in the portfolio
have the Use ofProceeds that generate
a positive impact onsociety in a sustainable
environmental andsocial way

Raise funds tobuild a diversified
portfolio of thematicbonds to generate
positive, measurable
environmental impact
and risk-adjusted
financial returns

The portfolio managers
and ESG analysists
focus our engagementon three key areas:
output and impact
indicators and actual
project allocation. If theissuer fails to provide asatisfactory explanation
for not providing
impact indicators,
the green bond will
be excluded from theinvestment universeand sold if the bond isalready in the portfolio

Ex-Post step of theassessment uses
Issuer’s reports thatneed to be evaluatedon the impacts ofthe project, the real
allocation of proceeds,
the existence of an
external verificationof the funds allocationand social andenvironmental impact.
If the issuer does notprovide a report, it isremoved from the fund

The Green Bondfund is represented
by an impact reportthat is designed todemonstrate thepotential positive
impacts and avoided
carbon emissions
from green bondinvestments

Use of Proceeds:
energy transition(e.g. renewableenergy); energy
efficiency; sustainable
water management;sustainableagriculture andclean transportation;
management of living
natural resources
and land use; green
buildings; circular
economy adapted
products, production
technologies &processes; terrestrial& aquatic biodiversity
conservation; climatechange adaptation.
Portfolio engagement:
Actively engage with
Green Bond issuers
Throughout
the lifecycle of
the green bond

The investments in the fund are subject to market fluctuations and the risks inherent in investments in securities. The value of investments and the income they generate
may go down as well as up and it is possible that investors will not recover their initial outlay, the fund described being at risk of capital loss.
For a Complete description and definition of risks, please consult the last available prospectus and KID of the fund. Investors considering subscribing to a fund should read
carefully its most recent prospectus and KID that can be downloaded free of charge from our site.
Past performances or achievement is not indicative of current or future performance.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 2 6 -APPENDIX – FUNDS’ THEORY OF CHANGE
SOCIAL BONDSCONTEXTA ‘theory of change’ describes the change that an initiative wishes to see and its understanding of how it will contributeto that change.
The BNP Paribas Green Bond Fund is a SFDR Article 9 fund which applies our BNP Paribas Asset Management proprietary
Sustainable Investment Policy and invests in securities that provide solutions to environmental and/or social challenges.
Each issuer must respect sustainable development criteria in terms of social, environmental and/or governance factors.
The security selection criteria for this green bond fund includes BNP Paribas Asset Management’s own thematic bondassessment methodology, taking into account the extent of contribution of the use of proceeds towards environmental
objectives. We apply a strict and comprehensive in-house definition of a green bond through our ESG research, placinga high level of importance on reputational risk (avoiding green-washing). For more information about our Social Bond
methodology, please see BNPP AM Sustainability documents.

1
THE PROBLEMS WE ARE TRYING TO ADDRESS
Social and/or Sustainability bonds are specifically used to raise money for projects with social benefits for social bonds,
and both social and environmental benefits for sustainability bonds, such as employment benefits and support; affordable
housing units constructed, renovated or acquired; healthcare benefits; SME financing; education, and the social inclusion
benefits.
Policy developments and increased client awareness means that investors are under increasing pressure to better manage
and report on their positive social and societal impacts. While the investment community has demonstrated appetite for
instruments which meet positive social criteria, there are limited solutions in the market to help them systematicallyassess and quantify the positive impacts of social and/or sustainability bonds.

2
OUR IMPACT GOALS
There are a number of metrics that quantify the real world impacts of different projects financed by the Social and/or
Sustainability bonds included in the Social Bond Fund. These include number of beneficiaries who received employment
benefits and support; number of affordable housing units constructed, renovated or acquired; number of hospital beds /spaces financed; number of SME jobs created / retained; number of student beneficiaries financed, and the social inclusion
beneficiaries. Impact assessment and measurement of the positive social impacts of social and/or sustainability bonds helps
to address the growing market concern regarding the number of self-proclaimed financial which are either not audited
at all or assessed inconsistently in the market. Therefore, the Social Bond fund is represented by an impact dataset thatis designed to estimate the potential positive impacts and number of beneficiaries within targeted population from social
and/or sustainability bonds investments.

The investments in the fund are subject to market fluctuations and the risks inherent in investments in securities. The value of investments and the income they generate
may go down as well as up and it is possible that investors will not recover their initial outlay, the fund described being at risk of capital loss.
For a Complete description and definition of risks, please consult the last available prospectus and KID of the fund. Investors considering subscribing to a fund should read
carefully its most recent prospectus and KID that can be downloaded free of charge from our site.
Past performances or achievement is not indicative of current or future performance.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 2 7 -LOGIC MODELBNP Paribas Social Bond Fund aims to reach these goals by investing and engaging with stakeholders in the following manner:

INPUTS

Raise funds to build
a diversified portfolioof thematic bonds
to generate positive,
measurable social
and/or environmental
impactand riskadjusted financial
returns

Build a dedicatedinvestment team
together with the
ESG analysts withfinancial, ESG and
impact expertise to
incentivize and create apositive impact and thefinancial performance

Leverage BNPP AM’s
Sustainability Centre
analysts and expertisein sustainability acrossthematic strategies,
sustainable financeand impact

ACTIVITIESOUTPUTS

Portfolio construction:
Almost 64.7% of total
assets invested inSocial bonds andalmost 31.8% into
Sustainability bonds
with the largest
number of assets been
deployed in Europe atabout 82%

The focus of the ESG
scoring system is
on: actual project
allocation; output
indicators (affordable
housing units
constructed, renovatedor acquired): impact
indicators (access toaffordable housing).

Use of Proceeds:
such as employment
benefits and support;
affordable housing units
constructed, renovatedor acquired; healthcare
benefits; SME financing;education, andthe social inclusion
benefits

Portfolio engagement:
Actively engage
with Social and/or
Sustainability Bonds
issuers Throughout
the lifecycle ofthe social bondIf the issuer doesn’t
publish an appropriate
impact report, therecommendation
becomes to engage
with an issuer, or notinvest, or sell if thebond is alreadyin a portfolio
The portfolio managers
and ESG analysists
focus our engagementon three key areas:
output and impact
indicators and actual
project allocation. If theissuer fails to provide asatisfactory explanation
for not providing
impact indicators,
the green bond will
be excluded from theinvestment universeand sold if the bond isalready in the portfolio

OUTCOMESIMPACT

Issuers in the portfolio
have the Use ofProceeds that generate
a positive impact onsociety in a sustainable
environmental andsocial way

Raise funds to build
a diversified portfolioof thematic bonds
to generate positive,
measurable socialand environmental
impactand riskadjusted financial
returns

Ex-Post step of theassessment uses
Issuer’s reports thatneed to be evaluatedon the impacts of the
project, the real
allocation of proceeds,
the existence of an
external verification of
the funds allocationand social andenvironmental impact.
If the issuer does notprovide a report, it isremoved from the fund

The Social Bondfund is represented
by an impact reportthat is designed todemonstrate thepotential positive
impacts and numberof beneficiaries withintargeted populationfrom social and/or
sustainability bonds
investments

The investments in the fund are subject to market fluctuations and the risks inherent in investments in securities. The value of investments and the income they generate
may go down as well as up and it is possible that investors will not recover their initial outlay, the fund described being at risk of capital loss.
For a Complete description and definition of risks, please consult the last available prospectus and KID of the fund. Investors considering subscribing to a fund should read
carefully its most recent prospectus and KID that can be downloaded free of charge from our site.
Past performances or achievement is not indicative of current or future performance.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 2 8 -APPENDIX – FUNDS’ THEORY OF CHANGE
SOCIAL BUSINESSCONTEXTA ‘theory of change’ describes the change that an initiative wishes to initiate and its understanding of how it will contributeto that change. BNP Paribas Social Business Impact Fund has been designed based on the following reasoning:

1
THE PROBLEM WE ARE TRYING TO ADDRESSIn France and in Europe, millions of people are still living into poverty or experiencing social exclusion. It can take many forms.
In France, INSEE estimates that 9.2 million people – mostly unemployed people, single-parent families and migrants– areliving below the poverty line, accounting for almost 15% of the national population. INSEE also explains that more than
13% of the population is living in a situation of material and social deprivation, albeit more than 50% not living under thepoverty line. Material and social deprivation means that, for financial reasons, those persons are unable to cover at least 5of the basics needs (heat their homes, buy new clothes, have a personal vehicle, spend one week of vacation outside of theirhomes per year, …). A 2021 study by IFOP on social exclusion and poverty points out that 25-34 years old are particularly
affected by social exclusion, and two new fragile populations are emerging: working poors and seniors.
Another cause of vulnerability and exclusion is disability. INSEE estimates that there are 12 millions disable people inFrance. And it is not only a question of ability. The statistics demonstrate that they are under-educated, under-graduatedand under-employed. Access to mobility and to leisure are more difficult. They suffer stigma and discrimination.
Finally, the 2022 IPCC report finds that environmental issues strengthen inequalities as they disproportionately affect themost vulnerable people. It estimates that approximately 3.3 to 3.6 billion people live in contexts that are highly vulnerable
to climate change.

2
OUR IMPACT GOAL IS TWOFOLDBNP Paribas Social Business Impact Fund’s mission is to contribute to solutions for people in situation of vulnerability bybridging the financing gap for non-profit organizations and social businesses in France and in Europe. We achieve thisby financing:• Non-profit organizations and social businesses that aim at answering the needs of vulnerable people, by offering them
directly products and services with a positive social and/or environmental impact;• By offering adapted financing tools with low-interest and by creating long-term trusted partnerships.

The investments in the fund are subject to market fluctuations and the risks inherent in investments in securities. The value of investments and the income they generate
may go down as well as up and it is possible that investors will not recover their initial outlay, the fund described being at risk of capital loss.
For a Complete description and definition of risks, please consult the last available prospectus and KID of the fund. Investors considering subscribing to a fund should read
carefully its most recent prospectus and KID that can be downloaded free of charge from our site.
Past performances or achievement is not indicative of current or future performance.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 2 9 -LOGIC MODELBNP Paribas Social Business Impact Fund aims at reaching these goals by investing and engaging with stakeholders in thefollowing manner:

INPUTS

Raise a fund to build
a diversified portfolioof mature non-profit
organizations andsocial businesses
with the potential togenerate positive andmeasurable social
impactBuild a dedicatedteam with financial
and impact expertize
working in the entire
value chain: fromprospection, to analysis
and investment
recommendations, tofollow-up and support

Leverage BNP Paribaspresence in France andin Europe to financelocal projects

ACTIVITIESProspection:
Promote social
impact finance andthe financing tools
available for non-profit
organizations andsocial businesses
Analysis of theinvestment
opportunities:
Analyze the investment
opportunities alignedwith the fund strategy,
including impact,
governance, ESG andfinancial analysis
Portfolio follow-up& support: Assess
the evolution of theinvestees, in terms ofimpact and financial
risks, and offer tailormade support

Market engagement:
Join the impact
sector in advancing
key structural issues
to advance impact
practices andpromote these

OUTPUTSThe Social Businessteam meet new nonprofit organizations
and social businesses
thanks to BNP Paribasbank network, eventsand close partnerships
with incubators andother investors

At the end of 2023,
the fund is invested
in 30 non-profit
organizations andsocial businesses, inequity, quasi-equity anddebt

The investment teamis at the forefront ofbest practices andwell-equipped tosupport non-profit
organizations andsocial businesses

OUTCOMESThe Social Businessteam contribute toimprove awarenessand understandingof the financing tool
dedicated to non-profit
organization and social
businesses

Non-profit
organizations andsocial businesses
can implement theirbusiness plan andscale-up, reaching abroader type and/or
number of beneficiaries
and/or delivering
additional solutions
with a positive impact
for beneficiaries

IMPACT

Financing gap for nonprofit organizations andsocial businesses
is reduced

Vulnerable people
benefit from products
and services toaccess basic needs
and increase social
inclusion

The investments in the fund are subject to market fluctuations and the risks inherent in investments in securities. The value of investments and the income they generate
may go down as well as up and it is possible that investors will not recover their initial outlay, the fund described being at risk of capital loss.
For a Complete description and definition of risks, please consult the last available prospectus and KID of the fund. Investors considering subscribing to a fund should read
carefully its most recent prospectus and KID that can be downloaded free of charge from our site.
Past performances or achievement is not indicative of current or future performance.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 3 0 -APPENDIX – FUNDS’ THEORY OF CHANGE
CLIMATE IMPACT INFRA DEBTCONTEXTA ‘theory of change’ describes the change that an initiative wishes to see and its understanding of how it will contributeto that change. BNP Paribas Climate impact private debt fund will invest in private debt infrastructures with the aim tocontribute to mitigating climate change. The approach has been designed based on the following reasoning:

1
THE PROBLEMS WE ARE TRYING TO ADDRESSThe IPCC considers that “Human activities, principally through emissions of greenhouse gases, have unequivocally caused
global warming, with global surface temperature reaching 1.1°C above 1850–1900 in 2011–2020. Global greenhouse gas
emissions have continued to increase, with unequal historical and ongoing contributions arising from unsustainable energyuse, land use and land-use change, lifestyles and patterns of consumption and production across regions, between andwithin countries, and among individuals” (source: https://report.ipcc.ch/ar6syr/pdf/IPCC_AR6_SYR_SPM.pdf)
Global CO2 emissions caused by human activities have reached in 2022 record levels bringing CO2 concentration in theatmosphere close to a tipping point. According to the International Energy Agency, global CO2 emissions have grown by
0,9%, reaching a new high of over 36,8 Gt. Human GHG emissions are strongly affecting climate and is responsible for
an increase in global warming by already around 1°C since the industrial revolution. Global warming is in turn alreadybringing an increase in the frequency and intensity of hot extremes, marine heatwaves, heavy precipitation, agriculturaland ecological droughts; an increase in intense tropical cyclones which are expected to worsen as global temperatures
increase. Climate-related risks to health, livelihoods, food security, water supply, human security, and economic growth areprojected to boom with a 1.5°C global warming and to worsen as temperature rises beyond this point. The consequence
will be strong negative impacts on sustainable development making climate change one of the most pressing challenges
humanity is facing.
In order to mitigate these risks, global warming must be contained to 1.5°C, this implies that the quantity of GHG emitted
does not exceed the storage capacities of natural sinks. This requires a dual approach: reduce emissions and optimize
carbon sinks. Reducing emissions can be made possible via two ways: by having emitters transitioning to low carbon orcarbon neutral activities or by developing enabling solutions to support economic players in their transition. Optimizing
carbon capture capacity can be done through natural sinks –like ocean, forests or soil- or thanks to artificial captureand storage solutions. The International Energy Agency indicates that $4 trillion are need annually to reach net zero
emissions by 2050.

2
OUR IMPACT GOALS
The fund will target positive impact by allocating capital in assets that are part of the solutions described above. The fundwill use the EU Taxonomy as a framework to identify assets that are relevant to contribute to climate change mitigation.
Eligible assets can be either aligned to this framework, or eligible under the condition that a set of additional criteria aremet. This includes a minimum environmental score computed by a third-party expert as well as several climate metrics.

The investments in the fund are subject to market fluctuations and the risks inherent in investments in securities. The value of investments and the income they generate
may go down as well as up and it is possible that investors will not recover their initial outlay, the fund described being at risk of capital loss.
For a Complete description and definition of risks, please consult the last available prospectus and KID of the fund. Investors considering subscribing to a fund should read
carefully its most recent prospectus and KID that can be downloaded free of charge from our site.
Past performances or achievement is not indicative of current or future performance.

O P E R AT I N G P R I N C I P L E S F O R I M PA C T M A N A G E M E N T – B N P PA R I B A S A S S E T M A N A G E M E N T –2 0 2 4 D I S C LO S U R E STAT E M E N T - 3 1 -LOGIC MODELBNP Paribas Climate Impact Private Debt Fund aims at reaching these goals by investing and engaging with stakeholders
in the following manner:

INPUTS

ACTIVITIESRaise funds to build
a diversified portfolio
of infrastructure
debt with thepotential to generate
positive, measurable
environmental impact
and risk-adjusted
financial returns

Deal Sourcing:
identify assets
with the potential
to contributeto mitigatingclimate change

Leverage on a
dedicated investment
team with financial andimpact expertise andgenerate both impact
and financial returns

Leverage
BNP Paribas’ expertisein sustainability acrossimpact and ESG

Deal analysis:
analysis of each
opportunity froma financial, ESG and
impact perspective
to assess the alignment
with the fund’s
impact strategy

Asset Allocation:anchor the Fund’sinvestments inactivities and solutions
that have the potential
to generate positiveenvironmental impact

OUTPUTSThe Fund finances
assets which contributeto mitigating climatechange either by
the fact that they
are reducing theiremissions over timeor offer products
or services which
are supporting thetransition to a low
carbon economy (suchas renewable energy
or clean mobility
solutions, etc.)

OUTCOMES

The portfolio assets
will produce services
which are either
in the process ofdecarbonation or
which are offering
products or services
which contributeto supporting thetransition to a low
carbon economy.
The outcomes canbe measured by thequantities produced(for instance thequantity of renewableenergy produced or
the number of km
travelled by low carbon
solutions, etc.

IMPACT

Increase available
capital to solutions
that will contributeto mitigatingclimate change

Pave the way
for more impact
infrastructure
debt funds

PIntentionality:
the Fund aims
to deliver anenvironmental impact
and a financial return

The investments in the fund are subject to market fluctuations and the risks inherent in investments in securities. The value of investments and the income they generate
may go down as well as up and it is possible that investors will not recover their initial outlay, the fund described being at risk of capital loss.
For a Complete description and definition of risks, please consult the last available prospectus and KID of the fund. Investors considering subscribing to a fund should read
carefully its most recent prospectus and KID that can be downloaded free of charge from our site.
Past performances or achievement is not indicative of current or future performance.

The information contained in this Disclosure Statement has not been verified or endorsed by the Global Impact Investing Network (“the GIIN”)
or the Secretariat or Advisory Board. All statements and/or opinions expressed in these materials are solely the responsibility of the person orentity providing such materials and do not reflect the opinion of the GIIN. The GIIN shall not be responsible for any loss, claim or liability thatthe person or entity publishing this Disclosure Statement or its investors, Affiliates (as defined below), advisers, employees or agents, or any
other third party, may suffer or incur in relation to this Disclosure Statement or the impact investing principles to which it relates. For purposes
hereof, “Affiliate” shall mean any individual, entity or other enterprise or organization controlling, controlled by, or under common control with
the Signatory.
BNP PARIBAS ASSET MANAGEMENT Europe, “the investment management company”, is a simplified joint stock company with its registered officeat 1 boulevard Haussmann 75009 Paris, France, RCS Paris 319 378 832, registered with the “Autorité des marchés financiers” under number GP
96002.
This material is issued and has been prepared by the investment management company.
This material is produced for information purposes only and does not constitute:
1. an offer to buy nor a solicitation to sell, nor shall it form the basis of or be relied upon in connection with any contract or commitment
whatsoever or
2. investment advice.
This material makes reference to certain financial instruments authorised and regulated in their jurisdiction(s) of incorporation.
No action has been taken which would permit the public offering of the financial instrument(s) in any other jurisdiction, except as indicated in
the most recent prospectus of the relevant financial instrument(s), or on the website (under heading “our funds”), where such action would be
required, in particular, in the United States, to US persons (as such term is defined in Regulation S of the United States Securities Act of 1933).
Prior to any subscription in a country in which such financial instrument(s) is/are registered, investors should verify any legal constraints or
restrictions there may be in connection with the subscription, purchase, possession or sale of the financial instrument(s).
Investors considering subscribing to the financial instrument(s) should read carefully the most recent prospectus and Key Information Document(KID) and consult the financial instrument(s’) most recent financial reports.
These documents are available in the language of the country in which the financial instrument(s) is authorised for the distribution and/or in
English as the case may be, on the following website, under heading "our funds": https://www.bnpparibas-am.com/

Given the economic and market risks, there can be no assurance that the financial instrument(s) will achieve its/their investment objectives.
Returns may be affected by, amongst other things, investment strategies or objectives of the financial instrument(s) and material market
and economic conditions, including interest rates, market terms and general market conditions. The different strategies applied to financial
instruments may have a significant effect on the results presented in this material. Past performance is not a guide to future performance and thevalue of the investments in financial instrument(s) may go down as well as up. Investors may not get back the amount they originally invested.
The performance data, as applicable, reflected in this material, do not take into account the commissions, costs incurred on the issue andredemption and taxes.
You can obtain this by clicking here: www.bnpparibas-am.fr/investisseur-professionnel/synthese-des-droits-des-investisseurs a summary ofinvestor rights in French. BNP PARIBAS ASSET MANAGEMENT Europe may decide to terminate the arrangements made for the marketing of its
collective investment undertakings/financial instruments, in the cases covered by the applicable regulations.
“The sustainable investor for a changing world” reflects the objective of BNP PARIBAS ASSET MANAGEMENT Europe to integrate sustainable
development into its activities, although not all funds managed by BNP PARIBAS ASSET MANAGEMENT Europe fulfil the requirement of either
Article 8, for a minimum proportion of sustainable investments, or those of Article 9 under the European Regulation 2019/2088 on sustainabilityrelated disclosures in the financial services sector (SFDR). For more information, please see www.bnpparibas-am.com/en/sustainability.

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Opinions included in this material constitute the judgement of the investment management company at the time specified and may be subject
to change without notice. The investment management company is not obliged to update or alter the information or opinions contained within
this material. Investors should consult their own legal and tax advisors in respect of legal, accounting, domicile and tax advice prior to investingin the financial instrument(s) in order to make an independent determination of the suitability and consequences of an investment therein, if
permitted. Please note that different types of investments, if contained within this material, involve varying degrees of risk and there can be noassurance that any specific investment may either be suitable, appropriate or profitable for an investor’s investment portfolio.

The sustainable
investor for achanging world