BNP PARIBAS ASSET MANAGEMENT EUROPE

PRINCIPAL ADVERSE SUSTAINABILITYIMPACTS STATEMENT
June 2024

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 2

For the purposes of this statement, the following definitions shall apply:(1)‘scope 1, 2 and 3 GHG emissions’ means the scope of greenhouse gas emissions referred to in points (1)(e)(i) to (iii) of Annex III to Regulation (EU) 2016/1011 of
the European Parliament and of the Council1;(2)‘greenhouse gas (GHG) emissions’ means greenhouse gas emissions as defined in Article 3, point (1), of Regulation (EU) 2018/842 of the European Parliamentand of the Council2;(3)‘weighted average’ means a ratio of the weight of the investment by the financial market participant in an investee company in relation to the enterprise value of theinvestee company;(4)‘enterprise value’ means the sum, at fiscal year-end, of the market capitalisation of ordinary shares, the market capitalisation of preferred shares, and the bookvalue of total debt and non-controlling interests, without the deduction of cash or cash equivalents;(5)‘companies active in the fossil fuel sector’ means companies that derive any revenues from exploration, mining, extraction, production, processing, storage, refining
or distribution, including transportation, storage and trade, of fossil fuels as defined in Article 2, point (62), of Regulation (EU) 2018/1999 of the European Parliamentand of the Council3;(6)‘renewable energy sources’ means renewable non-fossil sources, namely wind, solar (solar thermal and solar photovoltaic) and geothermal energy, ambient energy,tide, wave and other ocean energy, hydropower, biomass, landfill gas, sewage treatment plant gas, and biogas;(7)‘non-renewable energy sources’ means energy sources other than those referred to in point (6);(8)‘energy consumption intensity’ means the ratio of energy consumption per unit of activity, output or any other metric of the investee company to the total energy
consumption of that investee company;(9)‘high impact climate sectors’ means the sectors listed in Sections A to H and Section L of Annex I to Regulation (EC) No 1893/2006 of the European Parliamentand of the Council4;(10)‘protected area’ means designated areas in the European Environment Agency’s Common Database on Designated Areas (CDDA);(11)‘area of high biodiversity value outside protected areas’ means land with high biodiversity value as referred to in Article 7b(3) of Directive 98/70/EC of the European
Parliament and of the Council5;

1
2
3

4
5

Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016 on indices used as benchmarks in financial instruments and financial contracts or to measure the performance ofinvestment funds and amending Directives 2008/48/EC and 2014/17/EU and Regulation (EU) No 596/2014 (OJ L 171, 29.6.2016, p. 1).
Regulation (EU) 2018/842 of the European Parliament and of the Council of 30 May 2018 on binding annual greenhouse gas emission reductions by Member States from 2021 to 2030 contributing to climate
action to meet commitments under the Paris Agreement and amending Regulation (EU) No 525/2013 (OJ L 156, 19.6.2018, p. 26).
Regulation (EU) 2018/1999 of the European Parliament and of the Council of 11 December 2018 on the Governance of the Energy Union and Climate Action, amending Regulations (EC) No 663/2009 and(EC) No 715/2009 of the European Parliament and of the Council, Directives 94/22/EC, 98/70/EC, 2009/31/EC, 2009/73/EC, 2010/31/EU, 2012/27/EU and 2013/30/EU of the European Parliament and of
the Council, Council Directives 2009/119/EC and (EU) 2015/652 and repealing Regulation (EU) No 525/2013 of the European Parliament and of the Council (OJ L 328, 21.12.2018, p. 1).
Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council
Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains Text with EEA relevance (OJ L 393, 30.12.2006, p. 1–39).
Directive 98/70/EC of the European Parliament and of the Council of 13 October 1998 relating to the quality of petrol and diesel fuels and amending Council Directive 93/12/EEC (OJ L 350, 28.12.1998, p.
58).

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 3(12)‘emissions to water’ means direct emissions of priority substances as defined in Article 2(30) of Directive 2000/60/EC of the European Parliament and of the Council6and direct emissions of nitrates, phosphates and pesticides ;(13)‘areas of high water stress’ means regions where the percentage of total water withdrawn is high (40-80%) or extremely high (greater than 80%) in the World
Resources Institute’s (WRI) Water Risk Atlas tool “Aqueduct”;(14)‘hazardous waste and radioactive waste’ means hazardous waste and radioactive waste;(15)‘hazardous waste’ means hazardous waste as defined in Arti 7cle 3(2) of Directive 2008/98/EC of the European Parliament and of the Council 8 ;(16)‘radioactive waste’ means radioactive waste as defined in Article 3(7) of Council Directive 2011/70/Euratom9;(17)‘non-recycled waste’ means any waste not recycled within the meaning of ‘recycling’ in Article 3(17) of Directive 2008/98/EC;(18)‘activities negatively affecting biodiversity-sensitive areas’ means activities that are characterised by all of the following:(a)those activities lead to the deterioration of natural habitats and the habitats of species and disturb the species for which a protected area has been designated;(b)

for those activities, none of the conclusions, mitigation measures or impact assessments adopted pursuant to any of the following Directives or national provisions
or international standards that are equivalent to those Directives have been implemented:

(19)

6

(i)

Directive 2009/147/EC of the European Parliament and of the Council 10;(ii)

Council Directive 92/43/EEC11;(iii)

an Environmental Impact Assessment (EIA) as defined in Article 1(2), point (g), of Directive 2011/92/EU of the European Parliament and of the Council12;(iv)

for activities located in third countries, conclusions, mitigation measures or impact assessments adopted in accordance with national provisions orinternational standards that are equivalent to the Directives and impact assessments listed in points (i), (ii) and (iii);‘biodiversity-sensitive areas’ means Natura 2000 network of protected areas, UNESCO World Heritage sites and Key Biodiversity Areas (‘KBAs’), as well as otherprotected areas, as referred to in Appendix D of Annex II to Commission Delegated Regulation (EU) 2021/213913;

Directive 2000/60/EC of the European Parliament and of the Council of 23 October 2000 establishing a framework for Community action in the field of water policy (OJ L 327, 22.12.2000, p. 1).

7
8
9
10
11
12

13

Directive 2008/98/EC of the European Parliament and of the Council of 19 November 2008 on waste and repealing certain Directives (OJ L 312, 22.11.2008, p. 3).
Council Directive 2011/70/Euratom of 19 July 2011 establishing a Community framework for the responsible and safe management of spent fuel and radioactive waste (OJ L 199, 2.8.2011, p. 48).
Directive 2009/147/EC of the European Parliament and of the Council of 30 November 2009 on the conservation of wild birds (OJ L 20, 26.1.2010, p. 7).
Council Directive 92/43/EEC of 21 May 1992 on the conservation of natural habitats and of wild fauna and flora (OJ L 206, 22.7.1992, p. 7).
Directive 2011/92/EU of the European Parliament and of the Council of 13 December 2011 on the assessment of the effects of certain public and private projects on the environment (OJ L 026, 28.1.2012,p. 1).
Commission Delegated Regulation (EU) 2021/2139 of 4 June 2021 supplementing Regulation (EU) 2020/852 of the European Parliament and of the Council by establishing the technical screening criteria
for determining the conditions under which an economic activity qualifies as contributing substantially to climate change mitigation or climate change adaptation and for determining whether that economic
activity causes no significant harm to any of the other environmental objectives (OJ L 442, 9.12.2021, p. 1).

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 4(20)‘threatened species’ means endangered species, including flora and fauna, listed in the European Red List or the IUCN Red List, as referred to in Section 7 ofAnnex II to Delegated Regulation (EU) 2021/2139;(21)‘deforestation’ means the temporary or permanent human-induced conversion of forested land to non-forested land;(22)‘UN Global Compact principles’ means the ten Principles of the United Nations Global Compact;(23)‘unadjusted gender pay gap’ means the difference between average gross hourly earnings of male paid employees and of female paid employees as a percentageof average gross hourly earnings of male paid employees;(24)‘board’ means the administrative, management or supervisory body of a company;(25)‘human rights policy’ means a policy commitment approved at board level on human rights that the economic activities of the investee company shall be in line with
the UN Guiding Principles on Business and Human Rights;(26)‘whistleblower’ means ‘reporting person’ as defined in Article 5(7) of Directive (EU) 2019/1937 of the European Parliament and of the Council14;(27)‘inorganic pollutants’ means emissions within or lower than the emission levels associated with the best available techniques (BAT-AEL) as defined in Article 3,
point (13) of Directive 2010/75/EU of the European Parliament and of the Council 15, for the Large Volume Inorganic Chemicals- Solids and Others industry;(28)‘air pollutants’ means direct emissions of sulphur dioxides (SO2), nitrogen oxides (NOx), non-methane volatile organic compounds (NMVOC), and fine particulatematter (PM2,5) as defined in Article 3, points (5) to (8), of Directive (EU) 2016/2284 of the European Parliament and of the Council16, ammonia (NH3) as referred toin that Directive and heavy metals (HM) as referred to in Annex I to that Directive;(29)‘ozone depletion substances’ mean substances listed in the Montreal Protocol on Substances that Deplete the Ozone Layer.

For the purposes of this Annex, the following formulas shall apply:(1)‘GHG emissions’ shall be calculated in accordance with the following formula:𝑖

𝑐𝑢𝑟𝑟𝑒𝑛𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑖𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡𝑖∑(
× 𝑖𝑛𝑣𝑒𝑠𝑡𝑒𝑒 𝑐𝑜𝑚𝑝𝑎𝑛𝑦′𝑠 𝑆𝑐𝑜𝑝𝑒(𝑥) 𝐺𝐻𝐺 𝑒𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑠𝑖 )𝑖𝑛𝑣𝑒𝑠𝑡𝑒𝑒 𝑐𝑜𝑚𝑝𝑎𝑛𝑦 ′ 𝑠 𝑒𝑛𝑡𝑒𝑟𝑝𝑟𝑖𝑠𝑒 𝑣𝑎𝑙𝑢𝑒𝑖𝑛(2)‘carbon footprint’ shall be calculated in accordance with the following formula:𝑐𝑢𝑟𝑟𝑒𝑛𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑖𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡𝑖∑𝑖𝑛 (× 𝑖𝑛𝑣𝑒𝑠𝑡𝑒𝑒 𝑐𝑜𝑚𝑝𝑎𝑛𝑦′𝑠 𝑆𝑐𝑜𝑝𝑒 1, 2 𝑎𝑛𝑑 3 𝐺𝐻𝐺 𝑒𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑠𝑖 )𝑖𝑛𝑣𝑒𝑠𝑡𝑒𝑒 𝑐𝑜𝑚𝑝𝑎𝑛𝑦 ′ 𝑠 𝑒𝑛𝑡𝑒𝑟𝑝𝑟𝑖𝑠𝑒 𝑣𝑎𝑙𝑢𝑒𝑖
𝑐𝑢𝑟𝑟𝑒𝑛𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑎𝑙𝑙 𝑖𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡𝑠 (€𝑀)

Directive (EU) 2019/1937 of the European Parliament and of the Council of 23 October 2019 on the protection of persons who report breaches of Union law (OJ L305, 26.11.2019, p. 17).
Directive 2010/75/EU of the European Parliament and of the Council of 24 November 2010 on industrial emissions (integrated pollution prevention and control) (OJ L 334, 17.12.2010, p. 17).
16
Directive (EU) 2016/2284 of the European Parliament and of the Council of 14 December 2016 on the reduction of national emissions of certain atmospheric pollutants, amending Directive 2003/35/EC andrepealing Directive 2001/81/EC (Text with EEA relevance ), OJ L 344, 17.12.2016, p. 1–31
14
15

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 5(3)‘GHG intensity of investee companies’ shall be calculated in accordance with the following formula:𝑖

𝑐𝑢𝑟𝑟𝑒𝑛𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑖𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡𝑖
𝑖𝑛𝑣𝑒𝑠𝑡𝑒𝑒 𝑐𝑜𝑚𝑝𝑎𝑛𝑦′𝑠 𝑆𝑐𝑜𝑝𝑒 1, 2 𝑎𝑛𝑑 3 𝐺𝐻𝐺 𝑒𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑠𝑖∑(×)
𝑐𝑢𝑟𝑟𝑒𝑛𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑎𝑙𝑙 𝑖𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡𝑠 (€𝑀)
𝑖𝑛𝑣𝑒𝑠𝑡𝑒𝑒 𝑐𝑜𝑚𝑝𝑎𝑛𝑦 ′ 𝑠 €𝑀 𝑟𝑒𝑣𝑒𝑛𝑢𝑒𝑖𝑛(4)‘GHG intensity of sovereigns’ shall be calculated in accordance with the following formula:𝑖

𝑐𝑢𝑟𝑟𝑒𝑛𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑖𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡𝑖
𝑇ℎ𝑒 𝑐𝑜𝑢𝑛𝑡𝑟𝑦 ′ 𝑠 𝑆𝑐𝑜𝑝𝑒 1, 2 𝑎𝑛𝑑 3 𝐺𝐻𝐺 𝑒𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑠𝑖∑(×)
𝑐𝑢𝑟𝑟𝑒𝑛𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑎𝑙𝑙 𝑖𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡𝑠 (€𝑀)
𝐺𝑟𝑜𝑠𝑠 𝐷𝑜𝑚𝑒𝑠𝑡𝑖𝑐 𝑃𝑟𝑜𝑑𝑢𝑐𝑡𝑖 (€𝑀)𝑛(5)

‘inefficient real estate assets’ shall be calculated in accordance with the following formula:((𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝑟𝑒𝑎𝑙 𝑒𝑠𝑡𝑎𝑡𝑒 𝑎𝑠𝑠𝑒𝑡𝑠 𝑏𝑢𝑖𝑙𝑡 𝑏𝑒𝑓𝑜𝑟𝑒 31/12/2020 𝑤𝑖𝑡ℎ EPC of C or below) +(Value of real estate assets built after 31/12/2020 with PED below NZEB in Directive 2010/31/EU))
𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝑟𝑒𝑎𝑙 𝑒𝑠𝑡𝑎𝑡𝑒 𝑎𝑠𝑠𝑒𝑡𝑠 𝑟𝑒𝑞𝑢𝑖𝑟𝑒𝑑 𝑡𝑜 𝑎𝑏𝑖𝑑𝑒 𝑏𝑦 𝐸𝑃𝐶 𝑎𝑛𝑑 𝑁𝑍𝐸𝐵 𝑟𝑢𝑙𝑒𝑠

For the purposes of the formulas, the following definitions shall apply:(1)‘current value of investment’ means the value in EUR of the investment by the financial market participant in the investee company;(2)‘enterprise value’ means the sum, at fiscal year-end, of the market capitalisation of ordinary shares, the market capitalisation of preferred shares, and the bookvalue of total debt and non-controlling interests, without the deduction of cash or cash equivalents;(3)‘current value of all investments’ means the value in EUR of all investments by the financial market participant;(4)‘nearly zero-energy building (NZEB)’, ‘primary energy demand (PED)’ and ‘energy performance certificate (EPC)’ shall have the meanings given to them inparagraphs 2, 5 and 12 of Article 2 of Directive 2010/31/EU of the European Parliament and of the Council17.

17

Directive 2010/31/EU of the European Parliament and of the Council of 19 May 2010 on the energy performance of buildings (recast) (OJ L 153, 18.6.2010, p. 13)

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 6

STATEMENT ON PRINCIPAL ADVERSE IMPACTS OF INVESTMENT DECISIONS ON
SUSTAINABILITY FACTORS
Financial market participant [BNP PARIBAS ASSET MANAGEMENT Europe ( W51AX6427FJZJFPF8H34]
Summary
BNP PARIBAS ASSET MANAGEMENT Europe (previously BNP PARIBAS ASSET MANAGEMENT France18), W51AX6427FJZJFPF8H34 considers principal adverse
impacts (“PAIs”) of its investment decisions on sustainability factors. The present document is the consolidated statement on principal adverse impacts on sustainability
factors of BNP PARIBAS ASSET MANAGEMENT Europe and its subsidiaries namely BNP PARIBAS ASSET MANAGEMENT Europe, Belgian Branch and BNP PARIBASASSET MANAGEMENT Europe, Netherlands Branch required under Article 4 of 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.
This statement on principal adverse impacts on sustainability factors covers the reference period from January 1 st to 31 December 2023.
As a broadly diversified global asset manager, BNP PARIBAS ASSET MANAGEMENT Europe’s adverse impacts are primarily indirect, through the entities in which weinvest. We embrace our responsibility to identify and mitigate the 14 mandatory Corporates PAIs, the 3 voluntary Corporates PAIs and the 2 Sovereigns PAIs.
BNP PARIBAS ASSET MANAGEMENT Europe is an entity of BNP Paribas Asset Management, the asset management business of the BNP Paribas Group (“BNPP AM”).
The different pillars of BNPP AM approach to investing sustainably (i.e. Forward-looking perspective, Responsible Business Conduct, ESG integration, Stewardship,
Sustainability in our product range) are contributing to consider the PAIs. These pillars are further described in our 2023 Sustainability Report.
Our policy framework for identifying and addressing adverse impacts is based on 1) our Responsible Business Conduct (RBC) Policy, which identifies for exclusion industries
and behaviours that present a high risk of adverse impacts in violation of international norms; 2) our ESG Integration Guidelines, which helps our investment teams identify
ESG risks, including those related to PAI; and 3) our 2024 Stewardship Policy setting out how we exercise our voting rights as a responsible steward and engage withissuers.
In order to identify and assess principal adverse impacts, we rely on our ESG research analysis and findings which are independent and based on a wide variety of sources
not limited to ESG data providers.
Our Stewardship activities contribute to considering and addressing the different PAIs. Our Stewardship approach is based on the following engagement strategies: (i)engagement linked to voting; (ii) thematic engagement, with a focus on the ‘3Es’ (Energy transition, healthy Ecosystems, and Equality); and (iii) engagement linked to issuer
performance. This includes provisions for escalation when engagement produces insufficient progress.
18 BNP PARIBAS ASSET MANAGEMENT France changes its legal name to BNP PARIBAS ASSET MANAGEMENT Europe on March 1st, 2024.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 7

BNPP AM recognises that in many situations addressing principal adverse impacts on society and the environment requires a collective effort and therefore adheres asmuch as possible to responsible business conduct codes and internationally recognized standards.
The following ranges are used for the effective data coverage (i.e. data coverage divided by eligible assets): Low: 0-50% / Medium: > 50-75% / High: > 75%. Note eligible
assets for a specific PAI are categories of assets that are suitable to receive a non-NULL value for that specific PAI. For PAIs applicable to investments in investee
companies, the eligible assets correspond to corporate investments excluding cash, derivatives and sovereigns investments.
Description of the principal adverse impacts on sustainability factors
Indicators applicable to investments in investee companies
Adverse sustainability indicator

MetricImpact [year n]

Impact [yearn-1]Explanation

Actions taken, and actions
planned and targets set for
the next reference period

Effective data coverage: High
While GHG emissions disclosure
has improved since BNPP AM
began its carbon footprint work,
most companies worldwide still
do not disclose this information.
BNPP AM has therefore decided
tosupplement
corporate
disclosure
withestimation
methods, in order to provide
betterreportingof
ourenvironmental impact and tosupport carbon reduction in theabsence of reported data.
The increase of scope 1 absolute
GHG emissions can be partiallyexplained by an increase of our

We committed to the Net
Zero
Asset
Managers
initiative in 2021 and from2023 we started to reportannually on our progress in a
dedicated section of ourSustainability Report. As partof our Net Zero Roadmap, we
have intermediate targets ofreducing our scope 1 and 2
emissions by 30% in 2025
and 50% by 2030 (from a2019 baseline).
Our Responsible BusinessConduct policy (RBC) aims to
reduce the exposure to GHG
from fossil fuels through athermal coal policy that seeks

CLIMATE AND OTHER ENVIRONMENT-RELATED INDICATORSGreenhousegas emissions

1.

GHG
emissions

Scope 1 GHG
emissions

6 287 367
tCO2e

5 317 378
tCO2e

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 8

in-scope
assetsundermanagement compared to 2022.

Scope 2 GHG
emissions

Scope 3 GHG
emissions

1 488 273
tCO2e

64 193 266
tCO2e (rebased)

1 346 027
tCO2e

35 218 444

Effective data coverage: High
While GHG emissions disclosure
has improved since BNPP AM
began its carbon footprint work,
most companies worldwide still
do not disclose this information.
BNPP AM has therefore decided
tosupplement
corporate
disclosure
withestimation
methods, in order to provide
betterreportingof
ourenvironmental impact and tosupport carbon reduction in theabsence of reported data.
The increase of scope 2 absolute
GHG emissions can be partiallyexplained by an increase of our inscope assets under managementcompared to 2022.

Effective data coverage: Low

to exit coal in 2030 in EU andOECD countries & 2040 for
the rest of the world. It also
includes a strict policy on
unconventional oil & gas.
From a stewardship angle,
we have comitted to:- Vote for corporate climate
action (supporting thoughtful
climateshareholder
proposals, opposing strategic
items at corporates notrespecting
ourclimateexpectations...)- Engage with companies,
consistent with our ambition
for all assets undermanagement to achieve net
zero emissions by 2050 orsooner- Advocate for net zeroaligned
nationalandinternational climate policies
For instance: we are part of
the Climate Action 100+
initiative and are lead or
colead on 10 companies
worldwide, we apply climate
considerations (linked to
GHG emissions disclosure,climate lobbying...) to voting
on key items like board
discharge or reelections.
Efforts are underway tofurther evaluate Scope 3

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 9

4 425 072
tCO2e (nonrebased)

tCO2e(rebased)
3 070 866
tCO2e (nonrebased)

While GHG emissions disclosure
has improved since BNPP AM
began its carbon footprint work,
most companies worldwide still
do not disclose this information.
This is even more problematic for
Scope 3 GHG emissions.
BNPP AM has decided to use
only the highest quality disclosed
data and to not supplement thedata with estimates. Scope 3
GHG emissions estimates vary
dramatically across vendors.
Therefore the coverage andquality of Scope 3 GHG
emissions data is considered tobe very low which could lead to
distorted reporting figures andmake them difficult to interpret bymarketparticipants
independently and in reference toother asset managers.
We have provided two values forthis indicator:• A “rebased” value whichcorresponds to values forwhich we have only taken
into consideration
issuers/instruments withavailable data, andissuer/instruments without
available data ("NULL") havenot been taken into
consideration. It means wehave extrapolated theaverage scope 3 GHG
emissions available to all

GHG emissions data forinclusionininternal
assessment frameworks.
From a stewardship angle,
we apply climate
considerations including thedisclosure of Scope 3 GHG
emissions in material sectors(Energy, Utilities, Industrials,
Materials, Real Estate,Consumer Goods, andConsumer Discretionary) to
our voting activity and may
sanction key voting items asa result. More details
available in our Governance& Voting Policy.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 10

eligible assets, despite thevery low coverage andassociated limited confidence
in this data. This rebased
scope 3 GHG emissions
aims at providing a
conservative value.
• Alternatively, a “nonrebased” value whichcorresponds to values forwhich we have assigned a 0
to issuers/instruments when
Scope 3 GHG emissions
data were not available. Thisis the value we used to
calculate total GHG
emissions since it does not
involve extrapolations.
We see very high volatility
between the scope 3 GHG
emissions of 2022 and 2023
reference period which can be
explained by the current very low
data quality of scope 3 GHG
emissions data. In particular, oneof the company in which weinvest disclosed for the first timevery high scope 3 GHG
emissions.
Total GHG
emissions

12 230 783
tCO2

9 734 267
tCO2e

Effective data coverage: HighFor Scope 3 GHG emissions,
BNPPAM decided to use “nonrebased”
value
which
corresponds to values for which
we have assigned a 0 to

We committed to the Net
Zero
Asset
Managers
initiative in 2021 and from2023 we started to reportannually on our progress in a
dedicated section of ourSustainability Report.. AsPRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 11

issuers/instruments when Scope
3 GHG emissions data were notavailable.
Considering the scope 3 GHG
emissions low data quality andvolatility, a trend in our total GHG
emissions based on scope 1, 2
and 3 GHG emissions cannot be
asserted.

part of our Net Zero
Roadmap,
wehaveintermediate targets ofreducing our scope 1 and 2
emissions by 30% in 2025
and 50% by 2030 (from a2019 baseline).
Our Responsible BusinessConduct policy (RBC) aims to
reduce the exposure to GHG
from fossil fuels through athermal coal policy that seeks
to exit coal in 2030 in EU andOECD countries & 2040 for
the rest of the world. It also
includes a strict policy on
unconventional oil & gas.
From a stewardship angle,
we have comitted to:- Vote for corporate climate
action (supporting thoughtful
climate shareholder
proposals, opposing
strategic items at corporates
not respecting our climate
expectations...)- Engage with companies,
consistent with our ambition
for all assets undermanagement to achieve net
zero emissions by 2050 orsooner- Advocate for net zeroaligned national andinternational climate policies

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 12

For instance: we are part of
the Climate Action 100+
initiative and are lead or
colead on 10 companies
worldwide; we apply climate
considerations to our voting
activity on key items likeboard discharge orreelections. Suchconsiderations include but
are not limited to thedisclosure of GHG emissions(including Scope 3 formaterial sectors), climate
lobbying, etc.
Efforts are underway tofurther evaluate Scope 3
GHG emissions data forinclusionininternal
assessment frameworks.

2.

Carbonfootprint

Carbonfootprint

64 tCO2e/m€

72 tCO2e/m€

Effective data coverage: High
While GHG emisisons disclosure
has improved since BNPP AM
began its carbon footprint work,
most companies worldwide still
do not disclose this information.
For Scope 1 & 2, BNPP AM has
decided to supplement corporate
disclosure
withestimation
methods, in order to provide
betterreportingof
ourenvironmental impact and tosupport carbon measurement in
the absence of reported data.
For Scope 3, BNPP AM has
decided to use only the highest
quality disclosed data and to not

We measure the carbon
footprint of our portfolios, andaim to hold portfolios withmore
positive
ESG
characteristics than theirrespective(invested)benchmarks. This includes
holding some portfolios with asmaller carbon footprint thantheir respective (invested)benchmarks as per our ESG
Integration Principles andGuidelines.
From a stewardship angle,
we have comitted to:- Vote for corporate climate
action (supporting thoughtful

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 13

3.

GHG
intensity ofinvesteecompanies

GHG intensityof investee
companies

95 tCO2e/m€

148 tCO2e/m€

supplement the data withestimates. Scope 3 GHG
emissionsestimatesvary
dramatically across vendors.
Therefore while the overall
effective coverage figure is high,please note that issuers for whichdata on Scope 3 was notavailable were assigned a 0 for
this indicator.
We also provide “rebased”
values in the footnote whichcorresponds to values for which
we have only taken into
consideration
issuers/instruments
withavailabledata,
andissuer/instruments
without
available data ("NULL") have notbeen taken into consideration.
Considering the scope 3 GHG
emissions data volatility, a
reduction of our carbon footprint
based on scope 1, 2 and 3 GHG
emissions cannot be asserted.
Please note the carbon footprint
published in our sustainability
report does not include scope 3
and therefore cannot becompared.

climate shareholder
proposals, opposing
strategic items at corporates
not respecting our climate
expectations...)

Effective data coverage: High
While GHG emissions disclosure
has improved since BNPP AM
began its carbon footprint work,
most companies worldwide still
do not disclose this information.

Our proprietary ESG rating
methodology
includesseveral indicators related to
GHG emissions intensity
such as the carbon intensity
trend or some sector-specificcarbon intensity. In addition,- Engage with companies,
consistent with our ambition
for all assets undermanagement to achieve net
zero emissions by 2050 orsooner- Advocate for net zeroaligned national andinternational climate policies
For instance: we are part of
the Climate Action 100+
initiative and are lead or
colead on 10 companies
worldwide, we apply climate
considerations (linked to
GHG emissions disclosure,climate lobbying...) to voting
on key items like board
discharge or reelections.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 14

For Scope 1 & 2, BNPP AM has
decided to supplement corporate
disclosure
withestimation
methods, in order to provide
betterreportingof
ourenvironmental impact and tosupport carbon reduction in theabsence of reported data.
For Scope 3, BNPP AM has
decided to use only the highest
quality disclosed data and to notsupplement the data withestimates. Scope 3 GHG
emnissions estimates vary
dramatically across vendors.
Therefore while the overall
effective coverage figure is high,please note that issuers for whichdata on Scope 3 was notavailable were assigned a 0 for
this indicator.
We also provide “rebased”
values in the footnote whichcorresponds to values for which
we have only taken into
consideration
issuers/instruments
withavailabledata,
andissuer/instruments
without
available data ("NULL") have notbeen taken into consideration.
Considering the scope 3 GHG
emissions data volatility, a
reduction of our GHG intensity
based on scope 1, 2 and 3 GHG
emissions cannot be asserted.

our net zero commitment willlead us to increase
engagement activities andreduceexposureprogressively.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 15

4.

Exposure tocompanies
active in thefossil fuelsector19 Note the rebased value for this indicator is: 6%.

Share ofinvestments incompanies
active in thefossil fuelsector5%19

5%Effective data coverage: High
Identification of companies activein the fossil fuel sector has beenachieved based on percentagesof revenue derived from
exploration, mining, extraction,
production, processing, storage,
refining or distribution, includingtransportation, storage and tradeof thermal coal, natural gas andoil above 0%.
The underlying data is not
identifying companies involved in“distribution of gas” but BNPP AM
is engaging with the data provider
in order to assess the feasibilityof capturing this activity in thenear future.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did
not have data, we assumed thevalue to be 0.
We also provide “rebased”
values in the footnote whichcorresponds to values for which
we have only taken into
consideration
issuers/instruments
withavailabledata,
andissuer/instruments
without
available data ("NULL") have notbeen taken into consideration.

As per our RBC policy, there
are significant restrictions toinvest in companies involvedin thermal-coal mining andpower generation, as well as
unconventional oil and gas.
Criteria regarding theseexclusions are available in
our RBC Policy.
Our net zero commitment willlead us to increase
engagement activities andreduceexposureprogressively. Please refer to
our Net Zero Roadmap.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 16

5.

6.

Share ofnonrenewableenergyconsumption
andproduction

Energyconsumption
intensity perhigh impact
climatesectorShare of nonrenewableenergyconsumption
and nonrenewableenergyproduction of
investeecompanies
from nonrenewableenergy sources
compared torenewableenergysources,
expressed as apercentage of
total energy
sources

Share of nonrenewableenergyconsumption :60%
Share of nonrenewableenergyproduction: 64%

Share of nonrenewableenergyconsumption :61%
Share of nonrenewableenergyproduction:
62%

Effective data coverage: Medium(Consumption)
Effective data coverage: Low(Production)
This PAI is actually two indicators
in one: Production andconsumption. The production
indicator is only relevant toenergy producers (e.g. utilities).
The consumption indicator ismore broadly applicable acrosssectors. Both production andconsumption information areinconsistently disclosed bymarket actors though coverage
ratios tend to be much higher for
consumption.
The underlying data used isbased on reported data only andthe exhibited low coverage could
lead to distorted reporting figures
and make them difficult tointerpret by market participants
independently and in reference toother asset managers.

Energyconsumption in
GWh permillion EUR ofrevenue ofinvesteecompanies, perhigh impact
climate sector

A (agriculture,
forestry andfishing): 0.39
GWh/m€B (mining andquarrying): 0.81
GWh/m€C(manufacturing) :0.41 GWh/m€
D (electricity,gas, steam andA (agriculture,
forestry andfishing): 0,48
GWh/m€B (mining andquarrying): 1,02
GWh/m€C(manufacturing): 0.46 GWh/m€
D (electricity,gas, steam andEffective data coverage: Low
An exact fit for this PAI does notexist since the exact split ofenergy consumption per highimpact climate sector is notprovided by any data vendor.
Therefore, an assumption has
been made that one company
belongs to its primary NACE andthe total energy consumption
figure is associated with thisOur proprietary ESG rating
methodology includes proxy
indicators
relatedtorenewable energy use suchas the robustness ofrenewableenergyprogrammes,
renewableenergy use or the share ofprimary energy use comingfrom renewable energy.
In addition, our ESG
integration, engagement andRBC policies indirectly
address this metric.

Our proprietary ESG rating
methodology
includeindicators such as GHG
emissions, GHG emissions
intensity or GHG reduction
programme which can beconsideredasindirectproxies since it covers scope
2 emissions, and therefore
indirect emissions frompurchased energy.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 17

7.
Biodiversity

Activities
negatively
affecting

20 Note the rebased value for this indicator is: 5%.

Share ofinvestments ininvestee

air conditionning
supply): 3.37
GWh/m€
E (water supply;
sewerage, waste
management
and remediation
activities): 2,86
GWh/m€F (construction):
0,19 GWh/m€
G (wholesale
and retail trade;
repair of
motor vehicles
andmotorcycles):
0,27 GWh/m€
H (transportationand storage):
1,63 GWh/m€
L(acommodationand food service
activities): 0.94
GWh/m€

air
conditionning
supply): 3.92
GWh/m€
E (water
supply;sewerage,waste
management
andremediation
activities): 2,32
GWh/m€
F(construction):
0,17 GWh/m€
G (wholesale
and retail trade;
repair of
motor vehicles
andmotorcycles):
0,23 GWh/m€
H(transportationand storage):
1,38 GWh/m€
L(acommodationand food
serviceactivities): 1,34
GWh/m€

4%20

4%primary NACE code. Therefore,
there is no sector-related split ofenergyconsumption
percompany.

In addition, our net zerocommitments in particularthrough the reduction of the
carbon footprint of our inscope corporate investments(scopes 1 and 2) and throughthe alignment with net zero,
induces a focus on the scope
2 emissions as well, andtherefore tackles companies
energyconsumption
intensity.

Effective data coverage: HighThis PAI is not directly reported
by companies and therefore the

Our proprietary ESG rating
methodology includes proxy
indicators related to thePRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 18

biodiversitysensitiveareas

companies withsites/operations
located in ornear tobiodiversitysensitive areas
where activitiesof those
investeecompanies
negatively
affect thoseareas

assessment is based onincidents research to identify
negatively affecting activities
performed by companies whichthen can be matched spatially tosensitive areas as defined by the
Natura 2000 network of protectedareas, the UNESCO World
Heritage Sites as well as otherprotected areas referred to by the
Delegated Regulation.
This approach has the following
limitations:1) The access to the Key
Biodiversity
Area(KBA) database is not
public, hence reducing
the possibility to match
locations2) An assessment ofoperations located in ornear to biodiversity
sensitive areas would
requireaspatialperspective which, asof now, is not available
due to the lack of asset
level
databases.
Hence,
theonly
spatially explicit datathat we use is providedbyourvendor’s
incidents research.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did

quality of programmes toprotect biodiversity or
incidents related to suppliers
failures to protect
biodiversity.
In addition, our Biodiversity
Roadmap details our
initiatives to increasestewardship activities
through individual/collective
initiatives and voting.
We apply some biodiversity
considerations to voting on
key items like board
discharge or reelections.
Such expectations aremainly linked to corporate
disclosure on key impacts
and dependencies on naturefor issuers with critical
impacts on forests andfreshwater. More details
available in our Governance& Voting Policy.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 19

not have data, we assumed thevalue to be 0.
We also provide “rebased”
values in the footnote whichcorresponds to values for which
we have only taken into
consideration
issuers/instruments
withavailabledata,
andissuer/instruments
without
available data ("NULL") have notbeen taken into consideration.

Water

8.

Emissions towater

21 Note the rebased value for this indicator is: 0.87 t/m€.

Tonnes ofemissions towatergenerated byinvesteecompanies per
million EUR
invested,
expressed as aweighted
average0.07 t/m€21

0.07 t/m€

Effective data coverage: Low
Most companies worldwide still
do not disclose this information.
Companies also inconsistently
report pollutants.
Data providers capture different
emission types and there is someuncertainty about which should
be considered as per the
regulation.
For these reasons, BNPP AM
decided to employ a moreconservative approach and getdata from a data provider which
captures a more comprehensive
list of pollutants for the purpose ofthis metric: Direct emissions of
nitrates,
phosphate,andpesticides, and direct emissionsof priority substances as definedin Article 2(30) of Directive
2000/60/EC of the European
Parliament and of the Council

Our proprietary ESG rating
methodology includes a
proxy indicator related to thestrength of a company’s
initiative to treat effluents
generatedthroughits
production process.
In addition, our Biodiversity
Roadmap details our
initiatives to increasestewardship activities
through individual/collective
initiatives and voting.
We apply some biodiversity
considerations to voting on
key items like board
discharge or reelections.
Such expectations aremainly linked to corporate
disclosure on key impacts
and dependencies on naturefor issuers with critical
impacts on forests andPRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 20

9.
Waste

Hazardous
waste andradioactive
waste ratio

22 Note the rebased value for this indicator is: 4.39 t/m€.

Tonnes ofhazardous
waste andradioactive
waste
generated byinvesteecompanies per

1.48 t/m€22

1.96 t/m€(e.g., heavy metals, loads oforganic pollutant parameterssuch as biochemical oxygen
demand (BOD) and chemical
oxygen demand (COD), nitrogenand phosphorus compounds).
The exhibited very low coverage
could lead to distorted reporting
figures and make them difficult tointerpret by market participants
independently and in reference toother asset managers.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did
not have data, we assumed thevalue to be 0.
We also provide “rebased”
values in the footnote whichcorresponds to values for which
we have only taken into
consideration
issuers/instruments
withavailabledata,
andissuer/instruments
without
available data ("NULL") have notbeen taken into consideration.

freshwater. More details
available in our Governance& Voting Policy.

Effective data coverage: Low

Our proprietary ESG rating
methodology includes a
proxy indicator related to thestrength of a company
initiative to reduce hazardous
waste
from
its
own
operations.

Most companies worldwide still
do not disclose this information.
BNPP AM captures both
hazardous and radioactive waste
as reported by companies.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 21

million EUR
invested,
expressed as aweighted
average

The exhibited very low coverage
could lead to distorted reporting
figures and make them difficult tointerpret by market participants
independently and in reference toother asset managers.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did
not have data, we assumed thevalue to be 0.
We also provide “rebased”
values in the footnote whichcorresponds to values for which
we have only taken into
consideration
issuers/instruments
withavailabledata,
andissuer/instruments
without
available data ("NULL") have notbeen taken into consideration.

In addition, our Biodiversity
Roadmap details our
initiatives to increasestewardship activities
through individual/collective
initiatives and voting.
We apply some biodiversity
considerations to voting on
key items like board
discharge or reelections.
Such expectations aremainly linked to corporate
disclosure on key impacts
and dependencies on naturefor issuers with critical
impacts on forests andfreshwater. More details
available in our Governance& Voting Policy.

INDICATORS FOR SOCIAL AND EMPLOYEE, RESPECT FOR HUMAN RIGHTS, ANTI-CORRUPTION AND ANTI-BRIBERY MATTERS
Our proprietary ESG rating
10. Violations ofShare ofEffective data coverage: Highmethodology includes the
UN Global
investments in
Compact
For this indicator there is wide consideration of several
investeeprinciples
variance across data vendors incidents related to thecompanies thatand
due to different assessment of UNGC Principles and OECD
Social andhave been
MNEs guidelines.
Organisation
the PAI.
employee
involved in
0.03%230.05%
for Economic
Most vendors rely on news article From a stewardship angle,
matters
violations of the
Cooperation
analysis and AI/NLP models in we strive to engage with
UNGC
andorder to flag potential violations. companies in violation (or atprinciples orDevelopment
In some cases, some data risk of violation) of one orOECD(OECD)
vendors perform a manual review more of the UNGC Principles
Guidelines for
Guidelines
or OECD MNEs. BNPP AM
23 Note the rebased value for this indicator is: 0.04%.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 22

forMultinational
Enterprises

Multinational
Enterprises

in order to opine on the validationof the identified cases.
BNPP AM employs a rigorous
approach which consists ofmultiple layers of manual
assessment
performedbyspecialised research teams (bothexternal and internal), company
contact and engagement (insome cases) as well as additional
governance layers and review
committees which can further
evaluate and challenge the final
assessments.
Please note that the performed
assessment is based on all
UNGC principles and OECD
guidelines,
includingenvironmental norms.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did
not have data, we assumed thevalue to be 0.
We also provide “rebased”
values in the footnote whichcorresponds to values for which
we have only taken into
consideration
issuers/instruments
withavailabledata,
andissuer/instruments
without
available data ("NULL") have notbeen taken into consideration.
The non-zero figure here can be
explained by the non-applicationof our RBC policies in someeither engages with and/or
excludes companies that are
subject to serious
controversies, in line with our
Responsible BusinessConduct (RBC) Policy.
In addition, BNPP AM may
oppose or abstain on items
where the company isimplicated in serious
violations of our Responsible
Conduct Policy (RBC) –including violations of the UN
Global Compact principles
and/or our Sector Policies,
linked to environmental
and/or social risks. Moredetails available in our
Governance & Voting Policy.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 23

specific client mandates and/or
the inclusion of a handful ofissuers which can be considered
to be in violation of the UNGC
and OECD MNEs guidelines by
our provider for this PAI but withwhich we are conducting active
engagement aimed at improving
company behaviour.

11. Lack ofprocesses
andcompliancemechanisms
to monitor
compliancewith UN
GlobalCompact
principles
and OECD
Guidelinesfor
Multinational
Enterprises

24 Note the rebased value for this indicator is: 66%.

Share ofinvestments ininvesteecompanies
without policies
to monitor
compliancewith the UNGC
principles or
OECD
Guidelines forMultinational
Enterprises orgrievance/complaints
handlingmechanisms toaddress
violations of the
UNGC
principles or
OECD
Guidelines forMultinational
Enterprises

41%24

42%

Effective data coverage: Medium
For this indicator there is wide
variance across vendors due todifferent interpretations of the
PAI.
Some vendors flag very few
issuers as non-compliant with the
PAI, whereas others flag almost
all as non-compliant. Data
providers reporting low figures
typically rely on the existence ofany policy to address UNGC
principles or OECD guidelines,
not policies to address all UNGC
principles(andgrievancemechanisms).
Market reporting of this value
could change dramatically ineither direction based on future
clarifications from regulators
which may be forthcoming. In themeantime, we will only report thisfigure at the entity-wide level andrely on a more conservativeinterpretation of the PAI.

Our proprietary ESG rating
methodology
includesseveralpolicyandprogrammes
indicators
related to UNGC Principles
and OECD MNEs guidelines.
From a stewardship angle,
we strive to engage withcompanies at risk of violationof one or more of the UNGC
Principles or OECD MNEs.
BNPP AM either engages
with
and/orexcludescompanies that are subject toserious controversies, in linewith
our
Responsible
Business Conduct (RBC)
Policy.
In addition, BNPP AM may
oppose or abstain on items
where the company isimplicated in serious
violations of our Responsible
Conduct Policy (RBC) –including violations of the UN
Global Compact principles

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 24

12. Unadjusted
gender pay
gap

Averageunadjusted
gender pay gapof investee
companies

4%5%

Please note that the performed
assessment is based on all
UNGC principles and OECD
guidelines,
includingenvironmental norms.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did
not have data, we assumed thevalue to be 0.
We also provide “rebased”
values in the footnote whichcorresponds to values for which
we have only taken into
consideration
issuers/instruments
withavailabledata,
andissuer/instruments
without
available data ("NULL") have notbeen taken into consideration.

and/or our Sector Policies,
linked to environmental
and/or social risks. Moredetails available in our
Governance & Voting Policy.

Effective data coverage: Low
Most companies worldwide still
do not disclose this information.
Some vendors attempt to reportfigures disclosed by companies
which are not based on the exact
regulatory definition which could
lead to data inconsistencies andsome vendors increase thecoverage for this indicator byrelying on figures provided byinternational companies’ local
branches and thus not fairly
representing the truly global
footprint of the company and theimpact it has on this indicator.

Our proprietary ESG rating
methodology does not yet
include an indicator directly
related to gender pay gap
due to data coverage
concerns, but includes a
proxy indicator related to thequality of a company’s
diversity programs. We aim
to publish our Equality
roadmap in 2024. This
roadmap will set the path tofurther consider topics suchas gender pay gap andgender board diversity.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 25

BNPP AM has decided to rely on
reported figures which are strictly
consistent with the regulatory
definition and to not use proxyvalues.

13. Boardgenderdiversity

Average ratioof female tomale board
members ininvesteecompanies,
expressed as apercentage ofall board
members

14. Exposure tocontroversial
weapons(anti-

Share ofinvestments ininvesteecompanies

40%

0%

39%

Effective data coverage: HighThe underlying data is collected
directly from companies (by ourchosen data provider)This criterion is embedded in
our ESG scoring
methodology and ourGovernance & Voting Policy.
Indeed, as part of our voting
activity, we have set gender
diversity thresholds for boardof directors, which havebeen reinforced gradually
over time.
On this basis, we can abstain
or vote against a board
candidate if the candidate is
not a woman and fewer than
35% of directors are women(for Europe, North America,
Australia, New Zealand andSouth Africa) or fewer than
20% of directors are women(for the other markets). In
2025, we will apply athreshold of 40% of womenon the board in mature
markets (Europe, North
America, Australia, New
Zealand and South Africa).
More details available in our
Governance & Voting Policy.

0%

Effective data coverage: High
Identification of companies
involved
incontroversial
weapons has been achieved

As per our RBC policy, we do
not wish to invest incompanies involved in the
manufacture,
trade
or

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 26

personnel
mines,
clustermunitions,chemicalweaponsandbiologicalweapons)

involved in the
manufacture or
selling ofcontroversial
weapons

based on research performed by
the data provider and identifying
evidence of activity andinvolvement in anti-personnel
mines, cluster munitions andbiologicalandchemicalweapons.

storage of ‘controversial
weapons’, or any otheractivity
involving
controversial
weapons.
These
includeclusterammunition
andantipersonnel
landmines,
chemical and biologicalweapons, nuclear/depleted
uranium weapons and white
phosphorus munitions. See
our RBC policy for further
details Most of theseweapons are covered byinternational conventions andinvestments are alreadyprohibitedinsomejurisdictions. We will continue
to uphold this principle in ourfull range of products.

Actions taken, and actions
planned and targets set for
the next reference period
Our proprietary ESG scoring
framework for sovereigns
assessescountries’commitment to reduce their
GHG emissions to comply
with the 2°C goal of the Paris
Agreement, with regards totheir Nationally Determined
Contributions, and analyzes
countries’ policies adopted
for tackling climate change.
The scoring methodology

Indicators applicable to investments in sovereigns and supranationals
Adverse sustainability indicator

MetricImpact [year n]

Impact [yearn-1]Explanation

Environmental

GHG intensityof investee
countries

18 tCO2e/m€

19 tCO2e/m€

Effective data coverage: HighFor Scope 1 & 2, BNPP AM has
decided to use a dataset thatcombines country level reportingfrom multiple sources withestimation models that ensurethat data is available for all
countries across any given year.
It has also been decided toinclude estimated emissions
related to land use, land-use

15. GHG
intensity

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 27

change and forestry (LULUCF)
which leads overall to higher
reported figures.
However, Scope 3 data are
available only until 2018 which isincosistent with Scope 1 & 2 dataavilability which covers 2019 andtherefore Scope 3 is not includedin the reported figures.

also emphasises countries’
climate commitments. The
climatemitigationassessment evaluates themeasures countries have inplace to combat climatechange. It supplements theevaluation of current climate
performance, which is part oftheESG
performanceassessment.
This component combines aquantitative assessment of
thecountry’s
climateambitions with a qualitativeevaluation of the laws andpolicies it has in place tosupport those ambitions.
We target sovereigns throughour engagement initiatives
and more particularly aroundthematic bond issuance assovereign bonds with climate
related use of proceeds may
contribute to decrease thecarbon footprint of countries
andincrease
avoidedemissions.

Social16. Investee
countries
subject tosocialviolations

Number ofinvesteecountries
subject tosocial violations(absolute
number andrelative number
divided by all

2 countries
1.8% (relative)

3 countries
2.7% (relative)

Effective data coverage: HighThe definition of what constitutes
a “social violation” as mentioned
in this PAI is not explicitely
described in the regulation.
Other frameworks such as the
Towards Sustainability label exist
but are more prescriptive.

Several indicators linked tosocialviolationsareembedded in our proprietary
sovereign ESG scoring
framework, including: Labour& Social Protection, Control
of Corruption, Democratic
Life, Security.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 28

investeecountries), as
referred to ininternational
treaties andconventions,
United Nations
principles and,
where
applicable,
national law

Identification of countries subject
to social violations has beenachieved based on research
performed by the data provider
andidentifying
relevant
controversies related to social
topics. The social topics
considered are the following: civil
conflict,state
repression,transnational conflict, violent
crime,
labourrights,discrimination.

We leverage on BNP Paribas
Group’s internal
Framework which identifies
severecontroversial
countries that are flagged ona dedicated exclusion list.

Explanation

Actions taken, and actions
planned and targets set for
the next reference period
These criteria are embedded
into the dedicated ESG
Qualitative
assessment
process for Private Debt inCommercial Real Estate.

In addition, countries in oursystem must qualify as
investible sovereigns forsome of our sustainability
funds, such as those with the
Towards
Sustainability
Quality Standard label andVerbändekonzept
marketpractice.

Indicators applicable to investments in real estate assets
Adverse sustainability
indicator

Fossil fuels

17. Exposure tofossil fuels
through realestate assets

MetricShare ofinvestments inreal estate
assets involvedin theextraction,
storage,transport or
manufacture offossil fuels

Impact [year n]0%

Impact [year
n-1]

0%

Effective data coverage: Medium
A manual check is performed
based on information provided by
the borrower or sponsor. Any
asset used to extract, transport or
manufacture fossil fuels is
considered as exposed.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 29

Energyefficiency

Greenhousegas emissions

18. Exposure toenergyinefficient
real estate
assets

18. GHG
emissionsShare ofinvestments inenergyinefficient realestate assets

Scope 1, 2, 3
GHG emissions
generated byreal estate
assets

N/A

110 183 tCO2e

These criteria are embedded
into the dedicated ESG
Qualitative
assessment
process for Private Debt inCommercial Real Estate.

N/A

The process to enable theproduction of this PAI is being
setup in collaboration with an
external data provider. We
anticipate the availability of thisdata within 2024.
BNPP AM will rely either on
estimated data provided by adata vendor or information
provided by sponsors for realestate assets. When available,
they will communicate energy
efficiency documents (EPC)
which enable to identify the
inefficient part of the portfolio.
A manual check will then be
performed based on thisinformation. When available, thisdata will be collected on newdeals, past deals will be out of
scope.

These criteria are embedded
into the dedicated ESG
Qualitative
assessment
process for Private Debt inCommercial Real Estate.

53 072 tCO2e

Effective data coverage: Medium
While GHG emisisons disclosure
has improved since BNPP AM
began its carbon footprint work,
most companies worldwide still
do not disclose this information.
This is even more problematic for
Scope 3 GHG emissions.
BNPP AM relies on estimateddata provided by a data vendor
for real estate assets.
The Enterprise Value definition
provided in Annex 1 above is notapplicable to real estate assets.
Therefore, the Investment TeamPRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 30

Energyconsumption

19.
Energyconsumption intensity

Energyconsumption
intensity

0.00023
GWh/m20.00022
GWh/m2relied on the following definition
to calculate the Enterprise Valueas Equity + Debt where:
Equity:1) market capitalization (ifthe company is listed
on a stock exchange)2) known equity sale price(if available), or3) known enterprise value(if available), or4) transaction multiples(P/E,
EV/EBITDA,
EV/EBIT, etc.) basedon recent comparable
M&A transactions
5) If none of the above isavailable, book valueof equity shall beconsidered
Debt: The investment team will
use the outstanding debt andundrawn commitments.
Absolute
GHG
emissionsincreased as we are adding newreal estate projects in our
portfolios.
Effective data coverage: Medium
BNPP AM collects data regarding
energy consumption in GWh of
owned real estate assets per
square meter from borrowers’
reported data and if data is notavailable, estimates are being
used instead.

These criteria are embedded
into the dedicated ESG
Qualitative
assessment
process for Private Debt inCommercial Real Estate.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 31

A given investment can becomposed of several buildings
withdifferentenergyconsumptions. At the level of
each
investment,
energyconsumptions are weighted bysquare meters.
Please note that the data iscollected at the time of theinvestment for each asset anddata are not updated any further
since we are investing throughprivate debts and don't haveaccess to information after thedue diligence is performed.

Other indicators for principal adverse impacts on sustainability factors

4.
Emissions

Investments
in companies
without
carbonemission
reduction
initiatives

25 Note the rebased value for this indicator is: 58%.

Share ofinvestments ininvesteecompanies
without carbon
emission
reduction
initiatives
aimed ataligning with
the Paris
Agreement

53%25

54%

Effective data coverage: HighThe regulatory definition of thisPAI raises some questions on themeaning of “aimed at aligningwith Paris agreement” and“carbon emission reduction
initiative”.
BNPP AM took a conservative
approach by considering only
companies with targets alignedwith the Paris agreement (<=2oC)
as successfully passing this PAI.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did

Through our Net Zeroroadmap, our goal is to have
60% of our corporate
investments to be Achieving,
Aligned or Aligning with Net
Zero (NZ:AAA) by 2030.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 32

not have data, we assumed thevalue to be 0.
We also provide “rebased”
values in the footnote whichcorresponds to values for which
we have only taken into
consideration
issuers/instruments
withavailabledata,
andissuer/instruments
without
available data ("NULL") have notbeen taken into consideration.

Social andemployeematters4.

Lack of a
supplier
code ofconduct

26 Note the rebased value for this indicator is: 1.9%.

Share ofinvestments ininvesteecompanies
without any
supplier codeof conduct(against unsafe
working
conditions,precarious
work, childlabour andforced labour)

1.6%262.1%

Effective data coverage: High
Identification of companies withlack of supplier code of conduct
has been achieved based on
research performed by the data
provider and identifying relevant
evidence.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did
not have data, we assumed thevalue to be 0.
We also provide “rebased”
values in the footnote whichcorresponds to values for which
we have only taken into
consideration
issuers/instruments
withavailabledata,
andissuer/instruments
without
available data ("NULL") have notbeen taken into consideration.

Our
ESG
scoring
methodology includes anindicator related to theassessment of the scope ofcompany social supplierstandards.
In addition, our ESG
integration, engagement andRBC policies indirectly
address this metric.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 33

9.
Human Rights

Lack of ahuman rights
policyShare ofinvestments inentities without
a human rights
policy2.2%27

3.1%

Effective data coverage: High
Identification of companies withlack of Human Rights policy has
been achieved based on
research performed by the data
provider and identifying relevant
evidence.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did
not have data, we assumed thevalue to be 0.
We also provide “rebased”
values in the footnote whichcorresponds to values for which
we have only taken into
consideration
issuers/instruments
withavailabledata,
andissuer/instruments
without
available data ("NULL") have notbeen taken into consideration.

We assess this exact
indicator in our ESG scoring
methodology through ourhuman rights policy indicator.
In addition, our ESG
integration, engagement andRBC policies indirectly
address this metric.

Description of policies to identify and prioritise principal adverse impacts on sustainability factors
BNPP AM Policy Framework to Address Adverse Impacts
Our policy framework addresses PAI in primarily three documents: 1) our Responsible Business Conduct (RBC) Policy, which identifies for exclusion industries andbehaviours that present a high risk of adverse impacts in violation of international norms; 2) our ESG Integration Guidelines, which helps our investment teams identify ESG
risks, including those related to PAI; and 3) our 2024 Stewardship Policy and 2024 Governance and Voting Policy, setting out how we exercise our voting rights as a
responsible steward and engage with issuers.

27 Note the rebased value for this indicator is: 2.9%.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 34

Our approach to sustainability is managed by a company-wide governance framework. This framework ensures that our sustainability policies and practices are embedded
and implemented appropriately throughout our business, and that any new initiative is well conceived, properly structured and delivered effectively. Several committees are
set up to frame our sustainability policies:• BNPP AM executive committee: strategic oversight of sustainability approach• BNPP AM Sustainability Committee: oversees and validates our approach to sustainability• BNPP AM Investment Committee: approves sustainability methodologies and monitors ESG integration• BNPP AM Stewardship Committee: reviews voting and engagement implementation• BNPPAM Global Product Committee: Approves sustainability characteristics of products• BNPPAM Executive CSR Committee: Oversees the implementation of our approach to Corporate Social Responsibility (CSR)
Our RBC Policy was last approved in August 2023 by the BNPP AM Sustainability Committee. It provides sector-specific guidance to identify and prioritise adverse impacts
based on the nature of the economic activity, and in many cases, the geography in which these economic activities take place. These policies establish criteria for the
exclusion of certain types of activities that present an unacceptable risk to society or the environment, such as tobacco or thermal coal production, as well as criteria forevaluating other activities, such as palm oil production, that are not strictly excluded but require closer scrutiny. They identify general areas where the risk of adverse impacts
is more significant, and therefore help us in assessing investee companies operating within those sectors against predefined criteria.
Our RBC Policy also establishes a common framework for investments and economic activities through the implementation of the UN Global Compact (UNGC) Principles. As
the Global Compact establishes broad, aspirational principles, a risk-based approach is taken at the issuer level to assess potential breaches of international standards based on
available data. This analysis may result in the exclusion of a company from our actively managed portfolios, or it may lead to direct engagement with the issuer to obtain
more information or attempt to influence the company’s behaviours.
After the RBC Policy is applied, our ESG Integration Guidelines come into force, in which we articulate a series of commitments material to our consideration of PAI:
• ESG analysis of individual entities will concentrate on those factors deemed to be material for the respective sector by the Sustainability Centre, with input
from the investment teams.
• We will typically avoid investing in a public entity without ESG analysis, with a process for qualitative ESG analysis available to investors. We maintainminimum coverage thresholds for funds (90% for developed markets and 75% for emerging markets, mid-small caps and high yield), performing qualitative
ESG analysis in the absence of a quantitative ESG rating when thresholds are in breach. We will avoid investing in a privately owned entity without performing
ESG due diligence (which could include qualitative analysis, or receiving a completed ESG questionnaire).
• We aim to hold portfolios with a more positive ESG scores than their respective (invested) benchmarks.
We implement our ESG Integration Guidelines primarily by providing our investment teams with proprietary ESG scores. Our ESG scoring framework includes considerationof several PAI and PAI-adjacent indicators. Through our materiality heatmap, we identify ESG risks/themes that are material to each sector. Accordingly, the weight allocatedto each risk/theme will vary depending on the relevance of this theme for a particular sector. We group the individual metrics in our ESG scoring framework into 11 common
themes; however, the underlying metrics used to assess performance under each theme vary by sector. This enables us to ensure that the probability of occurrence andseverity of these ESG risks and adjacent PAIs are appropriately assessed. The Risk team is aware of all the portfolios which apply the RBC and will halt, pre-trade, any
investments in excluded names. Risk is also aware of portfolios applying ESG Integration Guidelines and monitor compliance with commitments made.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 35

Our 2024 Stewardship Policy and the 2024 Governance and Voting Policy28 were last approved by the Stewardship Committee in December 2023 and by BNPP AM Europe
Board of Directors on March 2024. They outline what we expect of public companies and how we carry out our ownership responsibilities. We are committed to being a‘future maker’, using our investments and our ability to engage with companies and policymakers to advocate for low-carbon, environmentally sustainable and inclusive
economies. The responsibility for the implementation of these policies lies with the Stewardship team within the Sustainability Centre that is tasked with covering the global
scope of issuers in terms of voting and engagement. The team publishes reports annually on these activities.
• As an integral element of our investment process, we vote at the annual general meetings of companies in which we invest on behalf of our clients. Voting
rights are exercised on equities for mutual funds, UCITS, AIFs, foreign investment funds, mandates and for Employee Investment Funds for which voting rights
are delegated to BNPP AM29. We are committed to ensuring that we consistently exercise our voting policy across portfolios and markets, subject to technicaland legal constraints. We engage with companies in the context of voting at their shareholder meetings, coordinating such dialogue with portfolio managers,
ESG analysts and stewardship analysts, so that final voting decisions feed into the qualitative elements of our ESG ratings.
• Our engagement practices encompass our public equity holdings – both actively and passively managed – and extend beyond them. We regularly engage
with the issuers of green bonds to ensure the investment is appropriate for our clients, and with sovereigns on material ESG issues that may impact thecharacteristics of sovereign bonds. Within our private debt business, we engage corporate borrowers on a wide range of ESG characteristics and apply strict
environmental standards to our real assets portfolios. We also actively engage with public policymakers, helping them shape the markets in which we invest
and the rules that guide and govern company behaviours, with a particular focus on corporate disclosure, climate policy, and corporate governance.
Our policy framework to address PAIs based on our RBC, Better Than Benchmark (or equivalent) on ESG Score with minimum coverage and engagement is applied tomost of our Article 8 and 9 funds, at the exception of specific cases due to the dependency of the strategy on external actors (for instance ETFs which depend on external
indices or Funds of Funds which depend on external funds). For more details on the PAI considered by our RBC, ESG Integration and Stewardship policies, please refer to
our SFDR Disclosure Statement.
Identifying and assessing principal adverse impacts
Data sources
Our ESG research analysis and findings are independent and based on a wide variety of sources not limited to ESG data providers. They include the knowledge we gain fromparticipating in various investment forums and communities, our relationships with academic institutions and aspects of civil society (a list of the initiatives we participate inis available in our most recent Sustainability Report). With respect to market data providers, we select them using a two-step due diligence process. Our Quantitative
Research Group begins by analysing providers’ data sets, which includes examining the coverage of data and its quality, and a statistical review of estimation methodologies,
among other items. At the same time, the Sustainability Centre performs a qualitative review of methodologies used and the relevance of selection criteria.
Our market data team oversees governance related to the relationship with the provider, and as part of this process, we perform an annual review of our market data
contracts.

28 The Governance and Voting policy is also included in the Stewardship policy.
29 For more details, please refer to our Governance and Voting Policy

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 36

Our external specialised providers and what they offer are as follows:• Sustainalytics provides us with raw data metrics that we use selectively to feed our ESG scoring model and PAI reporting. We also use this provider for preliminary
UNGC analysis, controversies offerings, and research related to PAI metrics.
• Trucost, CDP, Maplecroft, TPI, SBTi and Climate Action100+: we use these data providers for our climate change and physical risk analysis. Bloomberg and Trucost
also provides us with Scope 1 and 2 carbon emissions data.
• CDP also provides us with underlying data for selected PAI metrics.
• CDP, Trucost, Forest 500, TRASE, SPOTT, FAIRR, and Iceberg Data Lab provide us with deforestation and biodiversity metrics we use to assess and report on
the biodiversity footprints of our portfolios and holdings.
• ISS, Glasslewis and Proxinvest provide us with their governance research, data to feed our ESG scoring model, and selected PAI metrics.
• Beyond Ratings provides us with data and research used in our ESG sovereign research and scoring framework.
• FactSet provides us with financial and enterprise value data.
• ESG and mainstream brokers provide us with research papers and other market information.
When information is not readily available
For only a few PAIs, we already had data readily available through our existing ESG research. Therefore, we initiated a comprehensive research and data selection projectin 2022 in order to assess PAI data solutions from different providers.
In case the level of disclosure of some PAIs is very low, we have considered estimated data from data providers. Our priority has been to rely on reported data only. However,in a very limited number of cases where we deemed the data quality is sufficient, we have been relying on estimates. This contributes to limit margin of errors of themethodologies used.
In addition, we have been engaging with some data providers to further improve the data quality of some PAIs.
Through our rigorous data provider selection process and ESG Research analysis we strive to ensure the best level of data quality to assess the PAIs. Limitations related
to quantitative data are detailed in the column “explanation” of the table above.
Our SFDR Disclosure Statement further explores how we consider the PAIs from a qualitative standpoint. In particular, it describes how the different pillars of our approach
to investing sustainably (i.e. Forward-looking perspective, Responsible Business Conduct, ESG integration, Stewardship, Sustainability in our product range) arecontributing to consider the PAIs.
In addition to the quantitative reporting of PAIs at BNPP AM Europe level disclosed in this document, we also choose to disclose at fund level the quantitative values of someof the PAIs, depending on the data coverage we reach for each fund. While our calculation methodologies are consistent for each PAI between our entity report and ourfund-level European ESG Templates (EETs)30, in some cases we report data in this entity level report which is not reported in EETs. The reason for this discrepancy relates
primarily to effective data coverage issues at fund level. Specifically, we apply a rule at fund level which only permits PAI reporting for a fund if effective data coverage isabove 50% for the indicator and eligible assets in the fund are above 5%.
30 The EET is an initiative developed by FinDatEx which aims to exchange machine readable ESG data in relation to financial products in order to allow distributors and intermediaries to fulfill their own requirements

under SFDR and MiFID2.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 37

Engagement policies
We take a holistic view in our engagements, focusing on issues that may be financially material as well as those that present the most salient risks to society or theenvironment, consistent with our obligations under the UN Guiding Principles on Business and Human Rights, the OECD Guidelines for Multinational Enterprises, and theset of international treaties and laws that underpin the UN Global Compact Principles.
It is also consistent with our obligations, as fiduciaries, to do what we can to mitigate systemic risks that impact our clients and future investment opportunities, such as
climate change, biodiversity loss, and inequality. These systemic risks are often the focus of our long-term thematic engagements. See our Global Sustainability Strategy,
detailing the overarching thematics, i.e. the ‘3Es’ (Energy transition, healthy Ecosystems, and Equality) that we believe are necessary conditions for a sustainable economic
system.
As mentioned above, our stewardship activities contribute to considering and addressing the different PAI. Through our engagement and proxy voting, we address topics
related to the 14 mandatory Corporates PAI (with the exception of PAI 12), the 3 voluntary Corporate PAI we selected, as well as the 2 Sovereign PAI. For example, for PAI
1, 2, 3, we are a member of the Climate Action 100+ initiative (CA100+), we advocate for Paris-aligned corporate climate lobbying, and we engage with portfolio companies
about their decarbonisation efforts. In terms of proxy voting, we consider the topics covered by PAI 1, 2, 3 through our voting activity on climate and environmental proposals(through shareholder or management proposals), but we also apply climate and environmental considerations to other key items on the agenda (see Section III. Voting
guidelines, Sub-section 5. Environmental and social proposals and considerations of our Governance & Voting Policy). For instance, by doing so, we oppose management
resolutions of companies that do not properly report on their carbon footprint, and we can support shareholder proposals that align with our ESG expectations (see Subsection 6. Shareholder Proposals). More details for each of the other PAI can be found in the appendix of the SFDR Disclosure Statement.
Our Stewardship approach is based on the following engagement strategies: (i) engagement linked to voting; (ii) thematic engagement, with a focus on the ‘3Es’; and (iii)
engagement linked to issuer performance. More details are available on each category in our 2024 Stewardship Policy.
Investor-issuer dialogue is the foundation of good stewardship, allowing for trusting relationships to be built over time and permitting solution-oriented discussions about
issues that might not otherwise be addressed. However, there are times when stronger measures are necessary to encourage a company to reform its practices, or even tocome to the table and discuss our concerns. Therefore, our stewardship approach includes provisions for escalation when engagement produces insufficient progress.. Insuch cases where more robust action is called for, we may, inter alia, voting against a company’s board discharge or elections or financial accounts, submitting private questions
to companies’ top management, submitting public questions, filing/ co-filing shareholder proposals at general meetings, rarely, but when deemed appropriate, announcing our
voting intentions ahead of time; and additional legal strategies.. As a last resort, we may divest entities that do not respond to engagement and show no sign that they willplace greater emphasis on sustainability in the future. These decisions are taken on a case-by-case basis, to ensure that our concerns have been properly heard and dealt
with. Our shareholder proposal filing strategy is approved by the Stewardship Committee once a year, as are specific decisions about filing each shareholder proposal (seeSub-section II.4. of the policy).
Each year we monitor the performance of issuers linked to the topics covered under the different PAI and take it into account when we review our engagement priorities
and proxy voting decisions. As an illustration, on PAI 1, we monitor the disclosure of GHG emissions by publicly listed corporates and apply sanction votes on key items attheir general meetings (Discharge of Board and Management / Board Re-elections / Financial Statements and Director and Auditor Reports) when they fail to disclose theirabsolute GHG emissions appropriately. On the engagement side, we consider the GHG emissions and related reduction targets, and we prioritize the dialogue with

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 38

companies identified as the world’s largest GHG emitters as part of the Net Zero Company Benchmark. Our engagement focuses on the alignment of their climate strategy
with an ambition to achieve net-zero GHG emissions by 2050 or sooner, underpinned by credible decarbonisation strategies and intermediary targets, in line with global
efforts to limit warming to 1.5 degrees Celsius. Escalation measures taken on a case-by-case basis are based on the monitoring of their performance from year-to-year,
including opposition votes on key items at the general meetings, public statements, and filing shareholder proposals.
Please refer to our SFDR Disclosure Statement for more details.
References to international standards
BNPP AM recognises that in many situations addressing principal adverse impacts on society and the environment requires a collective effort. We also acknowledge that wecan be far more influential when working with others, and that we can benefit from partnering with organisations dedicated to the analysis, research or advocacy of individual
ESG issues.
BNPP AM is a signatory of the Net Zero Asset managers initiative and we aim to align our portfolio with the Paris agreement. This commitment underscores our treatment of
PAI 1 through 6. Concerning the environmental sustainability focus of PAI 7 through 9, our desire to consider and address these is underscored by the Nature Action 100
Initiative we are a member of and the Taskforce on Nature-related Financial Disclosures (TNFD) to which we are a deputy member.
The RBC Policy mentioned in step 1 “Policy Framework to Address Adverse Impacts”, illustrates a number of international standards that BNPP AM adheres to and which
may lead to the exclusion of companies active in certain sectors. In particular, PAIs numbers 4, 10 and 11 are at least partially considered and addressed by our RBC which
evaluates companies for exposure to coal, oil & gas, and violations of the OECD Principles for Multinational enterprises and the United Nations Global Compact. Finally, there
are numerous controversial weapon conventions that we adhere to that help us to consider and address PAI 14.
Beyond the standards and groups mentioned above, BNPP AM is active in a number of industry groups and collaborative engagement initiatives as outlined in our 2024
Stewardship Policy and annual sustainability report. These include, but are not limited to, the Principles for Responsible Investing, the Institutional Investors Group on Climate
Change (IIGCC), Climate Action 100+, Task Force on Climate-related Financial Disclosures (TCFD) and the Global Network Initiative. The full list of the initiatives we arepart of is available: here.
Details regarding the methodology and data used to assess the different PAI (and thereby the adherence to International Standards and alignment to Paris Agreement) can
be found in the section above and in our SFDR Disclosure Statement. In order to measure the alignment of our investments with the objectives of the Paris Agreement, we
decided to use a NZ:AAA (Achieving, Aligned or Aligning) framework which is based on various sources and classifies companies in categories depending on their level ofalignment with net zero. In particular, the Implied Temperature Rise indicator translates corporate GHG reduction targets into a projected global temperature change outcome
and is designed to translate greenhouse gas emissions pathways into predicted global temperature figures. This allows for a comparative evaluation of future emissions
targets based on the forecast temperature impact of those trends and targets. BNPP AM has selected the warming function based ITR of the CDP-WWF, which leverages
multiple scenarios for its ITR calculation. The full methodology for the CDP-WWF ITR can be found here: CDP-WWF methodology. This methodology uses multiple climate
scenarios coming from the Integrated Assessment Modelling Consortium (IAMC) (Huppman et al., 2018). Those scenarios are the ones used in IPCC Special Report on
Global Warming of 1.5°C. The scenarios cover a wide range of temperature outcomes, which may be classified based on global warming in 2100 compared to pre-industrial
temperatures. Their methodology assumes that there is a linear relationship between the change (slope) in common target metrics (e.g., absolute emissions; emissions
intensity of revenue or sold product) over specific timeframes relevant to corporate target setting horizons (e.g., 2020-2035) and the resulting global warming in 2100.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 39

Historical comparison
Historical comparison is available for 2022 and 2023 since this is our second year of reporting.
We observe a stable trend for most of the PAIs, with PAI performance being very similar between 2023 and 2022. For few PAIs, we note a slighlty improved performance
which is encouraging though this trend needs to be confirmed thoughout the years. For PAIs 1, 2, 3, the very low data quality of scope 3 GHG emissions brings importantvolatility and makes historical comparison challenging.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 40

DISCLAIMER
The purpose of this document is to comply with the publication requirements of the article 4 of 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 and to provide transparency of adverse sustainability impacts at BNP PARIBAS ASSETMANAGEMENT Europe level. 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 or recommendation.
This document is published by BNP PARIBAS ASSET MANAGEMENT Europe, “the investment management company,” a simplified joint stock company with its registered office at 8, rue du Port
92000, Nanterre, France, RCS Paris 319 378 832, registered with the “Autorité des marchés financiers” under number GP 96002.
All quantitative information included in the statement, unless otherwise stated, is not audited and is provided on the basis of an internal methodology which can include estimate. The use of estimate
data is specifically mentioned in the document.
Although this information is considered reliable and accurate, none of the members of BNP PARIBAS ASSET MANAGEMENT Europe or its respective affiliates, directors, officers, employees,
partners, members or shareholders is responsible for the accuracy or completeness of this information.
The information contained herein is based on the regulation requirements, internal methodology, subjective assumptions and data. This analysis and the resulting conclusions are the expression ofan opinion based on data available at a specific date. This information is therefore subjective and can be changed at any time without notice if considered necessary by the investment managementcompany.
The investment management company is not obliged to update or alter the information or opinions contained within this material unless specific mandatory regulatory changes published afterwards
affecting the present disclosure. All policies referred to in the present document is available on www.bnpparibas-am.com.