SFDR DISCLOSURE STATEMENT:SUSTAINABILITY RISK INTEGRATION
AND PAI CONSIDERATIONS AT ENTITY-LEVELJULY 2023

This statement refers to 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. Disclosures made in respect of
the article 5 of SFDR can also be found in our Remuneration Policy.
PAI: Principal Adverse Impacts on sustainability factors.

The sustainable
investor for achanging world

S F D R D I S C LO S U R E STAT E M E N T : S U STA I N A B I L I T Y R I S K I N T E G R AT I O N
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INTRODUCTIONCONTENTSSUSTAINABILITY RISKS 					 4PRINCIPAL ADVERSE IMPACTS 					12APPENDIX 1 - CONSIDERATION OF MANDATORY CORPORATE PAI AT ENTITY LEVEL 			
APPENDIX 2 - CONSIDERATION OF VOLUNTARY CORPORATE PAI AT ENTITY LEVEL

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APPENDIX 4 - C ONSIDERATION OF MANDATORY AND VOLUNTARY CORPORATE PAIAND SOVEREIGN PAI AT PRODUCT LEVEL 					

36APPENDIX 3 - CONSIDERATION OF SOVEREIGN AND SUPRANATIONAL PAI AT ENTITY LEVEL 		APPENDIX 5 - PAI QUANTITATIVE REPORTING					APPENDIX 6 - ADHERENCE TO INTERNATIONAL STANDARDS 					APPENDIX 7 - REVISION HISTORY					

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At BNP Paribas Asset Management (BNPP AM) we believe that our fiduciary duty is aligned withsustainability and that we have a duty to our clients to make well-informed investment decisions:
ESG (environmental, social and governance) factors are a key element of this. We also have toconsider the sustainability-related preferences of our clients, and we seek to minimise the adverse
impacts of our investments by using our investments, our voice and our leverage to help shapea better future. However, this does not mean that all the investment products we distribute arenecessarily disclosing under article 8 or article 9 under the SFDR regulation.
BNPP AM has been active in sustainability since 2002, when we launched our first socially
responsible investment fund and set up a dedicated ESG research team – the precursor of ourSustainability Centre. We were a founding signatory of the Principles for Responsible Investment(PRI) in 2006. Since then, we have strived to implement all six principles with increasing
effectiveness, and continue to develop our approach, regularly reporting on our achievements interms of meeting the goals of the PRI.
In 2011, we established our first Responsible Investment Policy, based on responsible ownershipand the progressive integration of ESG considerations. This included responsible business conduct
requirements based on the UN Global Compact (UNGC) Principles in the selection of issuers, aswell as in-house sector policies to monitor our investments in sensitive sectors.
In 2019, we published our Global Sustainability Strategy (GSS), which established a roadmap
for putting sustainability at the heart of our investment approach. Targets include progressivelyaligning our portfolios with the aims of the Paris Agreement, and the document sets out the three
key thematic focus areas of our sustainability efforts, or the ‘3Es’: Energy transition, Environmental
sustainability and Equality and inclusive growth. These themes inform our strategic research
agenda, thematic investments, corporate engagement and public policy advocacy. Our approachreflects the systemic changes necessary to achieve sustainable and inclusive economic growth.
We have progressively incorporated sustainability considerations into our investment range.
This means that we work to integrate the key pillars of our sustainability approach as defined in
our GSS, a critical component of which is ESG integration, i.e. having our analysts and portfolio
managers incorporate relevant ESG factors into their evaluation of companies or assets, andinvestment decision-making processes. The other pillars are Stewardship (voting and engagement
activities), Responsible Business Conduct Expectations (including our exclusion list), and a ForwardLooking Perspective (focusing on shaping a more sustainable future) and Investment Solutions
for sustainability.
At entity-level, the implementation of the pillars of our GSS allows us to minimise the principal
adverse impacts of our investments on society and the environment and some of them help us
to focus on ESG sustainability risks in our portfolios. The division of ESG factors into material
sustainability risks and adverse impacts is not always clear-cut, making it difficult at times tocategorise them at the firm level. The application of ESG analysis and Stewardship activity toa portfolio, for example, can result in improvements to corporate behaviour, and though theexclusion of a company from a portfolio for violation of our RBC Policy may not reduce societal
impacts, it may protect the portfolio from related risks. Ultimately, the materiality of an ESG risk
will depend on the investment strategy, timeframe of the investment, underlying investment
universe, as well as other factors.
Within the scope of the investments we propose to our clients, we have strategies that disclose
under article 8 and article 9 and we also have some strategies that are not disclosing underarticle 8 or 9.
This statement is made in relation to BNP PARIBAS ASSET MANAGEMENT Luxembourg and BNP
PARIBAS ASSET MANAGEMENT France and its branches, together hereafter referred as BNPP AM
in this document.
This statement is organised in two parts:• The first section provides an overview of how we integrate sustainability risks in investment
decisions and investment advice• The second addresses principal adverse impacts and our due diligence process.

S F D R D I S C LO S U R E STAT E M E N T : S U STA I N A B I L I T Y R I S K I N T E G R AT I O N
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SUSTAINABILITY RISKS
We believe that analysing investments using environmental, social and governance (ESG) criteria helps us take
into account a wider set of risks and opportunities, which in turn, helps us make better-informed investment
decisions; in other words, our fiduciary duty is aligned with sustainability. Sustainability topics can be imperfectlyor differently understood, under-researched or inefficiently priced, with inconsistent levels of disclosure. Against
this background, integrating ESG factors into investment analysis and decision-making helps our portfolio
managers to identify and assess areas of risk or opportunity which may not be understood by all market
participants, thereby providing them with the potential to achieve relative advantage.
This first part of our SFDR Statement gives an overview of:
1. Our approach to investing sustainably
2. Our ESG scoring process
3. How we analyse ESG factors and assess their materiality
4. Asset-class specificities of our ESG integration process

1.1 Our approach to investing sustainably
At entity-level, BNPP AM relies on the following pillars of sustainability when designing investment strategies
and providing financial advice:
1. ESG Integration: Our ESG scoring and integration approach is applied across a wide range of investment
strategies. By integrating a consideration of relevant ESG factors into our investment decisions, we can identify
and assess areas of risk or opportunity, offering a relative advantage. Please refer to our ESG integration principles
and guidelines.
2. Stewardship (proxy voting, engagement, and public policy): Shareholder engagement and public policy advocacy
activities are undertaken on behalf of our assets under management, with a strong focus on addressing adverse
impacts to society and the environment from corporations and other market participants. Please see our 2023
Governance and Voting Policy, 2023 Stewardship Policy, 2023 Public Policy Advocacy Policy and 2022 Voting Report.
3. Responsible business conduct (RBC) and sector-based exclusions policies (RBC Policy): We strive to apply the
RBC Policy to many actively managed open-ended mutual funds. We review and update these policies regularly
to reflect the changing understanding of science, societal expectations and market realities. Since 2020, thisRBC Policy became the default approach for new client segregated accounts, mandates and dedicated funds.
Clients may however choose to opt out of this Policy. We work with existing clients to seek their approval toapply this Policy to existing segregated accounts, mandates and dedicated funds.
4. Forward-looking perspective – the ‘3Es’ (Energy transition, Environmental sustainability, Equality & inclusive
growth): As set out in Part II of our GSS, we measure our exposure to several key issues across our assets undermanagement, and undertake related research and engagement. Our Global Sustainability Strategy outlines indetail our roadmap and commitments relating to the 3Es.
5. Investment solutions for sustainability: Our goal is to integrate sustainability dimensions across our investment
strategies, according to the four core pillars of our approach mentioned above. We also offer some solutions
that go further receiving one or several labels (delivered by independent organisations, such as ‘Label ISR’ in
France), or having a sustainable investment objective (for example sustainable thematic or impact strategies).
The details on the progress made to achieve our goals can be found in our latest Sustainability Report.
We recognise that systemic risks such as climate change or biodiversity loss cannot be fully addressed throughESG integration in portfolio management. Our Stewardship activities, RBC policies and strategy with regard to the3Es complement and amplify our efforts to reduce material risks to investments, as well as systemic risks that
require collective and urgent action.
Together, these approaches strengthen the way we invest, including how we generate investment ideas, constructoptimal portfolios, control for risk, and use our influence with companies and markets.

1.2 ESG scoring process
Underpinning our sustainable approach is our ESG scoring framework. We chose to build our own proprietary ESG
scoring framework to ensure that ESG scores are tailored to our needs and because we believe in the merits oflooking beyond a headline ESG score to evaluate individual metrics and components that can be valuable sourcesof insight into investment risk and opportunities. We apply an additional layer of data quality and control to theunderlying metrics we source from third parties to narrow our focus to the indicators which we deem to havesufficient coverage, quality and insight. Our independent Sustainability Centre also as the ability to implement
corrections and qualitative overlays to correct data, update it or infuse it with our first-hand knowledge and insights.

SUSTAINABILITY CENTRE• Owns the model• Selects relevant ESG indicators•	Defines weights based on materiality
research (incl. SASB* framework)• Assesses underlying data quality

SUSTAINABILITYCENTREQUANT RESEARCH GROUP• Analyses data quality and coverage• Corrects biases & metric correlation• Minimises the number of indicators and enhance data model• Normalises indicators and scoresQUANT
RESEARCHGROUP
BNPP AMESG RESEARCHINVESTMENT TEAMS• Suggest ESG scoring methodology enhancements• Provide data corrections / overlays• Apply research and scores to company analysis,
engagement and portfolio construction

INVESTMENT TEAMS

Covering more than 13,000 issuers, our ESG scoring process provides insights that help our portfolio managers
pinpoint a company’s performance on material ESG issues, and integrate these into their investment decisions.
Compared to other frameworks, our methodology is markedly differentiated, with a more focused number of ESG
metrics, and a clear preference for ‘performance’ over ‘policy’ indicators.

1.3 ESG factors analysed and how materiality is rated
Our Sustainability Centre oversees the development and implementation of our strategy to investing sustainably– a strategy governed by our Sustainability Committee, which includes members of BNPP AM’s Executive andInvestment Committees and is chaired by the CEO.
Our team of ESG analysts and specialists carries out ESG research on issuers in our investment universe. Our
sector-specific ESG research covers a broad range of potentially material risks, including systemic risks to theenvironment and society, from climate change and incidences of bribery and corruption, to consumer privacy
breaches.
ESG analysts are in charge of assessing companies’ ESG performance and monitoring compliance with our
Responsible Business Conduct Policy.
Our research culminates in a proprietary ESG performance score for each company, with these scores accessible
to relevant portfolio management teams. In addition, investment teams receive updates to the list of issuers thatfail to meet the standards set out in our RBC Policy and are therefore not eligible for investment in portfolios
where our RBC is applied. A ‘watch list’ of names with whom we are engaging to encourage improvements is
also shared; these names are ineligible for investment in some of our strategies (e.g products with some specificsustainability labels or requirements).

S F D R D I S C LO S U R E STAT E M E N T : S U STA I N A B I L I T Y R I S K I N T E G R AT I O N
A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L - 6 -Recognising that ESG risks and opportunities are not always comparable between sectors and regions, our scoring
framework divides the issuers covered into 20 sectors and 4 geographic areas, creating 80 groups of geographic
and sector peers.
We apply the precautionary principle when identifying ESG risks in our ESG analysis and rating: If a ‘risk’ is defined
as a negative event that may or may not occur sometime in the future, then biodiversity loss and climate change
should be viewed as ‘threats’, not ‘risks.’ There is a great deal of uncertainty regarding how these issues may playout, and how negative and far-reaching the outcomes will be, but it is quite clear that ‘business as usual’ will lead
us to economic and ecological disaster, and we must change course.
In other words, it is difficult to obtain evidence for the financial impact that threats to the environment may have
before the damage occurs, primarily due to the vastly different timeframes at play: by the time an environmental
risk becomes financially material to a company, it may be too late to reverse the damage to the environment.
The situation is similar for a number of social aspects. The uncertainty and difficulty in measuring the impactthat surrounds – at least today – environmental and social harm should not be used as an excuse for not taking
action to avert related threats.
To arrive at ESG scores that provide useful investment insights, we select metrics and weights within our ESG
scoring framework using three criteria:
1. Materiality: We reward companies that score highly on ESG issues that are material to their business, basedon the expertise from our Sustainability Centre, as well as frameworks such as SASB and empirical studies
2. Measurability and insight: We give preference to performance or numeric metrics over policies or programmes
3. Data quality and availability: We favour metrics for which data is of reasonable quality and readily available
so that we can compare issuers fairly

B N P PA R I B A S A S S E T M A N A G E M E N T – S F D R D I S C LO S U R E STAT E M E N T :S U S T A I N A B I L I T Y R I S K I N T E G R A T I O N A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L-7-

Our Materiality Heat Map
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. The materiality Heat Map below provides
a visual representation of the weights applied to each theme for each sector in our scoring model. A darker shadeof green indicates a higher weight, and a lighter shade of green a lower weight

Environment Pillar

Social Pillar

Governance Pillar

Climate Environmental Use of natural Environmen- Human
Health &External
SocialCorporate Business Governancechangerisk
resources, tal incidents capital
Safety Stakeholders indicidents Governance Ethics Pre- incidents
management Emissions
management
paredness
and Waste

Utilities
EnergyReal estate
Internet, Content,
Software & Svces
Infrastructure &Platform Enablers
Financials
Food, Beverage& Tobacco
Household &Personal Products
Food & Staples
Retailing
Metals, Mining,
Construction
Other Materials(chemicals, …)Commercial &Professional Services
Transportation
Capital Goods
Automobiles
Luxury & Leisure
Retailing
Consumer services
Healthcare
PharmaSovereigns
BNPP AM ESG scoring for sovereigns provides a view on the ESG performance of a country and enables us tocompare countries with different levels of economic development. In addition, it assesses countries’ commitments
concerning climate change as we aim to engage with them on this issue. Finally, similar to our company-scoringmodel, it incorporates qualitative inputs derived from investment teams’ in-depth knowledge, and from dialogue
and engagement with debt management officials and policymakers.
Our Sovereign ESG data model has an equal weight for each of the E-pillar (14 themes), S-pillar (12 themes) andG-pillar (7 themes), comprising a total of 225 KPIs structured around 33 key themes.

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ESG and financial performance
We believe that unmanaged or unmitigated sustainability risks can impact the returns of financial products. Dueto the nature of sustainability risks and specific topics such as climate change, the chance of sustainability risks
impacting the returns of financial products is likely to increase over longer-term time horizons linked to increased
incidence of both physical and transition-related risks.
Share prices of companies with strong sustainability practices typically demonstrate less volatility and havefewer large drawdowns1. Specifically, adverse impacts from sustainability risks can affect companies via a rangeof mechanisms, such as 1) lower revenue; 2) higher costs; 3) damage to, or impairment of, asset value; 4) higher
cost of capital; and 5) fines or regulatory risks1.

The process to integrate and embed ESG* factors is guided by formal ESG Integration Principles and Guidelines, as
outlined below. Criteria outlined in these documents can apply as a whole, or in part, to products that integrate ESG.
Common ESG Integration Guidelines

PHILOSOPHY

1. 4 ESG integration process: Overview
Wherever applicable, analysts and portfolio managers integrate a consideration of relevant ESG factors into
their company, asset and sovereign evaluation and investment decision-making or financial advice. The process
to integrate and embed ESG factors is guided by formal ESG Integration Guidelines, a set of common guidelines,
and then by tailored approaches by asset class and/or investment strategy. This process (see below) is overseenby the Sustainability Centre.

Some common principles for ESG integration
will apply across all asset classes,
while others are asset class or strategy-specific

An example of a typical investment process

Investment
philosophy
•

•

•
•
•
•

1
2

Research andidea generation

Portfolio
construction

Riskmanagement

Engagement

VotingDisclosure andreporting

Investment Philosophy: Investment strategies are guided by an investment philosophy, which is a set ofunderlying beliefs that influence investment teams when they are managing their funds. Wherever applicable,
relevant ESG considerations have been integrated into investment philosophies across BNPP AM to ensure
consistency.
Idea Generation: At the idea generation stage, investment teams think broadly about future investment
opportunities. Integrating ESG factors allows investment teams to include or discard opportunities based on
ESG considerations. For example, some strategies identify the highest-rated ESG entities in a universe as apriority for additional financial analysis
Portfolio Construction: ESG factors can be used in a number of ways at the portfolio construction stage, suchas to screen companies, to overweight or underweight positions, or to tilt portfolios, as in our Multi-Factor
portfolios that have a systematic tilt away from carbon-intensive entities and towards high ESG performers.
Risk Management: We have a fiduciary duty to our clients to take all risks into consideration, including ESG or
sustainability risks.
Voting & Engagement: Proxy voting activity is led by our Stewardship team, which liaises with portfolio managers
to seek input on strategic votes. Engagement on governance and sustainability topics is typically led by thisteam, while investment teams also include ESG topics in their ongoing company meetings.
Performance: As per our ESG Integration Guidelines, for a wide range of strategies, we monitor the ESG score
and/or carbon footprint of some investments versus their benchmarks. For eligible strategies, we aim tooutperform on ESG characteristics at product-level. We report on these two KPIs to clients where they areavailable.

Source: Morgan Stanley, Sustainable Reality: Analyzing Risk and Returns of Sustainable Funds, 2019
For more information on transmission mechanisms and channels of impact, see: 1) NGFS First comprehensive report "A call for action",
2019; 2) the Sustainability Accounting Standards Board (SASB); 3) Implementing the Recommendations of the Task Force on Climate-related
Financial Disclosures (TCFD).

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STEWARDSHIP & ENGAGEMENT
Source: BNP Paribas Asset Management, August 2022
Where weakly rated
entities are non-responsive
We will avoid investing
to engagement, we may
in a weakly rated entity
use our voting rights and(in active portfolios)
oppose key resolutions at
without documenting thetheir general meetings.
risks and/or engaging
As a last resort, we may
or planning to actively
disinvest from weakly
engage in the near
rated entities which do not
futurerespond to engagement

RESEARCH
We will typically avoid
investing in a public entity
without ESG analysis, witha process for qualitative
ESG analysis available toinvestors. We maintainminimum coverage
thresholds for funds,
performing qualitative
ESG analysis in the absenceof a quantitative ESG ratingwhen thresholds arein breach.

We will avoid investingin a private entity without
performing ESG due
diligence

KPIS** & REPORTING

We aim to hold portfolios
with more positive ESG
scores than their respective(invested) benchmarks

We aim to hold portfolios
with a lower carbon
footprint than theirrespective (invested)benchmarks

Source: BNP Paribas Asset Management, June 2023

* ESG: Environmental Social and Governance.
** KPI: Key performance indicator The initial focus for the above KPIs is corporate issuer scores (e.g. sovereigns, derivatives and cash excluded
at this stage).

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1. 5 Scope of ESG integration process

EXAMPLE OF ESG INTEGRATION IN PRIVATE DEBTOur ESG Integration Guidelines apply across our AUM where applicable, with the exception of specific products
as specified in our prospectuses.
In 2018, BNPP AM set up an ESG Validation Committee to support the process of ESG integration and ensure thatthe majority of investment products managed by BNPP AM were in line with our ESG Integration Guidelines. By theend of 2019, we had validated all relevant strategies by having each investment team present its proposed ESG
Integration Process for review and validation by the Committee. The review of all relevant investment strategy
does not imply that our ESG integration Principles and Guidelines apply to all our product. Today, when a new
strategy is launched, wherever applicable, the Sustainability Centre reviews it and wherever applicable, it isvalidated as part of the Global Product Committee approval process.
Note for Index funds and ETFs following our ESG integration Guidelines the process is different in nature:•	Index funds and ETFs using the full replication method and tracking ESG indices, the following elements areanalysed, including, but not limited to: source and quality of ESG data used, legitimacy and expertise of the ESG
data and/or index provider(s), ESG index methodology including ESG sector exclusions and integration of ESG
criteria for securities selection and weightings, portfolio diversification across sectors and countries, scalability
and liquidity of the index, EU BMR compliance, ESG rating of the index versus the relevant investment universe,
requirements of the relevant benchmark in terms of ESG disclosure, Paris Aligned Benchmark (PAB) or Climate
Transition Benchmark (CTB) classification.
•		Index funds and ETFs using the synthetic replication method or specific products structured with forward
financial instruments will integrate ESG, at least in the assets physically held by those products, throughthe exclusion of one or several low-scoring deciles at swap inception (for instance they will at the very least
exclude companies that fall into the 10th decile – worst performers – based on our ESG scoring).

1. 6 Practical examples of ESG integration across asset classes
Our common ESG Integration Principles apply across geographies and asset classes (e.g. equities, fixed income,private debt and real assets, multi-asset and quantitative solutions). Following the ESG validation process, whereverapplicable, investment team’s investment process integrates ESG in line with our common ESG Integration
Principles. Below are a couple of examples illustrating this.

Example of ESG integration in equities – Greater China equities• Filter out stocks with

• Use proprietary

quantitative screening
including ESG factors

STOCK SELECTION& DISCUSSIONar
Tu r n o u n d• Conduct company specificfundamental research:- Industry & Company
Dynamics;

sf
an

orma

MOAT

t
iv e

insufficient liquidity
and size, or failing tomeet BNPP AM*
Responsible BusinessConduct standards

FUNDAMENTAL RESEARCH& VALUATIONTrIDENTIFY THEMES& SCREENING& valuation upside.

• Determine position weightbased on conviction andrisk/reward.

• Monitor daily performance• Perform strict sell

- Balance Sheet Strength;• Identify the intrinsic value

PORTFOLIO CONSTRUCTION& RISK MANAGEMENT

and risk metrics.

- ESG assessment;- Valuation.

-11-• “Growth Framework”
approach to adapt toChina’s fast shifting
dynamics.

• ESG and Stewardshipdebateddiscipline including for
ESG reasons & rigorous
risk controls embedded
to protect* gains andmitigate risks.

• Implement multi-layeredrisk management.

Generating high conviction ideas through a disciplined and repeatable approach*B NP Paribas Asset Management does not provide any formal capital guarantee for this strategy.
Source: BNP Paribas Asset Management, June 2023.

ESG PROCESSPRELIMINARYESG REVIEWESG ASSESSMENT• Using the BNP Paribas• Qualitative assessment• Using BNPP AM• Shared and sector-

Group and BNPP AM
framework screening
tools

proprietary taxonomyof activities•of the ESG performanceof the infrastructure
project
specific ESG indicators• In-depth study of thematerial ESG issues

MANAGEMENTTEAM
ESG RESEARCH
Source: BNP Paribas AM, September 2020.

ESG RESEARCHIMPACT ASSESSMENT

PORTFOLIO REVIEWAND REPORTING• Environmental• Annual review based• Assessment of the• ESG reportingand climate impact
assessment
induced and avoided
emissionson environmental andclimate impact• Assessment of the

net contribution
to the energy andecological transition

ICEBERG DATA LAB(CONSULTING FIRM)

MANAGEMENTTEAM
ESG RESEARCHS F D R D I S C LO S U R E STAT E M E N T : S U STA I N A B I L I T Y R I S K I N T E G R AT I O N
A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L - 1 2 -PART 2.

PRINCIPAL ADVERSE IMPACTS
This section explores how BNPP AM considers Principal Adverse Impacts on sustainability factors (PAI) at theentity level, and covers the reference period from 1 January 2022 to 31 December 2022.

Principal adverse impacts statement
As a broadly diversified global asset manager, BNPP AM’s adverse impacts are primarily indirect, through theentities in which we invest. We are therefore heavily dependent upon issuer and third-party reporting, in addition
to our own research. More than twenty years since the launch of the UN Global Compact Principles that lay out
fundamental corporate responsibilities in the areas of human rights, labour, environment and anti-corruption,and more than ten years since the adoption of the UN Guiding Principles on Business and Human Rights, thestate of corporate social and environmental due diligence remains insufficient and has room for progress. We
seek to address this issue in part through engagement with companies, by supporting shareholder proposals
asking companies to adopt meaningful social and environmental due diligence programmes, and through public
policy advocacy. Nevertheless, as relatively few entities in our large investible universe conduct meaningful due
diligence and/or disclose the results of these efforts, we are not yet at the stage where we can adequately identify
all principal adverse impacts that may be related to the companies, assets or sovereigns we are investing in.
As corporate reporting requirements mostly focus on financial information, most issuer-provided information
on adverse impacts is currently voluntarily produced (Note: this is expected to change in Europe with the entry
into force of the Corporate Sustainability Reporting Directive). This, combined with usual lack of due diligenceprogrammes on principal adverse impacts at entity level, means that many of the most significant adverse
impacts can be sometimes inappropriately identified or disclosed. In addition to a lack of reliable information,
our ability to influence outcomes is limited by a variety of factors including the limited leverage available to aminority investor. This is particularly true for sovereigns.
Nevertheless, we embrace our responsibility to identify and mitigate our principal adverse impacts. Our framework
for identifying and addressing adverse impacts is outlined below.

1

2
3
4

5

BNPP AM Due Diligence Process
Policy Framework to Address Adverse Impacts

B N P PA R I B A S A S S E T M A N A G E M E N T – S F D R D I S C LO S U R E STAT E M E N T :S U S T A I N A B I L I T Y R I S K I N T E G R A T I O N A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L

Step 1 – 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 and behaviours that present a high risk of adverse impacts in violationof international norms; 2) our ESG Integration Guidelines, which helps our investment teams identify ESG risks,
including those related to PAI; and 3) our 2023 Stewardship Policy and 2023 Governance and Voting Policy, settingout how we exercise our voting rights as a responsible steward and engage with issuers.
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:••••

References to international standards and participation in industry
or multi-stakeholder initiatives
Reporting

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

Our RBC Policy was last approved in December 2022 by the BNPP AM Sustainability Committee. It provides sectorspecific guidance to identify and prioritise adverse impacts based on the nature of the economic activity, and inmany 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 for evaluating 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 theimplementation 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 ofcommitments 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 maintain minimum 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 acompleted ESG questionnaire).

•

We aim to hold portfolios with a more positive ESG scores than their respective (invested) benchmarks.

Identifying actual and potential adverse impacts
and actions taken
Actions taken on engagement and escalation-13-

We implement our ESG Integration Guidelines primarily by providing our investment teams with proprietary ESG
scores. Our ESG scoring framework includes consideration of several PAI and PAI-adjacent indicators. The Risk teamis 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.

S F D R D I S C LO S U R E STAT E M E N T : S U STA I N A B I L I T Y R I S K I N T E G R AT I O N
A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L - 1 4 -Our 2023 Stewardship Policy was last approved by the Stewardship Committee in December 2022. Our 2023
Governance and Voting Policy was approved in March 2023 by the Stewardship Committee and the board of
BNPPAM. 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 andpolicymakers 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 inwhich 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 delegatedto BNPP AM2. We are committed to ensuring that we consistently exercise our voting policy across portfolios
and markets, subject to technical and legal constraints. We engage with companies in the context of voting attheir AGMs, coordinating such dialogue with portfolio managers, ESG analysts and stewardship analysts, sothat 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 isappropriate for our clients, and with sovereigns on material ESG issues that may impact the characteristics
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 andgovern company behaviours, with a particular focus on corporate disclosure, climate policy, and corporate
governance.

Step 2 – 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 from participating in various investment forums andcommunities, our relationships with academic institutions and aspects of civil society (a list of the initiatives weparticipate in is available in our most recent Sustainability Report). With respect to market data providers, we selectthem 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 ofmethodologies used and the relevance of selection criteria.
Our market data team oversees governance related to the relationship with the provider, and as part of thisprocess, we perform an annual review of our market data contracts.
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 and SBTi: we use these data providers for our climate change and physical risk
analysis. 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 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.
• ESG and mainstream brokers provide us with research papers and other market information

2 For more details, please refer to our Governance and Voting Policy

B N P PA R I B A S A S S E T M A N A G E M E N T – S F D R D I S C LO S U R E STAT E M E N T :S U S T A I N A B I L I T Y R I S K I N T E G R A T I O N A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L-15-When information is not readily available
For only a few PAIs we already had data readily available through our existing ESG research. Therefore, we initiateda comprehensive research and data selection project 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 deemedthe data quality is sufficient, we have been relying on estimates.
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 levelof data quality to assess the PAIs. Limitations related to quantitative data are detailed in the column “explanation”
of the table above.
Our quantitative reporting of PAIs at BNPP AM entity level is disclosed in separate documents, available on thispage of our corporate website. In addition, we also choose to disclose at fund level the quantitative values ofsome of 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 our fund-level European ESG Templates (EETs)3, in somecases 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 is above 50% for the indicator and eligible assets
in the fund are above 5%.

Step 3 – Engagement and escalation
We take a holistic view in our engagements, focusing on issues that may be financially material as well as thosethat present the most salient risks to society or the environment, consistent with our obligations under the UN
Guiding Principles on Business and Human Rights, the OECD Guidelines for Multinational Enterprises, and the setof 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. Thesesystemic 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, Environmental sustainability, and Equality
and inclusive growth) that we believe are necessary conditions for a sustainable economic system.
As mentioned above, our stewardship activities contribute to considering and addressing the different PAIs. Throughour engagement and proxy voting, we address topics related to the 14 mandatory Corporates PAIs (with the
exception of PAI 12), the 3 voluntary Corporate PAIs we selected, as well as the 2 Sovereign PAIs. For example, for
PAI 1, 2, 3, we are a member of the Climate Action 100+ initiative (CA100+), we have advocated for Paris-aligned
corporate climate lobbying, and we engage with portfolio companies to evaluate the potential for us to work withthem to enhance their decarbonization ambitions. In terms of proxy voting, we consider the topics covered by PAI1, 2, 3 through our votes on climate and environmental proposals (e.g. shareholder or management proposals)
but also apply climate and environmental considerations to other key items on the agenda (cf. Section 3.6.1 “Theapplication of ESG considerations to Management resolutions” of our 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 also support shareholder proposals when they align with our ESG expectations. More details for each of theother PAI can be found in the appendix.
Our Stewardship approach is based on the following engagement strategies: (i) engagement related to corporate
governance and voting; (ii) thematic engagement, with a focus on the ‘3Es’; (iii) engagement linked to ESG
performance.

3 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.

S F D R D I S C LO S U R E STAT E M E N T : S U STA I N A B I L I T Y R I S K I N T E G R AT I O N
A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L - 1 6 -This includes provisions for escalation when engagement produces insufficient progress. Indeed, investor-issuer
dialogue is the foundation of good stewardship, allowing for trusting relationships to be built over time andpermitting solution-oriented discussions. However, there are times when stronger measures are necessary to
encourage a company to come to the table and discuss our concerns. In such cases where more robust action
is called for, we may, inter alia, make public statements, propose shareholder resolutions, call an extraordinary
general meeting, or intervene jointly with other institutions. As a last resort, we may divest entities that do notrespond to engagement and show no sign that they will place 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 anddealt with. Our shareholder proposal filing strategy is approved by the Stewardship Committee once a year, as
are specific decisions about filing each shareholder proposal.
Each year we monitor the performance of issuers linked to the topics covered under the different PAI and take itinto 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
at their general meetings (Discharge of Board and Management / Board Re-elections / Financial Statements
and Director and Auditor Reports) when they fail to disclose their absolute GHG emissions appropriately. On theengagement side, we consider the GHG emissions and related reduction targets, and we prioritize the dialogue
with 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.

Step 4 – References to international standards and participation in industry or multi-stakeholder initiatives
BNPP AM recognises that in many situations addressing principal adverse impacts on society and the environment
requires a collective effort. We also acknowledge that we can 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 manager 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 COP
15-announced Nature Action 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 ofinternational standards that BNPP AM adheres to and which may lead to the exclusion of companies activein 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 forMultinational 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 andcollaborative engagement initiatives as outlined in our 2023 Stewardship Policy and annual sustainability report.
These include, but are not limited to, the Principles for Responsible Investing, the Institutional Investors Groupon Climate Change (IIGCC), Climate Action 100+, Task Force on Climate-related Financial Disclosures (TCFD) and
the Global Network Initiative. See Appendix 6 for the complete list.
Details regarding the methodology and data used to assess the different PAI (and thereby the adherence toInternational Standards and alignment to the Paris Agreement) can be found in the section “Step 2 - Identifying
and assessing principal adverse impacts”.

B N P PA R I B A S A S S E T M A N A G E M E N T – S F D R D I S C LO S U R E STAT E M E N T :S U S T A I N A B I L I T Y R I S K I N T E G R A T I O N A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L-17-Step 5 – Reporting
Our RBC Policy is publicly available to inform our clients and the markets of our expectations for corporate behaviour.
We do not publicly report the entities on our exclusion list.
We publish information about our Stewardship activities as part of our annual sustainability report (supplemented
by more frequent information on our website). All of our reporting can be found on our public website:
https://www.bnpparibas-am.com/en/sustainability-documents/
SFDR RTS (Regulatory Technical Standards) requires fund managers to describe actions taken at the entity levelto consider PAIs. MiFID requires distributors to ask clients about their sustainability preferences, in particularregarding the percentage of SFDR Sustainable Investment (option a), the percentage of investments aligned with
the EU taxonomy (option b) or the consideration of PAIs (option c). The tables below outline how BNPP AM considers
and addresses or mitigates each of the 14 mandatory and 3 voluntary PAIs for Corporates, 2 mandatory PAIs forSovereigns and 2 mandatory and 2 voluntary PAIs for Real Estate Assets.
In terms of quantitative reporting, we have been conducting a comprehensive research and data selection projectin order to assess PAI data solutions from different sources and to provide a quantitative reporting at fund andentity level. In particular, we have been reviewing the methodology of the different providers and assessed theextent to which each matched the regulatory definition of the PAIs. Then we conducted some quantitative analysis
through descriptive statistics (coverage, number of valid values, etc). This extensive quantitative analysis wascomplemented by a qualitative analysis based upon a review of specific issuer data results and comparing against
various relevant available disclosures (e.g., sustainability reports, financial statements, etc). Appendix 5 below
further describes the PAIs on which we are reporting at fund and entity levels.

S F D R D I S C LO S U R E STAT E M E N T : S U STA I N A B I L I T Y R I S K I N T E G R AT I O N
A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L - 1 8 -B N P PA R I B A S A S S E T M A N A G E M E N T – S F D R D I S C LO S U R E STAT E M E N T :S U S T A I N A B I L I T Y R I S K I N T E G R A T I O N A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L-19-

APPENDIX 1 – CONSIDERATION OF MANDATORY CORPORATE PAI AT ENTITY LEVEL
The table below describes how each of the five pillars of our sustainability approach contributes to ‘consider and address or mitigate’ qualitatively each of the 14 mandatory corporate PAI at entity level.
Indicator

Metric

Data
Availability

Pillar 1
ESG Integration

1. GHG
Emissions

Scope 1High

Scope 2High

Scope 3

Low

Total
EmissionsLow

2. Carbon
footprint

Carbonfootprint

High5

3. GHG
intensityof investee
companies

GHG intensityof investee
companies

High6• Several indicators related to GHG
Engagement
emissions are currently embedded• We are a member of the Climate
in our proprietary ESG scoring
Action 100+ initiative (CA100+),
framework:a collective effort by institutional-Absolute GHG emissions (scope 1+2
investors to engage the world’s
as of today)largest corporate greenhouse gas- Carbon intensity – also enforced atemitters. The objective of thisfund level via the ‘BTB rule’initiative is to push corporates to- Carbon intensity trend
implement a strong governance- Sector-specific carbon performanceframework that clearly articulates
metrics (ex: carbon intensity ofthe board’s accountability for andgeneration, fleet emissions foroversight of climate change risk,
automotive sector)
provides enhanced corporate dis- Scope of GHG reporting
closure, and takes action to reduce- GHG risk management
greenhouse gas emissions across- GHG reduction programme
the value chain, consistent with the- Incidents related to a compaParis Agreement’s goal. BNPP AM
ny’s failure to manage direct andleads, or co-leads, engagement withindirect GHG emissions throughten companies in Europe, the US
non-compliance with environmenand Asia. We also take part in othertal regulations
dialogues led by other investors in- Incidents related to the negative
CA100+, and lend our name to all
impact of products and services on
engagements undertaken in the
carbon emissions
name of this initiative with all companies, in our capacity as supporter• Carbon footprint of our funds: we• Engagement on corporate climate
have been measuring the carlobbying: since 2018, we have advobon footprint of our “Investment
cated for Paris-aligned corporate clisolutions for sustainability” equity
mate lobbying and witnessed a rapid
funds and mandates since 2011. In
uptake by institutional investors on
May 2015, we were among the first
this topic. In this context, we can use
signatories of the Montreal Carbon
the filing of shareholder proposals
Pledge, and committed to proas an escalation measure.
gressively measure and report the• Engagement related to our Coal
carbon footprint of our open-ended
Policy: we engage individually withfunds. Today, wherever relevant, we
portfolio companies to confirm themeasure the carbon footprint of bothemissions intensity of their power
equity and fixed income portfolios.
generation and evaluate the potenAn internal dashboard is preparedtial for us to work with companies tofor the Investment Committee on aenhance their decarbonization ambi-weekly basis tracking the perforbitions. We also engage with thosemance of a range of funds versus
companies whose carbon intensities
their respective (invested) benchare close to, but still not in line withmarks on ESG and carbon perforour policy.
mance.
• BNPP AM factsheets are evolving
Proxy voting
to include when relevant two new• We apply climate-related expecindicators – ESG Global Score andtations to our voting exercise, as
the carbon footprint of the funddetailed in our voting policy. As
versus the benchmark. Whereveran example, we oppose manageapplicable, we aim to hold portfolios
ment resolutions on the approvalwith more positive ESG characterisof discharge of the board, board
tics than their respective (invested)reelections or financial statements
benchmarks.
(depending on the market) at companies that do not properly report

4 Source: Broadridge, Morningstar, BNPP AM.
5 Currently does not take into account Scope 3.
6 Currently does not take into account Scope 3.

Pillar 2
Stewardship(voting, engagement)

Pillar 3
Responsible Business Conduct andsector-based exclusions

Pillar 4
Forward-looking perspective:the ‘3Es’

Pillar 5
Investment solutions forsustainability

Conclusion• Exclusion of thermal-coal mining
companies that meet any of thefollowing criteria:-are developing or planning todevelop thermal coal extraction
capacities (new mines or expansionof existing ones)- derive more than 10% of their revenues from the mining of thermal
coal- produce more than 10 million tonsof thermal coal per year
- do not have a strategy to exit fromthermal-coal activities by 2030 inEuropean Union and OECD countries and by 2040 for the rest of theworld• Exclusion of all power generators thatmeet any of the following criteria:- are adding operational coal-fired
power generation capacity to theirpower portfolio- have a carbon intensity above the
IEA SDS threshold of 400 gC02/ kWhin 2022, declining towards
345.6 gC02/kWh by 2025.
• In addition to the above, we will
systematically exclude any
power generators that still have coalcapacity in their generation mix in
2030 in European Union and OECD
countries, and by 2040 for the rest of
the world.
• Exclusion of oil and gas companies
significantly involved in unconventional oil and gas activities• Our exclusion list and watch list arecommunicated by CIOs to investment teams on a regular basis.
Pre-trade and post-trade compliancechecks are conducted by Investment
Compliance teams to ensure that exclusion lists are implemented by all
relevant portfolios within 3 monthsof the list being updated.

• Efforts are underway to evaluate
Scope 3 carbon data for inclusion
in internal assessment frameworks.
Due to lack of disclosure of meaningful scope 3 emissions by corporates
and to high variance of estimation
models by data providers we decided to limit our disclosure of scope 3
emissions within the PAI for the time
being. We are still working on ourinternal estimation model but are
not yet able to use it for reporting
purposes.
• Efforts are underway to develop ourown carbon data estimation modelusing machine learning techniques.
• Due diligence on third-party data
vendor offerings related to PAI indicators 5 and 6 where data availability is currently low.
• We committed to the Net Zero AssetManagers initiative in 2021 and from2023 we will start to report annuallyon our progress. We have intermediate targets of reducing the carbon
footprint of our in-scope corporate
investments by 30% in 2025 and50% by 2030, from a 2019 baseline(scope 1 and 2). About half (50%) of
BNPP AM’s AUM are in the scope of
our initial commitment – a calculation made by focusing on funds inour range that are currently Article 8
or Article 9 under the Sustainable Finance Disclosure Regulation (SFDR).
These funds have formally adopted
our better-than-benchmark ESG target described below and also apply
our Responsible Business Conduct(RBC) policy. Our commitment also
includes Article 6 funds and mandates which have adopted our RBC
policy. Please refer to appendix 6 formore details.

At entity-level, some of our strategies
address the climate thematic:• BNPP AM is one of the leaders in
Europe on thematic funds4:- Several disclosing under Article 9
funds totaling €20bn in assets under management as of 31/12/2022.
- Several Paris Aligned Benchmark(PAB)/ Climate Transition Benchmark (CTB)/ Index funds totaling€10bn in assets under management as of end of Q1 2023. These
funds represent 36% of the AUM of
our total ETFs.
• EU zero carbon ambition fund.
• 161 labelled funds (including
Towards Sustainability Quality Standards) totaling €122bn in assets under management as of 31/12/2022.

The indicators included in our scoringmodel, in addition to our stewardship,
application of RBC, research and thematic/labelled funds, allow us
to consider and address or mitigate
PAI 1.
The indicators included in our scoringmodel, in addition to our stewardship,
application of RBC, research and thematic/labelled funds, allow us
to consider and address or mitigate
PAI 2.
The indicators included in our scoringmodel, in addition to our stewardship,
application of RBC, research and thematic/labelled funds, allow us
to consider and address or mitigate
PAI 3

S F D R D I S C LO S U R E STAT E M E N T : S U STA I N A B I L I T Y R I S K I N T E G R AT I O N
A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L - 2 0 -Indicator

Metric

Data
Availability

Pillar 1
ESG Integration

Pillar 2
Stewardship(voting, engagement)

4. Exposure
to companies
active in thefossil fuelsectorShare ofinvestments
in companies
active in thefossil fuel sector

High• The indicators listed above for
PAI 1/2/3 can be used as proxy. In
particular, the sector-specific carbon
performance indicators are mainly
focused on companies from the fossil
fuel sectors.

5. Share of
non-renewableenergy consumption andproduction

Share of non- renewable energy
consumption andnon-renewableenergy production of investee
companies from
non-renewableenergy sources
compared torenewable energy
sources, expressed asa percentage
of total energy
sources

Low(for consumption)
High (forproduction)• Two proxy indicators related torenewable energy use are currently
embedded in our proprietary ESG
scoring framework for the relevant
sectors:- Robustness of renewable energy
programme to increase the use ofrenewable energy.
- Share of primary energy use
coming from renewable energy.

on their carbon footprint (Scope
1, 2 and 3, when appropriate) or
their climate lobbying activities,
nor communicate or constructively
engage about their climate strategy. In addition, we expect fromcompanies identified as the world’s
largest corporate greenhouse gas
emitters that they publicly announce
their ambition to achieve net-zero
GHG emissions by 2050 or sooner.
This results in a significant opposition vote at general meetings forclimate-related considerations.
•We support shareholder proposals
when they align with our ESG
expectations, as detailed in our
Governance & Voting Policy.
• We file or co-file climate-relatedshareholder proposals in the context
of our climate engagements as partof our escalation policy (see section
I.4).

6. Energy
consumption
intensity perhigh impact
climate sector

Energy consumption in GWh per
million EURof revenue ofinvesteecompanies, perhigh impact
climatesectorLow• A proxy indicator is embedded in our
proprietary ESG scoring framework:-absolute GHG emissions, which
covers Scope 2 (and therefore
indirect emissions from purchased
energy)7. Activities
negatively
affecting biodiversity- sensitive areas

Share of investLow
ments in investee
companies withsites/operations
located in or nearto biodiverstysensitive areas
where activitiesof those investee
companies negatively affect thoseareas

B N P PA R I B A S A S S E T M A N A G E M E N T – S F D R D I S C LO S U R E STAT E M E N T :S U S T A I N A B I L I T Y R I S K I N T E G R A T I O N A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L

Pillar 3
Responsible Business Conduct andsector-based exclusions• Our RBC Policy sets minimum• Some proxy indicators related to bio- Engagement
requirements regarding ecosystem
diversity protection embedded in our • Alongside our efforts to better unand biodiversity (mandatory andderstand our own dependencies andproprietary ESG scoring framework
evaluation criteria) for companies in
impacts on nature, and to integrate
for the relevant sectors include:
the agriculture, palm oil, wood pulp
these insights into our investment- Incidents related to supplier failand mining sectors. RBC also sets
decision-making, we are engaging
ures to protect biodiversity
with portfolio holdings on several
minimum requirements regarding- Assessment of the quality of propesticides from companies in theof the key drivers of biodiversity
grammes to protect biodiversity
palm oil and agriculture sectors.
loss, including climate change and- Assessment of the guidelines anddeforestation, in addition to engage- • In particular, we aim to invest only
reporting on the closure and rehain companies that do not develop
ments focused on water issues andbilitation of sites
pesticide use.
new farming projects in protected- Assessment of the company’s oil• We participate in the annual CDP
areas (UNESCO World Heritage Sites,
spill reporting and performance
wetlands on the Ramsar list, Alliance
Non-Disclosure Campaign designed
for Zero Extinction sites, Internationto encourage companies with big im• Assessment of the strength of oil
al Union for Conservation of Nature
pacts on climate, forests and waterand gas producers’ initiative to(IUCN) Category I-IV areas, peatto improve their disclosure using themanage the environmental risks
long-established and widely used
lands), and that are not involved
associated with deep-water drillingin the trade of any plant or animal
CDP questionnaires.
operations
species or product governed by the• We are working with other instituCITES (Convention on Internationaltional investors through collective
Trade in Endangered Species) andinitiatives linked to Environmental
not authorized by a CITES permit.
Sustainability (cf. Page 85 of our2022 Sustainability Report).

Pillar 4
Forward-looking perspective:the ‘3Es’

Pillar 5
Investment solutions forsustainability-21-

Conclusion

The proxy indicators included in ourscoring model, in addition to ourstewardship, application of RBC,
research and thematic/labelled funds,
allow us to consider and address or
mitigate PAI 4.
Conventional oil and gas companies are addressed through our ESG
scoring model, stewardship, researchand thematic/labelled funds but not
through our RBC
The proxy indicators included in ourscoring model in addition to our stewardship, application of RBC, researchand thematic/labelled funds, allow us
to consider and address or mitigate
PAI 5.
The share of non-renewable energy
production is partially and indirectly
covered by our RBC.

The proxy indicators included in our
ESG scoring model, in addition to ourstewardship, research and thematic/labelled funds, allow us to consider
and address or mitigate PAI 6.
The energy consumption intensity is
indirectly covered in our ESG scoring.

• At entity-level, some active and pas• We published our biodiversity roadmap in May 2021. We have used asive strategies address the biodiversity topic. :variety of tools to understand our- Active:own dependencies and impacts, and- BNPP Funds Ecosystem Restoration
conducted analysis of our global- BNPP Funds Environmental
assets under management (AUM) to
understand our exposure to water
Absolute Return Thematic Equity(EARTH)and deforestation risks (forest and- BNPP Funds SmaRT Food Passive
water footprint).
- BNPP Easy ECPI Circular Economy• We published in June 2022 the BNPP
Leaders UCITS ETF
AM Biodiversity Footprint which
details initial findings of research on- BNPP Easy ECPI Global ESG Blue
the potential biodiversity footprint of
Economy ETF
our investments.
• Fund the development of biodiversity indicators for corporates
for CDP’s disclosure questionnaire.
• Understand companies’ land use
or other environmental footprints
based on supply chain data
• Determine to what extent retailers’buying and selling decisions support
sustainable fishing or contribute to
overfishing (case study with Planet
Tracker on Carrefour).

The proxy indicators included in our
ESG scoring model, in addition to ourstewardship, application of RBC,
research and thematic/labelled funds,
allow us to consider and address or
mitigate PAI 7.

S F D R D I S C LO S U R E STAT E M E N T : S U STA I N A B I L I T Y R I S K I N T E G R AT I O N
A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L - 2 2 -Indicator

Metric

Data
Availability

Pillar 1
ESG Integration

Pillar 2
Stewardship(voting, engagement)

B N P PA R I B A S A S S E T M A N A G E M E N T – S F D R D I S C LO S U R E STAT E M E N T :S U S T A I N A B I L I T Y R I S K I N T E G R A T I O N A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L

Pillar 3
Responsible Business Conduct andsector-based exclusions

Proxy voting
Wherever relevant, we apply ESG
considerations to our voting decisions,in line with our voting policy. For
companies that do not meet our ESG
expectations in relation to this PAI
indicator, we will oppose the following
categories of resolutions, dependingon the market: Discharge of Board andManagement / Board Re-elections /Financial Statements and Director and
Auditor Reports.
Tonnes of emissions to water
generated byinvestee companies per million
EUR invested,
expressed as aweighted average

Low• Some proxy indicators related towater effluents are embedded in
our proprietary ESG scoring for the
relevant sectors:-Assessment of the strength of acompany’s initiative to treat effluent generated through its production process prior to release to theenvironment.
- Incidents related to a company’s
management and disposal of hazardous waste that have a potential
negative impact on human healthand lead to contamination of water,
land and air.
• Our ESG scoring framework also
includes some indicators on water
intensity/use.

Engagement• Our focus is to improve the water
efficiency of our investment portfolios, in particular in water-stressed
areas.
• We aim to encourage water-intensive sector companies operating inwater-stressed areas to significantly
improve their water efficiency while
ensuring water access to local communities.
• To achieve this, we engage priority companies on the topic andencourage them to disclose under
the CDP Water initiative, as part ofour participation in the annual CDP
Non-Disclosure Campaign. We havealso been engaging mining companies on tailings management.
• BNPP AM is a signatory of the Open
Letter to Governments on the Water
Crisis, an initiative led by CDP.
• We are working with other institutional investors through collective
initiatives linked to Environmental
Sustainability (cf. Page 85 of our2022 Sustainability Report).
Proxy voting• Wherever relevant, we apply ESG
considerations to our voting decisions, in line with our voting policy.
For companies that do not meet our
ESG expectations in relation to this
PAI indicator, we will oppose thefollowing categories of resolutions,depending on the market: Dischargeof Board and Management / Board
Re-elections / Financial Statements
and Director and Auditor Reports.

Pillar 5
Investment solutions forsustainability

Conclusion• At entity-level, some funds address
the water topic: BNPP Easy ECPI
Global ESG Blue Economy ETF•	BNPP Aqua and BNPP Funds Aqua
BNPP Funds Ecosystem Restoration

The proxy indicators included in our
ESG scoring model, in addition to
our stewardship, application of RBC,
research and thematic/labelled funds,
allow us to consider and address or
mitigate PAI 8.

• Test the ENCORE biodiversity module
on our portfolios to better understand biodiversity impacts andprioritize engagement with mining
companies• We target to publish in 2023 a paper
analyzing if BNPP AM is on the righttrack in terms of curbing and halting
deforestation and natural ecosystems conversion.

• We are also working to launch ‘Nature Action 100’ – a collaborative
shareholder engagement platform –with other institutional investors.

8. Emissions towater

Pillar 4
Forward-looking perspective:the ‘3Es’-23-• Our RBC Policy sets minimum
requirements regarding water useor quality (mandatory and evaluation criteria) for companies in theagri- culture and wood pulp sectors.

S F D R D I S C LO S U R E STAT E M E N T : S U STA I N A B I L I T Y R I S K I N T E G R AT I O N
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Metric

9. Hazardous
waste andradioactive
waste ratio

Low
Tonnes of hazardous waste andradioactive waste
generated byinvestee companies
per million EUR
invested,
expressed as aweighted average

10. Violationsof UN Global
Compact
Principles andOrganisation
for Economic
Cooperation
and Development (OECD)
Guidelines forMultinational
Enterprises

Data
Availability

Share of investHighments in investee
companiesthat have been
in- volved inviolations of the
UNGC Principles
or OECD Guidelines for Multinational Enterprises

B N P PA R I B A S A S S E T M A N A G E M E N T – S F D R D I S C LO S U R E STAT E M E N T :S U S T A I N A B I L I T Y R I S K I N T E G R A T I O N A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L

Pillar 1
ESG Integration

Pillar 2
Stewardship(voting, engagement)

Pillar 3
Responsible Business Conduct andsector-based exclusions

Pillar 4
Forward-looking perspective:the ‘3Es’• Some proxy indicators related tohazardous waste are embedded in
our proprietary ESG scoring framework for the relevant sectors:- Assessment of the strength of
a company initiative to reduce
hazardous waste from its own
operations.
- Assessment of a company’s programme to manage the environmental risks associated with radioactive waste indicator analysed
for utilities and the capital goods
sector.
- Incidents related to a company's
poor management and disposal ofhazardous waste, radioactive wastethat have a potential negative
impact on human health and lead tocontamination of water, land and air.

Engagement• Since the publication of the Global
Industry Standard on Tailings Management in 2020, we have engaged
mining companies on how thesechanges will impact their strategy,
to identify the main challenges forthe implementation of these newstandards. We expect such engagement to foster a more transparent
environment for waste management
and to ease the assessment of therisk exposure by companies forinvestors’ worth.

Our RBC Policy sets minimum requirements regarding waste management(mandatory and evaluation criteria)
for companies in the nuclear, agriculture, unconventional oil and gas,
wood pulp and mining sectors.

Due diligence on third-party data vendor offerings related to PAI 9 wheredata availability is currently low.

• Proprietary ESG scoring model
includes consideration of several
incidents related to the ten UNGC
Principles such as: corporate governance misconduct, access to basic
services, community relations, tax
avoidance, accounting misconduct,
labour relations, lobbying and public
policy, sanctions, bribery and corruption, anti-competitive practices,violation of human rights, etc.

Engagement• We expect companies to meet their
Ongoing and regular evaluations of• We strive to engage with companies
fundamental obligations in the areas companies potentially in violation ofat risk of violation of one or more ofof human and labour rights, protect- UNGC Principles..
the UNGC Principles or OECD MNEs.
ing the environment and ensuring
BNPP AM either engages with and/or
anti-corruption safeguards, wherexcludes companies that are subject
ever they operate, in line with theto serious controversies, in line withUN Global Compact Principles andour Responsible Business Conduct
OECD Guidelines for Multinational(RBC) Policy.
Enterprises (OECD MNE Guidelines).
• If engagement with companies does
These are shared frameworks, recnot lead to enough progress, we
ognised worldwide and applicable toexclude them from our portfolios as
all industry sectors, based on the inan escalation measure or can also
ternational conventions in the areas
oppose (see proxy voting paragraphof human rights, labour standards,
below).
environmental stewardship and an• We address concerns on humanti-corruption. We aim to engage withrights through our participation in thecompanies where they fall short,
Global Network Initiative (GNI), seekand exclude the worst offenders.
ing to implement the GNI Principles• Investment universes are periodicalon freedom of expression and privacy
ly screened with a view to identi(we serve on the GNI board).
fying issuers that are potentially in• We are active members of the newly
breach of UNGC Principles and OECDlaunched ‘Advance’ programme of the
MNE Guidelines and/or mandatory
PRI, encouraging companies to fully
requirements applicable to controimplement the UN Guiding Princiversial sectors and products.
ples on Human Rights and the OECD
• BNPAM establishes and maintains
Guidelines for Multi-National Comtwo lists:
panies (MNCs), thereby contributing- An exclusion list of issuers that are
to delivering equality and inclusive
associated with serious and repeatgrowth.
ed breaches of UNGC Principles• We are working with other instituand/or mandatory requirements
tional investors through collective
related to controversial sectors
initiatives linked to Equality andand products.
Inclusive Growth (cf. Page 85 of our- A watch list of issuers that are at
2022 Sustainability Reportrisk of breaching ESG standards
and with whom we engage in a diProxy voting
alogue to encourage improvements.
• We apply the requirements of ourPillar 5
Investment solutions forsustainability-25-

Conclusion

The proxy indicators included in ourscoring model, in addition to ourstewardship and application of RBC,
allow us to consider and address or
mitigate PAI 9

Proxy voting
We apply ESG considerations to ourvoting decisions, in line with our voting policy. For companies that do notmeet our ESG expectations in relation
to this PAI indicator, we will oppose
the following categories of resolutions,depending on the market: Dischargeof Board and Management / Board
Re-elections / Financial Statements
and Director and Auditor Reports.
• At entity-level, our labelled strategies address this issue:
161 labelled funds (including
Towards Sustainability Quality
Standards) totaling €122bn in assets
under management as of 31/12/2022

The application of our RBC, in addition to our stewardship, as well as
inclusion in proprietary research andapplication in our thematic/labeledfunds allows us to consider and address or mitigate PAI 10.

S F D R D I S C LO S U R E STAT E M E N T : S U STA I N A B I L I T Y R I S K I N T E G R AT I O N
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Metric

Data
Availability

11. Lack ofprocesses andcompliancemechanisms
to monitor
compliancewith UN Global
Compact Principles
and OECD
Guidelines forMultinational
Enterprises

Share of investMedium
ments in investee
companies without policies tomonitor compliance with the
UNGC Principles
or OECD Guidelines forMultinational
Enterprises orgrievance/ complaints handlingmechanisms toaddress violationsof the UNGC
Principles or
OECD
Guidelines forMultinational
Enterprises• Signatory to the following standards
embedded in proprietary ESG rating:
UNGC, UN PRI, UNEPFI, Equator
Principles

12. Unadjusted
genderpay gap

Average unadLow
justed gender pay
gap of investee
companies• Our proprietary ESG rating does
not yet include an indicator directly
related to gender pay gap due todata coverage concerns, but includes
a proxy13 indicator related to thequality of a company’s diversity
programs.
• We intend to evolve our proprietary
ESG rating model and add a performance indicator related to gender
pay gap.

13. Boardgenderdiversity

Average ratio of
female to maleboard members
in investee companies, expressed
as a percentage
of all board
membersHigh

Pillar 1
ESG Integration

Pillar 2
Stewardship(voting, engagement)

Responsible Business Conduct (RBC)
Policy to our voting exercise, by opposing key resolutions (I.e. Dischargeof Board and Management / Board
Re-elections / Financial Statements
and Director and Auditor Reports)• Several policy and programme datawhen the company is involved inrelated to UNGC Principles andOECD Guideline thematics embedded serious violations of our RBC Policy –including violations of the UN Global
in proprietary ESG rating:Compact Principles and our Sector- Indigenous rights policy
Policies. This results in a significant- Human rights programmes
opposition vote linked to our RBC- Human rights policy
Policy at general meetings.
- Collective bargaining agreements- Discrimination policy- Freedom of association policy- Lobbying and political expenses- Political involvement policy- Money laundering policy- Business ethics programme- Whistle-blower programmes- Bribery and corruption programmes- Bribery and corruption policy- Environmental policy• This metric is embedded in our
proprietary ESG rating.

Engagement• In line with our Governance &Voting Policy, we have an engagement
campaign in place regarding board
diversity, focusing on where we haveimportant exposure. Each year, we
engage companies as part of this campaign and monitor our engagement
success, resulting in concrete policychanges. The results are communicated in our annual Sustainability Report.
• We are working with other institutional investors through collective
initiatives linked to Equality and Inclusive Growth (cf. Page 85 of our 2022
Sustainability Report).
Proxy voting• As part of our voting policy, we set
expectations regarding the level ofgender diversity within boards of
directors of companies. In 2023, we
increased our requirement throughmore ambitious thresholds:- 35% in mature countries, i.e., forEurope, North America, Australia,
New Zealand, and South Africa, withexceptions possible in cases where
the proportion of women is between
20-35%.
- 20% in emerging countries, i.e., forall other markets with exceptions
possible in cases where the proportion of women is between 10-20%.

B N P PA R I B A S A S S E T M A N A G E M E N T – S F D R D I S C LO S U R E STAT E M E N T :S U S T A I N A B I L I T Y R I S K I N T E G R A T I O N A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L

Pillar 3
Responsible Business Conduct andsector-based exclusions• Our exclusion list and watch list arecommunicated by CIOs to investment teams on a regular basis.
Pre-trade and post-trade compliancechecks are conducted by Investment
Compliance teams to ensure that
exclusion lists are implemented by
all relevant portfolios.

Pillar 4
Forward-looking perspective:the ‘3Es’-27-

Pillar 5
Investment solutions forsustainability

Conclusion

N/A

The proxy indicators included in our
ESG scoring model in addition to our
RBC, stewardship and research allow
us to consider and address or mitigate
PAI 11.

• At entity-level, some funds have
• We aim to publish a roadmap
investment processes addressing theon equality and inclusive growth
themes during 2023-4. This roadmap
inclusive growth topic:
will set the path to further consider
e.g. our Inclusive Growth
topics such as gender pay gap andstrategy: we developed an inclusive
growth model based on five pillars
gender board diversity.
identified as the main drivers of• Current research topics across these
impact and action for companies
issues include:
to contribute to inclusive growth:- Due diligence with alternative data
decent work; social mobility;
access to primary goods; businessvendors to improve the coverageon gender representation and pay
ethics; and de- carbonization. The
gap indicators.
final ‘inclusive score’ awarded- Research on corporates activities
to each company is based on ancontributions to a wide range ofover-weighting of social criteria
stakeholder value.
(which account for 65% of the
inclusive score, compared to 20%
for governance criteria and 15% forenvironmental criteria). The result
is an investment universe that istruly focused on the ‘S’ of ESG.
A proxy indicator is included in
our inclusive growth model whichindicates whether the company
has a quantitative gender pay gap
breakout in public filings.

The proxy indicators included in our
ESG scoring model. In addition to our
research and thematic/labelled funds,
allow us to consider and address or
mitigate PAI 12.

The indicator included in our ESG
scoring model, in addition to ourstewardship, research and thematic/labelled funds, allow us to consider
and address or mitigate PAI 13.

S F D R D I S C LO S U R E STAT E M E N T : S U STA I N A B I L I T Y R I S K I N T E G R AT I O N
A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L - 2 8 -Indicator

Metric

Data
Availability

14. Exposure tocontroversial
weapons (anti-personnel
mines, cluster
munitions,chemicalweapons andbiologicalweapons)

Share of investHighments in investee
companies involved in the
manufacture or
selling ofcontroversial
weapons

B N P PA R I B A S A S S E T M A N A G E M E N T – S F D R D I S C LO S U R E STAT E M E N T :S U S T A I N A B I L I T Y R I S K I N T E G R A T I O N A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L

Pillar 1
ESG Integration

Pillar 2
Stewardship(voting, engagement)

Pillar 3
Responsible Business Conduct andsector-based exclusions

Pillar 4
Forward-looking perspective:the ‘3Es’

N/A

N/A
Proxy voting• As per our RBC policy, we do notwish to invest in companies involved• We apply the requirements of our
Responsible Business Conduct (RBC)
in the manufacture, trade or storageof ‘controversial weapons’, or any
Policy to our voting exercise, by opposing key resolutions (I.e. Discharge
other activity involving controverof Board and Management / Board
sial weapons. These include cluster
Re-elections / Financial Statements
ammunition and anti-personnel
landmines, chemical and biologiand Director and Auditor Reports)
when the company is involved incal weapons, and nuclear/depleted
uranium weapons. Most of these
serious violations of our RBC Policy –including violations of the UN Global
weapons are covered by internationCompact Principles and our Sector
al conventions and investments are
already prohibited in some jurisdicPolicies, among which Controversial
tions.
Weapons. This results in a significant• Our exclusion list and watch list are
opposition vote linked to our RBC
communicated by CIOs to investPolicy at general meetings.
ment teams on a regular basis.
Pre-trade and post-trade compliancechecks are conducted by Investment
Compliance teams to ensure that
exclusion lists are implemented by
all relevant portfolios.

-29-

Pillar 5
Investment solutions forsustainability

Conclusion• At entity-level, our labelled strategies address this issue:-1 61 labelled funds (including
Towards Sustainability Quality
Standards and FNG) totaling €122bn
in assets under management as of
31/12/2022

The application of our RBC (and incorporation of it in our Stewardship), as wellas thematic/labelled funds allows us toconsider and address or mitigate PAI 14.

S F D R D I S C LO S U R E STAT E M E N T : S U STA I N A B I L I T Y R I S K I N T E G R AT I O N
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APPENDIX 2 – CONSIDERATION OF VOLUNTARY CORPORATE PAI AT ENTITY LEVEL
The table below describes how each of the five pillars of our sustainability approach contributes to ‘consider and address or mitigate’ qualitatively our voluntary PAIs at entity level.
‘Consider, Address and Mitigate’ the PAI Indicator in PracticeCategory

Indicator

MetricData Availability

Pillar 1
ESG Integration

Pillar 2 Stewardship(voting, engagement)

Pillar 3 Responsible
Business Conduct andsector-based exclusions

Pillar 4
Forward-looking
perspective: the ‘3Es’

Pillar 5
Investment solutions
for sustainability

Conclusion

Emissions

4. Investments in companies without carbon
emission reduction
initiatives

Share of investments
in investee companies
without carbon emission
reduction initiatives aimed
at aligning with the Paris
Agreement

MediumAn indicator ‘Assessing thequality of an issuer’s GHG
reduction programme’ isembedded in proprietary
ESG scoring framework

See PAI 1-3

See PAI 1-3

We committed to the
Net Zero Asset Managers
initiative in 2021 and from2023 we will start to reportannually on our progress.
Our goal is for 60% of ourcorporate investments(equity and fixed income)to fall into NZ:AAA (Achieving, Aligned or Aligning)
categories by 2030 and
100% by 2040. Please refer
to appendix 6 for moredetails.

At entity-level, some funds
have a GHG emissions
reduction objective alignedwith science (selection
based on SBTI, CDP and TPI
data sources) such as PAB
index funds or CTB funds.

The indicators included in
our ESG scoring model, in
ad- dition to our stewardship, application of RBC,
research and thematic/labelled funds, allow us toconsider and address or
mitigate (voluntary) PAI 4.

Social and employee
matters

4.Lack of a supplier codeof conduct

Share of investments
in investee companies
without any supplier codeof conduct (against unsafe
working conditions, precarious work, child labourand forced labour)High

An indicator on social
supply chain standards isembedded in our proprietary ESG rating

See PAI 10 and 11
BNPP AM has supported
the Bangladesh Accord.

See PAI 10 and 11

See PAI 10 and 11

N/A

The proxy indicators
included in our ESG scoringmodel, in addition to ourstewardship, application of
RBC and research, allow us
to consider and address or
mitigate (voluntary) PAI 4.

Human rights

9.Lack of a human rights
policyShare of investments inentities without a humanrights policyHigh

An indicator ‘human rights
policy’ is embedded in our
proprietary ESG rating

See PASI 10 and 11

See PASI 10 and 11

See PASI 10 and 11

N/A

The proxy indicators
included in our ESG scoringmodel, in addition to ourstewardship, application of
RBC and research, allow us
to consider and address or
mitigate (voluntary) PAI 9.

S F D R D I S C LO S U R E STAT E M E N T : S U STA I N A B I L I T Y R I S K I N T E G R AT I O N
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APPENDIX 3 – CONSIDERATION OF SOVEREIGN AND SUPRANATIONAL PAI AT ENTITY LEVEL
The table below describes how each of the five pillars of our sustainability approach contributes to ‘consider and address or mitigate’ qualitatively the two sovereign PAI at entity level.
Indicator

Metric

Data
Availability

Pillar 1
ESG Integration

Pillar 2
Stewardship(voting, engagement)

15. GHG
intensity

GHG intensity of investee
countries

High(Scope1+2)
Low(Scope3)

Our Sovereign Carbon footprint includes• In line with our Public Policy Advocacy Policy, we advoconsideration of various related metrics:
cate both to strengthen ESG considerations within the• Scope 1: CO2 emissions from PRIMAP-histfinancial sector and, more broadly, to improve sustainability-related regulation for the markets in which we
including Land Use, Land use Change andinvest. Public policy can affect the ability of long-term
Forestry (LULUCF)
investors to generate sustainable returns and create• Scope 2: CO2 emissions by energy source
value. We therefore actively engage policymakers,
from IEA, used to estimate the imported
helping to shape the markets in which we invest andcarbon from electricity generation.
the rules that guide and govern company behaviours.
Imported carbon from electricity
generation=CO2 emissions/(total energy- As an example, BNPP AM is a signatory to the 2019,supply*total purchased electricity)
2021 and 2022 Global Investor Statements to Gov• Carbon Footprint
ernment on the Climate Crisis. In 2022, the statement
called on governments to ensure that the 2030 targets
carbon footprint=total GHG emissions
in their Nationally Determined Contributions (NDCs)(scope 1 + scope 2)/GDP(PPP-adjusted)align with the goal of limiting global temperature rise
to 1.5ºC and to implement domestic policies and takeOur current proprietary ESG scoring
prompt action to realize that goal.
framework for sovereigns includes- BNPP AM also joined the PRI-coordinated Collaborative
consideration of various related metrics
Sovereign Engagement on Climate Change. The goal ofincluding:the initiative is to support governments and associated• Environmental indicators (85 indicators
entities, like financial regulators and central banks, tocovering 14 themes)take all steps to mitigate climate change risks in line
• An assessment of the countries’ commitwith the Paris Agreement.
ment to reduce their GHG emissions to• As part of our Stewardship Policy, we also target
comply to the 2°C limit, with regards tosovereigns beyond corporate issuers through ourtheir Nationally Determined Contribuengagement initiatives. We participate in ex-ante (priortions
issuance) and ex-post (12-24 months post issuance)• Information on the countries’ policies
investor meetings with thematic bond issuers, toadopted for tackling climate change progather information outside documentation and envided by the London School of Economics
courage improvements in the structure of the thematic
For pure sovereign fund, we aim to holdbonds that could lead to ‘greener’ assets being selectportfolios with more positive ESG characed, dropping of ‘less desirable’ assets from the eligible
teristics than their respective (invested)
portfolio, or encourage publishing green and social
benchmarks.
impact reports to address questions that are neededfor ex-post assessment steps. Similarly, we engage indialogue with sovereign bond issuers about the termsof their bonds and concerning the countries’ policies
and performance on key ESG issues that might
influence their ability to service their debt.

Pillar 3 Responsible BusinessConduct and sector-based
exclusions

Pillar 4
Forward-looking perspective: the ‘3Es’

Pillar 5
Investment solutions for sustainability

Conclusion

We have developed and integrated aninternal Sovereign Carbon Footprint
methodology taking into account thefollowing metrics:• Scope 1: CO2 emissions from PRIMAP-hist
including Land Use, Land use Change andForestry (LULUCF)• Scope 2: CO2 emissions by energy sourcefrom IEA, used to estimate the imported carbon from electricity generation:
Imported carbon from electricity
gen- eration = CO2 emissions/(totalenergy supply*total purchased
electricity)• Carbon footprint = total GHG emissions(scope 1 + scope 2)/GDP(PPP-adjusted)• Scope 3: data has been sourced from theOECD and will be used for select reporting purposes but the information
is outdated (2018 at latest) and therefore
incongruent with available scope 1 and2 data which is more recent. Research
into alternative scope 3 sovereign carbon
estimation is underway.

Some funds are investing in Green andSustainability Sovereign bonds with climate
related use of proceeds and therefore
con- tribute to the reduction of the GHG
emissions and countries’ carbon footprint.

The indicators
included in our
ESG scoring model,
in addition to
our stewardship,
research andthematic/labelledfunds, allow us
to consider andaddress or mitigate
PAI 15.

S F D R D I S C LO S U R E STAT E M E N T : S U STA I N A B I L I T Y R I S K I N T E G R AT I O N
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Metric

Data
Availability

16.
Investeecountries
subject tosocialviolations

High
Number of investee countries
subject to social
violations (absolute number
and relative
number divided
by all investee
countries), as
referred to ininternational
treaties andconventions,
United Nations
Principles and,
where applicable, national law

Pillar 1
ESG Integration
Several indicators linked to social violations are embedded in our proprietary
sovereign ESG scoring framework,
including:• Labour & Social Protection includingChild Labour adjusted Human Development Index (HDI), Children in employment, female & total (% of children ages
7-14), Child employment in agriculture
and in manufacturing (%)• Control of Corruption• Democratic Life: Voice and Accountability,
Firms with female top manager, Rule of
Law• Security: Refugee population by country or territory of asylum, Military
expenditure (% of central government
expenditure), Military expenditure (% ofGDP), Armed forces personnel (% of total
labour force)
In addition, countries in our system must
qualify as investible sovereigns for someof our sustainability funds, such as thosewith the Towards Sustainability Quality
Standard label and Verbändekonzept
market practice, for further details please
see Pillar 5 Sustainable + funds section of
PAI 16.

Pillar 2
Stewardship(voting, engagement)

B N P PA R I B A S A S S E T M A N A G E M E N T – S F D R D I S C LO S U R E STAT E M E N T :S U S T A I N A B I L I T Y R I S K I N T E G R A T I O N A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L-35-Pillar 3 Responsible BusinessConduct and sector-based
exclusions

Pillar 4
Forward-looking perspective: the ‘3Es’

Sovereign investment universes
are periodically screened witha view to identifying severe
controversial countries thatare potentially in breach of ourminimum requirements.
-BNP Paribas Group’s internalframework implies restrictive
measures on certain countries
and / or activities that areconsidered as being particularly
exposed to money launderingand terrorism financing relatedrisks.

• Countries in our system must qualify as• For funds benefiting from the label
Towards Sustainability Quality Standard:
investible sovereigns for some of oursustainability funds, such as those withthe label exclusion list is updated on anannual basis.
the Towards Sustainability Quality Stan• Our sovereign ESG scoring model isdard label.
• BNPP AM has about 122 Towards
updated on an annual basis.Sustainable
Investment definition and SDG frameSustainability labelled funds totaling€110bn in assets under management aswork for sovereigns are currently inof 31/12/2022.
development. However, the Sustainable
Development Goals (SDG) metrics are• According to the Towards Sustainability
included in BNPP AM’s ESG sovereign
Quality Standard, a sustainable financial
product shall not finance (e.g. viascores through a wide range of indicators
within the E-pillar (14 themes), S-pillar
sovereign issued instru- ments):- States that have not ratified or have
(12 themes) and G-pillar (7 themes),
not implemented in equivalent national
comprising a total of 225 KPIs structured
around 33 key themes.
legislation:• the eight fundamental conventions
identified in the International Labour
Organisation’s declaration on Fundamental Rights and Principles at Work• at least half of the 18 core International Human Rights Treaties- States which are not party to•the Paris Agreement•the UN Convention on Biological
Diversity• the Nuclear Non-Proliferation Treaty- States with particularly high military
budgets (>4% GDP)
- States considered ‘Jurisdictions withstrategic AML/CFT deficiencies’ by the
FATF- States with less than 40/100 on theTransparency International Corruption
Perception Index- States qualified as ‘Not Free’ by theFreedom House 'Freedom in the World’survey• The 30% leeway is currently only
available to US federal issued sovereign
bonds and Japan issued sovereign bonds.
The UK as issuer is expected to be compliant with the sovereign bond criteria
and thus would not need to use the 30%
leeway.
• A sovereign issuer of a use-of-proceeds
bond does not need to comply withthe criteria for sovereign bonds. The
evaluation of use-of-proceeds instruments issued by sovereigns is left to thediscretion of the asset manager.

• BNP Paribas Group’s internal
approach mainly refers to
official lists (e.g. FATF list of
jurisdictions having strategic
deficiencies in their AML/CFT
regime ; EU list of high-risk
third countries with AML/CFT
deficiencies ; “States Sponsor
of terrorism” and “Terrorist
Safe Havens” lists from the US
Department of State etc…) or
list of countries under embargo.
• At BNPP AM, the Sovereign
ESG assessment is conducted within our Sustainability
Centre on the basis of internal
analysis and information provided by external experts anddata providers. Severe controversial countries are flagged
on a dedicated exclusion list,
which is sent to all relevant
BNPP AM’s portfolio managers.
Pre-trade and post-trade compliance checks are conductedby Investment Complianceteams to ensure that sovereign
exclusions are implemented by
all portfolio managers.

Pillar 5
Investment solutions for sustainability

Conclusion

The indicators included in our ESG
scoring model in
addition to
our stewardship,
application of exclusions, researchand thematic/labelled funds allow
us to consider andaddress or mitigate
PAI 16.

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APPENDIX 4 - CONSIDERATION OF MANDATORY AND VOLUNTARY CORPORATE PAI AND SOVEREIGN PAI AT PRODUCT LEVEL
Based on a combination of the different pillars of our sustainability approach (i.e. ESG integration, stewardship, Responsible Business Conduct, Forward-looking perspective), all our article 8 and 9 products
consider and address or mitigate PAIs qualitatively. In addition, appendix 5 provide details on how we will quantitatively report on PAIs at product level.
The implementation of our sustainability approach differs between listed assets and private assets due to the specificities of these asset classes. For example, ESG assessments of private assets don't rely on
the ESG score used for listed assets due to the lack of coverage by data providers and use specific approaches instead. The table below describes how the different pillars of our sustainability approach apply
to Private Assets. We rely on these pillars to consider and address or mitigate corporate and voluntary PAIs and real estate PAIs for Private Assets funds.
Private Asset
strategy

PAI indicator

Pillar 1
ESG Integration

Pillar 2
Stewardship (voting, engagement)

Pillar 3
Responsible Business Conduct
and sector-based exclusions

Social Business
Investments

All 14 mandatory Corporate
Indicators +3 voluntary Corporate
indicators

The investment universes are exclusively composed of issuers with the following
characteristics:• Small size (around 17 employees per company – source: INSEE)• Belonging to the “Economie Sociale et Solidaire” which mainly provide beneficiaries
with social actions, social services and support to companies (source: Observatoire
national de l’ESS, 2022). Other industries and real estate companies have limited
sizes which mitigate environmental negative impacts.

The investment team encourages the issuers to report on
PAI when material and when
the investment type allows it.

Some exclusions related to some
PAIs

Pillar 4
Forward-looking perspective:the ‘3Es’

The investment universe specificities(small size of issuers, mainly in social
services) allow us to consider andaddress or mitigate all the 14 Corporates mandatory PAI and the
3 voluntary PAI.
In addition, for BNP Paribas Social
Business Impact fund, a dedicated
ESG analysis allows to consider andaddress or mitigate all the 14 Corporates mandatory PAI and the
3 voluntary PAI.

In addition, Social Impact Bond systematically undergo an ESG analysis using aproprietary method to all new investments and to the existing portfolio. This analysis
aims at identifying the level of awareness and control of ESG risks of the companies
invested by the fund. It includes criteria related to each of the Corporates PAI whenassessed material for the issuer. This ESG analysis follows a three-steps process:1. A materiality analysis is conducted to identify material ESG issues for the sector
concerned and the issuer assessed.
2. An interview is conducted with the issuer to discuss the various risks identified.
The investment team takes advantage of this exchange to raise the points ofimprovement identified and encourage the structure to improve.
3. A synthesis is made on the basis of the information collected. The structure isscored on a scale of 1 to 4. The worst rating would result in an exclusion fromthe investment portfolio. The analysis is updated annually.
Infrastructure
debt• Article 8 Fund: Mandatory
Corporate PAI 1, 2, 10, 14• Article 9 Fund: All 14 mandatory
Corporate Indicators

The Manager’s ESG integration policy includes a series of commitments, which arematerial to consideration of principal adverse sustainability impacts, and guides theinternal ESG integration process.
The proprietary framework for infrastructure includes:
1. Preliminary ESG review: Sponsor Assessment to ensure compliance with BNPP
AM’s ESG policies and good ESG credentials (including RBC). Using BNP Paribas
Group and BNP Paribas framework qualitative criteria – namely the sponsor’s ESG
management system, ESG policies and standards – and quantitative criteria on
environmental and social performance.
2. Alignment with the taxonomy selected for each strategy, (Proprietary Green
Taxonomy, EU Taxonomy etc, depending on each strategy)
3. Qualitative ESG Assessment: Assessment of the ESG performance of the projectbased on shared and sector specific ESG indicators which are related to the PAI.
4. Impact assessment: external review of the Asset’s Environmental & Climate Impact
done by an independent consultant (Iceberg Data Lab) which focuses on several
metrics including (Induced GHG emissions, Avoided GHG emissions, 2°C alignment
and NEC (Net Environmental Contribution).
5. Portfolio reporting: ESG reporting on 4 climate indicators
a. Induced emissions linked to construction, operation, maintenance and asset use;b. Avoided emissions through asset optimisation and when compared to a reference
scenario;c. Alignment with a 2°C trajectory based on the sectoral decarbonisation approach
method;d. Assessment of the Environmental and climate impact of the project as measured
by the NEC based on a -100% to +100% scale (with 0% representing the sectorial
mean and 100% the best available solution).

Conclusion

Subject to RBC
See Appendix 1 for details per
PAI

The 2°C alignment assessment ispart of the standard ESG analysis we do on each project. It isdone by Iceberg Data Lab.

Our ESG integration assessment, in
addition to application of exclusions,research and thematic/labelled funds
allow us to consider and address
or mitigate PAI 1, 2, 10, 14 of Infrastructure debt Article 8 fund, and all
the 14 Corporates mandatory PAI ofInfrastructure debt Article 9 fund.

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Private Asset
strategy

PAI indicator

Pillar 1
ESG Integration

Corporate debt

• SME: Mandatory Corporate PAI 4,
10, 14• Global Loans: Mandatory Corporate PAI 4, 10, 14 +Voluntary
Corporate PAI 4

A manual verification of the selected PAI is performed for each borrower based ondata shared by the borrower and/or public data.

Subject to RBC
See Appendix 1 for details per
PAI
Compliance with the RBC is performed for each borrower basedon data shared by the borrower
and/or public data

Real Estate debt4

17. Exposure to fossil fuels throughreal estate assets
18. Exposure to energy-inefficient
real estate assets
Voluntary 18: GHG Emissions
Voluntary 19: Energy consumption

The Manager’s ESG integration policy includes a series of commitments, which arematerial to consideration of principal adverse sustainability impacts, and guides theinternal ESG integration process.

Subject to RBC
See Appendix 1 for details per
PAI

The proprietary ESG assessment framework for Real Estate includes:
1. Preliminary ESG review: Sponsor Assessment to ensure compliance with BNPP
AM’s ESG policies and good ESG credentials (including RBC). Using BNP Paribas
Group and BNP Paribas framework qualitative criteria – namely the sponsor’s ESG
management system, ESG policies and standards – and quantitative criteria on
environmental and social performance.
2. Qualitative ESG assessment: Assessment of the ESG performance of the projectbased on shared and sector specific ESG indicators.
3. Impact assessment: external review of the Asset’s Environmental & Climate Impact
done by an independent consultant (Iceberg Data Lab) which focuses on several
metrics including (Induced GHG emissions, Avoided GHG emissions, 2°C alignment
and NEC (Net Environmental Contribution)
4. Portfolio reporting: ESG reporting on4 climate indicators• Indirect emissions linked to construction, operation, maintenance and asset use;
• Avoided emissions through asset optimisation and when compared to a reference
scenario;• Alignment with a 2°C trajectory based on the sectoral decarbonisation approach
method;• Contribution to the energy and ecological transition as measured by the NEC
based on a -100% to +100% scale (with 0% representing the sectorial mean and100% the best available solution).

Pillar 2
Stewardship (voting, engagement)

Pillar 3
Responsible Business Conduct
and sector-based exclusions

Pillar 4
Forward-looking perspective:the ‘3Es’-39-

Conclusion

Our ESG integration assessment, in
addition to application of exclusions,allow us to consider and address or
mitigate PAI 4, 10, 14 of SME Fund,and PAI 4, 10, 14 and voluntary PAI 4
of Global Loans Fund.
The 2°C alignment assessment ispart of the standard ESG analysis we do on each project. It isdone by Iceberg Data Lab.

Our ESG integration assessment, in
addition to application of exclusions,research and thematic/labelled funds
allow us to consider and address
or mitigate PAI 1, 2, 10, 14 of Infrastructure debt Article 8 fund, and all
the 14 Corporates mandatory PAI ofInfrastructure debt Article 9 fund.

Real Estate projects with a NEC below -10% are not eligible and the fund must
maintain an average NEC of +10%.

When investing in external funds, the Manager relies on the processes put in place by the external managers for the consideration of principle adverse sustainability impacts. An assessment of external managers’ ESG integration process including exclusion
policies and SFDR considerations is performed and bespoke requirements requirements can be added in side letters when deemed necessary.

4 The below indicators refers to Private Assets Real estate strategies where BNPP AM acts as an investor and is not the landlord of the properties.

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APPENDIX 5 – PAI QUANTITATIVE REPORTING
The table below sums up the PAIs on which we report quantitatively on at BNP PARIBAS ASSET MANAGEMENT Luxembourg and BNP PARIBAS ASSET MANAGEMENT France entity level, as well as the PAIs we report quantitatively on at fund level and underwhich conditions. While our calculation methodologies are consistent for each PAIs between our entity report and our fund-level reporting, in some cases we report data at entity level which is not reported at fund level. 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 is above 50% for the indicator and eligible assets in the fund are above 5%.
Please refer to our principal adverse sustainability impacts statement of BNP PARIBAS ASSET MANAGEMENT Luxembourg and BNP PARIBAS ASSET MANAGEMENT France for more details regarding entity level reporting.
The information included in the table below is based on the regulation requirements, internal methodology, subjective assumptions and data; and may evolve over time depending from the clarifications of the regulators or on the evolution of our internal
methodologies.
PASI Indicator

Quantitative reporting at product level, through the EET (European ESG Template).
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.

Quantitative reporting at entity level

1. GHG Emissions (Scope 1 & 2)

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets

2. Carbon footprint (Scope 1 & 2)

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.

3. GHG intensity of investee companies (Scope 1 & 2)

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.

1, 2, 3 PAI – Scope 3

YesNo
The methodology and calculation for this PAI has been defined by BNPP AM Sustainability Centre. The Sustainability Centre ESG analysts
reviewed the data available in the market from various providers to assess data quality, coverage, methodologies and identify any discrepancies. This extensive quantitative analysis was complemented by a qualitative analysis based upon a review of specific issuer data results andcomparing against various relevant available disclosures (e.g., sustainability reports, financial statements, etc).

CORPORATES MANDATORYOur Sustainability Centre analysts concluded that the data quality is not sufficient to be reported. As is well understood in the industry, Scope
3 carbon data is very rarely disclosed and estimates vary dramatically across data providers. Where data is disclosed typically it is done so
inconsistently. All of these factors could distort reporting figures and make them difficult to interpret by market participants independently andin reference to other asset managers.
Efforts are underway to evaluate Scope 3 carbon data for inclusion in internal assessment frameworks.
Even though we don’t report on Scope 3, PAI 1, 2 and 3 are currently addressed with the available Scope 1 & 2 data.
4. Exposure to companies active in the fossil fuel sector

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.

5. Share of non-renewable energy consumption and production

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.

6. Energy consumption intensity per high impact climate sector

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.

7. Activities negatively affecting biodiversity sensitive areas

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.

8. Emissions to water

Yes

No
The methodology of calculation for this PAI has been defined by BNPP AM Sustainability Centre. The Sustainability Centre ESG analysts reviewed
the data available in the market from various providers to assess data quality, coverage, methodologies and identify any discrepancies. This extensive quantitative analysis was complemented by a qualitative analysis based upon a review of specific issuer data results and comparing against
various relevant available disclosures (e.g., sustainability reports, financial statements, etc). .
Our Sustainability Centre analysts concluded that the data quality is not sufficient to be reported as, for this indicator there is very low disclosure(and high estimation error for entities that do not report) which could distort reporting figures. Data providers also capture different emission types
and there is some uncertainty about which should be considered as per the regulation. Companies also inconsistently report pollutants. For thesereasons reporting on this PAI at fund level seemed imprudent at this stage.
Even if we don't report the quantitative data, this PAI is addressed in a qualitative way as we have proxy indicators related to the strength of acompany’s initiative to treat effluents generated through its production process in our ESG scoring methodology to follow progress. In addition,
our biodiversity roadmap commitment leads us to increase stewardship activities through collective initiatives and opposing financial statements/
director and auditor reports (and, in some geographies, the discharge of directors or board elections) at general meetings of companies that do notalign with our biodiversity expectations, as expressed in our Governance & Voting Policy.

5 Effective data coverage corresponds to the data coverage divided by eligible assets. Eligible assets are the assets which could provide data and correspond to the Corporates AUM(or Sovereign AUM for PAI 15 and 16 or Real Estate AUM for PAI 17 and 18) divided by the total AUM.

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A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L - 4 2 -PASI Indicator
9. Hazardous waste ratio

B N P PA R I B A S A S S E T M A N A G E M E N T – S F D R D I S C LO S U R E STAT E M E N T :S U S T A I N A B I L I T Y R I S K I N T E G R A T I O N A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L

Quantitative reporting at product level, through the EET (European ESG Template).
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.

Quantitative reporting at entity level
Yes

-43-

No
The methodology of calculation for this PAI has been defined by BNPP AM Sustainability Centre. The Sustainability Centre analysts reviewed thedata available in the market from various providers to assess data quality, coverage, methodologies and identify any discrepancies. This extensive
quantitative analysis was complemented by a qualitative analysis based upon a review of specific issuer data results and comparing against various relevant available disclosures (e.g., sustainability reports, financial statements, etc).
Our Sustainability Centre analysts concluded that the data quality is not sufficient to be reported as, for this indicator there is very low disclosure(and high estimation error for entities that do not report) which could distort reporting figures. In addition, some data providers don’t capture radioactive waste reported values whereas it is requested by the regulation. For these reasons reporting on this PAI at fund level seemed imprudent
at this stage.

CORPORATES MANDATORY

Even if we don't report the quantitative data, this PAI is addressed in a qualitative way as we have proxy indicators related to the strength of acompany initiative to reduce hazardous waste from its own operations in our ESG scoring methodology to follow progress. In addition, our biodiversity roadmap commitment leads us to increase stewardship activities through collective initiatives and opposing financial statements/director andauditor reports (and in some geographies, the discharge of directors or board elections) at general meetings of companies that do not align withour biodiversity expectations, as expressed in our Governance & Voting Policy.
10. Violations of UNGC principles and OECD Guidelines forMultinational Enterprises

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.

11. Lack of processes and compliance mechanisms to monitor compliance with UNGC principles and OECD Guidelines forMultinational Enterprises

Yes

No
The methodology of calculation for this PAI has been defined by BNPP AM Sustainability Centre. The Sustainability Centre analysts reviewed
the data available in the market from various providers to assess data quality, coverage, methodologies and identify any discrepancies. Thisextensive quantitative analysis was complemented by a qualitative analysis based upon a review of specific issuer data results and comparing
against various relevant available disclosures (e.g., sustainability reports, financial statements, etc).
For this indicator there is wide variance across data providers due to different interpretations of the PAI. Some data providers 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 of any policy to address UNGC principles, not policies to address all UNGC principles or OECD guidelines (and grievance mechanisms). Market reporting of this value could change dramatically in either direction based on future clarifications from regulators which may beforthcoming. In this context, we believe it is more prudent to wait before reporting at the fund level.
Even if we don't report the quantitative data, this PAI is addressed in a qualitative way as we have several policy and programs indicators
related to UNGC Principles and OECD MNEs guidelines in our ESG scoring methodology to follow progress. In addition, we strive to engage withcompanies at risk of violation of one or more of the UNGC Principles or OECD MNEs. BNPP AM either engages with and/or excludes companies
that are subject to serious controversies, in line with our Responsible Business Conduct (RBC) Policy.

12. Unadjusted gender pay gap

YesNo
The methodology of calculation for this PAI has been defined by BNPP AM Sustainability Centre. The Sustainability Centre analysts reviewed thedata available in the market from various providers to assess data quality, coverage, methodologies and identify any discrepancies. This extensive
quantitative analysis was complemented by a qualitative analysis based upon a review of specific issuer data results and comparing against various relevant available disclosures (e.g., sustainability reports, financial statements, etc).
Our Sustainability Centre ESG analysts concluded that the data quality is not sufficient to be reported as, for this indicator there is very low disclosure which could distort reporting figures. Some data providers attempt to report figures disclosed by companies which are not based on the exact
regulatory definition which could lead to data inconsistencies and some data providers increase the coverage for this indicator by relying on figures
provided by international companies’ local branches and thus not fairly representing the truly global footprint of the company and the impact it
has on this indicator.
Even if we don't report the quantitative data, this PAI is addressed as we have proxy indicators related to the quality of a company’s diversity programs. We aim to publish a roadmap on equality and inclusive growth themes as at end of 2023. This roadmap will set the path to further consider
topics such as gender pay gap and gender board diversity.

13. Board gender diversity

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.

14. Exposure to controversial weapons (anti personnel mines,
cluster munitions, chemical weapons and biological weapons)

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.

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Quantitative reporting at product level, through the EET (European ESG Template).
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.

Quantitative reporting at entity level

15. GHG intensity (Scope 1 & 2)

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.

15. GHG intensity (Scope 3)

YesNo
The methodology of calculation for this PAI has been defined by BNPP AM Sustainability Center. The Sustainability Centre ESG analysts reviewed
the data available in the market from various providers to assess data quality, coverage, methodologies and identify any discrepancies. Thisextensive quantitative analysis was completed by a qualitative analysis based upon a review of the various relevant evidence available.

SOVEREIGNREAL ESTATESMANDATORYCORPORATEVOLONTARYREAL ESTATESVOLUNTARYB N P PA R I B A S A S S E T M A N A G E M E N T – S F D R D I S C LO S U R E STAT E M E N T :S U S T A I N A B I L I T Y R I S K I N T E G R A T I O N A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L

Our Sustainability Centre ESG analysts concluded that the data quality quality is not sufficient to be reported. Sovereign carbon emissions for
Scope 3, provided by OECD, is as of 2018. However, Scope 1 & 2 data, already sourced by different providers, correspond to 2019 and therefore,
our ESG analysts from the Sustainability Center do not recommend to mix carbon emissions from different years.
Even if we don't report the quantitative value, this PAI is addressed in a qualitative way through our proprietary ESG scoring framework for sovereigns which assesses countries’ commitment to reduce their GHG emissions to comply with the 2°C goal of the Paris Agreement, with regards
to their Nationally Determined Contributions, and analyzes countries’ policies adopted for tackling climate change. As part of our Stewardship
Policy, we target sovereigns through our engagement initiatives & more particularly around thematic bond issuance as sovereign bonds withclimate related use of proceeds may contribute to decrease the carbon footprint of countries and increase avoided emissions.
16. Investee countries subject to social violations

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.

17. Exposure to fossil fuels through real estate assets

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.
The process to enable the production of this PAI is being setup in collaboration with an external data provider, we anticipate the availability of thisdata later this year for new investments. Past investments will not be covered.

18. Exposure to energy-inefficient real estate assets

No

No
The process to enable the production of this PAI is being setup in collaboration with an external data provider, we anticipate the availability of thisdata later this year for new investments. Past investments will not be covered.

Voluntary 4E.
Investments in companies without carbon emission reduction
initiatives

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.

Voluntary 4S. Lack of a supplier code of conduct

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.

Voluntary 9S. Lack of a human rights policy

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.

Voluntary RE 18: GHG emissions

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.

Voluntary RE 19: Energy consumption intensity

Yes

Yes, in case the product has an effective data coverage above 50% and more than 5% of eligible assets.

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APPENDIX 6 – ADHERENCE TO INTERNATIONAL STANDARDSBNPP AM was a founding signatory of the Principles for Responsible Investment (PRI). We respond every year to the PRI detailed report and we have received an A or A+ rating, the highest possible, on a continuous
basis. We also report every year on our progress against the six principles of the PRI in our annual Sustainability Report.
BNPP AM is an active member of the following industry, multi-stakeholder or public initiatives and networks in relation to sustainable finance, environmental, social or governance issues:
Our 2022 memberships and pledges

MEMBERSHIPS AND INITIATIVES WE PARTICIPATE INSUPPORTER SINCE

Align (European Commission, WCMC Europe, Capitals Coalition, Arcadis, ICF, UNEP-WCMC)

2021

Asia Investor Group on Climate Change (AIGCC)

2018

Association Française de la gestion financière (AFG)

ENERGY TRANSITIONENVIRONMENTALSUSTAINABILITYEQUALITY AND
INCLUSIVE GROWTH

OTHER

X
X

10+ years

X

CDP

2012

X

X

Ceres

2019

X

X

Climate Action 100+

2017

X

Council of Institutional Investors (CII)

2018

X

Eumedion

2018

X

European Fund and Asset Management Association (EFAMA)

10+ years

X

Farm Animal Investment Risk and Return Initiative (FAIRR)

2021

Forum pour l’investissement responsable (FIR)

X

X

10+ years

X

Global Network Initiative (GNI)

2018

X

GNI Principles on Freedom of Expression and Privacy (GNI)

2018

X

Green Bond Principles (International Capital Markets Association)

2017

Hong Kong Principles of Responsible Ownership (Hong Kong Securities and Futures Commission)

2019

Inevitable Policy Response (IPR)

2021

X

Institutional Investors Group on Climate Change (IIGCC)

10+ years

X

International Corporate Governance Network (ICGN)

10+ years

X

X

X

Investidores Pelo Clima (Brazil)

2022

X

Investor Agenda (AIGCC, CDP, Ceres, IICC, IIGCC, UNPRI, UNEP-FI)

2018

X

Malaysian Code for Institutional Investors (Securities Commission Malaysia)

2019

Montréal Carbon Pledge (PRI, UNEP-FI)

2015

Nature Action 100

2022

Net Zero Asset Managers initiative

2021

New Plastics Economy Global Commitment (Ellen MacArthur Foundation, UNEP)

2018

Operating Principles for Impact Management (International Finance Corporation)

2019

Partnership for Biodiversity Accounting Financials (PBAF)

2021

PRI Advance2022

Principles for Responsible Investment (PRI)

X
X
X
X
X
X

X

X

X
X

Founding member

SPOTT Palm oil, Timber, Pulp and Paper (Zoological Society of London)

2018

Sustainable Trading

2022

Task Force on Climate-related Financial Disclosures (TCFD)

2017

Tobacco-Free Finance Pledge (Tobacco-Free Portfolios)

2018

Transition Pathway Initiative

2018

UK Stewardship Code2022

UN Environment Programme Finance Initiative (UNEP-FI)

X

10+ years

X
X
X
X
X
X
X
X

X

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As part of the BNP Paribas Group, we are committed to observing the following standards:

Aligning our portfolios

Universal principles
For many years, BNP Paribas’ actions have followed the framework of:• United Nations Global Compact (Advanced level);• United Nations Women’s Empowerment Principles.

Our goal is for 60% of our corporate investments (equity and fixed income) to fall into NZ:AAA (Achieving, Aligned
or Aligning) categories by 2030 and 100% by 2040. This will enable us to achieve 100% net zero alignment of ourcorporate portfolio by 20506.

Financial industry principles
BNP Paribas actively participates in designing and implementing long-term social and environmental solutions
within the framework of:• Equator Principles;• UNEP FI’s Principles for positive impact finance;• Principles for Responsible Banking• Principles for Responsible Investment (PRI)- BNP Paribas Asset Management- BNP Paribas Real Estate Investment Management- BNP Paribas Cardif
Commitments specific to the environment
BNP Paribas’ environmental commitments:• Banking Environment Initiative (BEI) and its Soft Commodities Compact;• Roundtable on Sustainable Palm Oil (RSPO);• Science Based Target initiative;• Breakthrough Energy Coalition;• Task Force on Climate-related Financial Disclosures (TCFD);• Katowice Agreement;• Act4nature initiative;• Afep’s commitments to the circular economy;• Medef’s Business Climate Pledge
Policies and procedures related to ethical business practices
BNP Paribas holds itself to the highest ethical standards and is committed to responsible business conduct througha suite of policies and procedures, including:• Employee Code of Conduct• Statement of BNP Paribas on human rights;• Anti-Corruption Policy;• Charter for responsible representation with respect to public authorities;• Sustainable Sourcing Charter for BNP Paribas suppliers;• BNP Paribas Responsible Business Principles.
The above policies can be found on the Group’s website at: https://group.bnpparibas/en/publications

Measuring company or portfolio alignment to a specific climate pathway is subject to uncertainty. Among all
the alignment methodologies, degree-warming metrics are attractive as they use the same wording as climate
science and seem quite easy to understand. These degree-warming methodologies assign a temperature score to
a company or portfolio based on their future carbon emission pathway and compare it to a pathway compatible
with a specific climate scenario.
Unfortunately, numerous degree-warming methodologies are available that generate highly diverse outputs. Thesemethodologies vary in terms of scenario(s) used, measurement approaches, time frames and scales of measurement used,
resulting in highly inconsistent temperature estimates at the company level7. As noted by the Portfolio Alignment Team8,“a degree-warming metric has the potential to be a powerful tool – but it is less understood, difficult to construct
and requires further work on both methods and data inputs to ensure transparency, robustness and consistency
across the degree-warming methodologies”.
To overcome these uncertainties, BNPP AM has decided to use a framework to measure the alignment of its
investments in corporates largely inspired by the Paris Aligned Investment Initiative (PAII) Net Zero Investment
Framework9. This triple-A (NZ:AAA) framework is based on various sources: Transition Pathway Initiative (TPI)10
Science Based Targets initiative (SBTi)11, Climate Action 100+12 and Carbon Disclosure Project (CDP)13. Most are
publicly available, and have goals linked to classifying companies in categories depending on their level of alignment
with net zero. We intend to further enhance our alignment assessment methodology in the future.
More information on the different sources used can be found in the Net Zero Roadmap.
To achieve its commitments, BNP Paribas Asset Management needed a way to not only assess carbon footprints
today, but also how those carbon footprints are likely to change moving forward and the alignment of that changewith Net Zero.
The Implied Temperature Rise indicator, which translates corporate GHG reduction targets into a projected global
temperature change outcome, facilitates this assessment. This indicator is designed to translate greenhousegas emissions pathways into predicted global temperature figures. This allows for a comparative evaluation ofhistorical emissions trends as well as future emissions targets based on the forecast temperature impact of thosetrends and targets. With additional granularity built into forecasting models to account for differences between
economic sectors, the Implied Temperature Rise would let a user compare target ambitions of, for example, a
healthcare company against those of a major coal mining company. BNPP AM has selected the warming function
based ITR of the CDP-WWF, which leverages up to 400 scenarios for its ITR calculation. The full methodology for
the CDP-WWF ITR can be found here: CDP-WWF methodology.
Please refer to our Net Zero Roadmap: https://docfinder.bnpparibas-am.com/api/files/F5EE3377-26CE-4DFD-B770DBD29323D78B for more information.

Aligning our portfolios with the objectives of the Paris Agreement
Our objective is to make a substantive contribution to the transition to carbon neutrality by 2050. We have threetargets to structure our work towards this objective:
1. To progressively align our investment portfolios with the goals of the Paris Agreement.
2. To encourage our investee companies and countries to align their strategies with the goals of the Paris Agreement.
3. To encourage policymakers to adopt measures that align with the goals of the Paris Agreement.

Green share of our investments
In our Net Zero roadmap, we committed to Substantially increase our climate and environmentally themed
investments. There is a clear call to action for private investors to move money flows toward climate solutions
such as greater energy and water efficiency, the large-scale use of clean hydrogen, precision irrigation and carbon
capture. Our product range already includes strategies seeking to invest in climate opportunities and we willcontinue to innovate and provide investment solutions to our clients.

6 BNPP AM will continue to improve its NZ:AAA assessment methodology, and thus we may adapt our commitment and disclosures accordingly as the measurement
approach evolves.
7 cookbook.pdf (ademe.fr)
8 PAT-Report-20201109-Final.pdf (tcfdhub.org)
9 https://www.iigcc.org/download/net-zero-investment-framework-implementation-guide/?wpdmdl=4425&refresh=61c444d8e6d101640252632
10 Overview of the TPI – Transition Pathway Initiative
11 About Us – Science Based Targets
12 About Climate Action 100+ | Climate Action 100+
13 https://www.cdp.net/en/info/about-us

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A N D P A I C O N S I D E R A T I O N S A T E N T I T Y- L E V E L - 5 0 -APPENDIX 7 - REVISION HISTORY
Date

Revision

August 2022

• Minor updates to Part I• Addition of appendix describing how each of the five pillars of our sustainability
approach contributes to consider each PAI.

July 2023• Update of Part I and II•U pdate of the appendix describing how each of the five pillars of our sustainability
approach contributes to consider each PAI.
•A
 ddition of an appendix detailing the PAIs on which we are going to quantitatively
report on at entity and fund level

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July 2023 - Design: Creative Services BNPP AM - P2307057

BNP PARIBAS ASSET MANAGEMENT France, “the investment management company”, is a simplified joint stock company with
its registered office at 1 boulevard Haussmann 75009 Paris, France, RCS Paris 319 378 832, registered with the “Autorité desmarchés 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:
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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
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where such action would be required, in particular, in the United States, to US persons (as such term is defined in Regulation
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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 respectof legal, accounting, domicile and tax advice prior to investing in 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 ofinvestments, if contained within this material, involve varying degrees of risk and there can be no assurance that any specificinvestment may either be suitable, appropriate or profitable for an investor’s investment portfolio.
Given the economic and market risks, there can be no assurance that the financial instrument(s) will achieve its/their investment
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The performance data, as applicable, reflected in this material, do not take into account the commissions, costs incurred on theissue and redemption and taxes.
You can obtain this by clicking here: www.bnpparibas-am.fr/investisseur-professionnel/synthese-des-droits-des-investisseurs asummary of investor rights in French. BNP PARIBAS ASSET MANAGEMENT FRANCE may decide to discontinue the marketing of
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“The sustainable investor for a changing world” reflects the objective of BNP PARIBAS ASSET MANAGEMENT France to integratesustainable development into its activities, although not all funds managed by BNP PARIBAS ASSET MANAGEMENT France 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 sustainability-related disclosures in the financial services sector (SFDR). For more information, please
see www.bnpparibas-am.com/en/sustainability.

The sustainable
investor for achanging world