For professional and institutional investors use only. Not for further distribution - October 2022

EUROPEAN UNION TAXONOMY ALIGNMENTCALCULATION METHODOLOGYEUROPEAN UNION TAXONOMY REGULATIONIn December 2016, the European Commission mandated a High-Level Expert Group (HLEG) to develop anoverarching and comprehensive Union strategy on sustainable finance. The report of the HLEG published on 31
January 2018 calls for the creation of a technically-robust classification system at Union level to establish clarity
on which activities qualify as ‘green’ or ‘sustainable’, starting with climate change mitigation.
In March 2018, the European Commission published its action plan on financing sustainable growth, launching
an ambitious and comprehensive strategy on sustainable finance.
One of the objectives set out in that action plan is to reorient capital flows towards sustainable investment in orderto achieve sustainable and inclusive growth. The establishment of a unified classification system for sustainable
activities – the so-called EU taxonomy – is the most important and urgent action envisaged by the action plan.
The Taxonomy Regulation (Regulation (EU) 2020/852) was published in the Official Journal of the European
Union on 22 June 2020 and establishes the general framework for determining whether an economic activity
qualifies as environmentally sustainable for the purposes of establishing the degree to which an investment isenvironmentally sustainable.

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E U R O P E A N U N I O N TA X O N O M Y A L I G N M E N T C A LC U L AT I O N M E T H O D O LO G Y- 2 -Six environmental objectives are covered by the Taxonomy Regulation: climate change mitigation; climate change
adaptation; the sustainable use and protection of water and marine resources; the transition to a circular economy;
pollution prevention and control; and the protection and restoration of biodiversity and ecosystems.

CHALLENGES ASSOCIATED TO THE CLASSIFICATION OF AN ACTIVITY AS ALIGNED WITH THE TAXONOMY
1. THE CONDITIONS TO BE RECOGNISED AS TAXONOMY-ALIGNED ARE COMPLEX
The EU Taxonomy Regulation sets out four conditions that an economic activity has to meet to be recognized asTaxonomy aligned:•

Mapped to an eligible economic activity – Only economic activities which occur in specific sectors identified
by the EU are potentially eligible to be considered aligned with the Taxonomy.

•Making a substantial contribution to at least one environmental objective - The Technical Screening Criteriafor ‘substantial contribution’ to an environmental objective ensure that the eligible economic activity either
has a substantial positive environmental impact or substantially reduces negative impacts on the environment•

Doing no significant harm (DNSH) to any other environmental objective - The criteria for ‘do no significant
harm’ ensure that the economic activity does not impede the other environmental objectives from being
reached.

•Complying with minimum social safeguards - The Minimum Safeguards requirements of the taxonomy checkthat the company meets minimum social requirements embedded in the OECD Guidelines on Multinational
Enterprises (MNEs), the UN Global Compact (UNGC) and the ten UN Guiding Principles on Business andHuman Rights (UNGP).

2. THE CHALLENGE OF FINDING NON-ESTIMATED DATABNPP AM needs EU Taxonomy data to comply with product-level reporting obligations arising from the EU
Taxonomy itself and from SFDR1, and to take minimum percentage commitments in funds it wants to position
for eligibility under the MIFID II Sustainability Preferences. However, the Taxonomy data available at mid-2022
does not cover the market widely enough.. The challenge faced by BNPP AM is to find reliable and robust data
to start committing products on this criteria. This note will help you understand how we operated due diligenceon our providers to achieve this.

BNP PARIBAS ASSET MANAGEMENT APPROACH
We reviewed several EU Taxonomy data providers, each proving to have their pros and cons. Following an initialbroad-based survey of the market, we ultimately selected Bloomberg as our preferred vendor since this is in ourview the provider offering the highest level of compliance with the requirements of the regulation. The methodology
to consider an activity as Taxonomy aligned based on the data of Bloomberg has been carefully assessed and isdescribed in the section below.
A. IDENTIFYING TAXONOMY ELIGIBLE REVENUES
The first step in an EU Taxonomy assessment consists of determining how much revenue a company makes fromEU Taxonomy-eligible activities. NACE codes are used as the nomenclature framework to capture EU Taxonomy
eligible sectors, providing broad coverage of economic activities.
B. ASSESSING THE SUBSTANTIAL CONTRIBUTION
Bloomberg calculates substantial contribution by applying a sector-based model of testing publicly available
information about companies against the EU Taxonomy and the relevant Technical Screening Criteria. Througha series of methodology chapters, Bloomberg releases a detailed explanation of how a company operating ina given sector can demonstrate substantial contribution to only the climate change mitigation objective so far.

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E U R O P E A N U N I O N TA X O N O M Y A L I G N M E N T C A LC U L AT I O N M E T H O D O LO G Y- 3 -C. DOING NO SIGNIFICANT HARM TO ANY OTHER ENVIRONMENTAL OBJECTIVE (DNSH)
Bloomberg calculates a DNSH pass rate in percentage for each of the six environmental objectives of the EU
taxonomy at two levels:•Level 1 evaluates entity level criteria of DNSH across the six environmental objectives, using a combinationof the company's policies, processes and quantitative measures.

•Level 2 evaluates detailed sector-specific criteria of DNSH across the six environmental objectives, using amore detailed and granular combination of the company's policies, processes and quantitative measures. Level
2 data fields provide a set of data that more closely aligns with the DNSH criteria, but where Bloomberg has
observed very low disclosure levels.

The user is in charge of defining a DNSH tolerance level above which a company is considered to pass the DNSH
criteria. We decided to only pass companies with scores above a threshold of 0 for each DNSH Level 1 of the six
environmental objectives.
D. COMPLYING WITH MINIMUM SOCIAL SAFEGUARDS (MSS)
Bloomberg MSS model has been built from company-level disclosure mapped across 35 data fields aligned toILO’s Declaration on Fundamental Principles and Rights at Work and ILO’s eight fundamental conventions, aswell as OECD guidelines. Bloomberg MSS model provides a percentage-based score to indicate the proportion ofdisclosure across three main categories of data:•Minimum mandatory data: this is a set of entity-level data or policies that Bloomberg expect a company topublicly disclose.

•Optional data: this is a set of data that more closely aligns with the MSS requirements, but where Bloomberg
has observed very low disclosure levels.

•Red flags: this is a set of data that would indicate further investee engagement or due diligence is required.
Such fields could be due to a workplace health and safety violation or fine, or incident. The Red flags data setdisplays the findings per company which indicate potential misalignment with MSS requirements.

As for the DNSH screen, the user is in charge of defining a tolerance threshold above which a company is considered
to pass the MSS criteria. We decided to only pass companies with scores equal to or above the median for eachminimum mandatory data test.
We will continue to track the evolutions of the EU Taxonomy methodology of Bloomberg and other providers withthe objective to use the best available data to determine whether an economic activity qualifies as environmentally(and eventually socially) sustainable.

E U R O P E A N U N I O N TA X O N O M Y A L I G N M E N T C A LC U L AT I O N M E T H O D O LO G Y- 4 -BNP PARIBAS ASSET MANAGEMENT COMMITMENTS
Based on Bloomberg’s data, we calculated the alignment rate with the Taxonomy of our investments and committed
to the following:
Fund name

EU Taxonomy alignment ratecommitment

BNP PARIBAS EASY ECPI Global ESG Hydrogen Economy2

15%

BNP Paribas Funds Energy Transition

10%

BNP Paribas Funds Climate Impact

8%

BNP Paribas Funds Environmental Absolute Return Thematic Equity (EARTH)

5%

BNP Paribas Actions PME ETI ISR

2%

BNP PARIBAS ACTIONS PME ISR

2%

BNP PARIBAS AQUA

2%

BNP Paribas Funds Aqua

2%

BNP Paribas Funds Global Environment

2%

BNP Paribas Funds Green Tigers

2%

BNP PARIBAS Euro Climate Aligned

2%

BNP Paribas Funds Sustainable Euro Multi-Factor Equity

2%

BNP Paribas Funds Sustainable Europe Multi-Factor Equity

2%

BNP Paribas Funds Sustainable Multi-Asset Balanced

2%

BNP Paribas Funds Sustainable Multi-Asset Growth

2%

BNP Paribas Green Business

2%

BNP Paribas Funds Multi-Asset Thematic

2%

Data source: BNPP AM/ Bloomberg as of August 2022

The investments in the funds are subject to market fluctuations and the risks inherent in investments in securities.
The value of investments and the income they generate may go down as well as up and it is possible that investors
will not recover their initial outlay, the funds described being at risk of capital loss. For a Complete description
and definition of risks, please consult the last available prospectus and KIID of the funds
About SFDR categorisations:•••“Article 6” products either integrate environmental, social and governance (ESG) risk considerations into theinvestment decision-making process, or explain why sustainability risk is not relevant, but do not meet theadditional criteria of Article 8 or Article 9 strategies.
“Article 8” products promote social and/or environmental characteristics. These may invest in sustainable
investments, but do not have sustainable investing as a core objective.
“Article 9” products have a sustainable investment objective.

DEFINITIONSISR: L’investissement Socialement Responsable
ESG: Environmental, Social and Governance.
PASI: Principal Adverse Impact indicators
SFDR: Sustainable Finance Disclosure Regulation

2. Environmental, Social and GovernanceOctober 2022 - Design: BNPP AM Creative Services - P2209099

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