BNP PARIBAS ASSET MANAGEMENT LUXEMBOURG

PRINCIPAL ADVERSE SUSTAINABILITYIMPACTS STATEMENT
June 2024

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 2

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

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

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 3(12)‘emissions to water’ means direct emissions of priority substances as defined in Article 2(30) of Directive 2000/60/EC of the European Parliament and of the Council6and direct emissions of nitrates, phosphates and pesticides ;(13)‘areas of high water stress’ means regions where the percentage of total water withdrawn is high (40-80%) or extremely high (greater than 80%) in the World
Resources Institute’s (WRI) Water Risk Atlas tool “Aqueduct”;(14)‘hazardous waste and radioactive waste’ means hazardous waste and radioactive waste;(15)‘hazardous waste’ means hazardous waste as defined in Article 3(2) of Directive 2008/98/EC of the European Parliament and of the Council7 ;(16)‘radioactive waste’ means radioactive waste as defined in Article 3(7) of Council Directive 2011/70/Euratom8;(17)‘non-recycled waste’ means any waste not recycled within the meaning of ‘recycling’ in Article 3(17) of Directive 2008/98/EC;(18)‘activities negatively affecting biodiversity-sensitive areas’ means activities that are characterised by all of the following:(a)those activities lead to the deterioration of natural habitats and the habitats of species and disturb the species for which a protected area has been designated;(b)

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

Directive 2009/147/EC of the European Parliament and of the Council 9;(ii)

Council Directive 92/43/EEC10;(iii)

an Environmental Impact Assessment (EIA) as defined in Article 1(2), point (g), of Directive 2011/92/EU of the European Parliament and of the Council11;(iv)

for activities located in third countries, conclusions, mitigation measures or impact assessments adopted in accordance with national provisions orinternational standards that are equivalent to the Directives and impact assessments listed in points (i), (ii) and (iii);(19)‘biodiversity-sensitive areas’ means Natura 2000 network of protected areas, UNESCO World Heritage sites and Key Biodiversity Areas (‘KBAs’), as well as otherprotected areas, as referred to in Appendix D of Annex II to Commission Delegated Regulation (EU) 2021/213912;(20)‘threatened species’ means endangered species, including flora and fauna, listed in the European Red List or the IUCN Red List, as referred to in Section 7 ofAnnex II to Delegated Regulation (EU) 2021/2139;

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8
9
10
11

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Directive 2000/60/EC of the European Parliament and of the Council of 23 October 2000 establishing a framework for Community action in the field of water policy (OJ L 327, 22.12.2000, p. 1).
Directive 2008/98/EC of the European Parliament and of the Council of 19 November 2008 on waste and repealing certain Directives (OJ L 312, 22.11.2008, p. 3).
Council Directive 2011/70/Euratom of 19 July 2011 establishing a Community framework for the responsible and safe management of spent fuel and radioactive waste (OJ L 199, 2.8.2011, p. 48).
Directive 2009/147/EC of the European Parliament and of the Council of 30 November 2009 on the conservation of wild birds (OJ L 20, 26.1.2010, p. 7).
Council Directive 92/43/EEC of 21 May 1992 on the conservation of natural habitats and of wild fauna and flora (OJ L 206, 22.7.1992, p. 7).
Directive 2011/92/EU of the European Parliament and of the Council of 13 December 2011 on the assessment of the effects of certain public and private projects on the environment (OJ L 026, 28.1.2012,p. 1).
Commission Delegated Regulation (EU) 2021/2139 of 4 June 2021 supplementing Regulation (EU) 2020/852 of the European Parliament and of the Council by establishing the technical screening criteria
for determining the conditions under which an economic activity qualifies as contributing substantially to climate change mitigation or climate change adaptation and for determining whether that economic
activity causes no significant harm to any of the other environmental objectives (OJ L 442, 9.12.2021, p. 1).

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 4(21)‘deforestation’ means the temporary or permanent human-induced conversion of forested land to non-forested land;(22)‘UN Global Compact principles’ means the ten Principles of the United Nations Global Compact;(23)‘unadjusted gender pay gap’ means the difference between average gross hourly earnings of male paid employees and of female paid employees as a percentageof average gross hourly earnings of male paid employees;(24)‘board’ means the administrative, management or supervisory body of a company;(25)‘human rights policy’ means a policy commitment approved at board level on human rights that the economic activities of the investee company shall be in line with
the UN Guiding Principles on Business and Human Rights;(26)‘whistleblower’ means ‘reporting person’ as defined in Article 5(7) of Directive (EU) 2019/1937 of the European Parliament and of the Council13;(27)‘inorganic pollutants’ means emissions within or lower than the emission levels associated with the best available techniques (BAT-AEL) as defined in Article 3,
point (13) of Directive 2010/75/EU of the European Parliament and of the Council 14, for the Large Volume Inorganic Chemicals- Solids and Others industry;(28)‘air pollutants’ means direct emissions of sulphur dioxides (SO2), nitrogen oxides (NOx), non-methane volatile organic compounds (NMVOC), and fine particulatematter (PM2,5) as defined in Article 3, points (5) to (8), of Directive (EU) 2016/2284 of the European Parliament and of the Council15, ammonia (NH3) as referred toin that Directive and heavy metals (HM) as referred to in Annex I to that Directive;(29)‘ozone depletion substances’ mean substances listed in the Montreal Protocol on Substances that Deplete the Ozone Layer.

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

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

(3)

‘GHG intensity of investee companies’ shall be calculated in accordance with the following formula:

Directive (EU) 2019/1937 of the European Parliament and of the Council of 23 October 2019 on the protection of persons who report breaches of Union law (OJ L305, 26.11.2019, p. 17).
Directive 2010/75/EU of the European Parliament and of the Council of 24 November 2010 on industrial emissions (integrated pollution prevention and control) (OJ L 334, 17.12.2010, p. 17).
15
Directive (EU) 2016/2284 of the European Parliament and of the Council of 14 December 2016 on the reduction of national emissions of certain atmospheric pollutants, amending Directive 2003/35/EC andrepealing Directive 2001/81/EC (Text with EEA relevance ), OJ L 344, 17.12.2016, p. 1–31
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PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 5𝑖𝑐𝑢𝑟𝑟𝑒𝑛𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑖𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡𝑖
𝑖𝑛𝑣𝑒𝑠𝑡𝑒𝑒 𝑐𝑜𝑚𝑝𝑎𝑛𝑦′𝑠 𝑆𝑐𝑜𝑝𝑒 1, 2 𝑎𝑛𝑑 3 𝐺𝐻𝐺 𝑒𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑠𝑖∑(×)
𝑐𝑢𝑟𝑟𝑒𝑛𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑎𝑙𝑙 𝑖𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡𝑠 (€𝑀)
𝑖𝑛𝑣𝑒𝑠𝑡𝑒𝑒 𝑐𝑜𝑚𝑝𝑎𝑛𝑦 ′ 𝑠 €𝑀 𝑟𝑒𝑣𝑒𝑛𝑢𝑒𝑖𝑛(4)‘GHG intensity of sovereigns’ shall be calculated in accordance with the following formula:𝑖

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

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

For the purposes of the formulas, the following definitions shall apply:(1)‘current value of investment’ means the value in EUR of the investment by the financial market participant in the investee company;(2)‘enterprise value’ means the sum, at fiscal year-end, of the market capitalisation of ordinary shares, the market capitalisation of preferred shares, and the bookvalue of total debt and non-controlling interests, without the deduction of cash or cash equivalents;(3)‘current value of all investments’ means the value in EUR of all investments by the financial market participant;(4)‘nearly zero-energy building (NZEB)’, ‘primary energy demand (PED)’ and ‘energy performance certificate (EPC)’ shall have the meanings given to them inparagraphs 2, 5 and 12 of Article 2 of Directive 2010/31/EU of the European Parliament and of the Council16.

16

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

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 6

STATEMENT ON PRINCIPAL ADVERSE IMPACTS OF INVESTMENT DECISIONS ON
SUSTAINABILITY FACTORS
Financial market participant [BNP PARIBAS ASSET MANAGEMENT Luxembourg, B25DM5T7808MMC5QRG60]
Summary
BNP PARIBAS ASSET MANAGEMENT Luxembourg, B25DM5T7808MMC5QRG60 considers principal adverse impacts (“PAIs”) of its investment decisions on sustainability
factors. The present document is the consolidated statement on principal adverse impacts on sustainability factors of BNP PARIBAS ASSET MANAGEMENT Luxembourg
required under Article 4 of the REGULATION (EU) 2019/2088 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 27 November 2019 on sustainability-related
disclosures (SFDR) in the financial services sector.
This statement on principal adverse impacts on sustainability factors covers the reference period from January 1st to 31 December 2023.
As a broadly diversified global asset manager, BNP PARIBAS ASSET MANAGEMENT Luxembourg’s adverse impacts are primarily indirect, through the entities in which
we invest. We embrace our responsibility to identify and mitigate the 14 mandatory Corporates PAIs, the 3 voluntary Corporates PAIs and the 2 Sovereigns PAIs.
BNP PARIBAS ASSET MANAGEMENT Luxembourg is an entity of BNP Paribas Asset Management, the asset management business of the BNP Paribas Group (BNPP
AM).
The different pillars of BNPP AM approach to investing sustainably (i.e. Forward-looking perspective, Responsible Business Conduct, ESG integration, Stewardship,
Sustainability in our product range) are contributing to consider the PAIs. These pillars are further described in our 2023 Sustainability Report.
Our policy framework for identifying and addressing adverse impacts is based on 1) our Responsible Business Conduct (RBC) Policy, which identifies for exclusion industries
and behaviours that present a high risk of adverse impacts in violation of international norms; 2) our ESG Integration Guidelines, which helps our investment teams identify
ESG risks, including those related to PAI; and 3) our 2024 Stewardship Policy setting out how we exercise our voting rights as a responsible steward and engage withissuers.
In order to identify and assess principal adverse impacts, we rely on our ESG research analysis and findings which are independent and based on a wide variety of sources
not limited to ESG data providers.
Our Stewardship activities contribute to considering and addressing the different PAIs. Our Stewardship approach is based on the following engagement strategies: (i)engagement linked to voting; (ii) thematic engagement, with a focus on the ‘3Es’ (Energy transition, healthy Ecosystems, and Equality); and (iii) engagement linked to issuer
performance. This includes provisions for escalation when engagement produces insufficient progress.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 7

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

MetricImpact [year n]

Impact [year n1]

Explanation

Actionstaken,
andactions planned andtargets set for the nextreference period

Effective data coverage: High
While GHG emissions disclosure
has improved since BNPP AM
began its carbon footprint work,
most companies worldwide still do
not disclose this information.
BNPP AM has therefore decided tosupplement corporate disclosure
with estimation methods, in order toprovide better reporting of ourenvironmental impact and to support
carbon reduction in the absence ofreported data.

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

CLIMATE AND OTHER ENVIRONMENT-RELATED INDICATORSGreenhousegas emissions

1.

GHG
emissions

Scope 1 GHG
emissions

3 217 630
tCO2e

3 517
tCO2e

383

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 8

Effective data coverage: High
While GHG emissions disclosure
has improved since BNPP AM
began its carbon footprint work,
most companies worldwide still do
not disclose this information.
BNPP AM has therefore decided tosupplement corporate disclosure
with estimation methods, in order toprovide better reporting of ourenvironmental impact and to support
carbon reduction in the absence ofreported data.
Scope 2 GHG
emissions

991 077 tCO2e

1 010
tCO2e

159

policy that seeks to exit
coal in 2030 in EU andOECD countries & 2040 for
the rest of the world. It also
includes a strict policy on
unconventional oil & gas.
From a stewardship angle,
we have comitted to:- Vote for corporate climate
action(supporting
thoughtful
climateshareholder
proposals,
opposing strategic items at
corporates not respecting
our climate expectations...)- Engage with companies,
consistent with our ambition
for all assets undermanagement to achieve net
zero emissions by 2050 orsooner- Advocate for net zeroaligned
nationalandinternational
climatepolicies
For instance: we are part of
the Climate Action 100+
initiative and are lead or
colead on 10 companies
worldwide,
we
apply
climateconsiderations(linked to GHG emissions
disclosure,climatelobbying...) to voting on key

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 9

Scope 3 GHG
emissions

113 558 473
tCO2e(rebased)

27 792 426
tCO2e(rebased)

9 590 136
tCO2e (nonrebased)

2 547 380 t
CO2e(nonrebased)

Effective data coverage: Low
While GHG emissions disclosure
has improved since BNPP AM
began its carbon footprint work,
most companies worldwide still do
not disclose this information. This iseven more problematic for Scope 3
GHG emissions.
BNPP AM has decided to use only
the highest quality disclosed data
and to not supplement the data withestimates. Scope 3 GHG emissions
estimates vary dramatically acrossvendors.
Therefore the coverage and qualityof Scope 3 GHG emissions data is
considered to be very low which
could lead to distorted reporting
figures and make them difficult tointerpret by market participants
independently and in reference toother asset managers.
We have provided two values for thisindicator:• A “rebased” value whichcorresponds to values for which
we have only taken into
consideration
issuers/instruments withavailable data, andissuer/instruments without
available data ("NULL") havenot been taken into
consideration. It means we haveitems like board discharge
or reelections.
Efforts are underway tofurther evaluate Scope 3
GHG emissions data forinclusionininternal
assessment frameworks.
From a stewardship angle,
we apply climate
considerations including
the disclosure of Scope 3
GHG emissions in material
sectors (Energy, Utilities,
Industrials, Materials, Real
Estate, Consumer Goods,
and Consumer
Discretionary) to our voting
activity and may sanction
key voting items as aresult. More details
available in our
Governance & Voting
Policy.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 10

extrapolated the average scope
3 GHG emissions available toall eligible assets, despite thevery low coverage andassociated limited confidence inthis data. This rebased scope 3
GHG emissions aims at
providing a conservative value.
• Alternatively, a “non-rebased”
value which corresponds tovalues for which we haveassigned a 0 to
issuers/instruments when Scope
3 GHG emissions data were notavailable. This is the value weused to calculate total GHG
emissions since it does not
involve extrapolations.
We see very high volatility between
the scope 3 GHG emissions of 2022
and 2023 reference period which
can be explained by the very low
data quality of scope 3 GHG
emissions data.
In particular, one of the company inwhich we invest disclosed for the
first time very high scope 3 GHG
emissions and represents about
80% of total scope 3 GHG
emissions.
Total
GHG
emissions

13 826 378
tCO2e

7 074
tCO2e

918

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

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

when Scope 3 GHG emissions data
were not available.
While we see a slight reduction onscope 1 and 2 GHG emissions,scope 3 GHG emissions havesignificantly increased between
2022 and 2023 reporting period.
Considering the scope 3 GHG
emissions low data quality andvolatility, a trend in our total GHG
emissions based on scope 1, 2 and3 GHG emissions cannot be
asserted.

part of our Net Zero
Roadmap,
wehaveintermediate targets ofreducing our scope 1 and 2
emissions by 30% in 2025
and 50% by 2030 (from a2019 baseline).
Our Responsible BusinessConduct policy (RBC) aims
to reduce the exposure to
GHG from fossil fuels
through a thermal coal
policy that seeks to exit
coal in 2030 in EU andOECD countries & 2040 for
the rest of the world. It also
includes a strict policy on
unconventional oil & gas.
From a stewardship angle,
we have comitted to:- Vote for corporate climate
action (supporting
thoughtful climate
shareholder proposals,
opposing strategic items at
corporates not respecting
our climate expectations...)- Engage with companies,
consistent with ourambition for all assets
under management toachieve net zero emissions
by 2050 or sooner- Advocate for net zeroaligned national andPRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 12international climate
policies

2.

Carbonfootprint

Carbonfootprint

109 tCO2e/m€

71 tCO2e/m€

Effective data coverage: High
While GHG emisisons disclosure
has improved since BNPP AM
began its carbon footprint work,
most companies worldwide still do
not disclose this information.
For Scope 1 & 2, BNPP AM has
decided to supplement corporate
disclosure with estimation methods,
in order to provide better reporting of
our environmental impact and tosupport carbon measurement in theabsence of reported data.

For instance: we are partof the Climate Action 100+
initiative and are lead or
colead on 10 companies
worldwide; we apply
climate considerations to
our voting activity on key
items like board discharge
or reelections. Suchconsiderations include but
are not limited to thedisclosure of GHG
emissions (including Scope
3 for material sectors),climate lobbying, etc.
Efforts are underway tofurther evaluate Scope 3
GHG emissions data forinclusionininternal
assessment frameworks.
We measure the carbon
footprint of our portfolios,
and aim to hold portfolios
with more positive ESG
characteristics than theirrespective(invested)benchmarks. This includes
holding some portfolios witha smaller carbon footprint
than
their
respective(invested) benchmarks as
per our ESG Integration
Principles and Guidelines.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 13

For Scope 3, BNPP AM has decided
to use only the highest quality
disclosed data and to notsupplement the data with estimates.
Scope 3 GHG emissions estimatesvary dramatically across vendors.
Therefore while the overall effective
coverage figure is high, please notethat issuers for which data on Scope
3 was not available were assigned a
0 for this indicator.
Considering the scope 3 GHG
emissions low data quality andvolatility, a trend in our carbon
footprint based on scope 1, 2 and 3
GHG emissions cannot be asserted.
Please note the carbon footprint
published in our sustainability report
does not include scope 3 andtherefore cannot be compared.

From a stewardship angle,
we have comitted to:- Vote for corporate climate
action (supporting
thoughtful climate
shareholder proposals,
opposing strategic items at
corporates not respecting
our climate expectations...)- Engage with companies,
consistent with ourambition for all assets
under management toachieve net zero emissions
by 2050 or sooner- Advocate for net zeroaligned national andinternational climate
policies
For instance: we are partof the Climate Action 100+
initiative and are lead or
colead on 10 companies
worldwide, we apply
climate considerations(linked to GHG emissions
disclosure, climate
lobbying...) to voting on
key items like board
discharge or reelections.

3.

GHG
intensity ofinvesteecompanies

GHG intensityofinvesteecompanies

139 tCO2e/m€

137 tCO2e/m€

Effective data coverage: High
While GHG emissions disclosure
has improved since BNPP AM
began its carbon footprint work,

Our proprietary ESG rating
methodology
includesseveral indicators related to
GHG emissions intensity

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 14

4.

Exposure tocompanies
active in thefossilfuelsector

17 Note the rebased value for this indicator is: 2.6%.

Share
of
investments incompanies
active in thefossilfuelsector

2,5%173.3 %most companies worldwide still do
not disclose this information.
For Scope 1 & 2, BNPP AM has
decided to supplement corporate
disclosure with estimation methods,
in order to provide better reporting of
our environmental impact and tosupport carbon reduction in theabsence of reported data.
For Scope 3, BNPP AM has decided
to use only the highest quality
disclosed data and to notsupplement the data with estimates.
Scope 3 GHG emnissions estimatesvary dramatically across vendors.
Therefore while the overall effective
coverage figure is high, please notethat issuers for which data on Scope
3 was not available were assigned a
0 for this indicator.
Considering the scope 3 GHG
emissions low data quality andvolatility, a trend in our GHG
intensity based on scope 1, 2 and 3
GHG emissions cannot be asserted.

such as the carbon intensity
trend or some sectorspecific carbon intensity. In
addition, our net zerocommitment will lead us toincreaseengagement
activities and reduce
exposure progressively.

Effective data coverage: High
Identification of companies active inthe fossil fuel sector has beenachieved based on percentages ofrevenue derived from exploration,mining, extraction, production,
processing, storage, refining or
distribution, including transportation,

As per our RBC policy,
there
are
significant
restrictions to invest incompanies involved inthermal-coal mining andpower generation, as wellas unconventional oil andgas. Criteria regarding

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 15

storage and trade of thermal coal,natural gas and oil above 0%.
The underlying data is not
identifying companies involved in“distribution of gas” but BNPP AM is
engaging with the data provider inorder to assess the feasibility ofcapturing this activity in the near
future.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did nothave data, we assumed the value tobe 0.
We also provide “rebased” values in
the footnote which corresponds tovalues for which we have only taken
intoconsideration
issuers/instruments with available
data, and issuer/instruments without
available data ("NULL") have notbeen taken into consideration.

5.

Share
of
nonrenewableenergyconsumption
andproduction

Share of nonrenewableenergyconsumption
andnonrenewableenergyproduction of
investeecompanies
fromnonrenewableenergy sources
compared torenewable

Share of nonrenewableenergyconsumption :60%
Share of nonrenewableenergyproduction:
49%

Share of nonrenewableenergyconsumption :61%
Share of nonrenewableenergyproduction:
53%

Effective data coverage: Medium(Consumption)
Effective data coverage: Low(Production)
This PAI is actually two indicators inone: Production and consumption.
The production indicator is only
relevant to energy producers (e.g.
utilities). The consumption indicatoris more broadly applicable acrosssectors. Both production andconsumption
information
areinconsistently disclosed by market

these exclusions areavailable in our RBC Policy.
Our net zero commitment
will lead us to increase
engagement activities andreduceexposureprogressively. Please refer
to our Net Zero Roadmap.

Our proprietary ESG rating
methodology
includesproxy indicators related torenewable energy use suchas the robustness ofrenewableenergyprogrammes, renewableenergy use or the share ofprimary energy use comingfrom renewable energy.
In addition, our ESG
integration, engagement
and RBC policies indirectly
address this metric.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 16energysources,
expressed as apercentage of
total
energysources

6.

Energyconsumption
intensity perhigh impact
climatesectorEnergyconsumption in
GWh per million
EUR of revenueofinvesteecompanies, perhighimpactclimate sector

actors though coverage ratios tend
to be much higher for consumption.
The underlying data used is basedon reported data only and theexhibited low coverage could lead to
distorted reporting figures and makethem difficult to interpret by market
participants independently and inreference to other asset managers.
A (agriculture,
forestryandfishing): 0.51
GWh/m€B (mining andquarrying): 1,16
GWh/m€C(manufacturing): 0.54 GWh/m€
D (electricity,gas, steam andairconditionning
supply): 2.93
GWh/m€
E(watersupply;sewerage,waste
management
andremediation
activities): 1,60
GWh/m€
F(construction):
0,22 GWh/m€

A (agriculture,
forestryandfishing): 0,53
GWh/m€B (mining andquarrying): 1,27
GWh/m€C(manufacturing): 0.48 GWh/m€
D (electricity,gas, steam andairconditionning
supply): 3.11
GWh/m€
E(watersupply;sewerage,waste
management
andremediation
activities): 1,53
GWh/m€
F(construction):
0,25 GWh/m€

Effective data coverage: Low
An exact fit for this PAI does notexist since the exact split of energy
consumption per high impact
climate sector is not provided by any
data vendor.
Therefore, an assumption has been
made that one company belongs to
its primary NACE and the totalenergy consumption figure isassociated with this primary NACE
code. Therefore, there is no sectorrelated split of energy consumption
per company.

Our proprietary ESG rating
methodology
includeindicators such as GHG
emissions, GHG emissions
intensity or GHG reduction
programme which can beconsidered as indirect
proxies since it covers
scope 2 emissions, andtherefore indirect emissions
from purchased energy.
In addition, our net zerocommitments in particularthrough the reduction of the
carbon footprint of our inscope
corporate
investments (scopes 1 and
2) and through thealignment with net zero,
induces a focus on thescope 2 emissions as well,and therefore tackles
companies
energyconsumption intensity.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 17

G (wholesale
and retail trade;
repair of
motor vehicles
andmotorcycles):
0,18 GWh/m€
H(transportationand storage):
1,29 GWh/m€
L(acommodation
andfoodserviceactivities): 2,03
GWh/m€

7.
Biodiversity

Activities
negatively
affectingbiodiversitysensitiveareas

18 Note the rebased value for this indicator is: 2.6%.

Share
of
investments ininvesteecompanies withsites/operations
located in ornear
tobiodiversitysensitive areas
where activitiesof
those
investeecompanies
negatively
affectthose
areas

2,4%18G (wholesale
and retail trade;
repair of
motor vehicles
andmotorcycles):
0,12 GWh/m€
H(transportationand storage):
1,31 GWh/m€
L(acommodation
andfoodserviceactivities): 2,38
GWh/m€

3.1%

Effective data coverage: HighThis PAI is not directly reported bycompanies and therefore theassessment is based on incidents
research to identify negatively
affecting activities performed bycompanies which then can bematched spatially to sensitive areas
as defined by the Natura 2000
network of protected areas, the
UNESCO World Heritage Sites aswell as other protected areas
referred to by the DelegatedRegulation.
This approach has the following
limitations:1) The access to the Key
Biodiversity Area (KBA)

Our proprietary ESG rating
methodology includes
proxy indicators related tothe quality of programmes
to protect biodiversity or
incidents related tosuppliers failures to protect
biodiversity.
In addition, our Biodiversity
Roadmap details our
initiatives to increasestewardship activities
throughindividual/collective
initiatives and voting.
We apply somebiodiversity considerations
to voting on key items likeboard discharge orPRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 18

Water

8.

Emissions towater

19 Note the rebased value for this indicator is: 3.52 t/m€.

Tonnesemissionswater
generatedinvesteeofto0.23 t/m€19
by0.10 t/m€

database is not public,
hence reducing thepossibility
tomatch
locations
2) An
assessmentof
operations located in ornear
tobiodiversity
sensitive areas would
requireaspatialperspective which, as ofnow, is not available dueto the lack of asset level
databases. Hence, theonly spatially explicit datathat we use is provided byour vendor’s incidents
research.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did nothave data, we assumed the value tobe 0.
We also provide “rebased” values in
the footnote which corresponds tovalues for which we have only taken
intoconsideration
issuers/instruments with available
data, and issuer/instruments without
available data ("NULL") have notbeen taken into consideration.

reelections. Such
expectations are mainly
linked to corporate
disclosure on key impacts
and dependencies onnature for issuers withcritical impacts on forestsand freshwater. Moredetails available in our
Governance & Voting
Policy.

Effective data coverage: Low
Most companies worldwide still do
not disclose this information.

Our proprietary ESG rating
methodology includes a
proxy indicator related tothe strength of a company’s
initiative to treat effluents

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 19

companies per
millionEUR
invested,
expressed as aweighted
average

Companies also inconsistently
report pollutants.
Data providers capture different
emission types and there is someuncertainty about which should beconsidered as per the regulation.
For these reasons, BNPP AM
decided to employ a moreconservative approach and get datafrom a data provider which capturesa more comprehensive list ofpollutants for the purpose of thismetric: Direct emissions of nitrates,
phosphate, and pesticides, anddirect emissions of priority
substances as defined in Article
2(30) of Directive 2000/60/EC of theEuropean Parliament and of theCouncil (e.g., heavy metals, loads oforganic pollutant parameters suchas biochemical oxygen demand(BOD) and chemical oxygen
demand (COD), nitrogen andphosphorus compounds).
The exhibited very low coverage
could lead to distorted reporting
figures and make them difficult tointerpret by market participants
independently and in reference toother asset managers.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did nothave data, we assumed the value tobe 0.
We also provide “rebased” values in
the footnote which corresponds togenerated through its
production process.
In addition, our Biodiversity
Roadmap details our
initiatives to increasestewardship activities
throughindividual/collective
initiatives and voting.
We apply somebiodiversity considerations
to voting on key items likeboard discharge orreelections. Such
expectations are mainly
linked to corporate
disclosure on key impacts
and dependencies onnature for issuers withcritical impacts on forestsand freshwater. Moredetails available in our
Governance & Voting
Policy.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 20

values for which we have only taken
intoconsideration
issuers/instruments with available
data, and issuer/instruments without
available data ("NULL") have notbeen taken into consideration.
We see an increase of emissions towater however considering the low
data quality of this indicator, a trend
cannot be asserted.
Effective

9.
Waste

Hazardous
waste andradioactive
waste ratio

20 Note the rebased value for this indicator is: 8.95 t/m€.

Tonnesofhazardous
waste
andradioactive
waste
generated byinvesteecompanies per
millionEUR
invested,
expressed as aweighted
average

2.92 t/m€20

2.87 t/m€

data

coverage:

Low

Most companies worldwide still do
not disclose this information.
BNPP AM captures both hazardous
and radioactive waste as reported
by companies.
The exhibited very low coverage
could lead to distorted reporting
figures and make them difficult tointerpret by market participants
independently and in reference toother asset managers.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did nothave data, we assumed the value tobe 0.
We also provide “rebased” values in
the footnote which corresponds tovalues for which we have only taken
intoconsideration
issuers/instruments with available
data, and issuer/instruments without

Our proprietary ESG rating
methodology includes a
proxy indicator related tothe strength of a company
initiative
to
reducehazardous waste from its
own operations.
In addition, our
Biodiversity Roadmap
details our initiatives toincrease stewardship
activities throughindividual/collective
initiatives and voting.
We apply somebiodiversity considerations
to voting on key items likeboard discharge orreelections. Such
expectations are mainly
linked to corporate
disclosure on key impacts
and dependencies onnature for issuers withcritical impacts on forests

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 21

available data ("NULL") have notbeen taken into consideration.

and freshwater. Moredetails available in our
Governance & Voting
Policy.

INDICATORS FOR SOCIAL AND EMPLOYEE, RESPECT FOR HUMAN RIGHTS, ANTI-CORRUPTION AND ANTI-BRIBERY MATTERS
Our proprietary ESG rating
Effective data coverage: Highmethodology includes the
For this indicator there is wide consideration of several
variance across data vendors due to incidents related to thedifferent assessment of the PAI.
UNGC Principles andMost vendors rely on news article OECD MNEs guidelines.
analysis and AI/NLP models in order From a stewardship angle,
10. Violations ofto flag potential violations. In some we strive to engage withUN Global
Shareofcases, some data vendors perform a companies in violation (orCompact
investments inmanual review in order to opine on at risk of violation) of one
principles
investeethe validatation of the identified or more of the UNGC
andcompanies thatcases.
Organisation
Principles or OECD MNEs.
have
been
for Economic
BNPP AM employs a rigorous BNPP AM either engages
SocialandinvolvedinCooperation
approach which consists of multiple with and/or excludes
employeeviolations of the 0.06%21
0.08%
and
layers of manual assessment companies that are subject
matters
UNGC
Development
performed by specialised research to serious controversies, inprinciples
or(OECD)
teams (both external and internal), line with our Responsible
OECD
Guidelines
company contact and engagement Business Conduct (RBC)
Guidelines forfor(in some cases) as well as additional Policy.
Multinational
Multinational
governance layers and review In addition, BNPP AM may
Enterprises
Enterprises
committees which can further oppose or abstain on items
evaluate and challenge the final where the company isassessments.
implicated in serious
Please note that the performed violations of ourassessment is based on all UNGC Responsible Conduct
principles and OECD guidelines, Policy (RBC) – including
violations of the UN Global
including environmental norms.
Compact principles and/or
21 Note the rebased value for this indicator is: 0.08%.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 22

11. Lackofprocesses
andcompliancemechanisms
to monitor
compliancewithUN
GlobalCompact
principles
22 Note the rebased value for this indicator is: 77%.

Share
of
investments ininvesteecompanies
without policies
tomonitorcompliancewith the UNGC
principles
orOECD
Guidelines for

48%22

49%

Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did nothave data, we assumed the value tobe 0.
We also provide “rebased” values in
the footnote which corresponds tovalues for which we have only taken
intoconsideration
issuers/instruments with available
data, and issuer/instruments without
available data ("NULL") have notbeen taken into consideration.
The non-zero figure here can be
explained by the non-application of
our RBC policies for some specificclient and/or the inclusion of ahandful of issuers which can beconsidered to be in violation of the
UNGC and OECD MNEs guidelines
by our provider for this PAI but withwhich we are conducting active
engagement aimed at improving
company behaviour.

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

Effective data coverage: Medium
For this indicator there is wide
variance across vendors due todifferent interpretations of the PAI.
Some vendors flag very few issuers
as non-compliant with the PAI,
whereas others flag almost all as
non-compliant. Data providers
reporting low figures typically rely on
the existence of any policy toaddress UNGC principles or OECD

Our proprietary ESG rating
methodology
includesseveralpolicyandprogrammes
indicators
related to UNGC Principles
and
OECD
MNEs
guidelines.
From a stewardship angle,
we strive to engage withcompanies at risk ofviolation of one or more ofPRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 23

and OECD
Guidelinesfor
Multinational
Enterprises

12. Unadjusted
gender pay
gap

Multinational
Enterprises orgrievance/complaints
handlingmechanisms toaddress
violations of the
UNGC
principles
orOECD
Guidelines forMultinational
Enterprises

Averageunadjusted
gender pay gapofinvesteecompanies

5%5%

guidelines, not policies to address
all UNGC principles (and grievancemechanisms).
Market reporting of this value couldchange dramatically in either
direction
basedonfutureclarifications from regulators which
may be forthcoming. In themeantime, we will only report thisfigure at the entity-wide level andrely on a more conservativeinterpretation of the PAI.
Please note that the performed
assessment is based on all UNGC
principles and OECD guidelines,
including environmental norms.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did nothave data, we assumed the value tobe 0.
We also provide “rebased” values in
the footnote which corresponds tovalues for which we have only taken
intoconsideration
issuers/instruments with available
data, and issuer/instruments without
available data ("NULL") have notbeen taken into consideration.

the UNGC Principles orOECD MNEs. BNPP AM
either engages with and/or
excludes companies thatare subject to serious
controversies, in line with
our Responsible BusinessConduct (RBC) Policy.
In addition, BNPP AM may
oppose or abstain on items
where the company isimplicated in serious
violations of our
Responsible Conduct
Policy (RBC) – including
violations of the UN Global
Compact principles and/or
our Sector Policies, linked
to environmental and/or
social risks. More details
available in our
Governance & Voting
Policy.

Effective data coverage: Low
Most companies worldwide still do
not disclose this information.
Some vendors attempt to reportfigures disclosed by companies
which are not based on the exact
regulatory definition which could

Our proprietary ESG rating
methodology does not yet
include an indicator directly
related to gender pay gap
due to data coverage
concerns, but includes a
proxy indicator related tothe quality of a company’s

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 24

lead to data inconsistencies andsome vendors increase thecoverage 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 andthe impact it has on this indicator.
BNPP AM has decided to rely on
reported figures which are strictly
consistent with the regulatory
definition and to not use proxyvalues.

13. Boardgenderdiversity

Average ratio of
female to maleboard members
ininvesteecompanies,
expressed as apercentage of
all
board
members

36%

36%

Effective data coverage: HighThe underlying data is collected
directly from companies (by ourchosen data provider)diversity programs. We aim
to publish our Equality
roadmap in 2024. This
roadmap will set the path tofurther consider topics suchas gender pay gap andgender board diversity.

This criterion is embedded
in our ESG scoring
methodology and ourGovernance & Voting
Policy. Indeed, as part ofour voting activity, we haveset gender diversity
thresholds for board of
directors, which have been
reinforced gradually overtime.
On this basis, we canabstain or vote against aboard candidate if thecandidate is not a woman
and fewer than 35% of
directors are women (forEurope, North America,
Australia, New Zealandand South Africa) or fewer
than 20% of directors are
women (for the othermarkets). In 2025, we will
apply a threshold of 40% ofPRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 25

14. Exposure tocontroversial
weapons(antipersonnel
mines,
clustermunitions,chemicalweapons andbiologicalweapons)

Shareofinvestments ininvesteecompanies
involved in the
manufacture or
sellingofcontroversial
weapons0%

Indicators applicable to investments in sovereigns and supranationals

0%

Effective data coverage: High
Identification of companies involvedin controversial weapons has beenachieved based on research
performed by the data provider andidentifying evidence of activity andinvolvement in anti-personnel
mines, cluster munitions andbiological and chemical weapons.

women on the board inmature markets (Europe,
North America, Australia,
New Zealand and South
Africa).. More details
available in our
Governance & Voting
Policy.
As per our RBC policy, we
do not wish to invest incompanies involved in the
manufacture, trade or
storage of ‘controversial
weapons’, or any otheractivity involving
controversial weapons.
These include cluster
ammunition and antipersonnel landmines,
chemical and biologicalweapons, nuclear/depleted
uranium weapons andwhite phosphorus
munitions. See our RBC
policy for further details
Most of these weapons arecovered by international
conventions andinvestments are alreadyprohibited in somejurisdictions. We willcontinue to uphold thisprinciple in our full range of
products.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 26

Adverse sustainability indicator

MetricImpact [year n]

Impact [year n1]

Environmental

15. GHG
intensity

GHG intensityofinvesteecountries

31 tCO2e/m€

28 tCO2e/m€

Explanation

Effective data coverage: HighFor Scope 1 & 2, BNPP AM has
decided to use a dataset thatcombines country level reportingfrom multiple sources withestimation models that ensure thatdata is available for all countries
across any given year.
It has also been decided to include
estimated emissions related to landuse, land-use change and forestry(LULUCF) which leads overall tohigher reported figures.
However, Scope 3 data are
available only until 2018 which isincosistent with Scope 1 & 2 dataavilability which covers 2019 andtherefore Scope 3 is not included in
the reported figures.

Actionstaken,
andactions planned andtargets set for the nextreference period
Our proprietary ESG
scoring framework forsovereigns
assessescountries’ commitment to
reducetheir
GHGemissions to comply withthe 2°C goal of the Paris
Agreement, with regards totheir Nationally Determined
Contributions,andanalyzes countries’ policies
adopted for tackling climatechange.
The
scoring
methodology
alsoemphasises
countries’
climate commitments. The
climatemitigationassessment evaluates themeasures countries have inplace to combat climatechange. It supplements theevaluationofcurrent
climate performance, whichis part of the ESG
performance assessment.
This component combines
a quantitative assessmentof the country’s climate
ambitions with a qualitativeevaluation of the laws andpolicies it has in place tosupport those ambitions.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 27

Social16. Investee
countries
subjecttosocialviolations

Numberofinvesteecountries
subject to social
violations(absolute
numberandrelative number
divided by all
investeecountries), as
referred to ininternational
treatiesandconventions,
United Nations
principles and,
where
applicable,
national law

3 countries
2.7% (relative)

3 countries
2.8% (relative)

Effective data coverage: HighThe definition of what constitutes a“social violation” as mentioned inthis PAI is not explicitely describedin the regulation.
Other frameworks such as the
Towards Sustainability label exist
but are more prescriptive.
Identification of countries subject tosocial violations has been achieved
based on research performed by thedata provider and identifying
relevant controversies related tosocial topics. The social topics
considered are the following: civil
conflict,state
repression,transnational conflict, violent crime,
labour rights, discrimination.

We target sovereigns
through our engagement
initiatives
andmoreparticularly around thematicbondissuanceassovereign bonds withclimate related use ofproceeds may contribute to
decrease the carbon
footprint of countries andincrease
avoidedemissions.
Several indicators linked tosocialviolationsareembeddedinourproprietary sovereign ESG
scoring
framework,
including: Labour & Social
Protection, Control ofCorruption,
Democratic
Life, Security.
We leverage on BNPParibas Group’s internal
Framework which identifies
severecontroversial
countries that are flagged
on a dedicated exclusion
list.
In addition, countries in oursystem must qualify as
investible sovereigns forsome of our sustainability
funds, such as those with
the Towards Sustainability
Quality Standard label andVerbändekonzept market
practice.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 28

Indicators applicable to investments in real estate assets
Adverseindicator

Fossil fuels

Energyefficiency

sustainability

17. Exposure tofossil fuels
through realestate assets

18. Exposure toenergyinefficient
real estate
assetsMetricShareofinvestments inrealestateassets involved
intheextraction,
storage,transportormanufacture offossil fuels

Share
of
investments inenergyinefficient realestate assets

Impact [year n]

0%

N/A

Impact [year n1]

0%

N/A

Explanation

Effective data coverage: HighA manual check is performed basedon information provided by theborrower or sponsor. Any asset
used to extract, transport or
manufacture fossil fuels is
considered as exposed.

The process to enable theproduction of this PAI is being setup
in collaboration with an external data
provider. We anticipate theavailability of this data within 2024.
BNPP AM will rely either on
estimated data provided by a data
vendor or information provided bysponsors for real estate assets.
Whenavailable,
they
will
communicate energy efficiency
documents (EPC) which enable toidentify the inefficient part of theportfolio.
A manual check will then be
performed
based
on
this

Actionstaken,
andactions planned andtargets set for the nextreference period
These
criteria
areembeddedintothededicated ESG Qualitative
assessment process forPrivate Debt in Commercial
Real Estate.

These
criteria
areembeddedintothededicated ESG Qualitative
assessment process forPrivate Debt in Commercial
Real Estate.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 29

Greenhousegas emissions

18. GHG
emissions

Scope 1, 2, 3
GHG emissions
generated byreal
estateassets12 078 tCO2e

6 647 tCO2e

information. When available, thisdata will be collected on new deals,
past deals will be out of scope.
Effective data coverage: High
While GHG emisisons disclosure
has improved since BNPP AM
began its carbon footprint work,
most companies worldwide still do
not disclose this information. This iseven more problematic for Scope 3
GHG emissions.
BNPP AM relies on estimated data
provided by a data vendor for realestate assets.
The Enterprise Value definition
provided in Annex 1 above is notapplicable to real estate assets.
Therefore, the Investment Teamrelied on the following definition to
calculate the Enterprise Value as
Equity + Debt where:
Equity:1) market capitalization (ifthe company is listed on astock exchange)2) known equity sale price (ifavailable), or3) known enterprise value (ifavailable), or4) transaction multiples (P/E,
EV/EBITDA,
EV/EBIT,etc.) based on recent
comparable
M&A
transactions

These
criteria
areembeddedintothededicated ESG Qualitative
assessment process forPrivate Debt in Commercial
Real Estate.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 30

5)

If none of the above isavailable, book value ofequity shall be considered
Debt: The investment team will use
the outstanding debt and undrawn
commitments.
Absolute GHG emissions increased
as we are adding new real estate
projects in our portfolios.

Energyconsumption

19.
Energyconsumption intensity

Energyconsumption
intensity

0.00022
GWh/m2Other indicators for principal adverse impacts on sustainability factors

0.00021
GWh/m2

Effective data coverage: HighBNPP AM collects data regarding
energy consumption in GWh of
owned real estate assets per square
meter from borrowers’ reported dataand if data is not available,
estimates are being used instead.
A given investment can becomposed of several buildings withdifferent energy consumptions. At
the level of each investment, energy
consumptions are weighted bysquare meters.
Please note that the data is collected
at the time of the investment foreach asset and data are not updated
any further since we are investing
through private debts and don't haveaccess to information after the due
diligence is performed.

These
criteria
areembeddedintothededicated ESG Qualitative
assessment process forPrivate Debt in Commercial
Real Estate.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 31

4.
EmissionsSocialandemployeematters

4.

Investments
in companies
without
carbonemission
reduction
initiatives

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

Lack of a
supplier codeof conduct

Share
of
investments ininvesteecompanies
without
any
supplier code of
conduct(against unsafe
working
conditions,23 Note the rebased value for this indicator is: 61%.

24 Note the rebased value for this indicator is: 4.0%.

57%23

3.6%24Through our Net Zeroroadmap, our goal is tohave 60% of our corporate
investments
tobeAchieving, Aligned or
Aligning with Net Zero
(NZ:AAA) by 2030.

58%

Effective data coverage: HighThe regulatory definition of this PAI
raises some questions on themeaning of “aimed at aligning with
Paris agreement” and “carbon
emission reduction initiative”.
BNPP AM took a conservative
approach by considering only
companies with targets aligned with
the Paris agreement (<=2oC) as
successfully passing this PAI.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did nothave data, we assumed the value tobe 0.
We also provide “rebased” values in
the footnote which corresponds tovalues for which we have only taken
intoconsideration
issuers/instruments with available
data, and issuer/instruments without
available data ("NULL") have notbeen taken into consideration.

4.0%

Effective data coverage: High
Identification of companies withlack of supplier code of conduct has
been achieved based on research
performed by the data provider andidentifying relevant evidence.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did not

Our
ESG
scoring
methodology includes anindicator related to theassessment of the scope ofcompany social supplierstandards.
In addition, our ESG
integration, engagement

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 32

precarious
work,
child
labourandforced labour)9.
Human Rights

Lack of ahuman rights
policyShareofinvestments inentities without
a human rights
policy4%25

5%have data, we assumed the value tobe 0.
We also provide “rebased” values in
the footnote which corresponds tovalues for which we have only taken
intoconsideration
issuers/instruments with available
data, and issuer/instruments without
available data ("NULL") have notbeen taken into consideration.

and RBC policies indirectly
address this metric.

Effective data coverage: High
Identification of companies with lackof Human Rights policy has beenachieved based on research
performed by the data provider andidentifying relevant evidence.
Note we did not “rebase” thisindicator, meaning that for theeligible assets for which we did nothave data, we assumed the value tobe 0.
We also provide “rebased” values in
the footnote which corresponds tovalues for which we have only taken
intoconsideration
issuers/instruments with available
data, and issuer/instruments without
available data ("NULL") have notbeen taken into consideration.

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

Description of policies to identify and prioritise principal adverse impacts on sustainability factors
25 Note the rebased value for this indicator is: 5%.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 33

BNPP AM Policy Framework to Address Adverse Impacts
Our policy framework addresses PAI in primarily three documents: 1) our Responsible Business Conduct (RBC) Policy, which identifies for exclusion industries andbehaviours that present a high risk of adverse impacts in violation of international norms; 2) our ESG Integration Guidelines, which helps our investment teams identify ESG
risks, including those related to PAI; and 3) our 2024 Stewardship Policy and 2024 Governance and Voting Policy, setting out how we exercise our voting rights as a
responsible steward and engage with issuers.
Our approach to sustainability is managed by a company-wide governance framework. This framework ensures that our sustainability policies and practices are embedded
and implemented appropriately throughout our business, and that any new initiative is well conceived, properly structured and delivered effectively. Several committees are
set up to frame our sustainability policies:• BNPP AM executive committee: strategic oversight of sustainability approach• BNPP AM Sustainability Committee: oversees and validates our approach to sustainability• BNPP AM Investment Committee: approves sustainability methodologies and monitors ESG integration• BNPP AM Stewardship Committee: reviews voting and engagement implementation• BNPPAM Global Product Committee: Approves sustainability characteristics of products• BNPPAM Executive CSR Committee: Oversees the implementation of our approach to Corporate Social Responsibility (CSR)
Our RBC Policy was last approved in August 2023 by the BNPP AM Sustainability Committee. It provides sector-specific guidance to identify and prioritise adverse impacts
based on the nature of the economic activity, and in many cases, the geography in which these economic activities take place. These policies establish criteria for the
exclusion of certain types of activities that present an unacceptable risk to society or the environment, such as tobacco or thermal coal production, as well as criteria forevaluating other activities, such as palm oil production, that are not strictly excluded but require closer scrutiny. They identify general areas where the risk of adverse impacts
is more significant, and therefore help us in assessing investee companies operating within those sectors against predefined criteria.
Our RBC Policy also establishes a common framework for investments and economic activities through the implementation of the UN Global Compact (UNGC) Principles. As
the Global Compact establishes broad, aspirational principles, a risk-based approach is taken at the issuer level to assess potential breaches of international standards based on
available data. This analysis may result in the exclusion of a company from our actively managed portfolios, or it may lead to direct engagement with the issuer to obtain
more information or attempt to influence the company’s behaviours.
After the RBC Policy is applied, our ESG Integration Guidelines come into force, in which we articulate a series of commitments material to our consideration of PAI:
• ESG analysis of individual entities will concentrate on those factors deemed to be material for the respective sector by the Sustainability Centre, with input
from the investment teams.
• We will typically avoid investing in a public entity without ESG analysis, with a process for qualitative ESG analysis available to investors. We maintainminimum coverage thresholds for funds (90% for developed markets and 75% for emerging markets, mid-small caps and high yield), performing qualitative
ESG analysis in the absence of a quantitative ESG rating when thresholds are in breach. We will avoid investing in a privately owned entity without performing
ESG due diligence (which could include qualitative analysis, or receiving a completed ESG questionnaire).
• We aim to hold portfolios with a more positive ESG scores than their respective (invested) benchmarks.
We implement our ESG Integration Guidelines primarily by providing our investment teams with proprietary ESG scores. Our ESG scoring framework includes considerationof several PAI and PAI-adjacent indicators. Through our materiality heatmap, we identify ESG risks/themes that are material to each sector. Accordingly, the weight allocatedPRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 34

to each risk/theme will vary depending on the relevance of this theme for a particular sector. We group the individual metrics in our ESG scoring framework into 11 common
themes; however, the underlying metrics used to assess performance under each theme vary by sector. This enables us to ensure that the probability of occurrence andseverity of these ESG risks and adjacent PAIs are appropriately assessed. The Risk team is aware of all the portfolios which apply the RBC and will halt, pre-trade, any
investments in excluded names. Risk is also aware of portfolios applying ESG Integration Guidelines and monitor compliance with commitments made.
Our 2024 Stewardship Policy and the 2024 Governance and Voting Policy26 were last approved by the Stewardship Committee in December 2023 and by BNPP AM Europe
Board of Directors on March 2024. They outline what we expect of public companies and how we carry out our ownership responsibilities. We are committed to being a‘future maker’, using our investments and our ability to engage with companies and policymakers to advocate for low-carbon, environmentally sustainable and inclusive
economies. The responsibility for the implementation of these policies lies with the Stewardship team within the Sustainability Centre that is tasked with covering the global
scope of issuers in terms of voting and engagement. The team publishes reports annually on these activities.
• As an integral element of our investment process, we vote at the annual general meetings of companies in which we invest on behalf of our clients. Voting
rights are exercised on equities for mutual funds, UCITS, AIFs, foreign investment funds, mandates and for Employee Investment Funds for which voting rights
are delegated to BNPP AM27. We are committed to ensuring that we consistently exercise our voting policy across portfolios and markets, subject to technicaland legal constraints. We engage with companies in the context of voting at their shareholder meetings, coordinating such dialogue with portfolio managers,
ESG analysts and stewardship analysts, so that final voting decisions feed into the qualitative elements of our ESG ratings.
• Our engagement practices encompass our public equity holdings – both actively and passively managed – and extend beyond them. We regularly engage
with the issuers of green bonds to ensure the investment is appropriate for our clients, and with sovereigns on material ESG issues that may impact thecharacteristics of sovereign bonds. Within our private debt business, we engage corporate borrowers on a wide range of ESG characteristics and apply strict
environmental standards to our real assets portfolios. We also actively engage with public policymakers, helping them shape the markets in which we invest
and the rules that guide and govern company behaviours, with a particular focus on corporate disclosure, climate policy, and corporate governance.
Our policy framework to address PAIs based on our RBC, Better Than Benchmark (or equivalent) on ESG Score with minimum coverage and engagement is applied tomost of our Article 8 and 9 funds, at the exception of specific cases due to the dependency of the strategy on external actors (for instance ETFs which depend on external
indices or FoF which depend on external funds). For more details on the PAI considered by our RBC, ESG Integration and Stewardship policies, please refer to our SFDR
Disclosure Statement.
Identifying and assessing principal adverse impacts
Data sources
Our ESG research analysis and findings are independent and based on a wide variety of sources not limited to ESG data providers. They include the knowledge we gain fromparticipating in various investment forums and communities, our relationships with academic institutions and aspects of civil society (a list of the initiatives we participate inis available in our most recent Sustainability Report). With respect to market data providers, we select them using a two-step due diligence process. Our Quantitative
Research Group begins by analysing providers’ data sets, which includes examining the coverage of data and its quality, and a statistical review of estimation methodologies,
among other items. At the same time, the Sustainability Centre performs a qualitative review of methodologies used and the relevance of selection criteria.
26

The Governance and Voting policy is also included in the Stewardship policy.

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

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 35

Our market data team oversees governance related to the relationship with the provider, and as part of this process, we perform an annual review of our market
data contracts.
Our external specialised providers and what they offer are as follows:• Sustainalytics provides us with raw data metrics that we use selectively to feed our ESG scoring model and PAI reporting. We also use this provider for preliminary
UNGC analysis, controversies offerings, and research related to PAI metrics.
• Trucost, CDP, Maplecroft, TPI,SBTi and Climate Action 100+: we use these data providers for our climate change and physical risk analysis. Bloomberg and Trucost
also provides us with Scope 1 and 2 carbon emissions data.
• CDP also provides us with underlying data for selected PAI metrics.
• CDP, Trucost, Forest 500, TRASE, SPOTT, FAIRR, and Iceberg Data Lab provide us with water, deforestation and biodiversity metrics we use to assess andreport on the biodiversity footprints of our portfolios and holdings.
• ISS, Glasslewis and Proxinvest provide us with their governance research, data to feed our ESG scoring model, and selected PAI metrics.
• Beyond Ratings provides us with data and research used in our ESG sovereign research and scoring framework.
• FactSet provides us with financial and enterprise value data.
• ESG and mainstream brokers provide us with research papers and other market information.
When information is not readily available
For only a few PAIs we already had data readily available through our existing ESG research. Therefore, we initiated a comprehensive research and data selection projectin 2022 in order to assess PAI data solutions from different providers.
In case the level of disclosure of some PAIs is very low, we have considered estimated data from data providers. Our priority has been to rely on reported data only.
However, in a very limited number of cases where we deemed the data quality is sufficient, we have been relying on estimates. This contributes to limit margin of errors ofthe methodologies used.
In addition, we have been engaging with some data providers to further improve the data quality of some PAIs.
Through our rigorous data provider selection process and ESG Research analysis we strive to ensure the best level of data quality to assess the PAIs. Limitations related
to quantitative data are detailed in the column “explanation” of the table above.
Our SFDR Disclosure Statement further explores how we consider the PAIs from a qualitative standpoint. In particular, it describes how the different pillars of our approach
to investing sustainably (i.e. Forward-looking perspective, Responsible Business Conduct, ESG integration, Stewardship, Sustainability in our product range) arecontributing to consider the PAIs.
In addition to the quantitative reporting of PAIs at BNPP AM Luxembourg level disclosed in this document, we also choose to disclose at fund level the quantitative valuesof some 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PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 36

and our fund-level European ESG Templates (EETs)28, in some cases we report data in this entity level report which is not reported in EETs. The reason for this discrepancy
relates primarily to effective data coverage issues at fund level. Specifically, we apply a rule at fund level which only permits PAI reporting for a fund if effective data
coverage is above 50% for the indicator and eligible assets in the fund are above 5%.
Engagement policies
We take a holistic view in our engagements, focusing on issues that may be financially material as well as those that present the most salient risks to society or theenvironment, consistent with our obligations under the UN Guiding Principles on Business and Human Rights, the OECD Guidelines for Multinational Enterprises, and theset of international treaties and laws that underpin the UN Global Compact Principles.
It is also consistent with our obligations, as fiduciaries, to do what we can to mitigate systemic risks that impact our clients and future investment opportunities, such as
climate change, biodiversity loss, and inequality. These systemic risks are often the focus of our long-term thematic engagements. See our Global Sustainability Strategy,
detailing the overarching thematics, i.e. the ‘3Es’ (Energy transition, healthy Ecosystems, and Equality) that we believe are necessary conditions for a sustainable economic
system.
As mentioned above, our stewardship activities contribute to considering and addressing the different PAI. Through our engagement and proxy voting, we address topics
related to the 14 mandatory Corporates PAI (with the exception of PAI 12), the 3 voluntary Corporate PAI we selected, as well as the 2 Sovereign PAI. For example, for PAI
1, 2, 3, we are a member of the Climate Action 100+ initiative (CA100+), we advocate for Paris-aligned corporate climate lobbying, and we engage with portfolio companies
about their decarbonisation efforts. In terms of proxy voting, we consider the topics covered by PAI 1, 2, 3 through our voting activity on climate and environmental proposals(through shareholder or management proposals), but we also apply climate and environmental considerations to other key items on the agenda (see Section III. Voting
guidelines, Sub-section 5. Environmental and social proposals and considerations of our Governance & Voting Policy). For instance, by doing so, we oppose management
resolutions of companies that do not properly report on their carbon footprint, and we can support shareholder proposals that align with our ESG expectations (see Subsection 6. Shareholder Proposals). More details for each of the other PAI can be found in the appendix of the SFDR Disclosure Statement.
.
Our Stewardship approach is based on the following engagement strategies: (i) engagement linked to voting; (ii) thematic engagement, with a focus on the ‘3Es’; and (iii)
engagement linked to issuer performance. More details are available on each category in our 2024 Stewardship Policy.
Investor-issuer dialogue is the foundation of good stewardship, allowing for trusting relationships to be built over time and permitting solution-oriented discussions about
issues that might not otherwise be addressed. However, there are times when stronger measures are necessary to encourage a company to reform its practices, or even tocome to the table and discuss our concerns. Therefore, our stewardship approach includes provisions for escalation when engagement produces insufficient progress.. Insuch cases where more robust action is called for, we may, inter alia, voting against a company’s board discharge or elections or financial accounts, submitting private questions
to companies’ top management, submitting public questions, filing/ co-filing shareholder proposals at general meetings, rarely, but when deemed appropriate, announcing our
voting intentions ahead of time; and additional legal strategies.. As a last resort, we may divest entities that do not respond to engagement and show no sign that they willplace greater emphasis on sustainability in the future. These decisions are taken on a case-by-case basis, to ensure that our concerns have been properly heard and dealt
28 The EET is an initiative developed by FinDatEx which aims to exchange machine readable ESG data in relation to financial products in order to allow distributors and intermediaries to fulfill their own requirements

under SFDR and MiFID2.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 37

with. Our shareholder proposal filing strategy is approved by the Stewardship Committee once a year, as are specific decisions about filing each shareholder proposal (seeSub-section II.4. of the policy).
Each year we monitor the performance of issuers linked to the topics covered under the different PAI and take it into account when we review our engagement priorities
and proxy voting decisions. As an illustration, on PAI 1, we monitor the disclosure of GHG emissions by publicly listed corporates and apply sanction votes on key items attheir general meetings (Discharge of Board and Management / Board Re-elections / Financial Statements and Director and Auditor Reports) when they fail to disclose theirabsolute GHG emissions appropriately. On the engagement side, we consider the GHG emissions and related reduction targets, and we prioritize the dialogue withcompanies identified as the world’s largest GHG emitters as part of the Net Zero Company Benchmark. Our engagement focuses on the alignment of their climate strategy
with an ambition to achieve net-zero GHG emissions by 2050 or sooner, underpinned by credible decarbonisation strategies and intermediary targets, in line with global
efforts to limit warming to 1.5 degrees Celsius. Escalation measures taken on a case-by-case basis are based on the monitoring of their performance from year-to-year,
including opposition votes on key items at the general meetings, public statements, and filing shareholder proposals.
Please refer to our SFDR Disclosure Statement for more details.
References to international standards
BNPP AM recognises that in many situations addressing principal adverse impacts on society and the environment requires a collective effort. We also acknowledge that wecan be far more influential when working with others, and that we can benefit from partnering with organisations dedicated to the analysis, research or advocacy of individual
ESG issues.
BNPP AM is a signatory of the Net Zero Asset managers initiative and we aim to align our portfolio with the Paris agreement. This commitment underscores our treatment of
PAI 1 through 6. Concerning the environmental sustainability focus of PAI 7 through 9, our desire to consider and address these is underscored by the Nature Action 100
Initiative we are a member of and the Taskforce on Nature-related Financial Disclosures (TNFD) to which we are a deputy member.
The RBC Policy mentioned in step 1 “Policy Framework to Address Adverse Impacts”, illustrates a number of international standards that BNPP AM adheres to and which
may lead to the exclusion of companies active in certain sectors. In particular, PAIs numbers 4, 10 and 11 are at least partially considered and addressed by our RBC which
evaluates companies for exposure to coal, oil & gas, and violations of the OECD Principles for Multinational enterprises and the United Nations Global Compact. Finally, there
are numerous controversial weapon conventions that we adhere to that help us to consider and address PAI 14.
Beyond the standards and groups mentioned above, BNPP AM is active in a number of industry groups and collaborative engagement initiatives as outlined in our 2024
Stewardship Policy and annual sustainability report. These include, but are not limited to, the Principles for Responsible Investing, the Institutional Investors Group on Climate
Change (IIGCC), Climate Action 100+, Task Force on Climate-related Financial Disclosures (TCFD) and the Global Network Initiative. The full list of the initiatives we arepart of is available: here.
Details regarding the methodology and data used to assess the different PAI (and thereby the adherence to International Standards and alignment to Paris Agreement) can
be found in the section above and in our SFDR Disclosure Statement. In order to measure the alignment of our investments with the objectives of the Paris Agreement, we
decided to use a NZ:AAA (Achieving, Aligned or Aligning) framework which is based on various sources and classifies companies in categories depending on their level ofalignment with net zero. In particular, the Implied Temperature Rise indicator translates corporate GHG reduction targets into a projected global temperature change outcome

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 38

and is designed to translate greenhouse gas emissions pathways into predicted global temperature figures. This allows for a comparative evaluation of future emissions
targets based on the forecast temperature impact of those trends and targets. BNPP AM has selected the warming function based ITR of the CDP-WWF, which leverages
multiple scenarios for its ITR calculation. The full methodology for the CDP-WWF ITR can be found here: CDP-WWF methodology. This methodology uses multiple climate
scenarios coming from the Integrated Assessment Modelling Consortium (IAMC) (Huppman et al., 2018). Those scenarios are the ones used in IPCC Special Report on
Global Warming of 1.5°C. The scenarios cover a wide range of temperature outcomes, which may be classified based on global warming in 2100 compared to pre-industrial
temperatures. Their methodology assumes that there is a linear relationship between the change (slope) in common target metrics (e.g., absolute emissions; emissions
intensity of revenue or sold product) over specific timeframes relevant to corporate target setting horizons (e.g., 2020-2035) and the resulting global warming in 2100.
Historical comparison
Historical comparison is available on 2022 and 2023 since this is our second year of reporting.
We observe a stable trend for most of the PAIs, with PAI performance being very similar between 2023 and 2022. For few PAIs, we note a slighlty improved performance
which is encouraging though this trend needs to be confirmed thoughout the years. For PAIs 1, 2, 3, the very low data quality of scope 3 GHG emissions brings importantvolatility and makes historical comparison challenging.

PRINCIPAL ADVERSE SUSTAINABILITY IMPACTS STATEMENT | 06 2024 – 39

DISCLAIMER
The purpose of this document is to comply with the publication requirements of the article 4 of the REGULATION (EU) 2019/2088 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL
of 27 November 2019 on sustainability-related disclosures (SFDR) in the financial services sector and to provide transparency of adverse sustainability impacts at BNP PARIBAS ASSETMANAGEMENT Luxembourg level. This material is produced for information purposes only and does not constitute:
1. an offer to buy nor a solicitation to sell, nor shall it form the basis of or be relied upon in connection with any contract or commitment whatsoever or
2. investment advice or recommendation.
This document is published by BNP Paribas Asset Management Luxembourg SA, a management company governed by chapter 15 of the law of 17 December 2010 and an alternative investment
fund manager governed by the law of 12 July 2013 supervised by the Commission de Surveillance du Secteur Financier (CSSF) under number S00000608 and A00000763 respectively,
incorporated under the form of a société anonyme, with its registered office at 10, rue Edward Steichen, L-2540 Luxembourg, Grand-Duchy of Luxembourg, RCS Luxembourg B27605, and its
Website : www.bnpparibas-am.com (hereafter the “Company”).
All quantitative information included in the statement, unless otherwise stated, is not audited and is provided on the basis of an internal methodology which can include estimate. The use of
estimate data is specifically mentioned in the document.
Although this information is considered reliable and accurate, none of the members of the Company or its respective directors, officers, employees, partners, members or shareholders is
responsible for the accuracy or completeness of this information.
The information contained herein is based on the regulation requirements, internal methodology, subjective assumptions and data. This analysis and the resulting conclusions are the expressionof an opinion based on data available at a specific date. This information is therefore subjective and can be changed at any time without notice if considered necessary by the Company.
The Company is not obliged to update or alter the information or opinions contained within this material unless specific mandatory regulatory changes published afterwards affecting the present
disclosure. All policies referred to in the present document is available on www.bnpparibas-am.com.