PUBLIC TRANSPARENCY REPORT2023
BNP Paribas Asset Management
Generated 15-12-2023

About this report
PRI reporting is the largest global reporting project on responsible investment. It was developed with investors, for investors.
PRI signatories are required to report publicly on their responsible investment activities each year. In turn, they receive a number of
outputs, including a public and private Transparency Report.
The public Transparency Reports, which are produced using signatories’ reported information, provide accountability and support
signatories to have internal discussions about their practices and to discuss these with their clients, beneficiaries, and otherstakeholders.
This public Transparency Report is an export of the signatory’s responses to the PRI Reporting Framework during the 2023 reporting
period. It includes the signatory’s responses to core indicators, as well as responses to plus indicators that the signatory has agreed tomake public.
In response to signatory feedback, the PRI has not summarised signatories’ responses – the information in this document is presented
exactly as it was reported.
For each of the indicators in this document, all options selected by the signatory are presented, including links and qualitative
responses. In some indicators, all applicable options are included for additional context.

Disclaimers
Responsible investment definitions
Within the PRI Reporting Framework Glossary, we provide definitions for key terms to guide reporting on responsible investment
practices in the Reporting Framework. These definitions may differ from those used or proposed by other authorities and regulatory
bodies due to evolving industry perspectives and changing legislative landscapes. Users of this report should be aware of thesevariations, as they may impact interpretations of the information provided.

Data accuracy
This document presents information reported directly by signatories in the 2023 reporting cycle. This information has not been auditedby the PRI or any other party acting on its behalf. While this information is believed to be reliable, no representations or warranties are
made as to the accuracy of the information presented.
The PRI has taken reasonable action to ensure that data submitted by signatories in the reporting tool is reflected in their official PRI
reports accurately. However, it is possible that small data inaccuracies and/or gaps remain, and the PRI shall not be responsible or
liable for such inaccuracies and gaps.

2

Table of Contents
ModulePage

SENIOR LEADERSHIP STATEMENT (SLS)

4

ORGANISATIONAL OVERVIEW (OO)

8

POLICY, GOVERNANCE AND STRATEGY (PGS)28

MANAGER SELECTION, APPOINTMENT AND MONITORING (SAM)79

LISTED EQUITY (LE)97

FIXED INCOME (FI)108

SUSTAINABILITY OUTCOMES (SO)122

CONFIDENCE-BUILDING MEASURES (CBM)

163

3

SENIOR LEADERSHIP STATEMENT (SLS)SENIOR LEADERSHIP STATEMENTSENIOR LEADERSHIP STATEMENT
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SLS 1

CORE

N/A

N/A

PUBLIC

Senior LeadershipStatement

GENERAL

Section 1. Our commitment■ Why does your organisation engage in responsible investment?
■ What is your organisation's overall approach to responsible investment, and what major responsible investmentcommitment(s) have you made?
Climate change, growing social inequality and environmental damage caused by human activity can have a severe impact on theperformance of companies in which asset management companies invest. To successfully meet today’s challenges and ensure a
prosperous and sustainable economy for tomorrow, long-term investors have a role to play by using the leverage that their investments
and their voices bring to influence companies’ practices. At BNP Paribas Asset Management (BNPP AM), we believe that if the financial
sector takes better account of social and environmental externalities, it will deliver value to clients while helping to make the global
economy more sustainable. BNPP AM takes its share of responsibility in playing a role as a driving force behind this transformation. To
achieve this, we work with our clients today to meet tomorrow’s challenges and contribute to a more sustainable economic future.

Our approach to sustainability is built on six pillars. Together, this approach strengthens the way we invest, including how we generate
investment ideas, construct portfolios, control for risk and engage with companies and markets. It is designed to respond to the diverse
needs of our broad client base while protecting their interests.
1.
ESG integration: the process to integrate ESG within our investment strategies is supported by our ESG Integration Guidelines. Oureligible portfolios aim to have a higher weighted average ESG score and a lower carbon footprint than the relevant investment
benchmark or universe.
As a result of our robust and consistent approach, 89% of our public open-ended fund range was classified under the new EU
Sustainable Finance Disclosure Regulation (SFDR) as Article 8 9 funds as of December 2022. Our target is for 90% of the assets of
our European-domiciled open-ended funds to incorporate ESG criteria according to the Sustainable Finance Disclosure Regulation(classified as article 8 or 9) by 2025.
2. Stewardship: our Proxy Voting Governance Principles underpin our voting strategy, leading us to vote against management
approximately 30% of the time. We supplement this with determined company engagement (including via collaborative initiatives, forinstance Climate Action 100+) and public policy advocacy (for example, in Asia, we are involved in 10 regulatory and public policy
groups). Our Voting policy, Stewardship policy and public policy strategy are available here, further describing our commitments:
https://www.bnpparibas-am.com/en/sustainability-documents/.
3. Responsible Business Conduct and sector-based exclusions: our Responsible Business Conduct policy outlines expectations forcompany behaviour on key topics such as human rights and the environment, as well as companies’ involvement in sensitive sectors.
Responsible business conduct is a high priority for us, and we expect all companies to meet their fundamental obligations in human andlabour rights, environmental protection and anti-corruption safeguards. We engage with those when they fall short and exclude the worst
offenders.

4We also exclude a number of sectors unacceptably harmful to society and the environment such as tobacco, controversial weapons,
unconventional oil and gas, coal or asbestos.
4. Forward-looking perspective – the ‘3Es’: we have embraced our role as a ‘future maker’, using our influence and our investments totackle three key issues: Energy transition, Environmental sustainability and Equality inclusive growth. These themes guide ourstrategic research, stewardship and thematic investing innovation. For instance, in 2021 we launched a market leading biodiversity
roadmap, which details our plan to embed biodiversity considerations across all the pillars of our sustainable investing approach.
In 2022, we published our Net Zero Roadmap where we disclosed 10 commitments to the Net Zero Asset Manager Initiative (covering
our investments, stewardship and operations) including reducing the carbon footprint of investment portfolios for in-scope holdings by
30% in 2025 and by 50% in 2030.
5. Investment solutions for sustainability: We offer a range of investment solutions with additional sustainability objectives:
Strategies receiving one or several labels or promoting environmental and/or social characteristics (delivered by independent
organisations, such as ‘Label ISR’ in France)
Sustainable thematic strategies across multiple asset classes, addressing themes such as climate change and the environment,
natural capital, and inclusive growth
Impact strategies, as covered by our commitment to the Operating Principles for Impact Management (OPIM)
6.
CSR (Corporate Social Responsibility): as a sustainable asset manager, fostering a sustainable culture is key to our strategy, we aim forour corporate practices and disclosures to match or exceed the standards we expect from the entities in which we invest.

Section 2. Annual overview■ Discuss your organisation’s progress during the reporting year on the responsible investment issue you consider most
relevant or material to your organisation or its assets.
■ Reflect on your performance with respect to your organisation’s responsible investment objectives and targets during thereporting year. Details might include, for example, outlining your single most important achievement or describing your generalprogress on topics such as the following (where applicable):• refinement of ESG analysis and incorporation• stewardship activities with investees and/or with policymakers• collaborative engagements• attainment of responsible investment certifications and/or awards
Sustainability is embedded at the heart of our investment strategy and 2022 was a dynamic year for sustainability-focused investors.
Markets were impacted by the conflict in Ukraine, concerns about energy security and rising prices. At the same time, investors needed
to manage the complexities of implementing the latest phase of the Sustainable Finance Disclosure Regulation (SFDR). Against thisbackdrop, we stayed focused on our mission: delivering sustainable returns to our clients. Indeed, increasingly, we find that our clients
share our passion for sustainability, engaging with us in discussions about our net zero roadmap, asking for our insights on biodiversity,or exchanging approaches on how to catalyse greater diversity within investee companies.
This is not an accident: our clients increasingly choose to work with us in part based on our sustainability credentials. This, in turn,reinforces our commitment to evolve our ambition, processes and results.
We also strengthened our ties across the BNP Paribas organisation, itself a rich source of sustainability ambition and intellectual capital.
One example is the newly unified Private Assets business unit within Asset Management, which brings together teams focused on
corporate financing, real assets, and private market funds, using sustainability as a guiding principle. Looking ahead, we are excited tolaunch the sequel to our Global Sustainability Strategy, published in 2019, later this year.

5It will focus on our core differentiators: putting sustainability at the heart of our culture; exercising a bold stewardship strategy; andutilising a science-based, transparent approach to sustainability research and implementation. Our implementation of SFDR reflects
this.
Finally, our strategy looks inward, exploring how we can continue to support our teams with training on sustainability, communicate
clearly to clients about our sustainability activities, and evolve our state-of-the-art Environmental, Social and Governance (ESG) data
and research platform.
We are pleased to see growing industry recognition for our work, from being ranked first in the study ‘Fulfilling the Promise’ conductedby Majority Action to ranking 2nd among the world’s 77 largest asset managers across responsible investment themes in ShareAction’s‘Point of No Returns report’, to receiving numerous awards such as the best ESG/SRI Provider of the Year by European Pensions.
Over the last 12 months, we led several projects, notably to deepen our focus on three key issues:•
Energy transition: As a signatory to the Net Zero Asset Managers initiative,we published our Net Zero Roadmap in November
2022, covering the progressive alignment of our portfolio investments with the goal of reaching net zero emissions, together withassociated efforts across its stewardship activities and our operations.
•
Environmental Sustainability:–
In 2021 we launched a market leading biodiversity roadmap.
This includes an innovative partnership with CDP to develop biodiversity corporate reporting metrics, thus helping investors to better
assess biodiversity impacts. A year after releasing our biodiversity roadmap, we published in July 2022 the first results of our research
to determine the biodiversity footprint of our investments, following a collaboration with Iceberg Data Lab and I Care & Consult.
–
We are founding a project to develop biodiversity corporate reporting metrics, ensuring the relevance and usefulness of biodiversity
corporate reporting to both financial institutions and policymakers, we recently provided funding to CDP, the not-for-profit that runs theworld’s environmental disclosure system for companies, to introduce new questions linked to nature-loss and biodiversity in theirresearch questionnaires. According to new data released by CDP, a majority of companies worldwide are not translating commitmentson biodiversity to action.
This is in spite of promising findings, which show corporate readiness to disclose on biodiversity).
•
Equality & Inclusive Growth: BNPP AM conducted a global study of the number of women on boards ahead of the 2022 AGM
season. The study demonstrates the effectiveness of BNPP AM’s voting policy and shareholder dialogue.
We also worked in partnership with Matter, a Danish fintech specialising in sustainability insights, to launch ‘SDG Fundamentals’, aninnovative data solution.
This new dataset enables investors to analyse the extent to which company revenues are aligned – or misaligned – with the targets of
the 17 United Nations Sustainable Development Goals (‘SDGs’). This methodological work with Matter provides investors withactionable information on what constitutes company alignment to the targets underpinning the 17 SDG Goals. It is also part of a wider
push towards increased data breadth, quality and standards through industry collaboration.

Section 3. Next steps■ What specific steps has your organisation outlined to advance your commitment to responsible investment in the next two
years?
Our 2022-2025 ambitions are the following:
In the near term:• Sustainable culture: Translate our strong focus on CSR and sustainability culture to our external brand.
o E.g. We work with the CFA Institute to support industry training and education.

6

BNPP AM and the CFA Institute launched an e-learning primer to build ESG skills and increase sustainability knowledge andawareness. This is part of an ongoing partnership with the CFA institute that started with the award-winning Sustainable Investing
Gameshow. The e-learning module is available to BNPP AM’s clients and staff, and was jointly developed with CFA Institute.
• Bold stewardship: Maintain and build our position as a stewardship leader with robust and credible policies and outcomes.
Build our focus on policy advocacy. Enhance collaboration with investment teams.
o E.g. Our Governance and Voting Policy underpins our strategy, leading us to vote against management about 30% of the time. Our
voting covers more than 90% of our holdings by value each year and we vote at around 1,900 annual general meetings (AGMs).
We modified our policy to use our voting rights to help achieve our climate change, biodiversity diversity commitments (e.g.: we
opposed 50% of director elections based on our gender diversity policy). We have a strong 90% average support to climate change
proposals and each year we file shareholder proposals on climate lobbying. This has been recognised externally for instance, BNPPAM ranked 3rd among 68 of the world’s largest asset managers in the ShareAction Voting Matters 2022 report for our voting on socialand environmental resolutions.
• Science-led and transparent: Underpin ESG methodologies with robust scientific and academic models, with data and control
processes.
Communicate clear proof points detailing our approach to ESG integration, SFDR, Net Zero and Impact.
o E.g. We continue to implement our ESG Data Programme to support effectively developing and deploying our various researchmethodologies. Through this programme we are developing robust internal capabilities to clean and manipulate data that can be used tosupport investment analysis, portfolio construction and measurement and reporting.
The functional relationship between our Sustainability Centre, Quantitative Research Group, Digital and IT teams is critical to our ability
to develop and maintain our proprietary and third-party ESG datasets and deliver the results to our investment teams, clients andregulators.
In the mid-term:• Emerging market focus: Use our large and growing presence in Emerging markets/Asia as a positive force towards achieving a net
zero, sustainable and equitable transformation in the global economy.
• Tangible impact: Evolve our framing of impact investment to meet this demand in a credible way: in terms of individual strategies aswell as our impact as a firm.
Some of our internal priorities:• ESG Data Program: Ensure high quality, multifaceted data (ESG Scores, carbon, SFDR indicators, SDGs, etc.) is available to meet therange of use cases (measurement and regulatory alignment, external reporting (fund and firm-wide), product development, custom
client solutions etc).
o E.g. We recently launched our proprietary Sustainable Development Goals (SDG) scoring framework. Similar to our approach around
ESG scoring, we wanted more insight into the SDG performance of researched companies than we could obtain from off-the-shelf thirdparty data solutions. The SDG framework embedded in our SDG model provides granularity at the SDG Target level and assesses thealignment or misalignment of company revenues at the business line or activity level.
This information informs our Sustainable Investment determination, which is critical for Article 9 portfolio construction and security
selection.
• Education: continue to roll out our Sustainability Academy @AM and develop learning programs within our BNPP AM Investment
Academy.
o E.g.
In 2022, we formalised our approach to sustainability education by developing a sustainability education strategy and launching the
Sustainability Academy @AM. This involved developing six different training paths for our employees depending on the level ofsustainability knowledge they require in their roles. Each training path requires between 4 and 15 hours to complete with certain
employee populations needing to complete an external certification in addition to this. We rolled out these training paths to all
employees in 2022 and completion of the training was formalised into many of our employees development plans for 2023.
We are pleased with the level of uptake of the training strategy with employees spending on average 3 hours and 13 minutes on internalsustainability-related training in 2022.
h the level of uptake of the training strategy with employees spending on average 3 hours and 13 minutes on internal sustainabilityrelated training in 2022.

7

Section 4. Endorsement'The Senior Leadership Statement has been prepared and/or reviewed by the undersigned and reflects ourorganisation-wide commitment and approach to responsible investment'.
Name
Jane Ambachtsheer

Position
Global Head of Sustainability

Organisation’s Name
BNP Paribas Asset Management◉A'This endorsement applies only to the Senior Leadership Statement and should not be considered an endorsement of
the information reported by the above-mentioned organisation in the various modules of the Reporting Framework.
The Senior Leadership Statement serves as a general overview of the above-mentioned organisation's responsible
investment approach. The Senior Leadership Statement does not constitute advice and should not be relied upon as
such. Further, it is not a substitute for the skill, judgement and experience of any third parties, their management,
employees, advisors and/or clients when making investment and other business decisions'.
○ B

ORGANISATIONAL OVERVIEW (OO)
ORGANISATIONAL INFORMATIONREPORTING YEAR
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 1

CORE

N/A

N/A

PUBLIC

Reporting year

GENERAL

What is the year-end date of the 12-month period you have chosen to report for PRI reporting purposes?

Year-end date of the 12-month
period for PRI reporting purposes:

Date

Month

Year

31

12

2022

8

SUBSIDIARY INFORMATION
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 2

CORE

N/A

OO 2.1

PUBLIC

Subsidiary
information

GENERAL

Does your organisation have subsidiaries?
◉ (A) Yes
○ (B) No
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 2.1CORE

OO 2

OO 2.2

PUBLIC

Subsidiary
information

GENERAL

Are any of your organisation’s subsidiaries PRI signatories in their own right?
○ (A) Yes
◉ (B) NoASSETS UNDER MANAGEMENTALL ASSET CLASSES
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 4

CORE

OO 3

N/A

PUBLICAll asset classes

GENERAL

What are your total assets under management (AUM) at the end of the reporting year, as indicated in [OO 1]?

9

USD(A) AUM of your organisation,
including subsidiaries, andexcluding the AUM subject toexecution, advisory, custody, or
research advisory only

US$ 536,278,000,000.00(B) AUM of subsidiaries that are
PRI signatories in their own rightand excluded from thissubmission, as indicated in [OO
2.2]

US$ 0.00(C) AUM subject to execution,
advisory, custody, or researchadvisory only

US$ 127,821,000,000.00

ASSET BREAKDOWN
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 5

CORE

OO 3

Multiple
indicators

PUBLICAsset
breakdown

GENERAL

Provide a percentage breakdown of your total AUM at the end of the reporting year as indicated in [OO 1].
(1) Percentage of Internally managed AUM(2) Percentage of Externally managed AUM(A) Listed equity

17.303%

4.49%(B) Fixed income

47.024%

0.79%(C) Private equity

0.111%

0%(D) Real estate0%0%(E) Infrastructure0%0%(F) Hedge funds

0%0%(G) Forestry

0%

0%

10

(H) Farmland

0%0%(I) Other

28.561%

1.72%(J) Off-balance sheet0%0%(I) Other - (1) Percentage of Internally managed AUM - Specify:
Balanced, Alternatives and Convertible Bonds(I) Other - (2) Percentage of Externally managed AUM - Specify:
Balanced, Alternatives and Convertible Bonds

ASSET BREAKDOWN: EXTERNALLY MANAGED ASSETS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 5.1CORE

OO 5

Multiple

PUBLIC

Asset breakdown:
Externally managed
assetsGENERAL

Provide a further breakdown of your organisation’s externally managed listed equity and/or fixed income AUM.

(1) Listed equity(2) Fixed income SSA(3) Fixed income corporate(4) Fixed income securitised(5) Fixed income private debt

(A) Active

98.7%

9.9%

90.1%

0%

0%

(B)
Passive

1.3%

0%

0%

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 5.2CORE

OO 5, OO 5.1

SAM 3,SAM 8

PUBLIC

Asset breakdown:
Externally managed
assetsGENERAL

Provide a breakdown of your organisation’s externally managed AUM between segregated mandates and pooled funds orinvestments.

11(1) Segregated mandate(s)(2) Pooled fund(s) or pooled
investment(s)(A) Listed equity - active

13.1%

86.9%

(B) Listed equity - passive

0%

100%

(C) Fixed income - active

82.57%

17.43%ASSET BREAKDOWN: INTERNALLY MANAGED LISTED EQUITY
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 5.3 LE

CORE

OO 5

Multiple

PUBLIC

Asset breakdown:Internally managed
listed equity

GENERAL

Provide a further breakdown of your internally managed listed equity AUM.
(A) Passive equity

31.03%(B) Active – quantitative

13.66%(C) Active – fundamental

55.31%(D) Other strategies

0%

ASSET BREAKDOWN: INTERNALLY MANAGED FIXED INCOME
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 5.3 FI

CORE

OO 5

Multiple

PUBLIC

Asset breakdown:Internally managed
fixed income

GENERAL

Provide a further breakdown of your internally managed fixed income AUM.
(A) Passive – SSA

0%

12

(B) Passive – corporate

3.79%(C) Active – SSA

51.31%(D) Active – corporate

35.91%(E) Securitised

1.82%(F) Private debt

7.17%

ASSET BREAKDOWN: INTERNALLY MANAGED PRIVATE EQUITY
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 5.3 PE

CORE

OO 5

N/A

PUBLIC

Asset breakdown:Internally managed
private equity

GENERAL

Provide a further breakdown of your internally managed private equity AUM.
(A) Venture capital

7%(B) Growth capital0%(C) (Leveraged) buy-out0%(D) Distressed, turnaround or
special situations

0%(E) Secondaries

0%(F) Other

93%(F) Other - Specify:
Other assets are in private equity and private debt fund of funds.

13

MANAGEMENT BY PRI SIGNATORIES
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 6

CORE

OO 5

N/A

PUBLICManagement by PRI
signatories

GENERAL

What percentage of your organisation’s externally managed assets are managed by PRI signatories?
95%

GEOGRAPHICAL BREAKDOWN
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 7

CORE

Multiple, seeguidance

N/A

PUBLIC

Geographicalbreakdown

GENERAL

How much of your AUM in each asset class is invested in emerging markets and developing economies?
AUM in Emerging Markets and Developing Economies(A) Listed equity(2) >0 to 10%(B) Fixed income – SSA(2) >0 to 10%(C) Fixed income – corporate(2) >0 to 10%(D) Fixed income – securitised(1) 0%(E) Fixed income – private debt

(1) 0%(F) Private equity(1) 0%

14

STEWARDSHIPSTEWARDSHIP
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 8

CORE

Multiple, seeguidance

Multiple
indicators

PUBLIC

Stewardship

GENERAL

Does your organisation conduct stewardship activities, excluding (proxy) voting, for any of your assets?
(1) Listed
equity active(2) Listed
equity passive(3) Fixed
income active(4) Fixed
income passive(5) Private
equity(11) Other(A) Yes, through internal staff

☑

☑

☑

☑

☑

☑

(B) Yes, through service providers

☐

☐

☐

☐

☐

☐

(C) Yes, through external managers

☑

☐

☐

☐

☐

☐

(D) We do not conduct stewardship

○

○

○

○

○

○

STEWARDSHIP: (PROXY) VOTING
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 9

CORE

Multiple, seeguidance

Multiple
indicators

PUBLIC

Stewardship:(Proxy) voting

GENERAL

Does your organisation conduct (proxy) voting activities for any of your listed equity holdings?

15

(1) Listed equity - active(2) Listed equity - passive(A) Yes, through internal staff☑

☑

(B) Yes, through service providers☐☐(C) Yes, through externalmanagers☑

☐(D) We do not conduct (proxy)
voting○○Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 9.1CORE

OO 9

PGS 10.1,
PGS 31

PUBLIC

Stewardship:(Proxy) voting

GENERALFor each asset class, on what percentage of your listed equity holdings do you have the discretion to vote?
Percentage of your listed equity holdings over which you have the discretion tovote(A) Listed equity – active(10) >80 to 90%(B) Listed equity - passive(10) >80 to 90%

16ESG INCORPORATIONINTERNALLY MANAGED ASSETS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 11

CORE

Multiple, seeguidance

Multiple
indicators

PUBLICInternallymanaged assets

1

For each internally managed asset class, does your organisation incorporate ESG factors into your investment
decisions?
(1) Yes, we incorporate ESG factors
into our investment decisions(2) No, we do not incorporate ESG
factors into our investment decisions(A) Listed equity - passive◉○(B) Listed equity - active quantitative◉○(C) Listed equity - active fundamental◉○(E) Fixed income - SSA◉○(F) Fixed income - corporate◉○(G) Fixed income - securitised◉○(H) Fixed income - private debt◉○(I) Private equity◉○(V) Other: Balanced, Alternatives
and Convertible Bonds

◉

○

17

EXTERNAL MANAGER SELECTION
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 12

CORE

OO 5, OO 5.1

Multiple
indicators

PUBLIC

External manager
selection

1

For each externally managed asset class, does your organisation incorporate ESG factors when selecting external
investment managers?
(1) Yes, we incorporate ESG factors
when selecting external investment
managers(2) No, we do not incorporate ESG
factors when selecting external
investment managers(A) Listed equity - active◉○(B) Listed equity - passive◉○(C) Fixed income - active◉○(K) Other: Balanced, Alternatives
and Convertible Bonds◉○

EXTERNAL MANAGER APPOINTMENT
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 13

CORE

OO 5, OO 5.1

Multiple
indicators

PUBLIC

External manager
appointment

1

For each externally managed asset class, does your organisation incorporate ESG factors when appointing external
investment managers?

18

(1) Yes, we incorporate ESG factors
when appointing external investment
managers(2) No, we do not incorporate ESG
factors when appointing external
investment managers(A) Listed equity - active◉○(B) Listed equity - passive◉○(C) Fixed income - active◉○(K) Other: Balanced, Alternatives
and Convertible Bonds◉○

EXTERNAL MANAGER MONITORING
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 14

CORE

OO 5, OO 5.1

Multiple
indicators

PUBLIC

External manager
monitoring1

For each externally managed asset class, does your organisation incorporate ESG factors when monitoring external
investment managers?
(1) Yes, we incorporate ESG factors
when monitoring external investment
managers(2) No, we do not incorporate ESG
factors when monitoring external
investment managers(A) Listed equity - active◉○(B) Listed equity - passive◉○(C) Fixed income - active◉○(K) Other: Balanced, Alternatives
and Convertible Bonds

◉

○

19

ESG IN OTHER ASSET CLASSES
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 15

CORE

OO 11, OO 12–
14

N/A

PUBLICESG in other asset
classes1

Describe how your organisation incorporates ESG factors into the following asset classes.
Internally managed(C) Other
We apply the following ESG integration process:Idea generation: Proprietary screening for companies with a combination of sustainable quality, business momentum and valuation
Step 1. Idea generation:
Exclusion list
All stocks specified by the Sustainability Centre and/or specified by regulators and clients
Step 2: stock selection•
ESG scores are monitored through Aladdin and ZOOM•ESG section written in each investment case
Step 3: Portfolio Construction and risk management
The main difference between Convertibles and Listed Equities approach for ESG integration is that:
1. although there is an absolute ESG score check when selecting convertible bonds, it is not the main driver for convertible bondselection.
Whereas for active stock-picking strategies, in “step 2: stock selection” an ESG section is written for each investment case (Seebelow).
2. Portfolio construction and BTB/BBTIU rule (better-than-benchmark or better-than-investment-universe) is main driver for toconstruct portfolios with more positive ESG characteristics than their respective benchmarks/investment universe.

Externally managed(F) Other
We incorporate ESG factors in the selection of external fund managers and in the selection of funds for the (Fundquest) buylists.
Our objective is to invest as far as possible in SFDR8 or more products.

20

ESG STRATEGIESLISTED EQUITY
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 17 LE

CORE

OO 11

OO 17.1 LE, LE 12

PUBLIC

Listed equity

1

Which ESG incorporation approach and/or combination of approaches does your organisation apply to your internallymanaged active listed equity?
Percentage out of total internally managed active listed equity(A) Screening alone

13.41%(B) Thematic alone

0%(C) Integration alone

0%(D) Screening and integration

44.28%(E) Thematic and integration

0%(F) Screening and thematic

0%(G) All three approaches combined

28.34%(H) None

13.97%

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 17.1 LE

CORE

OO 17 LELE 9

PUBLIC

Listed equity

1

What type of screening does your organisation use for your internally managed active listed equity assets where ascreening approach is applied?

21

Percentage coverage out of your total listed equity assets where a screening
approach is applied(A) Positive/best-in-classscreening only

0%(B) Negative screening only

20.75%(C) A combination of screening
approaches

79.25%FIXED INCOME
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 17 FI

CORE

OO 5.3 FI, OO
11Multiple, seeguidance

PUBLIC

Fixed
income1Which ESG incorporation approach and/or combination of approaches does your organisation apply to your internallymanaged active fixed income?

(1) Fixed income - SSA(2) Fixed income corporate(3) Fixed income securitised(A) Screening alone

24.85%

23.29%

0%(B) Thematic alone

0%

0%

0%

(C) Integration alone

0%

0%

0%

(D) Screening and integration

75.15%

39.68%

87.96%(E) Thematic and integration

0%

0%

0%

(F) Screening and thematic

0%

0%

0%

(G) All three approaches combined

0%

0.03%

0%

(H) None

0%37%

12.04%

22

IndicatorType of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 17.1 FI

CORE

OO 17 FI

N/A

PUBLIC

Fixed income

1

What type of screening does your organisation use for your internally managed active fixed income where a screening
approach is applied?

(1) Fixed income - SSA(2) Fixed income corporate(3) Fixed income securitised(A) Positive/best-in-class screening
only

0%

0%

0%

(B) Negative screening only

11.09%

36.97%0%(C) A combination of screening
approaches

88.91%

63.03%

100%

ESG/SUSTAINABILITY FUNDS AND PRODUCTSLABELLING AND MARKETING
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 18

CORE

OO 11–14

OO 18.1

PUBLIC

Labelling andmarketing1

Do you explicitly market any of your products and/or funds as ESG and/or sustainable?
◉ (A) Yes, we market products and/or funds as ESG and/or sustainable
Provide the percentage of AUM that your ESG and/or sustainability-marketed products or funds represent:
50.63%○ (B) No, we do not offer products or funds explicitly marketed as ESG and/or sustainable○ (C) Not applicable; we do not offer products or funds
Additional information: (Voluntary)
As of end 2022, 50.63% of our AUM were Article 8 (Promoting environmental and/or social characteristics, for example having an ESG
score better than investment universe); receiving one or several labels (delivered by independent organisations, such as ‘Label ISR’ in
France); or Article 9 (having a sustainable investment objective, for example sustainable thematic strategies)

23

IndicatorType of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 18.1

CORE

OO 18

OO 18.2

PUBLIC

Labelling andmarketing1

Do any of your ESG and/or sustainability-marketed products and/or funds hold formal ESG and/or RI certification(s) orlabel(s) awarded by a third party?
◉ (A) Yes, our ESG and/or sustainability-marketed products and/or funds hold formal labels or certifications
Provide the percentage of AUM that your labelled and/or certified products and/or funds represent:
24.36%○ (B) No, our ESG and/or sustainability-marketed products and/or funds do not hold formal labels or certifications
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 18.2

CORE

OO 18.1

N/A

PUBLIC

Labelling andmarketing1

Which ESG/RI certifications or labels do you hold?
☐ (A) Commodity type label (e.g. BCI)
☐ (B) GRESB☐ (C) Austrian Ecolabel (UZ49)☐ (D) B Corporation☐ (E) BREEAM☐ (F) CBI Climate Bonds Standard☐ (G) DDV-Nachhaltigkeitskodex-ESG-Strategie☐ (H) DDV-Nachhaltigkeitskodex-ESG-Impact☐ (I) EU Ecolabel☐ (J) EU Green Bond Standard☑ (K) Febelfin label (Belgium)☐ (L) Finansol☐ (M) FNG-Siegel Ecolabel (Germany, Austria and Switzerland)☐ (N) Greenfin label (France)☐ (O) Grüner Pfandbrief☐ (P) ICMA Green Bond Principles☐ (Q) ICMA Social Bonds Principles☐ (R) ICMA Sustainability Bonds Principles☐ (S) ICMA Sustainability-linked Bonds Principles☐ (T) Kein Verstoß gegen Atomwaffensperrvertrag☑ (U) Le label ISR (French government SRI label)☐ (V) Luxflag Climate Finance☐ (W) Luxflag Environment☑ (X) Luxflag ESG☐ (Y) Luxflag Green Bond
☐ (Z) Luxflag Microfinance☐ (AA) Luxflag Sustainable Insurance Products☐ (AB) National stewardship code
☐ (AC) Nordic Swan Ecolabel☐ (AD) Other SRI label based on EUROSIF SRI Transparency Code (e.g. Novethic)24☐ (AE) People’s Bank of China green bond guidelines☐ (AF) RIAA (Australia)☑ (AG) Towards Sustainability label (Belgium)☐ (AH) OtherPASSIVE INVESTMENTS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 19

CORE

OO 5.3 FI, OO
11

LE 8, FI 10

PUBLIC

Passiveinvestments

1

What percentage of your total internally managed passive listed equity and/or fixed income passive AUM utilise an ESG
index or benchmark?
Percentage of AUM that utilise an ESG index or benchmark(A) Listed equity - passive

71%(B) Fixed income - passive

98%

THEMATIC BONDS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 20

CORE

OO 17 FIFI 15, FI 17

PUBLIC

Thematic bonds

1

What percentage of your total environmental and/or social thematic bonds are labelled by the issuers in accordance withindustry-recognised standards?
Percentage of your total environmental and/or social thematic bonds labelled by
the issuers(A) Green or climate bonds

76.5%(B) Social bonds

15%(C) Sustainability bonds

8.5%(D) Sustainability-linked bonds

0%25

(E) SDG or SDG-linked bonds

0%(F) Other0%(G) Bonds not labelled by theissuer0%

SUMMARY OF REPORTING REQUIREMENTS
SUMMARY OF REPORTING REQUIREMENTS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 21

CORE

Multiple
indicators

Multiple
indicators

PUBLIC

Summary ofreportingrequirements

GENERAL

The following table shows which modules are mandatory or voluntary to report on in the separate PRI asset classmodules. Where a module is voluntary, indicate if you wish to report on it.
(1) Mandatory to report(pre-filled based on
previous responses)(2.1) Voluntary to report.
Yes, I want to opt-in toreporting on the module(2.2) Voluntary to report.
No, I want to opt-out ofreporting on the module

Policy, Governance and Strategy

◉

○

○

Confidence Building Measures

◉

○

○

(A) Listed equity – passive

◉

○

○

(B) Listed equity – active –quantitative

◉

○

○

(C) Listed equity – active –fundamental

◉

○

○

(E) Fixed income – SSA

◉

○

○

(F) Fixed income – corporate

◉

○

○

Applicable modules

26

(G) Fixed income – securitised

◉

○

○

(H) Fixed income – private debt

◉

○

○

(I) Private equity

○

○

◉

(T) External manager selection,
appointment and monitoring (SAM)– listed equity - active

◉

○

○

(U) External manager selection,
appointment and monitoring (SAM)– listed equity - passive

◉

○

○

(V) External manager selection,
appointment and monitoring (SAM)– fixed income - active

○

○

◉

SUBMISSION INFORMATIONREPORT DISCLOSURE
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

OO 32

CORE

OO 3, OO 31

N/A

PUBLIC

Report disclosure

GENERAL

How would you like to disclose the detailed percentage figures you reported throughout the Reporting Framework?
◉ (A) Publish as absolute numbers○ (B) Publish as ranges

27

POLICY, GOVERNANCE AND STRATEGY (PGS)
POLICYRESPONSIBLE INVESTMENT POLICY ELEMENTS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 1

CORE

OO 8, OO 9Multiple
indicators

PUBLIC

Responsible
investment policy
elements

1, 2Which elements are covered in your formal responsible investment policy(ies)?
☑ (A) Overall approach to responsible investment☑ (B) Guidelines on environmental factors☑ (C) Guidelines on social factors☑ (D) Guidelines on governance factors☑ (E) Guidelines on sustainability outcomes☑ (F) Guidelines tailored to the specific asset class(es) we hold
☑ (G) Guidelines on exclusions☑ (H) Guidelines on managing conflicts of interest related to responsible investment☑ (I) Stewardship: Guidelines on engagement with investees☑ (J) Stewardship: Guidelines on overall political engagement☑ (K) Stewardship: Guidelines on engagement with other key stakeholders☑ (L) Stewardship: Guidelines on (proxy) voting☐ (M) Other responsible investment elements not listed here
○ (N) Our organisation does not have a formal responsible investment policy and/or our policy(ies) do not cover any responsible
investment elements
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 2

CORE

PGS 1

Multiple, seeguidance

PUBLIC

Responsible
investment policy
elements

1

Does your formal responsible investment policy(ies) include specific guidelines on systematic sustainability issues?
☑ (A) Specific guidelines on climate change (may be part of guidelines on environmental factors)☑ (B) Specific guidelines on human rights (may be part of guidelines on social factors)☑ (C) Specific guidelines on other systematic sustainability issues
Specify:
Biodiversity○ (D) Our formal responsible investment policy(ies) does not include guidelines on systematic sustainability issues

28

IndicatorType of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 3

CORE

PGS 1, PGS 2

N/APUBLIC

Responsible
investment policy
elements

6

Which elements of your formal responsible investment policy(ies) are publicly available?
☑ (A) Overall approach to responsible investment
Add link:
https://docfinder.bnpparibas-am.com/api/files/2818EAAE-D3CF-4482-A3BA-A2EA898AFD0D☑ (B) Guidelines on environmental factors
Add link:
https://docfinder.bnpparibas-am.com/api/files/2818EAAE-D3CF-4482-A3BA-A2EA898AFD0D☑ (C) Guidelines on social factors
Add link:
https://docfinder.bnpparibas-am.com/api/files/2818EAAE-D3CF-4482-A3BA-A2EA898AFD0D☑ (D) Guidelines on governance factors
Add link:
https://docfinder.bnpparibas-am.com/api/files/2818EAAE-D3CF-4482-A3BA-A2EA898AFD0D☑ (E) Guidelines on sustainability outcomes
Add link:
https://docfinder.bnpparibas-am.com/api/files/2818EAAE-D3CF-4482-A3BA-A2EA898AFD0D☑ (F) Specific guidelines on climate change (may be part of guidelines on environmental factors)
Add link:
https://docfinder.bnpparibas-am.com/api/files/F5EE3377-26CE-4DFD-B770-DBD29323D78B☑ (G) Specific guidelines on human rights (may be part of guidelines on social factors)
Add link:
https://docfinder.bnpparibas-am.com/api/files/2818EAAE-D3CF-4482-A3BA-A2EA898AFD0D☑ (H) Specific guidelines on other systematic sustainability issues
Add link:
https://docfinder.bnpparibas-am.com/api/files/940B42EF-AFFF-4C89-8C32-D9BFBA72BF24☑ (I) Guidelines tailored to the specific asset class(es) we hold
Add link:
https://docfinder.bnpparibas-am.com/api/files/517E383E-5094-4908-A7CB-A0C0795C0288☑ (J) Guidelines on exclusions
Add link:
https://docfinder.bnpparibas-am.com/api/files/D8E2B165-C94F-413E-BE2E-154B83BD4E9B☑ (K) Guidelines on managing conflicts of interest related to responsible investment

29

Add link:
https://docfinder.bnpparibas-am.com/api/files/4325252A-11B4-45A4-AEB1-89BD05503BBF☑ (L) Stewardship: Guidelines on engagement with investees
Add link:
https://docfinder.bnpparibas-am.com/api/files/4325252A-11B4-45A4-AEB1-89BD05503BBF☑ (M) Stewardship: Guidelines on overall political engagement
Add link:
https://docfinder.bnpparibas-am.com/api/files/1E2A036B-5F2C-4CE1-B6F2-12648D5778B0☑ (N) Stewardship: Guidelines on engagement with other key stakeholders
Add link:
https://docfinder.bnpparibas-am.com/api/files/1E2A036B-5F2C-4CE1-B6F2-12648D5778B0☑ (O) Stewardship: Guidelines on (proxy) voting
Add link:
https://docfinder.bnpparibas-am.com/api/files/B49ABC53-7F09-4BEB-A9F4-405E0B0D8381○ (Q) No elements of our formal responsible investment policy(ies) are publicly available
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 4

PLUS

PGS 1

N/A

PUBLIC

Responsible
investment policy
elements

1–6

Does your formal responsible investment policy(ies) identify a link between your responsible investment activities andyour fiduciary duties or equivalent obligations?
◉ (A) Yes
Elaborate:
One of our sustainable investing beliefs is that our fiduciary duty is aligned with sustainable investing. We have a duty to our clientsto make well-informed investment decisions, taking reputational, operational and financial risks into careful consideration. ESG
factors are a key element of this.

○ (B) No
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 5

CORE

PGS 1

N/A

PUBLIC

Responsible
investment policy
elements

2

Which elements are covered in your organisation’s policy(ies) or guidelines on stewardship?
☑ (A) Overall stewardship objectives☑ (B) Prioritisation of specific ESG factors to be advanced via stewardship activities30☑ (C) Criteria used by our organisation to prioritise the investees, policy makers, key stakeholders, or other entities on
which to focus our stewardship efforts☑ (D) How different stewardship tools and activities are used across the organisation☑ (E) Approach to escalation in stewardship☑ (F) Approach to collaboration in stewardship☑ (G) Conflicts of interest related to stewardship☑ (H) How stewardship efforts and results are communicated across the organisation to feed into investment decisionmaking and vice versa☐ (I) Other○ (J) None of the above elements is captured in our policy(ies) or guidelines on stewardship
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 6

CORE

PGS 1

N/A

PUBLIC

Responsible
investment policy
elements

2

Does your policy on (proxy) voting include voting principles and/or guidelines on specific ESG factors?
☑ (A) Yes, it includes voting principles and/or guidelines on specific environmental factors☑ (B) Yes, it includes voting principles and/or guidelines on specific social factors☑ (C) Yes, it includes voting principles and/or guidelines on specific governance factors○ (D) Our policy on (proxy) voting does not include voting principles or guidelines on specific ESG factors
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 7

CORE

OO 9

N/A

PUBLIC

Responsible
investment policy
elements

2

Does your organisation have a policy that states how (proxy) voting is addressed in your securities lending programme?
◉ (A) We have a publicly available policy to address (proxy) voting in our securities lending programme
Add link(s):https://docfinder.bnpparibas-am.com/api/files/B49ABC53-7F09-4BEB-A9F4-405E0B0D8381○ (B) We have a policy to address (proxy) voting in our securities lending programme, but it is not publicly available○ (C) We rely on the policy of our external service provider(s)○ (D) We do not have a policy to address (proxy) voting in our securities lending programme○ (E) Not applicable; we do not have a securities lending programme

31

RESPONSIBLE INVESTMENT POLICY COVERAGE
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 8

CORE

PGS 1

N/A

PUBLIC

Responsible
investment policy
coverage1

What percentage of your total AUM is covered by the below elements of your responsible investment policy(ies)?
Combined AUM coverage of all policy elements(A) Overall approach toresponsible investment(B) Guidelines on environmental
factors(C) Guidelines on social factors(D) Guidelines on governancefactors(7) 100%

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 9

CORE

PGS 2

N/A

PUBLIC

Responsible
investment policy
coverage1

What proportion of your AUM is covered by your formal policies or guidelines on climate change, human rights, or othersystematic sustainability issues?
AUM coverage(A) Specific guidelines on climatechange(2) for a majority of our AUM(B) Specific guidelines on humanrights(2) for a majority of our AUM

32

(C) Specific guidelines on othersystematic sustainability issues(2) for a majority of our AUM

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 10CORE

OO 8, OO 9,
PGS 1

N/A

PUBLIC

Responsible
investment policy
coverage2

Per asset class, what percentage of your AUM is covered by your policy(ies) or guidelines on stewardship with investees?
☑ (A) Listed equity(1) Percentage of AUM covered○ (1) >0% to 10%○ (2) >10% to 20%○ (3) >20% to 30%○ (4) >30% to 40%○ (5) >40% to 50%○ (6) >50% to 60%○ (7) >60% to 70%○ (8) >70% to 80%○ (9) >80% to 90%◉ (10) >90% to <100%○ (11) 100%(2) If your AUM coverage is below 100%, explain why: (Voluntary)
For certain externally managed funds, stewardship may be carried out in accordance to the stewardship approach and policy of theexternal fund manager.

☑ (B) Fixed income(1) Percentage of AUM covered○ (1) >0% to 10%○ (2) >10% to 20%○ (3) >20% to 30%○ (4) >30% to 40%○ (5) >40% to 50%○ (6) >50% to 60%○ (7) >60% to 70%○ (8) >70% to 80%○ (9) >80% to 90%◉ (10) >90% to <100%○ (11) 100%(2) If your AUM coverage is below 100%, explain why: (Voluntary)
For certain externally managed funds, stewardship may be carried out in accordance to the stewardship approach and policy of theexternal fund manager.

☐ (C) Private equity☑ (I) Other33

(1) Percentage of AUM covered○ (1) >0% to 10%○ (2) >10% to 20%○ (3) >20% to 30%○ (4) >30% to 40%○ (5) >40% to 50%○ (6) >50% to 60%○ (7) >60% to 70%○ (8) >70% to 80%○ (9) >80% to 90%◉ (10) >90% to <100%○ (11) 100%(2) If your AUM coverage is below 100%, explain why: (Voluntary)
For certain externally managed funds, stewardship may be carried out in accordance to the stewardship approach and policy of theexternal fund manager.

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 10.1

CORE

OO 9.1, PGS
1

N/A

PUBLIC

Responsible
investment policy
coverage2

What percentage of your listed equity holdings is covered by your guidelines on (proxy) voting?
☑ (A) Actively managed listed equity(1) Percentage of your listed equity holdings over which you have the discretion to vote○ (1) >0% to 10%○ (2) >10% to 20%○ (3) >20% to 30%○ (4) >30% to 40%○ (5) >40% to 50%○ (6) >50% to 60%○ (7) >60% to 70%○ (8) >70% to 80%○ (9) >80% to 90%◉ (10) >90% to <100%○ (11) 100%(2) If your AUM coverage is below 100%, explain why: (Voluntary)
For joint ventures or externally managed funds, voting may be conducted in line with the voting policy of the external manager. We
may also vote in line the the voting and requirements and expectations defined by the client in some cases.

☑ (B) Passively managed listed equity(1) Percentage of your listed equity holdings over which you have the discretion to vote○ (1) >0% to 10%○ (2) >10% to 20%○ (3) >20% to 30%○ (4) >30% to 40%○ (5) >40% to 50%○ (6) >50% to 60%○ (7) >60% to 70%○ (8) >70% to 80%○ (9) >80% to 90%◉ (10) >90% to <100%○ (11) 100%34

(2) If your AUM coverage is below 100%, explain why: (Voluntary)
For joint ventures or externally managed funds, voting may be conducted in line with the voting policy of the external manager. We
may also vote in line the the voting and requirements and expectations defined by the client in some cases.

GOVERNANCE
ROLES AND RESPONSIBILITIESIndicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 11CORE

N/A

Multiple
indicators

PUBLIC

Roles and
responsibilities

1

Which senior level body(ies) or role(s) in your organisation have formal oversight over and accountability for responsible
investment?
☑ (A) Board members, trustees, or equivalent☑ (B) Senior executive-level staff, or equivalentSpecify:
CEO (Chair), Global Head of Investments, Head of Global Client Group, Global Head of HR, Global Head of Finance, Strategy andParticipations, Global Head of Product and Strategic Marketing, COO, Global Head of Sustainability☑ (C) Investment committee, or equivalentSpecify:
Global Head of Investments (Chair), CIOs of each Investment division, Global Head of Sustainability, Head of Global Trading
Function, Head of Macro Research, Chief of Staff to the Global Head of Investments☐ (D) Head of department, or equivalent○ (E) None of the above bodies and roles have oversight over and accountability for responsible investment
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 11.1

CORE

PGS 1, PGS 2,
PGS 11

N/A

PUBLIC

Roles and
responsibilities

1, 2

Does your organisation's senior level body(ies) or role(s) have formal oversight over and accountability for the elements
covered in your responsible investment policy(ies)?

35

(1) Board members, trustees, or
equivalent(2) Senior executive-level staff,
investment committee, head of
department, or equivalent(A) Overall approach toresponsible investment☑

☑

(B) Guidelines on environmental,social and/or governance factors☐☑

(C) Guidelines on sustainability
outcomes☐☑

(D) Specific guidelines on climatechange (may be part of guidelines
on environmental factors)☐☑

(E) Specific guidelines on humanrights (may be part of guidelines
on social factors)☐☑

(F) Specific guidelines on othersystematic sustainability issues☐☑

(G) Guidelines tailored to thespecific asset class(es) we hold☐☑

(H) Guidelines on exclusions☐☑

(I) Guidelines on managing
conflicts of interest related toresponsible investment☐☑

(J) Stewardship: Guidelines on
engagement with investees☐☑

(K) Stewardship: Guidelines on
overall political engagement☐☑

(L) Stewardship: Guidelines on
engagement with other key
stakeholders

☐

☑

36

(M) Stewardship: Guidelines on(proxy) voting☑

☑

(N) This role has no formal
oversight over and accountability
for any of the above elements
covered in our responsible
investment policy(ies)○○Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 11.2

CORE

N/A

N/A

PUBLIC

Roles and
responsibilities

1–6

Does your organisation have governance processes or structures to ensure that your overall political engagement isaligned with your commitment to the principles of PRI, including any political engagement conducted by third parties on
your behalf?
◉ (A) Yes
Describe how you do this:Our Public Policy Advocacy Policy (last updated and published 2023) is approved and monitored by the Stewardship Committee
CEO. Our approach to sustainability includes a strong commitment to proactive engagement with corporate and other issuers, andengagement with public
policy makers. This document describes (1) our core commitment to public policy engagement related to our sustainability goals, (2)our key policy advocacy objectives for the sustainability agenda, and (3) our advocacy approach, governance and partners.
We conduct public policy engagements individually, but also undertake engagements in partnership with other investors, in formal orinformal networks.
A list of the key organisations and networks that help us advance our policy objectives is included in our Public Policy Advocacy
Policy. We pursue our public policy objectives in a transparent manner, with a sufficient degree of specificity to inform our clients andrelevant stakeholders of the positions we are taking. All of our public policy work will be undertaken in compliance with BNP Paribas’
Charter for Responsible Representation with respect to the Public Authorities, available at: https://group.bnpparibas/en/charterresponsible-representation-respect-public-authorities. We aim to review our public policy and corporate engagement strategies oncea year and we publish additional information on our website and in regulatory filings.

○ (B) No○ (C) Not applicable, our organisation does not conduct any form of political engagement directly or through any third parties

37

IndicatorType of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 12

CORE

N/A

N/A

PUBLIC

Roles and
responsibilities

1

In your organisation, which internal or external roles are responsible for implementing your approach to responsible
investment?
☑ (A) Internal role(s)Specify:
The BNPP AM Executive Committee maintains strategic oversight of our approach to responsible investment, which is implemented
and carried out by all BNPP AM business lines. The Sustainability Committee meets quarterly to oversee and validate theresponsible policies and commitments and is composed of key CIOs, Sales and control functions in addition to the Executive
Committee.

☑ (B) External investment managers, service providers, or other external partners or suppliersSpecify:
Fundquest has oversight of external managers, and our dedicated procurement team oversees suppliers○ (C) We do not have any internal or external roles with responsibility for implementing responsible investment
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 13

CORE

PGS 11

N/A

PUBLIC

Roles and
responsibilities

1

Does your organisation use responsible investment KPIs to evaluate the performance of your board members, trustees,or equivalent?
◉ (A) Yes, we use responsible investment KPIs to evaluate the performance of our board members, trustees, or
equivalent
Describe: (Voluntary)
BNPP AM’s main boards (of the holding and France) include in their oversight duties, the effective implementation of BNPP AM
sustainability strategy and the attainment of the corresponding performance targets as measured by relevant KPIs. In addition, at
BNPP AM boards’ inner organization level, certain sustainability KPIs are implemented, such as gender diversity and trainings(including notably, on sustainability matters).

○ (B) No, we do not use responsible investment KPIs to evaluate the performance of our board members, trustees, or equivalent38

IndicatorType of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 14

CORE

PGS 11

N/A

PUBLIC

Roles and
responsibilities

1

Does your organisation use responsible investment KPIs to evaluate the performance of your senior executive-level staff(or equivalent), and are these KPIs linked to compensation?
◉ (A) Yes, we use responsible investment KPIs to evaluate the performance of our senior executive-level staff (orequivalent)
Indicate whether these responsible investment KPIs are linked to compensation◉ (1) KPIs are linked to compensation○ (2) KPIs are not linked to compensation as these roles do not have variable compensation○ (3) KPIs are not linked to compensation even though these roles have variable compensation
Describe: (Voluntary)
Where relevant, Executive Committee members have goals related to the successful implementation of BNPP AM’s Global
Sustainability Strategy and the integration of sustainability risks throughout our investment processes and stewardship activities.

○ (B) No, we do not use responsible investment KPIs to evaluate the performance of our senior executive-level staff (orequivalent)
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 15

PLUS

PGS 11

N/A

PUBLIC

Roles and
responsibilities

1

What responsible investment competencies do you regularly include in the training of senior-level body(ies) or role(s) inyour organisation?

(1) Board members, trustees or
equivalent(2) Senior executive-level staff,
investment committee, head of
department or equivalent(A) Specific competence in climatechange mitigation and adaptation☑

☑

(B) Specific competence ininvestors’ responsibility to respecthuman rights

☐

☑

39

(C) Specific competence in othersystematic sustainability issues☑

☑

(D) The regular training of thissenior leadership role does notinclude any of the above
responsible investmentcompetencies○○

EXTERNAL REPORTING AND DISCLOSURES
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 16

CORE

N/A

N/A

PUBLIC

External reportingand disclosures

6

What elements are included in your regular reporting to clients and/or beneficiaries for the majority of your AUM?
☑ (A) Any changes in policies related to responsible investment☑ (B) Any changes in governance or oversight related to responsible investment☑ (C) Stewardship-related commitments☑ (D) Progress towards stewardship-related commitments☑ (E) Climate–related commitments☑ (F) Progress towards climate–related commitments☑ (G) Human rights–related commitments☑ (H) Progress towards human rights–related commitments☑ (I) Commitments to other systematic sustainability issues☑ (J) Progress towards commitments on other systematic sustainability issues○ (K) We do not include any of these elements in our regular reporting to clients and/or beneficiaries for the majority of our AUM
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 17

CORE

N/A

N/A

PUBLIC

External reportingand disclosures

6

During the reporting year, did your organisation publicly disclose climate-related information in line with the Task Forceon Climate-Related Financial Disclosures' (TCFD) recommendations?
☑ (A) Yes, including all governance-related recommended disclosures☑ (B) Yes, including all strategy-related recommended disclosures☑ (C) Yes, including all risk management–related recommended disclosures☑ (D) Yes, including all applicable metrics and targets-related recommended disclosures○ (E) None of the above40

Add link(s):https://group.bnpparibas/uploads/file/bnp_paribas_2022_climate_report.pdf

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 18

PLUS

N/A

N/A

PUBLIC

External reportingand disclosures

6

During the reporting year, to which international responsible investment standards, frameworks, or regulations did yourorganisation report?
☑ (A) Disclosures against the European Union's Sustainable Finance Disclosure Regulation (SFDR)
Link to example of public disclosures
https://docfinder.bnpparibas-am.com/api/files/874ADAE2-3EE7-4AD4-B0ED-84FC06E090BF☑ (B) Disclosures against the European Union's Taxonomy
Link to example of public disclosures
https://docfinder.bnpparibas-am.com/api/files/0EE37EC2-8612-48A5-8AA1-D5C09CCB58DD☐ (C) Disclosures against the CFA's ESG Disclosures Standard☑ (D) Disclosures against other international standards, frameworks or regulations
Specify:
Article 29

Link to example of public disclosures
https://docfinder.bnpparibas-am.com/api/files/0E35D6C1-0B41-43E0-9E0C-5CE342951719☑ (E) Disclosures against other international standards, frameworks or regulations
Specify:
Impact Principles Disclosure Statement

Link to example of public disclosures
https://docfinder.bnpparibas-am.com/api/files/23DFFCC1-667A-4949-9830-9B3C47C62511☑ (F) Disclosures against other international standards, frameworks or regulations
Specify:
Shareholder Rights Directive II

Link to example of public disclosures
https://www.bnpparibas-am.com/en/shareholder-rights-directive-ii/☑ (G) Disclosures against other international standards, frameworks or regulations
Specify:
The UK Stewardship Code

Link to example of public disclosures41https://docfinder.bnpparibas-am.com/api/files/20B0B5A3-B05F-4CD1-B7E5-2F2536D52581

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 19

CORE

N/A

N/A

PUBLIC

External reportingand disclosures

6

During the reporting year, did your organisation publicly disclose its membership in and support for trade associations,
think tanks or similar bodies that conduct any form of political engagement?
◉ (A) Yes, we publicly disclosed our membership in and support for trade associations, think tanks, or similar bodies
that conduct any form of political engagement
Add link(s):https://group.bnpparibas/en/charter-responsible-representation-respect-public-authorities○ (B) No, we did not publicly disclose our membership in and support for trade associations, think tanks, or similar bodies that
conduct any form of political engagement○ (C) Not applicable, we were not members in or supporters of any trade associations, think tanks, or similar bodies that conduct
any form of political engagement during the reporting year

STRATEGYCAPITAL ALLOCATION
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 20

CORE

N/A

N/A

PUBLIC

Capital allocation

1

Which elements do your organisation-level exclusions cover?
☑ (A) Exclusions based on our organisation's values or beliefs regarding particular sectors, products or services☑ (B) Exclusions based on our organisation's values or beliefs regarding particular regions or countries☑ (C) Exclusions based on minimum standards of business practice aligned with international norms such as the OECD
Guidelines for Multinational Enterprises, the International Bill of Human Rights, UN Security Council sanctions or the UN
Global Compact☑ (D) Exclusions based on our organisation’s climate change commitments☐ (E) Other elements○ (F) Not applicable; our organisation does not have any organisation-level exclusions
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 21

CORE

N/A

N/A

PUBLIC

Capital allocation

1

42

How does your responsible investment approach influence your strategic asset allocation process?
☑ (A) We incorporate ESG factors into our assessment of expected asset class risks and returns
Select from dropdown list:○ (1) for all of our AUM subject to strategic asset allocation◉ (2) for a majority of our AUM subject to strategic asset allocation○ (3) for a minority of our AUM subject to strategic asset allocation☐ (B) We incorporate climate change–related risks and opportunities into our assessment of expected asset class risks andreturns☐ (C) We incorporate human rights–related risks and opportunities into our assessment of expected asset class risks and returns☐ (D) We incorporate risks and opportunities related to other systematic sustainability issues into our assessment of expectedasset class risks and returns○ (E) We do not incorporate ESG factors, climate change, human rights or other systematic sustainability issues into ourassessment of expected asset class risks and returns○ (F) Not applicable; we do not have a strategic asset allocation process

STEWARDSHIP: OVERALL STEWARDSHIP STRATEGY
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 22CORE

OO 8, OO 9N/A

PUBLIC

Stewardship: Overall
stewardship strategy

2

For the majority of AUM within each asset class, which of the following best describes your primary stewardshipobjective?
(1) Listed equity(2) Fixed income(3) Private equity(A) Maximise our portfolio-levelrisk-adjusted returns. In doing so,
we seek to address any risks tooverall portfolio performancecaused by individual investees’
contribution to systematicsustainability issues.

◉

◉

◉

(B) Maximise our individual
investments’ risk-adjusted returns.
In doing so, we do not seek toaddress any risks to overall
portfolio performance caused byindividual investees’ contribution tosystematic sustainability issues.

○

○

○

43

IndicatorType of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 23

PLUS

OO 5, OO 8,
OO 9

N/A

PUBLIC

Stewardship: Overall
stewardship strategy

2

How does your organisation, or the external service providers or external managers acting on your behalf, prioritise theinvestees or other entities on which to focus its stewardship efforts?
We believe that meaningful engagement with issuers can enhance our investment decisions, and better enable us to successfully manage
long-term risk for our clients by promoting strong ESG practices and disclosure at the companies in which we invest on their behalf.
Our engagement priorities and strategies are guided by our Global Sustainability Strategy (GSS), outlining our key firm-wide sustainability
priorities.
Our decision to engage with a company is based on two types of consideration – topical and practical:
TOPICAL• The urgency and severity of the issue;• The need to clarify or assess a company’s performance in an area and/or in relation to our Responsible Business Conduct standards or
sector-based policies;• Consistency with our Global Sustainability Strategy, Corporate Stewardship Strategy and Governance and Voting Principles;• The company’s overall ESG performance• The role the issuer plays in creating or exacerbating the risk to be addressed (e.g., for a climate change engagement, whether thecompany is a heavy GHG emitter);• The importance of the issue for the company and the industry in which the company operates.

PRACTICAL• The size of our holdings;• Reasonable access to the company, directly or via our Affiliates or Delegated managers;• Our judgment as to the likelihood of success; • Needs identified by our partners in collaborative investor engagements, such as the
Climate Action 100+, CERES or IIGCC; and• Our past experience of engagement with the company and the company’s degree of responsiveness to the issue.
This can be found in our Stewardship Policy: https://docfinder.bnpparibas-am.com/api/files/4325252A-11B4-45A4-AEB1-89BD05503BBF.

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 24CORE

OO 8, OO 9N/A

PUBLIC

Stewardship: Overall
stewardship strategy

244

Which of the following best describes your organisation's default position, or the position of the external service
providers or external managers acting on your behalf, concerning collaborative stewardship efforts?
◉ (A) We recognise the value of collective action, and as a result, we prioritise collaborative stewardship efforts
wherever possible○ (B) We collaborate on a case-by-case basis○ (C) Other○ (D) We do not join collaborative stewardship efforts
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 24.1

PLUS

OO 8, OO 9N/A

PUBLIC

Stewardship: Overall
stewardship strategy

2

Elaborate on your organisation’s default position on collaborative stewardship, or the position of the external service
providers or external investment managers acting on your behalf, including any other details on your overall approach tocollaboration.
We have two key approaches to engagement: we have bilateral meetings with issuers, and in other cases we work collaboratively with otherinvestors.
Collaboration with other long-term investors and key stakeholders can help us to achieve our common aims, particularly with respect tomitigating systemic risks. We have a long-standing commitment to working with other like-minded investors and to participate in investor
networks to learn from our peers and to raise standards.
When collective action is likely to enhance our ability to engage with a company, and it is permitted by law and regulation, we will work withother asset managers and asset owners depending on the issue of concern and the alignment of views among the investor group. We arean active member of formal and informal groups and initiatives internationally that facilitate communication between shareholders andcompanies on corporate governance and social, ethical and environmental matters. We also engage collectively on matters of public policy.
We believe that being an active participant in these discussions is an effective manner to promote well-functioning markets. In the tablebelow, you will find some of the memberships, investor statements and other initiatives we take part in.
Participation in these bodies and initiatives keeps us current on systemic and market-wide risks and how they are evolving.
We collaborate extensively with our peers and other industry stakeholders. We are actively involved in collaborative initiatives around theworld.
Our Sustainability Report 2022 (84-85) describes a list of collaborative initiatives of which we were members during 2022.
P. 51 of our Sustainability Report 2022 also highlights our active involvement in these initiatives: We also signed 543 letters sent tocompanies through collaborative organisations where we are a signatory to or supporter of (i.e. Business Benchmark on Farm Animal
Welfare (BBFAW) and CDP’s Non-Disclosure Campaign). In fact, majority of our engagement to drive the energy transition is undertaken
through collaborative initiatives (page 56), such as Climate Action 100+ (CA100+) and the Asia Investor Group on Climate Change (AIGCC)
Asian Utilities Engagement Programme. Page 57 describes our activity as the lead or co-lead investor of these initiatives, with an indicationof how companies are progressing against the NZCB (net zero corporate benchmark).

45

We vote proxies solely in our clients’ best interests, and those of the ultimate beneficiaries of the funds for which we are responsible. In
executing our proxy voting responsibilities, we seek to develop a generally constructive and positive approach with the boards of companies
we invest in, clearly setting out our expectations as a diligent steward of assets, but we will not hesitate to abstain or oppose management,or to support shareholder proposals, when applying our voting guidelines, which are designed to advance the long-term interests of ourclients.
We use the services of proxy voting providers ISS, which provides voting research and a global voting platform, and Proxinvest, which
provides research on French companies. These proxy voting providers are used to help us implement our policies. We do not delegate
decision-making authority to them, as BNPP AM will take each voting decision for every shareholder’s meeting internally with nooutsourcing of the final decision in order to serve its clients’ best interests. Arrangements with proxy voting providers are reviewed annually.

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 25

PLUS

OO 5, OO 8,
OO 9

N/A

PUBLIC

Stewardship: Overall
stewardship strategy

2

Rank the channels that are most important for your organisation in achieving its stewardship objectives.
☑ (A) Internal resources, e.g. stewardship team, investment team, ESG team, or staff
Select from the list:◉1☑ (B) External investment managers, third-party operators and/or external property managers, if applicable
Select from the list:◉3☑ (C) External paid specialist stewardship services (e.g. engagement overlay services or, in private markets,sustainability consultants) excluding investment managers, real assets third-party operators, or external property
managers
Select from the list:◉5☑ (D) Informal or unstructured collaborations with investors or other entities
Select from the list:◉4☑ (E) Formal collaborative engagements, e.g. PRI-coordinated collaborative engagements, Climate Action 100+, or
similar
Select from the list:◉2○ (F) We do not use any of these channels
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 27

PLUS

OO 8, OO 9N/A

PUBLIC

Stewardship: Overall
stewardship strategy

246

How are your organisation’s stewardship activities linked to your investment decision making, and vice versa?
We have two key approaches to engagement: we have bilateral meetings with issuers, and in other cases we work collaboratively with otherinvestors.
Collaboration with other long-term investors and key stakeholders can help us to achieve our common aims, particularly with respect tomitigating systemic risks. We have a long-standing commitment to working with other like-minded investors and to participate in investor
networks to learn from our peers and to raise standards.
When collective action is likely to enhance our ability to engage with a company, and it is permitted by law and regulation, we will work withother asset managers and asset owners depending on the issue of concern and the alignment of views among the investor group. We arean active member of formal and informal groups and initiatives internationally that facilitate communication between shareholders andcompanies on corporate governance and social, ethical and environmental matters. We also engage collectively on matters of public policy.
We believe that being an active participant in these discussions is an effective manner to promote well-functioning markets. In the tablebelow, you will find some of the memberships, investor statements and other initiatives we take part in.
Participation in these bodies and initiatives keeps us current on systemic and market-wide risks and how they are evolving.
We collaborate extensively with our peers and other industry stakeholders. We are actively involved in collaborative initiatives around theworld.
Our Sustainability Report 2022 (84-85) describes a list of collaborative initiatives of which we were members during 2022.
P. 51 of our Sustainability Report 2022 also highlights our active involvement in these initiatives: We also signed 543 letters sent tocompanies through collaborative organisations where we are a signatory to or supporter of (i.e. Business Benchmark on Farm Animal
Welfare (BBFAW) and CDP’s Non-Disclosure Campaign). In fact, majority of our engagement to drive the energy transition is undertaken
through collaborative initiatives (page 56), such as Climate Action 100+ (CA100+) and the Asia Investor Group on Climate Change (AIGCC)
Asian Utilities Engagement Programme. Page 57 describes our activity as the lead or co-lead investor of these initiatives, with an indicationof how companies are progressing against the NZCB (net zero corporate benchmark).

We vote proxies solely in our clients’ best interests, and those of the ultimate beneficiaries of the funds for which we are responsible. In
executing our proxy voting responsibilities, we seek to develop a generally constructive and positive approach with the boards of companies
we invest in, clearly setting out our expectations as a diligent steward of assets, but we will not hesitate to abstain or oppose management,or to support shareholder proposals, when applying our voting guidelines, which are designed to advance the long-term interests of ourclients.
We use the services of proxy voting providers ISS, which provides voting research and a global voting platform, and Proxinvest, which
provides research on French companies. These proxy voting providers are used to help us implement our policies. We do not delegate
decision-making authority to them, as BNPP AM will take each voting decision for every shareholder’s meeting internally with nooutsourcing of the final decision in order to serve its clients’ best interests. Arrangements with proxy voting providers are reviewed annually.

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 28

PLUS

OO 8, OO 9N/A

PUBLIC

Stewardship: Overall
stewardship strategy

2

If relevant, provide any further details on your organisation's overall stewardship strategy.

47

Our Sustainable Investment Beliefs, which can be read in full in our Global Sustainability Strategy (GSS), also encompass the following
principles:• ESG integration helps us achieve better risk-adjusted returns.
• We are long-term, forward looking investors.
• Our Fiduciary Duty is aligned with sustainable investment.
• A sustainable economic future relies on sustainable investment practices.
• Walking the talk is critical to achieving excellence
https://docfinder.bnpparibas-am.com/api/files/4325252A-11B4-45A4-AEB1-89BD05503BBF

STEWARDSHIP: (PROXY) VOTING
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 29CORE

OO 9, PGS 1

N/A

PUBLIC

Stewardship: (Proxy)
voting2

When you use external service providers to give recommendations, how do you ensure those recommendations are
consistent with your organisation's (proxy) voting policy?
☑ (A) Before voting is executed, we review external service providers' voting recommendations for controversial andhigh-profile votes
Select from the below list:◉ (1) in all cases○ (2) in a majority of cases○ (3) in a minority of cases☑ (B) Before voting is executed, we review external service providers' voting recommendations where the application of
our voting policy is unclear
Select from the below list:◉ (1) in all cases○ (2) in a majority of cases○ (3) in a minority of cases○ (D) We do not review external service providers’ voting recommendations○ (E) Not applicable; we do not use external service providers to give voting recommendations
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 30

CORE

OO 9

N/A

PUBLIC

Stewardship: (Proxy)
voting2

How is voting addressed in your securities lending programme?
○ (A) We recall all securities for voting on all ballot items48◉ (B) When a vote is deemed important according to pre-established criteria (e.g. high stake in the company), we recall
all our securities for voting
Provide details on these criteria:
Process for securities lending: As a sustainable investor, BNPP AM has a systematic process of recalling shares for General
Meetings in order to vote on a significant portion of its positions and prevent empty voting. This process comprises both quantitative
restrictions and a qualitative appraisal, to fully take into consideration its clients’ long-term interests:• BNPP AM policy is to hold a significant minimum portion of votable shares for all General Meetings.
• BNPP AM policy is to hold a large majority of votable shares for all French General Meetings.
• BNPP AM recalls all votable shares for General Meetings with major issues at stake as well as for some funds, where it votes on
100% of its positions.
Please also note that BNPP AM has halted their securities lending program in May 2023.
Lastly, voting records of individual agenda items at company meetings are publicly available in a searchable database on our
website, at: https://vds.issgovernance.com/vds/#/MTc3MQ==/.

○ (C) Other○ (D) We do not recall our securities for voting purposes○ (E) Not applicable; we do not have a securities lending programme
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 31CORE

OO 9.1

N/A

PUBLIC

Stewardship: (Proxy)
voting2

For the majority of votes cast over which you have discretion to vote, which of the following best describes your decision
making approach regarding shareholder resolutions (or that of your external service provider(s) if decision making isdelegated to them)?
◉ (A) We vote in favour of resolutions expected to advance progress on our stewardship priorities, including affirming acompany's good practice or prior commitment○ (B) We vote in favour of resolutions expected to advance progress on our stewardship priorities, but only if the investee
company has not already publicly committed to the action(s) requested in the proposal○ (C) We vote in favour of shareholder resolutions only as an escalation measure○ (D) We vote in favour of the investee company management’s recommendations by default○ (E) Not applicable; we do not vote on shareholder resolutions
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 32

CORE

OO 9

N/A

PUBLIC

Stewardship: (Proxy)
voting249During the reporting year, how did your organisation, or your external service provider(s), pre-declare voting intentions
prior to voting in annual general meetings (AGMs) or extraordinary general meetings (EGMs)?
☐ (A) We pre-declared our voting intentions publicly through the PRI's vote declaration system on the Resolution Database☐ (B) We pre-declared our voting intentions publicly by other means, e.g. through our website☑ (C) We privately communicated our voting decision to investee companies prior to the AGM/EGM○ (D) We did not privately or publicly communicate our voting intentions prior to the AGM/EGM○ (E) Not applicable; we did not cast any (proxy) votes during the reporting year
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 33CORE

OO 9

PGS 33.1

PUBLIC

Stewardship: (Proxy)
voting2

After voting has taken place, do you publicly disclose your (proxy) voting decisions or those made on your behalf by yourexternal service provider(s), company by company and in a central source?
◉ (A) Yes, for all (proxy) votes
Add link(s):https://vds.issgovernance.com/vds/#/MTc3MQ==/○ (B) Yes, for the majority of (proxy) votes○ (C) Yes, for a minority of (proxy) votes○ (D) No, we do not publicly report our (proxy) voting decisions company-by-company and in a central source
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 33.1

CORE

PGS 33

N/A

PUBLIC

Stewardship: (Proxy)
voting2

In the majority of cases, how soon after an investee's annual general meeting (AGM) or extraordinary general meeting(EGM) do you publish your voting decisions?
○ (A) Within one month of the AGM/EGM◉ (B) Within three months of the AGM/EGM○ (C) Within six months of the AGM/EGM○ (D) Within one year of the AGM/EGM○ (E) More than one year after the AGM/EGM

50

IndicatorType of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 34

CORE

OO 9

N/A

PUBLIC

Stewardship: (Proxy)
voting2

After voting has taken place, did your organisation, and/or the external service provider(s) acting on your behalf,
communicate the rationale for your voting decisions during the reporting year?
(1) In cases where we abstained or
voted against management
recommendations(2) In cases where we voted against
an ESG-related shareholder resolution(A) Yes, we publicly disclosed therationale(3) for a minority of votes(2) for a majority of votes(B) Yes, we privately
communicated the rationale to thecompany(3) for a minority of votes(3) for a minority of votes(C) We did not publicly or privately
communicate the rationale, or we
did not track this information○○(D) Not applicable; we did not
abstain or vote against
management recommendations or
ESG-related shareholder
resolutions during the reporting
year

○

○

(A) Yes, we publicly disclosed the rationale - Add link(s):https://www.bnpparibas-am.com/en/sustainability-documents/

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 35

PLUS

OO 9

N/A

PUBLIC

Stewardship: (Proxy)
voting2

51

How does your organisation ensure vote confirmation, i.e. that your votes have been cast and counted correctly?
Voting rights are exercised on equities for mutual funds, UCITS, AIF, foreign investment funds, mandates and for Employee Investment
Funds for which voting rights are delegated to BNPP AM.
We do not vote on 100% of our holdings as it would imply:• A significant increase of the costs of proxy voting for clients; and• A need to outsource a greater value added part of the voting activity, which would reduce the qualitative and committed aspects of ourvoting process.
Our voting scope is made up of companies for which aggregated positions meet one of the three following conditions:• Represents 90% of our aggregated stock positions• Represents 0.1% or more of the company’s market capitalization• Ad hoc demand or local market regulations
All stewardship activities related to engagement, monitoring and voting are carried out by BNPP AM staff.
BNPP AM does not outsource its stewardship responsibilities’ to serve its clients’ best interests. We use the services of proxy voting
providers ISS, which provides voting research and a voting platform for all companies, and Proxinvest, which provides research on French
companies. These proxy voting providers are used to help us implement our policies. We do not delegate decision-making authority tothem, as BNPP AM will take each voting decision for every shareholder’s meeting internally with no outsourcing of the final decision in order
to serve its clients’ best interests.
For all eligible meetings and vote items, BNPPAM has implemented an internal tracking tool to ensure all eligible vote items are allocated to
BNPP AM staff and fully voted before the appropriate cut-off dates.
After completion of each vote, staff records and stores a copy of vote confirmation reports in our archive. Each year, we assess thepercentage of votes exercised during the year in alignment with our Governance and Voting Policy. In 2022, for instance, our scope wasbroader than UCITS with mandates, representing around €72 billion of assets under management. This represented nearly 52% of all
meetings held by companies in all of our UCITS with mandates and 78% of ballots voted. This information is publicly available in our 2022
voting report.

STEWARDSHIP: ESCALATION
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 36CORE

OO 8, OO 9N/A

PUBLIC

Stewardship:
Escalation2

For your listed equity holdings, what escalation measures did your organisation, or the external investment managers orservice providers acting on your behalf, use in the past three years?

52

(1) Listed equity(A) Joining or broadening an
existing collaborative engagement
or creating a new one☑

(B) Filing, co-filing, and/or
submitting a shareholder resolution
or proposal☑

(C) Publicly engaging the entity,e.g. signing an open letter☑

(D) Voting against the re-electionof one or more board directors☑

(E) Voting against the chair of theboard of directors, or equivalent,e.g. lead independent director☑

(F) Divesting☑

(G) Litigation☑

(H) Other☐(I) In the past three years, we did
not use any of the above
escalation measures for our listed
equity holdings○

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 37

CORE

Multiple, seeguidance

N/A

PUBLIC

Stewardship:
Escalation2

For your corporate fixed income assets, what escalation measures did your organisation, or the external investment
managers or service providers acting on your behalf, use in the past three years?
☑ (A) Joining or broadening an existing collaborative engagement or creating a new one☑ (B) Publicly engaging the entity, e.g. signing an open letter☑ (C) Not investing☐ (D) Reducing exposure to the investee entity☑ (E) Divesting☑ (F) Litigation☐ (G) Other53

○ (H) In the past three years, we did not use any of the above escalation measures for our corporate fixed income assets
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 38

PLUS

OO 8, OO 5.3
FI

N/A

PUBLIC

Stewardship:
Escalation2

Describe your approach to escalation for your internally managed SSA and/or private debt fixed income assets.
(A) SSA - Approach to escalation
As described in our stewardship policy, our engagement extends beyond our actively and passively managed equity investments, to our
fixed income and Private Debt and Real Assets (PDRA) business, including sovereigns.
Investor-issuer dialogue is the foundation of good stewardship – it allows for trusting relationships to be built over time, permitting candid
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 to come to the table to discuss our concerns.
In terms of SSAs, We actively engage with public policymakers, including regulators and standard setters, to advocate for measuresthat shape the markets in which we invest and the rules that guide and govern company behaviour in pursuit of more sustainableoutcomes.
We have constructively and effectively engaged with policymakers over many years (often at their request), with a particular focus on
corporate disclosure, climate policy and corporate governance. Our public policy advocacy includes a variety of approaches, such as:• Public submissions to legislators, regulators and multilateral institutions, e.g., responding to public consultations;• Participation in the development of policy proposals in public and private forums, such as technical advisory committees and investor
associations;• Meetings with policymakers;• Publication of white papers and endorsement of public statements and commitments; and• Endorsement of public statements and commitments developed by investor and other stakeholder initiatives
Our approach to stewardship provides for a variety of escalation strategies.
In addition to voting against a company’s financial accounts, or members of the board, our engagement tactics include public questions
at general meetings, the submission of shareholder proposals, making public statements, and, in rare situations where appropriate,
periodically announcing our voting intentions ahead of time or additional legal strategies. In the case of SSAs where voting related
escalation measures are not applicable, we mainly engage in dialogue with issuers. Unsuccessful dialogue could lead to divestment.
We also exclude from our actively managed portfolios companies that fail to meet our Responsible Business Conduct standards andSector-Based Policies.

(B) Private debt - Approach to escalation54

As described in our stewardship policy, our engagement extends beyond our actively and passively managed equity investments, to our
fixed income and Private Debt and Real Assets (PDRA) business, including sovereigns.
Investor-issuer dialogue is the foundation of good stewardship – it allows for trusting relationships to be built over time, permitting candid
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 to come to the table to discuss our concerns.
Our approach to stewardship provides for a variety of escalation strategies.
In addition to voting against a company’s financial accounts, or members of the board, our engagement tactics include public questions
at general meetings, the submission of shareholder proposals, making public statements, and, in rare situations where appropriate,
periodically announcing our voting intentions ahead of time or additional legal strategies. In the case of private debt fixed income assets
where voting related escalation measures are not applicable, we mainly engage in dialogue with issuers. Unsuccessful dialogue could
lead to divestment. We also exclude from our actively managed portfolios companies that fail to meet our Responsible BusinessConduct standards and Sector-Based Policies.

STEWARDSHIP: ENGAGEMENT WITH POLICY MAKERS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 39CORE

OO 8, OO 9

PGS 39.1,
PGS 39.2

PUBLIC

Stewardship:
Engagement with
policy makers

2

Did your organisation, or the external investment managers or service providers acting on your behalf, engage with policy
makers as part of your responsible investment approach during the reporting year?
☑ (A) Yes, we engaged with policy makers directly☑ (B) Yes, we engaged with policy makers through the leadership of or active participation in working groups orcollaborative initiatives, including via the PRI☐ (C) Yes, we were members of, supported, or were in another way affiliated with third party organisations, including tradeassociations and non-profit organisations, that engage with policy makers, excluding the PRI○ (D) We did not engage with policy makers directly or indirectly during the reporting year beyond our membership in the PRI
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 39.1

CORE

PGS 39N/A

PUBLIC

Stewardship:
Engagement with
policy makers

2During the reporting year, what methods did you, or the external investment managers or service providers acting on yourbehalf, use to engage with policy makers as part of your responsible investment approach?
☑ (A) We participated in 'sign-on' letters☑ (B) We responded to policy consultations☑ (C) We provided technical input via government- or regulator-backed working groups

55Describe:
Our approaches include: • Public submissions to legislators, regulators and multilateral institutions, e.g., responding to public
consultations; • Participation in the development of policy proposals in public and private fora, such as technical advisorycommittees and investor associations; • Meetings with policymakers; • Publication of white papers; and • Endorsement of publicstatements and commitments developed by investor and other stakeholder initiatives.
We participate actively in several trade associations through their dedicated committees and working groups on sustainable financeand stewardship. We have long-established memberships in many national associations such as Association Française de laGestion Financière (AFG, France), Association of the Luxembourg Fund Industry (ALFI, Luxembourg), Belgian Asset Management
Association (BEAMA, Belgium) and Assogestioni (Italy), and also at the European level in European Fund and Asset Management
Association (EFAMA) and International Capital Market Association (IMCA). We have contributed to several consultations and callsfor evidence during the year.

☑ (D) We engaged policy makers on our own initiative
Describe:
We sent a letter to the Canadian Securities Administrators (CSA) to comment on a draft regulation requiring Canadian issuers todisclose certain climate-related information.
Our letter welcomed the CSA’s consideration of mandatory corporate climate change disclosures and agreed that current disclosure
requirements in Canada are generally insufficient to meet investor needs for comparable, consistent and accurate information on thefull range of risks climate change presents to our global portfolios. Consistent with a letter BNP Paribas submitted to the U.S
Securities and Exchange Commission, our key recommendations included the following:•
The CSA should consider a broad and holistic approach for what climate disclosures should be deemed “material” (andtherefore need to be disclosed in CSA filings), while also adopting a framework for mandatory disclosure of scope 1, 2, and 3
greenhouse gas (GHG) emissions using GHG protocol methodology as recommended by the Task Force on Climate-Related
Financial Disclosures (TCFD), including mandatory disclosure of TCFD scenario analysis for all companies.
•
We recommended a phase-in of Scope 3 disclosures for financial institutions and, for all companies, a phase-in for externalverification of GHG emissions, and for required disclosure of a corporate transition plan.
•
We also recommended that CSA adopt the future International Sustainability Standards Board (ISSB) standards andunderscored the importance of international coordination and harmonization of disclosure regimes.

☐ (E) Other methods
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 39.2

CORE

PGS 39N/A

PUBLIC

Stewardship:
Engagement with
policy makers

2During the reporting year, did your organisation publicly disclose details of your engagement with policy makers
conducted as part of your responsible investment approach, including through external investment managers or service
providers?
☐ (A) We publicly disclosed all our policy positions☑ (B) We publicly disclosed details of our engagements with policy makers
Add link(s):https://docfinder.bnpparibas-am.com/api/files/20B0B5A3-B05F-4CD1-B7E5-2F2536D52581○ (C) No, we did not publicly disclose details of our engagement with policy makers conducted as part of our responsible
investment approach during the reporting year

56

STEWARDSHIP: EXAMPLES
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 40PLUS

OO 8, OO 9N/A

PUBLIC

Stewardship:
Examples2

Provide examples of stewardship activities that you conducted individually or collaboratively during the reporting yearthat contributed to desired changes in the investees, policy makers or other entities with which you interacted.
(A) Example 1:
Title of stewardship activity:
Engagement with Telefonica SA(1) Led by◉ (1) Internally led○ (2) External service provider led○ (3) Led by an external investment manager, real assets third-party operator and/or external property manager(2) Primary focus of stewardship activity☐ (1) Environmental factors☐ (2) Social factors☑ (3) Governance factors(3) Asset class(es)☑ (1) Listed equity☑ (2) Fixed income☐ (3) Private equity☐ (4) Real estate☐ (5) Infrastructure☐ (6) Hedge funds☐ (7) Forestry☐ (8) Farmland☐ (9) Other(4) Description of the activity and what was achieved. For collaborative activities, provide detail on your individual contribution.
As in other regions and in the run-up to the 2022 proxy voting season, we wrote to a selected group of companies to notify them of
the risk that we would vote against their board of directors for inadequate gender diversity, in the hope of securing a commitment toimprove it.
Telefonica SA is one of such companies. At the 2021 annual general meeting, despite a high level of board independence (53%), we
could not support the (re)election of all directors as the proportion of female directors was 29%, just below the required minimum
level of 30% set by our voting policy.
We had another call with the company just ahead of the 2022 AGM on March 20th. Telefonica SA confirmed the appointment of a
new independent female board director. Not only does this step increase women’s representation on the board to 33%, above BNPP
AM’s minimum threshold, but it also improves the level of independence from 53% to 60%.

(B) Example 2:57

Title of stewardship activity:
Driving greater transparency of companies’ impacts on forests and freshwater(1) Led by◉ (1) Internally led○ (2) External service provider led○ (3) Led by an external investment manager, real assets third-party operator and/or external property manager(2) Primary focus of stewardship activity☑ (1) Environmental factors☐ (2) Social factors☐ (3) Governance factors(3) Asset class(es)☐ (1) Listed equity☑ (2) Fixed income☐ (3) Private equity☐ (4) Real estate☐ (5) Infrastructure☐ (6) Hedge funds☐ (7) Forestry☐ (8) Farmland☐ (9) Other(4) Description of the activity and what was achieved. For collaborative activities, provide detail on your individual contribution.
Understanding and encouraging sustainable management of companies’ use of forests and freshwater is dependent oncomprehensive and usable disclosure for investors to benchmark companies.
In 2022, we participated in the annual CDP Non-Disclosure Campaign designed to encourage companies with big impacts on
climate, forests and water to improve their disclosure using the long-established and widely used CDP questionnaires. We wereamong more than 700 investors with US$140 trillion AUM that supported the engagement with 1,468 companies. We selected 379
companies to engage with by signing joint letters (on all three topics) and we led engagement with 14 companies with a focus onforests and water.
Overall, the campaign had a 27% success rate, with 390 companies disclosing via at least one CDP questionnaire (vs. 25% in 2021
and 21% in 2020).
In relation to the engagement where we were directly involved, we had an encouraging 21% success rate, in terms of companies
actually disclosing to CDP as of 2022.

(C) Example 3:
Title of stewardship activity:
To secure commitments from UK retailers to do more to deliver healthier diets.

(1) Led by◉ (1) Internally led○ (2) External service provider led○ (3) Led by an external investment manager, real assets third-party operator and/or external property manager(2) Primary focus of stewardship activity☐ (1) Environmental factors☑ (2) Social factors☐ (3) Governance factors(3) Asset class(es)☑ (1) Listed equity☐ (2) Fixed income☐ (3) Private equity☐ (4) Real estate☐ (5) Infrastructure☐ (6) Hedge funds☐ (7) Forestry58☐ (8) Farmland☐ (9) Other(4) Description of the activity and what was achieved. For collaborative activities, provide detail on your individual contribution.
In Q3 2022, we engaged this quarter with J Sainsbury plc. Our goal was to press the company to commit to improve theirperformance in areas where they did not score well on the 2022 ATNI Retailer Index. The company agreed to reconsider its
approach to implementing the International Code on BMS Marketing and strongly welcomed the ATNI ‘Model Policy on BMS
Marketing’ we had provided to them. The company also agreed to our request to improve its transparency around lobbying andagreed to address other concerns we raised.

(D) Example 4:
Title of stewardship activity:
Exxon Mobil – Climate Lobbying(1) Led by◉ (1) Internally led○ (2) External service provider led○ (3) Led by an external investment manager, real assets third-party operator and/or external property manager(2) Primary focus of stewardship activity☑ (1) Environmental factors☐ (2) Social factors☐ (3) Governance factors(3) Asset class(es)☑ (1) Listed equity☐ (2) Fixed income☐ (3) Private equity☐ (4) Real estate☐ (5) Infrastructure☐ (6) Hedge funds☐ (7) Forestry☐ (8) Farmland☐ (9) Other(4) Description of the activity and what was achieved. For collaborative activities, provide detail on your individual contribution.
In 2022, we continued our leadership on climate lobbying resolutions, submitting shareholder proposals to Exxon, General Electricand UPS, and continuing a number of dialogues with other companies.
Exxon Mobil
Our proposal at Exxon Mobil received a 64% vote in 2021. We resubmitted the proposal for the company’s 2022 annual meeting, as
we did not have a concrete commitment from the company to comply with our request until after the filing deadline. After a series ofmeetings with the company, we ultimately withdrew our proposal in exchange for the publication of Exxon’s inaugural climate
lobbying report. The report contains the company’s first public statement supporting alignment with the ‘well below 2 degrees’ goalof the Paris Agreement, and the first public evidence that Exxon had conducted an assessment of the company’s direct or indirect
lobbying against any temperature goal. However, InfluenceMap gave the review a score of 36/100, indicating scope for substantial
improvement. The company committed to update this analysis and publish it annually.

(E) Example 5:
Title of stewardship activity:(1) Led by○ (1) Internally led○ (2) External service provider led○ (3) Led by an external investment manager, real assets third-party operator and/or external property manager

59

(2) Primary focus of stewardship activity☐ (1) Environmental factors☐ (2) Social factors☐ (3) Governance factors(3) Asset class(es)☐ (1) Listed equity☐ (2) Fixed income☐ (3) Private equity☐ (4) Real estate☐ (5) Infrastructure☐ (6) Hedge funds☐ (7) Forestry☐ (8) Farmland☐ (9) Other(4) Description of the activity and what was achieved. For collaborative activities, provide detail on your individual contribution.

CLIMATE CHANGE
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 41

CORE

N/A

PGS 41.1

PUBLICClimate change

General

Has your organisation identified climate-related risks and opportunities affecting your investments?
☑ (A) Yes, within our standard planning horizon
Specify the risks and opportunities identified and your relevant standard planning horizon:
We have identified climate related risks and opportunities for our investments across asset classes, sectors and regions.
We believe our investments can be exposed to transition risks as well as physical climate related risks, for example operational
disruptions due to extreme temperature or lack of water availability due to water stress for thermal power producers. Regardingtransition risks, we believe that companies not able to transition away from the current fossil-fuel-based business models are at risksof being stranded.
Our proprietary ESG scoring model scores companies on environmental, social and governance pillars, including a component ofclimate-related risk assessment.
Our assessment is primarily sector-relative, reflecting the fact that ESG risks and opportunities are not always comparable acrosssectors and regions. Though we also include in the model consideration of absolute scope 1+2 carbon emissions which is not sector
relative. Some physical climate risks factors are considered and integrated into BNPP AM’s ESG scoring model under the theme“climate change” with specific indicators weighted depending on the sectors.
In addition to proprietary quantitative analysis, our understanding of issuers is also enhanced by information from third-party
sources, our Sustainability Centre’s in-depth research on material issues (e.g., climate change) and our investment teams’
knowledge and interaction with issuers.

60

Our Responsible Business Conduct (RBC) policy has been set to avoid reputational, regulatory and stranded asset risks. Notably,
our decision to include a specific coal policy and exclusion of unconventional oil and gas in our RBC responds to the need to
manage the risk of fossil-fuel assets becoming stranded in a strong climate-change mitigation scenario.
For sovereigns, we monitor transition and low carbon risks, in the assessment of temperatures of country carbon pledges.
We have developed a climate model that aims to assess the commitment of each country to the goals of the Paris Agreement,
comparing a 2°C compatible emissions budget for each country by 2030 and their expected emissions given their Nationally
Determined Contributions (NDCs). We also monitor physical risks in the ESG scoring of sovereigns.
We identify the following climate-related opportunities that are likely to unfold under a range of climate scenarios:
1. There is now a virtuous loop between policy (the global agreement on climate change ratified by 195 countries in Paris) andtechnology.
There is also an increasing trend towards renewable energy competitiveness, and energy storage is fast coming down the track. As
renewable and clean energy generally become more competitive economically, it makes it much easier for politicians and policy
makers to set even more ambitious targets, creating a virtuous loop between policy and technology. The role of investors is also
important; they have seen the change coming in the market caused by this virtuous feedback loop around technology, policy andclimate change, and that gives us our second opportunity.
2. Investors tend to screen their portfolios to exclude companies that face the risk of ending up on the wrong side of the energy
transition.
They are more likely to tilt towards companies that offer opportunities in a world where, increasingly, there will be a need to take into
account the price of carbon emissions, clean air, pollution reduction and energy consumption, thereby boosting energy efficiency.
The energy &utilities sectors are the most affected by these changes in investor's perception. In Europe for example, we see
increasing investment in research and development in the renewable energy sector and the topic is now mainstream.
3.
It is not only the energy sector that represents opportunities for investors. Now that the transition has begun, we need to focus on
the likely winners and losers across different sectors and different climate outcomes and this is the third opportunity we haveidentified. We are in the early stages of working on physical climate risk assessment methods, to be able to identify what companies
are most and least exposed to these risks so that we can make better-informed investment decisions and protect the value of ourclients' portfolios.

☑ (B) Yes, beyond our standard planning horizon
Specify the risks and opportunities identified and your relevant standard planning horizon:
The main climate-related financial risks that we have identified by theme in our ESG scoring model also present risks beyond
investment time horizon: climate change, environmental risk management, use of natural resources, emissions and waste, except
for the environmental incidents that are short term risks. The in-depth research of the Sustainability Centre on different sectors also
covers long term climate-related financial risks.
Our decision to include a specific coal policy to our Responsible Business Conduct policy responds to the need to manage the riskof fossil-fuel assets becoming stranded in a strong climate-change mitigation scenario.
It is a risk that goes beyond our investment time horizon for some geographies but that has already materialised in Europe. This is
why companies that do not have a strategy to exit from thermal coal activities by 2030 in European Union and OECD countries andby 2040 for the rest of the world will be excluded. In addition, we will systematically exclude any power generators that still have coalcapacity in their generation mix in 2030 in European Union and OECD countries, and by 2040 for the rest of the world. BNPP AM
acknowledges the importance of encouraging companies to reduce their dependence on coal mining and coal-fired power
generation in order to align their activities with the Paris Agreement. Miners and power generators that do not meet the above
criteria but make credible commitments to reducing their coal-based activities to levels consistent with the Paris Agreement may be
added to a monitoring list.

61

Companies on the monitoring list will be expected to demonstrate a commitment to this policy within two years, but this compliancewindow will not go beyond the 2030/2040 cut off. No exemptions will be made for companies that develop either new thermal coalmining or power capacity. In the medium to long term we believe Oil & Gas producers not able to transition or diversify away fromtheir traditional extractive business model face a risk of being stranded. This risk will materialised in the coming years.
We believe other long term risks like those that are impacted by physical climate change – water crises, biodiversity depletion anddeforestation – will impact our investments and we have therefore identified those in our Global Sustainability Strategy.

○ (C) No, we have not identified climate-related risks and/or opportunities affecting our investments
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 41.1

CORE

PGS 41

N/A

PUBLICClimate change

General

Does your organisation integrate climate-related risks and opportunities affecting your investments in its overall
investment strategy, financial planning and (if relevant) products?
◉ (A) Yes, our overall investment strategy, financial planning and (if relevant) products integrate climate-related risks
and opportunities
Describe how climate-related risks and opportunities have affected or are expected to affect your investment strategy, financial
planning and (if relevant) products:
We believe a shift to a low-carbon, more sustainable economy is essential for the long-term sustainability of capital markets.
Accordingly, in 2015, BNP Paribas Asset Management (BNPP AM) committed to contribute to the achievement of the Paris
Agreement goals and we have been contributing to the fight against climate change for several years. Hence, climate-related risks
and opportunities are integrated in BNPP AM’s investments strategies. The key pillars of our approach to sustainability (defined in
SLS 1)guides our organisation’s investment strategy, products and financial planning. All of these pillars integrate climate-relatedrisks and are governed by robust policies and implemented across our portfolios.

In 2021 BNPP AM decided to raise its climate ambition by committing to the goal of achieving net zero portfolio emissions by 2050
(or sooner). In 2022, we published our Net Zero roadmap introducing our Net zero commitments covering three areas: Investments(portfolio alignment), stewardship and our operations. As a starting point, 50% of BNP Paribas AM’s global assets undermanagement (AuM) were within the scope of this commitment, representing the holdings for which we consider we had, the tools,
the data and the ability to achieve net zero portfolio emissions by 2050.
This was calculated by focusing on funds in our range, which are currently Article 8 or Article 9 under SFDR. These funds haveadopted our better-than-benchmark (BTB) rule for ESG as a compliance target and also apply our RBC policy; both of these will be
important levers for achieving our NZ commitment over time. It additionally includes Article 6 funds and mandates which haveadopted our RBC (Responsible Business Conduct) policy.
For in-scope AuM, we committed to:1) Reduce the carbon footprint of investments (scope 1 and 2) by 30% by 2025 and 50% by 2030 (versus 2019)2) Align 60% of investments with net zero ‘AAA’ by 2030 and all investments by 2040 (using our NZ Achieving, Aligned and Aligning(NZ:AAA) framework as set out in our Net Zero Roadmap, linked below)

623) Exit coal related investment by 2030 for EU and OECD countries and 2040 for the rest of the world4) Increase investments in climate and environmentally themed solutions5) Partner with our clients on their net zero journey
6) Vote for climate action7) Engage companies on net zero8) Advocate for net zero aligned climate policy
9) Reduce our operational footprint
10) Report on progress by producing a TCFD aligned reporting by both contributing to the BNPP Paribas Group TCFD report andincluding a TCFD aligned section in our annual Sustainability report.

For more information on how climate related risks and opportunities are integrated into our overall investment strategy, financial
planning and products please refer to our Net Zero Road Map that detailed our net zero commitment across the 6 pillars of oursustainability approach: https://docfinder.bnpparibas-am.com/api/files/F5EE3377-26CE-4DFD-B770-DBD29323D78B.

○ (B) No, our organisation has not yet integrated climate-related risks and opportunities into its investment strategy, financial
planning and (if relevant) products
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 42

PLUS

N/A

N/A

PUBLICClimate change

GeneralWhich sectors are covered by your organisation’s strategy addressing high-emitting sectors?
☑ (A) Coal
Describe your strategy:
Our ESG Integration and Stewardship strategy address the coal sector through research and engagement. Examples are describedin BNPP AM Sustainability Report.
Our Responsible Business Conduct address the thermal coal sector through exclusions:
Thermal-coal mining exclusions:
BNPP AM will exclude mining companies that meet any of the following criteria:• are developing or planning to develop thermal coal extraction capacities (new mines or expansion of existing ones)• derive more than 10% of their revenues from the mining of thermal coal
• produce more than 10 million tonnes of thermal-coal per year
• do not have a strategy to exit from thermal coal activities by 2030 in European Union and OECD countries and by 2040 for the restof the world.

Electricity production exclusions:
BNPP AM will exclude all power generators that meet any of the following criteria:• are adding operational coal-fired power generation capacity to their power portfolio• have a carbon intensity above 400 gCO2/kWh.

63

This exclusion will be further tightened following the Paris-compliant trajectory for the sector as determined by the International
Energy Agency (‘IEA’) Sustainable Development Scenario (SDS). This means power generators’ carbon intensity will need to fall to
346 gCO2/kWh by 2025, otherwise they will be excluded from our investment portfolios.
• still have coal capacity in their generation mix in 2030 in European Union and OECD countries, and by 2040 for the rest of theworld.
Thermal-coal mining and electricity production monitoring:
BNPP AM acknowledges the importance of encouraging companies to reduce their dependence on coal mining and coal-fired power
generation in order to align their activities with the Paris Agreement.
Miners and power generators that fulfil any of the exclusion criteria but make credible commitments to reducing their coal-based
activities to levels consistent with the Paris Agreement may be added to a watchlist.
Additional thresholds could be applicable for portfolios with specific sustainability label(s).
As per its SFDR’s Sustainable Investment Definition, BNPP AM excludes issuers involved in the oil & gas sector Accordingly,
companies involved in this sector cannot be classified as “sustainable investment as per BNPP AM.

☑ (B) Gas
Describe your strategy:
Our ESG Integration and Stewardship strategy address the coal sector through research and engagement. Examples are describedin BNPP AM Sustainability Report.
Our Responsible Business Conduct address the thermal coal sector through exclusions:
Mandatory requirements related to unconventional oil and gas activities(Unconventional oil and gas resources encompasses shale oil or gas, oil sands as well as extra-heavy oil with a density above 1kg/L
corresponding to an API gravity below 10°and coal bed methane).
We will only invest in energy companies that derive less than 10% of their activities in Unconventional Oil and Gas. This ratio will beassessed as follows:• For pure upstream oil and gas players, on the basis of their reserves: we will only invest in upstream companies having less than
10% of unconventional reserves.
• For diversified energy companies, on the basis of the Unconventional Ratio (defined as share of total revenues from their upstream
activities, multiplied by the share of non-conventional reserves): we will only invest in diversified Energy companies with an
Unconventional Ratio below 10%.
OR
• Energy companies that generate less than 10% of their revenues from Unconventional Oil and Gas. In addition to the above, wewill exclude from our investment universe trading companies for which unconventional oil and gas resources represent more than
30% of their business as well as companies that own or operate pipelines or LNG export terminals supplied with more than 30% of
their volume in unconventional oil and gas.
Mandatory requirements related to operations in sensitive areas
We will only invest in companies deriving less than 10% of their exploration and production activities from the Arctic region, with thisratio computed as follows:• Pure oil and gas players will be assessed based on their reserves in this area as a percentage of their total reserves.
• Diversified oil and gas companies will be assessed based on an Arctic Ratio. This ratio will be calculated as the percentage of totalreserves in the Arctic multiplied by the share of total revenues from upstream activities.
OR• Energy companies that generate less than 10% of their revenues from activities in the Arctic Region.

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We will not invest in companies with oil and gas reserves in the Amazon (as defined below), as well as the ones actively developing
related infrastructure in these areas.
Amazon region: the Amazon River basin region extends to territories belonging to Brazil, Ecuador, Bolivia, Colombia, Guyana,
Venezuela and Peru. The area known as the Sacred Headwaters of the Amazon covers parts of Ecuador and Peru and is formed by
the Napo, Pastaza and Marañón river basins.
As part of this policy, restrictions will be applied to all protected Category I to IV regions of the classification established by the IUCN
(International Union for Conservation of Nature), sites included on the list maintained by the RAMSAR Convention (Convention on
Wetlands), sites in the Amazon region classified as World Heritage, sites linked to the Alliance for Zero Extinction (AZE) and theSacred Headwaters of the Amazon.
Additional thresholds could be applicable for portfolios with specific sustainability label(s). Refer to our RBC policy for further
information: docfinder.bnpparibas-am.com/api/files/D8E2B165-C94F-413E-BE2E-154B83BD4E9B.

☑ (C) Oil
Describe your strategy:
Our ESG Integration and Stewardship strategy address the coal sector through research and engagement. Examples are describedin BNPP AM Sustainability Report.
Our Responsible Business Conduct address the thermal coal sector through exclusions:
Mandatory requirements related to unconventional oil and gas activities(Unconventional oil and gas resources encompasses shale oil or gas, oil sands as well as extra-heavy oil with a density above 1kg/L
corresponding to an API gravity below 10°and coal bed methane).
We will only invest in energy companies that derive less than 10% of their activities in Unconventional Oil and Gas. This ratio will beassessed as follows:• For pure upstream oil and gas players, on the basis of their reserves: we will only invest in upstream companies having less than
10% of unconventional reserves.
• For diversified energy companies, on the basis of the Unconventional Ratio (defined as share of total revenues from their upstream
activities, multiplied by the share of non-conventional reserves): we will only invest in diversified Energy companies with an
Unconventional Ratio below 10%.
OR
• Energy companies that generate less than 10% of their revenues from Unconventional Oil and Gas. In addition to the above, wewill exclude from our investment universe trading companies for which unconventional oil and gas resources represent more than
30% of their business as well as companies that own or operate pipelines or LNG export terminals supplied with more than 30% of
their volume in unconventional oil and gas.
Mandatory requirements related to operations in sensitive areas
We will only invest in companies deriving less than 10% of their exploration and production activities from the Arctic region, with thisratio computed as follows:• Pure oil and gas players will be assessed based on their reserves in this area as a percentage of their total reserves.
• Diversified oil and gas companies will be assessed based on an Arctic Ratio. This ratio will be calculated as the percentage of totalreserves in the Arctic multiplied by the share of total revenues from upstream activities.
OR• Energy companies that generate less than 10% of their revenues from activities in the Arctic Region.
We will not invest in companies with oil and gas reserves in the Amazon (as defined below), as well as the ones actively developing
related infrastructure in these areas.
Amazon region: the Amazon River basin region extends to territories belonging to Brazil, Ecuador, Bolivia, Colombia, Guyana,
Venezuela and Peru. The area known as the Sacred Headwaters of the Amazon covers parts of Ecuador and Peru and is formed by
the Napo, Pastaza and Marañón river basins.

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As part of this policy, restrictions will be applied to all protected Category I to IV regions of the classification established by the IUCN
(International Union for Conservation of Nature), sites included on the list maintained by the RAMSAR Convention (Convention on
Wetlands), sites in the Amazon region classified as World Heritage, sites linked to the Alliance for Zero Extinction (AZE) and theSacred Headwaters of the Amazon.
Additional thresholds could be applicable for portfolios with specific sustainability label(s). Refer to our RBC policy for further
information: docfinder.bnpparibas-am.com/api/files/D8E2B165-C94F-413E-BE2E-154B83BD4E9B.

☑ (D) Utilities
Describe your strategy:
Our ESG Integration and Stewardship strategy address the coal sector through research and engagement. Examples are describedin BNPP AM Sustainability Report.
Our Responsible Business Conduct address the thermal coal sector through exclusions:Electricity production exclusions:
BNPP AM will exclude all power generators that meet any of the following criteria:• are adding operational coal-fired power generation capacity to their power portfolio• have a carbon intensity above 400 gCO2/kWh.
This exclusion will be further tightened following the Paris-compliant trajectory for the sector as determined by the International
Energy Agency (‘IEA’) Sustainable Development Scenario (SDS). This means power generators’ carbon intensity will need to fall to
346 gCO2/kWh by 2025, otherwise they will be excluded from our investment portfolios.
• still have coal capacity in their generation mix in 2030 in European Union and OECD countries, and by 2040 for the rest of theworld.
Thermal-coal mining and electricity production monitoring:
BNPP AM acknowledges the importance of encouraging companies to reduce their dependence on coal mining and coal-fired power
generation in order to align their activities with the Paris Agreement.
Miners and power generators that fulfil any of the exclusion criteria but make credible commitments to reducing their coal-based
activities to levels consistent with the Paris Agreement may be added to a watchlist.
For existing captive coal power plants used for energy intensive processes such as steel, aluminium and cement plants in emerging
countries, if they represent a very limited installed capacity of less than 500 MW, and if the company is diversifying its energy supply
away from coal, we may consider putting the company in the watchlist. If the company is involved in building new captive coal power
plants, it is ineligible for inclusion in the watchlist and will be automatically excluded.

☐ (E) Cement☐ (F) Steel☐ (G) Aviation☐ (H) Heavy duty road
☐ (I) Light duty road☐ (J) Shipping☐ (K) Aluminium☑ (L) Agriculture, forestry, fishery
Describe your strategy:66

Our ESG Integration and Stewardship strategy address the agriculture sector through research and engagement. Examples aredescribed in BNPP AM Sustainability Report, most recent developments of our strategy include our IPDD membership as well as
our acquisition of IWC. Our biodiversity strategy further describes our approach to this sector as well.
Our Responsible Business Conduct address the agriculture sector through exclusions:
Agriculture exclusions: aiming to address some major environmental, social and governance issues of the agriculture sectors and toestablish guidelines to conduct business in a responsible manner. BNP Paribas will only invest in agriculture companies which
comply with the requirements described in its Responsible Business Conduct policy.

☐ (M) Chemicals☐ (N) Construction and buildings☐ (O) Textile and leather☐ (P) Water☑ (Q) Other
Specify:
Additional criteria applicable across high emitting sectors

Describe your strategy:- Climate integration within our ESG scoring framework: in line with our goal to align our portfolios with the Paris Agreement andrecognising that the world faces an absolute carbon emissions problem, we have introduced an absolute carbon emissions ‘tilt’ inour primarily sector-relative ESG scoring system. As a result, sectors, regions and issuers emitting more GHGs will structurally havea lower ESG score than those that emit less.
- Better than benchmark rule on Carbon footprint and on ESG Score: We aim to hold portfolios with more positive ESG
characteristics than their respective benchmarks.
This includes targeting a lower carbon footprint than their respective benchmarks for our portfolios.
- Our goal is for 60% of our corporate investments (equity and fixed income) to fall into NZ:AAA (Achieving, Aligned or Aligning)
categories by 2030 and 100% by 2040. According to us, this will enable us to achieve 100% net zero alignment of our corporate
portfolio by 2050 (Further details on our NZ: AAA methodology alignment available here: https://docfinder.bnpparibasam.com/api/files/F5EE3377-26CE-4DFD-B770-DBD29323D78B)- Voting: We have incorporated climate change considerations into our proxy voting guidelines for many years.
In addition to providing strong support to shareholder proposals addressing climate change, our Governance and Voting Policy
promotes a more proactive approach. We use our votes to signal our expectation that companies report on their GHG emissions.
We expect the world’s largest GHG emitters to set a goal to achieve net zero by 2050 or sooner. We will back thoughtful shareholder
proposals as well as submit shareholder proposals of our own to accelerate corporate action on climate change.
- Engagement.
We implement an engagement strategy that is consistent with our ambition for all assets under management to achieve net zero
emissions by 2050 or sooner. The majority of our engagement to drive the energy transition is undertaken through collaborative
initiatives like Climate Action 100+ and the Asia Investor Group on Climate Change (AIGCC) Asian Utilities Engagement
Programme. However, we also engage with companies individually to advance our financed emissions reduction goals.
Example of Climate Action 100+: BNPP AM is one of 700 investors, responsible for over $68 trillion in AUM, that engage
collaboratively with the world’s largest emitters to improve climate change governance, cut emissions and strengthen their climaterelated financial disclosures.
BNPP AM leads, or co-leads, engagement with ten companies: Iberdrola, Naturgy, Nestlé, Saint-Gobain, Repsol, Stellantis,
Sinopec, Power Assets Holdings, PTT Pcl and Exxon Mobil. We also take part in other dialogues led by other investors in CA100+,
including Danone and Unilever in Europe and Chevron, Delta, Dominion Energy, General Electric, NextEra and Southern Co. in theUS, and lend our name to all engagements undertaken in the name of this initiative with all companies, in our capacity as supporter.

○ (R) We do not have a strategy addressing high-emitting sectors
Provide a link(s) to your strategy(ies), if available

67https://docfinder.bnpparibas-am.com/api/files/D8E2B165-C94F-413E-BE2E-154B83BD4E9B
https://docfinder.bnpparibas-am.com/api/files/F5EE3377-26CE-4DFD-B770-DBD29323D78B

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 43

CORE

N/A

N/A

PUBLICClimate change

General

Has your organisation assessed the resilience of its investment strategy in different climate scenarios, including one inwhich the average temperature rise is held to below 2 degrees Celsius (preferably to 1.5 degrees Celsius) above preindustrial levels?
☐ (A) Yes, using the Inevitable Policy Response Forecast Policy Scenario (FPS) or Required Policy Scenario (RPS)☐ (B) Yes, using the One Earth Climate Model scenario☐ (C) Yes, using the International Energy Agency (IEA) Net Zero scenario☑ (D) Yes, using other scenarios
Specify:
BNPP AM has developed a framework to measure the alignment of its investments in corporates largely inspired by the Paris
Aligned Investment Initiative (PAII) Net Zero Investment Framework. This triple-A (NZ: AAA) framework is based on various sources:
Transition Pathway Initiative (TPI), Science Based Targets initiative (SBTi), Climate Action 100+ and Carbon Disclosure Project(CDP).
Achieving net zero
• Companies with at least 50% of their turnover aligned with EU Taxonomy Climate Change Mitigation OR• Companies with at least 50% of their turnover aligned with climate-mitigation-linked SDGs and with no more than 20% of their
turnover misaligned with any SDGs OR• Companies committed to net zero and whose current carbon performance is at (or close) to the one needed for its sector by 2050
to reach net zero global emissions.
Aligned to a net zero pathway• Companies committed to net zero emissions by 2050 AND that have a carbon reduction target assessed as ⋖/= 1.5C OR• Companies with at least 20% of their turnover aligned with EU Taxonomy Climate Change Mitigation OR• Companies with at least 20% of their turnover aligned with climate-mitigation-linked SDGs and with no more than 20% of their
turnover misaligned with any SDGs
Aligning towards a net zero pathway• Companies that have a carbon reduction target assessed as below 2°C and not otherwise considered Achieving or Aligned.
Not aligned• All other companies
In addition, we are also using the International Energy Agency (‘IEA’) Sustainable Development Scenario (SDS).
Notably for electricity production sector, where power generators’ carbon intensity will need to fall to 346 gCO2/kWh by 2025,
otherwise they will be excluded from our investment portfolios. We are also a primary sponsor of the Inevitable Policy Response
initiative and utilize the results of the IPR scenarios to inform our broader research.

○ (E) No, we have not assessed the resilience of our investment strategy in different climate scenarios, including one that holds
temperature rise to below 2 degrees

68IndicatorType of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 44

CORE

N/A

N/A

PUBLICClimate change

General

Does your organisation have a process to identify, assess, and manage the climate-related risks (potentially) affecting
your investments?
☑ (A) Yes, we have a process to identify and assess climate-related risks(1) Describe your process
BNPP AM has put in place a framework for the identification and review of sustainability risks (including climate related risks). In
response to these risks, the roles and responsibilities of the various departments on the first line of defence and in the second line ofdefence have been defined. For each of these risks, an action plan has been defined. The assessment of sustainability risks, as wellas the associated control plans, are presented in particular at the internal control committee chaired by the CEO of BNPP AM.
In addition, our Sustainability Committee, comprised of members of our Investment Committee, oversees our approach tosustainability, which includes climate change and covers our process, policies, targets and reporting.

We view climate-related risks in a two-fold manner: risks to our investments, and risks to the system.
We have integrated sustainability within our eligible investment processes based on what we call the four first pillars of sustainability
approach: ESG integration, stewardship, responsible business conduct and a forward-looking perspective.
Embedded in this approach is the identification, assessment and management of climate risks.
Accordingly, we have strategic priorities and policies in place to identify, assess and manage climate-related risks.
In addition to committing to align our portfolios with the goals of the Paris Agreement by 2025, and in line with our Net Zerocommitment, we evaluate climate risks and opportunities as part of the research process and calculate the carbon footprint of ourportfolios.
We have also strengthened and enhanced our coal policy since its inception in 2020. Now, We exclude mining companies that do
not have a strategy to exit thermal coal activities and power generators that still have coal capacity in their generation mix in 2030 inEuropean Union and OECD countries, and by 2040 for the rest of the world. We perform physical risk assessments on certain of ourinvestments (e.g. Sovereign).
We have also set key targets related to our net zero commitments which have been validated by the Sustainability Committee.

(2) Describe how this process is integrated into your overall risk management
BNPP AM has organised its internal risk control around an independent department that aims to ensure centralised and crossfunctional supervision of operational and investment risks, including sustainability and climate changes risks. The department isparticularly involved in 3 important dimensions:
1. The independent review of climate-related models (with the legal department for the regulatory part),
2. Monitoring sustainability indicators in portfolio. Funds are tracked automatically, and divergences versus expectations are
considered as breaches.

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Voluntary commitments including carbon constraints are monitored by the CIO’s office.
For example, for SFDR article 8 and 9 funds where beating the benchmark for ESG Score and Carbon footprint are part of thefund’s objectives, these constraints and divergences are monitored by the investment CIO office through a dedicated dashboard ,breaches are reviewed by the Investment Committee.
3. Oversight of operational risk related to a number of processes involving sustainability issues including those related to climate(reporting, data, IT, etc.)
BNPP AM's risk management team is involved in sustainability-related governance (including our net zero workstream dedicated toclimate change) and works closely with the RISK ESG team positioned at group level to ensure the sharing of best practices. Within
the BNP Paribas Group's RISK Department, RISK ESG manages the integration of ESG risk factors into the BNP Paribas Group's
risk management system and into the activities of the Group's various RISK teams.

☑ (B) Yes, we have a process to manage climate-related risks(1) Describe your process- ESG Score
Our ESG scoring is based on relative materiality of climate related risks and is included in our Environmental pillar. To arrive at ESG
scores that provide investment useful insights, we select metrics and weights within our ESG scoring framework using three criteria:
1. Materiality: We reward companies that score highly on ESG issues that are material to their business, based on the expertisefrom our Sustainability Centre as well as frameworks such as SASB and empirical studies 2. Measurability and insight: We give
preference to insightful performance or numeric metrics over policies or programmes 3.
Data quality and availability: We favour metrics for which data is of reasonable quality and readily available so that we can compare
issuers fairly. We group each individual metric in our ESG scoring framework into 11 common themes, however the underlying
metrics used to assess performance under each theme vary by sector.
- Absolute carbon tilt in ESG scoring model
In line with our goal to align our portfolios with the Paris Agreement, we use an absolute carbon emissions ‘tilt’ in our primarily
sector-relative ESG scoring system.
As a result, sectors, regions and issuers emitting more carbon and other GHGs will structurally have a lower ESG score than thosethat emit less.
- Better than benchmark objective
In May 2015, we committed to progressively measuring and reporting the carbon footprint of our open-ended funds. Today, wemeasure the carbon footprint of our eligible equity and fixed income portfolios.
In 2022, we updated our methodology due to improved data access and issuer mapping techniques which were informed by amachine learning model developed by our Quantitative Research Group which access the strength of carbon estimates made by ourthird party data vendors.
As per our ESG Integration Guidelines, for a wide range of strategies, we monitor their carbon footprint versus their benchmarks.
For eligible strategies, we aim to outperform on this ESG characteristics at product-level. We report on this KPIs to clients whereavailable.
- Responsible Business conduct policy (RBC Policy)
Our RBC policy avoid being exposed to high-emitting sectors such as Coal or unconventional oil and gas.
- Stewardship:
Since 2015, climate change has been systematically taken into account in our voting decisions.
Specifically, our voting policy states that we oppose key resolutions (director discharges, re-elections, financial statements) tocompanies that do not appropriately report their carbon footprint (scope 1, 2, and 3 where applicable), or do not communicate or
engage constructively on their climate adaptation business strategy or climate lobbying strategy. For example, in line with ouradherence to the Climate Action 100+ collaborative engagement initiative and in line with our Net Zero commitment, we expect
companies identified as the world's largest greenhouse gas emitters to set a target of net-zero greenhouse gas emissions by 2050.
Regarding the engagement with companies, our engagement can be individual or collaborative.

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Much of our engagement related to climate risk is through collaborative initiatives such as Climate Action 100+ and the Asia Investor
Group on Climate Change (AIGCC) Asian Utility Engagement Program. However, we are also engaging directly with companies toimprove our financed emissions reduction goals.

(2) Describe how this process is integrated into your overall risk management
BNPP AM has organised its internal risk control around an independent department that aims to ensure centralised and crossfunctional supervision of operational and investment risks, including sustainability and climate changes risks. The department isparticularly involved in 3 important dimensions which can be found in PGS 44 A(2).

○ (C) No, we do not have any processes to identify, assess, or manage the climate-related risks affecting our investments
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 45

CORE

N/A

N/A

PUBLICClimate change

GeneralDuring the reporting year, which of the following climate risk metrics or variables affecting your investments did yourorganisation use and disclose?
☑ (A) Exposure to physical risk
(1) Indicate whether this metric or variable was used and disclosed, including the methodology◉ (1) Metric or variable used
○ (2) Metric or variable used and disclosed○ (3) Metric or variable used and disclosed, including methodology☑ (B) Exposure to transition risk
(1) Indicate whether this metric or variable was used and disclosed, including the methodology○ (1) Metric or variable used
○ (2) Metric or variable used and disclosed◉ (3) Metric or variable used and disclosed, including methodology(2) Provide link to the disclosed metric or variable, including the methodology followed, as applicable
https://docfinder.bnpparibas-am.com/api/files/F5EE3377-26CE-4DFD-B770-DBD29323D78B☐ (C) Internal carbon price☑ (D) Total carbon emissions(1) Indicate whether this metric or variable was used and disclosed, including the methodology○ (1) Metric or variable used
○ (2) Metric or variable used and disclosed◉ (3) Metric or variable used and disclosed, including methodology(2) Provide link to the disclosed metric or variable, including the methodology followed, as applicable
https://docfinder.bnpparibas-am.com/api/files/9A4A7AAD-10E1-4FCE-8D1A-528D355C8135☐ (E) Weighted average carbon intensity☐ (F) Avoided emissions☑ (G) Implied Temperature Rise (ITR)(1) Indicate whether this metric or variable was used and disclosed, including the methodology◉ (1) Metric or variable used
○ (2) Metric or variable used and disclosed○ (3) Metric or variable used and disclosed, including methodology☐ (H) Non-ITR measure of portfolio alignment with UNFCCC Paris Agreement goals☑ (I) Proportion of assets or other business activities aligned with climate-related opportunities

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(1) Indicate whether this metric or variable was used and disclosed, including the methodology○ (1) Metric or variable used
○ (2) Metric or variable used and disclosed◉ (3) Metric or variable used and disclosed, including methodology(2) Provide link to the disclosed metric or variable, including the methodology followed, as applicable
https://docfinder.bnpparibas-am.com/api/files/0E35D6C1-0B41-43E0-9E0C-5CE342951719☑ (J) Other metrics or variablesSpecify:
Carbon Footprint(1) Indicate whether this metric or variable was used and disclosed, including the methodology○ (1) Metric or variable used
○ (2) Metric or variable used and disclosed◉ (3) Metric or variable used and disclosed, including methodology(2) Provide link to the disclosed metric or variable, including the methodology followed, as applicable
https://docfinder.bnpparibas-am.com/api/files/BFC8E114-E63A-4C62-B203-BF19973A2A74○ (K) Our organisation did not use or disclose any climate risk metrics or variables affecting our investments during the reportingyear
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 46

CORE

N/A

N/A

PUBLICClimate change

GeneralDuring the reporting year, did your organisation disclose its Scope 1, Scope 2, and/or Scope 3 greenhouse gas
emissions?
☑ (A) Scope 1 emissions(1) Indicate whether this metric was disclosed, including the methodology○ (1) Metric disclosed◉ (2) Metric and methodology disclosed(2) Provide links to the disclosed metric and methodology, as applicable
https://www.bnpparibas-am.com/en/measuring-carbon-footprints/
https://docfinder.bnpparibas-am.com/api/files/9A4A7AAD-10E1-4FCE-8D1A-528D355C8135☑ (B) Scope 2 emissions(1) Indicate whether this metric was disclosed, including the methodology○ (1) Metric disclosed◉ (2) Metric and methodology disclosed(2) Provide links to the disclosed metric and methodology, as applicable72https://www.bnpparibas-am.com/en/measuring-carbon-footprints/
https://docfinder.bnpparibas-am.com/api/files/9A4A7AAD-10E1-4FCE-8D1A-528D355C8135☑ (C) Scope 3 emissions (including financed emissions)(1) Indicate whether this metric was disclosed, including the methodology○ (1) Metric disclosed◉ (2) Metric and methodology disclosed(2) Provide links to the disclosed metric and methodology, as applicable
https://docfinder.bnpparibas-am.com/api/files/9A4A7AAD-10E1-4FCE-8D1A-528D355C8135○ (D) Our organisation did not disclose its Scope 1, Scope 2, or Scope 3 greenhouse gas emissions during the reporting year

SUSTAINABILITY OUTCOMES
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 47CORE

N/A

Multiple
indicators

PUBLIC

Sustainability
outcomes1, 2

Has your organisation identified the intended and unintended sustainability outcomes connected to its investment
activities?
◉ (A) Yes, we have identified one or more specific sustainability outcomes connected to our investment activities○ (B) No, we have not yet identified the sustainability outcomes connected to any of our investment activities
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 47.1

CORE

PGS 47

N/A

PUBLIC

Sustainability
outcomes

1, 2Which widely recognised frameworks has your organisation used to identify the intended and unintended sustainability
outcomes connected to its investment activities?
☑ (A) The UN Sustainable Development Goals (SDGs) and targets☑ (B) The UNFCCC Paris Agreement☑ (C) The UN Guiding Principles on Business and Human Rights (UNGPs)☑ (D) OECD frameworks: OECD Guidelines for Multinational Enterprises and Guidance on Responsible BusinessConduct for Institutional Investors☑ (E) The EU Taxonomy☐ (F) Other relevant taxonomies☑ (G) The International Bill of Human Rights☑ (H) The International Labour Organization’s Declaration on Fundamental Principles and Rights at Work and the eightcore conventions☑ (I) The Convention on Biological Diversity☑ (J) Other international framework(s)73Specify:
Biodiversity: Stockholm or Rotterdam Conventions
Non conventional weapons: Ottawa Convention, Convention on Cluster Munitions (Oslo Convention), Nuclear Non-proliferation
Treaty (NPT) of 1968

☐ (K) Other regional framework(s)☐ (L) Other sectoral/issue-specific framework(s)○ (M) Our organisation did not use any widely recognised frameworks to identify the intended and unintended sustainability
outcomes connected to its investment activities
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 47.2

CORE

PGS 47

PGS 48

PUBLIC

Sustainability
outcomes

1, 2What are the primary methods that your organisation has used to determine the most important intended and unintended
sustainability outcomes connected to its investment activities?
☑ (A) Identify sustainability outcomes that are closely linked to our core investment activities☑ (B) Consult with key clients and/or beneficiaries to align with their priorities☐ (C) Assess which actual or potential negative outcomes for people are most severe based on their scale, scope, andirremediable character☑ (D) Identify sustainability outcomes that are closely linked to systematic sustainability issues☐ (E) Analyse the input from different stakeholders (e.g. affected communities, civil society, trade unions or similar)☐ (F) Understand the geographical relevance of specific sustainability outcome objectives☐ (G) Other method○ (H) We have not yet determined the most important sustainability outcomes connected to our investment activities
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 48

CORE

PGS 47.2

PGS 48.1,
SO 1

PUBLIC

Sustainability
outcomes1, 2

Has your organisation taken action on any specific sustainability outcomes connected to its investment activities,
including to prevent and mitigate actual and potential negative outcomes?
◉ (A) Yes, we have taken action on some of the specific sustainability outcomes connected to our investment activities○ (B) No, we have not yet taken action on any specific sustainability outcomes connected to our investment activities

74

IndicatorType of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 48.1

PLUS

PGS 48N/A

PUBLIC

Sustainability
outcomes

1, 2

Why has your organisation taken action on specific sustainability outcomes connected to its investment activities?
☑ (A) We believe that taking action on sustainability outcomes is relevant to our financial risks and returns over both
short- and long-term horizons☐ (B) We believe that taking action on sustainability outcomes, although not yet relevant to our financial risks and returns, will
become so over a long-time horizon☐ (C) We have been requested to do so by our clients and/or beneficiaries☐ (D) We want to prepare for and respond to legal and regulatory developments that are increasingly addressing sustainability
outcomes☑ (E) We want to protect our reputation, particularly in the event of negative sustainability outcomes connected toinvestments☑ (F) We want to enhance our social licence-to-operate (i.e. the trust of beneficiaries, clients, and other stakeholders)☑ (G) We believe that taking action on sustainability outcomes in parallel to financial return goals has merit in its own
right☐ (H) OtherHUMAN RIGHTS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 49PLUS

PGS 47

PGS 49.1

PUBLIC

Human rights

1, 2

During the reporting year, what steps did your organisation take to identify and take action on the actual and potentiallynegative outcomes for people connected to your investment activities?
☑ (A) We assessed the human rights context of our potential and/or existing investments and projected how this could
connect our organisation to negative human rights outcomes
Explain how these activities were conducted:
Through our Responsible Business Conduct screening and our Stewardship activities we addressed this topic. Excluding companies
in breach with UNGC/OECD/UNGPs human rights principles and discussing with companies about the respect of human rights
within their own operations and across their supply chains.

☑ (B) We assessed whether individuals at risk or already affected might be at heightened risk of harm
Explain how these activities were conducted:
Through the review of our Responsible Business Conduct exclusion list and watchlist. We engaged with four companies in 2022
over concerns about their human rights policies and practices. All provided sufficient information or assurance and remain on ourwatchlist.

☑ (C) We consulted with individuals and groups who were at risk or already affected, their representatives and/or otherrelevant stakeholders such as human rights experts

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Explain how these activities were conducted:
Through our Stewardship activities, for example in the fourth quarter of 2022, we signed up to the collaborative investor engagement
initiative coordinated by Know the Chain and Investor Alliance for Human Rights to open dialogue with apparel and footwear
companies to tackle forced labour in global supply chains. Another example: in December 2022, PRI launched its new collaborative
engagement initiative called Advance. BNPP AM was among 220 investors to sign up. Overall, the initiative has the support of over
US$30 trillion AUM. It will encourage companies to fully implement the UN Guiding Principles on Human Rights and the OECD
Guidelines for Multi-National Companies (MNCs), thereby contributing to delivering equality and inclusive growth. It will run for five
years and tackle companies across several sectors. We will co-lead engagement with Arcelor Mittal starting in 2023.

☐ (D) We took other steps to assess and manage the actual and potentially negative outcomes for people connected to ourinvestment activities○ (E) We did not identify and take action on the actual and potentially negative outcomes for people connected to any of ourinvestment activities during the reporting year
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 49.1

PLUS

PGS 49N/A

PUBLIC

Human rights

1, 2

During the reporting year, which stakeholder groups did your organisation include when identifying and taking action on
the actual and potentially negative outcomes for people connected to your investment activities?
☑ (A) Workers
Sector(s) for which each stakeholder group was included☑ (1) Energy☑ (2) Materials☑ (3) Industrials☑ (4) Consumer discretionary☑ (5) Consumer staples☑ (6) Healthcare☑ (7) Finance☑ (8) Information technology☑ (9) Communication services☑ (10) Utilities☑ (11) Real estate☑ (B) Communities
Sector(s) for which each stakeholder group was included☑ (1) Energy☑ (2) Materials☑ (3) Industrials☑ (4) Consumer discretionary☑ (5) Consumer staples☑ (6) Healthcare☑ (7) Finance☑ (8) Information technology☑ (9) Communication services☑ (10) Utilities☑ (11) Real estate☑ (C) Customers and end-users

76Sector(s) for which each stakeholder group was included☑ (1) Energy☑ (2) Materials☑ (3) Industrials☑ (4) Consumer discretionary☑ (5) Consumer staples☑ (6) Healthcare☑ (7) Finance☑ (8) Information technology☑ (9) Communication services☑ (10) Utilities☑ (11) Real estate☐ (D) Other stakeholder groups
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 49.2

PLUS

PGS 47

N/A

PUBLIC

Human rights

1, 2

During the reporting year, what information sources did your organisation use to identify the actual and potentiallynegative outcomes for people connected to its investment activities?
☑ (A) Corporate disclosures
Provide further detail on how your organisation used these information sources:
Our ESG research analysis and findings are independent and based on a wide variety of sources not limited to ESG data providers.
They include the knowledge we gain from participating in various investment forums and communities, our relationships withacademic institutions and other aspects of civil society.

☑ (B) Media reports
Provide further detail on how your organisation used these information sources:
Our ESG research analysis and findings are independent and based on a wide variety of sources not limited to ESG data providers.
They include the knowledge we gain from participating in various investment forums and communities, our relationships withacademic institutions and other aspects of civil society.

☑ (C) Reports and other information from NGOs and human rights institutions
Provide further detail on how your organisation used these information sources:
Our ESG research analysis and findings are independent and based on a wide variety of sources not limited to ESG data providers.
They include the knowledge we gain from participating in various investment forums and communities, our relationships withacademic institutions and other aspects of civil society.

☑ (D) Country reports, for example, by multilateral institutions, e.g. OECD, World Bank
Provide further detail on how your organisation used these information sources:
Our ESG research analysis and findings are independent and based on a wide variety of sources not limited to ESG data providers.
They include the knowledge we gain from participating in various investment forums and communities, our relationships withacademic institutions and other aspects of civil society.

☑ (E) Data provider scores or benchmarks
Provide further detail on how your organisation used these information sources:

77

Our ESG research analysis and findings are independent and based on a wide variety of sources not limited to ESG data providers.
They include the knowledge we gain from participating in various investment forums and communities, our relationships withacademic institutions and other aspects of civil society.

☑ (F) Human rights violation alerts
Provide further detail on how your organisation used these information sources:
Our ESG research analysis and findings are independent and based on a wide variety of sources not limited to ESG data providers.
They include the knowledge we gain from participating in various investment forums and communities, our relationships withacademic institutions and other aspects of civil society.

☑ (G) Sell-side research
Provide further detail on how your organisation used these information sources:
Our ESG research analysis and findings are independent and based on a wide variety of sources not limited to ESG data providers.
They include the knowledge we gain from participating in various investment forums and communities, our relationships withacademic institutions and other aspects of civil society.

☑ (H) Investor networks or other investors
Provide further detail on how your organisation used these information sources:
Our ESG research analysis and findings are independent and based on a wide variety of sources not limited to ESG data providers.
They include the knowledge we gain from participating in various investment forums and communities, our relationships withacademic institutions and other aspects of civil society.

☑ (I) Information provided directly by affected stakeholders or their representatives
Provide further detail on how your organisation used these information sources:
Our ESG research analysis and findings are independent and based on a wide variety of sources not limited to ESG data providers.
They include the knowledge we gain from participating in various investment forums and communities, our relationships withacademic institutions and other aspects of civil society.

☑ (J) Social media analysis
Specify:
Our ESG research analysis and findings are independent and based on a wide variety of sources not limited to ESG data providers.
They include the knowledge we gain from participating in various investment forums and communities, our relationships withacademic institutions and other aspects of civil society.

Provide further detail on how your organisation used these information sources:☐ (K) Other
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

PGS 50PLUS

PGS 47

N/A

PUBLIC

Human rights

1, 2

During the reporting year, did your organisation, directly or through influence over investees, enable access to remedy forpeople affected by negative human rights outcomes connected to your investment activities?
☐ (A) Yes, we enabled access to remedy directly for people affected by negative human rights outcomes we caused orcontributed to through our investment activities☑ (B) Yes, we used our influence to ensure that our investees provided access to remedies for people affected bynegative human rights outcomes we were linked to through our investment activities
Describe:78

As part of our Stewardship activities, we engage on human rights issues affecting our investees. Those discussions include pushingthem to provide remedy for people affected by negative rights outcomes. For example, we engaged with four companies in 2022
over concerns about their human rights policies and practices. All provided sufficient information or assurance and remain on ourwatchlist. We also signed up to the collaborative investor engagement initiative coordinated by Know the Chain and Investor Alliancefor Human Rights to open dialogue with apparel and footwear companies to tackle forced labour in global supply chains. Anotherexample is that in December 2022, PRI launched its new collaborative engagement initiative called Advance. BNPP AM was among
220 investors to sign up. Overall, the initiative has the support of over US$30 trillion AUM. It will encourage companies to fully
implement the UN Guiding Principles on Human Rights and the OECD Guidelines for Multi-National Companies (MNCs), thereby
contributing to delivering equality and inclusive growth. It will run for five years and tackle companies across several sectors. We willco-lead engagement with Arcelor Mittal starting in 2023.

○ (C) No, we did not enable access to remedy directly, or through the use of influence over investees, for people affected bynegative human rights outcomes connected to our investment activities during the reporting year

MANAGER SELECTION, APPOINTMENT AND
MONITORING (SAM)
OVERALL APPROACH
EXTERNAL INVESTMENT MANAGERS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 1

CORE

OO 21

N/A

PUBLIC

External investment
managers

4

For the majority of your externally managed AUM in each asset class, which responsible investment aspects does yourorganisation consider important in the assessment of external investment managers?
(1) Listed equity (active)(2) Listed equity (passive)(A) Commitment to and experience
in responsible investment☑

☑

(B) Responsible investment
policy(ies)☑

☑

(C) Governance structure andsenior-level oversight andaccountability☐☐

Organisation

79

People and Culture(D) Adequate resourcing andincentives☑

☑

(E) Staff competencies andexperience in responsible
investment☑

☑

(F) Incorporation of material ESG
factors in the investment process☑

☑

(G) Incorporation of risks
connected to systematicsustainability issues in theinvestment process☐☐(H) Incorporation of material ESG
factors and ESG risks connected
to systematic sustainability issues
in portfolio risk assessment☐☐(I) Policy(ies) or guidelines on
stewardship☑

☑

(J) Policy(ies) or guidelines on(proxy) voting☑

☑

(K) Use of stewardship tools andactivities☑

☑

(L) Incorporation of risks
connected to systematicsustainability issues in stewardshippractices☐☐(M) Involvement in collaborative
engagement and stewardshipinitiatives☑

☑

Investment Process

Stewardship80

(N) Engagement with policy
makers and other non-investee
stakeholders☑

☑

(O) Results of stewardship
activities☐☐(P) ESG disclosure in regular client
reporting☑

☑

(Q) Inclusion of ESG factors incontractual agreements☐☐(R) We do not consider any of theabove responsible investment
aspects important in theassessment of external investment
managers○○

Performance and ReportingSERVICE PROVIDERS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 2

CORE

OO 21

N/A

PUBLIC

Service providers

4

Which responsible investment aspects does your organisation consider important when assessing all service providers
that advise you in the selection, appointment and/or monitoring of external investment managers?
☐ (A) Incorporation of their responsible investment policy into advisory services☐ (B) Ability to accommodate our responsible investment policy☐ (C) Level of staff’s responsible investment expertise☐ (D) Use of data and analytical tools to assess the external investment manager’s responsible investment performance☐ (E) Other○ (F) We do not consider any of the above responsible investment aspects important when assessing service providers thatadvise us in the selection, appointment and/or monitoring of external investment managers◉ (G) Not applicable; we do not engage service providers in the selection, appointment or monitoring of external
investment managers

81

POOLED FUNDS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 3

PLUS

OO 5.2, OO 21

N/A

PUBLIC

Pooled funds

4

If you invest in pooled funds, describe how you incorporate responsible investment aspects into the selection,
appointment and/or monitoring of external investment managers.
Provide example(s) below(A) Selection

Responsible investment aspects are included in our internal selector’s (FundQuest) selection of external
investment managers through the Clover Rating analysis. The Clover Rating is an in-depth qualitative
proprietary analysis of Responsible Investment policies and practices of each active asset manager andeach active fund that is included in FundQuest buylist. This analysis is based on an extensive
questionnaire (total around 200 questions) followed by due diligence meetings carried out by 2 fullydedicated ESG analysts within the FundQuest Fund Selection team. The Clover Rating analysis
conclusions are expressed through quantative scores and qualitative comments for both funds andinvestment managers. Funds that obtain five Clovers or more (out of ten) are considered more sustainable
and put on a dedicated buylist.

(B)
Appointment

The appointment of a manager for a standalone fund, a fund for a fund of funds or a manager for amandate in a fund of mandates will involve using the information garnered from the clover rating analysis
mentioned above. Depending on the demands of BNPP AM or the client, a selection is made from theFundQuest list based on the number of clovers, whether the product is Article 8 or 9 according to the
SFDR regulation, whether the manager is willing to include BNPP AM criteria, the type of reports they arewilling to provide, etc. The Global Product Strategy dept, the Sub Advisory Dept, FundQuest Advisor, theSustainability Centre and potentially the client (e.g. Wealth Management) may be involved in the selectionof the criteria and the final selection of the manager to be appointed. For the AM Select range thisinvolves three RFP questionnaires, one that looks at the asset manager, the second covers the strategy
and to what extent the manager can fulfil the mandate, and the third covers the regulatory requirements.
The funds in this range respect our Responsible Business Conduct Policy, decile 10 exclusions, and we
track the better than benchmark rule. Although the external manager is in charge of the engagement, thevoting is carried out by BNPP AM(C) Monitoring

According to their contract external managers must provide BNPP AM with any material change regarding
their governance, organisation and policies including responsible investments. Given our oversight duty,
within the AM Select range we receive and review data reports and letters of comfort on Sustainability
topics on a monthly basis. Overall responsible investment aspects are included in the monitoring of
external investment managers through the Clover Rating analysis reviews, which are carried out every 2
years.

82

SELECTIONRESPONSIBLE INVESTMENT PRACTICES
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 4

CORE

OO 12, OO 21

SAM 5, SAM
6, SAM 7

PUBLIC

Responsible
investment
practices

GeneralDuring the reporting year, did your organisation select new external investment managers or allocate new mandates toexisting investment managers?
◉ (A) Yes, we selected external investment managers or allocated new mandates to existing investment managers
during the reporting year
○ (B) No, we did not select new external investment managers or allocate new mandates to existing investment managers during
the reporting year
○ (C) Not applicable; our organisation is in a captive relationship with external investment managers, which applies to 90% ormore of our AUM
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 5

CORE

SAM 4

N/A

PUBLIC

Responsible
investment practices

4

During the reporting year, what responsible investment aspects did your organisation, or the service provider acting on
your behalf, review and evaluate when selecting new external investment managers or allocating new mandates toexisting investment managers?
Organisation☑ (A) Commitment to and experience in responsible investment (e.g. commitment to responsible investment principles
and standards)
Select from dropdown list
◉ (1) for all of our mandates○ (2) for a majority of our mandates○ (3) for a minority of our mandates☑ (B) Responsible investment policy(ies) (e.g. the alignment of their responsible investment policy with the investment
mandate)Select from dropdown list
◉ (1) for all of our mandates○ (2) for a majority of our mandates○ (3) for a minority of our mandates☐ (C) Governance structure and senior-level oversight and accountability (e.g. the adequacy of their governance structure andreported conflicts of interest)

83

People and Culture☑ (D) Adequate resourcing and incentives (e.g. their team structures, operating model and remuneration structure,including alignment of interests)
Select from dropdown list
◉ (1) for all of our mandates○ (2) for a majority of our mandates○ (3) for a minority of our mandates☑ (E) Staff competencies and experience in responsible investment (e.g. level of responsible investment responsibilities
in their investment team, their responsible investment training and capacity building)Select from dropdown list
◉ (1) for all of our mandates○ (2) for a majority of our mandates○ (3) for a minority of our mandates
Investment Process☑ (F) Incorporation of material ESG factors in the investment process (e.g. detail and evidence of how such factors areincorporated into the selection of individual assets and in portfolio construction)
Select from dropdown list
◉ (1) for all of our mandates○ (2) for a majority of our mandates○ (3) for a minority of our mandates☐ (G) Incorporation of risks connected to systematic sustainability issues in the investment process (e.g. detail and evidence of
how such risks are incorporated into the selection of individual assets and in portfolio construction)☐ (H) Incorporation of material ESG factors and ESG risks connected to systematic sustainability issues in portfolio risk
assessment (e.g. their process to measure and report such risks)
Performance and Reporting☑ (I) ESG disclosure in regular client reporting
Select from dropdown list
◉ (1) for all of our mandates○ (2) for a majority of our mandates○ (3) for a minority of our mandates☑ (J) Inclusion of ESG factors in contractual agreements
Select from dropdown list
○ (1) for all of our mandates◉ (2) for a majority of our mandates○ (3) for a minority of our mandates○ (K) We did not review and evaluate any of the above responsible investment aspects when selecting new external investment
managers or allocating new mandates to existing investment managers during the reporting year

84

STEWARDSHIP
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 6

CORE

OO 8, SAM 4

N/A

PUBLIC

Stewardship

4

During the reporting year, which aspects of the stewardship approach did your organisation, or the service provider
acting on your behalf, review and evaluate when selecting new external investment managers or allocating new mandates
to existing investment managers?
☐ (A) The alignment of their policy(ies) or guidelines on stewardship with the investment mandate☑ (B) Evidence of how they implemented their stewardship objectives, including the effectiveness of their activities
Select from dropdown list
◉ (1) for all of our mandates○ (2) for a majority of our mandates○ (3) for a minority of our mandates☑ (C) Their participation in collaborative engagements and stewardship initiatives
Select from dropdown list
◉ (1) for all of our mandates○ (2) for a majority of our mandates○ (3) for a minority of our mandates☐ (D) Details of their engagements with companies or issuers on risks connected to systematic sustainability issues☑ (E) Details of their engagement activities with policy makers
Select from dropdown list
◉ (1) for all of our mandates○ (2) for a majority of our mandates○ (3) for a minority of our mandates☑ (F) Their escalation process and the escalation tools included in their policy on stewardship
Select from dropdown list
◉ (1) for all of our mandates○ (2) for a majority of our mandates○ (3) for a minority of our mandates○ (G) We did not review and evaluate any of the above aspects of the stewardship approach when selecting new external
investment managers or allocating new mandates to existing investment managers during the reporting year
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 7

CORE

OO 9, SAM 4

N/A

PUBLIC

Stewardship

4

During the reporting year, which aspects of (proxy) voting did your organisation, or the service provider acting on yourbehalf, review and evaluate when selecting new external investment managers or allocating new mandates to existing
investment managers?
☐ (A) The alignment of their policy(ies) or guidelines on (proxy) voting with the investment mandate☑ (B) Historical information on the number or percentage of general meetings at which they voted

85

Select from dropdown list
◉ (1) for all of our mandates○ (2) for a majority of our mandates○ (3) for a minority of our mandates☐ (C) Analysis of votes cast for and against☐ (D) Analysis of votes cast for and against resolutions related to risks connected to systematic sustainability issues☐ (E) Details of their position on any controversial and high-profile votes☐ (F) Historical information of any resolutions on which they voted contrary to their own voting policy and the reasons why☐ (G) Details of all votes involving companies where the external investment manager or an affiliate has a contractual
relationship or another potential conflict of interest○ (H) We did not review and evaluate any of the above aspects of (proxy) voting when selecting new external investment
managers or allocating new mandates to existing investment managers during the reporting year
○ (I) Not applicable; our organisation did not select new external investment managers or allocated new mandates to existing
investment managers for listed equity and/or hedge funds that hold equity.

APPOINTMENTSEGREGATED MANDATES
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 8

CORE

OO 5.2, OO
13N/A

PUBLIC

Segregatedmandates

4

Which responsible investment aspects do your organisation, or the service provider acting on your behalf, explicitly
include in clauses within your contractual agreements with your external investment managers for segregated mandates?
☑ (A) Their commitment to following our responsible investment strategy in the management of our assets
Select from dropdown list
○ (1) for all of our segregated mandates◉ (2) for a majority of our segregated mandates○ (3) for a minority of our segregated mandates☑ (B) Their commitment to incorporating material ESG factors into their investment activities
Select from dropdown list
○ (1) for all of our segregated mandates◉ (2) for a majority of our segregated mandates○ (3) for a minority of our segregated mandates☑ (C) Their commitment to incorporating material ESG factors into their stewardship activities
Select from dropdown list
○ (1) for all of our segregated mandates◉ (2) for a majority of our segregated mandates○ (3) for a minority of our segregated mandates☑ (D) Their commitment to incorporating risks connected to systematic sustainability issues into their investment
activities
Select from dropdown list
○ (1) for all of our segregated mandates◉ (2) for a majority of our segregated mandates○ (3) for a minority of our segregated mandates86☑ (E) Their commitment to incorporating risks connected to systematic sustainability issues into their stewardship
activities
Select from dropdown list
○ (1) for all of our segregated mandates◉ (2) for a majority of our segregated mandates○ (3) for a minority of our segregated mandates☑ (F) Exclusion list(s) or criteria
Select from dropdown list
○ (1) for all of our segregated mandates◉ (2) for a majority of our segregated mandates○ (3) for a minority of our segregated mandates☑ (G) Responsible investment communications and reporting obligations, including stewardship activities and results
Select from dropdown list
○ (1) for all of our segregated mandates◉ (2) for a majority of our segregated mandates○ (3) for a minority of our segregated mandates☐ (H) Incentives and controls to ensure alignment of interests☐ (I) Commitments on climate-related disclosure in line with internationally-recognised frameworks such as the TCFD
☑ (J) Commitment to respect human rights as defined in the OECD Guidelines for Multinational Enterprises and the UN
Guiding Principles on Business and Human Rights
Select from dropdown list
○ (1) for all of our segregated mandates◉ (2) for a majority of our segregated mandates○ (3) for a minority of our segregated mandates☐ (K) Their acknowledgement that their appointment is conditional on the fulfilment of their agreed responsible investmentcommitments☐ (L) Other○ (M) We do not include responsible investment aspects in clauses within our contractual agreements with external investment
managers for segregated mandates

MONITORINGRESPONSIBLE INVESTMENT PRACTICES
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 9

CORE

OO 14, OO 21

N/A

PUBLIC

Responsible
investment practices

4

For the majority of your externally managed AUM in each asset class, which aspects of your external investment
managers’ responsible investment practices did your organisation, or the service provider acting on your behalf, monitor
during the reporting year?

87

(1) Listed equity (active)(2) Listed equity (passive)(A) Commitment to and experience
in responsible investment (e.g.
commitment to responsible
investment principles andstandards)☑

☑

(B) Responsible investment
policy(ies) (e.g. the continuedalignment of their responsible
investment policy with theinvestment mandate)☑

☑

(C) Governance structure andsenior level oversight andaccountability (e.g. the adequacyof their governance structure andreported conflicts of interest)☐☐(D) Adequate resourcing andincentives (e.g. their teamstructures, operating model andremuneration structure, includingalignment of interests)☑

☑

(E) Staff competencies andexperience in responsible
investment (e.g. level of
responsible investment
responsibilities in their investment
team, their responsible investment
training and capacity building)☑

☑

Organisation

People and Culture

Investment Process88(F) Incorporation of material ESG
factors in the investment process(e.g. detail and evidence of how
such factors are incorporated into
the selection of individual assets
and in portfolio construction)☑

☑

(G) Incorporation of risks
connected to systematicsustainability issues in theinvestment process (e.g. detail andevidence of how such risks areincorporated into the selection ofindividual assets and in portfolio
construction)☐☐(H) Incorporation of material ESG
factors and ESG risks connected
to systematic sustainability issues
in portfolio risk assessment (e.g.
their process to measure andreport such risks, their response to
ESG incidents)☐☐(I) ESG disclosure in regular client
reporting (e.g. any changes in theirregular client reporting)☑

☑

(J) Inclusion of ESG factors incontractual agreements☐☐(K) We did not monitor any of theabove aspects of our external
investment managers’ responsible
investment practices during thereporting year○○

Performance and Reporting89IndicatorType of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 10PLUS

OO 14, OO 21

N/A

PUBLIC

Responsible
investment practices

1

During the reporting year, which information did your organisation, or the service provider acting on your behalf, monitor
for externally managed ESG passive products and strategies?
(1) Listed equity (passive)(A) How the external investment
managers applied, reviewed andverified screening criteria☑

(B) How the external investment
managers rebalanced the products
as a result of changes in ESG
rankings, ratings or indexes☑

(C) Evidence that ESG passive
products and strategies meet the
responsible investment criteria andprocess☑

(D) Other☑

(E) We did not monitor ESG
passive products and strategies○(F) Not applicable; we do notinvest in ESG passive products
and strategies○(D) Other - Specify:
Yes, Alignment with European Sustainable labels (ISR, Towards Sustainability, etc.)

90IndicatorType of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 11PLUS

OO 14, OO 21

N/A

PUBLIC

Responsible
investment practices

1

Describe an innovative practice you adopted as part of monitoring your external investment managers’ responsible
investment practices in a specific asset class during the reporting year.
During the reporting year, FundQuest ESG analysts started to monitor the progress of external investment managers regarding Net-Zero.
Commitments with NZAMi, SBTI, and investment managers decarbonation plans are analysed. Results of this analysis are expressed via
qualitative comments.

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 12CORE

OO 14, OO 21

N/A

PUBLIC

Responsible
investment practices

1

For the majority of your externally managed AUM in each asset class, how often does your organisation, or the service
provider acting on your behalf, monitor your external investment managers’ responsible investment practices?
(1) Listed equity (active)(2) Listed equity (passive)(A) At least annually☐☐(B) Less than once a year☑

☑

(C) On an ad hoc basis

☑

☑

91

STEWARDSHIP
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 13CORE

OO 8, OO 21

N/A

PUBLIC

Stewardship1, 2

For the majority of your externally managed AUM in each asset class, which aspects of your external investment
managers’ stewardship practices did your organisation, or the service provider acting on your behalf, monitor during thereporting year?
(1) Listed equity (active)(A) Any changes in their policy(ies)or guidelines on stewardship☑

(B) The degree of implementationof their policy(ies) or guidelines on
stewardship☑

(C) How they prioritise material
ESG factors☐(D) How they prioritise risks
connected to systematicsustainability issues☐(E) Their investment team's levelof involvement in stewardship
activities☑

(F) Whether the results ofstewardship actions were fed backinto the investment process anddecisions☐(G) Whether they used a variety of
stewardship tools and activities toadvance their stewardshippriorities☑

(H) The deployment of theirescalation process in cases where
initial stewardship efforts were
unsuccessful☐92

(I) Whether they participated incollaborative engagements andstewardship initiatives☑

(J) Whether they had an active rolein collaborative engagements andstewardship initiatives☑

(K) Other☐(L) We did not monitor our external
investment managers’ stewardshippractices during the reporting year○

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 14CORE

OO 9, OO 21

N/A

PUBLIC

Stewardship1, 2

For the majority of your AUM in each asset class where (proxy) voting is delegated to external investment managers,which aspects of your external investment managers’ (proxy) voting practices did your organisation, or the service
provider acting on your behalf, monitor during the reporting year?
(1) Listed equity (active)(A) Any changes in their policy(ies)or guidelines on (proxy) voting☑

(B) Whether their (proxy) voting
decisions were consistent with
their stewardship priorities asstated in their policy and with theirvoting policy, principles and/or
guidelines☐(C) Whether their (proxy) voting
decisions were consistent with
their stated approach on theprioritisation of risks connected tosystematic sustainability issues☐

93

(D) Whether their (proxy) voting
track record was aligned with ourstewardship approach andexpectations☐(E) The application of their policy
on securities lending and any
implications for implementing theirpolicy(ies) or guidelines on (proxy)
voting (where applicable)☐(F) Other☐(G) We did not monitor our
external investment managers’(proxy) voting practices during thereporting year○

ENGAGEMENT AND ESCALATION
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 15PLUS

OO 14, OO 21

N/A

PUBLICEngagement andescalation

4

Describe how your organisation engaged with external investment managers to improve their responsible investment
practices during the reporting year.
During the reporting year, FundQuest Advisor ESG performed RI due diligence (Clover Rating) on +40 external investment managers. Eachof these analysis results in quantitative scores and qualitative comments. When they are interested, we share some of the qualitative
comments with the external investment managers during an engagement meeting. It gives external investment managers insights about theelements that we identified as a strengths/weaknesses with regards to their RI practices and how to perform better in the next review.

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 16CORE

OO 14, OO 21

N/A

PUBLICEngagement andescalation

4

94

What actions does your organisation, or the service provider acting on your behalf, include in its formal escalation
process to address concerns raised during monitoring of your external investment managers’ responsible investment
practices?
(1) Listed equity (active)(2) Listed equity (passive)(A) Engagement with theirinvestment professionals,
investment committee or otherrepresentatives☑

☑

(B) Notification about theirplacement on a watch list or
relationship coming under review☐☐(C) Reduction of capital allocation
to the external investment
managers until any concerns havebeen rectified☐☐(D) Termination of the contract if
failings persist over a (notified)period, including an explanation of
the reasons for termination☐☐(E) Holding off selecting theexternal investment managers for
new mandates or allocating
additional capital until any
concerns have been rectified☐☐(F) Other☐☐(G) Our organisation does nothave a formal escalation process
to address concerns raised during
monitoring

○

○

95

VERIFICATION
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SAM 17CORE

OO 14, OO 21

N/A

PUBLIC

Verification

1

For the majority of your externally managed AUM in each asset class, how did your organisation, or the service provider
acting on your behalf, verify that the information reported by external investment managers on their responsible
investment practices was correct during the reporting year?
(1) Listed equity (active)(2) Listed equity (passive)(A) We checked that the
information reported was verified
through a third-party assurance
process☐☐(B) We checked that the
information reported was verified
by an independent third party☐☐(C) We checked for evidence ofinternal monitoring or compliance☐☐(D) Other☐☐(E) We did not verify the
information reported by external
investment managers on their
responsible investment practices
during the reporting year

◉

◉

96

LISTED EQUITY (LE)OVERALL APPROACH
MATERIALITY ANALYSIS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

LE 1

CORE

OO 21

N/A

PUBLIC

Materiality analysis

1

Does your organisation have a formal investment process to identify and incorporate material ESG factors across yourlisted equity strategies?
(1) Passive equity(2) Active - quantitative(3) Active - fundamental(A) Yes, our investment processincorporates material governancefactors(2) for a majority of ourAUM(2) for a majority of ourAUM(2) for a majority of our
AUM(B) Yes, our investment processincorporates material
environmental and social factors(2) for a majority of ourAUM(2) for a majority of ourAUM(2) for a majority of our
AUM(C) Yes, our investment processincorporates material ESG factors
beyond our organisation's average
investment holding period(2) for a majority of ourAUM(2) for a majority of ourAUM(2) for a majority of our
AUM(D) No, we do not have a formal
process. Our investment
professionals identify material ESG
factors at their discretion

○

○

○

(E) No, we do not have a formal orinformal process to identify andincorporate material ESG factors

○

○

○

97

MONITORING ESG TRENDS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

LE 2

CORE

OO 21

N/A

PUBLIC

Monitoring ESG
trends1

Does your organisation have a formal process for monitoring and reviewing the implications of changing ESG trends
across your listed equity strategies?
(1) Passive equity(2) Active - quantitative(3) Active - fundamental(2) for a majority of ourAUM(2) for a majority of ourAUM(2) for a majority of our
AUM(C) We do not have a formal
process for our listed equity
strategies; our investment
professionals monitor how ESG
trends vary over time at theirdiscretion

○

○

○

(D) We do not monitor and review
the implications of changing ESG
trends on our listed equity
strategies

○

○

○

(A) Yes, we have a formal processthat includes scenario analyses(B) Yes, we have a formal process,but it does not include scenario
analyses(A) Yes, we have a formal process that includes scenario analysis - Specify: (Voluntary)
Changes in ESG trends that are material for a specific sector or region are included in the regular review of our ESG methodologies by the
ESG Research team, it includes changes in regulations, in materiality, physical climate, technology and consumer demands. We use
scenario such our net zero alignment assessment. BNPP AM has developed a framework to measure the alignment of its investments incorporates largely inspired by the Paris Aligned Investment Initiative (PAII) Net Zero Investment Framework. This triple-A (NZ: AAA)
framework is based on various sources: Transition Pathway Initiative (TPI), Science Based Targets initiative (SBTi), Climate Action 100+and Carbon Disclosure Project (CDP).

98PRE-INVESTMENTESG INCORPORATION IN RESEARCH
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

LE 3

CORE

OO 21

N/A

PUBLICESG incorporation in
research

1

How does your financial analysis and equity valuation or security rating process incorporate material ESG risks?
(1) Active - quantitative(2) Active - fundamental(A) We incorporate material
governance-related risks into ourfinancial analysis and equity
valuation or security rating process(1) in all cases(1) in all cases(B) We incorporate material
environmental and social risks into
our financial analysis and equity
valuation or security rating process(1) in all cases(1) in all cases(C) We incorporate material
environmental and social risks
related to companies' supply
chains into our financial analysis
and equity valuation or security
rating process(1) in all cases(1) in all cases(D) We do not incorporate material
ESG risks into our financial
analysis, equity valuation or
security rating processes

○

○

99

IndicatorType of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

LE 4

CORE

OO 21

N/A

PUBLICESG incorporation in
research

1

What information do you incorporate when you assess the ESG performance of companies in your financial analysis,benchmark selection and/or portfolio construction process?
(1) Passive equity(2) Active - quantitative(3) Active - fundamental(A) We incorporate qualitative
and/or quantitative information on
current performance across a
range of material ESG factors(1) in all cases(1) in all cases(1) in all cases(B) We incorporate qualitative
and/or quantitative information on
historical performance across a
range of material ESG factors(1) in all cases(1) in all cases(1) in all cases(C) We incorporate qualitative
and/or quantitative information onmaterial ESG factors that may
impact or influence future
corporate revenues and/or
profitability(1) in all cases(1) in all cases(1) in all cases(D) We incorporate qualitative
and/or quantitative information
enabling current, historical and/or
future performance comparison
within a selected peer groupacross a range of material ESG
factors(1) in all cases(1) in all cases(1) in all cases

100(E) We do not incorporate
qualitative or quantitative
information on material ESG
factors when assessing the ESG
performance of companies in our
financial analysis, equity
investment or portfolio construction
process○○○

ESG INCORPORATION IN PORTFOLIO CONSTRUCTION
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

LE 5

PLUS

OO 21

N/A

PUBLICESG incorporation in
portfolio construction

1

Provide an example of how you incorporated ESG factors into your equity selection and research process during thereporting year.
For our European Equity Large Cap strategy, we applied the following ESG integration process this year:
Idea generation: Proprietary screening for companies with a combination of sustainable quality, business momentum and valuation
Step 1. Idea generation:
Exclusion list is excluded from potential buy list
All stocks specified by the Sustainability Centre and/or specified by regulators and clients
Step 2: stock selection-ESG scores are monitored through Aladdin and ZOOM-ESG section written in each investment case
Step 3: Portfolio construction and risk management
ESG issues and taking into account ‘better-than-benchmark rule on two KPIs.
-Wt avg ESG score (set in prospectus)-Wt avg Carbon footprint (set by GSS policy)
We also meet SI requirements.

101

Other:Respective SC sector analyst invited to attend review meetings. Presence recorded in minutes of the meeting.

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

LE 6

CORE

OO 21

N/A

PUBLICESG incorporation in
portfolio construction

1

How do material ESG factors contribute to your stock selection, portfolio construction and/or benchmark selection
process?
(1) Passive equity(2) Active - quantitative(3) Active - fundamental(A) Material ESG factors contributeto the selection of individual assets
and/or sector weightings within our
portfolio construction and/or
benchmark selection process(2) for a majority of ourAUM(2) for a majority of ourAUM(2) for a majority of our
AUM(B) Material ESG factors contributeto the portfolio weighting ofindividual assets within our
portfolio construction and/or
benchmark selection process(2) for a majority of ourAUM(2) for a majority of ourAUM(2) for a majority of our
AUM(C) Material ESG factors contributeto the country or region weightingof assets within our portfolio
construction and/or benchmark
selection process(2) for a majority of ourAUM(2) for a majority of ourAUM(2) for a majority of our
AUM(D) Other ways material ESG
factors contribute to your portfolio
construction and/or benchmark
selection process

102(E) Our stock selection, portfolio
construction or benchmark
selection process does not include
the incorporation of material ESG
factors○○○

PASSIVE INVESTMENTS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

LE 7

PLUS

OO 21

N/A

PUBLIC

Passive investments

1

Provide an example of how material ESG factors influenced weightings and tilts in the design of your passively managed
funds.
Example of Blue Economy Equity: how we integrate ESG in index strategies
Index provider selection: Review of index construction methodology, including the integration of sustainability in the index construction,index ESG characteristics and the strength of the index provider’s ESG research
Methodology development:
Align index rule book as best as possible to BNPP AM Responsible Business Conduct and activities prohibited by Towards Sustainability
label.

Determine definition, methodology and sub-themes of the Blue Economy investment clusters with the index provider in order to develop acustom methodology for rule bookIndex monitoring: Continuous monitoring and engagement with the index provider to adjust rule book when significant discrepancies are
identified. For example, in 2022, some issuers were excluded from the index because of their ongoing sourcing and sales of shark fin
products for example.

Engagement with issuers: Dedicated engagement strategy where we engage with selected constituents of the ETF to improve theirsustainability practices, track their progress and report back to stakeholders. Targets pre-defined investments clusters: Fish & Seafood
companies (in 2021) and Shipping Lanes companies (in 2022) with the support of Asia Research & Engagement (ARE).

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

LE 8

PLUS

OO 19, OO 21

N/A

PUBLIC

Passive investments

1103How does your organisation select the ESG index(es) or benchmark(s) for your passive listed equity assets?
☑ (A) We commission customised indexes
Explain:
When developing new index products, we select indices which fit with varying client needs from an ESG perspective. In order alignthese products further with client needs and our internal views on sustainability, BNPP creates customized indices in collaboration
with index providers to fine tune the ESG requirements. One of the key current client needs is to align index exposure with the Paris
Agreement. For this purpose, BNPP has developed a range of Paris Aligned Benchmark ETFs which currently represent EUR
10.5bn (as end of June 2023), 46% of our ETF open ended funds.

☑ (B) We compare the methodology amongst the index providers available
Explain:As described under A, BNPP selects or customizes indices based on our understanding of client needs and ESG preferences. An
essential part of the selection process is to ensure that the index construction methodology and the integration of sustainability
elements is credible and aligned with our expectations and those of our clients.
At the same time, we construct customized indices also to more clearly reflect BNPP’s approach to sustainability including our
responsible business conduct policies. BNPP has also partnered with external index providers in order to create specific indiceswhich enable investors to benefit from important sustainability related themes. By investing, our clients both benefit from thepotential financial upside and/or the potential risk mitigation. BNPP currently manages EUR 3bn in such Sustainable thematic ETFs
linked to themes such as the Blue Economy, the Circular Economy and Green, Social and Sustainability Bonds☑ (C) We compare the costs of different options available in the market
Explain:In the development of the BNP Paribas Easy ETF & Index fund range, BNP Paribas Asset Management compares the costs ofdifferent options available in the market.

☐ (D) Other

POST-INVESTMENTESG RISK MANAGEMENT
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

LE 9

CORE

OO 17.1 LE, OO
21N/A

PUBLICESG riskmanagement

1

What compliance processes do you have in place to ensure that your listed equity assets subject to negative exclusionary
screens meet the screening criteria?
☑ (A) We have internal compliance procedures that ensure all funds or portfolios that are subject to negative
exclusionary screening have pre-trade checks☐ (B) We have an external committee that oversees the screening implementation process for all funds or portfolios that are
subject to negative exclusionary screening☑ (C) We have an independent internal committee that oversees the screening implementation process for all funds or
portfolios that are subject to negative exclusionary screening○ (D) We do not have compliance processes in place to ensure that we meet our stated negative exclusionary screens104IndicatorType of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

LE 10

CORE

OO 21

N/A

PUBLICESG riskmanagement1

For the majority of your listed equity assets, do you have a formal process to identify and incorporate material ESG risks
and ESG incidents into your risk management process?
(1) Active - quantitative(2) Active - fundamental(A) Yes, our formal processincludes reviews of quantitative
and/or qualitative information onmaterial ESG risks and ESG
incidents and their implications forindividual listed equity holdings☑

☑

(B) Yes, our formal processincludes reviews of quantitative
and/or qualitative information onmaterial ESG risks and ESG
incidents and their implications forother listed equity holdings
exposed to similar risks and/or
incidents☑

☑

(C) Yes, our formal processincludes reviews of quantitative
and/or qualitative information onmaterial ESG risks and ESG
incidents and their implications forour stewardship activities☑

☑

(D) Yes, our formal processincludes ad hoc reviews ofquantitative and/or qualitative
information on severe ESG
incidents

☑

☑

105

(E) We do not have a formal
process to identify and incorporatematerial ESG risks and ESG
incidents into our risk management
process; our investment
professionals identify andincorporate material ESG risks and
ESG incidents at their discretion○○(F) We do not have a formal
process to identify and incorporatematerial ESG risks and ESG
incidents into our risk management
process○○PERFORMANCE MONITORING
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

LE 11

PLUS

OO 21

N/A

PUBLIC

Performancemonitoring

1

Provide an example of how the incorporation of ESG factors in your listed equity valuation or portfolio construction
affected the realised returns of those assets.
Our example from active listed equity funds highlights the investment philosophy behind active investing. To enable long-term value
creation, we identify investment opportunities from a bottom-up approach by integrating ESG elements in three steps: 1. idea generation, 2.
Stock selection, 3. PTF construction + risk management, ie Better-than-Benchmark or Better-Than-Investment-Universe rule.
Backward-looking and performance attribution:
In 2022 European equity markets had a disappointing year as the MSCI Europe was down by -9.49%.
Looking at the performance attribution, energy stocks performed well in 2022, well above the benchmark performance but from asustainability and ESG perspective conventional oil & gas companies are not aligned with any science-based transition scenario that
requires a maximum temperature rise of 1.5°C. The relevant SBTi’s standard for the Oil &Gas sector is still under review and in preparationand more information will be given in due course.
Forward-looking perspective:
The European equity team owns a position in the global leader in renewable diesel and sustainable aviation fuel.
This company is well positioned to benefit from decarbonisation trends in road transportation and aviation and its activities directly
contribute to reducing the carbon footprint of its customers. In 2022 this company was a top 10 contributor to excess return as MSCI Europe
was down by -9.49%. This is clearly an energy company in transition.
The company exhibited weaker performance YTD 2023 (31-Jul-23), including news regarding cuts to the Swedish biofuel mandate 2024-26
that was unhelpful as this is an important market.

106However, renewable diesel is still a growing market globally that should be able to absorb any displaced volumes.
Much of the growing demand for its solutions is supported by regulation but voluntary demand is an increasingly important growth driver,particularly in sustainable aviation fuel. The leadership of this company is underpinned by its highly advanced feedstock strategy andfootprint that cannot easily or quickly be replicated and translates directly into superior profitability.
In line with our investment philosophy and our 3-5 year holding period, we seek to exploit the Market’s increasingly short-term investment
horizon by investing in companies such as the one above when their attractive, longer-term investment attributes are masked by shorterterm trends, including sustainability trends/news.

This company has one of higher ESG score within the European energy sector and has maintained this higher ESG score over the last
three years.
From a bottom-up assessment, our equity team analyses the valuation and competitive landscape of the investment case on an ongoingbasis. This is then reflected in the active weight and conviction of the position over time.

DISCLOSURE OF ESG SCREENS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

LE 12

CORE

OO 17 LE, OO
21N/A

PUBLIC

Disclosure of ESG
screens6

For all your listed equity assets subject to ESG screens, how do you ensure that clients understand ESG screens andtheir implications?
☑ (A) We share a list of ESG screens☑ (B) We share any changes in ESG screens☐ (C) We explain any implications of ESG screens, such as their deviation from a benchmark or impact on sector weightings○ (D) We do not share the above information for all our listed equity assets subject to ESG screens

107

FIXED INCOME (FI)OVERALL APPROACH
MATERIALITY ANALYSIS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 1

CORE

OO 21

N/A

PUBLIC

Materiality analysis

1

Does your organisation have a formal investment process to identify and incorporate material ESG factors across yourfixed income assets?
(1) SSA(2) Corporate(3) Securitised(4) Private debt(A) Yes, our investment processincorporates material governancefactors(2) for a majorityof our AUM(2) for a majorityof our AUM(2) for a majorityof our AUM(2) for a majorityof our AUM(B) Yes, our investment processincorporates material environmental
and social factors(2) for a majorityof our AUM(2) for a majorityof our AUM(2) for a majorityof our AUM(2) for a majorityof our AUM(C) Yes, our investment processincorporates material ESG factors
depending on different investment
time horizons(3) for a minorityof our AUM(3) for a minorityof our AUM(3) for a minorityof our AUM(2) for a majorityof our AUM(D) No, we do not have a formal
process; our investment
professionals identify material ESG
factors at their discretion

○

○

○

○

(E) No, we do not have a formal orinformal process to identify andincorporate material ESG factors

○

○

○

○

108

MONITORING ESG TRENDS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 2

CORE

OO 21

N/A

PUBLIC

Monitoring ESG
trends1

Does your organisation have a formal process for monitoring and reviewing the implications of changing ESG trends
across your fixed income assets?
(1) SSA(2) Corporate(3) Securitised(2) for a majority of ourAUM(2) for a majority of ourAUM(2) for a majority of our
AUM(C) We do not have a formal
process for our fixed income
assets; our investment
professionals monitor how ESG
trends vary over time at theirdiscretion

○

○

○

(D) We do not monitor and review
the implications of changing ESG
trends on our fixed income assets

○

○

○

(A) Yes, we have a formal processthat includes scenario analyses(B) Yes, we have a formal process,but does it not include scenario
analyses(A) Yes, we have a formal process that includes scenario analyses - Specify: (Voluntary)
Changes in ESG trends that are material for a specific sector or region are included in the regular review of our ESG methodologies by the
ESG Research team. It includes changes in regulations, in materiality, physical climate, technology and consumer demands. We use
scenarios such our net zero alignment assessment. BNPP AM has developed a framework to measure the alignment of its investments incorporates largely inspired by the Paris Aligned Investment Initiative (PAII) Net Zero Investment Framework. This triple-A (NZ: AAA)
framework is based on various sources: Transition Pathway Initiative (TPI), Science Based Targets initiative (SBTi), Climate Action 100+and Carbon Disclosure Project (CDP).

109

PRE-INVESTMENTESG INCORPORATION IN RESEARCH
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 3

CORE

OO 21

N/A

PUBLICESG incorporation in
research

1

For the majority of your fixed income investments, does your organisation incorporate material ESG factors whenassessing their credit quality?
(1) SSA(2) Corporate(3) Securitised(4) Private debt

(A) We incorporate material
environmental and social factors

☑

☑

☑

☑

(B) We incorporate material
governance-related factors

☑

☑

☑

☑

(C) We do not incorporate material
ESG factors for the majority of our
fixed income investments

○

○

○

○

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 4

CORE

OO 21

N/A

PUBLICESG incorporation in
research

1

Does your organisation have a framework that differentiates ESG risks by issuer country, region and/or sector?

110(1) SSA(2) Corporate(3) Securitised(4) Private debt(A) Yes, we have a framework thatdifferentiates ESG risks by country
and/or region (e.g. local
governance and labour practices)(1) for all of ourAUM(1) for all of ourAUM(1) for all of ourAUM(2) for a majorityof our AUM(B) Yes, we have a framework thatdifferentiates ESG risks by sector(1) for all of ourAUM(1) for all of ourAUM(1) for all of ourAUM(2) for a majorityof our AUM(C) No, we do not have aframework that differentiates ESG
risks by issuer country, region
and/or sector

○

○

○

○

(D) Not applicable; we are not able
to differentiate ESG risks by issuer
country, region and/or sector due tothe limited universe of our issuers

○

○

○

○

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 5

CORE

OO 21

N/A

PUBLICESG incorporation in
research

1

How does your organisation incorporate material ESG factors when selecting private debt investments during the due
diligence phase?
☑ (A) We use a qualitative ESG checklist
Select from dropdown list:○ (1) in all cases◉ (2) in a majority of cases○ (3) in a minority of cases☑ (B) We assess quantitative information on material ESG factors, such as energy consumption, carbon footprint andgender diversity
Select from dropdown list:○ (1) in all cases◉ (2) in a majority of cases○ (3) in a minority of cases☑ (C) We check whether the target company has its own responsible investment policy, sustainability policy or ESG
policy111

Select from dropdown list:○ (1) in all cases◉ (2) in a majority of cases○ (3) in a minority of cases☑ (D) We hire third-party consultants to do technical due diligence on specific material ESG factors where internal
capabilities are not available
Select from dropdown list:○ (1) in all cases○ (2) in a majority of cases◉ (3) in a minority of cases☑ (E) We require the review and sign-off of our ESG due diligence process by our investment committee, or theequivalent function
Select from dropdown list:○ (1) in all cases◉ (2) in a majority of cases○ (3) in a minority of cases☑ (F) We use industry-recognised responsible investment due diligence questionnaire (DDQ) templates
Select from dropdown list:○ (1) in all cases◉ (2) in a majority of cases○ (3) in a minority of cases☐ (G) We use another method of incorporating material ESG factors when selecting private debt investments during the due
diligence process○ (H) We do not incorporate material ESG factors when selecting private debt investments during the due diligence phase
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 6

CORE

OO 21

N/A

PUBLICESG incorporation in
research

1

How do you incorporate significant changes in material ESG factors over time into your fixed income asset valuation
process?
(1) SSA(2) Corporate(3) Private debt

(A) We incorporate it into theforecast of financial metrics orother quantitative assessments(2) for a majority of ourAUM(2) for a majority of ourAUM(2) for a majority of our
AUM(B) We make a qualitative
assessment of how material ESG
factors may evolve(2) for a majority of ourAUM(2) for a majority of ourAUM(2) for a majority of our
AUM

112

(C) We do not incorporatesignificant changes in material
ESG factors

○

○

○

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 7

CORE

OO 21

N/A

PUBLICESG incorporation in
research

1

At what level do you incorporate material ESG factors into the risks and/or returns of your securitised products?
◉ (A) At both key counterparties’ and at the underlying collateral pool’s levels
Explain: (Voluntary)
We always analyse the sponsor/originator of the ABS/RMBS/MBS and the issuer of covered bonds. As far as the collateral isconcerned we analyse the use of proceeds for Green, social and sustainable securitized bonds.
Also for US MBS our security selection process will screen collateral pools for characteristics that can forecast prepayments which
inherently incorporates the assessment of ESG relevant factors such as first-time homebuyer loans, Housing Finance Authority(HFA) loans, and Ginnie Mae loans to promote homeownership for veterans and borrowers in rural areas etc.

○ (B) At key counterparties’ level only
○ (C) At the underlying collateral pool’s level only

ESG INCORPORATION IN PORTFOLIO CONSTRUCTION
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 8

CORE

OO 21

N/A

PUBLICESG incorporation in
portfolio construction

1

How do material ESG factors contribute to your security selection, portfolio construction and/or benchmark selection
process?

113

(1) SSA(2) Corporate(3) Securitised(A) Material ESG factors contributeto the selection of individual assets
and/or sector weightings within our
portfolio construction and/or
benchmark selection process(2) for a majority of ourAUM(2) for a majority of ourAUM(2) for a majority of our
AUM(B) Material ESG factors contributeto determining the holding period
of individual assets within our
portfolio construction and/or
benchmark selection process(3) for a minority of ourAUM(3) for a minority of ourAUM(3) for a minority of our
AUM(C) Material ESG factors contributeto the portfolio weighting ofindividual assets within our
portfolio construction and/or
benchmark selection process(2) for a majority of ourAUM(2) for a majority of ourAUM(2) for a majority of our
AUM(D) Material ESG factors contributeto the country or region weightingof assets within our portfolio
construction and/or benchmark
selection process(2) for a majority of ourAUM(2) for a majority of ourAUM(2) for a majority of our
AUM(E) Material ESG factors contributeto our portfolio construction and/or
benchmark selection process inother ways(2) for a majority of ourAUM(2) for a majority of ourAUM(2) for a majority of our
AUM(F) Our security selection, portfolio
construction or benchmark
selection process does not include
the incorporation of material ESG
factors○○○(E) Material ESG factors contribute to our portfolio construction and/or benchmark selection process in other ways Specify:
Fixed Income bond funds should have an average ESG score above the benchmark score (Internal proprietary ESG score).

114

PASSIVE INVESTMENTS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 9

PLUS

OO 5.3 FI, OO
21

N/A

PUBLIC

Passiveinvestments

1

Provide an example of how material ESG factors influenced weightings and tilts in the design of your passively managed
funds.
BNP Paribas Easy € Corp Bond SRI PAB UCITS ETF tracks the customized index, Bloomberg MSCI Euro Corporate SRI Sustainable
Select Ex Fossil Fuel PAB Index.
The Bloomberg MSCI Euro Corporate SRI Sustainable Select Ex Fossil Fuel Bond PAB Index is a fixed-rate, investment-grade corporatebond benchmark that follows the rules of the Bloomberg Euro Aggregate Corporate Index, and applies additional sector and ESG criteria for
security eligibility.
In addition, the index is designed to meet the standards of the EU Paris Aligned Benchmark (PAB) Label.
The index sets an initial minimum 50% reduction of absolute GHG emissions relative to the Bloomberg Euro Aggregate Corporate Index,
followed by an annual 10% decarbonisation relative to the baseline emissions.
The Bloomberg MSCI Euro Corporate SRI Sustainable Select Ex Fossil Fuel Bond PAB Index includes a 3% issuer cap, and the combined
weight of the BCLASS3 sectors of Banking, Asset Managers-Brokerages-Exchanges and Insurance cannot be more than 10% away (inabsolute terms) from the combined weight of such three sectors in the Bloomberg Euro Aggregate Corporate Index.
The Bloomberg MSCI Euro Corporate SRI Sustainable Select Ex Fossil Fuel Bond PAB Index includes issuers with MSCI ESG Ratings of
BBB or higher and negatively screens issuers that are involved in business activities that are restricted because they are inconsistent withcertain values-based business involvement criteria, including activities related to controversial military weapons, and those issuers with any
Fossil Fuel ties or with a “red” MSCI ESG Controversy Score are excluded.

Additionally, bonds must have at least 500M€ par amount outstanding.
To conclude, all these material ESG factors influence weightings.

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 10

PLUS

OO 19, OO 21

N/A

PUBLIC

Passive investments

1

How does your organisation select the ESG index(es) or benchmark(s) for your passive fixed income assets?
☑ (A) We commission customised indexes
Explain:115

When developing new index products, we select indices which fit with varying client needs from an ESG perspective. In order alignthese products further with client needs and our internal views on sustainability, BNPP creates customized indices in collaboration
with index providers to fine tune the ESG requirements. One of the key current client needs is to align index exposure with the Paris
Agreement. For this purpose, BNPP has developed a range of Paris Aligned Benchmark ETFs which currently represent EUR 5.1bn(as of end of June 2023), 49% of our ETF open ended funds☑ (B) We compare the methodology amongst the index providers available
Explain:As described under A, BNPP selects or customizes indices based on our understanding of client needs and ESG preferences. An
essential part of the selection process is to ensure that the index construction methodology and the integration of sustainability
elements is credible and aligned with our expectations and those of our clients.
At the same time, we construct customized indices also to more clearly reflect BNPP’s approach to sustainability including our
responsible business conduct policy. BNPP has also partnered with external index providers in order to create specific indices whichenable investors to benefit from important sustainability related themes. By investing, our clients both benefit from the potential
financial upside and/or the potential risk mitigation. BNPP currently manages EUR 3bn in such Sustainable thematic ETFs linked tothemes such as the Blue Economy, the Circular Economy and Green, Social and Sustainability Bonds.

☑ (C) We compare the costs of different options available in the market
Explain:In the development of the BNP Paribas Easy ETF & Index fund range, BNP Paribas Asset Management compares the costs ofdifferent options available in the market.

☐ (D) Other

POST-INVESTMENTESG RISK MANAGEMENT
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 11

CORE

OO 21

N/A

PUBLICESG riskmanagement

1

How are material ESG factors incorporated into your portfolio risk management process?
(1) SSA(2) Corporate(3) Securitised(4) Private debt

(A) Investment committee
members, or the equivalent function
or group, can veto investment
decisions based on ESG
considerations(1) for all of ourAUM(1) for all of ourAUM(1) for all of ourAUM(2) for a majorityof our AUM(B) Companies, sectors, countries
and/or currencies are monitored forchanges in exposure to material
ESG factors and any breaches ofrisk limits(2) for a majorityof our AUM(2) for a majorityof our AUM(2) for a majorityof our AUM(2) for a majorityof our AUM

116

(C) Overall exposure to specificmaterial ESG factors is measured
for our portfolio construction, andsizing or hedging adjustments are
made depending on the individual
issuer or issue sensitivity to thesefactors(2) for a majorityof our AUM(2) for a majorityof our AUM(2) for a majorityof our AUM(2) for a majorityof our AUM(D) We use another method ofincorporating material ESG factors
into our portfolio's risk management
process(2) for a majorityof our AUM(2) for a majorityof our AUM(2) for a majorityof our AUM(2) for a majorityof our AUM(E) We do not have a process toincorporate material ESG factors
into our portfolio's risk management
process

○

○

○

○

(D) We use another method of incorporating material ESG factors into our portfolio's risk management process Specify:
Issuers are ranked in deciles within their respective sector, where 1 is the best decile and 10 the worst; we take into account their ESG
score (internal proprietary score). Issuers within decile 10 are excluded from the investment universe unless a specific additional ad-hoc
analysis has been made. On the top of that, our bond funds hold a minimum of sustainable investments (SI) as well.
For Private Debt, the NEC (Net Environmental Contribution) is a methodology which is used for our investments in real assets. This score
which is computed for our Infrastructure and Real Estate investments by an external expert enables to assess the environmental
performance of our holdings compared to their sector.

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 12

CORE

OO 21

N/A

PUBLICESG riskmanagement1

For the majority of your fixed income assets, do you have a formal process to identify and incorporate material ESG risks
and ESG incidents into your risk management process?

117

(1) SSA(2) Corporate(3) Securitised(4) Private debt(A) Yes, our formal processincludes reviews of quantitative
and/or qualitative information onmaterial ESG risks and ESG
incidents and their implications forindividual fixed income holdings

☑

☑

☑

☑

(B) Yes, our formal processincludes reviews of quantitative
and/or qualitative information onmaterial ESG risks and ESG
incidents, and their implications forother fixed income holdings
exposed to similar risks and/or
incidents

☑

☑

☑

☑

(C) Yes, our formal processincludes reviews of quantitative
and/or qualitative information onmaterial ESG risks and ESG
incidents, and their implications forour stewardship activities

☑

☑

☑

☑

(D) Yes, our formal processincludes ad hoc reviews ofquantitative and/or qualitative
information on severe ESG
incidents

☑

☑

☑

☑

(E) We do not have a formal
process to identify and incorporate
ESG risks and ESG incidents; ourinvestment professionals identify
and incorporate ESG risks and
ESG incidents at their discretion

○

○

○

○

(F) We do not have a formal
process to identify and incorporate
ESG risks and ESG incidents into
our risk management process

○

○

○

○

118

PERFORMANCE MONITORING
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 13

CORE

OO 21

N/A

PUBLIC

Performancemonitoring

1

During the reporting year, how did your organisation incorporate material ESG factors when monitoring private debt
investments?
☑ (A) We used a qualitative ESG checklist
Select from dropdown list:○ (1) in all cases○ (2) in the majority of cases◉ (3) in the minority of cases☑ (B) We assessed quantitative information on material ESG factors, such as energy consumption, carbon footprint andgender diversity
Select from dropdown list:○ (1) in all cases○ (2) in the majority of cases◉ (3) in the minority of cases☑ (C) We hired third-party consultants to do technical assessment on specific material ESG factors where internal
capabilities were not available
Select from dropdown list:○ (1) in all cases○ (2) in the majority of cases◉ (3) in the minority of cases☑ (D) We used industry body guidelines
Select from dropdown list:○ (1) in all cases◉ (2) in the majority of cases○ (3) in the minority of cases☐ (E) We used another method to incorporate material ESG factors into the monitoring of private debt investments○ (F) We did not incorporate material ESG factors when monitoring private debt investments
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 14

PLUS

OO 5.3 FI, OO
21

N/A

PUBLIC

Performancemonitoring

1

Provide an example of how the incorporation of environmental and/or social factors in your fixed income valuation or
portfolio construction affected the realised returns of those assets.

119

ESG is integrated into internal Financial Analyst research and ratings, under a proprietary approach. In their internal ratings, the analysts
take into account the ESG specific existing problems, but also try to predict potential future problems that could arise, based on the
structure of a group, its business, its specific habits or its culture (lack of group financial transparency, difficult access to management,group structure complexity, business model too dependent on financial markets, etc…). Being in fixed income, the analysts also take into
account specific aspects which are not necessarily taken into account in standard ESG scores, such as the respect of bondholder interest.
In some cases, criteria usually not desirable for equities are welcomed in fixed income (example: groups directed by families are usually
very long term oriented, which is good for credit, but seen as negative on equities). Analysts take these aspects into account on theirinternal ratings. Portfolio managers will then assess the market spreads based on these ratings (both credit and ESG) when selecting
bonds.
Example 2023; our portfolio did not have any exposure to Thames Water ; this issuer was ranked in decile 10 due to Governance issues,
therefore non eligible to our fixed income portfolios. As a result, we avoided the very significant losses associated to the bonds in July 2023
(on average 15% in price).

THEMATIC BONDS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 15

PLUS

OO 20, OO 21

N/A

PUBLIC

Thematic bonds

3

What percentage of environmental, social and/or other labelled thematic bonds held by your organisation has beenverified?
As a percentage of your total labelled bonds:(A) Third-party assurance(2) >0–25%(B) Second-party opinion(5) >75%(C) Approved verifiers or external
reviewers (e.g. via CBI or ICMA)(2) >0–25%

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 16

CORE

OO 17 FI, OO 21

N/A

PUBLIC

Thematic bonds

1

What pre-determined criteria does your organisation use to identify which non-labelled thematic bonds to invest in?
☐ (A) The bond's use of proceeds☑ (B) The issuers' targets☑ (C) The issuers' progress towards achieving their targets☑ (D) The issuer profile and how it contributes to their targets○ (E) We do not use pre-determined criteria to identify which non-labelled thematic bonds to invest in○ (F) Not applicable; we do not invest in non-labelled thematic bonds

120

IndicatorType of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 17

CORE

Multiple, seeguidance

N/A

PUBLIC

Thematic
bonds

1, 2, 6

During the reporting year, what action did you take in the majority of cases when you felt that the proceeds of a thematicbond were not allocated appropriately or in accordance with the terms of the bond deal or prospectus?
☑ (A) We engaged with the issuer☑ (B) We alerted thematic bond certification agencies☑ (C) We sold the security☑ (D) We blacklisted the issuer☐ (E) Other action○ (F) We did not take any specific actions when the proceeds of a thematic bond were not allocated according to the terms of thebond deal during the reporting year
○ (G) Not applicable; in the majority of cases, the proceeds of thematic bonds were allocated according to the terms of the bonddeal during the reporting year

DISCLOSURE OF ESG SCREENS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

FI 18

CORE

OO 17 FI, OO
21

N/A

PUBLIC

Disclosure of ESG
screens6

For all your fixed income assets subject to ESG screens, how do you ensure that clients understand ESG screens andtheir implications?
☑ (A) We share a list of ESG screens☑ (B) We share any changes in ESG screens☐ (C) We explain any implications of ESG screens, such as any deviation from a benchmark or impact on sector weightings○ (D) We do not share the above information for all our fixed income assets subject to ESG screens

121

SUSTAINABILITY OUTCOMES (SO)SETTING TARGETS AND TRACKING PROGRESSSETTING TARGETS ON SUSTAINABILITY OUTCOMES
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SO 1

PLUS

PGS 48

SO 2, SO
2.1, SO 3

PUBLIC

Setting targets onsustainability
outcomes

1, 2What specific sustainability outcomes connected to its investment activities has your organisation taken action on?
☑ (A) Sustainability outcome #1(1) Widely recognised frameworks used to guide action on this sustainability outcome☑ (1) The UN Sustainable Development Goals (SDGs) and targets☐ (2) The UNFCCC Paris Agreement☐ (3) The UN Guiding Principles on Business and Human Rights (UNGPs)☐ (4) OECD frameworks: OECD Guidelines for Multinational Enterprises and Guidance on Responsible Business Conduct
for Institutional Investors☐ (5) The EU Taxonomy☐ (6) Other relevant taxonomies☐ (7) The International Bill of Human Rights☐ (8) The International Labour Organization’s Declaration on Fundamental Principles and Rights at Work and the eightcore conventions☐ (9) The Convention on Biological Diversity☐ (10) Other international, regional, sector-based or issue-specific framework(s)(2) Classification of sustainability outcome☑ (1) Environmental☑ (2) Social☑ (3) Governance-related☐ (4) Other(3) Sustainability outcome name
SDG Fundamentals and SDG Alignment Data

(4) Number of targets set for this outcome○ (1) No target◉ (2) One target○ (3) Two or more targets☑ (B) Sustainability outcome #2(1) Widely recognised frameworks used to guide action on this sustainability outcome☐ (1) The UN Sustainable Development Goals (SDGs) and targets☑ (2) The UNFCCC Paris Agreement☐ (3) The UN Guiding Principles on Business and Human Rights (UNGPs)☐ (4) OECD frameworks: OECD Guidelines for Multinational Enterprises and Guidance on Responsible Business Conduct
for Institutional Investors☐ (5) The EU Taxonomy☐ (6) Other relevant taxonomies☐ (7) The International Bill of Human Rights122☐ (8) The International Labour Organization’s Declaration on Fundamental Principles and Rights at Work and the eightcore conventions☐ (9) The Convention on Biological Diversity☐ (10) Other international, regional, sector-based or issue-specific framework(s)(2) Classification of sustainability outcome☑ (1) Environmental☐ (2) Social☐ (3) Governance-related☐ (4) Other(3) Sustainability outcome name
BNPPAM Net Zero Roadmap(4) Number of targets set for this outcome○ (1) No target◉ (2) One target○ (3) Two or more targets☑ (C) Sustainability outcome #3(1) Widely recognised frameworks used to guide action on this sustainability outcome☐ (1) The UN Sustainable Development Goals (SDGs) and targets☐ (2) The UNFCCC Paris Agreement☑ (3) The UN Guiding Principles on Business and Human Rights (UNGPs)☑ (4) OECD frameworks: OECD Guidelines for Multinational Enterprises and Guidance on Responsible BusinessConduct for Institutional Investors☐ (5) The EU Taxonomy☑ (6) Other relevant taxonomies☑ (7) The International Bill of Human Rights☑ (8) The International Labour Organization’s Declaration on Fundamental Principles and Rights at Work and theeight core conventions☐ (9) The Convention on Biological Diversity☑ (10) Other international, regional, sector-based or issue-specific framework(s)(2) Classification of sustainability outcome☑ (1) Environmental☑ (2) Social☑ (3) Governance-related☐ (4) Other(3) Sustainability outcome name
Promoting responsible business practices: Responsible Business Conduct Normative screening(4) Number of targets set for this outcome○ (1) No target◉ (2) One target○ (3) Two or more targets☐ (D) Sustainability outcome #4☐ (E) Sustainability outcome #5☑ (F) Sustainability outcome #6(1) Widely recognised frameworks used to guide action on this sustainability outcome☐ (1) The UN Sustainable Development Goals (SDGs) and targets☐ (2) The UNFCCC Paris Agreement☐ (3) The UN Guiding Principles on Business and Human Rights (UNGPs)☐ (4) OECD frameworks: OECD Guidelines for Multinational Enterprises and Guidance on Responsible Business Conduct
for Institutional Investors☐ (5) The EU Taxonomy☐ (6) Other relevant taxonomies☐ (7) The International Bill of Human Rights123☐ (8) The International Labour Organization’s Declaration on Fundamental Principles and Rights at Work and the eightcore conventions☑ (9) The Convention on Biological Diversity☐ (10) Other international, regional, sector-based or issue-specific framework(s)(2) Classification of sustainability outcome☑ (1) Environmental☐ (2) Social☐ (3) Governance-related☐ (4) Other(3) Sustainability outcome name
BNPPAM Biodiversity Roadmap(4) Number of targets set for this outcome○ (1) No target◉ (2) One target○ (3) Two or more targets☐ (G) Sustainability outcome #7☐ (H) Sustainability outcome #8☐ (I) Sustainability outcome #9☐ (J) Sustainability outcome #10
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SO 2

PLUS

SO 1

SO 2.1, SO
4, SO 5

PUBLIC

Setting targets onsustainability
outcomes1

For each sustainability outcome, provide details of up to two of your nearest-term targets.
(A1) Sustainability Outcome #1: Target details(A1) Sustainability Outcome #1:

SDG Fundamentals and SDG Alignment Data

(1) Target name

Understanding SDG Alignment(2) Baseline year2022

(3) Target to be met by124

(4) Methodology

We aim to understand how our investee companies align with the SDGs. The 17
United Nations Sustainable Development Goals are the closest thing humanity has toa roadmap for achieving a sustainable future for all. They outline an ambitious set ofobjectives to tackle inequality, end poverty and hunger and address climate change,
while simultaneously encouraging inclusive and just economic outcomes. As part ofour drive to discern our investments’ sustainability outcomes, we created SDG
Fundamentals to better understand how companies and portfolios we invest in arealigned or misaligned with the SDGs.
SDG Fundamentals was developed in collaboration between Matter and BNP Paribas
Asset Management. SDG Fundamentals is a data solution for analysing how thedifferent revenue streams generated by companies are aligned or misaligned to the
SDGs. The dataset can provide alignment and misalignment figures across all 17 atindividual SDG level (e.g., SDG 3); as well as at an individual SDG target level (e.g.
SDG 3.3), for both single entity and portfolios.
Updated monthly and covering over 53 000 companies, the tool provides investors
with a clear picture of how investments interact with the SDGs at the individual SDG,
SDG target and aggregate SDG level.
SDG Fundamentals differentiates itself from other SDG alignment datasets in four coreways:
1. Each of a company’s different revenue streams are mapped against the SDGs – thekey being granularity, as some providers sometimes oversimplify an economic activity
by e.g. assuming that healthcare companies always contribute to ‘good health andwellbeing’ – SDG 3. The reality is often more nuanced.
2. Economic activities can be either aligned or misaligned to the SDGs, highlighting
sustainable development complexities and trade-offs – For example, a company that
produces fruit can align with SDG 2, Zero Hunger, while also potentially having anegative impact on SDG 15, Life on Land.
3. It assesses all 17 SDGs – It treats every SDG as potentially investable, although notevery underlying target is investible from a product and service perspective. It provides
output for alignment/misalignment across all SDGs.
4. Conservative and realistic – It determines alignment/misalignment according to theunderlying SDG targets and indicators, leveraging relevant UNSTAT metadata, rather
than relying on investable ‘themes’. When there is a lack of information, the activity isclassed as ‘potentially aligned’ (‘potentially misaligned’).
We aim to expand the SDG alignment data available to our portfolios via Aladdin.

125SDG Fundamentals has a number of different possible applications throughout theinvestment process. We aim to expand the use of SDG Fundamentals across ourapproach.
1. Regulatory compliance: increasingly, regulation is calling for data for which theSDGs can serve as a suitable proxy (i.e. alignment with the SDGs is one of the corepillars of BNPP AM’s definition of ‘sustainable investment’ under SFDR - more details
below).
2. ESG integration into investment processes, e.g. identifying sustainable thematic
tailwinds or headwinds to inform investment decisions.
3. Exclusion/ identifying risks: Potentially identifying revenues that are misaligned tosustainable themes with a financially material impact.
4. Investment stewardship: engaging with companies to drive positive or negativechange on sustainable development priorities.
5. Development of new thematic/impact products that are tilted towards one or several
SDGs. Potentially relevant in the creation of Article 9 products under SFDR.
6. Fund level reporting: reporting linked to SFDR as well as sustainability/impact
reporting for our thematic and impact funds (and beyond, eventually).
Based on BNPP AM's definitions of Sustainable Investment in the context of SFDR,
SDG alignment is one of the pathways used to identify an issuer as 'sustainable' : anissuer is considered sustainable if it has more than 20% of its revenues aligned with
the SDGs, and less than 20% of its revenues misaligned with the SDG. Full details canbe found here: https://docfinder.bnpparibas-am.com/api/files/14787511-CB33-49FCB9B5-7E934948BE63(5) Metric used (if relevant)

Alignment Values of Companies:% of revenue aligned/potentially aligned, neutral, contested, potentially misaligned,
misaligned(6) Absolute or intensity-based (ifrelevant)(1) Absolute(7) Baseline level or amount (ifrelevant):

NA - the alignment figures are company specific and we have yet to/do not find it
meaningful to establish a firm wide figure.

(8) Target level or amount (ifrelevant)

NA(9) Percentage of total AUM
covered in your baseline year fortarget setting126

(10) Do you also have a longerterm target for this?

(2) No(B1) Sustainability Outcome #2: Target details(B1) Sustainability Outcome #2:

BNPPAM Net Zero Roadmap(1) Target name

Reduce carbon footprint of our investments(2) Baseline year

2019(3) Target to be met by

2050
BNPP AM will reduce the carbon footprint of its investment portfolios for in-scopeholdings from a 31 December 2019 baseline by 30% in 2025 (and by 50% in 2030).

(4) Methodology

We believe the emission reduction pathways encompassed in our commitment areconsistent with the required reduction in global GHG emissions to achieve net zero
emissions by 2050.
They are aligned with the 7% yearly decarbonisation rate in accordance with the
IPCC’s 1.5°C scenario with no or limited overshoot. We believe that a 50% reduction
by 2030 will put us on track for net zero financed emissions by 2050.
We will review our commitment further and enhance it as needed.
This target may be refined once we evolve our approach to measuring scope 3
emissions.
Our Carbon footprint methodology is aligned with the European Union’s Principal
Adverse Impact (EU PAI) definition for carbon footprint.
The Carbon Footprint of a given issuer is defined as the ratio of the scope 1 and 2
emissions of a company to its respective EVIC:
CF= (CO_2 e)/EVIC
Further details on our carbon measurement methodology are available here:
https://www.bnpparibas-am.com/en/measuring-carbon-footprints/

In our Net Zero Roadmap published in November 2022, we formally introduce our net
zero commitments, groups into 3 categories: Investments, stewardship and ouroperations.

127

Together, these 3 categories consist of 10 commitments that will bring us toward ourgoal of net zero financed emissions by 2050.
Investments
1.
Reduce the carbon footprint of our in-scope corporate investments (Scopes 1 and 2)1a) -30% by 2025b) -50% by 2030
2. Align with net zeroa) 60% of in-scope investments to be Achieving, Aligned or Aligning with Net Zero
(NZ:AAA) by 2030b) 100% of in-scope investments to be NZ:AAA by 2040.

3. Exit coal•
We will exclude mining companies that do not have a strategy to exit thermal coal
activities, and power generators that still have coal capacity in their generation mix, in
2030 for European Union and OECD countries and in 2040 for the rest of the world.

4. Invest in climate solutions
Substantially increase our climate and environmentally themed investments. We
believe that sustainable thematic investing can contribute to the net zero transition by
investing in companies that facilitate it.
We aim to substantially increase our climate and environmental-themed investments.
Today, BNPP AM is one of the leaders in sustainable thematic investment, with morethan EUR 21.4 billion in sustainable thematic funds that focus on environmental,
climate and social themes.
5.
Engage with our clients•
Engage with our clients to transition towards net zero investing with us.
Stewardship6.

128

Vote for climate actiona) Signal our expectation for companies to report on their carbon footprint, and for theworld’s largest greenhouse gas (GHG) emitters to set an ambition to achieve net zeroby 2050 or soonerb) Vote in favour of thoughtful shareholder proposals and submit proposals of our own
to accelerate corporate action on climate change.
7.
Engage with companies on net zero Implement an engagement strategy that is
consistent with our ambition for all assets under management to achieve net zero
emissions by 2050 or sooner. Our active membership in CA100+ is a core element ofour plan to align corporate strategies with a net zero future. CA100+ is a collective
effort to engage the world’s 167 largest corporate GHG emitters, supported byinvestors that collectively manage more than USD 68 trillion.
BNPP AM serves as lead or co-lead investor with ten companies in CA100+, andactively supports 10 other dialogues in Europe, North America and Asia. Our CA100+
engagements include electric utilities, oil & gas and aviation, three industries that are
critical for bringing about energy transition. We are helping to lead a broader effort
focused on corporate climate lobbying.
8.
Advocate for NZ 2050 aligned climate policy Play an active role in advocating for net
zero aligned policy, and seek to ensure that any relevant direct and indirect policy
advocacy that we undertake is supportive of achieving global net zero emissions by
2050 or sooner.
Operations
9.
Reduce our operational emissions footprint•Continue to offset our operational emissions while we improve energy efficiency
and use more green energy.
10.
Report on progress Produce TCFD-aligned reporting.
Our ambition is to steadily grow the proportion of our holdings that fall within the scopeof our commitment to reach net zero financed emissions by 2050. Outside thisperimeter, we will continue to work on improving the climate profile of our holdings as
we have done for our passive investments. For those investments where measuring
alignment is not yet possible due to the absence of a viable methodology or a lack ofdata (e.g., derivatives), BNPP AM will continue to work and engage with otherstakeholders to find a way to expand the holdings covered by our commitment.
(5) Metric used (if relevant)tCO2 /m€129

(6) Absolute or intensity-based (ifrelevant)(2) Intensity-based(7) Baseline level or amount (ifrelevant):

91.72 tCO2 /m€(8) Target level or amount (ifrelevant)

30% reduction by 2025, 50% reduction by 2030

(9) Percentage of total AUM
covered in your baseline year fortarget setting

50%(10) Do you also have a longerterm target for this?

(1) Yes(C1) Sustainability Outcome #3: Target details(C1) Sustainability Outcome #3:

Promoting responsible business practices: Responsible Business Conduct Normative
screening(1) Target name

Promoting responsible business practices(2) Baseline year
(3) Target to be met by(4) Methodology

We expect companies to meet their fundamental obligations to respect human andlabour rights, protect the environment and ensure anti-corruption safeguards wherever
they operate, in line with the UN Global Compact Principles and OECD Guidelines forMultinational Enterprises (OECD MNE Guidelines). We rely on our Responsible
Business Conduct Policy which sets out our exclusion policies and criterion, we also
have a series of sector policies that set out the conditions for investing in sensitive
sectors, and guide our screening requirements and stewardship activities. These
criteria are based on relevant international conventions and regulations, BNP Paribas
Group CSR Policies, and voluntary industry standards. In each sector, we highlightmandatory requirements which have to be met by issuers in order for BNP Paribas
Asset Management to invest.
We exclude companies that violate these expectations. We rely on Sustainalytics as
our data provider for controversies related to poor business practices and to identify
the worst offenders.

130

We continue to strengthen and enhance our Responsible Business Conduct to reflect
our evolving expectations for companies.
We aim to increase the scope of our portfolios that are compliant with our Responsible
Business Conduct.
(5) Metric used (if relevant)

AUM integrating Responsible Business Conduct Policy(6) Absolute or intensity-based (ifrelevant)(1) Absolute(7) Baseline level or amount (ifrelevant):(8) Target level or amount (ifrelevant)

306.8 billion integrating ESG Criteria/RBC - 61.23% (Dec 2022)(9) Percentage of total AUM
covered in your baseline year fortarget setting

61.23%(10) Do you also have a longerterm target for this?

(2) No(F1) Sustainability Outcome #6: Target details(F1) Sustainability Outcome #6:

BNPPAM Biodiversity Roadmap(1) Target name

Integrating Biodiversity into our approach(2) Baseline year2022

(3) Target to be met by(4) Methodology

Biodiversity Roadmap
We are expanding the incorporation of biodiversity into our approach to ESG
integration: we have embarked on our first step to understand our own dependencies
and impacts. We first published our biodiversity roadmap in 2021:
https://docfinder.bnpparibas-am.com/api/files/940B42EF-AFFF-4C89-8C32D9BFBA72BF24.

131

We have developed a biodiversity roadmap based on the six pillars of our approach tosustainability.
1. Integration of environmental, social & governance (ESG) considerations
We are expanding the incorporation of biodiversity into our approach to ESG
integration. We have used a variety of tools to understand our own dependencies andimpacts, and conducted analysis of our global assets under management (AUM) to
understand our exposure to water and deforestation risks.
2. Stewardship
We are expanding the incorporation of biodiversity in our voting and corporate
engagements and will engage with the industries having the greatest adverse impacts
on biodiversity, with a core focus on deforestation and water issues.
• Our proxy votes will continue to support shareholder proposals on climate,deforestation and other critical environmental issues.
• Our public policy advocacy will increasingly incorporate biodiversity considerations.

3. Responsible business conduct
On an ongoing basis, we are enhancing the assessment of biodiversity issues in our
approach to responsible business conduct. Our investment portfolios are built on acomprehensive set of sectoral policies that address a wide range of environmental
issues.
4. Forward-looking perspective
We have undertaken a number of collaborative projects to enhance the quality andavailability of biodiversity data.
For example, participating in the development of a Taskforce for Nature-related
Financial Disclosures.
5. Investment Solutions for sustainability
We will provide our clients with a range of solutions targeted at solving biodiversity
related challenges − We are offering a range of thematic funds focused on biodiversity
themes, including our Blue Economy ETF and Ecosystem Restoration funds
6.

132‘Walking the talk’ through corporate social responsibility (CSR)
We manage the biodiversity impacts of our operations • We will educate colleagues
and the industry about key environmental challenges: − We have a long-term goal tosend zero waste to landfill, to eliminate single-use plastic in our offices and reduce ourconsumption
Biodiversity Footprinting
We have used a variety of tools to understand our own dependencies and impacts,
and conducted analysis of our global assets under management (AUM) to understandour exposure to water and deforestation risks. .
We worked with Iceberg Data Lab and have published our initial research findings andour first portfolio biodiversity footprint in 2022, which can be found here:
https://docfinder.bnpparibas-am.com/api/files/60B8656F-6A6F-4A35-9244A997DCCB59FD
The Iceberg Data Lab and I Care & Consult Corporate Biodiversity Footprint uses
environmental input-output modelling and life cycle assessment data to quantify
environmental pressures along the entire supply chain of a given company, using
asset-level data where available.
The GLOBIO3 model is then used to link quantified environmental pressures tobiodiversity loss. This first biodiversity footprint assessment enables us to establish abaseline against which we can monitor our future performance. It also provides a highlevel compass to identify where closer analysis of individual issuers is warranted.
This complements the suite of tools and analysis our ESG analysts perform at thesector and issuer level, and helps to identify key targets for direct engagement by ourstewardship team and portfolio managers.
We aim to continue to ensure that investment decision-making is informed bybiodiversity considerations, particularly for key industries.
We are also working towards advancing the understanding of biodiversity issues in theinvestment and corporate communities
We aim to expand the incorporation of biodiversity in our voting and corporate
engagements.
We are constantly evolving our Stewardship policies to include more biodiversity
considerations. We are expanding the incorporation of biodiversity in our voting andcorporate engagements. We will engage with the industries having the greatest
adverse impacts on biodiversity, with a core focus on deforestation and water issues.

133• Our expectations for corporations extend from board oversight of biodiversity impacts
and dependencies to proactive lobbying for nature-positive public policies.
• We will continue to work to build a collaborative investor stewardship initiative toaddress biodiversity loss. We recently announced the launch of Nature Action 100 at
COP15, a collaborative investor initiative with the objective to reverse nature loss,
where we were part of the launching investor group.

(5) Metric used (if relevant)

km2 MSA / m EUR
Our full methodology can be found here: https://docfinder.bnpparibasam.com/api/files/60B8656F-6A6F-4A35-9244-A997DCCB59FD(6) Absolute or intensity-based (ifrelevant)(2) Intensity-based(7) Baseline level or amount (ifrelevant):

approximately -0.06 km2 MSA per million EUR invested (2022), which means that foreach million EUR invested in our funds, six fully degraded hectares are potentiallymaintained each year.

(8) Target level or amount (ifrelevant)(9) Percentage of total AUM
covered in your baseline year fortarget setting(10) Do you also have a longerterm target for this?

(2) NoIndicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SO 2.1

PLUS

SO 1, SO 2

N/A

PUBLIC

Setting targets onsustainability
outcomes1

For each sustainability outcome, provide details of up to two of your long-term targets.

134

(2) Long-term target tobe met by(1) Target name(B1) Sustainability Outcome #2:
BNPPAM Net Zero Roadmap(3) Long-term target
level or amount (ifrelevant)
Currently the AUM of inscope assets excludes
any investments insovereign bonds, agency
debt, derivatives andprivate assets to focus
only on our holdings ofpublicly-traded corporate
debt at this stage due tobarriers in terms of data
integrity and limitations inmethodology. Our
ambition is to steadily
grow the proportion of ourholdings that fall within
the scope of ourcommitment to reach net
zero financed emissions
by 2050.

Reduce carbon footprintof our investments

FOCUS: SETTING NET-ZERO TARGETS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SO 3

PLUS

SO 1

Multiple, seeguidance

PUBLIC

Focus: Setting
net-zero targets

GeneralIf relevant to your organisation, you can opt-in to provide further details on your net-zero targets.
☑ (A) Yes, we would like to provide further details on our organisation’s asset class-specific net-zero targets☐ (B) Yes, we would like to provide further details on our organisation’s net-zero targets for high-emitting sectors☑ (C) Yes, we would like to provide further details on our organisation’s mandate or fund-specific net-zero targets○ (D) No, we would not like to provide further details on our organisation’s asset class, high-emitting sectors or mandate or fundspecific net-zero targets○ (E) No, our organisation does not have any asset class, high-emitting sectors or mandate or fund-specific net-zero targets

135

IndicatorType of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SO 3.1

PLUS

SO 3

N/A

PUBLIC

Focus: Setting netzero targets

GeneralProvide details of your nearest-term net-zero targets per asset class.
(A) PRI asset class breakdown☑ Listed equity
Target details(A) PRI asset class breakdown: Listed equity(1) Baseline year

2019(2) Target to be met by

2025(3) Emissions included in target(4) Methodology(1) Scope 1(2) Scope 2
BNPP AM will reduce the carbon footprint of its investment portfolios for in-scopeholdings (including Equity) from a 31 December 2019 baseline by 30% in 2025 (and by
50% in 2030). This reduction target is based on the total in-scope holdings rather than
only our equity holdings.
Based on our current asset allocation, we have decided to focus on listed equities andcorporate bonds to be included in the scope of our net zero commitment.
We believe the emission reduction pathways encompassed in our commitment areconsistent with the required reduction in global GHG emissions to achieve net zero
emissions by 2050. They are aligned with the 7% yearly decarbonisation rate inaccordance with the IPCC’s 1.5°C scenario with no or limited overshoot.
While we acknowledge that the baseline year used to calculate the decarbonisation of
our portfolios is later than the 2010 starting point of the IPCC scenario, we believe thata 50% reduction by 2030 will put us on track for net zero financed emissions by 2050.
We will review our commitment further and enhance it as needed.

136

This target may be refined once we evolve our approach to measuring scope 3
emissions.
The Carbon Footprint of a given issuer is defined as the ratio of the scope 1 and 2
emissions of a company to its respective Enterprise Value Including Cash (EVIC):
CF= (CO2 e)/EVIC
Scope 3 emissions are not included in the calculation as the measurement of theseemissions is not yet standardised or considered reliable enough to be used inreporting.
Given the importance of Scope 3 emissions in most sectors, we are evolving ourapproach to calculating Scope 3 emissions with the aim of including them in the future.
Our Carbon footprint methodology is aligned with the European Union’s Principal
Adverse Impact (EU PAI) definition for carbon footprint. Further.
(5) Metric used

(9) Other(6) Baseline amount

Metric used: tCO2 /m€
91.72 tCO2 /m€(7) Current amount (if different
from baseline amount)59.1 tCOe2/m€(8) Targeted reduction with respect
to baseline30%(9) Percentage of total AUM
covered in your baseline year fortarget setting

50%(10) If coverage is below 100% forthis asset class, explain why

The coverage percentage mentioned earlier is based on our total assets undermanagement, please note that this percentage cover all our in-scope AUM including
Equity holdings.
Equity assets which have not been included in our initial NZ commitment scopeinclude mandates where clients have not yet adopted our Responsible BusinessConduct Policy, our advisory business, [some] affiliate businesses and [some] subadvised funds.
Our ambition is to steadily grow the proportion of our holdings that fall within the scopeof our commitment to reach net zero financed emissions by 2050.
Please note that our net zero commitment is made based on our in-scope holdings
rather than at a specific asset class.Further details on the definition of our scope areavailable in the section others.
.

☑ Fixed income137

Target details(A) PRI asset class breakdown: Fixed income(1) Baseline year

2019(2) Target to be met by

2025(3) Emissions included in target(4) Methodology(1) Scope 1(2) Scope 2
BNPP AM will reduce the carbon footprint of its investment portfolios for in-scopeholdings (including Corporate Fixed Income) from a 31 December 2019 baseline by
30% in 2025 (and by 50% in 2030).
This reduction target is based on the total in-scope holdings rather than our fixedincome only assets.
We believe the emission reduction pathways encompassed in our commitment areconsistent with the required reduction in global GHG emissions to achieve net zero
emissions by 2050. They are aligned with the 7% yearly decarbonisation rate inaccordance with the IPCC’s 1.5°C scenario with no or limited overshoot. While we
acknowledge that the baseline year used to calculate the decarbonisation of ourportfolios is later than the 2010 starting point of the IPCC scenario, we believe that a
50% reduction by 2030 will put us on track for net zero financed emissions by 2050.
We will review our commitment further and enhance it as needed. This target may be
refined once we evolve our approach to measuring scope 3 emissions.
The Carbon Footprint of a given issuer is defined as the ratio of the scope 1 and 2
emissions of a company to its respective Enterprise Value Including Cash (EVIC):
CF= (CO2 e)/EVIC
Scope 3 emissions are not included in the calculation as the measurement of theseemissions is not yet standardised or considered reliable enough to be used inreporting. Given the importance of Scope 3 emissions in most sectors, we are evolving
our approach to calculating Scope 3 emissions with the aim of including them in the
futureOur Carbon footprint methodology is aligned with the European Union’s Principal
Adverse Impact (EU PAI) definition for carbon footprint. Further details on our
methodology are available here: https://www.bnpparibas-am.com/en/measuringcarbon-footprints/

138

(5) Metric used

(9) Other(6) Baseline amount

Metric used: tCO2 /m€
91.72 tCO2 /m€(7) Current amount (if different
from baseline amount)59.1 tCOe2/m€(8) Targeted reduction with respect
to baseline30%(9) Percentage of total AUM
covered in your baseline year fortarget setting

50%(10) If coverage is below 100% forthis asset class, explain why

Assets which have not been included in our initial NZ commitment scope include
mandates where clients have not yet adopted our Responsible Business Conduct
Policy, our advisory business, [some] affiliate businesses and [some] sub-advised
funds. Additionally, we have removed from the AUM of in-scope assets any
investments in sovereign bonds, agency debt, derivatives and private assets to focus
only on our holdings of publicly-traded corporate debt at this stage.
Our ambition is to steadily grow the proportion of our holdings that fall within the scopeof our commitment to reach net zero financed emissions by 2050.The coverage
percentage mentioned earlier is based on our total assets under management, please
note that this percentage cover all our in-scope AUM including Corporate Fixed
income holdings.
Fixed income assets which have not been included in our initial NZ commitment scopeinclude mandates where clients have not yet adopted our Responsible BusinessConduct Policy, our advisory business, [some] affiliate businesses and [some] subadvised funds.
Additionally, we have removed from the AUM of in-scope assets any investments insovereign bonds, agency debt, derivatives and private assets to focus only on ourholdings of publicly-traded corporate debt at this stage. Our ambition is to steadily
grow the proportion of our holdings that fall within the scope of our commitment toreach net zero financed emissions by 2050.
Please note that our net zero commitment is made based on our in-scope holdings
rather than at a specific asset class. Further details on the definition of our scope areavailable in the section others.

☐ Private equity☐ Real estate☐ Infrastructure☐ Hedge funds☐ Forestry☐ Farmland☐ Other139

IndicatorType of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SO 3.3

PLUS

SO 3

N/A

PUBLIC

Focus: Setting netzero targets

GeneralProvide details of your net-zero targets for specific mandates or funds.
☑ (A) Fund or mandate #1(1) Name of mandate or fund
BNP Paribas Easy MSCI USA SRI S-Series PAB 5% Capped(2) Target details
Baseline year: Positioning to Paris Aligned Benchmark (PAB) in December 2021
Emissions included in target: Scope 1, 2 and 3
Methodology: the strategy follows these PAB Minimum standards:- Minimum reduction in Greenhouse Gas (GHG) Intensity relative to EVIC (Scope 1+2+3) relative to the Reference Index: at least50%- Minimum average reduction (per annum) in GHG Intensity (relative to EVIC) relative to GHG Intensity of the index at the Base
Date: at least 7%
Metric(s) used: GHG intensity expressed in tons CO2/$ Million Enterprise Value Including CashBaseline amount: GHG intensity: 102.8 t CO2/$m EVIC (December 2021)
Current amount: GHG intensity: 95.6t CO2/$m EVIC (December 2022)
Asset classes covered: Equity
Fund or mandate’s AUM at the baseline year AUM: 2.87B€ as of December 2021

☑ (B) Fund or mandate #2(1) Name of mandate or fund
BNP Paribas Easy Low Carbon 100 Europe PAB(2) Target details

140Baseline year: Positioning to PAB in December 2020
Emissions included in target: Scope 1, 2 and 3
Methodology: The strategy follows these PAB Minimum standards:- Minimum reduction in Greenhouse Gas (GHG) Intensity relative to EVIC (Scope 1+2+3) relative to the Reference Index: at least50%- Minimum average reduction (per annum) in GHG Intensity (relative to EVIC) relative to GHG Intensity of the index at the Base
Date: at least 7%
Metric(s) used: Weighted average carbon intensity (WACI) expressed in tons of CO2e per year per million EUR of enterprise value
including cash
Baseline amount: Trajectory: 163 t CO2/$m EVIC (April 2022)
Current amount: Trajectory: 151 t CO2/$m EVIC (April 2023).
We provide this information as at end of April 2023 instead of December 2022, to provide 1 year data.
Asset classes covered: Equity
Fund or mandate’s AUM at the baseline year AUM: 844M€ as of December 2020.

☑ (C) Fund or mandate #3(1) Name of mandate or fund
BNP Paribas Easy ESG Eurozone Biodiversity Leaders PAB(2) Target details
Baseline year: Positioning to PAB at launch date in August 2022
Emissions included in target: Scope 1, 2 and 3
Methodology: The strategy follows these PAB Minimum standards:- Minimum reduction in Greenhouse Gas (GHG) Intensity relative to EVIC (Scope 1+2+3) relative to the Reference Index: at least50%- Minimum average reduction (per annum) in GHG Intensity (relative to EVIC) relative to GHG Intensity of the index at the Base
Date: at least 7%
Metric(s) used: Weighted average carbon intensity (WACI) expressed in tons of CO2e per year per million EUR of enterprise value
including cash
Baseline amount: Trajectory: 333 t CO2/$m EVIC (September 2022)
Asset classes covered: Equity
Fund or mandate’s AUM at the baseline year AUM: 44M€ as of September 2022

☑ (D) Fund or mandate #4(1) Name of mandate or fund
BNP Paribas Easy € Corp SRI PAB(2) Target details

141Baseline year: Positioning to PAB in July 2022
Emissions included in target: Scope 1, 2 and 3
Methodology: The strategy follows these PAB Minimum standards:- Minimum reduction in Greenhouse Gas (GHG) Intensity relative to EVIC (Scope 1+2+3) relative to the Reference Index: at least50%- Minimum average reduction (per annum) in GHG Intensity (relative to EVIC) relative to GHG Intensity of the index at the Base
Date: at least 7%
Metric(s) used: Absolute GHG emissions PAB target expressed in tons
Baseline amount: Absolute GHG emissions PAB target: 28 349 413 tons (July 2022)
Current amount: Absolute GHG emissions PAB target: 25 514 472 tons // GHG emissions PAB actual: 20 402 095 tons (July 2023).
We provide this information as at end of July 2023 instead of December 2022, to provide 1 year data.
Asset classes covered: Corporate bonds
Fund or mandate’s AUM at the baseline year AUM: 1.99B€ as of July 2022.

☑ (E) Fund or mandate #5(1) Name of mandate or fund
BNP Paribas Easy FTSE EPRA Europe ex UK Green CTB(2) Target details
Baseline year: Positioning to PAB in March 2021
Emissions included in target: Scope 1 and 2
Methodology
CTB - Minimum standards- Minimum reduction in Greenhouse Gas (GHG) Intensity relative to EVIC (Scope 1+2+3) relative to the Reference Index: at least
30%- Minimum average reduction (per annum) in GHG Intensity (relative to EVIC) relative to GHG Intensity of the index at the Base
Date: at least 7%
Metric(s) used Emissions Intensity expressed in tCO2e per $m EVIC
Baseline amount: Emissions Intensity: 6.69 tCO2e per $m EVIC (March 2021)
Current amount: Emissions Intensity: 4.57 tCO2e per $m EVIC (March 2023).
We provide the information as at end of March 2023 instead of December 2022, to provide 2 years data.
Asset classes covered: Equity
Fund or mandate’s AUM at the baseline year AUM: 384M€ as of March 2021.

☑ (F) Fund or mandate #6(1) Name of mandate or fund
BNP Paribas Euro Climate Aligned(2) Target details

142Baseline year: February 2022
Emissions included in target : Scope 1,2 & 3 (If more than 40% of total GHG emissions).
Methodology: The eligibility of companies is assessed following an analysis of their climate ambition and their climate
performance using a proprietary approach. The portfolio is then constructed in line with the “Paris Aligned Benchmark” (“PAB”)
standards which require a reduction in the carbon footprint compared to the initial investment universe of -50%, an annual reductionof carbon footprint of the portfolio of -7%, a ratio of green share / brown share of the portfolio significantly higher than the investment
universe and an exposure to the sectors which contribute the most to climate change at least equivalent to the exposure of thestarting universe.
Metric(s) used: Carbon footprint - tCO2e per m€Baseline amount: 46.5 tCO2e per m€ (February 2022)
Current amount: 38.9 tCO2e per m€ (December 2022)
Asset classes covered: Equity
Fund or mandate’s AUM at the baseline year: 95M€ as of 4th February 2022.

☐ (G) Fund or mandate #7☐ (H) Fund or mandate #8☐ (I) Fund or mandate #9☐ (J) Fund or mandate #10

TRACKING PROGRESS AGAINST TARGETS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SO 4

PLUS

SO 2

SO 4.1

PUBLIC

Tracking progressagainst targets

1

Does your organisation track progress against your nearest-term sustainability outcomes targets?
(A1) Sustainability outcome #1:(A1) Sustainability outcome #1:

SDG Fundamentals and SDG Alignment Data

Target name:

Understanding SDG Alignment

Does your organisation trackprogress against your nearest-termsustainability outcome targets?

(1) Yes143

(B1) Sustainability outcome #2:(B1) Sustainability outcome #2:

BNPPAM Net Zero Roadmap

Target name:

Reduce carbon footprint of our investments

Does your organisation trackprogress against your nearest-termsustainability outcome targets?

(1) Yes(C1) Sustainability outcome #3:(C1) Sustainability outcome #3:

Promoting responsible business practices: Responsible Business Conduct Normative
screening

Target name:

Promoting responsible business practices

Does your organisation trackprogress against your nearest-termsustainability outcome targets?

(1) Yes(F1) Sustainability outcome #6:(F1) Sustainability outcome #6:

BNPPAM Biodiversity Roadmap

Target name:

Integrating Biodiversity into our approach

Does your organisation trackprogress against your nearest-termsustainability outcome targets?

(1) Yes

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SO 4.1

PLUS

SO 4

N/A

PUBLIC

Tracking progressagainst targets

1144During the reporting year, what qualitative or quantitative progress did your organisation achieve against your nearestterm sustainability outcome targets?
(A1) Sustainability Outcome #1: Target details(A1) Sustainability Outcome #1:

SDG Fundamentals and SDG Alignment Data

(1) Target name

Understanding SDG Alignment(2) Target to be met by(3) Metric used (if relevant)

Alignment Values of Companies: % of revenue aligned/potentially aligned, neutral,contested, potentially misaligned, misaligned(4) Current level or amount (ifrelevant)(5) Other qualitative or quantitative
progress

Currently we have made SDG alignment figures available for all our funds in a
spreadsheet format and are working to make some of the headline issuer-level figuresavailable in our front-to-end management tool, Aladdin. These SDG figures areleveraged indirectly for the creation of investment universes of article 8/9 products via
sustainable investment commitments and more directly for the creation of specificarticle 9 thematic products.

(6) Methodology for tracking
progress

SDG Fundamentals Dataset(B1) Sustainability Outcome #2: Target details(B1) Sustainability Outcome #2:

BNPPAM Net Zero Roadmap(1) Target name

Reduce carbon footprint of our investments(2) Target to be met by

2050(3) Metric used (if relevant)tCO2 /m€(4) Current level or amount (ifrelevant)

91.72 tCOe2/m€ (as of baseline - end 2019)(5) Other qualitative or quantitative
progress145

(6) Methodology for tracking
progress(C1) Sustainability Outcome #3: Target details(C1) Sustainability Outcome #3:

Promoting responsible business practices: Responsible Business Conduct Normative
screening(1) Target name

Promoting responsible business practices(2) Target to be met by(3) Metric used (if relevant)

AUM integrating Responsible Business Conduct Policy(4) Current level or amount (ifrelevant)(5) Other qualitative or quantitative
progress

In 2023, we've enhanced our responsible business conduct policies in several ways.
We incorporated mandatory engagement criteria for the agriculture, pulp production,
forestry and palm oil companies to reflect our strengthened biodiversity related
expectation for companies.

(6) Methodology for tracking
progress(F1) Sustainability Outcome #6: Target details(F1) Sustainability Outcome #6:

BNPPAM Biodiversity Roadmap(1) Target name

Integrating Biodiversity into our approach(2) Target to be met by(3) Metric used (if relevant)

km2 MSA / m EUR Our full methodology can be found here:
https://docfinder.bnpparibas-am.com/api/files/60B8656F-6A6F-4A35-9244A997DCCB59FD(4) Current level or amount (ifrelevant)

We aim to reduce the environmental footprint of our investments.
In 2022, our financed biodiversity footprint was approximately -0.06 km2 MSA per
million EUR invested
In 2023, our financed biodiversity footprint was approximately -0.04 km2 MSA per
million EUR invested

146

(5) Other qualitative or quantitative
progress

We aim to increase the portion of our AUMs that we include in the scope of BNPP AM
biodiversity footprint.
in 2022, we assessed 1800 corporate issuers, representing 70% of BNPP AM’s
corporate AUM only
in 2023, we assessed 2887 corporate issuers, representing 55% of BNPP AM’s total
AUM
We aim to continue to pilot publicly available tools to give feedback on their use-casefor investors
In 2023, we piloted the WWF Risk Filter tool suite: docfinder.bnpparibasam.com/api/files/1D232FB6-19E4-4679-A7E0-80DA475ACDD6
We aim to continue to publish biodiversity deep-dives to take stock of our research
efforts with our stakeholders
In 2023, we will publish our exposure to deforestation and conversion of natural
ecosystems, which is an update of our forest analysis published in 2021

(6) Methodology for tracking
progress

The Iceberg Data Lab and I Care & Consult Corporate Biodiversity Footprint research
and methodology

INDIVIDUAL AND COLLABORATIVE INVESTOR ACTION ON OUTCOMES
LEVERS USED TO TAKE ACTION ON SUSTAINABILITY OUTCOMES
Indicator

SO 5

Type of indicator

PLUS

Dependent on

SO 2

Gateway toMultiple

Disclosure

Subsection

PRI Principle

PUBLIC

Levers used to takeaction on
sustainability
outcomes

1, 2, 5

During the reporting year, which of the following levers did your organisation use to take action on sustainability
outcomes, including to prevent and mitigate actual and potential negative outcomes?
☑ (A) Stewardship with investees, including engagement, (proxy) voting, and direct influence with privately held assets
Select from drop down list:☑ (1) Individually☑ (2) With other investors or stakeholders☐ (B) Stewardship: engagement with external investment managers☑ (C) Stewardship: engagement with policy makers
Select from drop down list:☑ (1) Individually☑ (2) With other investors or stakeholders☑ (D) Stewardship: engagement with other key stakeholders

147

Select from drop down list:☑ (1) Individually☑ (2) With other investors or stakeholders☑ (E) Capital allocation○ (F) Our organisation did not use any of the above levers to take action on sustainability outcomes during the reporting year

CAPITAL ALLOCATION
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SO 6

PLUS

SO 5

N/A

PUBLIC

Capital allocation

1

During the reporting year, how did your organisation use capital allocation to take action on sustainability outcomes,
including to prevent and mitigate actual and potential negative outcomes?
(A) Across all sustainability outcomes(1) Capital allocation activities
used(4) Divestment from assets or sectors(2) Explain through an example

We believe that engagement is generally more effective than exclusion but divestment
can be effective as a last resort. As a last resort, we may divest entities which do notrespondto engagement and show no signs of improving and are therefore considered as not inline with our RBC.
Coal policy: Of four companies we engaged with due to concerns that they did notcomply with the requirements of our coal policy, three were found to be in breach andexcluded from our portfolios.
Climate change and biodiversity issues: We engaged with three companies on theseissues. In two cases, they remain on the watchlist. One company was excluded due tobeing in breach of our coal policy(B) Sustainability Outcome #1:(B) Sustainability Outcome #1:

SDG Fundamentals and SDG Alignment Data

(1) Capital allocation activities
used(2) Explain through an example

148

(C) Sustainability Outcome #2:(C) Sustainability Outcome #2:

BNPPAM Net Zero Roadmap(1) Capital allocation activities
used(2) Explain through an example(D) Sustainability Outcome #3:(D) Sustainability Outcome #3:

Promoting responsible business practices: Responsible Business Conduct Normative
screening(1) Capital allocation activities
used(2) Explain through an example(G) Sustainability Outcome #6:(G) Sustainability Outcome #6:

Biodiversity Roadmap and Establishing the biodiversity footprint of our investments(1) Capital allocation activities
used(2) Explain through an example

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SO 7

PLUS

OO 17 FI, SO 1

N/A

PUBLIC

Capital allocation

1

During the reporting year, did you use thematic bonds to take action on sustainability outcomes, including to prevent andmitigate actual and potential negative outcomes?

149

Thematic bond(s) label(A) Sustainability Outcome #1:
SDG Fundamentals and SDG
Alignment Data(A) Green/climate bonds(B) Social bonds(C) Sustainability bonds(B) Sustainability Outcome #2:
BNPPAM Net Zero Roadmap(A) Green/climate bonds(B) Social bonds(C) Sustainability bonds(C) Sustainability Outcome #3:
Promoting responsible businesspractices: Responsible BusinessConduct Normative screening(F) Sustainability Outcome #6:
BNPPAM Biodiversity Roadmap

STEWARDSHIP WITH INVESTEES
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SO 8

PLUS

SO 5

N/A

PUBLIC

Stewardship withinvestees

2

During the reporting year, how did your organisation use stewardship with investees to take action on sustainability
outcomes, including preventing and mitigating actual and potential negative outcomes?

150

(A) Across all sustainability outcomes(1) Describe your approach(2) Stewardship tools or activities
used(3) Example

At BNP Paribas Asset Management (BNPP AM), we are committed to being a “future
maker”, using our investments and our influence with companies and policy-makers to
advocate for low-carbon, environmentally sustainable, and inclusive economies. We
use three tools – voting, engagement, and public policy advocacy – to encourage
issuers to improve their performance and accountability on sustainability topics, and tourge policy-makers to deliver legislation, regulation and standards that promotesustainable, equitable development.These activities help us to better manage ESG
risks in the near- and long-term, enhance our knowledge and understanding as aninvestor, and generate positive impact – all of which benefit our clients.
(1) Engagement(2) (Proxy) voting at shareholder meetings(3) Filing of shareholder resolutions or proposals(8) Litigation
Engagement:
CLIMATE ACTION 100+: ACHIEVING THE NET ZERO COMPANY BENCHMARKBNPP AM leads, or co-leads, engagement with ten companies: Iberdrola, Naturgy,
Nestlé, Saint-Gobain, Repsol, Stellantis, Sinopec, Power Assets Holdings, PTT Pcl
and Exxon Mobil.
PTT PCL (Thailand)• Had one call this year to continue previous engagement and encourage PTT Pcl toenhance its climate commitments in line with the expectations of the NZCB, startingwith the first indicator of adopting a net zero by 2050 ambition.
• In March 2022 the company announced its plans to aim for ‘net zero’ GHG emissions
by 2050, which resulted in an improvement in its score on indicator 1 to ‘Partial’.
• The company also set up a new Net Zero Task Force to help drive its net zeroambitions and outlined other steps it is exploring to improve its climate strategy.
Proxy Voting
IMPROVING BOARD INDEPENDENCE AND GENDER DIVERSITY
One set of expectations in our voting policy is that boards have sufficient
independence and gender diversity.
Extensive evidence shows that companies with more diverse boards or management
teams generate more sustainable value creation over the long term. Our goal is for
40% of all board members to be women by 2025 in all markets. We set out our
expectations on gender diversity in our 2022 voting policy: for Europe, North America,
Australia, South Africa and New Zealand, we expected a minimum of 30% female
board membership, and in Latin America, Asia, Middle East and Africa (ex.

151South Africa) our threshold was 15%. (Under certain conditions, we will support boards
with a ratio just below this, for example, if the company has made significant
improvements in recent years or commits to reaching our thresholds within two years.)Shareholder resolution
CONTINUING OUR LEADERSHIP ON CLIMATE LOBBYING RESOLUTIONS IN THE
US
In 2020, we drafted a shareholder proposal encouraging companies to align their direct
and indirect lobbying efforts with the goals of the Paris Agreement.
Our proposal at Exxon Mobil received a 64% vote in 2021. We resubmitted the
proposal for the company’s 2022 annual meeting, as we did not have a concretecommitment from the company to comply with our request until after the filing deadline.
After a series of meetings with the company, we ultimately withdrew our proposal in
exchange for the publication of Exxon’s inaugural climate lobbying report.
(B) Sustainability Outcome #1:(B) Sustainability Outcome #1:

SDG Fundamentals and SDG Alignment Data

(1) Describe your approach(2) Stewardship tools or activities
used(3) Example(C) Sustainability Outcome #2:(C) Sustainability Outcome #2:

BNPPAM Net Zero Roadmap(1) Describe your approach(2) Stewardship tools or activities
used(3) Example

152

(D) Sustainability Outcome #3:(D) Sustainability Outcome #3:

Promoting responsible business practices: Responsible Business Conduct Normative
screening(1) Describe your approach(2) Stewardship tools or activities
used(3) Example(G) Sustainability Outcome #6:(G) Sustainability Outcome #6:

Biodiversity Roadmap and Establishing the biodiversity footprint of our investments(1) Describe your approach(2) Stewardship tools or activities
used(3) Example

Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SO 9

PLUS

SO 5

N/A

PUBLIC

Stewardship withinvestees2

How does your organisation prioritise the investees you conduct stewardship with to take action on sustainability
outcomes, including preventing and mitigating actual and potential negative outcomes?
☑ (A) We prioritise the most strategically important companies in our portfolio.
Describe how you do this:153

Per our Stewardship Policy (page 5 https://docfinder.bnpparibas-am.com/api/files/4325252A-11B4-45A4-AEB1-89BD05503BBF),
our decision to engage with a company is two-fold, topical and practical. In particular, we prioritise companies based on the following
considerations, aimed to select the most strategic companies to engage with: “The size of our holdings”, “Reasonable access to thecompany, directly or via our JVs or Delegated managers”, “Our past experience of engagement with the company and thecompany’s degree of responsiveness to the issue”.
In practice, as an illustration:
On engagement related to corporate governance and voting, we prioritise top holdings, large active positions, and holdings that
represent a substantial percentage of companies in question. These dialogues are systematically conducted with companies held by
our active managers and included in the main French index (CAC 40) or if we are one of the largest shareholders. (p.52-55 of 2022
Sustainability Report https://docfinder.bnpparibas-am.com/api/files/20B0B5A3-B05F-4CD1-B7E5-2F2536D52581)

Select from the list:◉1○ 4☑ (B) We prioritise the companies in our portfolio most significantly connected to sustainability outcomes.
Describe how you do this:Per our Stewardship Policy (page 5), our decision to engage with a company is two-fold, topical and practical. In particular, wepriorities companies to engage with based on the following considerations, assessing the connection between issuers andsustainability outcomes:“The role the issuer plays in creating or exacerbating the risk to be addressed” (e.g., for a climate change engagement,
whether the company is a heavy GHG emitter);‘The importance of the issue for the company and the industry in which the company operates’.
In practice, as an illustration:
On thematic engagement linked to gender diversity, we engage with companies among top exposures of our equity portfolios
and for which we identify a gap between the level of gender diversity on the board of directors and the expectations of ourgovernance and voting policy.
(p.64 of 2022 Sustainability Report)
On thematic engagement linked to biodiversity, through the CDP Non-Disclosure campaign, we engage with companies among
top exposures and identified by the CDP as having “critical” impacts on climate, forests, and water security. (p.60 of 2022
Sustainability Report)
On engagement linked to ESG performance, we engage with companies linked to specific ESG areas where they underperform
based on our internal proprietary scoring methodology. We also engage with some companies at risk of breaching international
standards like the UN Global Compact principles based on our monitoring of key events and controversies. (p.66 of 2022
Sustainability Report)
Needs identified by our partners in collaborative investor initiatives coordinated by networks, such as the Climate Action 100+,
CERES, AIGCC or IIGCC;’ is also a ‘practical’ consideration when deciding to engage with a company. For example, BNPP AM is
one of 700 investors who are signatories of Climate Action 100+, that engage collaboratively with the world’s largest emitters to
improve climate change governance.

Select from the list:◉2○ 4☑ (C) We prioritise the companies in our portfolio to ensure that we cover a certain proportion of the sustainability
outcomes we are taking action on.
Describe how you do this:154

Per our Stewardship Policy (page 5), we undertake three main types of engagement: engagement related to corporate governanceand voting, thematic engagement, and engagement linked to ESG performance.
As examples:
As part of governance and voting-related engagement, as an example, we aim to engage all our top holdings in the beginningof the year to provide them with our updated voting guidelines and engagement priorities for the year (p.55 of 2022 Sustainability
Report).
As part of ESG performance-related engagement, we aim to avoid investing in weakly rated entities in active portfolios without
documenting the risks and/or engaging or planning to actively engage in the near future (p.6 ESG Integration Guidelines).
As part of thematic engagement, we prioritise issuers that are the most material to achieving our sustainable investment andstewardship objectives, outlined in our Global Sustainability Strategy through the “3Es” i.e.
Energy Transition, Environmental Sustainability, Equality and Inclusive Growth (p.56 of 2022 Sustainability Report). Given our global
presence and the wide geographic scope of our clients’ holdings, we endeavour to engage consistently across all regions on key
ESG issues and in line with the 3Es. We seek to establish in-depth dialogues with companies, for example, encouraging them to:• Align their strategies with the goals of the Paris Agreement;• Improve their environmental footprint, e.g., improving their water efficiency, committing to eliminate deforestation from theiroperations and supply chains;• Provide greater opportunities for women at all levels of the organization;• Adopt more equitable and transparent remuneration policies that ensure that wealth is more fairy distributed across the value
chain, where value is created.

Select from the list:◉3○ 4☐ (D) Other

STEWARDSHIP: ENGAGEMENT WITH POLICY MAKERS
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SO 11

PLUS

SO 5

N/A

PUBLIC

Stewardship:
Engagement with
policy makers

2During the reporting year, how did your organisation use engagement with policy makers to take action on sustainability
outcomes, including preventing and mitigating actual and potential negative outcomes?

155

(A) Across all sustainability outcomes(1) Describe your approach

BNPP AM has a long-standing commitment to policy advocacy to advance oursustainability goals, contribute to a well-functioning financial system and mitigate
systemic risks. We believe that helping to shape legal frameworks, regulation,
standards and guidance is integral to the fulfilment of our fiduciary duties to our clients.

One of the core tenets of the Principles for Responsible Investment, to which we are asignatory, is participation ‘in the development of policy, regulation, and standard setting(such as promoting and protecting shareholder rights)’. We also operate within theprovisions of the Group’s Charter for Responsible Representation with Respect to the
Public Authorities. O
Our Public Policy Stewardship strategy is available on our website. We contribute toinitiatives at the international, regional and national levels on matters relating tosustainable finance, corporate governance and disclosure, as well as on a wide rangeof sustainability issues. While we sometimes meet agencies and policy makers
individually, we favour engagements undertaken in partnership with other investors, informal or informal networks, wherever possible.
Given the important role played by accounting and other professional bodies, we also
aim to shape the standards and guidance they develop and oversee. Our approaches
include:• Public submissions to legislators, regulators and multilateral institutions, e.g.,
responding to public consultations;• Participation in the development of policy proposals in public and private fora, suchas technical advisory committees and investor associations;• Meetings with policymakers;• Publication of white papers; and• Endorsement of public statements and commitments developed by investor andother stakeholder initiatives.

(2) Engagement tools or activities
used(1) We participated in ‘sign-on’ letters(2) We responded to policy consultations(3) We provided technical input via government- or regulator-backed working groups(4) We engaged policy makers on our own initiative156

(3) Example(s) of policies engagedon(1) We participated in several letters to express our support for select issues. For
example: Along with other investors representing US$17.45 trillion in AUM andorganised by FAIRR, we signed a letter that called on the Director General of theUnited Nations Food and Agriculture Organisation (FAO) to produce a Global
Roadmap for the Agriculture, Food and Land-Use sectors.
These sectors account for over 30% of total global emissions.
(2) We responded to policy consultations, including ESMA call for evidence on the
Shareholder Rights Directive 2 and ESMA consultation on ESG Rating providers
during 2022.
(3) We provided technical input via government- or regulator-backed working groups.
For instance, the Monetary Authority of Singapore (MAS) issued an industry
consultation on Proposed Disclosure Requirements for Retail ESG Funds. We
participated in an engagement session with MAS, as members of the working group,
which drafted the Singapore Environmental Risk Management guidelines. Our Global
Head of Sustainability Jane Ambachtsheer was also appointed to the MAS Sustainable
Finance Advisory Committee during the year.
(4) We engage policymakers on our own initiatives to share our recommendations
and feedback.
Building on work started in 2021, the U.S. Securities and Exchange Commission(SEC) proposed a rule that would require publicly traded companies to disclose
comprehensive information about their approach to tackling climate change. We
contributed to BNP Paribas group’s comment letter, expressing broad support for therule and recommending that Scope 3 disclosures be mandated for all large companies.
(B) Sustainability Outcome #1:(B) Sustainability Outcome #1:

SDG Fundamentals and SDG Alignment Data

(1) Describe your approach(2) Engagement tools or activities
used(3) Example(s) of policies engagedon157

(C) Sustainability Outcome #2:(C) Sustainability Outcome #2:

BNPPAM Net Zero Roadmap(1) Describe your approach(2) Engagement tools or activities
used(3) Example(s) of policies engagedon(D) Sustainability Outcome #3:(D) Sustainability Outcome #3:

Promoting responsible business practices: Responsible Business Conduct Normative
screening(1) Describe your approach(2) Engagement tools or activities
used(3) Example(s) of policies engagedon(G) Sustainability Outcome #6:(G) Sustainability Outcome #6:

BNPPAM Biodiversity Roadmap(1) Describe your approach(2) Engagement tools or activities
used(3) Example(s) of policies engagedon158

STEWARDSHIP: ENGAGEMENT WITH OTHER KEY STAKEHOLDERS
Indicator

SO 12

Type of indicator

PLUS

Dependent on

SO 5

Gateway to

N/ADisclosure

Subsection

PRI Principle

PUBLIC

Stewardship:
Engagement withother keystakeholders

2, 5Does your organisation engage with other key stakeholders to support the development of financial products, services,
research, and/or data aligned with global sustainability goals and thresholds?
(A) Across all sustainability outcomes(1) Key stakeholders engaged(1) Standard setters(2) Reporting bodies(3) Stock exchanges(6) External service providers (e.g. proxy advisers, investment consultants, data
providers)(7) Academia(8) NGOs(2) Provide further detail on yourengagement

1. We engage with standard setters to share our concerns and expertise in order topromote what we believe are best practices in terms of sustainability reporting. For
example, BNPP AM recently engaged with ISSB. The ISSB was established by the
IFRS Foundation to ‘deliver a comprehensive global baseline of sustainability-related
disclosure standards that provide investors and other capital market participants withinformation about companies’ sustainability-related risks and opportunities to help
them make informed decisions. We were pleased to have the opportunity for an inperson meeting with representatives of the ISSB to receive an update on ISSB’s workand to express our concerns about ISSB’s definition of materiality and sole focus on
impacts to enterprise value.
2. Matter/Iceberg data lab
In 2022, we launched SDG Fundamentals, a dataset developed in collaboration
between Matter and BNP Paribas Asset Management. The dataset can providealignment and misalignment figures across all 17 SDGs. We worked with Danish
fintech Matter to create the dataset to help investors better understand how aligned or
misaligned company revenues are with the UN SDGs.
3. GRASFIIn 2018, we established an academic

159

partnership with the Global Research Alliancefor Sustainable Finance and Investment(GRASFI) so that our investment teams have access to leading research, helping to
inform the broader debate as well as our own methodologies and investment
approaches. Their annual conference brings researchers together from around theworld to present their findings on a range of topics related to
Sustainability.
4. NGOs: ShareAction
In 2023, we were ranked 2nd among the world’s 77 largest asset managers acrossresponsible investment themes in ShareAction’s ‘Point of No Returns report’. Ourpolicies and achievements have been featured in several of their reports and are
happy to share the ways BNPPAM promotes responsible investment across various
themes. We exchange with ShareAction throughout the reporting duration to better
understand their methdology. We also engage with the NGO after the publication of
the reports to better understand how we can further improve our ranking.
(B) Sustainability Outcome #1:(B) Sustainability Outcome #1:

SDG Fundamentals and SDG Alignment Data

(1) Key stakeholders engaged(2) Provide further detail on yourengagement(C) Sustainability Outcome #2:(C) Sustainability Outcome #2:

BNPPAM Net Zero Roadmap(1) Key stakeholders engaged(2) Provide further detail on yourengagement(D) Sustainability Outcome #3:(D) Sustainability Outcome #3:

Promoting responsible business practices: Responsible Business Conduct Normative
screening(1) Key stakeholders engaged

160

(2) Provide further detail on yourengagement(G) Sustainability Outcome #6:(G) Sustainability Outcome #6:

BNPPAM Biodiversity Roadmap(1) Key stakeholders engaged(2) Provide further detail on yourengagement

STEWARDSHIP: COLLABORATION
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

SO 13

PLUS

SO 5

N/A

PUBLIC

Stewardship:
Collaboration2

During the reporting year, to which collaborative initiatives did your organisation contribute to take action onsustainability outcomes, including preventing and mitigating actual and potential negative outcomes?
(A) Initiative #1(1) Name of the initiative

Climate Action 100+(2) Indicate how your organisation
contributed to this collaborative
initiative(A) We were a lead investor in one or more focus entities (e.g. investee companies)(B) We acted as a collaborating investor in one or more focus entities (e.g. investee
companies)(C) We publicly endorsed the initiative(G) We were part of an advisory committee or similar(3) Provide further detail on yourparticipation in this collaborative
initiative

Thibaud Clisson, our Climate Change analyst, is a Member of the Corporate Programof the IIGCC (Institutional Investors Group on Climate Change) representing BNPParibas AM. Climate Action 100+ was launched by IIGCC along with four othernetwork partners in 2017161

(B) Initiative #2(1) Name of the initiative

CDP Non-Disclosure campaign(2) Indicate how your organisation
contributed to this collaborative
initiative(A) We were a lead investor in one or more focus entities (e.g. investee companies)(B) We acted as a collaborating investor in one or more focus entities (e.g. investee
companies)(C) We publicly endorsed the initiative(3) Provide further detail on yourparticipation in this collaborative
initiative(C) Initiative #3(1) Name of the initiative

UN Plastic Pollution Treaty High Ambition Business Coalition / Global Investor
Statement to Governments on the Climate Crisis. Full list of investor statements signed
by BNPP AM in the last two years is available on p. 84 of our 2022 Sustainability
Report.

(2) Indicate how your organisation
contributed to this collaborative
initiative(C) We publicly endorsed the initiative(3) Provide further detail on yourparticipation in this collaborative
initiative(D) Initiative #4(1) Name of the initiative(2) Indicate how your organisation
contributed to this collaborative
initiative

academic partnership with the Global Research Alliance for Sustainable Finance andInvestment (GRASFI)(D) We provided pro bono advice, research or training(F) We provided financial support(3) Provide further detail on yourparticipation in this collaborative
initiative162

CONFIDENCE-BUILDING MEASURES (CBM)
CONFIDENCE-BUILDING MEASURESAPPROACH TO CONFIDENCE-BUILDING MEASURES
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

CBM 1

CORE

N/A

Multiple
indicators

PUBLICApproach toconfidence-building
measures6

How did your organisation verify the information submitted in your PRI report this reporting year?
☐ (A) We conducted independent third-party assurance of selected processes and/or data related to the responsible investment
processes reported in our PRI report, which resulted in a formal assurance conclusion☐ (B) We conducted a third-party readiness review and are making changes to our internal controls or governance processes tobe able to conduct independent third-party assurance next year
☑ (C) We conducted an internal audit of selected processes and/or data related to the responsible investment processes
reported in our PRI report☑ (D) Our board, trustees (or equivalent), senior executive-level staff (or equivalent), and/or investment committee (orequivalent) signed off on our PRI report☐ (E) We conducted an external ESG audit of our holdings to verify that our funds comply with our responsible investment policy☐ (F) We conducted an external ESG audit of our holdings as part of risk management, engagement identification or investment
decision-making☑ (G) Our responses in selected sections and/or the entirety of our PRI report were internally reviewed before
submission to the PRI○ (H) We did not verify the information submitted in our PRI report this reporting year

INTERNAL AUDIT
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

CBM 4

CORE

OO 21, CBM 1

N/A

PUBLICInternal audit

6

What responsible investment processes and/or data were audited through your internal audit function?
☑ (A) Policy, governance and strategy
Select from dropdown list:○ (1) Data internally audited○ (2) Processes internally audited◉ (3) Processes and data internally audited☑ (B) Manager selection, appointment and monitoring
Select from dropdown list:○ (1) Data internally audited○ (2) Processes internally audited◉ (3) Processes and data internally audited☑ (C) Listed equity

163

Select from dropdown list:○ (1) Data internally audited○ (2) Processes internally audited◉ (3) Processes and data internally audited☑ (D) Fixed income
Select from dropdown list:○ (1) Data internally audited○ (2) Processes internally audited◉ (3) Processes and data internally audited
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

CBM 5

PLUS

CBM 1

N/A

PUBLICInternal audit

6

Provide details of the internal audit process regarding the information submitted in your PRI report.
In 2022, BNPP AM was audited by the BNP Paribas Group General Inspection, e, BNP Paribas Group’s internal audit department, which
provided us with second-party validation of our policies and processes. This assignment took place during the entire first quarter (3 months)
by a team of 9 inspectors. The objective of the assignment was to assess the quality, effectiveness and sustainability of the Governance,
Risk Management and Internal Control framework surrounding the BNPP AM Sustainable Investments. The team was organized in threestreams: i/ Organisation, Governance, Communication and Regulatory watch, ii/ Product&Strategic marketing and front to back processes,
iii/ ESG Scoring, risk monitoring, ESG data management and permanent control.
We have also had a review by Inspection Générale in 2023, this time focusing on sustainability governance, communications, sustainability
product definitions, and the control framework in place surrounding sustainability. This approach provides us with an arms-length opinion of
the validity of our policies and processes and helps to ensure our communications are fair, balanced and understandable.

INTERNAL REVIEW
Indicator

Type of indicator

Dependent on

Gateway toDisclosure

Subsection

PRI Principle

CBM 6

CORE

CBM 1

N/A

PUBLICInternal review

6

Who in your organisation reviewed the responses submitted in your PRI report this year?
☐ (A) Board, trustees, or equivalent☑ (B) Senior executive-level staff, investment committee, head of department, or equivalent
Sections of PRI report reviewed◉ (1) the entire report○ (2) selected sections of the report○ (C) None of the above internal roles reviewed selected sections or the entirety of the responses submitted in our PRI report
this year164