Climate Risk Heat-Mapping Framework: Vulnerability Rubric 1 2 3 4 Transition Risks Regulatory No regulatory/policy changes are expected to meaningfully impact the sector financially such as through asset devaluation, increased expenditure (e.g., compliance costs) and/or loss of revenue Minor impact to the sector expected from potential regulatory/policy changes (e.g., building efficiency) resulting in financial impact asset devaluation, increased expenditure (e.g., compliance costs) or loss of revenue; impact only on a subset of the sector, subset of geographies and/or only indirect impact Moderate impact to the sector expected from regulatory/policy changes (e.g., carbon taxes) relating to the sector’s carbon intensity; direct impact with noticeable economic implications on the sector through impacted asset valuation, increased expenditure (e.g., compliance costs) and/or revenue loss Major impact to the sector expected due to expected regulatory/ policy changes relating to the sector’s carbon intensity; significant shift expected in the business model or economics of the sector impacting asset valuation, expenditures (e.g., increased compliance costs) and/or revenue Technology Outside of general modernization of tech - nology, no technology shifts are expected for the sector Minor impact to the sector expected from technology changes (i.e., impact only on a small subset of the sector, or only indirect impact through supply chain) that result in market share loss Moderate impact to the sector expected from technology changes, resulting in some shift in the economics of some companies in the sector leading to market share loss Major impact to the sector expected from technology changes, resulting in substitution of a significant portion of existing companies (i.e., market share loss) Stakeholder There is no expectation of stakeholder composition or preferences changing for the industry Minor stakeholder impact due to expected shift in preferences, with minor financial impact on companies (e.g., revenue, vendor pricing) Moderate stakeholder impact is expected for the sector in terms of stakeholder preferences and composition, with modest financial impact (e.g., revenue, vendor pricing) Major stakeholder impact is expected in terms of both client preferenc - es and composition of stakeholders, resulting in significant financial impact (e.g., revenue loss, vendor pricing) Legal No increased litigation concerns are expected to impact the industry that would lead to increased financial burden (e.g., legal fees, settlements) Minor litigation concerns are expected to impact the sector, with minor financial consequences (e.g., legal fees, settlements) Moderate litigation concerns are expected to impact the sector, with modest financial impact (e.g., legal fees, settlements) Major litigation is expected to impact the sector, with significant financial impact (e.g., legal fees, settlements) Physical Risks Acute Hazard Acute physical hazards have no impact on the day- to-day operations of companies in the sector Sector would experience minor impact from acute physical hazards on operations (e.g., revenue loss due to business disruption), or minor damage to assets (e.g., asset devaluation) Sector would experience moderate and protracted impact from acute physical hazards on operations (e.g., revenue loss due to business disruption), or moderate damage to assets (e.g., asset devaluation) Sector would experience major and protracted im - pact from acute physical hazards on operations (e.g., revenue loss due to business disruption), or significant damage to assets (e.g., asset devaluation) Chronic Hazard Chronic physical hazards have no impact on the operations or valuation of assets/ companies in the sector Chronic physical hazards have minor potential impact on the operations (e.g., increased insurance cost) or valuation of assets/companies in the sector Sector would experience moderate and sustained impact on the operations (e.g., increased insur - ance cost) or valuation of assets/companies in the sector Sector would experience major and irreversible impact on the operations or valuation of assets/ companies in the sector LOW VULNERABILITY SCORE HIGH Our climate risk heat map (included on the following pages) categorizes sectors under one of four vulnerability scores, ranging from low to high. We have established subscores using the rubric in the following table for various aspects of transition and physical risks. Contents ESGatCiti SustainableFinance SustainableProgress Equitable&ResilientCommunities Talent& DEI RiskManagement&ResponsibleBusiness Appendices CITI 2021 ESG REPORT 46