Exhaust Gas Recirculation (EGR) Cooler
WARNING: This page is about a different car, the 2021 Ford F-150. However, it is still accessible from the selected car via links, so may be relevant.
The exhaust gases are directed through the EGR cooler to lower the exhaust gas temperature before entering the intake manifold. The EGR cooler uses engine coolant to reduce the exhaust gas temperature.