15

Annual performance of both asset classes

Liability Hedging Portfolio Performance Seeking Portfolio

-15%

-10%

-5%

0%

5%

10%

01 /0

1/ 20

16

01 /0

2/ 20

16

01 /0

3/ 20

16

01 /0

4/ 20

16

01 /0

5/ 20

16

01 /0

6/ 20

16

01 /0

7/ 20

16

01 /0

8/ 20

16

01 /0

9/ 20

16

01 /1

0/ 20

16

01 /1

1/ 20

16

01 /1

2/ 20

16

Source: Index providers (FTSE Russell, MSCI, Barclays Capital, JPMorgan) via Spirris.

The FRR s performance INCREASE IN ASSETS In 2016, the FRR s overall performance was 4.97% net of charges, and its assets amounted to EUR 36.004 billion at 31 December.

Despite low interest rates in 2016, hedging assets appreciated by 3.1% due to fresh rate cuts in the eurozone and lower risk premiums in the United States. Performance assets had gained 8.2% at the end of a very turbulent journey.

Consequently, both types of assets contributed positively to performance in 2016: 1.3% for hedging assets and 3.7% for performance assets.

Taking a closer look at hedging assets, invest- ment grade corporate bonds in euro performed best (+4.7%), ahead of those in dollars (+2.5%) and matching of FRR s liabilities, invested in OAT (+1.8%).

The equity portfolio s diversification was highly beneficial in 2016, through the FRR s sizeable positions in US and emerging market equities. The latter appreciated by 14.5%, beating the

In 2016, the FRR s overall

performance was 4.97% net

of charges.