FRR 2016 ANNUAL REPORT28

Furthermore, new investments in passive equity management mandates managed according to the RAFI Eurozone (+EUR 380 million) and MSCI Momentum Enhanced Value Target Euro- zone® (+EUR 530 million) indices, were decar- bonised, replacing previous non-decarbonised investments.

Decarbonised investments thus increased by EUR 910 million in 2016 (excluding the market effect).

Contribution from the different asset classes to the portfolio s performance

The FRR portfolio s performance amounted to 4.97% in 2016, with contributions of 1.31% from hedging assets and 3.75% from performance assets.

The diversification of performance assets was highly beneficial in 2016. European equities were the main sources of this performance, adding 1.2% of the 3.75% coming from this asset class. Such a large contribution is primar- ily attributable to their weighting in the portfolio: 22.5% at the end of 2016.

Other assets also boosted performance despite their lighter weighting in the portfolio: emerging market bonds accounted for 0.73% of the performance, and their total weighting was 5.8%;

US equities accounted for 0.61% of the per- formance despite a weighting of just 7% net of hedging;

high yield corporate bonds added 0.49% to performance with a weighting of 3.1%;

emerging market equities contributed 0.49% to performance with a weighting of 5.7% at the end of 2016.

AMOUNT OF ASSETS INVESTED IN THE FRENCH ECONOMY AT 31/12/2016

The total amount of investment in the French economy stood at EUR 10.812 billion, i.e. approximately one third of the FRR s total assets..

High yield bonds 47.4

French Treasury Bonds 5,723.6

Cash 422.22

Equity 2,383.2

Unlisted assets 898.6Investment

grade corporate bonds 1,336.9

Assets invested in the French economy (EUR million)