33

Method using capital (t CO2 e per million euro invested)

0

50

100

150

200

250

300

350

400

450

500

FRR composite index FRR s portfolio

End 2013 End 2014 End 2015 End 2016

473.57

403.87 420.63

357.41 352.65

245.44

324.61

232.56

At the end of 2016, the carbon footprint of the FRR s equity portfolio was 272.9 tonnes of CO2 equivalent per million euro of revenue. It is 28.9% lower than that of the FRR s benchmark index1. The difference widened again in 2016. Between 2013 and 2016, the FRR s portfolio reduced its carbon footprint by 37.5%, whereas the benchmark s fell by just 17.6%. This perfor- mance essentially results from the decarboni- sation process under way since 2014 on passively managed equity portfolios.

1 15.9% MSCI Emerging Markets index +42.5% FTSE Developed All Cap Excluding Eurozone index +41.6% FTSE Developed Eurozone All Cap index.

For each million euro invested in the FRR s port- folio in 2016, absolute emissions amounted to 232.6 tonnes of CO2 equivalent, 28.4% less than for the benchmark.

By this yardstick, the FRR s portfolio reduced its carbon footprint by 42.4% between 2013 and 2016, whereas the benchmark s fell by just 31.6%.

Whichever method is used, the FRR s portfolio is emitting less and less carbon year after year. It also emits less than its benchmark, and thanks to the FRR s determined decarbonisation policy for its equity portfolios, it has extended its lead.

FOCUS ON THE ENERGY TRANSITION FOR GREEN GROWTH ACT

Although not bound by the Energy Transition for Green Growth act, the FRR has adopted the framework set out in the new disclosure requirement for institutional investors regarding the incorporation of ESG criteria into their investment policy and practices, and specifically their management of climate-related financial risks (paragraph 6 of article 173 of the Energy Transition for Green Growth act, extension of article 224 of Grenelle II). Accordingly, the FRR has decided to detail its environmental, social and governance externalities in a separate document, independent of this annual report. The FRR is also working on new innovative metrics to asses its environmental impact.