We have run an analysis on the CSPP portfolio to identify issues of benchmark 5-year maturity. Since the invasion of Ukraine, we have seen an outperformance of our carbon intensive portfolio likely driven by the increase in oil prices. Since May we have seen a reversal with carbon intensive issuers underperforming. This has been against a backdrop of consistent market widening throughout both periods. We also observe a local drop in rolling correlation between the portfolios at the inflection point.
