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Lyxor Asset Management

PRI reporting framework 2020

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You are in Direct - Fixed Income » ESG incorporation in actively managed fixed income

アクティブ運用している債券におけるESGの組み入れ

実施プロセス

FI 01. Incorporation strategies applied

以下を記載してください。 (1)組織でアクティブ運用する債券投資について、どのESG組み入れ戦略や組み合わせを使用しているか(2)各戦略が適用されるアクティブ運用債券投資合計の割合(+/- 5%)
SSA
2 スクリーニングのみ
0 テーマのみ
0 統合のみ
98 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%
社債(金融)
100 スクリーニングのみ
0 テーマのみ
0 統合のみ
0 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%
社債(非金融)
48 スクリーニングのみ
0 テーマのみ
0 統合のみ
2 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
50 組み入れ戦略を適用していない
100%

01.2. 特定のESG組み入れ戦略を選択している理由と、使用する戦略の組み合わせを説明してください。

  

On SSA : Lyxor will not invest for legally reason in sovereign debt of countries sanctioned by United Nations.
 Country' listed on the French list of non-cooperative states and territories or the GAFI list (jurisdictions with deficiencies in the standards for combating money laundering and terrorist financing).

On Corporate (financial & non-financial): LYXOR applies  exclusion lists :

- LYXOR has decided to divest of the most exposed actors by excluding companies whose turnover from activities related to the extraction of thermal coal is greater than 10% and companies that belong to the energy sector, of which more than 30% of electricity generation (energy mix) comes from coal.

- Exclusion list that aggregates the firms that are involvement in activities linked to prohibited or controversial weapons (anti-personnel mines, cluster bombs, depleted uranium weapons); wherever legally possible and independently enforceable by Lyxor.

- LYXOR is able to provide its clients with a "norm-based exclusion" list, used in some of its sustainable investment solutions, excluding companies associated with serious and repeated breaches of the principles of the United Nations Global Compact.

 

 

01.3. 補足情報 [任意]

 

Regarding exclusion list: 

As of July 31st, 2019, LYXOR has taken the commitment 1 to divest itself from coal while strengthening its dialogue with the companies concerned in order to encourage them to be more transparent and to take into account the risks and opportunities associated with climate change. LYXOR has thus decided to divest of the most exposed actors by excluding companies whose turnover from activities related to the extraction of thermal coal is greater than 10% and companies that belong to the energy sector, of which more than 30% of electricity generation (energy mix) comes from coal.

These criteria are applied by the entities of the LYXOR's Group according to the notion of 'best efforts' and taking into account legal and commercial constraints.

Lyxor applies an exclusion list based on its Defense Policy and strives not to invest in companies identified as being involved in activities linked to prohibited and controversial weapons such as cluster-munitions and anti-personnel mines and depleted uranium weapons.

The list is applied to Lyxor's swap based ETFs ,its Absolute Return funds, Risk Based and Solutions business as well as its Managed Account Platform, wherever legally possible and independently enforceable by Lyxor

LYXOR is able to provide its clients with a "norm-based exclusion" list, used in some of its sustainable investment solutions, excluding companies associated with serious and repeated breaches of the principles of the United Nations Global Compact. These ten principles of the Global Compact are derived from international standards and guide corporate behaviour in the areas of Human Rights, Labour, Environment and Corruption.

Example :

LYXOR has developed for a French institutional, a dedicated mandate to finance French SMEs and intermediate-sized companies that incorporate an ESG focus. This SMEs mandate, includes before each investment decision, an ESG Pre-Check that aim to evaluate an ESG risk score (as well as exclusion of controversial sectors, tobacco, coal...). Moreover, after the initial investment LYXOR will carry out every year an ESG due diligences on these companies, to analyze their strengths and weaknesses and to encourage them to improve their ESG integration.  

 

 

 


FI 02. ESG issues and issuer research (Private)


FI 03. Processes to ensure analysis is robust

03.1. 組織のESG調査プロセスの堅牢性を確保する方法を記載してください。

03.2. ESG情報または分析を投資チーム内で共有する方法を記載してください。

          An  ESG & Climate risk assessment is performed on  actively managed  Fixed Income funds. Monthly reporting are provided to investment staff and clients on demand.
        

03.3. 補足情報 [任意]


A) 実施:スクリーニング

FI 04. Types of screening applied

04.1. 実施するスクリーニングの種類を記載してください。

当てはまる項目を全てを選択してください
SSA
社債(金融)
社債(非金融)
ネガティブ/ 排他的スクリーニング
ポジティブ/業界最高のスクリーニング
基準に基づくスクリーニング

04.2. 組織内でアクティブ運用している債券に適用するスクリーニングのアプローチを記載してください。

SSA 

1. ESG incorpporation :

In 2019, Lyxor has chosen to include ESG criteria in its management of European sovereign debt (High Quality Liquidity Assets).

Please refer to FI 04.3 for more details.

2.Exclusions

LYXOR applies exclusions in application of its SRI policy which presents the values ​​and practices established by our organization to integrate Environmental, Social and Governance ("ESG") issues into our various solutions. investment.

These exclusions relate to:  

  • the Ottawa Convention, which prohibits the use, stockpiling, production, transfer and destruction of anti-personnel mines;  
  • the country' listed on the French list of non-cooperative states and territories or the GAFI list (jurisdictions that have strategic deficiencies in the standards for combating money laundering and terrorist financing).

Unlisted companies

In a dedicated mandate, investing in unlisted French companies, LYXOR is excluding companies active in sensitive sectors as Tobacco, Weapons, Human cloning, Coal and Adult Entertainment. Moreover, an analysis of the controversies focused in particular on companies' compliance with the ten principles of the United Nations Global Compact is provided before any investment.

Listed companies

LYXOR applies exclusions list related to defense eand thermal coal. There are detailed in FI 04.3

 

04.3. 補足情報 [任意]

Lyxor Asset Management is integrating ESG filters into its sovereign bond management business

Based on MSCI ESG data, Lyxor now integrates a country's overall ESG score to assess its long-term economic sustainability in view of its exposure to environmental, social and governance risks. Governance has a weighting of 50% whereas the other two factors each have a weighting of 25%. We assume that good governance, including the effective functioning of a country's financial, political and legal institutions, is a dominant factor in a country's ability to address environmental and societal risks and to ensure the sustainability of its economic policy choices.

--------------------

Exclusions strategies : 

❑ Coal exclusion LYXOR has taken the commitment  1 to divest itself from coal while strengthening its dialogue with the companies concerned in order to encourage them to be more transparent and to take into account the risks and opportunities associated with climate change. LYXOR has thus decided to divest of the most exposed actors by excluding companies whose turnover from activities related to the extraction of thermal coal is greater than 10% and companies that belong to the energy sector, of which more than 30% of electricity generation (energy mix) comes from coal. LYXOR is thus part of the Societe Generale Group’s strategy for the total exit of coal by 2030 for companies with assets in the EU and the OECD and 2040 for the rest of the world. 

❑ Defence exclusion Since 2007, LYXOR has implemented an exclusion list based on the Defense Sector Policy, applied systematically to the assets of its ETF portfolios whose replication mode is indirect, as well as in its Absolute Return funds, Risk Based & Solutions and on certain funds of the managed account platform, to the extent that this is legally possible and at its sole discretion. This « Defence » exclusion list applies to companies that deal with the following weapons considered prohibited or controversial: • Anti-personnel mines, cluster bombs or their key components, • Depleted uranium munitions, as well as biological, chemical, nuclear or radiological weapons. For investment vehicles for which it is not yet possible to apply this exclusion list, LYXOR closely monitors the percentage of ownership of this type of assets.



----------------------------

 


FI 05. Examples of ESG factors in screening process (Private)


FI 06. Screening - ensuring criteria are met

06.1. 債券投資においてファンドスクリーニングの基準に違反がないことを確認するために組織が使用しているシステムを記載してください。

スクリーニングの種類
ネガティブ/排他的スクリーニング​
ポジティブ/業界最高のスクリーニング
基準に基づくスクリーニング​

06.2. 補足情報 [任意]


C) 実施:ESG問題の統合

FI 10. Integration overview

10.1. ESGを従来の財務分析に統合するアプローチを説明してください。

1/ Screening / Exclusion

For sovereign issuers :

These exclusions relate to:

- The country' listed on the French list of non-cooperative states and territories or the GAFI list (jurisdictions that have strategic deficiencies in the standards for combating money laundering and terrorist financing).

For corporate issuers :

- Coal Policy : LYXOR has decided to divest of the most exposed actors by excluding companies whose turnover from activities related to the extraction of thermal coal is greater than 10% and companies that belong to the energy sector, of which more than 30% of electricity generation (energy mix) comes from coal.

These criteria are applied by the entities of the LYXOR's Group according to the notion of 'best efforts' and taking into account legal and commercial constraints.

-the Ottawa Convention, which prohibits the use, stockpiling, production, transfer and destruction of anti-personnel mines; Lyxor uses the services of ISS Ethix to identify companies that are considered in breach of its Defence Policy. This list is reviewed on quarterly basis.

For unlisted companies :

LYXOR applies exclusions in application of its SRI policy which presents the values ​​and practices established by our organization to integrate Environmental, Social and Governance ("ESG") issues into our various solutions. investment.

These exclusions relate to:

-Respect of the ten principles of human rights, labor standards, the environment and the fight against corruption contained in the United Nations Global Compact;

-Specific sectors like Defense, Adult Entertainment, Human cloning, Tobacco, Thermal Coal (company with 20% of revenue in extraction or electricity)

2/ Integration of ESG criteria

For sovereign issuers , corporate financial and corporate ex financial issuers

LYXOR embraces ESG criteria across sovereign debt efforts.

LYXOR uses MSCI ESG data and a country's overall ESG score to assess its long-term economic sustainability. The calculation involves looking at the exposure to environmental, social and governance risks.

The new strategy involves calculating the total ESG score of the sovereign bonds available to invest in. The formula gives a weighting of 50% to governance, which leaves the societal and environmental factors with 25% each. The latest strategy involves overweighting sovereign bonds with good ESG scores. This does not mean they will disregard other sovereign bonds, instead a new focus will be aimed towards sustainable asset management.
 

 

 

 

10.2. 投資する債券の各種類に対してESG統合アプローチをどのように調整するのか説明してください。

SSA

Integration of ESG criteria

Lyxor AM embraces ESG criteria across sovereign debt efforts. LYXOR uses MSCI ESG data and a country's overall ESG score to assess its long-term economic sustainability. The calculation involves looking at the exposure to environmental, social and governance risks. 

The new strategy involves calculating the total ESG score of the sovereign bonds available to invest in. The formula gives a weighting of 50% to governance, which leaves the societal and environmental factors with 25% each. The latest strategy involves overweighting sovereign bonds with good ESG scores. This does not mean they will disregard other sovereign bonds, instead a new focus will be aimed towards sustainable asset management.

社債(非金融)

For unlisted companies :

LYXOR applies exclusions in application of its SRI policy which presents the values ​​and practices established by our organization to integrate Environmental, Social and Governance ("ESG") issues into our various solutions. investment.

These exclusions relate to:

-Respect of the ten principles of human rights, labor standards, the environment and the fight against corruption contained in the United Nations Global Compact;

-Specific sectors like Defense + Adult Entertainment+ Human cloning + Tobacco + Coal (company with 20% of revenue in extraction or electricity)

 

10.3. 補足情報 [任意]


FI 11. Integration - ESG information in investment processes

11.1. ESG情報が、通常、投資プロセスの一部としてどのように使用されるのか記載してください。

当てはまるものをすべて選択してください
SSA
社債(非金融)
ESG分析をファンダメンタル分析に組み込んでいる
ESG分析が発行体の内部信用評価を調整するために利用される
ESG分析が予想財務業績および将来キャッシュフロー予測を調整するために利用される
ESG分析が発行体の同業グループと比較したランキングに影響する
発行体のESG債スプレッドおよび同セクター企業に対するその相対価値が、すべてのリスクが織り込まれているか否かを把握するために分析される
各種デュレーション/満期の発行体債券へのESG分析の影響が分析される。
感度分析およびシナリオ分析が、ベースケースとESG組み込み証券評価の差を比較する評価モデルに適用される
ESG分析が、ポートフォリオのウェイティング決定に組み込まれている
会社、セクター、国、通貨が、ESGエクスポージャーの変化およびリスク制限の違反についてモニタリングされる
ESGリスクが大きい証券についてポートフォリオのESGプロファイルが検討され、ベンチマークのESGプロファイルと比較して評価される
その他(具体的に記載してください)

11.2. 補足情報 [任意]


FI 12. Integration - E,S and G issues reviewed

12.1. 組織の統合プロセスでESG問題をどのように検討するか示してください。

E(環境)
S(社会)
G(ガバナンス)
SSA

E(環境)

S(社会)

G(ガバナンス)

社債(非金融)

E(環境)

S(社会)

G(ガバナンス)

12.2. 組織の統合プロセスでE/S/G要因を検討する方法を詳しく説明してください。

SSA

SSA / ESG analysis process
Lyxor has adopted a sustainable approach to sovereign bond management with integration of EGS criterioa. Lyxor Asset Management is integrating ESG filters into its sovereign bond management business. This HQLA (High Quality Liquidity Assets) strategy, which enables Lyxor to manage the regulatory liquidity buffers of more than 20 banks, is accessible via dedicated mandates or funds and invested on investment grade sovereign bonds. It represents a total of more than EUR10 billion in AuM. 

Based on MSCI ESG data, Lyxor now integrates a country's overall ESG score to assess its long-term economic sustainability in view of its exposure to environmental, social and governance risks. Governance has a weighting of 50% whereas the other two factors each have a weighting of 25%. We assume that good governance, including the effective functioning of a country's financial, political and legal institutions, is a dominant factor in a country's ability to address environmental and societal risks and to ensure the sustainability of its economic policy choices.
 

 

社債(非金融)

All ESG research is provided to Investment managers

For specific funds, an ESG analysis of issuer & bond (use of proceed) is performed internally :

Private Debt on SME , ESG analysis process

LYXOR has developed for a French institutional, a dedicated mandate to finance French SMEs and intermediate-sized companies that incorporate an ESG focus. LYXOR will integrate ESG analysis in the whole lifecycle of this mandate.

This SMEs mandate, includes before each investment decision, an ESG Pre-Check that aim to evaluate if the company has integrated ESG issues in its management or implemented CSR actions. LYXOR is searching notably for public and private document presenting the companies' CSR strategy including management of resources, consumption reduction as well as possible quantitative KPI. It enables LYXOR to carry out an initial ESG risk analysis to assess that the companies it might invest in have integrated these issues. 

An ESG evaluation is performed annually on each company LYXOR will invest in, with the support of a selected external service provider, Vigeo Eiris (extra-financial rating agency). This ESG due diligence will include a complete analysis of the company's ESG practices, conducted through a questionnaire specific to this type of actor, adapted to the sector and the size of the latter. 

We use this analysis to start a dialogue with these companies on their ESG integration with the attempt to foster their incorporation.

 

 

12.3. 補足情報 [任意]


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