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Lyxor Asset Management (Delisted)

PRI reporting framework 2020

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You are in Direct - Listed Equity Incorporation » ESG incorporation in actively managed listed equities » Implementation processes » (A) Implementation: Screening

(A) Implementation: Screening

LEI 04. Types of screening applied

04.1. Indicate and describe the type of screening you apply to your internally managed active listed equities.

Type of screening

Screened by


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 also 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.


Screened by


Scoring & selection :  the fund is exposed to a selection of equities following a proprietary scoring methodology of the Management Company. The Scoring Selection ranks the equities of the Investment Universe based on a combination of scores such as growth, valuation and sustainability indicators (Governance criteria).The model selects the highest ranking stocks.


Screened by


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. 


04.2. Describe how you notify clients and/or beneficiaries when changes are made to your screening criteria.

The Defense exclusion list aggregates on one hand the firms that are to be excluded in application of the Defense Sector Policy, due to their involvement in activities linked to prohibited or controversial weapons (anti-personnel mines, cluster bombs, depleted uranium weapons) .

Lyxor uses the services of ISS Ethix to identify companies that are considered in breach of its Defence Policy. The list is revised on a quarterly basis and sent to Lyxor fund managers, Compliance, Risk, ISR teams. A daily pre trade control has been put in place. A post trade control is performed by the risk department on Fund' NAV frequency basis.

Exclusions list are updated on a quarterly basis.



LEI 05. Processes to ensure screening is based on robust analysis

05.1. Indicate which processes your organisation uses to ensure ESG screening is based on robust analysis.

05.3. Indicate how frequently third party ESG ratings are updated for screening purposes.

05.5. Additional information. [Optional]

The explicit inclusion of ESG Risks and opportunities into traditional financial analysis and investment decisions must be based on a systematic process and appropriate research sources. The integration process focuses on the company's management of ESG issues and the potential impact on company financials (positive and negative), which in turn may affect the investment decision.

LYXOR works in closed collaboration with its selected partners:

ESG rating agencies (MSCI, Vigeo...) and Index providers, index advisors (CBI, Equileap, Solactive, MSCI, RobecoSAM...)

Each partnership has been put in place following a rigorous selection based on request for proposals and due diligence processes addressing specific topics.

  • ISS services (Institutional Shareholder Services) on voting recommendations in addition of LYXOR internal research on corporate governance. The voting recommendations are based on LYXOR's voting policy,
  • MSCI services as ESG data provider,
  • MSCI services on Climate data for listed issuers and sovereign assets,
  • Vigeo Eiris services as part of LYXOR’s ESG evaluation applied to unlisted assets (SME/ETI),
  • CBI, Equileap, Solactive, MSCI, RobecoSAM, etc as index providers or advisors. 

In addition 

Lyxor uses the services of ISS Ethix to identify companies that are considered in breach of its Defence Policy. 

ISS-Ethix identifies companies that are at risk of being involved in controversial weapons by following several parallel research paths: 

› Identification of risk countries and relevant weapons programmes 

› Active screen of weapons programmes 

› Active screen of companies in risk sectors Data mining for corporate involvement in controversial weapons, in particular information about the technical aspects of weapons programmes and their status, is carried out by our in-house experts supported by an extensive network of military and arms industry experts. 

ISS-Ethix conducts a comprehensive review of open sources such as company publications, contract awards notifications by government authorities and military specialized magazines as well as publications by research organizations and NGOs. 

The process and analysis can be found at:




LEI 06. Processes to ensure fund criteria are not breached (Private)