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Lyxor Asset Management

PRI reporting framework 2020

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You are in Direct - Listed Equity Incorporation » ESG incorporation in actively managed listed equities » Implementation processes

実施プロセス

LEI 01. Percentage of each incorporation strategy

01.1. 以下を記載してください。(1)組織でのアクティブ運用上場株式にどのESG組み入れ戦略や組み合わせを使用しているか(2)アクティブ運用している上場株式の戦略または戦略の組み合わせ別内訳

ESG組み入れ戦略 (当てはまるものをすべてお選びください)
アクティブ運用される上場株式に戦略が適用される割合 (推定 +/- 5%)
41.6 %
アクティブ運用される上場株式に戦略が適用される割合 (推定 +/- 5%)
2.8 %
アクティブ運用される上場株式に戦略が適用される割合 (推定 +/- 5%)
55.6 %
アクティブ運用している上場株式の合計 103%

01.2. 組織が実施しているESG組み入れアプローチ、および、特定のESG組み入れ戦略を選択している場合はその理由を説明してください。

Screening strategy

• As of July 1st, 2019, LYXOR has taken the commitment  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.

• Since 2007, Lyxor has implemented an exclusion list based on the defence sector, which is systematically applied to the assets in its ETF portfolios with an indirect replication method, as well as its Absolute Return, Risk-Based & Solutions funds, as well as “ex controversial weapons” Managed Account Platform, wherever 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.

• Lyxor is also able to provide its clients with a norm-based exclusion list, which is used in some of its sustainable investment solutions and excludes companies associated with serious and repeated breaches of the UN Global Compact principles.

 

 

01.3. ESG組み入れ戦略の組み合わせを使用して資産を運用している場合、ESG戦略の組み合わせをどのように使用しているかを簡単に説明してください。 [任意]

Screening & Integration  strategy

The GARI stock selection developed by LYXOR is a rating model that is characterized by sustained earnings while taking into account significant sustainability risks. The model chooses its investment universe by initially removing the 20% of companies with the worst governance score. Indeed, LYXOR considers that good governance and effective management practices are important factors in identifying companies well managed and will experience sustained growth.

In addition, this fund applied all exclusions describes in LEI 01.2 


LEI 02. Type of ESG information used in investment decision (Private)


LEI 03. Information from engagement and/or voting used in investment decision-making (Private)


A) 実施:スクリーニング

LEI 04. Types of screening applied

04.1. 組織内でアクティブ運用している上場株式に適用するスクリーニングの種類を記載し、説明してください。

スクリーニングの種類

スクリーニング実行者

説明

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.

 

スクリーニング実行者

説明

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.

 

スクリーニング実行者

説明

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. スクリーニング基準が変更された場合に顧客や受益者に通知する方法について説明してください。

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. スクリーニングが徹底した分析に基づいていることを確実にするために、組織が使用しているプロセスを選択してください。

05.3. 第三者のESG評価がスクリーニング目的で更新される頻度を示してください。

05.5. 補足情報 [任意]

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: https://www.issgovernance.com/file/products/iss-ethix_controversial-weapons-screening.pdf

 

 

 


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


C) 実施: 統合

LEI 08. Review ESG issues while researching companies/sectors

08.1. E・S・Gの各要因が投資分析の一環として体系的に調査されている、アクティブ運用の上場株式ポートフォリオの割合を記載してください。

ESG問題

影響を受ける割合
E(環境)

E(環境)

S(社会)

S(社会)

コーポレートガバナンス

コーポレートガバナンス

08.2. 補足情報 [任意]

Regarding funds which applied an ESG Selection, ESG factors in the investment process is described below :

1 : Extra financial and financial analysis are carried out on each stock of the investment universe

2 : 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.

 

 

 


LEI 09. Processes to ensure integration is based on robust analysis

09.1. ESG統合が徹底した分析に基づいていることを確実にするために、組織が使用しているプロセスを記載してください。

09.2. 組織の統合戦略の一環で包括的ESG調査の対象になるアクティブ運用上場株式の割合を記載してください。

09.3. ESG統合戦略に使われる第三者のESG評価が更新される頻度を示してください。

09.5. ポートフォリオ・マネージャーがどのようにしてESG情報を保有し、使っているのか説明してください。

09.6. 補足情報 [任意]

Integration of ESG factors in the investment process is described below :

1 : Extra financial and financial analysis are carried out on each stock of the investment universe

2 : 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 (Gouvernance criteria).The model selects the highest ranking stocks.

3 : Independant controls are performed on a monthly basis by Lyxor Risk Team to insure the respect of the ESG guidelines.

 


LEI 10. Aspects of analysis ESG information is integrated into (Private)


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