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Lyxor Asset Management

PRI reporting framework 2020

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Asset class implementation not reported in other modules

SG 16. ESG issues for internally managed assets not reported in framework

Describe how you address ESG issues for internally managed assets for which a specific PRI asset class module has yet to be developed or for which you are not required to report because your assets are below the minimum threshold.

Asset Class

Describe what processes are in place and the outputs or outcomes achieved

Commodities

LYXOR refrains from creating funds which may participate to the inflation of prices of agricultural commodities. LYXOR does not proactively market products primarily invested in agricultural commodities.

LYXOR does not proactively market products primarily invested in agricultural commodities.
For any new product which may have an exposure to agricultural commodities, a specific analysis is undertaken by LYXOR in order to make sure that this new fund or investment products complies with the  Agriculture, Fisheries and Food Sector Policy[1] criteria.
LYXOR strives to implement this Responsible Investment Policy in the best interest of its clients and operate at arms’ length from Societe Generale Group. 

[1] Agriculture, Fisheries and Food Sector Policy is available on Societe Generale’s website http://www.societegenerale.com/, where the E&S General Guidelines and all published Cross-sectorial and Sectorial Policies can also be consulted under http://www.societegenerale.com/en/measuring-our-performance/csr/responsible-finance

Money market instruments

LYXOR has implemented an exclusion list related to thermal coal 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, to the extent that this is legally possible and at its sole discretion.

 

Other (1) [as defined in Organisational Overview module]

For alternative funds

LYXOR has implemented an exclusion list related to thermal coal applied systematically to the assets in its Absolute Return funds, Risk Based & Solutions, to the extent that this is legally possible and at its sole discretion.
 

Other (2) [as defined in Organisational Overview module]

For funds with balanced asset class, cf Equity and Fixed Income modules

16.2. Additional information [Optional].


SG 17. ESG issues for externally managed assets not reported in framework

17.1. Describe how you address ESG issues for externally managed assets for which a specific PRI asset class module has yet to be developed or for which you are not required to report because your assets are below the minimum threshold.

Asset Class

Describe what processes are in place and the outputs or outcomes achieved

Hedge funds - DDQ

Select whether you use the PRI Hedge Fund DDQ

Hedge funds

1/ Extra-financial valuation of external management companies

Lyxor has developed a capacity to evaluate the external management companies.This allows us to establish a rating of the external management companies.

2/ Application of Exclusion lists :

The externally managed Hedge Funds, with an "ex controversal weapons" tag, do not have the possibility to invest in companies included in the Lyxor’s exclusion list (based on the Defence Sector Policy).

Lyxor applies an exclusion list including companies involved in controversial weapons such as cluster-munitions and anti-personnel mines and depleted uranium weapons. 

3/ Application of Taylor Made Exclusion List 

Lyxor has also extended this exclusion list to include specific companies on Client' request.

A control on these exclusion lists is performed by Lyxor on NAV frequency basis. All breaches are notified to external Fund Managers for immediate resolution.

4/ ESG & Climate Risk Assessment

In line with its ESG / SRI commitments and in order to better meet its clients’ needs, LYXOR assess ESG and Carbon risks within its vehicles when the transparency is available.

 

Hedge funds - DDQ (Fund of Hedge Funds)

Select whether you use the PRI Hedge Fund DDQ

Fund of hedge funds

1/ Extra-financial valuation of external management companies

Lyxor has developed a capacity to evaluate the external management companies. This allows us to establish a rating of the external management companies.

2/ Rating ESG & Climate

In line with its ESG / SRI commitments and in order to better meet its clients’ needs, LYXOR applies ESG and Carbon ratings to its vehicles when the transparency is available.

3/ Impact solution

In 2019, LYXOR collaborated with SEB (Swedish investor) on a Multi-manager strategy to provide an innovative ESG selection in order to create investment universes with an positive and measurable economic and/or environmental impact (otherwise referred to as “Impact Investing”). This strategy covers a wide range of investments covering areas such as clean energy, water, agriculture, rational use of resources and improvement of society, which are directly aligned with the United Nations Sustainable Development Goals.

4/ Exclusion approach

In addition, for dedicated funds, exclusions related to UN Global compact & international norms, Thermal Coal and controversial weapons are applied.

17.2. Additional information.

Lyxor has developed a capacity to evaluate extra-financial valuation of external management companies, including a review of the following points : 

- Their ESG analysis capacity
- The investment process / ESG integration in their management
- Their voting and engagement policies

This allows us to establish a rating of the external management companies:
- A basic scoring is first established from the UN PRI scores.
- On the basis of LYXOR's questionnaires, we can adjust this score downwards if we consider that it is not sufficiently representative of real capacities.

This approach provides a general overview of the level of ESG integration and compares external management companies


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