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Lyxor Asset Management

PRI reporting framework 2020

Basic information [OO 01 - 09] Asset class implementation gateway indicators [OO 10 - 12] Peering questions [OO LE 01 - HF 01]

Strategy and Governance

Investment policy [SG 01 - 04] Objectives and strategies [SG 05 - 06] Governance and human resources [SG 07 - 08] Promoting responsible investment [SG 09 - 11] Outsourcing to fiduciary managers and investment consultants [SG 12] ESG issues in asset allocation [SG 13 - 15] Innovation [SG 18] Communication [SG 19]

Direct - Listed Equity Incorporation

ESG incorporation in actively managed listed equities [LEI 01 - 10] Implementation processes [LEI 01 - 10] (A) Implementation: Screening [LEI 04 - 06] (C) Implementation: Integration of ESG factors [LEI 08 - 10] ESG incorporation in passively managed listed equities [LEI 11] Outputs and outcomes [LEI 12 - 13]

Direct - Listed Equity Active Ownership

Overview [LEA 01] Engagement [LEA 02 - 08] Outputs and outcomes [LEA 09 - 11] (Proxy) voting and shareholder resolutions [LEA 12 - 21]

Direct - Fixed Income

ESG incorporation in actively managed fixed income [FI 01 - 12] Implementation processes [FI 01 - 03] (A) Implementation: Screening [FI 04 - 06] (C) Implementation: Integration [FI 10 - 12] ESG incorporation in passively managed fixed income [FI 13] Fixed income - Engagement [FI 14 - 16] Outputs and outcomes [FI 17 - 18]

Confidence building measures

Confidence building measures [CM1 01 - 07]

Export Public Responses

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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 Yes No
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 Yes No
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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