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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 » (A) Implementation: Screening

(A) Implementation: Screening

FI 04. Types of screening applied

04.1. Indicate the type of screening you conduct.

Select all that apply
SSA
Corporate (financial)
Corporate (non-financial)
Negative/exclusionary screening
Positive/best-in-class screening
Norms-based screening

04.2. Describe your approach to screening for internally managed active fixed income

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. Additional information. [Optional]

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.

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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.



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


FI 06. Screening - ensuring criteria are met

06.1. Indicate which systems your organisation has to ensure that fund screening criteria are not breached in fixed income investments.

Type of screening
Checks
Negative/exclusionary screening
Positive/best-in-class screening
Norms-based screening

06.2. Additional information. [Optional]


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