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Lyxor Asset Management

PRI reporting framework 2020

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ESG issues in asset allocation

SG 13. ESG issues in strategic asset allocation

13.1. Indicate whether the organisation carries out scenario analysis and/or modelling, and if it does, provide a description of the scenario analysis (by asset class, sector, strategic asset allocation, etc.).

13.3. Additional information. [OPTIONAL]


SG 13 CC.


SG 14. Long term investment risks and opportunity (Private)


SG 14 CC.

14.6 CC. Provide further details on the key metric(s) used to assess climate-related risks and opportunities.

Metric Type
Coverage
Purpose
Metric Unit
Metric Methodology
Climate-related targets
          
        
          
        
          
        
Weighted average carbon intensity
          The carbon intensity of the portfolio is calculated as the weighted average of the carbon intensities of underlying issuers
        
          In MtCO2 per $ M income
        
          represents the sum product of the portfolio weights and Carbon Intensities.
        
Carbon footprint (scope 1 and 2)
          these represent the total and absolute carbon footprint of the portfolio.
        
          The emissions are expressed in terms of tons carbon dioxide equivalents (tCO2e).
        
          It is calculated by dividing the total emissions of the fund (expressed in carbon dioxide-equivalent tons) by the fund’s capital (expressed in millions of euros). Carbon efficiency describes the amount of carbon emissions per fund investment of one million euros.
Carbon efficiency = Total emissions of the fund / AUM
        
Portfolio carbon footprint
          represents the carbon footprint of the portfolio normalized by € million invested.
        
          Carbon Emissions tons
CO2e/$M invested
        
          If an investor holds 1% of a company’s capitalization, this means they are responsible for 1% of that company’s emissions (in equivalent tones of CO2). 
Company contribution = (price × number of shares held) / market capitalization
Portfolio carbon footprint = ∑(company contribution (x) × company emissions (x))
        
Total carbon emissions
          measures the volume of greenhouse gas (GHG) emissions that the portfolio is responsible for, in proportion to its share capital.
        
          tCO2e/$M invested
        
          It is calculated by dividing the total emissions of the fund (expressed in carbon dioxide-equivalent tons) by the fund’s capital (expressed in millions of euros). Carbon efficiency describes the amount of carbon emissions per fund investment of one million euros.
        
Carbon intensity
          shows the carbon efficiency of the portfolio in terms of emissions per M€ of sales
        
          tons CO2e / $M Sales
        
          Carbon intensity is calculated by dividing the emissions of individual holdings (expressed in carbon dioxide-equivalent tons) by net sales (expressed in millions of euros). After that, the carbon intensities of individual holdings are weighted with the relative shares of the holdings in the fund, and finally all weighted figures of individual holdings are added together
        
Exposure to carbon-related assets
          Transition Risk is defined as the financial risk associated with the transition to a low carbon economy and now more commonly associated with climate change.
We calculate the reserves for which an investor would be responsible based on comparable dollar investments in the portfolio and benchmark
        
          The exposure is expressed by % Weight of the portfolio
The fossil fuel reserves : 
Thermal Coal (Tons) , Gas (MMBOE) ,Oil (MMBOE)
        
          portfolio exposure to issuers with fossil fuel reserves (in terms of the weight of the portfolio
rated in carbon), which may be stranded in the context of a low carbon transition
        
Other emissions metrics
          Potential emissions from fossil fuel reserves.In that the total potential emissions of existing known fossil fuel reserves vastly exceed the limit of emissions that scientific
consensus indicates must be met in order to manage climate change, many of these reserves may not be usable. If this is
the case, the market values of companies holding reserves may be overstated because they are based in part on the
present value of these reserves assuming that they can be fully utilized.
        
          (tCO2e/ $M invested)
        
          It is calculated by dividing the total of potential emissions of the fund (expressed in carbon dioxide-equivalent tons) by the fund’s capital (expressed in millions of euros).
        

14.7 CC. Describe in further detail the key targets.

Target type
Baseline year
Target year
Description
Attachments
          2019
        
          2030
        
          LYXOR ’s strategy : the total exit of coal by 2030 for companies with assets in the EU and OECD.
        

          2019
        
          2040
        
          LYXOR ’s strategy : the total exit of coal by 2040 for companies with assets in the World
        

          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

14.8 CC. Indicate whether climate-related risks are integrated into overall risk management and explain the risk management processes used for identifying, assessing and managing climate-related risks.

Please describe

 LYXOR developed a proprietary method which allow measuring ESG risks and opportunities at portfolios level, notably including the climate dimension, thus making possible for investors to dynamically follow these climate- related risks.

On a monthly basis, Lyxor calculate & produce an ESG & Climate Reporting which identifies risks and opportunities of the different issuers in our portfolios (companies and governments). This allows investor to analyze its exposure to these risks.

14.9 CC. Indicate whether your organisation, and/or external investment manager or service providers acting on your behalf, undertake active ownership activities to encourage TCFD adoption.


SG 15. Allocation of assets to environmental and social themed areas (Private)


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