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Lyxor Asset Management

PRI reporting framework 2020

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Asset class implementation gateway indicators

OO 10. Active ownership practices for listed assets

10.1. Select the active ownership activities your organisation implemented in the reporting year.

Listed equity – engagement

Listed equity – voting

Fixed income SSA – engagement

Please explain why you do not engage directly and do not require external managers to engage with companies on ESG factors.

          Within the ‘domain of engagement’ a variety of engagement strategies can be distinguished to influence corporate and managerial behaviour. 
- Proxy voting at annual general meetings (AGMs)
- Thematic engagements on a sector level

For the moment, LYXOR only engages on corporate issuers.
        

Fixed income Corporate (financial) – engagement

Fixed income Corporate (non-financial) – engagement


OO 11. ESG incorporation practices for all assets

11.1. Select the internally managed asset classes in which you addressed ESG incorporation into your investment decisions and/or your active ownership practices (during the reporting year).

Listed equity

Fixed income - SSA

Fixed income - corporate (financial)

Fixed income - corporate (non-financial)

Commodities

Hedge funds

Fund of hedge funds

Money market instruments

Other (1)

Other (2)

`Other (1)` [as defined in OO 05]

          Other (1) Alternative
        

`Other (2)` [as defined in OO 05]

          Other (2) Balanced
        
Select the externally managed assets classes in which you and/or your investment consultants address ESG incorporation in your external manager selection, appointment and/or monitoring processes.
Asset class
ESG incorporation addressed in your external manager selection, appointment and/or monitoring processes
Hedge funds

Hedge funds - ESG incorporation addressed in your external manager selection, appointment and/or monitoring processes

Fund of hedge funds

Fund of hedge funds - ESG incorporation addressed in your external manager selection, appointment and/or monitoring processes

11.4. Provide a brief description of how your organisation includes responsible investment considerations in your investment manager selection, appointment and monitoring processes.

1. Assets under Advisory 

Regarding Assets under Advisory, the due diligence questionnaires include since April 2017 a list of questions regarding ESG issues.

2. External Fund managers

2.1 Selection, appointment and monitoring processes

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

2.2 Investment processes

Application of Exclusion lists

Since 2013 Lyxor has a managed account and UCITS platform, Lyxor has implemented this exclusion list as a filter of its managed account platform to the managers that have accepted to comply with it.

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

in addition for dedicated funds, exclusions related to UN GLobal compact  & international norms, Thermal Coal and controversal weapons are applied.

In the context of the relationship between Lyxor and its trading advisors (of the managed accounts) to which we have delegated the management of the fund, we have regular discussions with asset managers to try to convince them to comply with this exclusion list.

Regarding the respect of exclusion lists: Independent controls  are performed within LYXOR Risk Team on NAV frequency basis.

 


OO 12. Modules and sections required to complete

12.1. Below are all applicable modules or sections you may report on. Those which are mandatory to report (asset classes representing 10% or more of your AUM) are already ticked and read-only. Those which are voluntary to report on can be opted into by ticking the box.

Core modules

RI implementation directly or via service providers

Direct - Listed Equity incorporation

Direct - Listed Equity active ownership

Direct - Fixed Income

Closing module

12.2. Additional information. [Optional]


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