Lyxor adopts sustainable approach to sovereign bond management with integration of EGS criteria

Lyxor Asset Management is integrating ESG filters into its sovereign bond management business. This HQLA (High Quality Liquidity Assets) strategy, which enables Lyxor to manage the regulatory liquidity buffers of more than 20 banks, is accessible via dedicated mandates or funds and invested on investment grade sovereign bonds. It represents a total of more than EUR10 billion in AuM.

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 per cent whereas the other two factors each have a weighting of 25 per cent.

Jean Sayegh, Head of Fixed Income at Lyxor Asset Management, says: “This new sustainable approach to bond management enables us to support our client banks in assessing the ESG profile of their regulatory liquidity buffers and consequently to help them to transform these buffers to better reflect the economic, societal and governance challenges we face.”
Florent Deixonne, Head of SRI at Lyxor Asset Management, notes: “The integration of non-financial criteria into our liquidity buffers management enhances and complements traditional financial analysis of government default risks and consequently provides a comprehensive view of risk that is compatible with sustainable investment principles.”