Lyxor Asset Management has integrated environmental, social and governance (ESG) filters across its sovereign bond management business.
Using data from index provider MSCI, the French firm evaluates a country’s overall ESG score and assesses its long-term economic sustainability against exposure to ESG risks.
Governance has a weighting of 50%, while environmental and social both have a weighting of 25% each.
Jean Sayegh, head of fixed income, said: “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.”
The approach – called the high quality liquidity assets strategy – enables Lyxor to manage the regulatory liquidity buffers of more than 20 banks.
Florent Deixonne, head of socially responsible investments at the company, said: “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.”
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