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Lyxor Asset Management

Lyxor Regulatory disclosures

Sustainability Related Disclosures in the Financial Services Sector "SFDR"

Updated December 2022

Lyxor Asset Management is authorized and regulated by the relevant regulatory authorities in the jurisdictions where we operate. These authorities include but are not limited to:

  • Financial Conduct Authority (FCA) in the United Kingdom

  • Autorité des Marchés Financiers (AMF) in France

  • Commission de Surveillance du Secteur Financier (CSSF) in Luxembourg

  • Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin) in Germany

  • Securities and Futures Commission (SFC) in Hong Kong

  • Monetary Authority of Singapore (MAS) in Singapore

At Lyxor Asset Management, we are committed to upholding the highest standards of investor protection. We operate in accordance with applicable laws and regulations, including those relating to client assets, data protection, and anti-money laundering (AML) measures. We prioritize the security and privacy of our clients' information and take appropriate measures to safeguard their interests.

 

Lyxor Asset Management is committed to managing conflicts of interest fairly and transparently. We have implemented robust policies and procedures to identify, mitigate, and manage conflicts that may arise in the course of our business activities. Our aim is to act in the best interests of our clients and ensure that any potential conflicts are handled appropriately.

Please note that regulatory disclosures may vary depending on the jurisdiction and the specific investment products offered. It is important to review the applicable disclosures and seek professional advice when considering investments.

Stewardship Code

Updated November 2022

 

The Firm has considered the recent updates to the Stewardship Code in January 2020 and the Shareholder Rights Directive II that took effect in June 2019.

At Lyxor Asset Management, we recognize the importance of responsible stewardship and the role it plays in promoting good corporate governance and sustainable investment practices. As a signatory to various stewardship codes and frameworks, we are committed to upholding the highest standards of stewardship and actively engaging with investee companies to protect and enhance the long-term value of our clients' investments.. 

 

We maintain a robust monitoring and reporting framework to assess the effectiveness of our stewardship activities. We regularly review our engagement and voting activities, monitor investee companies' progress on agreed-upon actions, and report on our stewardship activities to our clients and stakeholders.

 

In ESG related matters the Firm is committed to creating real ESG impact in accordance with the principles of UNPRI.

 

The Firm’s Executive Board will continue to review the Code’s applicability.

Pillar 3 Disclosure

Updated May 2021

 

Introduction

 

Lyxor Asset Management (“ Lyxor” or the “Firm”) is a international discretionary investment manager to professional clients and unregulated collective investment schemes. The Firm is required to make its Pillar 3 disclosure at least annually, and is made as at the Firm’s Accounting Reference Date.

The disclosure may be published on our website or as an appendix to our statutory audited annual accounts. The purpose of this disclosure is to encourage market discipline.

 

The Capital Requirements Directive (CRD) created a revised regulatory capital framework across Europe covering how much capital financial services firms must retain. In the United Kingdom, rules and guidance are provided in the General Prudential Sourcebook (GENPRU) and the Prudential Sourcebook for Banks, Building Societies and Investments Firms (BIPRU).

 

The FCA framework consists of three “Pillars”:

 

Pillar 1 sets out the minimum capital requirements that companies need to retain to meet their credit, market and operational risk;

 

Pillar 2 requires companies to assess whether their Pillar 1 capital is adequate to meet their risks and is subject to annual review by the FCA;

 

Pillar 3 requires companies to develop a set of disclosures which will allow market participants

to assess key information about its underlying risks, risk management controls and capital position. These disclosures are seen as complementary to Pillar 1 and Pillar 2.

 

BIPRU 11 sets out the provisions for Pillar 3 disclosure. The rules provide that companies may omit one or more of the required disclosures if such omission is regarded as immaterial. Information is considered material if its omission or misstatement could change or influence the decision of a user relying on the information. In addition, companies may also omit one or more of the required disclosures where such information is regarded as proprietary or confidential.

The information contained in this document has not been audited, and as such does not constitute any form of financial statement and must not be relied upon.

Firm Overview

 

Lyxor Asset Management is incorporated in the UK and is authorized by the (FCA) Financial Conduct Authorities 

as a Full-Scope Alternative Investment Asset Manager with the Collective Portfolio Management Firm (“CPMI”) designation, which also makes the Firm a BIPRU firm. 

 

The Governing Body of Lyxor Asset Management has management and oversight responsibility.  It generally meets monthly and is composed of:

 

Mr. Robert Downing – Chairman of Lyxor Asset Management – SMF 9

 

Mr. Shenan Dhanata– Co-head of Lyxor Asset Management – SMF27 & Certified Person

 

Mr. James Reed – Co-head of Lyxor Asset Management – SMF27 & Certified Person

 

Mr. Fredrik Osbourne– Head of Compliance – SMF 16 & 17

 

Dr. Patrick Chang – Chief Operating Officer – SMF27

 

Mr. James Dean – Head of Research – SMF27 & Certified Person

Mr. Onno de Kupter – Head of Risk – Certified Person

 

Mr. Scott Collins – Head of UCITS – SMF 27 

 

Mr. Richard Atkinson – Investor Director

 

The Governing Body is responsible for the entire process of risk management, as well as forming its own opinion on the effectiveness of the process. In addition, the Governing Body decides Lyxor Asset Management’s risk appetite or tolerance for risk and ensures that Lyxor Asset Management has implemented an effective, ongoing process to identify risks, to measure its potential impact, and then to ensure that such risks are actively managed. Senior Management is accountable to the Governing

 

Body for designing, implementing, and monitoring the process of risk management and implementing it into the day-to-day business activities of Lyxor Asset Management.

 

Capital Resources and Requirements

 

Pillar 1

 

As a limited liability partnership, its capital arrangements are as follows: The Firm is a BIPRU Investment Firm without an Investment Firm Consolidation Waiver deducting Material Holdings under (GENPRU 2 Annex 4). Tier 1 Capital comprises of Members’ Capital.

 

As a CPMI, the Firm is subject to the capital requirements set out in IPRU (INV) Chapter 11 and also BIPRU/GENPRU.  The Firm has the following capital resources:

 

Pillar 2

 

The Firm has adopted the “Structured” approach to the calculation of its Pillar 2 Minimum Capital Requirement as outlined in the Committee of European Banking Supervisors Paper, 27 March 2006 which takes the higher of Pillar 1 and 2 as the ICAAP capital requirement.  It has assessed Business Risks by modelling the effect on its capital planning forecasts and assessed

 

Operational Risk by considering if Pillar 2 capital is required taking into account the adequacy of its mitigation.

 

Risk Management

The Firm has established a risk management process in order to ensure that it has effective systems and controls in place to identify, monitor and manage risks arising in the business. The risk management process is overseen by the Firm’s members.

 

As risks are identified within the business, appropriate controls are put in place to mitigate these and compliance with them is monitored on a regular basis. The frequency of monitoring in respect of each risk area is determined by the significance of the risk. The Firm does not intend to take any risks with its own capital and ensures that risk taken within the portfolios that it provides investment services to is closely monitored. Details of the Firm’s risk management systems and controls is reported to the Governing Body.

 

The Firm has a risk management objective to develop systems and controls to mitigate risk to within our risk appetite, as set-out in our ICAAP. Ordinarily, a firm must disclose its risk management objectives and policies for each separate category of risk. On the basis of materiality, we have omitted those items not relevant to the Firm, however, have provided summary information upon the below listed risk items.

 

Operational Risk

 

Disruption by COVID-19 virus spread.

 

During 2020 and 2021 we have had to deal with the COVID-19 pandemic, and the associated measures that governments, service providers, counterparties and investors have put in place to deal with it. While we will undoubtedly suffer some adverse impact from this in the short term, we are confident that we can work through the temporary disruption and that our strategic plan is robust even in the current situation.

 

The extraordinary circumstances caused by the spread of the COVID-19 virus globally has required the Firm to evoke its business continuity plan and the entire workforce to work remotely from home. The Firm does not consider this to have a material impact to the Firm’s operations and this will not require any additional Pillar 2 amount.

 

The Firm places strong reliance on the operational procedures and controls that it has in place in order to mitigate risk and seeks to ensure that all personnel are aware of their responsibilities in this respect.

 

The Firm has identified a number of key operational risks. These relate to disruption of the office facilities, system failures, trade failures and failure of third party service providers. Appropriate policies are in place to mitigate against risks, including appropriate insurance and business continuity plans.

 

All Operational Risks assessed are within the Firm’s risk appetite.  It is therefore considered that, in normal circumstances, should any of these Operational Risks materialise, the impact and resultant expense would be managed within the business. On this basis, the Firm has not allocated any additional Pillar 2 capital to be allocated to any specific risks.

 

Credit Risk

 

The Firm’s exposure to Credit Risk is the risk that investment management and advisory fees cannot be collected and the exposure to banks where surplus funds may be deposited.  The Firm’s Credit

 

Risk appetite is low, so the Firm holds surplus funds in cash with banks assigned high credit ratings.  Credit Risk, for the purpose of Pillar 2, is assumed to be that calculated at Pillar 1.

 

Market Risk

 

The Firm does not have a Trading Book. The only potential exposures are Non-Trading Book Exposures (i.e. to foreign currency held on deposit and assets or liabilities held in foreign currency, such as debtors, on the Firm’s balance sheet). The Firm’s Market Risk appetite is low and, for the purposes of Pillar 2, is assumed to be that calculated at Pillar 1.

 

Money Laundering Risk

 

The Firm’s money laundering risk appetite is low.  To manage the risk to this level, the Firm has in place a number of policies and procedures.  Training is also provided annually to all staff.  Where the Fund administrator performs the ongoing money laundering programme, the Firm carries out an annual on-site due diligence visit and, on a sample basis, reviews client files. 

With regard to managed accounts, money laundering checks are performed at on-boarding and at least annually thereafter.

Liquidity risk

 

With respect to its designated investment business (excluding managing AIFs and UCITS), the Firm is subject to the FCA’s Liquidity Rules, set out in BIPRU 12, on a solo basis.  The Firm is classified as a Non-ILAS Firm and, hence, is subject to the Overall Liquidity Adequacy Rule

(BIPRU 12.2.1) and considered liquidity systems and controls which include the management of Liquidity Risk via scenario and stress testing of the Firm’s cash flow forecast and the establishment of management actions and contingency funding plans.

Remuneration Code

Lyxor Asset Management  (herein “Lyxor”) has adopted a remuneration policy and procedures that comply with the requirements of chapter 19B (AIFMD activities), chapter 19C (MiFID activities) and chapter 19E (UCITS activities) of the FCA’s Senior Management Arrangements, Systems and Controls Sourcebook (“SYSC”), to the extent to which they apply. 

TCL has also considered ESMA’s Guidelines on sound remuneration policies. The Firm has also considered all the proportionality elements in line with the FCA Guidance. 

 

The Firm has assessed the proportionality elements and does not apply the Pay Out Rules. Furthermore, the Firm has concluded, on the basis of its size and the nature, scale and complexity of its legal structure and business, that it does not need to appoint a separate remuneration committee. Instead, the Firm’s Governing Body sets, and oversees compliance with, the Firm’s remuneration policy including reviewing the terms of the policy at least annually.

 

Code Staff Remuneration

 

Senior management and members of staff whose actions have a material impact on the risk profile of TCL are classified as Code Staff. The below table shows the number of Code Staff in each business area. 

 

Type of Remuneration Code Staff Number of Code Staff

 

Senior Management: 8

 

Other Remuneration Code staff*: 12

 

Total Fixed Remuneration of Code Staff: £2,427,540

 

Total Variable Remuneration of Code Staff: £125,000

 

The above remuneration disclosure includes remuneration paid to Code Staff in respect to both their AIFMD and non-AIFMD activities.

 

*Other remuneration code staff includes staff members whose professional activities can exert material influence on the firm’s risk profile or on an AIF managed by the firm.

 

As of September 2020

 

TCL has made no omissions on grounds of data protection. For further information please contact: Email: info@lyxorassetmanagement.com

MiFID II

What are MiFID and MiFID II?

 

Prompted by changes in the way financial markets operate, in 2007 the European Commission introduced the Markets in Financial Instruments Directive (MiFID) with the aim of creating a level playing field in the European Economic Area (EEA).

 

The further MiFID II reforms, effective from January 2018, mean that organised trading of financial instruments had to move to multilateral and regulated trading platforms or be subject to transparency requirements where traded over-the-counter (OTC). Strict transparency rules also ensure that dark trading of shares and other equity instruments which might undermine efficient and fair price formation are no longer allowed.

 

Best Execution

 

Under MiFID and MiFID II, with effect from 3 January 2018, Lyxor Asset Management is required to take sufficient steps to obtain the best possible result for its clients when executing orders on their behalf. In order to detail our approach, we include below the Lyxor Asset Management Best Execution Policy that complies with this

 

MiFID II obligation.

 

MiFID II stipulates that we act in the best interests of clients when providing execution services and maintain monitoring arrangements that demonstrate compliance. Wealth Fund Management must also make disclosures to allow clients to make informed choices between competing dealers by publishing reports (under RTS 28) on execution venue selection.

 

Lyxor Asset Management LLP RTS 28 Disclosure 2022

 

Lyxor Asset Management Best Execution Policy – May 2022

 
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