State Street Global Advisors (SSGA), the world’s fifth-largest asset manager with US$2.8 trillion in assets under management, is expanding its range of environmental, governance and environmental-focused products with its first ESG-based money market fund (MMF).

The State Street ESG Liquid Reserves fund is composed entirely of investments that meet ESG criteria at the time of purchase, leveraging the group’s internal scoring system.

The new fund uses SSGA’s new ESG scoring system R-Factor, which draws on multiple data sources and leverages widely accepted and transparent materiality frameworks to generate an ESG score for issuers.

The scoring system leverages the Sustainability Account Standards Board’s and country-specific corporate governance framework. Founded in 2011, the SASB develops and disseminates sustainability accounting standards.

Lack of ESG data

Commenting on the launch, Pia McCusker, SSGA’s global head of cash management, said: ‘As appetites for ESG investment opportunities continue to grow, institutional investors need options across all asset classes.

“There’s currently an industry-wide lack of ESG data that is financially material, consistently reported, and comparable across firms. This is only the beginning for the application of R-Factor as we explore further ESG-related opportunities at the institutional level.”

The fund, which is domiciled in the US and registered under the Investment Company Act of 1940, will have a floating net asset value (NAV) and will be managed and operated to comply with Rule 2a-7 of the Act.

It invests in prime money market instruments that meet SSGA’s ESG criteria, following a multi-step portfolio construction method involving fundamental risk budget allocation, optimisation and ESG assessment.