We determine the algebra of holonomy symmetries of sigma models propagating on supersymmetric heterotic backgrounds with a non-compact holonomy group. We demonstrate that these close as a W-algebra, which in turn is specified by a Lie algebra structure on the space of covariantly constant forms that generate the holonomy symmetries. In addition, we identify the chiral anomalies associated with these symmetries. We argue that these anomalies are consistent and can be cancelled up to two loops in the sigma model perturbation theory.
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