Environmental, Social, and Governance (ESG) initiatives continue to be an important focus of corporate strategies globally. As a result, there has been an increase in financial instruments available for socially responsible investing or managing ESG risk.
The S&P Europe 350 ESG Index is a pan-European index covering developed markets in more than 15 countries. It is a broad-based, market cap-weighted index that is designed to measure the performance of securities meeting sustainability criteria, while maintaining similar overall industry group weights as the S&P Europe 350.
The constituents of the S&P Europe 350 ESG Index are filtered for participation in certain industries and for possessing a low score in United Nations Global Compact.
Firms with the lowest ESG compliance, such as tobacco, controversial weapons, and thermal coal, would be excluded.
Additionally, eligibility and selection are determined through an ESG scoring system excluding the bottom 25%. Therefore, the index only includes the top 75% within each GICS sector in the index. After the filtering process, there are approximately 250 constituents, resulting in a right-sized index providing European exposure with a more robust ESG methodology ‒ while having a very high correlation to other European indices.
The S&P Europe 350 ESG Index is considered compliant with Article 8 of the SFDR and uses the same methodology as the S&P Europe 350 ESG Index.
CME Group is proud to offer E-mini S&P Europe 350 ESG futures – based on the S&P Europe 350 ESG Index.
E-mini S&P Europe 350 ESG futures will have a €500 contract multiplier. Assume the S&P Europe 350 ESG Index is trading at 160, the notional value of one E-mini S&P Europe 350 ESG futures contract would be €80,000.
The tick increment of the S&P Europe 350 ESG futures contract is quoted in €0.05 increments, making a one tick move in the contract equivalent to €25.00.
E-mini S&P Europe 350 ESG futures will be listed with five concurrent futures that expire against the closing index value on the third Fridays of March, June, September, and December. Cleared through CME Clearing, the financially-settled contracts will allow traders, portfolio managers, and other market participants a stable and robust clearing mechanism mitigating counterparty risk.
E-mini S&P Europe 350 ESG futures will be available to trade on CME Globex, Sunday through Friday, nearly 24 hours per day.
Market participants can also execute ESG futures through the Basis Trade at Index Close (BTIC) mechanism. When trading against the cash closing index level, greater price precision will be available due to the €0.01 tick increments.
Both outright and BTIC transactions will be block eligible, with a minimum block size of 50. Margin offsets will also be available for those interested in trading or spreading E-mini S&P Europe 350 ESG futures versus other CME Equity Index products.
Based on a robust and transparent ESG Index methodology, E-mini S&P Europe 350 ESG futures provide a right-sized ESG contract for sustainable investing or risk management.