S&P 500 ESG Index is a stock index constructed from the constituents of the S&P 500 index with a set of filters that governs the eligibility based on the companies’ adherence to the Environmental, Social and Governance (ESG) standards.
As of each index rebalancing reference date, the constituents of the S&P 500 index are filtered for materially participating in certain industries (e.g. tobacco, controversial weapons) and for possessing a low score in United Nations Global Compact (UNGC). Further, companies with an S&P DJI ESG Score that falls within the lowest 25% of ESG scores from each GICS Industry Group are also excluded.
For a full discussion of the stock eligibility and index methodology, please visit the S&P 500 ESG Index page at https://us.spindices.com/indices/equity/sp-500-esg-index-usd.
No, there are not 500 stocks in the index. The index excludes companies with exposure to key negative ESG activities: Tobacco, Controversial Weapons, and a low UN Global Compact score. The goal of the index is to target 75% of the market capitalization (within each GICS Industry Group of the S&P 500 using the S&P DJI ESG score as the defining characteristic.
As of April 30, 2019, the number of constituents in the index is 316.
Between May 31, 2014 and May 31, 2019, the tracking error between S&P 500 and S&P 500 ESG was 0.74%.
CME will launch on November 18, 2019.*
*Pending regulatory approval
Environmental, Social and Governance (ESG) is a trend that has been gaining increased implementation in the investment arena. This index is based on the traditional S&P 500 index but filters out non-compliant ESG components.
E-mini S&P 500 ESG futures will be listed on the customary U.S. equity index futures cycle – there will be five concurrent futures that expire against the opening index value on the third Friday of March, June, September, and December. The tick increments are below:
|Index Futures Contracts||Multiplier||Outright||Calendar Spread|
|E-mini S&P 500 ESG Futures||$500 x S&P 500 ESG Index||0.02 Index points= $10.00||0.01 index points= $5.00|
|Index Futures Contracts||Underlying Index (Bloomberg)||CME Globex||CME BTIC||Bloomberg Front Month Outright||Bloomberg Front Month BTIC||Thomson Reuters Front Month Outright||Thomson Reuters Front Month BTIC|
|E-mini S&P 500 ESG Futures||SPXESUP Index||ESG||EGT||SLBA Index||SLDA Index||#GSE||#ETG|
Sunday – Friday 6:00 p.m. – 5:00 p.m. ET with a trading halt from 4:15 p.m. – 4:30 p.m. ET
Daily settlement for the E-mini S&P 500 ESG futures are based on the 30-second volume-weighted average price (VWAP) of Globex trades between 4:14:30 p.m. and 4:15:00 p.m. ET.
Final settlement value is based on the Special Opening Quotation (SOQ) on the third Friday of the contract month. The SOQ is based on the opening price of each component stock in the relative Index, regardless of when those stocks open.
Yes. They will be subject to a 250 minimum block and BTIC block threshold.
E-mini S&P 500 ESG futures will be part of the E-mini Equity Index futures suite according to the CME Fee Schedule.
Yes. E-mini S&P 500 ESG futures volume will count towards the current volume-based fee discounts available to members.
Margins are based on current market conditions and, thus, are subject to change. Below are the margin estimates as of October 1, 2019.
Margin credits are based on current market conditions and, thus, are subject to change. Below are the margin credits estimates as of October 1, 2019.
Learn More about Margins:
CME Group plans to introduce a market maker program to assure continuous two-sided markets are quoted on-screen throughout the trading day beginning November 18, 2019.
Delayed quotes will be available online on the CME Group website. You can also access quotes through major quote vendors.
To access CME Globex, you must have a relationship with a CME Clearing Member Firm.
CME Group U.S. equity index price limits (and corresponding CME and CBOT rules) are designed to coordinate with circuit breakers provisions as applied by the New York Stock Exchange (NYSE). E-mini S&P 500 ESG contracts will follow the same rules as their E-mini counterparts.
Visit cmegroup.com/esg for the latest information. You can fill out the form on this page to stay informed of E-mini S&P 500 ESG futures updates.
Return to the ESG homepage for more information regarding contract specs, educational resources, and more.
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