FAQ: E-mini S&P 500 ESG futures
- What is the S&P 500 Scored & Screened Index?
- Are there 500 stocks in the Index?
- How does the S&P 500 Scored & Screened Index perform relative to the S&P 500 Index?
- Why did CME Group launch these products?
- What are the contract specifications?
- What are the codes for this futures contract?
- What are the trading hours on CME Globex?
- How is the daily settlement price for the E-mini S&P 500 ESG futures determined?
- How are final settlement prices of the futures determined?
- Are these futures contracts eligible for block trading or BTIC?
- What are the fees for the E-mini S&P 500 ESG futures contracts?
- Are these products included in the CME Equity Product Volume Discounts?
- What are the margin requirements for the E-mini S&P 500 ESG Index futures?
- What are the available margin credits for offsetting positions between the E-mini S&P ESG futures and major U.S. benchmark index futures from CME Group?
- How can I access block transactions?
- How can I see prices for E-mini S&P 500 ESG Index futures?
- How can I get access to CME Globex?
- Are there circuit breakers on E-mini S&P 500 ESG products?
- Where can I find more information on E-mini S&P 500 ESG futures?
What is the S&P 500 Scored & Screened Index?
The S&P 500 Scored & Screened Index, formerly known as the 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 Scored & Screened Index.
Are there 500 stocks in the Index?
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.
The constituents information for the index can be found in this fact sheet.
How does the S&P 500 Scored & Screened Index perform relative to the S&P 500 Index?
Between May 31, 2014 and May 31, 2019, the tracking error between S&P 500 Scored & Screened Index was 0.74%.
Why did CME Group launch these products?
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.
Product details
What are the contract specifications?
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 Scored & Screened Index | 0.02 Index points= $10.00 | 0.01 index points= $5.00 |
What are the codes for this futures contract?
| 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 |
What are the trading hours on CME Globex?
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
How is the daily settlement price for the E-mini S&P 500 ESG futures determined?
Please find more information on daily settlement here.
How are final settlement prices of the futures determined?
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.
Are these futures contracts eligible for block trading or BTIC?
Yes. They will be subject to a 100 minimum block and BTIC block threshold.They are also now eligible for derived blocks.
Fee & margin details
What are the fees for the E-mini S&P 500 ESG contracts?
E-mini S&P 500 ESG futures will be part of the E-mini Equity Index futures suite according to the Fee Schedule.
Are these products included in the CME Equity Product Volume Discounts?
Yes. E-mini S&P 500 ESG futures volume will count towards the current volume-based fee discounts available to members.
What are the margin requirements for the E-mini S&P 500 ESG Index futures?
Margins are based on current market conditions and, thus, are subject to change. Below are the margin estimates as of October 1, 2019. View the latest margin information here
Indicative Maintenance Margin: $2,600
What are the available margin credits for offsetting positions between the E-mini S&P ESG futures and major U.S. benchmark index futures from CME Group?
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.
- E-Mini S&P 500 ESG versus E-mini S&P 500 – 87%
- E-Mini S&P 500 ESG versus E-mini Nasdaq 100 – 75%
- E-Mini S&P 500 ESG versus E-mini Dow Jones – 85%
- E-Mini S&P 500 ESG versus E-mini Russell 2000 – 80%
- E-Mini S&P 500 ESG versus Nikkei – 80%
Learn more about margins:
Additional information
How can I access block transactions?
View the BTIC and block providers list to see a list of contacts for clients interested in executing block trades.
How can I see prices for E-mini S&P 500 ESG Index futures?
Delayed quotes will be available online on the CME Group website. You can also access quotes through major quote vendors.
How can I get access to CME Globex?
To access CME Globex, you must have a relationship with a CME Clearing Member Firm.
Are there circuit breakers on E-mini S&P 500 ESG products?
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.
7%, 13%, and 20% price limits are applied to the futures fixing price and are effective from 8:30 a.m. CT – 3:00 p.m. CT. Mondays through Fridays. This only applies to the downside.
5% up-and-down limits are effective 5:00 p.m. – 8:30 a.m. CT. Sundays through Fridays; and 3:00 p.m. – 4:00 p.m. CT, Mondays through Fridays. Between 3:00 p.m. – 4:00 p.m. the 5% price limit will not be allowed to breach the 20% daily limit.
Where can I find more information on E-mini S&P 500 ESG futures?
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.
ESG Home
Return to the ESG homepage for more information regarding contract specs, educational resources, and more.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
