Frequently Asked Questions ─ E-mini S&P Europe 350 ESG Futures

The S&P Europe 350 ESG Index is a pan-European index covering developed markets across over 15 different countries. The four largest individual country weights as of April 8, 2021 are UK 23.58%, France 18.08%, Switzerland 17,16%, and Germany 14.90%.

The index is constructed from the constituents of the S&P Europe 350 index with a set of filters that governs the eligibility based on the companies’ adherence to Environmental, Social, and Governance (ESG) standards.

As of each index rebalancing reference date, the constituents of the S&P Europe 350 ESG Index are filtered for materially participating in certain industries (e.g., tobacco, controversial weapons, thermal coal) 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 Europe 350 ESG Index page at https://www.spglobal.com/spdji/en/indices/esg/sp-europe-350-esg-index.

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No, there are not 350 stocks in the index. The index excludes companies with exposure to key negative ESG activities: Tobacco, Controversial Weapons, Thermal Coal, 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 Europe 350) using the S&P DJI ESG score as the defining characteristic.

As of April 8, 2021, the number of constituents in the index was 228.

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Both indices use the same ESG methodology but apply them to different parent universes. The S&P 500 ESG Index is the result of applying the methodology to the S&P 500 index and thus provides US equity exposure. The S&P Europe 350 ESG Index is the result of applying the methodology to the S&P Europe 350 Index and thus provides European equity exposure.

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The correlation between the S&P Europe 350 ESG Index and other European indices including ESG variants is very high as can be seen from the below correlation matrix from Bloomberg. It shows monthly correlations over a two-year period between April 20, 2019 and April 20, 2021.

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Environmental, Social, and Governance (ESG) is a trend that has been gaining increased implementation in the investment arena. The S&P Europe 350 ESG Index applies a robust set of ESG criteria to a broad index universe resulting in a futures contract that is considered compliant with Article 8 of the EU sustainable finance rules.

This index uses the same index methodology applied to the S&P 500 ESG Index upon which the E-mini S&P 500 ESG futures is based, and has been well received by the investment community.

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The calendar spread quoting convention will be based on the “European Convention” that is common for European equity index futures. Thus, when buying the calendar roll, a client is buying the near maturity contract and selling the far maturity contract. Note this is the opposite to the “US Convention” for calendar spreads applied to CME’s U.S. Equity Index futures.

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CME Globex - Sunday – Friday 6:00 p.m. – 5:00 p.m. ET

CME ClearPort - Sunday – Friday 6:00 p.m. – 5:00 p.m. ET

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Daily settlement for the E-mini S&P Europe 350 ESG futures are based on the 30-second volume-weighted average price (VWAP) of CME Globex trades between 4:29:30 p.m. and 4:30:00 p.m. London hours.

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Final settlement value is based on the official index closing price on the third Friday of the contract month.

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Yes, E-mini S&P Europe 350 ESG futures will be block eligible and BTIC eligible.  There will be a minimum block threshold of 50 contracts for outright trades and BTIC subject to a 5 minute reporting window during US trading hours (15 minutes during non-US hours). Block trades are subject to specific requirements as outlined in Rule 526 and the associated Market Regulation Advisory Notice.

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E-mini S&P Europe 350 ESG futures will be part of the E-mini Equity Index futures suite according to the CME Fee Schedule.

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Yes. E-mini S&P Europe 350 ESG futures volume will count towards the current volume-based fee discounts available to members.

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Margins are based on current market conditions and, thus, are subject to change. Below are the margin estimates as of April 19, 2021.

• Indicative Maintenance Margin: $4,000

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Margin credits are based on current market conditions and, thus, are subject to change. Below are the margin credits estimates as of April 19, 2021.

• E-mini S&P Europe 350 ESG versus E-mini S&P 500 – 60% at 2:1 ratio
• E-mini S&P Europe 350 ESG versus E-mini S&P 500 ESG – 70% at 2:1 ratio
• E-mini S&P Europe 350 ESG versus E-mini Nasdaq 100 – 65% at 3:1 ratio
• E-Mini S&P Europe 350 ESG versus E-mini Dow Jones – 65% at 2:1 ratio
• E-mini S&P Europe 350 ESG versus E-mini Russell 2000 – 50% at 1:1 ratio
• E-mini S&P Europe 350 ESG versus Nikkei 225 Yen – 65% at 2:1 ratio
• E-mini S&P Europe 350 ESG versus Nikkei 225 USD – 65% at 2:1 ratio

Learn more about margins:

• Margins FAQ
• SPAN Methodology

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CME Group plans to introduce a market maker program to assure continuous two-sided markets are quoted on-screen throughout the trading day beginning May 24, 2021.

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Delayed quotes will be available online on the CME Group website. You can also access quotes through major quote vendors.

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To access CME Globex, you must have a relationship with a CME Clearing member firm.

Learn more about connecting to CME Globex

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There will be daily price limits, sometimes referred to as circuit breakers in place as follows;

• During European hours 8am -16.30pm UK time there will be a dynamic circuit breaker in place which has a 7% maximum move over a one-hour rolling window.
• Outside of the European hours specified above, there will be hard +7% price limits applied to the futures fixing price. The futures fixing price is taken at 16:29:30 – 16:30:00.

Learn more about connecting to price limits

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Visit www.cmegroup.com/europe350esg for the latest information. You can fill out the form on this page to stay informed of E-mini S&P Europe 350 ESG futures updates.

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