Sustainable index 

derivatives

Eurex – CFTC presentation

October 2020
ESG (Environmental, Social, Governance) derivatives

Background on equity index products

October 2020

ß In 2018, in order to address the increased demand for exchange traded derivatives in sustainable products, Eurex collaborated with 

benchmark providers and market participants on sell- and buy-side to launch a sustainable derivatives product suite. 

ß In February, 2019, Eurex launched ESG versions of STOXX key European benchmarks and further expanded with global benchmarks, 

adding World, USA, EM, EAFE and Japan regional ESG indices in the first quarter of 2020 

ß Driven by the growths of ESG assets under management, expected increase in the next decade, demand from both retail and 

institutional investors, Eurex plans an extension of product range. On November 9, Eurex will further launch futures and options on DAX 

50 ESG and Euro Stoxx 50 ESG indices

ß Fixed Income ESG Derivatives in evaluation

Buy Side Sell Side

ß The product suite offers an hedging alternative to existing 

benchmarks 

ß ESG methodology in index design outweighs performance 

ß Useful to implement ESG related strategies based on well known 

benchmarks

ß Clients start looking at PABs, CTBs (early stage)

ß Products needs to be liquid, with on-screen prices and OI, as well 

as support off-book

Feedback

ß Increasing topic with clients, high strategic importance

ß Small number of client trades so far but a lot of discussion

ß Has not reached the critical mass yet (lack of standard definition of 

ESG, diversity leads to request for more customized indices )

ß Useful for implementing ESG related strategies for clients based 

on well known benchmarks

ß The product suite satisfies the requirements of a liquid and cost 

effective product 

2
Simple ESG investment strategies

A basis for tradable standardized contracts

3 October 2020

Ability to standardise

Close to th

e

b

e

n

chm

ark

Sustainability equity index 

investing

Suitable market for ESG listed benchmark derivatives

Impact Investing

ESG Integration strategy

ESG Exclusion strategy

SRI

ESG Positive Screening 

strategy

3
Responsible investment approaches

Passive index approaches and Eurex product coverage

October 2020

Negative Screening

Norms-Based Screening

ESG Integration

Positive Screening

SRI 

(Socially Responsible Investment)

Impact Investing

METHODOLOGY

Excluding companies based on controversial product 

involvements, like tobacco, weapons

Excluding companies of the benchmark index based on 

breaches of UN Global Compact principles

Incorporating ESG scores to enhance the risk-return 

profile of a benchmark index

Inclusion of companies that show (relatively) the best 

performance on ESG (by sector)

Investment strategy that considers both financial return 

and social/environmental good 

Investments focused on companies aiming to solve 

sustainable development goals (SDGs)

PRINCIPLES

EURO STOXX Low Carbon, STOXX Europe 

Climate Impact futures

ESG Leaders Select futures/options*

EURO STX 50 ESG futures / options*

SRI futures

STOXX Europe ESG-X futures/options

MSCI ESG Screened futures

STOXX USA 500 ESG-X futures

PRODUCT RANGE

Evaluated Launched

Climate Transition (CTB) / Parisaligned (PAB) Benchmark futures

Climate Change ESG futures

DAX 50 ESG futures / options*

Other index providers

E

E

E

E = Environmental In preparation

Responsible In

vest

ment

App

roaches

Factors

Phase 1

Phase 2

Phase 3

4

*Not CFTC approved for US access at this time
Evaluation of ESG derivatives evolution phases

ADVANTAGES CHALLENGES LEVEL OF ESG 

INTEGRATION

Phase 1

Phase 2

Phase 3

Performance similar to 

benchmark, easy to replicate, less 

dependency on ESG data 

provider, simple to understand

Scoring of companies performing 

better than their peers, supporting 

companies improving their scores

Impact behaviour of a specific 

company, very broad exclusion 

criteria, targeting specific ESG 

themes/funds

No standardised exclusion 

criteria, ESG rating not integrated, 

no support of companies 

improving their ESG score

ESG data differing, more 

comprehensive methodology, less 

standardisation

Low degree of standardisation, 

early stage, lower index 

performance, liquidity

ASSUMED TIMELINE 

TO MATURITY

2019

2 years

4 years

6 years

5 October 2020
Eurex ESG product portfolio

Add EURO STOXX 50 and DAX 50 ESG options and futures (four products)

October 2020

Launch date Products # Futures

(Total)

# Options 

(Total)

09 Nov 2020 ESTX 50 ESG (F, O) & DAX 50 ESG (F, O) 12 4

02 Mar 2020 MSCI ESG Screened for USA, World, EM, EAFE, Japan (5 x F) 10 2

10 Feb 2020 STOXX USA 500 ESG-X (F) 5 2

21 Oct 2019 STOXX Europe 600 ESG-X (O); STOXX Europe ESG Leaders Select 30 (F, O) 4 2

18 Feb 2019 STOXX Europe 600 ESG-X (F), Climate Impact (F) & EURO STOXX 50 Low Carbon (F) 3 0

6
Eurex took a pioneering role in ESG derivatives

Strong track record especially in STOXX Europe 600 ESG-X futures

October 2020

• Current notional open interest stands at €1.3Billion

• Approx. 820k futures and 43k options contracts were 

traded in 2020

• €Value of Traded Volume in ESG segment in 2020 

(F&O) exceeded 10bn

• Mainly ESG-X futures traded; MSCI ESG volume still 

low

• In Sept 39k ESG options traded

Monthly volumes & open interest in ESG futures & options 

0

20,000

40,000

60,000

80,000

100,000

120,000

0

50,000

100,000

150,000

200,000

250,000

300,000

Open Interest Adjusted (in lots)

Traded

Contracts (in lots)

FMSF - MSCI EAFE ESG Screened FMSJ - MSCI Japan ESG Screened

FMSM - MSCI EM ESG Screened FMSU - MSCI USA ESG Screened

FMSW - MSCI World ESG Screened FSCI - STOXX EUROPE CL IM X GC CW TOB

FSEG - STOXX EUROPE 600 ESG-X FSLC - EURO STOXX 50 LOW CARBON

FSLS - STXE ESG Ldrs Select 30 OSEG - STXE 600 ESG-X

OSLS - STXE ESG Ldrs Select 30 Open Interest Adjusted

7
Selection Exclusions

Free Float 

Market Cap

1) Source: UNGlobalcompact.org

2) Source: Sustainalytics

ESG-X Screening / Exclusion methodology

Norms-based, Controversial Weapons, Tobacco and Thermal Coal Screening

Universe

STOXX EUROPE 600

STOXX USA 500

Fast Exit

In case a company which is an index constituent increases in its ESG-risk level to level 5, SEVERE level2), 

the respective constituent will be deleted from the index!

8 October 2020

Weighting

Free Float Market Cap

Maintenance

Quarterly rebalancing, annual review

Selection

Exclusion-based

Index Type

Price Index

Exclusion Criteria

ß UN Global Compact Compliance Principles1)

ß Controversial Weapons

ß Anti-personnel mines, biological and chemical weapons, cluster weapons, depleted uranium, nuclear 

weapons and white phosphorus

ß Tobacco Producers = 0% revenue threshold

ß Thermal Coal

> 25% revenue threshold from thermal coal mining and exploration

> 25% power generating capacity (coal-fired electricity, heat or steam generation capacity / thermal coal 

electricity production)
STOXX Europe Climate Impact methodology

STOXX® Europe Climate Impact Ex Global Compact, Controversial Weapons & Tobacco Index

9 19 October 2020

Exclusion Selection

STOXX Climate Impact Indices

ß Unique concept utilizing forward-looking indicators based on CDP research

ß Constituents with a CDP Performance Band Score of between A (Leadership) and B-

(Management)

ß Focus on solving the climate problem and managing climate change risks and impact

A to BCDP Scoring*

FMC x Z-score 

Constituent 

capping at 5%

Universe

STOXX® EUROPE 600

Weighting

ß Free-float market cap (FMC) multiplied by the corresponding Z-score carbon intensity factor of 

each constituent with constituent capping at 5%

ß Overweight stocks with lower carbon intensities, underweight those with higher emissions

The STOXX Europe Climate Impact index has a 53.60% lower carbon 

footprint than the STOXX Europe 600 index

Weighting

Free-float market cap (FMC) 

constituent capping at 5%

Maintenance

Quarterly rebalancing, annual review

Selection

Based on CDP Climate Scoring

Index Type

Price Index

Exclusion Criteria:

ß ICB subsector Coal

ß UN Global Compact Violations

ß Controversial Weapons

ß ICB Sector Tobacco
EURO STOXX® 50 Low Carbon Futures methodology

Investment Case

October 2020

Low Carbon Indices

ß No adverse effects from weight optimization

ß Low tracking error with similar risk-return profile

compared to the benchmark

ß Aligned with “Low Carbon Benchmark” definition 

(article 23a) provided in proposal of EU Commission 

amending regulation 2016/1011

ß Component capping of 5%

Calculate Z-Score

FMC x Zscore

Component

capping of 5%

1. Carbon Intensity: ((Scope 1 + Scope 2 Greenhouse Gas Emissions (GHG)) / Revenue ($1 million))

2. Please refer to STOXX Index Methodology Guide for details on index selection, review, and other details. 

Universe

EURO STOXX 50 

All constituents as of December each year2)

Weighting

Price weighted: free-float market cap (FMC)

Component capping of 5%

Maintenance

Quarterly rebalancing, annual review

Selection

ß Same constituents as the benchmark at the annual review in 

December

ß Uses both, all stocks with Reported and Estimated Carbon 

Intensity data1) 

ß Calculate a Z-Score (Carbon-tilt overweights low emitters and 

underweights high emitters)

Weighting

ß Price weighted: free-float market cap (FMC) multiplied by the 

corresponding Z-score carbon intensity factor of each constituent. 

Overweight stocks with lower carbon intensities, underweight those 

with higher emissions

ß Component capping of 5%

Reduces carbon footprint without applying exclusions, as it has a 63.80% lower carbon footprint than the EURO STOXX 50 index

10

Selection

Same constituents as the benchmark

Index Type

Price Index
STOXX® Europe ESG Leaders Select 30 methodology

Risk Based & ESG-Screened

October 2020

FMC x Z-score 

ß constituent

ß capping at 5%

Universe

STOXX® Global ESG Leaders Index

Selection

Based on volatility ranking and selection of the 30 

companies with the highest 12m historical dividend yield

Index Type

Price Index

Weighting

Volatility weighted (Inverse); 10% cap factor

Maintenance

Quarterly upon review of base index

11

Excluded

Removed by minimum filter

Removed by best in class filter

Universe:

STOXX Global 1800

Exclusion criteria:

- UN Global Compact Compliance Principles

- Involvement in Controversial Weapons

Selection criteria:

- Minimum Filter: Based on normalized scores, 

selects all companies which have a score 

greater than or equal to the 50th percentile 

(i.e. above average) in all three criteria

- Best-in-Class Filter: E,S,G, Individual 

Leadership Filter (Best 25%)

Weighting:

Price weighted with an ESG Score factor

Excluded due to volatility

Not selected

Selected

Selection of the STOXX® Global ESG Leaders Index Selection of the STOXX Europe ESG Leaders Select 30 EUR

Selection criteria:

ß Stocks that do not have both 12 month 

historical daily pricing data and 12 month 

historical dividend yield are removed from the 

base universe 

1. Stocks whose previous 3 and 12 month 

historical volatilities are the highest are 

excluded 

2. Remaining stocks with the highest 12-

month historical dividend yields are then 

selected to be included in the index

ß The percentage of exclusion/inclusion at step 

1 and 2 is the same and is determined by the 

Equal Strength Ratio1)

Universe Volatility 

weighted 

(Inverse); 10% 

cap factor

1) https://www.stoxx.com/document/Presentations/STOXX_Europe_ESG_Leaders_Select_30_EUR.pdf
DAX® 50 ESG methodology

October 2020

Filter base universe: HDAX® 

(DAX® + MDAX® + TecDAX®) for stocks in breach of a minimum ESG screen1):

ß Global Standard Screenings (if non-compliant)

ß Involvement in controversial weapons (if yes)

ß Military contracting2) (5% revenue threshold)

ß Nuclear power (5% revenue threshold)

ß Thermal coal (5% revenue threshold)

ß Tobacco production (0% revenue threshold)

1) As identified by Sustainalytics. Additionally, companies which do not have product involvement data are not considered for selection. Companies with no ESG scores are assigned a zero score

2) Military contracting here refers to revenues from manufacturing military weapons systems and/or integral tailor made components or from tailor made products or services that support military weapons

3) In case a company increases its ESG Controversy Rating to Category 5 and becomes non-compliant based on the Sustainalytics Global Standards Screening assessment, the company is deleted on the third dissemination day and replaced

Selection Exclusion Not Selected

Free-float 

market 

capitalization 

subject to 7% 

component 

level cap

Selection:

ß Rank remaining securities by

I. free-float market 

capitalization

II. order book volume and

III. ESG score

ß Select 50 large and liquid 

companies with good ESG scores

ß Selection mechanism designed to 

achieve low turnover Maintenance:

ß Annual recomposition in September applying the “Regular Exit” and 

“Regular Entry” rules

ß Quarterly rebalancing applying the “Fast Exit” and “Fast Entry” rules

ß Daily screening3)

Universe

HDAX® (DAX® + MDAX® + TecDAX®)

Price Return 

Weighting

Free Float Market Cap

Component level cap 7%

Maintenance

Quarterly rebalancing, annual review

Selection

Based on ESG and Liquidity Ranking

Index Type

Price Index

12

In case a company increases its ESG Controversy 

Rating to Category 5 and becomes non-complaint 

based on the Sustainalytics Global Standards 

Screening assessment, the company is deleted on 

the third dissemination day.
EURO STOXX 50 ESG methodology

October 2020

Universe

EURO STOXX 50 index

Weighting

Free Float Market Cap

Maintenance

Quarterly rebalancing, annual review

Selection

ESG integration by replacement

Index Type

Price Index

Universe Replacements/Integration

ESG integration by replacement

Replacement criteria:

ß Exclusion of least sustainable companies - lowest 10% based on ESG score 

ß Global Standards Screening (if non-compliant)

ß Involvement in controversial weapons

ß Anti-personnel mines, biological and chemical weapons, cluster weapons, depleted uranium, nuclear weapons and 

white phosphorus

ß Tobacco producers (0% revenue threshold)

ß Thermal coal 

ß >25% revenue threshold from thermal coal mining and exploration

ß >25% power generating capacity (coal-fired electricity, heat or steam generation capacity / thermal coal electricity 

production)

ß All excluded companies are replaced by companies with a higher ESG score in the same ICB Supersector. Ranked based 

on market capitalization

In case a company increases its ESG Controversy Rating to Category 5 and becomes non-complaint based on the 

Sustainalytics Global Standards Screening assessment, the company is deleted on the third dissemination day.

Free float market cap

13
MSCI Screened is the building block for ESG indices

October 2020

Futures available at EUREX 

since

2nd March 2020 

14
Exclusion Criteria for MSCI ESG Screened Indexes

Selection of Exclusion

The exclusions have been selected to span the three pillars of Environmental, Social and Governance (ESG) investing which reflect 

investors’ most common concerns

October 2020

ESG 

Exclusion 

Criteria

- Thermal Coal

Companies deriving 5% or more revenue from mining or thermal coal or 5% or more revenue from thermal coal 

based power generation

- Oil Sands

Companies deriving 5% or more revenue from oil sands extraction

- Tobacco

Companies classified as producers or deriving 5% or more aggregate revenue from production, distribution, 

retail and supply of tobacco-related products

- Controversial weapons

Companies with ties to cluster bombs, landmines, depleted uranium weapons, chemical and biological 

weapons, blinding laser weapons, non-detectable fragments, incendiary weapons

- Civilian Firearms

Companies classified as producers of firearms and small arms ammunition for civilian market or deriving 5% or 

more revenue from distribution of firearms and small arms

- Nuclear Weapons

Companies connect with nuclear weapons: Manufacturers, providers of components or auxiliary services 

related to nuclear warheads and missiles; Assemblers of delivery platforms for nuclear weapons

- UN Global Compact

Companies that are not in compliance with the United Nations Global Compact principles

E

S

G

15
ESG 

Exclusions

Green 

Bonds 

16 19 October 2020

Fixed Income future and options to target the enitre ESG ecosystem

• Use of reliable and established 

benchmarks

• Build on the confidence of market 

participants to create liquidity 

• Broad coverage of the different fixed 

income segments

• Offering of a complete toolbox in the 

ESG fixed income space

• Multi-phased expansion in terms of 

geographies

• Developed and emerging markets in 

scope to accommodate the rising demand 

Impact

Investing

ESG 

Integration
eurex.com

Thank you!

Megan Morgan

Global Head of Sales, Equity & Equity Index

Eurex 

Tel: +1.312.806.5411

megan.morgan@eurex.com
Disclaimer

© Eurex 2020

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All descriptions, examples and calculations contained in this publication are for illustrative purposes only. 

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Only Eurex derivatives that are CFTC-approved may be traded via direct access in the United States or by United 

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participants may familiarise U.S. Qualified Institutional Buyers (QIBs) and broker-dealers with certain eligible Eurex

equity options and equity index options pursuant to the terms of the SEC’s July 1, 2013 Class No-Action Relief. A 

complete, up-to-date list of Eurex options that are eligible under the SEC Class No-Action Relief is available at: 

http://www.eurexchange.com/exchange-en/products/eurex-derivatives-us/eurex-options-in-the-us-for-eligiblecustomers... Lastly, U.S. QIBs and broker-dealers trading on behalf of QIBs may trade certain single-security futures 

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Oversight Advisory Concerning the Offer and Sale of Foreign Security Futures Products to Customers Located in the 

United States (June 8, 2010).

Trademarks and Service Marks

Buxl®, DAX®, DivDAX®, eb.rexx®, Eurex®, Eurex Repo®, Eurex Strategy WizardSM, Euro GC Pooling®, FDAX®, 

FWB®, GC Pooling®,,GCPI®, MDAX®, ODAX®, SDAX®, TecDAX®, USD GC Pooling®, VDAX®, VDAX-NEW® and 

Xetra® are registered trademarks of DBAG. All MSCI indexes are service marks and the exclusive property of MSCI 

Barra. ATX®, ATX® five, CECE® and RDX® are registered trademarks of Vienna Stock Exchange AG. IPD® UK 

Quarterly Indexes are registered trademarks of Investment Property Databank Ltd. IPD and have been licensed for 

the use by Eurex for derivatives. SLI®, SMI® and SMIM® are registered trademarks of SIX Swiss Exchange AG. The 

STOXX® indexes, the data included therein and the trademarks used in the index names are the intellectual property 

of STOXX Limited and/or its licensors Eurex derivatives based on the STOXX® indexes are in no way sponsored, 

endorsed, sold or promoted by STOXX and its licensors and neither STOXX nor its licensors shall have any liability 

with respect thereto. Bloomberg Commodity IndexSM and any related sub-indexes are service marks of Bloomberg 

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The names of other companies and third party products may be trademarks or service marks of their respective 

owners.

Eurex Deutschland qualifies as manufacturer of packaged retail and insurance-based investment products (PRIIPs) 

under Regulation (EU) No 1286/2014 on key information documents for packaged retail and insurance-based 

investment products (PRIIPs Regulation), and provides key information documents (KIDs) covering PRIIPs traded on 

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In addition, according to Art. 14(1) PRIIPs Regulation the person advising on, or selling, a PRIIP shall provide the 

KID to retail investors free of charge.

18 19 October 2020
Derivatives on MSCI World ESG Screened Index

October 2020

Source: MSCI

19
Derivatives on MSCI EM ESG Screened Index

Source: MSCI

20 October 2020
Derivatives on MSCI EAFE ESG Screened Index

Source: MSCI

21 October 2020
Derivatives on MSCI Japan ESG Screened Index

Source: MSCI

22 October 2020
Derivatives on MSCI USA ESG Screened Index

Source: MSCI

23 October 2020
DAX 50 ESG derivatives – contract specifications 

Contract specifications*

Description of underlying A detailed description of the index rules and regulations can be found on the Qontigo website under https://qontigo.com/

Contract value EUR 10 per index point

Settlement Cash settlement, due on the first exchange day after the final settlement day.

Price determination In points, with two decimal places.

Minimum price change 0.5 (equals EUR 5); Calendar Tick 0.25 (equals EUR 2.5)

Contract months Futures: The next three quarter months of the cycle March, June, September and December (9 months). Options up to five years

Last trading day/final settlement day

The third Friday of each maturity month, if this is a trading day at Eurex Deutschland, otherwise the trading day immediately preceding 

that day. 

The final settlement day is the trading day following the last trading day.

Final settlement price

Start of the call phase of the intra-day auctions in the electronic trading system of the Frankfurt Stock Exchange as determined by the 

Management Board of Eurex Deutschland 

* All other product specifications are identical with already existing DAX derivatives

*Tick size for FDAX to be increased from 0.5 to 1.0 as of 21.12.2020

**Calendar tick size for FMDX will be introduced reducing the calendar tick from 1 to 0.5 as of 21.12.2020

Index Currency Index type Index Level (ca.) Eurex Multiplier Min Block Size Tick Size Tick Value

Calendar 

Tick

Calendar 

Tick value

Contract value

DAX 50 ESG EUR Price 1,461 Future 10 100 0.50 5.00 0.25 2.50 14,610 

Option 10 100 0.10 1.00

Related benchmark

DAX EUR GTR 12,200 25 0.5* 12.5 0.5** 305,000 

Mini DAX EUR GTR 12,200 5 1.00 5.0 0.00 61,000 

24 October 2020
EURO STX 50 ESG derivatives – contract specifications 

Contract specifications*

Description of underlying A detailed description of the index rules and regulations can be found on the Qontigo website under https://qontigo.com/

Contract value EUR 100 per index point

Settlement Cash settlement, due on the first exchange day after the final settlement day.

Price determination In points, with two decimal places.

Minimum price change Future: 0.05 (equals EUR 5), Calendar 0.02 (equals EUR 2); Option: 0.01 (equals EUR 1)

Contract months Futures: The next three quarter months of the cycle March, June, September and December (9 months). Options up to five years

Last trading day/final settlement 

day

The third Friday of each maturity month, if this is a trading day at Eurex Deutschland, otherwise the trading day immediately

preceding that day. 

Close of trading for maturing series: 12:00 CET. 

The final settlement day is the trading day following the last trading day.

Final settlement price The average value of all index calculations of the EURO STOXX 50 Index in the time between 11:50 and 12:00 CET on the last 

trading day

* All other product specifications are identical with already existing STOXX derivatives

Index Currency Index type Index Level (ca.) Eurex Multiplier Min Block Size Tick Size Tick Value

Calendar 

Tick

Calendar 

Tick value

Contract value

EURO STOXX 50 ESG EUR Price 132 Future 100 100 0.05 5.00 0.02 2.00 13,200 

Option 100 100 0.01 1.00

Related benchmark

EURO STOXX 50 EUR Price 3,200 10 2,000 1.00 10 0.25 2.50 32,000 

25 October 2020