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ESG Index Derivatives

Regulatory Developments

Update regarding the consultation of the index providers on the ESMA Guidelines on funds’ names using ESG or sustainability-related terms of 14 May 2024 (ESMA34-472-440).

Results as announced by the index providers (focus on the indices of derivatives traded on Eurex based on ESG indices; as of 18 November 2024).

I. Upcoming changes from STOXX according to the consultation proposals* (1), (2), (3) announced:

  • December 2024 (change effective with the regular index review)
    • STOXX Europe 600 SRI – Methodology change (2) (as announced on 30 September 2024)
  • March 2025 (change effective with the regular index review)
    • DAX 50 ESG – Methodology changes (1), (2) (as announced on 8 November 2024)
    • EURO STOXX 50 ESG – Methodology changes (1), (2) (as announced on 9 October 2024)
    • STOXX ESG-X – Methodology change (1) (as announced on 8 November 2024); follow-up consultation on (2), (3) runs until 11 December 2024 (as announced on 18 November 2024)
    • STOXX Europe ESG Leaders Select 30 EUR - Upgrade to the new Sustainalytics Risk Rating Management scores

      * Consultation proposals (1), (2) and (3) from STOXX (for changes in index methodology, see STOXX Market Consultations):
      (1)      Additional exclusions according to Article 12(1)(a) to (g) of CDR (EU) 2020/1818 (PAB exclusion criteria): Coal (>=1%), Oil fuels (>=10%), Gaseous fuels/electricity generation with a certain GHG intensity (>=50%)

      (2)      Change of data provider from Legacy Sustainalytics indicators to ISS ESG indicators

      (3)      Compliance with the 80% threshold linked to the proportion of investments used to meet environmental or social characteristic or sustainable investment objectives in accordance with the binding elements of the investment strategy, which are to be disclosed in Annexes II and III of CDR (EU) 2022/1288

II. Upcoming changes from MSCI according to the consultation proposals** (4), (5) announced:

  • 3 February 2025
    • MSCI ESG Screened – Name change to MSCI Screened (4)
  • As of November 2024
    • MSCI SRI – Market consultation on (5) until 13 December 2024

      ** Consultation proposals (4) and (5) from MSCI (for changes in index methodology, see MSCI Index Consultations):

      (4)      Change of index name

      (5)      Review and update of exclusion criteria regarding certain business activities