S&P/TSX 60 ESG Index Futures (SEG)

Underlying

The S&P/TSX 60 ESG Index measures the performance of constituents in the S&P/TSX 60 Index that meet sustainability criteria, while taking into account the industry group weights of the SP/TSX 60 Index.

The S&P/TSX 60 ESG Index constituents are weighted based on the constituents’ weights in the S&P/TSX 60 Index, tilted such that companies with higher S&P DJI ESG scores are overweighted, and companies with lower S&P DJI ESG scores are underweighted, while maintaining industry group neutrality. The index also applies exclusions based on companies’ involvement in thermal coal, tobacco, controversial weapons and poor performance against United Nations’ Global Compact principles.

Multiplier

C$50 times the S&P/TSX 60 ESG Index Futures contract value.

Expiry cycle

March, June, September and December.

Price quotation

Quoted in index points, expressed to two decimals.

Minimum price fluctuation

  • 0.10 index points for outright positions
  • 0.01 index points for calendar spreads
  • 0.05 index points for outright Basis Trades on Close

Contract type

Cash-settled. The final settlement price is the official opening level of the underlying index on the final settlement day

Last trading day

Trading ceases on the trading day prior to the final settlement day.

Final settlement day

The third Friday of the contract month, provided it is a business day. If it is not a business day, final settlement will occur on the first preceding business day.

Position reporting threshold

1,000 futures contracts (standard and mini combined) on the S&P/TSX 60 ESG Index, gross long and short, in all contract months combined.

Position limit

Information on position limits can be obtained from the Bourse as they are subject to periodic changes. See Circulars.

Trading halt

A trading halt will be invoked in conjunction with the triggering of "circuit breakers" on the underlying issues.

Minimum margin requirements

Information on minimum margin requirements can be obtained from the Bourse as they are subject to periodic changes. See the Futures contracts margin rates page on the Regulatory Division website.

Trading hours

Early session* 2:00 a.m. to 9:15 a.m.

Regular session 9:30 a.m. to 4:30 p.m.

* A trading range of -5% to +5% (based on previous day's settlement price) has been established only for this session.

Clearing corporation

Canadian Derivatives Clearing Corporation (CDCC).

Trading procedures

Please refer to the Rules of the Bourse.

The information contained in this document is for information purposes only and shall not be construed as legally binding. This document is a summary of the product's specifications which are set forth in the Rules of Bourse de Montréal Inc. (“Rules of the Bourse”). While Bourse de Montréal Inc. endeavors to keep this document up to date, it does not guarantee that it is complete or accurate. In the event of discrepancies between the information contained in this document and the Rules of the Bourse, the latter shall prevail. The Rules of the Bourse must be consulted in all cases concerning products' specifications.

The S&P/TSX 60 ESG Index was launched on July 27, 2020. All information before the launch date is hypothetical back-tested, not actual performance, based on the index methodology in effect on the launch date. Back-tested performance reflects application of an index methodology and selection of index constituents with the benefit of hindsight and knowledge of factors that may have positively affected its performance, cannot account for all financial risk that may affect results and may be considered to reflect survivor/look ahead bias. Actual returns may differ significantly from, and be lower than, back-tested returns. Past performance is not an indication or guarantee of future results.

The S&P/TSX 60 Index and the S&P/TSX 60 ESG Index (the "Indices") are a product of S&P Dow Jones Indices LLC or its affiliates ("SPDJI") and TSX Inc. ("TSX"). Standard & Poor's® and S&P® are registered trademarks of Standard & Poor's Financial Services LLC ("S&P"); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"); and TSX® is a registered trademark of TSX. SPDJI, Dow Jones, S&P and their respective affiliates do not sponsor, endorse, sell or promote any products based on the Indices and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions or interruptions of the Indices or any data related thereto.

SEGTM is a trademark of Bourse de Montréal Inc.