55 East 52nd Street

New York, New York 10055

Submission No. 24-10

January 19, 2024

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, NW

Washington, DC 20581

Re: Amendments to the Volatility Control Levels for Certain Equity Index Futures 

Contracts Submission Pursuant to Section 5c(c)(1) of the Act and Regulation 40.6

Dear Mr. Kirkpatrick:

Pursuant to Section 5c(c)(1) of the Commodity Exchange Act, as amended, and 

Commodity Futures Trading Commission (“Commission”) Regulation 40.6(a), ICE Futures U.S., 

Inc. (“Exchange”) hereby notifies the Commission of changes to the Exchange’s Reasonability 

Limits1, No Cancellation Ranges2, Calendar Spread Stop Limit Order Ranges3 and Interval Price 

Limits4(collectively referred to as the “Volatility Control Levels”) applicable to the Exchange’s suite 

of equity index futures contracts. The new RLs, NCRs and IPL are specified in Exhibit A and will 

become effective on February 5, 2024. 

The changes harmonize the Volatility Control levels for the quarterly MSCI Index 

futures contracts listed by the Exchange. Each quarterly futures contract is being placed 

into one of twelve buckets based on its individual index price level and its liquidity and 

volatility characteristics. As a part of this process, the Exchange is also expanding the 

Volatility Control Levels for a total of 30 quarterly MSCI Index futures contracts. In most 

instances, the price levels of the indexes underlying these contracts has increased 

significantly since the products were first listed. As a result, the Volatility Control Levels, 

as a percentage of the underlying index price, has become relatively tight and warrant 

expansion to ensure proper market function. In addition to the foregoing, the Exchange 

is also expanding the Volatility Control Levels for 3 daily MSCI Index Futures Contracts. 

1 Orders may not be entered into the Exchange’s electronic trading platform at prices outside of Reasonability Limits.

2 There is a defined No Cancellation Range for each contract. Trades executed within this price range will not, under 

normal circumstances, be cancelled or price adjusted.

3 There is a defined Calendar Spread Stop-Limit Order Range for each calendar spread. Trades executed within this 

price range will not, under normal circumstances, be cancelled or price adjusted.

4

Interval Price Limits establish dynamic intraday price ranges outside of which trading in a particular contract month 

of an Exchange futures contract may not take place for a pre-set period of time.
A list of the contracts for which the Volatility Controls have been expanded is attached at 

Exhibit B. 

The Exchange is not aware of any opposing views with respect to the changes. The 

Exchange certifies that the rule amendments comply with the requirements of the Commodity 

Exchange Act and the rules and regulations promulgated thereunder. Specifically, the 

amendments address the Core Principle 4 requirement that the Exchange have the capacity to 

prevent price distortions, and are consistent with Regulation 38.255 regarding the establishment 

of risk controls by a DCM and the Acceptable Practices issued by the Commission, which 

specifically reference the use of price collars or bands as appropriate forms of risk controls. The 

Exchange further certifies that, concurrent with this filing, a copy of this submission was posted 

on the Exchange’s website, which may be accessed at 

(https://www.theice.com/notices/Notices.shtml?regulatoryFilings). 

If you have any questions or need further information, please contact me at 212-748-

4021 or at jason.fusco@theice.com.

Sincerely,

Jason V. Fusco

General Counsel

ICE Futures U.S.

Enc.
EXHIBIT A

ICE Futures U.S., Inc. Reasonability Limits and No Cancellation 

Ranges - As of MARCH APRIL 2023

The ICE Futures U.S. Error Policy includes Reasonability Limit (“RL”), No Cancellation Range 

(“NCR”) and Calendar Spread Stop Limit Order (“CSLOR”) levels for futures and options 

contracts. The levels shown below are subject to change without prior notification.

****

ICE Futures U.S. Agricultural, Metal, Index and Currency Contracts NCR, RL and 

CSLOR Levels

****

INDEX FUTURES (in Index Points) RL NCR CSLOR

U.S. Dollar Index (DX) 0.500 0.200 0.100

MICRO NYSE FANG+TM Index (FNG) 45.00 15.00 10.00

MSCI EAFE Index (MFS)

24.000 8.000 5.000

MSCI Emerging Markets Index (MME)

16.000 4.000 2.500

MSCI World Index (MWL)

30.000 10.000 7.000

MSCI World Low Carbon Leaders NTR Index (WLC) and MSCI World Low 

Carbon Target NTR Index (WLT) 24.000 3.000 2.000

MSCI EAFE NTR Index (MFU) 100.000 30.000 20.000

MSCI Emerging Markets NTR Index (MMN) 10.000 3.000 2.000

MSCI Emerging Markets Latin America Index (MLE) 30.000 10.000 7.000

MSCI Emerging Markets ex China NTR Index (MMC) 100.000 30.000 20.000

MSCI Kokusai GTR Index (KKS) 30.000 5.000 2.500

MSCI EM Asia NTR Index (ASN) 10.000 3.000 2.000

MSCI ACWI NTR Index (MMW) 5.000 1.500 1.000

ACWI Ex-US NTR Index (AWN) 5.000 0.750 0.500

MSCI Canada Index (MCL) and USA Index (MUN) 18.000 9.000 6.000

MSCI Pan-Euro Index (MPP) 11.000 6.000 4.000

MSCI Euro Index (MEU) 10.000 4.500 3.000

MSCI USA Value Index (MCU) 20.000 10.500 7.000

MSCI Europe Index (MCE), Europe Growth Index (MGE), and Europe Value 

Index (MPU) 1.250 0.500 0.250

MSCI USA Growth Index (MRG) 30.000 15.000 10.000
MSCI USA Small Cap Index (MUS) 22.500 3.000 2.000

MSCI EM EMEA NTR Index (MMM) 5.000 1.500 1.000

MSCI EM NTR (EUR) Index (MMR) 5.000 1.000 0.750

MSCI EM LatAm NTR Index (MML) 10.000 3.000 2.000

Mexico NTR Index (MXM) 12.000 1.000 0.750

MSCI China Free NTR Index ($50) (MCX) 9.000 1.300 1.000

MSCI India NTR Index (MIN) 16.000 4.000 2.500

MSCI Pacific NTR Index (MPA) and Europe NTR Index (EU9) 100.00 30.000 20.000

Pacific ex-Japan Index (PAC), 120.000 15.000 10.000

MSCI USA GTR Index (USS) 200.000 50.000 30.000

MSCI North America NTR Index (NAA) and Canada GTR Index (CAD) 150.000 18.000 12.000

MSCI World NTR Index (MWS) 100.000 30.000 20.000

MSCI AC Asia-ex-Japan Index (ASI) 10.000 3.000 2.000

MSCI Japan ESG Select Leaders Index (JSL) 30.000 4.000 2.500

MSCI Japan NTR Index (JPP) 100.000 30.000 20.000

MSCI USA Minimum Volatility Index (MUV) 85.000 12.000 8.000

MSCI World ESG Leaders NTR Index (LFW) 3.000 1.000 0.700

EAFE ESG Leaders NTR (LFG) and Europe ESG Leaders NTR Index (LFU) 3.200 0.400 0.300

MSCI EM ESG Leaders NTR Index (LFM) 24.000 8.000 5.000

MSCI USA Climate Change NTR Index (MUC) 32.000 4.000 3.000

MSCI USA ESG Leader GTR Index (LFA) 10.000 3.000 2.000

MSCI Australia NTR Index (AS7) 55.000 8.000 6.000

MSCI Malaysia NTR Index (MYY) 3.000 0.400 0.300

MSCI Thailand NTR Index (THG) and MSCI China Technology DR and P-Chip 

Index (CHT) 18.000 2.500 1.800

MSCI World Climate Paris Aligned NTR Index (MVR) 30.000 10.000 7.000

MSCI USA Climate Paris Aligned GTR Index (MVS) 45.000 15.000 10.000

MSCI Europe Climate Paris Aligned NTR Index (MVT) 30.000 10.000 7.000

MSCI EM Climate Paris Aligned NTR Index (MVU) 20.000 7.000 4.000

MSCI Europe (Euro) NTR Index (MVV) 2.500 .5000 0.250

MSCI EM Asia ESG Leaders NTR Index (ESG) 20.000 7.000 4.000

MSCI EAFE Climate Paris Aligned NTR Index (ESH) 18.000 5.000 3.000

MSCI World NTR (EUR Index (ESI) 5.000 1.500 1.000

MSCI ACWI NTR Index (MTJ) 1.500 5.000 1.000

MSCI USA Low Carbon Target Core GTR Index (MTK) 15.000 45.000 10.000

MSCI EM Low Carbon Target Core NTR Index (MTL) 5.000 18.000 3.000
MSCI World ex USA Low Carbon Target Core NTR Index (MTM) 7.000 20.000 4.000

MSCI* EAFE Low Carbon Target Core NTR Index Futures (MTN) 7.000 20.000 4.000

MSCI ACWI Low Carbon Target Core NTR Index (MTO) 10.000 30.000 7.000

MSCI EM ex China ex Taiwan NTR Index (MTP) 4.000 16.000 2.500

MSCI EM ex China ex Taiwan Price Index (MTQ) 3.000 10.000 2.000

ICE Biotechnology GTR Index (IUT) 5.000 1.000 0.500

ICE Semiconductor GTR Index (IUS) 20.000 4.000 2.000

ICE US Conforming 30-year Fixed Mortgage Rate Lock Weighted APR Index 

(30C) 0.100 0.075 0.075

ICE US Jumbo 30-year Fixed Mortgage Rate Lock Weighted APR Index (30J) 0.150 0.100 0.125

ICE One-Month SOFR Index (SR1) 0.10000 0.05000 0.05000

ICE Three-Month SOFR Index (SR3) 0.10000 0.05000 0.05000

MSCI World ESG Leaders NTR Index (LFW), MSCI Germany NTR Index (GEA) 

MSCI Europe (Euro) NTR Index (MVV), MSCI Malaysia NTR Index (MYY), 

MSCI EAFE ESG Leaders NTR Index (LFG),and Europe ESG Leaders NTR 

Index (LFU), MSCI Europe Index (MCE), MSCI Europe Growth Index (MGE) and 

MSCI Europe Value Index (MPU) 3.200 1.000 0.700

ACWI Ex-US NTR Index (AWN), MSCI EM NTR Index (MMR), MSCI ACWI 

NTR Index (MMW), EMEA NTR Index (MMM), MSCI World NTR (EUR) Index 

(ESI), and MSCI ACWI NTR Index (MTJ) 5.000 1.500 1.000

MSCI Emerging Markets NTR Index (MMN), MSCI China NTR Index (CHH), 

MSCI Emerging Markets LatAm NTR Index (MML), MSCI USA ESG Leader 

GTR Index (LFA), MSCI ex-Japan NTR Index (ASI), EM Asia NTR Index 

(ASN), and

MSCI EM ex China ex Taiwan Price Index (MTQ) 10.000 3.000 2.000

MSCI Emerging Markets Index (MME), MSCI India NTR Index (MIN) and MSCI 

EM ex China ex Taiwan NTR Index (MTP) 16.000 4.000 2.500

MSCI Pan-Euro Index (MPP), MSCI Europe Index (MEU), 

MSCI USA Small Cap Index (MUS) and USA Small Cap GTR Index (USC), 

MSCI Thailand NTR Index (THG), MSCI EAFE Climate Paris Aligned NTR 

Index (ESH) and MSCI EM Low Carbon Target Core Index (MTL) 18.000 5.000 3.000

MSCI Europe Climate Change Index (EU1), MSCI EM Asia ESG Leaders NTR 

Index (ESG), MSCI EM Climate Paris Aligned NTR Index (MVU), MSCI World 

ex USA Low Carbon Target Core Index (MTM) and MSCI EAFE Low Carbon 

Target Core NTR Index (MTN) 20.000 7.000 4.000

MSCI EAFE Index (MFS) and MSCI EM ESG Leaders NTR Index (LFM)

24.000 8.000 5.000

MSCI Canada Index (MCL), MSCI EM Latin America Index (MLE), MSCI World 

Climate Paris Aligned NTR Index (MVR), MSCI Europe Climate Paris Aligned 

NTR Index (MVT), MSCI World Index (MWL), MSCI World Climate Change 

(WOW), MSCI ACWI Low Carbon Target Core NTR Index (MTO) and MSCI 

USA Value (MCU)

30.000 10.000 7.000

MSCI USA Index (MUN), MSCI USA Climate Change NTR Index (MUC), 

MSCI USA Climate Paris Aligned GTR Index (MVS) and 

MSCI USA Low Carbon Target Core index (MTK) 45.000 15.000 10.000

MSCI Japan ESG Select Leaders GTR Index (JSL), MSCI Australia NTR Index 

(AS7), MSCI Kokusai GTR (KKS) and MSCI USA Minimum Volatility GTR 

Index (MUV) 70.000 20.000 15.000

MSCI Pacific ex-Japan Index (PAC), MSCI EAFE NTR Index (MFU), MSCI 

Pacific NTR Index (MPA), MSCI Europe NTR Index (EU9), MSCI Japan NTR 

Index (JPP), MSCI Emerging Market ex-China NTR Index (MMC) and 

MSCI World NTR Index (MWS) 100.000 30.000 20.000
MSCI North America NTR Index (NAA), MSCI USA Growth Index (MRG), 

MSCI Canada GTR Index (CAD) and MSCI USA GTR Index (USS) 200.000 50.000

30.000

NYSE Biotechnology GTR Index (IUT) 5.000 1.000 0.500

NYSE Semiconductor GTR Index (IUS) 20.000 4.000 2.000

ICE US Conforming 30-year Fixed Mortgage Rate Lock Weighted APR Index 

(30C) 0.100 0.075 0.075

ICE US Jumbo 30-year Fixed Mortgage Rate Lock Weighted APR Index (30J) 0.150 0.100 0.125

ICE One-Month SOFR Index (SR1) and ICE Three-Month SOFR Index (SR3) 0.10000 0.05000 0.05000

MSCI Daily Futures Contracts RL NCR CSLOR

MSCI Emerging Markets Index (DMU) 16.000 4.000 n/a

MSCI EAFE Index (DMQ) 24.000 8.000 n/a

MSCI World NTR USD Index (DMJ) 100.000 30.000 n/a

MSCI EM Asia NTR USD Index (DMX) 10.000 3.000 n/a

MSCI Emerging Markets NTR USD Index (DMY) 10.000 3.000 n/a

MSCI Emerging Markets Latin America NTR Index (DMW) 10.000 3.000 n/a

MSCI Emerging Markets EMEA NTR Index (DM6) 5.000 1.500 n/a

MSCI USA GTR Index (DMO) 200.000 50.000 n/a

MSCI Pacific NTR Index (DMV) 100.000 30.000 n/a

MSCI Europe NTR USD Index (DMR) 100.000 30.000 n/a

MSCI ACWI NTR USD Index (DML) 5.000 1.500 n/a

MSCI Japan NTR USD Index (DMS) 100.000 30.000 n/a

MSCI Emerging Markets ESG Leaders Index (DMI) 24.000 8.000 n/a

MSCI EAFE ESG Leaders Index (DM2) 3.200 [0.400]1.000 n/a

MSCI Europe ESG Leaders Index (DM3) 3.200 [0.400]1.000 n/a

MSCI USA ESG Leaders Index (DM4) 10.000 3.000 n/a

MSCI World ESG Leaders Index (DM5) [3.000]3.200 1.000 n/a

[REMAINDER OF DOCUMENT UNCHANGED]
INTERVAL PRICE LIMIT FUNCTIONALITY

With IPL levels as of January April 2023

IPL functionality acts as a temporary circuit breaker feature on the electronic platform, to diminish the 

likelihood and extent of short-term price spikes or aberrant market moves. While it is designed to be in 

force throughout each trading day, it is expected that the protections will be actively triggered only in the 

case of extreme price moves over very short periods of time. The IPL regime uses three customizable 

parameters for each futures product:

1. IPL Recalculation Time: A pre-set length of time during which the price of a contract month 

may not move up or down more than the IPL Amount (defined below) from the contract price at 

the start of the period. This starting price is referred to as the “anchor price”. The IPL 

Recalculation Time continuously resets for the length of time applicable to the particular futures 

contract.

2. IPL Amount: The maximum number of points that a contract month is permitted to move up or 

down during each IPL Recalculation Time for the contract. The anchor price plus/minus the IPL 

amount effectively creates an IPL range for the contract for the IPL Recalculation Time.

3. IPL Hold Period: When the platform determines that the next trade in the contract month will 

be at a price that is outside the active IPL range, the platform triggers a Hold Period, during 

which the price of the contract is not permitted to trade outside the IPL range that was in place at 

the start of the IPL Hold Period. The length of the Hold Period is pre-set. When a Hold Period is 

triggered, the platform will issue an alert notifying users that a Hold Period has begun and 

specifying the time the Hold Period will end.

IPL parameters can be changed without prior notice, at the sole discretion of the Exchange, based on 

prevailing market conditions.

Current IPL Recalculation Times, Amounts and Hold Period for all IFUS products are shown below:

****

Stock and Financial Index Contracts:

FUTURES CONTRACT

IPL 

Amount 

(in Index 

Points)

Recalc Time 

(in secs)

Hold 

Period (in 

secs)

MSCI World Low Carbon Leaders NTR Index (WLC), 

MSCI World Low Carbon Target NTR (WLT), MSCI EM 48.000 5 5
Latin America Index (MLE), MSCI World Climate Paris 

Aligned NTR Index (MVR), MSCI Europe Climate Paris 

Aligned NTR Index (MVT), and MSCI World Index 

(MWL)

MSCI EAFE NTR Index (MFU), MSCI Pacific NTR Index 

(MPA), MSCI Europe NTR Index (EU9), MSCI Japan NTR 

Index (JPP), MSCI Emerging Market ex-China NTR Index 

(MMC) , MSCI World NTR Index (MWS) and MSCI USA 

Minimum Volatility GTR Index (MUV) 120.000 5 5

MSCI Emerging Markets NTR Index (MMN), MSCI China 

NTR Index (CHH), MSCI Emerging Markets LatAm NTR 

Index (MML), MSCI USA ESG Leader GTR Index (LFA), 

MSCI ex-Japan NTR Index (ASI) 

and EM Asia NTR Index (ASN) 12.000 5 5

MSCI Kokusai GTR (KKS), and USA Growth Index 

(MRG) 60.000 5 5

MSCI ACWI NTR Index (MMW), EM NTR (MMR) Index, 

ACWI Ex-US NTR Index (AWN), MSCI Malaysia NTR 

(MYY), EMEA NTR Index (MMM), and MSCI Italy NTR 

Index (ITH) 6.000 5 5

MSCI Thailand NTR (THG), MSCI Europe Climate Change 

Index (EU1), MSCI World Climate Change (WOW), MSCI 

China Technology DR and P-Chip Index (CHT), MSCI 

Canada Index (MCL) and USA Index (MUN) 36.000 5 5

MSCI Pan-Euro Index (MPP) 22.000 5 5

MSCI Europe Index (MEU), MSCI Emerging Markets 

Index (MME) and MSCI India NTR Index (MIN) 20.000 5 5

MSCI China Free NTR Index ($50) (MCX) 10.000 5 5

Pacific ex-Japan Index (PAC), 150.000 5 5

MSCI USA GTR Index (USS) 300.000 5 5

MSCI North America NTR Index (NAA) and Canada GTR 

Index (CAD) 180.000 5 5

MSCI Europe Index (MCE), Europe Growth Index (MGE), 

and Europe Value Index (MPU) 2.500 5 5

MSCI USA Climate Paris Aligned GTR Index (MVS) 50.000 5 5

MSCU USA Small Cap Index (MUS) and USA Small Cap 

GTR Index (USC) 25.000 5 5

MSCI World ESG Leaders NTR Index (LFW), EAFE ESG 

Leaders NTR (LFG), MSCI Germany NTR Index (GEA) 

and Europe ESG Leaders NTR Index (LFU) 4.000 5 5

MSCI EAFE Index (MFS), MSCI EM ESG Leaders NTR 

Index (LFM), MSCI USA Value (MCU) and MSCI USA 

Climate Change NTR Index (MUC) 40.000 5 5

MSCI Japan ESG Select Leaders GTR Index (JSL) 35.000 5 5

MSCI Hong Kong NTR Index (HKX) 750.000 5 5

MSCI Australia NTR Index (AS7) 110.00 5 5
MSCI EM Asia ESG Leaders NTR Index (ESG) 30.000 5 5

MSCI EAFE Climate Paris Aligned NTR Index (ESH) 25.000 5 5

MSCI World NTR (EUR) Index (ESI) 6.000 5 5

MICRO NYSE FANG+TM Index (FNG) 50.00 5 5

USA Value Index (MCU) 4000 5 5

MSCI EM Climate Paris Aligned NTR Index (MVU) 30.000 5 5

MSCI Europe (Euro) NTR Index (MVV) 3.250 5 5

ICE Biotechnology GTR Index (IUT) 6.500 5 5

ICE Semiconductor GTR Index (IUS) 25.000 5 5

ICE U.S. Conforming 30-year Fixed Mortgage Rate Lock 

Weighted APR Index (30C) 0.250 3 5

ICE U.S. Jumbo 30-year Fixed Mortgage Rate Lock 

Weighted APR Index (30J) 0.375 3 5

ICE One-Month SOFR Index Future (SR1) 0.25000 3 5

ICE Three-Month SOFR Index Future (SR3) 0.25000 3 5

Stock Index Contracts - all contracts below will be subject to a 5 second Recalculation Time and a 5 

second Hold Period:

FUTURES CONTRACTS

IPL Amount 

(in Index 

Points)

MSCI World ESG Leaders NTR Index (LFW), MSCI Germany NTR Index (GEA, ) 

MSCI Europe (Euro) NTR Index (MVV), MSCI Malaysia NTR Index (MYY), MSCI 

EAFE ESG Leaders NTR Index (LFG),and Europe ESG Leaders NTR Index (LFU), 

MSCI Europe Index (MCE), MSCI Europe Growth Index (MGE) and 

MSCI Europe Value Index (MPU) 4.000

ACWI Ex-US NTR Index (AWN), MSCI EM NTR Index (MMR), MSCI ACWI 

NTR Index (MMW), EMEA NTR Index (MMM), MSCI World NTR (EUR) Index 

(ESI), and MSCI ACWI NTR Index (MTJ) 6.000

MSCI Emerging Markets NTR Index (MMN), MSCI China NTR Index (CHH), 

MSCI Emerging Markets LatAm NTR Index (MML), MSCI USA ESG Leader GTR 

Index (LFA), MSCI ex-Japan NTR Index (ASI), EM Asia NTR Index (ASN), and

MSCI EM ex China ex Taiwan Price Index (MTQ) 12.000

MSCI Emerging Markets Index (MME), MSCI India NTR Index (MIN) and MSCI 

EM ex China ex Taiwan NTR Index (MTP) 20.000

MSCI Pan-Euro Index (MPP), MSCI Europe Index (MEU), 

MSCI USA Small Cap Index (MUS) and USA Small Cap GTR Index (USC), 

MSCI Thailand NTR Index (THG), MSCI EAFE Climate Paris Aligned NTR Index 

(ESH) and MSCI EM Low Carbon Target Core Index (MTL) 25.000

MSCI Europe Climate Change Index (EU1), MSCI EM Asia ESG Leaders NTR 

Index (ESG), MSCI EM Climate Paris Aligned NTR Index (MVU), MSCI World ex 

USA Low Carbon Target Core Index (MTM) and MSCI EAFE Low Carbon Target 

Core NTR Index (MTN) 30.000

MSCI EAFE Index (MFS) and MSCI EM ESG Leaders NTR Index (LFM) 40.000
MSCI Canada Index (MCL), MSCI EM Latin America Index (MLE), MSCI World 

Climate Paris Aligned NTR Index (MVR), MSCI Europe Climate Paris Aligned NTR 

Index (MVT), MSCI World Index (MWL), MSCI World Climate Change (WOW), 

MSCI ACWI Low Carbon Target Core NTR Index (MTO) and MSCI USA Value 

(MCU) 48.000

MSCI USA Index (MUN), MSCI USA Climate Change NTR Index (MUC), 

MSCI USA Climate Paris Aligned GTR Index (MVS) and 

MSCI USA Low Carbon Target Core index (MTK) 50.000

MSCI Japan ESG Select Leaders GTR Index (JSL), MSCI Australia NTR Index 

(AS7), MSCI Kokusai GTR (KKS) and MSCI USA Minimum Volatility GTR Index 

(MUV) 100.000

MSCI Pacific ex-Japan Index (PAC), MSCI EAFE NTR Index (MFU), MSCI Pacific 

NTR Index (MPA), MSCI Europe NTR Index (EU9), MSCI Japan NTR Index (JPP), 

MSCI Emerging Market ex-China NTR Index (MMC) and 

MSCI World NTR Index (MWS) 120.000

MSCI North America NTR Index (NAA), MSCI USA Growth Index (MRG), MSCI 

Canada GTR Index (CAD) and MSCI USA GTR Index (USS) 300.000

MICRO NYSE FANG+TM Index (FNG) 50.00

NYSE Biotechnology GTR Index (IUT) 6.500

NYSE Semiconductor GTR Index (IUS) 25.000

[REMAINDER OF DOCUMENT UNCHANGED]
EXHIBIT B

Product Name MIC PCC

NCR 

Value

New 

NCR New CSLOR RL Value New RL IPL New IPL

MSCI Canada GTR USD Future IFUS CAD 18.000 50.000 30.000 150.000 200.000 180.000 300.000

MSCI North America NTR USD Future IFUS NAA 18.000 50.000 30.000 150.000 200.000 180.000 300.000

MSCI USA Growth USD Future IFUS MRG 15.000 50.000 30.000 30.000 200.000 60.000 300.000

MSCI Pacific ex Japan NTR USD Future IFUS PAC 15.000 30.000 20.000 120.000 100.000 150.000 120.000

MSCI USA Min Vol GTR Index Futures IFUS MUV 12.000 20.000 15.000 85.000 70.000 120.000 100.000

MSCI Australia NTR Index Futures IFUS AS7 8.000 20.000 15.000 55.000 70.000 110.000 100.000

MSCI KOKUSAI GTR Index Futures IFUS KKS 5.000 20.000 15.000 30.000 70.000 60.000 100.000

MSCI Japan ESG Select Leaders GTR 

Index Futures IFUS JSL 4.000 20.000 15.000 30.000 70.000 35.000 100.000

MSCI USA PR USD Future IFUS MUN 9.000 15.000 10.000 18.000 45.000 36.000 50.000

MSCI USA Climate Change NTR Index 

Future IFUS MUC 4.000 15.000 10.000 32.000 45.000 40.000 50.000

MSCI USA Value PR USD Future IFUS MCU 10.500 10.000 7.000 20.000 30.000 40.000 48.000

MSCI Canada PR USD Future IFUS MCL 9.000 10.000 7.000 18.000 30.000 36.000 48.000

MSCI World Climate Change NTR 

Index Future IFUS WOW 2.000 10.000 7.000 18.000 30.000 36.000 48.000

MSCI Europe Climate Change NTR 

Index Future IFUS EU1 2.000 7.000 4.000 18.000 20.000 36.000 30.000

MSCI Pan-Euro PR EUR Future IFUS MPP 6.000 5.000 3.000 11.000 18.000 22.000 25.000

MSCI Euro PR EUR Future IFUS MEU 4.500 5.000 3.000 10.000 18.000 20.000 25.000

MSCI USA Small Cap GTR Index Future IFUS USC 4.000 5.000 3.000 20.000 18.000 25.000 25.000

MSCI USA Small Cap PR USD Future IFUS MUS 3.000 5.000 3.000 22.500 18.000 25.000 25.000

MSCI Thailand NTR Index Futures IFUS THG 2.500 5.000 3.000 18.000 18.000 36.000 25.000
MSCI Emerging Markets NTR EUR 

Future IFUS MMR 1.000 1.500 1.000 5.000 5.000 6.000 6.000

MSCI ACWI Ex USA NTR USD Future IFUS AWN 0.750 1.500 1.000 5.000 5.000 6.000 6.000

MSCI Malaysia NTR Index Futures IFUS MYY 0.400 1.000 0.700 3.000 3.200 6.000 4.000

MSCI Germany NTR Index Futures IFUS GEA 1.000 1.000 0.700 3.000 3.200 4.000 4.000

MSCI World ESG Leaders NTR USD 

Future IFUS LFW 1.000 1.000 0.700 3.000 3.200 4.000 4.000

MSCI Europe NTR Index Futures (EUR) IFUS MVV 0.500 1.000 0.700 2.500 3.200 3.250 4.000

MSCI Europe Growth Future IFUS MGE 0.500 1.000 0.700 1.250 3.200 2.500 4.000

MSCI Europe PR EUR Future IFUS MCE 0.500 1.000 0.700 1.250 3.200 2.500 4.000

MSCI Europe Value Future IFUS MPU 0.500 1.000 0.700 1.250 3.200 2.500 4.000

MSCI EAFE ESG Leaders NTR USD 

Future IFUS LFG 0.400 1.000 0.700 3.200 3.200 4.000 4.000

MSCI Europe ESG Leaders NTR USD 

Future IFUS LFU 0.400 1.000 0.700 3.200 3.200 4.000 4.000

MSCI Daily Contracts

MSCI World ESG Leaders NTR USD 

Future IFUS DM5 1.000 1.000 n/a 3.000 3.200 4.000 4.000

MSCI EAFE ESG Leaders NTR USD 

Future IFUS DM2 0.400 1.000 n/a 3.200 3.200 4.000 4.000

MSCI Europe ESG Leaders NTR USD 

Future IFUS DM3 0.400 1.000 n/a 3.200 3.200 4.000 4.000