55 East 52nd Street

New York, NY 10055

BY ELECTRONIC TRANSMISSION

Submission No. 22-201

November 14, 2022

Mr. Christopher J. Kirkpatrick

Secretary of the Commission

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, NW

Washington, DC 20581

Re: New MSCI Daily Futures Contracts Frequently Asked Questions -

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. (“IFUS” or “Exchange”) self certifies the new MSCI Daily Futures 

Contract FAQ (“FAQ”), which is attached hereto as Exhibit A. The FAQ is intended to 

provide market participants with relevant information relating to the new MSCI Daily 

Index Futures Contracts being listed on December 5, 2022 (see Submission Nos. 22-183

through 22-199). 

The Exchange is not aware of any opposing views and certifies that nee FAQ, which will 

become effective on December 5, 2022, or such other date as the Exchange shall determine 

which shall be no sooner than the first business day following the tenth business day 

following submission to the Commission, comply with the requirements of the Act and the 

rules and regulations promulgated thereunder. The Exchange further certifies that, 

concurrent with this filing, a notice of pending certification was posted on the Exchange’s 

website as well as a copy of this submission, which may be accessed at 

(https://www.theice.com/futures-us/regulation#Rule-Filings).

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

Assistant General Counsel

Market Regulation

Enc.

cc: Division of Market Oversight
EXHIBIT A

MSCI Daily Futures Contracts FAQ

 

December 2022
Contents:

1. What are MSCI Daily futures contracts?

2. How many MSCI daily eligible contract dates are listed?

3. What are the Eligible MSCI Futures Contracts and their associated DFCs?

4. Are DFCs available on the Central Limit Order Book (“CLOB”)

5. Can DFCs be executed as block trades? 

6. What are the minimum tick sizes for DFCs?

7. How are DFCs /Quarterly Futures spreads (both legs referencing the same underlying 

index) Quoted and Priced? 

8. What are the settlement procedures for DFCs/Quarterly Futures Spreads?

9. Are Block Index at Close (BIC) trades still permitted?

10. What are the minimum trade size requirements for DFCs?

11. Are there any restrictions on who is eligible to execute a DFC outright trade and 

Spread? 

12. What are trading and clearing fees for DFCs?

Appendix A: Contract Specs

Appendix B: Workflow Example
1. What are MSCI Daily Futures Contracts?

MSCI Daily Futures Contracts (“DFCs”) are daily futures contracts which cash-settle to the closing 

price of the underlying (referenced) MSCI equity index. Each contract corresponds to quarterly 

index futures contract with the same underlying (referenced) MSCI Index (“Eligible Quarterly 

Contract”). 

DFCs can be traded as an outright trade or can be traded with the Eligible Quarterly Contract as a 

spread vs. the first or second quarterly maturity of the Eligible MSCI futures Contract (both legs 

referencing the same underlying index).

DFCs provide market participants with a viable mechanism to execute MSCI Index Futures 

contracts “basis trades” relative to official MSCI Index closing prices (see Question 8 below).

2. How many MSCI daily eligible contract dates are listed?

Five daily expiries are always available: 

- Against the current trading day closing index price “T1”, 

- Against the next trading day “T2”, 

- Against subsequent trading days “T3”, “T4”, and “T5”. 

The only exceptions are that DFCs are not listed on the last trading day of the quarterly MSCI Index 

Futures contracts, on Exchange trading days which are clearing holidays, on days when MSCI 

Futures contracts are scheduled to close early, and as otherwise determined by the Exchange.

Listing multiple days provides market participants with greater trade flexibility and facilitates 

benchmarking against Official MSCI Index Close Prices that can potentially be determined across 

weekends and holidays. 

3. What are the Eligible MSCI Futures Contracts and their associated DFCs?

Underlying MSCI Index Eligible Quarterly Contract DFC Contract Code

MSCI ACWI MMW DML

MSCI EAFE MFS DMQ

MSCI EAFE ESG Leaders LFG DM2

MSCI Emerging Markets MME DMU

MSCI Emerging Markets NTR MMN DMY

MSCI Emerging Markets Asia ASN DMX

MSCI Emerging Markets EMEA MMM DM6

MSCI Emerging Markets ESG Leaders LFM DMI

MSCI Emerging Markets Latin Am. MML DMW

MSCI Europe EU9 DMR

MSCI Europe ESG Leaders LFU DM3

MSCI Japan JPP DMS

MSCI Pacific MPA DMV
MSCI USA USS DMO

MSCI USA ESG Leaders LFA DM4

MSCI World MWS DMJ

MSCI World ESG Leaders LFW DM5

Contract specifications for each of the above contracts are provided in Appendix A.

4. Are DFCs available on the Central Limit Order Book (“CLOB”)

Yes, DFCs can be traded as an outright trade or traded with an Eligible Quarterly Contract as 

a spread on the CLOB.

5. Can DFCs be executed as block trades? 

Yes, DFCs can be executed as blocks trades (outright block trades or spread block trades with 

the Eligible MSCI Futures Contract). The minimum block trade size for blocks are the 

same as the minimum block trade size for the Eligible MSCI Futures Contract and can 

be found here. 

6. What are the minimum tick sizes for DFCs?

Generally, the minimum CLOB and Block tick sizes for most DFCs are the same as the Eligible 

MSCI Futures Contract tick size. However, the following DFCs offer a more granular tick size, 

- EM Asia USD NTR, World USD NTR, EM LATAM USD NTR, EM EMEA USD NTR, and EM USD 

NTR, which is in line with the spread tick size of the Eligible MSCI Futures Contract. 

Appendix A provides tick size details for all DFCs. 

7. How are DFCs/Quarterly Futures spreads (both legs referencing the same underlying index) 

Quoted and Priced? 

DFCs/Quarterly Futures spreads are expressed in index points, similar to how spread prices 

are currently traded on ICE US. 

The same ICE US spread convention applies in that buying the Quarterly/Daily spread means 

buying the Quarterly contract/selling the Daily contract. Selling the Quarterly/Daily spread 

means selling the Quarterly contract/buying the Daily contract. 

8. What are the settlement procedures for DFCs/Quarterly Futures Spreads?

Upon expiration of a DFC, the position in the DFC/Quarterly Spread will automatically result 

into a single leg on the Quarterly contract of the Eligible MSCI Futures Contract. The DFCs 

Exchange Delivery Settlement Price (“EDSP”) will be the closing index value of the underlying 
index as published by MSCI on its Last Trading Day. The Last Trading Day for the DFCs is the 

same as its Expiry Day.

A workflow example of a DFC spread is provided in Appendix B.

9. Are Block Index at Close (BIC) trades still permitted?

Yes, BIC trading will continue to be available for all the related MSCI quarterly futures contracts. 

Information on BIC trading can be found here. 

10. What are the minimum trade size requirements for DFC blocks?

The minimum block trade size for blocks are the same as the minimum block trade size for the 

Eligible MSCI Futures Contract and can be found here. 

11. Are there any restrictions on who is eligible to execute a DFC outright trade and Spread? 

No, any market participant is eligible to enter orders and to execute trades. Market 

participants who wish to enter orders for block trades must meet eligibility requirements for 

block trading. 

12. What are trading and clearing fees for DFCs? 

Trading and clearing fees for both CLOB and block trades are the same as the Eligible MSCI 

Futures Contract. Note trading fees for the daily leg of a DFC/Quarterly Futures spread (both 

legs referencing the same underlying index) will be waived.

There is a $0.15/side cash settlement clearing fee for all daily trades (outright and spreads). 

More information is available here. 
Appendix A: Contract Specs

MSCI Emerging Market Index Daily Future

Description The MSCI Emerging Market Index Daily Future Contract (“DFC”) is a daily contract on the 

MSCI Emerging Market Index and can be traded with the Eligible MSCI Futures Contract 

(“parent contract”) as an inter-commodity spread. Clients have choice of trading the DFC 

vs the nearest two quarterly months

Contract Symbol DMU

Parent contract MSCI Emerging Market Index Future contract (MME)

Contract Size $50 times the MSCI Emerging Market Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places 

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 0.100 Index points, equal to $5.00 per contract 

Blocks - 0.001 Index points, equal to $0.05 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading in an Eligible Contract Date shall cease at 16:15 hours (EST) on the Eligible Contract 

Date

Final Settlement Cash settlement to the closing value of the MSCI Emerging Market Index on the Last 

Trading Day for the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 50 lots 

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
MSCI EAFE Index Daily Future

Description The MSCI EAFE Index Daily Future Contract (“DFC”) is a daily contract on the MSCI EAFE 

Index and can be traded with the Eligible MSCI Futures Contract (“parent contract”) as an 

inter-commodity spread. Clients have choice of trading the DFC vs the nearest two 

quarterly months

Contract Symbol DMQ

Parent contract MSCI EAFE Future contract (MFS)

Contract Size $50 times the MSCI EAFE Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent Contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places 

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 0.100 Index points, equal to $5.00 per contract 

Blocks - 0.001 Index points, equal to $0.05 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading shall cease at 16:15 hours (EST) 

Final Settlement Cash settlement to the closing value of the MSCI EAFE Index on the Last Trading Day for 

the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 50 lots

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
MSCI World NTR USD Index Daily Future

Description The MSCI World NTR USD Index Daily Future Contract (“DFC”) is a daily contract on the 

MSCI World NTR USD Index and can be traded with the Eligible MSCI Futures Contract 

(“parent contract”) as an inter-commodity spread. Clients have choice of trading the DFC 

vs the nearest two quarterly months

Contract Symbol DMJ

Parent contract MSCI World NTR USD Future contract (MWS)

Contract Size $10 times the MSCI World NTR USD Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent Contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places 

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 1.000 Index points, equal to $10.00 per contract 

Blocks - 0.001 Index points, equal to $0.01 per contract

Spreads - 0.500 Index points, equal to $ 5.00 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading shall cease at 16:15 hours (EST) 

Final Settlement Cash settlement to the closing value of the MSCI World NTR USD Index on the Last Trading 

Day for the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 50 lots

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
MSCI EMERGING MARKET (EM) ASIA NTR USD INDEX DAILY FUTURE 

Description The MSCI Emerging Market (EM) Asia NTR USD Index Daily Future Contract (“DFC”) is a 

daily contract on the MSCI Emerging Market (EM) Asia NTR USD Index and can be traded 

with the Eligible MSCI Futures Contract (“parent contract”) as an inter-commodity spread. 

Clients have choice of trading the DFC vs the nearest two quarterly months

Contract Symbol DMX

Parent contract MSCI Emerging Market (EM) Asia NTR USD Future contract (ASN)

Contract Size $100 times the MSCI Emerging Market Asia NTR Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent Contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places 

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 0.050 Index points, equal to $5.00 per contract 

Blocks - 0.001 Index points, equal to $0.10 per contract

Spreads - 0.020 Index points, equal to $ 2.00 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading shall cease at 16:15 hours (EST) 

Final Settlement Cash settlement to the closing value of the MSCI Emerging Market (EM) Asia NTR USD 

Index on the Last Trading Day for the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 50 lots

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
MSCI EMERGING MARKET NTR USD INDEX DAILY FUTURE

Description The MSCI Emerging Market NTR USD Index Daily Future Contract (“DFC”) is a daily contract 

on the MSCI Emerging Market NTR USD Index and can be traded with the Eligible MSCI 

Futures Contract (“parent contract”) as an inter-commodity spread. Clients have choice of 

trading the DFC vs the nearest two quarterly months

Contract Symbol DMY

Parent contract MSCI Emerging Market NTR USD Future contract (MMN)

Contract Size $100 times the MSCI Emerging Market NTR USD Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent Contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places 

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 0.100 Index points, equal to $10.00 per contract 

Blocks - 0.001 Index points, equal to $0.10 per contract

Spreads - 0.020 Index points, equal to $ 2.00 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading shall cease at 16:15 hours (EST)

Final Settlement Cash settlement to the closing value of the MSCI Emerging Market NTR USD Index on the 

Last Trading Day for the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 50 lots

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
MSCI EMERGING MARKET LATIN AMERICA NTR INDEX DAILY FUTURE

Description The Emerging Market Latin America NTR Index Daily Future Contract (“DFC”) is a daily 

contract on the MSCI Emerging Market Latin America NTR Index and can be traded with 

the Eligible MSCI Futures Contract (“parent contract”) as an inter-commodity. Clients have 

choice of trading the DFS vs the nearest two quarterly months

Contract Symbol DMW

Parent contract MSCI Emerging Market Latin America NTR Index Future contract (MML)

Contract Size $100 times the MSCI Emerging Market Latin America NTR Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent Contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places 

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 0.050 Index points, equal to $5.00 per contract 

Blocks - 0.001 Index points, equal to $0.10 per contract

Spreads - 0.020 Index points, equal to $ 2.00 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading shall cease at 16:15 hours (EST)

Final Settlement Cash settlement to the closing value of the MSCI Emerging Market Latin America NTR 

Index on the Last Trading Day for the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 50 lots

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
MSCI EMERGING MARKET EMEA NTR INDEX DAILY FUTURE

Description The MSCI Emerging Market EMEA NTR Index Daily Future Contract (“DFC”) is a daily 

contract on the MSCI Emerging Market EMEA NTR Index and can be traded with the 

Eligible MSCI Futures Contract (“parent contract”) as an inter-commodity spread. Clients 

have choice of trading the DFS vs the nearest two quarterly months

Contract Symbol DM6

Parent contract MSCI Emerging Market EMEA NTR Index Future contract (MMM)

Contract Size $100 times the MSCI Emerging Market EMEA NTR Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent Contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places 

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 0.050 Index points, equal to $5.00 per contract 

Blocks - 0.001 Index points, equal to $0.10 per contract

Spreads - 0.020 Index points, equal to $ 2.00 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading shall cease at 16:15 hours (EST)) 

Final Settlement Cash settlement to the closing value of the MSCI Emerging Market EMEA NTR Index on the 

Last Trading Day for the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 50 lots

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
MSCI USA GTR INDEX DAILY FUTURE

Description The MSCI USA GTR Index Daily Future Contract (“DFC”) is a daily contract on the MSCI USA 

GTR Index and can be traded with the Eligible MSCI Futures Contract (“parent contract”) as 

an inter-commodity spread. Clients have choice of trading the DFS vs the nearest two 

quarterly months

Contract Symbol DMO

Parent contract MSCI USA GTR Index Future contract (USS)

Contract Size $5 times the MSCI USA GTR Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent Contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places 

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 1.000 Index points, equal to $5.00 per contract 

Blocks - 0.001 Index points, equal to $0.005 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading shall cease at 16:15 hours (EST)

Final Settlement Cash settlement to the closing value of the MSCI USA GTR Index on the Last Trading Day 

for the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 5 lots

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
MSCI PACIFIC NTR INDEX DAILY FUTURE

Description The MSCI Pacific NTR Index Daily Future Contract (“DFC”) is a daily contract on the MSCI 

Pacific NTR Index and can be traded with the Eligible MSCI Futures Contract (“parent 

contract”) as an inter-commodity spread. Clients have choice of trading the DFS vs the 

nearest two quarterly months

Contract Symbol DMV

Parent contract MSCI Pacific NTR Index Future contract (MPA)

Contract Size $10 times the MSCI Pacific NTR Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent Contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places 

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 1.000 Index points, equal to $10.00 per contract 

Blocks - 0.001 Index points, equal to $0.01 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading shall cease at 16:15 hours (EST)

Final Settlement Cash settlement to the closing value of the MSCI Pacific NTR Index on the Last Trading Day 

for the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 5 lots

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
MSCI EUROPE NTR USD INDEX DAILY FUTURE

Description The MSCI Europe NTR USD Index Daily Future Contract (“DFC”) is a daily contract on the 

MSCI Europe NTR USD Index and can be traded with the Eligible MSCI Futures Contract 

(“parent contract”) as an inter-commodity spread. Clients have choice of trading the DFS 

vs the nearest two quarterly months

Contract Symbol DMR

Parent contract MSCI Europe NTR USD Index Future contract (EU9)

Contract Size $10 times the MSCI Europe NTR USD Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent Contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places 

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 1.000 Index points, equal to $10.00 per contract 

Blocks - 0.001 Index points, equal to $0.01 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading shall cease at 16:15 hours (EST)

Final Settlement Cash settlement to the closing value of the MSCI Europe NTR USD Index on the Last 

Trading Day for the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 50 lots

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
MSCI ACWI NTR USD INDEX DAILY FUTURE

Description The MSCI ACWI NTR USD Index Daily Future Contract (“DFC”) is a daily contract on the 

MSCI ACWI NTR USD Index and can be traded with the Eligible MSCI Futures Contract 

(“parent contract”) as an inter-commodity spread. Clients have choice of trading the DFS 

vs the nearest two quarterly months

Contract Symbol DML

Parent contract MSCI ACWI NTR USD Index Future contract (MMW)

Contract Size $200 times the MSCI ACWI NTR USD Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent Contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 0.025 Index points, equal to $5.00 per contract 

Blocks - 0.001 Index points, equal to $0.20 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading shall cease at 16:15 hours (EST)

Final Settlement Cash settlement to the closing value of the MSCI ACWI NTR USD Index on the Last Trading 

Day for the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 50 lots

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
MSCI JAPAN NTR USD INDEX DAILY FUTURE

Description The MSCI Japan NTR USD Index Daily Future Contract (“DFC”) is a daily contract on the 

MSCI Japan NTR USD Index and can be traded with the Eligible MSCI Futures Contract 

(“parent contract”) as an inter-commodity spread. Clients have choice of trading the DFS 

vs the nearest two quarterly months

Contract Symbol DMS

Parent contract MSCI Japan NTR USD Index Future contract (JPP)

Contract Size $10 times the MSCI Japan NTR USD Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent Contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places 

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 0.100 Index points, equal to $1.00 per contract 

Blocks - 0.001 Index points, equal to $0.01 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading shall cease at 16:15 hours (EST)

Final Settlement Cash settlement to the closing value of the MSCI Japan NTR USD Index on the Last Trading 

Day for the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 5 lots

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
MSCI EMERGING MARKET ESG LEADERS NTR INDEX DAILY FUTURE

Description The MSCI Emerging Market ESG Leaders NTR Index Daily Future Contract (“DFC”) is a daily 

contract on the MSCI Emerging Market ESG Leaders NTR Index and can be traded with the 

Eligible MSCI Futures Contract (“parent contract”) as an inter-commodity spread. Clients 

have choice of trading the DFS vs the nearest two quarterly months

Contract Symbol DMI

Parent contract MSCI Emerging Market ESG Leaders NTR Index Future contract (LFM)

Contract Size $25 times the MSCI Emerging Market ESG Leaders NTR Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent Contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places 

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 0.100 Index points, equal to $2.50 per contract 

Blocks - 0.001 Index points, equal to $0.025 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading shall cease at 16:15 hours (EST)

Final Settlement Cash settlement to the closing value of the MSCI Emerging Market ESG Leaders NTR Index 

on the Last Trading Day for the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 5 lots

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
MSCI EAFE ESG LEADERS NTR INDEX DAILY FUTURE

Description The MSCI EAFE ESG Leaders NTR Index Daily Future Contract (“DFC”) is a daily contract on 

the MSCI EAFE ESG Leaders NTR Index and can be traded with the Eligible MSCI Futures 

Contract (“parent contract”) as an inter-commodity spread. Clients have choice of trading 

the DFS vs the nearest two quarterly months

Contract Symbol DM2

Parent contract MSCI EAFE ESG Leaders NTR Index Future contract (LFG)

Contract Size $200 times the MSCI EAFE ESG Leaders Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent Contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places 

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 0.050 Index points, equal to $10.00 per contract 

Blocks - 0.001 Index points, equal to $0.20 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading shall cease at 16:15 hours (EST)) 

Final Settlement Cash settlement to the closing value of the MSCI EAFE ESG Leaders NTR Index on the Last 

Trading Day for the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 5 lots

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
MSCI EUROPE ESG LEADERS NTR USD INDEX DAILY FUTURE

Description The MSCI Europe ESG Leaders Index Daily Future Contract (“DFC”) is a daily contract on the 

MSCI Europe ESG Leaders Index and can be traded with the Eligible MSCI Futures Contract 

(“parent contract”) as an inter-commodity spread. Clients have choice of trading the DFS 

vs the nearest two quarterly months

Contract Symbol DM3

Parent contract MSCI Europe ESG Leaders Index Future contract (LFU)

Contract Size $200 times the MSCI Europe ESG Leaders Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent Contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places 

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 0.050 Index points, equal to $10.00 per contract 

Blocks - 0.001 Index points, equal to $0.20 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading shall cease at 16:15 hours (EST)

Final Settlement Cash settlement to the closing value of the MSCI Europe ESG Leaders Index on the Last 

Trading Day for the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 5 lots

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
MSCI USA ESG LEADERS GTR INDEX DAILY FUTURE 

Description The MSCI USA ESG Leaders GTR Index Daily Future Contract (“DFC”) is a daily contract on 

the MSCI USA ESG Leaders GTR Index and can be traded with the Eligible MSCI Futures 

Contract (“parent contract”) as an inter-commodity spread. Clients have choice of trading 

the DFS vs the nearest two quarterly months

Contract Symbol DM4

Parent contract MSCI USA ESG Leaders GTR Index Future contract (LFA)

Contract Size $100 times the MSCI USA ESG Leaders GTR Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent Contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places 

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 0.100 Index points, equal to $10.00 per contract 

Blocks - 0.001 Index points, equal to $0.10 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading shall cease at 16:15 hours (EST)

Final Settlement Cash settlement to the closing value of the MSCI USA ESG Leaders GTR Index on the Last 

Trading Day for the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 5 lots

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
MSCI WORLD ESG LEADERS NTR INDEX DAILY FUTURE

Description The MSCI World ESG Leaders NTR Index Daily Future Contract (“DFC”) is a daily contract on 

the MSCI World ESG Leaders NTR Index and can be traded with the Eligible MSCI Futures 

Contract (“parent contract”) as an inter-commodity spread. Clients have choice of trading 

the DFS vs the nearest two quarterly months

Contract Symbol DM5

Parent contract MSCI World ESG Leaders NTR Index Future contract (LFW)

Contract Size $200 times the MSCI World ESG Leaders NTR Index

Eligible Contract Date Each Business Day on which MSCI Index futures contracts are available to trade on IFUS, 

excluding the Last Trading Day of the quarterly expiration of the Parent Contract. The 

nearest 5 Eligible Contract Dates will be listed for trading at any time. 

Price Quotation Index points to three decimal places 

Spread Convention Buying the Quarterly/Daily spread means buying the Quarterly contract/selling the Daily 

contract. Selling the Quarterly/Daily spread means selling the Quarterly contract/buying 

the Daily contract.

Currency USD

Minimum Price Fluctuation Screen - 0.050 Index points, equal to $10.00 per contract 

Blocks - 0.001 Index points, equal to $0.20 per contract

Trading hours 08:00 to 18:00 EST time (18:00 hours EST open on Sunday evening)

Preopen starts 30 minutes prior to the start of trading.

Last Trading Day Trading shall cease at 16:15 hours (EST)) 

Final Settlement Cash settlement to the closing value of the MSCI World ESG Leaders NTR Index on the Last 

Trading Day for the contract.

Position Accountability and 

Limit Levels

Positions in the Daily contract will be aggregated with and subject to the Position 

Accountability and Limit levels of the Parent contract.

Block Enabled Yes. Block Trade minimum quantity of 5 lots

Ex & Clrg Fee

Screen Trades: $1.20 per side

Block and EFRP Trades: $1.75 per side

These fees will be waived for all DFC executed as part of an Inter-commodity spread with 

the parent contract.

MIC Code IFUS

Clearing Venue ICUS
1

Appendix B: Workflow Example 

Key:

Ref Price June Contract 1,389.00 

Volume 10 

Contract Multiplier 50 

Market 

Open Daily Sett. Time Market Close

Market 

Open

Daily Sett. 

Time

Market 

Close

Market 

Open

Daily Sett. 

Time

Time trading 

Ceases Provisional EDSP Clearing Official Index Close

Market 

Open

Daily Sett. 

Time

East. St. Time 20:00 16:00 18:00 20:00 16:00 18:00 20:00 16:00 16:15 16:30 18:30 Post 18:30 20:00 16:00

MXEF Index Price 1,390.00 1,388.00 1,383.00 

Daily Future Spread Daily Future 

LTD

EXPIRY 

10 lots "Thu 3rd 

June" Daily 

Contract 

Daily Future Spread

Price

Provisional 

EDSP for Daily 

Contract

Daily Settlements

Monthly Contract Jun21 DSP Jun 1,389.40 1,391.90 1,376.10 1,389.80

Daily Contract 3Jun21 DSP Daily 1,391.00 1,390.00 1,382.00 1,382.00 -

DSP DFS -1.60 1.90 -5.90 EDSP Daily -500.00

Daily VM Pay (-) / Receive (+) VM DFS 200 1,750 -3,900 6,850

Month VM Jun 200 1,250 -7,900 6,850

Daily VM Daily 0 500 4,000 n/a

Final Settlement Daily Contract 1,383.00 

Sum of VMs 

1250 13.70

Remaining Monthly Future

Implied Monthly Contract Price 

Tuesday 1st June 2021 Wednesday 2nd June 2021 Thursday 3rd June 2021

Buy 10 lots June Contract 

Sell 10 lots Daily Contract "Thu 

3rd June" 

->Ref Price June Contract 1,389

->Thu 3rd June 1,391

->Basis @-2 Index points

(DSP Jun21) - [ (ΣVM + EDSP Daily Contract) / 

(Volume * Multiplier ) ] = 1,381 or

Thursday Close Price (1,383) -2 index points

$4,400 

4th June 2021

10 lots of Jun21 contracts