Ice Futures Three-Month Eurodollar Rate Index Futures Contract

CONTRACT RULES: ICE FUTURES THREE-MONTH EURODOLLAR AAAA RATE INDEX FUTURES CONTRACT

SECTION AAAA - CONTRACT RULES: ICE FUTURES THREE-MONTH EURODOLLAR RATE INDEX FUTURES CONTRACT

AAAA.1 Scope of this Section1 AAAA.2 Contract Specifications2 AAAA.3 Trading Specifications3 AAAA.4 Settlement Procedures4 AAAA.5 Interpretations and Special Notices Relating to this Section

1 Amended 3 September 2014 2 Amended 3 September 2014, 01 July 2019 3 Amended 3 September 2014, 01 July 2019 4 Amended 3 September 2014, 01 July 2019, 15 November 2019

AAAA.1 SCOPE OF THIS SECTION5

This Section is limited in application to trading of Futures Contracts in Three-Month Eurodollars. The procedures for trading, clearing, expiration and settlement, and any other matters not specifically covered in this Chapter shall be governed by the Rules of the Exchange and the Clearing House.

AAAA.2 CONTRACT SPECIFICATIONS6

Each Futures Contract shall be valued at $2,500 times the Rate Index.

AAAA.3 TRADING SPECIFICATIONS7

The number of contract Delivery Months open for trading at a given time shall be determined by the Exchange. Without limiting the foregoing, the Exchange customarily shall list for trading consecutive Delivery Months in the March-June-September-December quarterly cycle extending out five years and one additional quarterly expiration and will also list the two nearest serial Delivery Months. Effective the first trading day following the last trading day in a Futures Contract for any Delivery Month, the next eligible Delivery Month shall be automatically listed.

(a) Trading Schedule

Futures Contracts shall be scheduled for trading during such hours and expiration in such months as may be determined by the Exchange.

(b) Trading Unit

The size of the unit of trading shall be $2,500 * Rate Index, where Rate Index is equivalent to 100 minus the numerical value of the three-month ICE US Dollar LIBOR rate. (For example, a rate of 2.5 percent shall be quoted as 97.50.)

Bids and offers shall be quoted as a Rate Index

The minimum price fluctuation shall be 0.0025of a Rate Index point, equal to $6.25 per contract.

(d) Position Accountability

Position accountability will apply to trading in Eurodollar Futures Contracts.

(e) Termination of Trading

Futures Contract trading shall terminate at 11:00 a.m. London Time on the second London bank business day immediately preceding the third Wednesday of the contract's Delivery Month.

AAAA.4 SETTLEMENT PROCEDURES8

Delivery shall be by cash settlement.

(a) Final Settlement Price

5 Amended 3 September 2014 6 Amended 3 September 2014, 01 July 2019 7 Amended 3 September 2014, 01 July 2019 8 Amended 3 September 2014, 12 December 2014, 01 July 2019, 15 November 2019

(i) The final settlement price of an expiring contract shall be 100 minus the numerical value of the three-month US Dollar ICE LIBOR as published by ICE Benchmark Administration Limited on the last trading day. The numerical value of the three month US Dollar ICE LIBOR shall be rounded to the nearest 0.0001. Any value ending in .00005 shall be rounded up. For example, a Three-Month ICE LIBOR published at 2.65625 would be rounded up to a numerical value of 2.6563, and then subtracted from 100 to determine a contract final settlement index price of 97.3437. The Exchange shall publish a provisional settlement price as soon as reasonably practicable after the cessation of trading in the Delivery Month concerned. The final settlement price shall be published as soon as reasonably practicable after 4.00 pm London time, following confirmation by ICE Benchmark Administration Limited of the relevant ICE LIBOR rate.

(ii) In the event that the relevant ICE LIBOR rate for the relevant period, as specified in AAAA.4 (a)(i), is unavailable from ICE Benchmark Administration Limited, the Exchange, at its discretion, can use industry accepted fall-back provisions or any other means to generate a rate for the relevant period. Any such determination by the Exchange shall be subject of a notice posted on the Market.

(b) Final Settlement

Clearing Counterparties holding open positions in a contract at the time of termination of trading in that contract shall make payment to or receive payment from the Clearing House in accordance with normal variation performance bond procedures based on a settlement price equal to the final settlement price.

AAAA.5 INTERPRETATION AND SPECIAL NOTICES RELATING TO THIS SECTION

The following statement is made by ICE Benchmark Administration Limited:

“ICE Benchmark Administration cannot be liable for any losses arising from the non-availability of, or any error or omission in, or miscalculation of, ICE LIBOR (formerly known as BBA LIBOR).”

The same statement should be read as applicable to ICE LIBOR when used in the calculation of the Final Settlement Price for this Contract.