ICE - Contract Symbol Specification of Instrument Naming Convention 26 March 2020 [CONFIDENTIAL] Introduction: ICE Instrument Naming Convention...........................................3 1. Contract Symbol Structure..........................................................................3 1.1. Contract Code .....................................................................................................4 1.2. Contract Type......................................................................................................4 1.3. Term....................................................................................................................4 1.4. Month ..................................................................................................................6 1.5. Day......................................................................................................................6 1.6. Year.....................................................................................................................7 1.7. Switch Character .................................................................................................7 1.8. Market Identifier Code (MIC)................................................................................7 1.8.1. Exclamation Point ..........................................................................................7 1.8.2. Period ............................................................................................................8 1.8.3. Hyphen ..........................................................................................................9 1.8.4. “c” Combo....................................................................................................10 1.8.5. Underscore ..................................................................................................10 1.8.5.1. Option Block........................................................................................................ 11 1.8.5.2. Index Block ......................................................................................................... 12 1.8.5.3. Minute Marker Block ........................................................................................... 13 1.8.5.4. Trade at Settlement (TAS) Block ........................................................................ 14 1.8.5.5. Trade at Auction (TAA) Block ............................................................................. 14 1.8.5.6. Host..................................................................................................................... 15 1.8.5.7. Trade at Index Close (TIC) ................................................................................. 15 1.8.5.8. Block at Index Close (BIC).................................................................................. 16 1.8.5.9. Rate Block........................................................................................................... 16 1.8.5.10. Trade at Platts Settlement (TAP) Block .............................................................. 17 1.8.5.11. Brent and Gasoil Floating Minute Marker ........................................................... 17 1.8.5.12. Brent Expiry Only Minute Marker........................................................................ 18 1.8.6. More on Packs and Bundles ........................................................................18 2. Parsing the Contract Symbol ....................................................................19 3. Contract Terms...........................................................................................20 4. Making Prices in Energy Seasons ............................................................20 5. New Strategy Contract Symbol.................................................................21 Intercontinental Exchange Specification of Instrument Naming Convention | v 10.8 | 26 Mar 2020 © 2020 Intercontinental Exchange, Inc. [CONFIDENTIAL] Revision History Version Date Description v.5 05/01/2006 Initial Document v.6 04/21/2008 Updates to Options v.7 05/01/2008 Minor edits after review v.8 07/07/2008 Minor edits after first file output, refinement of functional gaps (RJ Cummings) v8.3 03/18/2009 Additional updates to Options v 8.3 09/16/2009 Additional updates for Same Day & Next Day Options and Glacier Lots for Henry v 8.5 01/01/2010 Added Auction Block to Underscore section 1.7.5 v8.6 01/01/2010 Document formatting changes v8.7 04/01/2010 Updated Contract Codes section to reflect Balance of Month contract changes v8.8 05/01/2010 Updated the Underscore section to show the _H as hosted markets. v8.9 09/01/2010 Updated options section to account for “Z” as an Asian style option v9 03/01/2013 Updated 1.7.5 Underscore section & 1.7.5.8 to include _Y indicator for Russell TIC v9.1 09/01/2013 Updated to reflect additional Exchange Code identifiers, as well as support for Packs and Bundles of LIFFE Financial products. v9.2 09/01/2013 Document cleanup and additional minor edits v9.3 01/01/2014 Updated to reflect a difference in the way MICs should be supported in the symbol Removal of hosted exchange portion of contract symbol. Replaced with MIC Removal of contract type “ that is no longer supported v9.4 02/01/2014 Updated section 1.3 for pack and bundle symbols Updated section 1.7 Market Identifier Code to highlight that MIC is not supported as part of the contract symbol in any of the API interfaces. v9.4.1 05/01/2014 Updated section 1.8.5 and 1.8.5.8. with New _B (BIC or Block @ Index close) v9.5 06/01/2014 Updated section 1.2 with new terms for Equity Derivative products v9.6 06/01/2014 Updated section 1.8.5.1 Option Block (styles) to include 'One Time' v9.6.1 09/01/2014 Minor update to intro to highlight that some equity products will not meet the minimum contract symbol structure. v9.7 01/01/2015 Updated section 1.2 Contract Type to account for Credit Default Swaps, and Interest Rate Swaps Updated section 1.3 Term to support CDS and IRS Tenor Added section 1.8.5.9 Rate Block v9.7.1 03/01/2015 Updated section 1.8.5 to include “N” as the identifier of a negative rate Updated section 1.8.5.9 Rate Block to include example of a negative rate v9.7.2 08/01/2015 Included note about the inclusion of “????” for some contract symbols that are disseminated via FIX Trade Capture. Added support for Trade at Platts Settlement in section 1.8.5 and 1.8.5.10 v9.8 03/01/2016 New Strategy Contract Symbol v9.8.1 05/01/2016 Added a clearer description for Contract Symbol uniqueness in the Introduction to point out that the codes are unique per MIC. Similarly, clarification was added to section 1.7 MIC Code as well. v9.9 01/01/2017 Added new contract code (J) for the larger sized power (s2f) contracts and new term/strategy (K)-Basket, used for emissions. Intercontinental Exchange Specification of Instrument Naming Convention | v 10.8 | 26 Mar 2020 © 2020 Intercontinental Exchange, Inc. [CONFIDENTIAL] v10 08/01/2017 Added new terms for Spot, Tom, Next Saturday and Sunday strips v10.1 11/01/2017 Add note around the usage of hyphen switch character. Switch character - does indicate spread, however when presence of _O it represents negative strike and see suggested Parsing of symbol v10.2 11/01/2017 Additional strips added to the C term v10.3 12/01/2017 Updated section 1.8.5.1 to include additional supported option types: Q- Quarter, S - Season, Y - Calendar Year v10.4 08/28/2018 Update to markers symbol characters section 1.8.5.3 to support additional expiry only markers V10.4 08/28/2018 Update to new ICE document template, minor edits, and minor formatting V10.5 03/21/2019 Updated section 1.8.5 with _ME1 (Brent and Gasoil floating minute markers to support changes in Platts settlement times around Christmas and New Years and MX1 (Brent expiry only minute markers to support changes in the calculation of the Brent Index. V10.6 08/21/2019 Updated section 1.2 to reflect that Term J is for Large Sized Flow V10.7 11/15/2019 Replace 'S' with 'V' for ‘Variable (season)’ to reflect current behavior and rename table heading to ‘Option Term’ under Option Block Section 1.8.5.1 Add H for Hourly term in Section 1.3 V10.8 03/26/2020 Add ‘C’ Contract type for Cash Stock in Section 1.2 Intercontinental Exchange Specification of Instrument Naming Convention | v 10.8 | 26 Mar 2020 © 2020 Intercontinental Exchange, Inc. [CONFIDENTIAL] Introduction: ICE Instrument Naming Convention The IntercontinentalExchange supports the generation and dissemination of ICE’s individual markets to a unique instrument code (symbol), within a given MIC Code1. This document details the format that is used to generate contract symbols and should be used by consumers of this data to determine how to decompose the symbol. These contract symbols are available in the exchanges’ ICE API Interfaces as a field that is available on Security Definition data, and in the case of the FIX Trade Capture API interface, is additionally provided on the Trade Capture Report message. While the intent is to ultimately generate and provide contract symbols for all ICE markets it should be noted that some bilaterally traded, and contracts that update intraday currently do not support contract symbols. 1. Contract Symbol Structure The following table sets out the basic structure of the contract symbol sent down with the market’s static data upon login. Every contract, except some of the equity products will support, at a minimum, this initial contract symbol. The contract symbol can increase, given a