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S&P-GSCI Excess Return Index Swap 
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Increased spread credit rate for S&P GSCI-ER Futures Basket-100 vs. S&P GSCI-ER swap (effective April 30)
Qualifying positions in the component futures that offset positions in the swaps are now eligible for a 75% reduction in performance bonds. View current margin levels for these baskets.

Eligible swap counterparties submit the trades through CME ClearPort for central clearing and mark-to-market margining by CME Clearing.

Serial monthly listings for the S&P GSCI-ER swap now begin with July09 and August09 contract months (effective May 4)
In addition, the listing cycle consists of 2 serial contract months and 5 contract months in the March quarterly cycle.

S&P-GSCI Excess Return Swaps offer over-the-counter (OTC) market participants the full benefits of central clearing. This includes:

  • Virtual elimination of counterparty credit risk
  • Comprehensive credit management
  • Virtual elimination of the operational and legal risks that customers face in OTC trading
  • Mark-to-market margining

To participate in this market, all traders of swap contracts must have signed the Exchange User License Agreement (EULA). The first contract month listed will be June 2009.

About CME ClearPort
CME ClearPort is a set of flexible clearing services open to over the counter (OTC) market participants to substantially mitigate counterparty risk and provide capital efficiencies across asset classes.

Benchmark Index for Commodity Markets
The S&P GSCI Index is the most closely followed index for investment performance in the commodity markets. It represents an unleveraged, long-only investment in commodity futures contracts that is broadly diversified among various commodities: energy, agricultural products, livestock and metals. It is a composite index of commodity sector returns that tracks prices of actively traded futures markets, but it does not take into account any premium or discount at which the nearby futures contract may be trading.

The S&P GSCI Excess Return Commodity Index, however, does offer that additional feature, by providing a way to trade the GSCI Spot Index returns plus any excess returns generated by "rolling" hypothetical positions forward to the nearby futures contract.