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Article: Cleared OTC Commodity Index Swaps (PDF)
S&P-GSCI Excess Return Swaps Contract Specifications
Index Weightings
More Details on S&P-GSCI Index
New rules for S&P GSCI™ ER Index Swaps (Cleared Only).

A New Way to Manage Risk
In response to continued global financial difficulties and tightened credit due to concerns over counterparty risk, we are making available cleared-only swaps on the S&P GSCI Excess Return Commodity Index.

These instruments are designed for use in tracking commodity indices. Eligible counterparties trade the contracts off-exchange, then submit the trades to CME ClearPort for central clearing by CME Clearing.

Comprehensive Financial Safeguards
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 End User License Agreement (EULA) granting them access to CME ClearPort. The first contract month listed will be June 2009.

A Flexible, Internet-Based System
The CME ClearPort technology network is an open clearing service for more than 600 OTC products, with hundreds of thousands of transactions cleared through it each day. Market participants have unparalleled flexibility to conduct their own transactions off-exchange, negotiate their own prices and still take advantage of the benefits of central counterparty clearing, including the financial depth and security of CME Clearing.

CME ClearPort also helps the marketplace mitigate counterparty credit risk by processing off-exchange transactions through CME Clearing in the same manner as the Exchange's core futures contracts.

Long History of Safety
CME Clearing manages billions of dollars daily in the process of balancing accounts and maintaining performance bonds/margins. It provides world-class central clearing for all trades with daily mark-to-market settlement and the ability for transactions to be netted against other CME Group cleared positions. In more than 100 years of operation, customers have never lost funds because of CME Clearing member default.

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.