• REVISED: Clearing and Bookkeeping Processing for CMEGroup's S&P GSCI Excess Return Index Swap Contracts

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 09-84
      • Notice Date
      • 06 March 2009
      • Effective Date
      • 16 March 2009
    • On Monday, March 16, 2009 CME Group will launch trading on S&P GSCI Excess Return Index Swap futures contracts. The clearing product code will be SES. For more information please see:

      These contracts are cleared only Swaps contracts but in addition have an embedded fee, equal to 10 basis points of the end-of-day position value, paid by holders of both long and short positions.


      For the full text of this advisory...