• Decrease in Minimum Price Fluctuation for Cleared CME S&P GSCI-ER Swaps

      • To
      • Clearing Member Firms, Back Office Managers
      • From
      • CME Clearing
      • #
      • 12-200
      • Notice Date
      • 14 May 2012
      • Effective Date
      • 14 May 2012
    • Effective for Monday, May 14, 2012, the minimum price fluctuation for CME S&P GSCI-ER cleared swaps will be decreased from 0.001 Index points to 0.0001 Index points and the Decimal Locator increased from 3 to 4. This change will apply to cleared swaps on S&P GSCI-ER Index, S&P GSCI Gold Excess Return Index, S&P GSCI Crude Oil Excess Return Index, S&P GSCI-ER Index 2 Month Forward and S&P GSCI-ER Index 3 Month Forward.
       
      CODE DESCRIPTION
      SES - S&P GSCI-ER Index Swaps
       
      GDI - S&P GSCI Gold Excess Return Index Swaps
       
      GCO - S&P GSCI Crude Oil Excess Return Index Swaps
       
      SE2 - S&P GSCI-ER Index Swaps 2 Month Forward
       
      SE3 - S&P GSCI-ER Index Swaps 3 Month Forward
       
       
       
       
      If there are any questions, please contact the Clearing House Product Team at (312) 634-1588.
       

       

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