• S&P GSCI Excess Return Crude Oil Index Swap

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • NP 09-21
      • Notice Date
      • 20 October 2009
      • Effective Date
      • 02 November 2009

    • Date:  October 20, 2009
       
      CME® New Product Summaryfor Clearing Firms, Bookkeeping Software Providers, ISVs 
      Listing Date
      November 2, 2009   
      Contract Name
      S&P GSCI Excess Return Crude Oil Index Swap NP 09-21
      Description
      Positions in the swap behave like a cash-settled future, except that there is a daily value adjustment cash flow. This cash flow is in addition to the normal mark-to-market amount, i.e., the settlement variation. The daily value adjustment is also called simply the "daily adjustment", and can be thought of as approximating the financing cost associated with a daily roll-over of a spot obligation. The rate for determining the daily adjustment is made available via SPAN and the CME Group FTP site in several formats.
      Instrument Type
      Cleared Only OTC Swap (FUT)
      Product Code(s)
      GCO
      Ticker Symbol(s)
      GCO
      Trading Venue
      CME ClearPort
      Trading Hours
      6 PM to 5:15 PM (ET) Sunday through Friday
      Contract Size
      100 times the S&P GSCI Excess Return Commodity Index
      Valid Contract Months
      5 months in the March quarterly cycle plus two serial months
      Initial Contract Months
      November 2009
      Minimum Price Increment
      0.001
      Value Per Tick
      $0.10
      Exercise Style
      NA
      Exercise Price Intervals and Listings
      NA
      Termination of Trading
      The last business day of the contract month
      Final Settlement Price
      As determined by S&P and published by CME Clearing House on the last trade date
      Position Accountability
      10,000
      Minimum Reportable Level
      1 contract
      Price Limits
      NA
      Delivery
      Cash settled
      Price Conventions
             Trade Price
      Information Contacts
      Actual Price
      500.001
      Cme.com Inquiries
      Customer Service
      (800) 331-3332
      FEC
      500.001
      General Information
      Products & Services
      (312) 930-8213
      TREX
      0500001
      Clearing House
      (312) 207-2525
      Unmatched Trade Notice
      NA
      Performance Bond Information
      Risk Management Dept.
      (312) 648-3888
      Trade Register Report
      500.001
      Clearing Fees
      Clearing Fee Hotline
      (312) 648-5470
      FIXML Trade Register File
      500.001
      Reportable Levels and Position Limits/Accountability:
      Market Regulation
      (312) 347-4137
      Settlement Price File
      0500001
      ClearPort
      Facilitation Desk
      (800)438-8616
      SPAN File
      0500001
       
       
       
      CME® ClearPort®
      500.001
       

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