CME Chapter 415B
S&P GSCI™ Enhanced ER Index Swaps (Cleared OTC)
415B00.

SCOPE OF CHAPTER
This chapter is limited in application to the clearing of S&P GSCI™ Enhanced ER Index Swaps(hereafter also referred to as “S&P GSCI™ Enhanced ER Swaps”) where the parties to thetransaction are “eligible contract participants” as defined in Section 1a(18) of the Commodity
Exchange Act and have obtained the licenses required by Standard & Poor’s with respect tosuch transactions. The identities of all parties to transactions in S&P GSCI™ Enhanced ERSwaps shall be disclosed on an annual basis by CME to Standard & Poor’s for the sole
purpose of enabling Standard and Poor’s to confirm that the parties have obtained the licenses
required by Standard and Poor’s. Transactions in S&P GSCI™ Enhanced ER Swaps shall also
be subject to the general rules of the Exchange insofar as applicable. The clearing andsettlement of transactions in S&P GSCI™ Enhanced ER Swaps shall also be subject to theprovisions of Chapter 8-F of the CME Rulebook.
For purposes of this chapter, unless otherwise specified, times referred to herein shall refer toand indicate Chicago time.

415B01.

CONTRACT SPECIFICATIONS
415B01.A.
Unit of Clearing
The unit of clearing shall be $100.00 times the S&P GSCI™ Enhanced ER Index. The S&P
GSCI™ Enhanced ER Index calculation procedures are defined in the S&P GSCI™ Index
Methodology.
415B01.B.
Hours for Clearing Entry
The Exchange shall determine the hours during which S&P GSCI™ Enhanced ER Swaps may
be submitted to the Clearing House.
Positions shall be initiated or closed out using off-exchange transactions.
415B01.C.
Minimum Price Increments
Prices shall be quoted in terms of the S&P GSCI™ Enhanced ER Index. The minimum
fluctuation shall be 0.0001 index points, equivalent to $0.01 per contract. Contracts shall not
be cleared on any other price basis.
415B01.D.
Months Cleared
Clearing of S&P GSCI™ Enhanced ER Swaps shall be conducted in such months as may be
determined by the Exchange.
415B01.E.
Position Limits, Exemptions, Position Accountability and Reportable
Levels
The applicable position limits and/or accountability levels, in addition to the reportable levels,
are set forth in the Position Limit, Position Accountability and Reportable Level Table in theInterpretations & Special Notices Section of Chapter 5.
A Person seeking an exemption from position limits for bona fide commercial purposes shallapply to the Market Regulation Department on forms provided by the Exchange, and theMarket Regulation Department may grant qualified exemptions in its sole discretion.
Refer to Rule 559 for requirements concerning the aggregation of positions and allowable
exemptions from the specified position limits.
415B01.F.
Last Day of Clearing
The last day of clearing of S&P GSCI™ Enhanced ER Swaps shall be the final settlement day
as prescribed in Rule 415B05.
415B01.G.
[Reserved]

415B02.

SETTLEMENT
Settlement against S&P GSCI™ Enhanced ER Swaps must be made through the Clearing
House. Settlement under these rules shall be on the final settlement day (as described in Rule
415B05.) and shall be accomplished by cash settlement as hereinafter provided.

Clearing members holding open positions in an S&P GSCI™ Enhanced ER Swaps contract at
the time of termination of clearing shall make payment to and receive payment through theClearing House in accordance with normal variation settlement procedures based on asettlement price equal to the final settlement price (as described in Rule 415B03.).

415B03.

FINAL SETTLEMENT PRICE
Final settlement shall be based on the official settlement of the S&P GSCI™ Enhanced ER
Index, subject to adjustment in accordance with the Market Disruption Event provisions asdescribed below. Payment will be on the second Business Day following the date on which theofficial settlement of the Index is determined, unless postponed due to a Market DisruptionEvent.
Market Disruption Event“Market Disruption Event” (“MDE”) shall mean (a) a contract included in the Index remains at a"limit price", which means that the price for such contract for a day has increased or decreased
from the previous day's settlement price by the maximum amount permitted under applicabletrading facility rules, during the entire closing range, irrespective of whether that contract issettled by the applicable trading facility at the "limit price" or another price, (b) failure by theapplicable trading facility or other price source to announce or publish the settlement price forany contract included in the Index, or (c) trading in any contract included in the Index issuspended or interrupted subsequent to the opening of trading and trading in such contract
does not recommence at least ten (10) minutes prior to the regular scheduled close of tradingin such contract on the relevant trading facility.
If a Market Disruption Event relating to one or more of the contracts underlying the Index (eachan “index contract”) occurs on any day relevant to calculating the settlement of the contract,
the settlement of the contract will be calculated by using a price (i) for each index contract thatis not affected by a Market Disruption Event on such date, the settlement price of such index
contract on such date and (ii) for each index contract that is affected by a Market Disruption
Event on such date, the settlement price of such index contract on the first succeeding Trading
Day on which no Market Disruption Event is existing with respect to such index contract;provided that, if a Market Disruption Event occurs with respect to such index contract for eight
Trading Days, the settlement price for such index contract shall be determined by theExchange notwithstanding that a Market Disruption Event does or does not exist on such
following Trading Day for such affected index contract.
Trading Day means a day when:
1) The Index Sponsor is open for business and the Index is calculated and published by theIndex Sponsor;
2) All trading facilities on which contracts are traded for the commodities included in the Index
are open for trading, provided however that upon a calculation pursuant to sub-clause (ii) of
the second paragraph of the section headed “Market Disruption Event” above, only the trading
facility on which the relevant index contract that is affected by a Market Disruption Event istraded is required to be open for trading.
Business Day means:
Any day, other than a Saturday or Sunday, that is neither a legal holiday nor a day on whichbanking institutions are authorized or required by law or regulation to close in the City of New
York or London.

415B04.
415B05.

[RESERVED]
FINAL SETTLEMENT DAY
The final settlement day shall be defined as the last Business Day of the contract month, or if
the S&P GSCI™ Enhanced ER Index is not published for that day, the first preceding Business
Day for which the S&P GSCI™ Enhanced ER Index was published.

415B06.

DISPUTES
All disputes between interested parties may be settled by arbitration as provided in the Rules.
(End of Chapter 415B)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 415B
S&P Dow Jones Indices LLC directly or through one or more affiliates (collectively, "S&P") licenses theExchange to use various S&P stock indices ("S&P Stock Indices") in connection with the trading of futurescontracts and options on futures contracts based upon such indices. S&P shall have no liability for any
damages, claims, losses or expenses caused by any errors or delays in calculating or disseminating theS&P Stock Indices.
S&P Dow Jones Indices LLC and its affiliates (collectively, "S&P") do not guarantee the accuracy and/or
completeness of the S&P Stock Indices or any data included therein. S&P makes no warranty, express orimplied, as to the results to be obtained by any person or any entity from the use of the S&P Stock Indices orany data included therein in connection with the trading of futures contracts, options on futures contracts or
any other use. S&P makes no express or implied warranties, and expressly disclaims all warranties ofmerchantability or fitness for a particular purpose or use with respect to the S&P Stock Indices or any data
included therein. Without limiting any of the foregoing, in no event shall S&P have any liability for any
special, punitive, indirect, or consequential damages (including lost profits), even if notified of the possibilityof such damages.