Ms. Jean A. Webb
May 5, 2006
Page 4 of 4

Appendix 2: Clean Copy of Rules as Amended
41504, PERFORMANCE BONDS

Customers purchasing or selling GSCI ER futures contracts shall be subject to the performance bond
requirements established by the Exchange and their FCMs. However, some market participants
purchasing or selling GSCI ER futures contracts shall deposit 100% of the purchase or sale price with
their long clearing member. Market participants subject to the 100% performance bond requirement shall
include any market participant that is (i) an investment company registered under the Investment
Company Act of 1940; or (ii) an investment fund, commodity pool, or other similar type of pooled trading
vehicle (other than a pension plan or fund) that is offered to the public pursuant to an effective registration
statement filed under the Securities Act of 1933, regardless of whether it is also registered under the
Investment Company Act of 1940, and that has its principal place of business in the United States.

Each long clearing member carrying GSCI ER futures contracts for customers subject to the 100%
performance bond requirement ("100% margin participants") shall establish one or more accounts on its
books and records in which such clearing member shall hold performance bond received from 100%
margin participants in connection with GSCI ER futures contracts, together with any settlement variation
received by the clearing member with respect to the GSCI ER futures contracts of such 100% margin
participants. Except as provided in the next paragraph or with the consent of the Clearing House, assets
may be withdrawn from such accounts by the clearing member only (i) to be transferred to the Clearing
House to satisfy performance bond or settlement variation requirements of the clearing member with
respect to GSCI ER futures contracts held for 100% margin participants, (ii) in connection with the
settlement, liquidation, transfer or close-out of such contracts, and (iii) in the case of income, dividends,
interest or returns on investments or instruments held in the accounts.

Each such clearing member hereby agrees that, by carrying accounts of 100% margin participants with
positions in GSCI ER futures, such clearing member shall be deemed by these rules, and without any
further action by such clearing member, to have granted to the Clearing House a security interest in and a
lien on such accounts, and all securities, cash and other assets held therein from time to time and, to the
extent not included in the foregoing, all proceeds, products, revenues, dividends, interest, redemptions,
distributions, profits, accessions, additions, substitutions and replacements of and to any and all of the
foregoing, subject to applicable laws and regulations, until withdrawn in accordance with the preceding
paragraph ("Account Collateral"), to secure such clearing member's obligations to the Clearing House.
Notwithstanding the foregoing, the clearing member shall enter into any agreements and execute any
other instruments reasonably requested by the Clearing House in order to confirm or perfect such security
interest, provided that it is understood and agreed that no such agreement or instrument shall be necessary
in order to create such security interest, which shall exist solely by operation of these rules. If a clearing
member is in default to the Clearing House, the clearing member shall take no further actions with respect
to the Account Collateral pledged by it except upon the instruction or with the consent of the Clearing
House, and the Clearing House shall be entitled to exercise the same rights and remedies with respect to
such Account Collateral as it has with respect to performance bond collateral under Rules 802 and 820.


cme @

Chicago Mercantile Exchange

20 South Wacker Drive 312/930.1000 tel
Chicago, IL 60606-7499 312/466.4410 fax
www.cme.com

May 5, 2006

Ms. Jean A. Webb

Office of the Secretariat

Commodity Futures Trading Commission
Three Lafayette Centre

1155 21" Street, NW

Washington, DC 20581

RE: Self-Certification of Amendments to GSCI® ER Index Futures.
Submitted per Sec. Sc(c)(1) of the CEA and Regulation §40.6(1) Thereunder.
CME Submission # 06-42.

Dear Ms. Webb:

The Chicago Mercantile Exchange (“CME” or “Exchange”) hereby notifies the
Commission of amendments to Rule 41504, PERFORMANCE BONDS.

These amendments are technical in nature and are intended to clarify and render explicit
the Exchange’s original intent with respect to the administration of performance bonds posted by
100% margin participants in GSCI ER futures. These clarifications are consistent with current
Exchange Rules that define the treatment of performance bond deposits including, but not
limited to, Rules 110, 802, 820 and 913; and, with Part 190 of the Commission’s Regulations.
These amendments are adopted in specific response to customer request.

GSCI ER futures were approved by the Exchange’s Board of Directors at its regular
meeting of January 31, 2005. The Exchange had subsequently certified this contract per CME
Submission #05-54 dated July 26, 2005. The Exchange intends to make these amendments
effective on May 8, 2006. The language of said amendments is included in Appendix 1 below
while Appendix 2 provides a clean copy of said amendments.


Ms. Jean A. Webb
May 5, 2006
Page 2 of 4

The Exchange certifies that these actions neither violate nor are inconsistent with any

portion of the Commodity Exchange Act or of the rules thereunder.

Please do not hesitate to contact me at 312-466-7469 or jlab@cme.com if any questions
arise during the processing of this submission. Please reference our CME Submission #06-42 on
all future correspondence for this submission.

Sincerely,

John W. Labuszewski, Managing Director
Research & Product Development

CC: Mr. Thomas Leahy, CFTC Division of Trading and Markets


Ms. Jean A. Webb
May 5, 2006
Page 3 of 4

Appendix 1: Rule Amendments

(Additions are underlined ... deletions are bracketed and overstruck.)
41504. PERFORMANCE BONDS

Customers purchasing or selling GSCI ER futures contracts shall be subject to the performance bond
requirements established by the Exchange and their FCMs. However, some market participants
purchasing or selling GSC] ER futures contracts shall deposit 100% of the purchase or sale price with
their long clearing member. Market participants subject to the 100% performance bond requirement shall
include any market participant that is (i) an investment company registered under the Investment
Company Act of 1940; or (ii) an investment fund, commodity pool, or other similar type of pooled trading
vehicle (other than a pension plan or fund) that is offered to the public pursuant to an effective registration
statement filed under the Securities Act of 1933, regardless of whether it is also registered under the
Investment Company Act of 1940, and that has its principal place of business in the United States.

Each long clearing member carrying GSCI ER futures contracts for customers subject to the 100%

erformance bond requirement ("100% margin participants") shall establish one or more accounts on its
books and records in which such clearing member shall hold performance bond received from 100%
margin participants in connection with GSCI ER futures contracts, together with any settlement variation
received by the clearing member with respect to the GSCI ER futures contracts of such 100% margin
participants. Except as provided in the next paragraph or with the consent of the Clearing House, assets
may be withdrawn from such accounts by the clearing member only (i) to be transferred to the Clearing
House to satisfy performance bond or settlement variation requirements of the clearing member with
respect to GSCI ER futures contracts held for 100% margin participants, (ii) in connection with the
settlement, liquidation, transfer or close-out of such contracts, and (iii) in the case of income, dividends.
interest or returns on investments or instruments held in the accounts.

Each such clearing member hereby agrees that, by carrying accounts of 100% margin participants with
positions in GSCI ER futures, such clearing member shall be deemed by these rules, and without any
further action by such clearing member, to have granted to the Clearing House a security interest in and a
lien on such accounts, and all securities, cash and other assets held therein from time to time and, to the
extent not included in the foregoing, all proceeds, products, revenues, dividends, interest, redemptions.
distributions, profits, accessions, additions, substitutions and replacements of and to any and all of the
foregoing, subject to applicable laws and regulations, until withdrawn in accordance with the preceding
paragraph ("Account Collateral"), to secure such clearing member's obligations to the Clearing House.
Notwithstanding the foregoing, the clearing member shall enter into any agreements and execute _any
other instruments reasonably requested by the Clearing House in order to confirm or perfect such security
interest, provided that it is understood and agreed that no such agreement or instrument shall be necessary
in order to create such security interest, which shall exist solely by operation of these rules. If a clearing
member is in default to the Clearing House, the clearing member shall take no further actions with respect
to the Account Collateral pledged by it except upon the instruction or with the consent of the Clearing
House, and the Clearing House shall be entitled to exercise the same rights and remedies with respect to
such Account Collateral as it has with respect to performance bond collateral under Rules 802 and 820.