• Delta-scaling factors to be modified for important FX, equity and ag products

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 17-185
      • Notice Date
      • 22 May 2017
      • Effective Date
      • 02 June 2017
    • On the first three Fridays in June, CME Clearing will modify delta-scaling factors for certain important products, as specified below, so that the “full size” product will have a scaling factor of 1 and the “mini” products less than one.

      This is already the norm for many products, so systems should have no issues and margins will be unaffected. Because of the importance of these products, however, and because this is a change to long-standing practice, we are providing this notification. These changes are already reflected in the “New Release” test versions of CME’s SPAN file, and these files may be used for testing if desired.


      Click here for the full text of the advisory