Initial Margins

Initial Margin Rates and Associated Margin Credits

 

The Initial Margin (IM) rates and associated margin credits detailed below are effective on and from: 14 November 2023

 

Contract GroupContract CodeContract NameCurrencyNew IM Rate as of 14-November-2023IM Rate as of 11-October-2023
FX Currency FuturesDAUDAustralian Dollar/US Dollar FuturesUSD850850
FX Currency FuturesDCADCanadian Dollar/US Dollar FuturesUSD750750
FX Currency FuturesDCHFSwiss Franc/US Dollar FuturesUSD1,0001,000
FX Currency FuturesDEUREuro/US Dollar FuturesUSD950950
FX Currency FuturesDGBPPound Sterling/US Dollar FuturesUSD1,2501,250
FX Currency FuturesDJPYJapanese Yen/US Dollar FuturesUSD850850
FX Currency FuturesDINRIIndian Rupee "Quanto"USD150150
FX Currency FuturesDINRMIndian Rupee Mini /US Dollar FuturesUSD4545
FX Currency FuturesDINRWIndian Rupee/USD Weekly FuturesUSD450450
FX Currency FuturesDILSIsraeli Shekel FuturesUSD650400
FX Currency FuturesDPKRPakistani Rupee/USD FuturesUSD350350
FX Currency FuturesDUSDZARUS Dollar/South African Rand FuturesZAR37,85037,850
FX Currency FuturesDUSDCNHUS Dollar/Chinese YuanCNH22,00021,900
FX Currency OptionsDINRIndian Rupee/USD Futures/Options*USD450450
Precious MetalsDGGold FuturesUSD2,2502,100
Precious MetalsDGSGShariah Compliant Spot GoldUSD2,2502,100
Precious MetalsDGFCDaily Gold FuturesUSD27,80026,250
Precious MetalsDIGIndia Gold "Quanto"USD2,1502,000
Precious MetalsDSSilver FuturesUSD1,6001,600
Precious MetalsDPGPhysical Gold FuturesUSD55,50051,800
Precious MetalsDSGDaily Spot Gold FuturesUSD55,50051,800
Precious MetalsDSSCShariah Compliant Spot SilverUSD1,4500
EnergyDWTIWTI Crude Oil FuturesUSD10,00010,000
EnergyDWTIMMini WTI Crude Oil FuturesUSD1,0001,000
EnergyDBRCBrent Crude Oil FuturesUSD9,2509,250
Base MetalsDCUCopper FuturesUSD2,1002,100
US Equity FuturesDAAPLAPPLEUSD1,3001,300
US Equity FuturesDFBFACEBOOKUSD2,2502,250
US Equity FuturesDGOOGLGOOGLEUSD10075
US Equity FuturesDJPMJP MORGANUSD2,2502,250
US Equity FuturesDMSFTMICROSOFTUSD5,2504,750
Indian Equity FuturesDADANIPORTSAdani Ports and Special Economic Zone Ltd.USD1,7001,700
Indian Equity FuturesDASIANPAINTAsian Paints Ltd.USD3,2003,200
Indian Equity FuturesDAXSBAxis BankUSD2,0002,000
Indian Equity FuturesDBAJAJAUTOBajaj Auto Ltd.USD1,0501,050
Indian Equity FuturesDBAJFINANCEBajaj Finance LtdUSD7,8507,850
Indian Equity FuturesDBAJAJFINSVBajaj Finserv LtdUSD300300
Indian Equity FuturesDBPCLBharat Petroleum Corporation Ltd.USD700700
Indian Equity FuturesDBHARTIARTLBharti Airtel Ltd.USD1,9001,900
Indian Equity FuturesDBRITANNIABritannia Industries LtdUSD950950
Indian Equity FuturesDCIPLACipla Ltd.USD2,4002,400
Indian Equity FuturesDCOALINDIACoal India Ltd.USD1,5001,500
Indian Equity FuturesDDIVISLABDivis Laboratories LtdUSD1,1501,150
Indian Equity FuturesDDRREDDYDr. Reddy's Laboratories Ltd.USD1,0501,050
Indian Equity FuturesDEICHERMOTEicher Motors Ltd.USD750750
Indian Equity FuturesDGRASIMGrasim Industries LtdUSD3,9503,950
Indian Equity FuturesDHCLTECHHCL Technologies Ltd.USD2,5002,500
Indian Equity FuturesDHDFCBHDFC BANKUSD1,5501,550
Indian Equity FuturesDHEROMOTOCOHero MotoCorp Ltd.USD600600
Indian Equity FuturesDHINDALCOHindalco Industries Ltd.USD2,5002,500
Indian Equity FuturesDHINDUNILVRHindustan Unilever Ltd.USD2,5002,500
Indian Equity FuturesDITCI T C Ltd.USD2,2502,250
Indian Equity FuturesDICICIBCICICI BANKUSD4,8004,800
Indian Equity FuturesDINDUSINDBKIndusInd Bank Ltd.USD1,4001,400
Indian Equity FuturesDINFOInfosysUSD2,9002,900
Indian Equity FuturesDJSWSTEELJSW Steel LimitedUSD3,9503,950
Indian Equity FuturesDKOTAKBANKKotak Mahindra Bank Ltd.USD1,7501,750
Indian Equity FuturesDLTL&TUSD3,0503,050
Indian Equity FuturesDMNMMahindra & Mahindra Ltd.USD3,2003,200
Indian Equity FuturesDMSILMaruti SuzukiUSD2,1502,150
Indian Equity FuturesDNESTLEINDNestle India LimitedUSD4,8004,600
Indian Equity FuturesDNTPCNTPC Ltd.USD2,5002,500
Indian Equity FuturesDONGCOil & Natural Gas Corporation Ltd.USD1,0001,000
Indian Equity FuturesDPOWERGRIDPower Grid Corporation of India Ltd.USD1,0501,600
Indian Equity FuturesDRILRelianceUSD2,4002,400
Indian Equity FuturesDSBINSBIUSD2,9502,950
Indian Equity FuturesDSBILIFESBI Life Insurance Company LtdUSD2,6502,650
Indian Equity FuturesDSUNPHARMASun Pharmaceutical Industries Ltd.USD2,3502,350
Indian Equity FuturesDTTMTTata Motors LtdUSD1,2001,200
Indian Equity FuturesDTATASTEELTata Steel Ltd.USD250250
Indian Equity FuturesDTCSTCSUSD3,5503,550
Indian Equity FuturesDTECHMTech Mahindra Ltd.USD2,4502,450
Indian Equity FuturesDTITANTitan Company LimitedUSD3,1003,100
Indian Equity FuturesDULTRACEMCOUltraTech Cement Ltd.USD1,7001,700
Indian Equity FuturesDUPLUPL LtdUSD1,2501,250
Indian Equity FuturesDWIPROWipro Ltd.USD1,9501,950

Initial Margin Credits

The following inter-commodity spread margin credits are effective on and from: 14 November 2023

PriorityCredit Rate % as of 01-Nov-2023Credit Rate % as of 10-Oct-2022Leg AContract Code Leg ALeg BContract Code Leg BPosition type*Delta Leg ADelta Leg B
1100100Indian RupeeDINRIndian Rupee MiniDINRMLong-Short110
2100100WTI Crude Oil FuturesDWTIMini WTI Crude Oil FuturesDWTIMLong-Short110
39595Indian RupeeDINRIndian Rupee QuantoDINRILong-Long13
49595Indian Rupee MiniDINRMIndian Rupee QuantoDINRILong-Long103
57575Indian Rupee WeeklyDINRWIndian RupeeDINRLong-Short11
67575Indian Rupee WeeklyDINRWIndian Rupee MiniDINRMLong-Short110
77575Indian Rupee WeeklyDINRWIndian Rupee QuantoDINRILong-Long13
86060WTI Crude Oil FuturesDWTIBrent Crude Oil FuturesDBRCLong-Short11
96060Mini WTI Crude Oil FuturesDWTIMBrent Crude Oil FuturesDBRCLong-Short101
105555Gold FuturesDGSilver FuturesDSLong-Short12
115050Gold FuturesDGIndia Gold QuantoDIGLong-Short23

Calendar Spread Charge

The following Intra-commodity Calendar Spread charges are effective on and from: 14 November 2023

Contract Group Contract Code Contract Name Currency Calendar Spread Charge as of 1-Nov-2023
FX Currency Futures DAUD Australian Dollar/US Dollar Futures USD 140
FX Currency Futures DCAD Canadian Dollar/US Dollar Futures USD 80
FX Currency Futures DCHF Swiss Franc/US Dollar Futures USD 160
FX Currency Futures DEUR Euro/US Dollar Futures USD 150
FX Currency Futures DGBP Pound Sterling/US Dollar Futures USD 210
FX Currency Futures DJPY Japanese Yen/US Dollar Futures USD 190
FX Currency Futures DINR Indian Rupee/USD Futures USD 4
FX Currency Futures DINRW Indian Rupee/USD Weekly Futures USD 4
FX Currency Futures DINRI Indian Rupee "Quanto" USD 4
FX Currency Futures DINRM Indian Rupee Mini /US Dollar Futures USD 4
FX Currency Futures DUSDZAR US Dollar/South African Rand Futures ZAR 4600
FX Currency Futures DUSDCNH US Dollar/Chinese Yuan CNH 2850
Energy DWTI WTI Crude Oil Futures USD 10000
Energy DWTIM Mini WTI Crude Oil Futures USD 1000
Energy DBRC Brent Crude Oil Futures USD 1060
Precious Metals DG Gold Futures USD 440
Precious Metals DIG India Gold "Quanto" USD 300
Precious Metals DS Silver Futures USD 240
Base Metals DCU Copper Futures USD 190

Delivery Margin Rates

The Delivery Margin (DM) rates  detailed below are effective on and from: 14 November 2023

Contract Group Contract Code Contract Name Currency New DM Rate as of 14-Nov-2023 Old DM Rate as of 11-Oct-2023
FX Currency Futures DAUD Australian Dollar/US Dollar Futures USD 1,450 1,450
FX Currency Futures DCAD Canadian Dollar/US Dollar Futures USD 1,300 1,300
FX Currency Futures DCHF Swiss Franc/US Dollar Futures USD 1,750 1,750
FX Currency Futures DEUR Euro/US Dollar Futures USD 1,645 1,645
FX Currency Futures DGBP Pound Sterling/US Dollar Futures USD 2,250 2,250
FX Currency Futures DJPY Japanese Yen/US Dollar Futures USD 1,450 1,450
Precious Metals DGSG Spot Gold Shariah Compliant USD 3,200 2,950
Precious Metals DGFC Daily Gold Futures USD 39,300 37,100
Precious Metals DPG Physical Gold Futures USD 78,500 73,250
Precious Metals DSG Daily Spot Gold Futures USD 78,500 73,250
Precious Metals DSSC Spot Silver Shariah Compliant USD 2,300
Margin Parameters (XLSX)
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