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: 11 November 2022

 

Contract GroupContract CodeContract NameCurrencyNew IM Rate as of 11-November-2022IM Rate as of 10-October-2022
FX Currency FuturesDAUDAustralian Dollar/US Dollar FuturesUSD850850
FX Currency FuturesDCADCanadian Dollar/US Dollar FuturesUSD750750
FX Currency FuturesDCHFSwiss Franc/US Dollar FuturesUSD9001,000
FX Currency FuturesDEUREuro/US Dollar FuturesUSD1,0001,000
FX Currency FuturesDGBPPound Sterling/US Dollar FuturesUSD1,7002,050
Indian Equity FuturesDBAJAJFINSVBajaj Finserv LtdUSD350350
FX Currency FuturesDINRIIndian Rupee "Quanto"USD125125
FX Currency FuturesDINRMIndian Rupee Mini /US Dollar FuturesUSD5050
FX Currency FuturesDINRWIndian Rupee/USD Weekly FuturesUSD500500
FX Currency FuturesDILSIsraeli Shekel FuturesUSD500550
FX Currency FuturesDPKRPakistani Rupee/USD FuturesUSD400400
EnergyDBRCBrent Crude Oil FuturesUSD7,1506,550
Indian Equity FuturesDCOALINDIACoal India Ltd.USD1,2501,100
FX Currency OptionsDINRIndian Rupee/USD Futures/Options*USD500500
FX Rolling FuturesSPFAUDAUD Rolling FuturesUSD200200
FX Rolling FuturesSPFEUREUR Rolling FuturesUSD200200
FX Rolling FuturesSPFGBPGBP Rolling FuturesUSD350400
Precious MetalsDGGold FuturesUSD1,9001,900
Precious MetalsDGSGShariah Compliant Spot GoldUSD1,9001,900
Precious MetalsDGFCDaily Gold FuturesUSD23,45023,450
Precious MetalsDIGIndia Gold "Quanto"USD1,8001,800
Precious MetalsDSSilver FuturesUSD1,6501,150
Precious MetalsDPGPhysical Gold FuturesUSD46,55046,550
Precious MetalsDSGDaily Spot Gold FuturesUSD46,55046,550
EnergyDWTIWTI Crude Oil FuturesUSD7,4006,800
EnergyDWTIMMini WTI Crude Oil FuturesUSD740680
Indian Equity FuturesDDIVISLABDivis Laboratories LtdUSD750750
Base MetalsDCUCopper FuturesUSD1,9001,900
US Equity FuturesDAAPLAPPLEUSD1,1001,100
US Equity FuturesDFBFACEBOOKUSD1,0501,050
US Equity FuturesDGOOGLGOOGLEUSD100100
US Equity FuturesDJPMJP MORGANUSD1,9001,600
Indian Equity FuturesDGRASIMGrasim Industries LtdUSD3,4003,400
Indian Equity FuturesDADANIPORTSAdani Ports and Special Economic Zone Ltd.USD1,6501,650
Indian Equity FuturesDASIANPAINTAsian Paints Ltd.USD3,4003,400
Indian Equity FuturesDAXSBAxis BankUSD1,8501,500
Indian Equity FuturesDBAJAJAUTOBajaj Auto Ltd.USD750750
Indian Equity FuturesDBAJFINANCEBajaj Finance LtdUSD7,4007,400
Indian Equity FuturesDHINDALCOHindalco Industries Ltd.USD2,0002,000
Indian Equity FuturesDBPCLBharat Petroleum Corporation Ltd.USD650650
Indian Equity FuturesDBHARTIARTLBharti Airtel Ltd.USD1,6501,650
Indian Equity FuturesDBRITANNIABritannia Industries LtdUSD800800
Indian Equity FuturesDCIPLACipla Ltd.USD2,2502,250
Indian Equity FuturesDICICIBCICICI BANKUSD4,6004,350
Indian Equity FuturesDINDUSINDBKIndusInd Bank Ltd.USD1,2001,200
Indian Equity FuturesDDRREDDYDr. Reddy's Laboratories Ltd.USD900900
Indian Equity FuturesDEICHERMOTEicher Motors Ltd.USD750750
Indian Equity FuturesDGAILGAIL (India) Ltd.USD250250
Indian Equity FuturesDINFOInfosysUSD3,1002,850
Indian Equity FuturesDHCLTECHHCL Technologies Ltd.USD2,1001,900
Indian Equity FuturesDHDFCHDFCUSD2,5002,300
Indian Equity FuturesDHDFCBHDFC BANKUSD1,4501,450
Indian Equity FuturesDHEROMOTOCOHero MotoCorp Ltd.USD550550
FX Currency FuturesDJPYJapanese Yen/US Dollar FuturesUSD700700
Indian Equity FuturesDHINDUNILVRHindustan Unilever Ltd.USD2,7502,750
Indian Equity FuturesDITCI T C Ltd.USD1,7001,700
Indian Equity FuturesDMNMMahindra & Mahindra Ltd.USD2,7502,550
Indian Equity FuturesDIOCIndian Oil Corporation Ltd.USD350350
Indian Equity FuturesDMSILMaruti SuzukiUSD1,9501,800
US Equity FuturesDMSFTMICROSOFTUSD3,6003,600
Indian Equity FuturesDJSWSTEELJSW Steel LimitedUSD3,4003,200
Indian Equity FuturesDKOTAKBANKKotak Mahindra Bank Ltd.USD1,8501,850
Indian Equity FuturesDLTL&TUSD2,0501,900
Indian Equity FuturesDSUNPHARMASun Pharmaceutical Industries Ltd.USD1,9501,950
Indian Equity FuturesDTECHMTech Mahindra Ltd.USD2,0502,050
Indian Equity FuturesDNTPCNTPC Ltd.USD1,6501,650
Indian Equity FuturesDNESTLEINDNestle India LimitedUSD4,1003,850
Indian Equity FuturesDONGCOil & Natural Gas Corporation Ltd.USD650650
Indian Equity FuturesDPOWERGRIDPower Grid Corporation of India Ltd.USD1,1001,100
Indian Equity FuturesDRILRelianceUSD2,6002,400
Indian Equity FuturesDSBINSBIUSD2,9002,700
Indian Equity FuturesDSBILIFESBI Life Insurance Company LtdUSD2,5502,550
Indian Equity FuturesDTITANTitan Company LimitedUSD2,8002,650
Indian Equity FuturesDTTMTTata Motors LtdUSD850850
Indian Equity FuturesDTATASTEELTata Steel Ltd.USD200200
Indian Equity FuturesDTCSTCSUSD3,2503,050
FX Currency FuturesDUSDCNHUS Dollar/Chinese YuanCNH22,05021,500
FX Currency FuturesDUSDZARUS Dollar/South African Rand FuturesZAR29,85029,400
Indian Equity FuturesDULTRACEMCOUltraTech Cement Ltd.USD1,3001,300
Indian Equity FuturesDUPLUPL LtdUSD1,5001,350
Indian Equity FuturesDVEDLVedanta Ltd.USD1,4001,400
Indian Equity FuturesDWIPROWipro Ltd.USD2,0002,000
Indian Equity FuturesDYESBANKYes Bank Ltd.USD100100

Initial Margin Credits

The following inter-commodity spread margin credits are effective on and from: 10 October 2022

PriorityCredit Rate % as of 10-Oct-2022Credit Rate % as of 23-Feb-2021Leg 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
59095Australian DollarDAUDAUD RollingSPFAUDLong-Short15
68590Pound SterlingDGBPGBP RollingSPFGBPLong-Short15
78080EuroDEUREUR RollingSPFEURLong-Short15
87575Indian Rupee WeeklyDINRWIndian RupeeDINRLong-Short11
97575Indian Rupee WeeklyDINRWIndian Rupee MiniDINRMLong-Short110
107575Indian Rupee WeeklyDINRWIndian Rupee QuantoDINRILong-Long13
116060WTI Crude Oil FuturesDWTIBrent Crude Oil FuturesDBRCLong-Short11
126060Mini WTI Crude Oil FuturesDWTIMBrent Crude Oil FuturesDBRCLong-Short101
135555Gold FuturesDGSilver FuturesDSLong-Short12
145050Gold FuturesDGIndia Gold QuantoDIGLong-Short23

Calendar Spread Charge

The following Intra-commodity Calendar Spread charges are effective on and from: 9 March 2021

Contract Group Contract Code Contract Name Currency Calendar Spread Charge as of 9-Mar-2021
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: 11 November 2022

Contract Group Contract Code Contract Name Currency New DM Rate as of 11-Nov-2022 Old DM Rate as of 10-Oct-2022
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 1,560 1,750
FX Currency Futures DEUR Euro/US Dollar Futures USD 1,750 1,750
FX Currency Futures DGBP Pound Sterling/US Dollar Futures USD 2,945 3,550
FX Currency Futures DJPY Japanese Yen/US Dollar Futures USD 1,200 1,200
Precious Metals DGSG Spot Gold Shariah Compliant USD 2,700 2,700
Precious Metals DGFC Daily Gold Futures USD 33,150 33,150
Precious Metals DPG Physical Gold USD 65,850 65,850
Precious Metals DSG Spot Gold USD 65,850 65,850
Margin Parameters (XLSX)