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: 5 February 2020

 

Contract GroupContract CodeContract NameCurrencyNew IM Rate as of 13-Feb-2020Current IM Rate as of 14-Jan-2020
FX Currency FuturesDAUDAustralian Dollar/US Dollar FuturesUSD700700
FX Currency FuturesDCADCanadian Dollar/US Dollar FuturesUSD400400
FX Currency FuturesDCHFSwiss Franc/US Dollar FuturesUSD800800
FX Currency FuturesDEUREuro/US Dollar FuturesUSD750750
FX Currency FuturesDGBPPound Sterling/US Dollar FuturesUSD1,2501,250
FX Currency FuturesDJPYJapanese Yen/US Dollar FuturesUSD950950
FX Currency FuturesDINRIIndian Rupee "Quanto"USD125125
FX Currency FuturesDINRMIndian Rupee Mini /US Dollar FuturesUSD5050
FX Currency FuturesDUSDZARUS Dollar/South African Rand FuturesZAR23,00023,000
FX Currency FuturesDUSDCNHUS Dollar/Chinese YuanCNH14,25014,250
FX Currency OptionsDINRIndian Rupee/USD Futures/Options*USD500500
Precious MetalsDGGold FuturesUSD1,8001,700
Precious MetalsDGSGShariah Compliant Spot GoldUSD1,8001,700
Precious MetalsDIGIndia Gold "Quanto"USD1,5001,400
Precious MetalsDSSilver FuturesUSD900900
EnergyDWTIWTI Crude Oil FuturesUSD3,4003,400
EnergyDWTIMMini WTI Crude Oil FuturesUSD340340
EnergyDBRCBrent Crude Oil FuturesUSD3,5003,500
Base MetalsDCUCopper FuturesUSD1,000950
US Equity FuturesDAAPLAPPLEUSD1,2001,100
US Equity FuturesDFBFACEBOOKUSD1,0501,050
US Equity FuturesDGOOGLGOOGLEUSD550500
US Equity FuturesDJPMJP MORGANUSD1,4001,400
US Equity FuturesDMSFTMICROSOFTUSD1,3001,200
Indian Equity FuturesDACCACC Ltd.USD1,2001,200
Indian Equity FuturesDADANIPORTSAdani Ports and Special Economic Zone Ltd.USD650650
Indian Equity FuturesDAMBUJACEMAmbuja Cements Ltd.USD800800
Indian Equity FuturesDASIANPAINTAsian Paints Ltd.USD1,3501,350
Indian Equity FuturesDAUROPHARMAAurobindo Pharma Ltd.USD750900
Indian Equity FuturesDAXSBAXIS BANKUSD1,1501,150
Indian Equity FuturesDBAJAJAUTOBajaj Auto Ltd.USD500500
Indian Equity FuturesDBAJFINANCEBajaj Finance LtdUSD3,3003,200
Indian Equity FuturesDBANKBARODABank of BarodaUSD800800
Indian Equity FuturesDBPCLBharat Petroleum Corporation Ltd.USD800800
Indian Equity FuturesDBHARTIARTLBharti Airtel Ltd.USD750700
Indian Equity FuturesDINFRATELBharti Infratel Ltd.USD400400
Indian Equity FuturesDBOSCHLTDBosch Ltd.USD2,3502,350
Indian Equity FuturesDCIPLACipla Ltd.USD750750
Indian Equity FuturesDCOALINDIACoal India Ltd.USD800800
Indian Equity FuturesDDRREDDYDr. Reddy's Laboratories Ltd.USD500450
Indian Equity FuturesDEICHERMOTEicher Motors Ltd.USD3,4003,500
Indian Equity FuturesDGAILGAIL (India) Ltd.USD250250
Indian Equity FuturesDHCLTECHHCL Technologies Ltd.USD9001,600
Indian Equity FuturesDHDFCBHDFC BANKUSD1,0001,000
Indian Equity FuturesDHEROMOTOCOHero MotoCorp Ltd.USD450450
Indian Equity FuturesDHINDALCOHindalco Industries Ltd.USD850850
Indian Equity FuturesDHINDPETROHindustan Petroleum Corporation LimitedUSD450450
Indian Equity FuturesDHINDUNILVRHindustan Unilever Ltd.USD1,5501,550
Indian Equity FuturesDHDFCHousing Development Finance Corporation Ltd.USD1,8501,850
Indian Equity FuturesDITCI T C Ltd.USD9001,000
Indian Equity FuturesDICICIBCICICI BANKUSD2,0502,050
Indian Equity FuturesDIBULHSGFINIndiabulls Housing Finance Ltd.USD800800
Indian Equity FuturesDIOCIndian Oil Corporation Ltd.USD550550
Indian Equity FuturesDINDUSINDBKIndusInd Bank Ltd.USD1,1501,150
Indian Equity FuturesDINFOINFOSYSUSD1,2501,250
Indian Equity FuturesDKOTAKBANKKotak Mahindra Bank Ltd.USD1,3001,300
Indian Equity FuturesDLTL&TUSD1,0501,200
Indian Equity FuturesDLUPINLupin Ltd.USD600600
Indian Equity FuturesDM&MMahindra & Mahindra Ltd.USD850850
Indian Equity FuturesDMSILMARUTI SUZUKIUSD1,1501,150
Indian Equity FuturesDNTPCNTPC Ltd.USD900900
Indian Equity FuturesDONGCOil & Natural Gas Corporation Ltd.USD500500
Indian Equity FuturesDPOWERGRIDPower Grid Corporation of India Ltd.USD800800
Indian Equity FuturesDRILRELIANCEUSD1,2001,200
Indian Equity FuturesDSBINSBIUSD1,3501,350
Indian Equity FuturesDSUNPHARMASun Pharmaceutical Industries Ltd.USD750750
Indian Equity FuturesDTTMTTATA MOTORSUSD300300
Indian Equity FuturesDTATAMTRDVRTata Motors Ltd DVRUSD300300
Indian Equity FuturesDTATAPOWERTata Power Co. Ltd.USD500500
Indian Equity FuturesDTATASTEELTata Steel Ltd.USD750750
Indian Equity FuturesDTCSTCSUSD1,6501,650
Indian Equity FuturesDTECHMTech Mahindra Ltd.USD1,2001,150
Indian Equity FuturesDULTRACEMCOUltraTech Cement Ltd.USD750750
Indian Equity FuturesDUPLUPL LtdUSD950950
Indian Equity FuturesDVEDLVedanta Ltd.USD600600
Indian Equity FuturesDWIPROWipro Ltd.USD950950
Indian Equity FuturesDYESBANKYes Bank Ltd.USD250250
Indian Equity FuturesDZEELZee Entertainment Enterprises Ltd.USD450450

Initial Margin Credits

The following inter-commodity spread margin credits are effective on and from: 5 February 2020

PriorityCredit Rate % as of 13-February-2020Credit Rate % as of 14-January-2020Leg 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-Long14
49595Indian Rupee MiniDINRMIndian Rupee QuantoDINRILong-Long52
57575WTI Crude Oil FuturesDWTIBrent Crude Oil FuturesDBRCLong-Short11
67575Mini WTI Crude Oil FuturesDWTIMBrent Crude Oil FuturesDBRCLong-Short101
75555Gold FuturesDGSilver FuturesDSLong-Short12
85050Gold FuturesDGIndia Gold QuantoDIGLong-Short23

Calendar Spread Charge

The following Intra-commodity Calendar Spread charges are effective on and from: 5 February 2020

Contract Group Contract Code Contract Name Currency Calendar Spread Charge as of 13-Feb-2020
FX Currency Futures DAUD Australian Dollar/US Dollar Futures USD 75
FX Currency Futures DCAD Canadian Dollar/US Dollar Futures USD 50
FX Currency Futures DCHF Swiss Franc/US Dollar Futures USD 50
FX Currency Futures DEUR Euro/US Dollar Futures USD 75
FX Currency Futures DGBP Pound Sterling/US Dollar Futures USD 120
FX Currency Futures DJPY Japanese Yen/US Dollar Futures USD 90
FX Currency Futures DINR Indian Rupee/USD Futures USD 2
FX Currency Futures DINRI Indian Rupee "Quanto" USD 2
FX Currency Futures DINRM Indian Rupee Mini /US Dollar Futures USD 2
FX Currency Futures DUSDZAR US Dollar/South African Rand Futures ZAR 2,400
FX Currency Futures DUSDCNH US Dollar/Chinese Yuan CNH 690

Delivery Margin Rates

The Delivery Margin (DM) rates  detailed below are effective on and from: 5 February 2020

Contract Group Contract Code Contract Name Currency New DM Rate as of 13-February-2020 Current DM Rate as of 14-January-2020
FX Currency Futures DAUD Australian Dollar/US Dollar Futures USD 1,300 1,300
FX Currency Futures DCAD Canadian Dollar/US Dollar Futures USD 690 1,213
FX Currency Futures DCHF Swiss Franc/US Dollar Futures USD 1,385 1,385
FX Currency Futures DEUR Euro/US Dollar Futures USD 1,300 1,300
FX Currency Futures DGBP Pound Sterling/US Dollar Futures USD 2,165 2,250
FX Currency Futures DJPY Japanese Yen/US Dollar Futures USD 1,646 1,646
Precious Metals DGSG Spot Gold Shariah Compliant USD 2,405 2,405
IM INTERCOMM AND SPREAD (XLSX)