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 January 2021

 

Contract GroupContract CodeContract NameCurrencyNew IM Rate as of 18-Jan-2020Current IM Rate as of 10-Dec-2020
FX Currency FuturesDAUDAustralian Dollar/US Dollar FuturesUSD1,000950
FX Currency FuturesDCADCanadian Dollar/US Dollar FuturesUSD800800
FX Currency FuturesDCHFSwiss Franc/US Dollar FuturesUSD1,000950
FX Currency FuturesDEUREuro/US Dollar FuturesUSD1,0501,050
FX Currency FuturesDGBPPound Sterling/US Dollar FuturesUSD1,2001,150
FX Currency FuturesDJPYJapanese Yen/US Dollar FuturesUSD1,0001050
FX Currency FuturesDINRIIndian Rupee "Quanto"USD120120
FX Currency FuturesDINRMIndian Rupee Mini /US Dollar FuturesUSD5050
FX Currency FuturesDINRWIndian Rupee/USD Weekly FuturesUSD500500
FX Currency FuturesDUSDZARUS Dollar/South African Rand FuturesZAR23,90031,000
FX Currency FuturesDUSDCNHUS Dollar/Chinese YuanCNH19,60021,500
FX Currency OptionsDINRIndian Rupee/USD Futures/Options*USD500500
FX Rolling FuturesSPFAUDAUD Rolling FuturesUSD200190
FX Rolling FuturesSPFEUREUR Rolling FuturesUSD210210
FX Rolling FuturesSPFGBPGBP Rolling FuturesUSD240240
Precious MetalsDGGold FuturesUSD2,1502,900
Precious MetalsDGSGShariah Compliant Spot GoldUSD2,1502,900
Precious MetalsDIGIndia Gold "Quanto"USD1,8002,450
Precious MetalsDSSilver FuturesUSD1,5501900
EnergyDWTIWTI Crude Oil FuturesUSD3,4003,300
EnergyDWTIMMini WTI Crude Oil FuturesUSD340330
EnergyDBRCBrent Crude Oil FuturesUSD3,3503150
EnergyDCOALINDIACoalUSD700800
Base MetalsDCUCopper FuturesUSD2,0001700
US Equity FuturesDAAPLAPPLEUSD1,000950
US Equity FuturesDFBFACEBOOKUSD2,1002,150
US Equity FuturesDGOOGLGOOGLEUSD1,3501,350
US Equity FuturesDJPMJP MORGANUSD1,5001,500
US Equity FuturesDMSFTMICROSOFTUSD3,3003,200
Indian Equity FuturesDACCACC Ltd.USD1,4001,400
Indian Equity FuturesDADANIPORTSAdani Ports and Special Economic Zone Ltd.USD1,000700
Indian Equity FuturesDAMBUJACEMAmbuja Cements Ltd.USD1,1001,100
Indian Equity FuturesDASIANPAINTAsian Paints Ltd.USD2,8002,000
Indian Equity FuturesDAUROPHARMAAurobindo Pharma Ltd.USD1,6501650
Indian Equity FuturesDAXSBAXIS BANKUSD1,3001,000
Indian Equity FuturesDBAJAJAUTOBajaj Auto Ltd.USD700600
Indian Equity FuturesDBAJFINANCEBajaj Finance LtdUSD5,3003,550
Indian Equity FuturesDBAJAJFINSVBajaj Finserv LtdUSD1,8001250
Indian Equity FuturesDBANKBARODABank of BarodaUSD500500
Indian Equity FuturesDBPCLBharat Petroleum Corporation Ltd.USD800800
Indian Equity FuturesDBHARTIARTLBharti Airtel Ltd.USD1,0501,050
Indian Equity FuturesDINFRATELBharti Infratel Ltd.USD450450
Indian Equity FuturesDBOSCHLTDBosch Ltd.USD2,8002,800
Indian Equity FuturesDCIPLACipla Ltd.USD1,6001600
Indian Equity FuturesDCOALINDIACoal India Ltd.USD800800
Indian Equity FuturesDDIVISLABDivis Laboratories LtdUSD800650
Indian Equity FuturesDDRREDDYDr. Reddy's Laboratories Ltd.USD1,0501,050
Indian Equity FuturesDEICHERMOTEicher Motors Ltd.USD600450
Indian Equity FuturesDGAILGAIL (India) Ltd.USD250250
Indian Equity FuturesDGRASIMGrasim Industries LtdUSD1,9001,300
Indian Equity FuturesDHCLTECHHCL Technologies Ltd.USD1,9001,650
Indian Equity FuturesDHDFCHDFCUSD2,6001,950
Indian Equity FuturesDHDFCBHDFC BANKUSD1,5001,100
Indian Equity FuturesDHEROMOTOCOHero MotoCorp Ltd.USD650650
Indian Equity FuturesDHINDALCOHindalco Industries Ltd.USD1,300900
Indian Equity FuturesDHINDPETROHindustan Petroleum Corporation LimitedUSD450450
Indian Equity FuturesDHINDUNILVRHindustan Unilever Ltd.USD2,4002,200
Indian Equity FuturesDHDFCHousing Development Finance Corporation Ltd.USD1,9501,950
Indian Equity FuturesDITCI T C Ltd.USD1,100900
Indian Equity FuturesDICICIBCICICI BANKUSD2,7001800
Indian Equity FuturesDIBULHSGFINIndiabulls Housing Finance Ltd.USD250250
Indian Equity FuturesDIOCIndian Oil Corporation Ltd.USD500550
Indian Equity FuturesDINDUSINDBKIndusInd Bank Ltd.USD900700
Indian Equity FuturesDINFOINFOSYSUSD2,6002,100
Indian Equity FuturesDJSWSTEELJSW Steel LimitedUSD2,0001,150
Indian Equity FuturesDKOTAKBANKKotak Mahindra Bank Ltd.USD2,0001400
Indian Equity FuturesDLTL&TUSD1,3001,050
Indian Equity FuturesDLUPINLupin Ltd.USD1,1001,100
Indian Equity FuturesDM&MMahindra & Mahindra Ltd.USD1,5001,250
Indian Equity FuturesDMSILMARUTI SUZUKIUSD1,6001,400
Indian Equity FuturesDNTPCNTPC Ltd.USD1,0001000
Indian Equity FuturesDNESTLEINDNestle India LimitedUSD3,7003,350
Indian Equity FuturesDONGCOil & Natural Gas Corporation Ltd.USD500500
Indian Equity FuturesDPOWERGRIDPower Grid Corporation of India Ltd.USD1,000850
Indian Equity FuturesDRILRELIANCEUSD2,0002,300
Indian Equity FuturesDSBINSBIUSD1,4001000
Indian Equity FuturesDSBILIFESBI Life Insurance Company LtdUSD1,9001700
Indian Equity FuturesDSUNPHARMASun Pharmaceutical Industries Ltd.USD1,2001100
Indian Equity FuturesDTTMTTATA MOTORSUSD400300
Indian Equity FuturesDTATAMTRDVRTata Motors Ltd DVRUSD350350
Indian Equity FuturesDTATAPOWERTata Power Co. Ltd.USD550550
Indian Equity FuturesDTATASTEELTata Steel Ltd.USD1,300750
Indian Equity FuturesDTCSTCSUSD2,9002550
Indian Equity FuturesDTECHMTech Mahindra Ltd.USD2,0001600
Indian Equity FuturesDTITANTitan Company LimitedUSD1,6001050
Indian Equity FuturesDULTRACEMCOUltraTech Cement Ltd.USD900900
Indian Equity FuturesDUPLUPL LtdUSD1,0001,050
Indian Equity FuturesDVEDLVedanta Ltd.USD900700
Indian Equity FuturesDWIPROWipro Ltd.USD2,0001600
Indian Equity FuturesDYESBANKYes Bank Ltd.USD100250
Indian Equity FuturesDZEELZee Entertainment Enterprises Ltd.USD450450

Initial Margin Credits

The following inter-commodity spread margin credits are effective on and from: 11 January 2021

PriorityCredit Rate % as of 18-Jan-2021Credit Rate % as of 10-Dec-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-Long27
49595Indian Rupee MiniDINRMIndian Rupee QuantoDINRILong-Long207
59595Indian Rupee WeeklyDINRWIndian RupeeDINRLong-Short11
69595Indian Rupee WeeklyDINRWIndian Rupee MiniDINRILong-Short110
79595Indian Rupee WeeklyDINRWIndian Rupee QuantoDINRWLong-Long27
88080Australian DollarDAUDAUD RollingSPFAUDLong-Short15
98030Pound SterlingDGBPGBP RollingSPFGBPLong-Short15
107575EuroDEUREUR RollingSPFEURLong-Short15
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: 11 January 2021

Contract Group Contract Code Contract Name Currency Calendar Spread Charge as of 18-Jan-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 January 2021

Contract Group Contract Code Contract Name Currency New DM Rate as of 18-Jan-2021 Current DM Rate as of 10-Dec-2020
FX Currency Futures DAUD Australian Dollar/US Dollar Futures USD 1,735 1,645
FX Currency Futures DCAD Canadian Dollar/US Dollar Futures USD 1,385 1,300
FX Currency Futures DCHF Swiss Franc/US Dollar Futures USD 1,735 1,645
FX Currency Futures DEUR Euro/US Dollar Futures USD 1,820 1,730
FX Currency Futures DGBP Pound Sterling/US Dollar Futures USD 2,075 1,990
FX Currency Futures DJPY Japanese Yen/US Dollar Futures USD 1,820 1,730
Precious Metals DGSG Spot Gold Shariah Compliant USD 3,040 4,100
IM INTERCOMM AND SPREAD (XLSX)