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: 12 October 2021

 

Contract GroupContract CodeContract NameCurrencyNew IM Rate as of 12-October-2021IM Rate as of 14-September-2021
FX Currency FuturesDAUDAustralian Dollar/US Dollar FuturesUSD950950
FX Currency FuturesDCADCanadian Dollar/US Dollar FuturesUSD800850
FX Currency FuturesDCHFSwiss Franc/US Dollar FuturesUSD950950
FX Currency FuturesDEUREuro/US Dollar FuturesUSD1,0001,050
FX Currency FuturesDGBPPound Sterling/US Dollar FuturesUSD1,1501,200
FX Currency FuturesDJPYJapanese Yen/US Dollar FuturesUSD900950
FX Currency FuturesDINRIIndian Rupee "Quanto"USD120120
FX Currency FuturesDINRMIndian Rupee Mini /US Dollar FuturesUSD5050
FX Currency FuturesDINRWIndian Rupee/USD Weekly FuturesUSD500500
FX Currency FuturesDPKRPakistani Rupee/USD FuturesUSD550600
FX Currency FuturesDUSDZARUS Dollar/South African Rand FuturesZAR24,45023,600
FX Currency FuturesDUSDCNHUS Dollar/Chinese YuanCNH19,40019,450
FX Currency OptionsDINRIndian Rupee/USD Futures/Options*USD500500
FX Rolling FuturesSPFAUDAUD Rolling FuturesUSD200500
FX Rolling FuturesSPFEUREUR Rolling FuturesUSD200200
FX Rolling FuturesSPFGBPGBP Rolling FuturesUSD250250
Precious MetalsDGGold FuturesUSD2,0002,050
Precious MetalsDGSGShariah Compliant Spot GoldUSD2,0002,050
Precious MetalsDGFCDaily Gold FuturesUSD24,55025,350
Precious MetalsDIGIndia Gold "Quanto"USD1,6501810
Precious MetalsDSSilver FuturesUSD1,3501,600
EnergyDWTIWTI Crude Oil FuturesUSD6,4006,250
EnergyDWTIMMini WTI Crude Oil FuturesUSD640625
EnergyDBRCBrent Crude Oil FuturesUSD5,9005600
Base MetalsDCUCopper FuturesUSD2,3002,450
US Equity FuturesDAAPLAPPLEUSD1,1001,150
US Equity FuturesDFBFACEBOOKUSD2,6002,800
US Equity FuturesDGOOGLGOOGLEUSD2,0502,200
US Equity FuturesDJPMJP MORGANUSD2,5002,450
US Equity FuturesDMSFTMICROSOFTUSD4,3004,550
Indian Equity FuturesDADANIPORTSAdani Ports and Special Economic Zone Ltd.USD1,5001500
Indian Equity FuturesDASIANPAINTAsian Paints Ltd.USD3,2503,200
Indian Equity FuturesDAXSBAxis BankUSD1,5501,600
Indian Equity FuturesDBAJAJAUTOBajaj Auto Ltd.USD800850
Indian Equity FuturesDBAJFINANCEBajaj Finance LtdUSD7,7007,550
Indian Equity FuturesDBAJAJFINSVBajaj Finserv LtdUSD3,6003450
Indian Equity FuturesDBPCLBharat Petroleum Corporation Ltd.USD900950
Indian Equity FuturesDBHARTIARTLBharti Airtel Ltd.USD1,4001350
Indian Equity FuturesDBRITANNIABritannia Industries LtdUSD800800
Indian Equity FuturesDCIPLACipla Ltd.USD2,0002000
Indian Equity FuturesDCOALINDIACoal India Ltd.USD950750
Indian Equity FuturesDDIVISLABDivis Laboratories LtdUSD1,0001050
Indian Equity FuturesDDRREDDYDr. Reddy's Laboratories Ltd.USD1,0001,100
Indian Equity FuturesDEICHERMOTEicher Motors Ltd.USD600550
Indian Equity FuturesDGAILGAIL (India) Ltd.USD350350
Indian Equity FuturesDGRASIMGrasim Industries LtdUSD3,3503,000
Indian Equity FuturesDHCLTECHHCL Technologies Ltd.USD2,6002,400
Indian Equity FuturesDHDFCHDFCUSD2,8002,850
Indian Equity FuturesDHDFCBHDFC BANKUSD1,6001,600
Indian Equity FuturesDHEROMOTOCOHero MotoCorp Ltd.USD600600
Indian Equity FuturesDHINDALCOHindalco Industries Ltd.USD2,4502,350
Indian Equity FuturesDHINDUNILVRHindustan Unilever Ltd.USD2,7502,750
Indian Equity FuturesDITCI T C Ltd.USD1,2001,050
Indian Equity FuturesDICICIBCICICI BANKUSD3,5503,600
Indian Equity FuturesDIOCIndian Oil Corporation Ltd.USD650550
Indian Equity FuturesDINDUSINDBKIndusInd Bank Ltd.USD1,1501,050
Indian Equity FuturesDINFOInfosysUSD3,4003,450
Indian Equity FuturesDJSWSTEELJSW Steel LimitedUSD3,3503,450
Indian Equity FuturesDKOTAKBANKKotak Mahindra Bank Ltd.USD2,0501,750
Indian Equity FuturesDLTL&TUSD1,7501,700
Indian Equity FuturesDMNMMahindra & Mahindra Ltd.USD1,6501,600
Indian Equity FuturesDMSILMaruti SuzukiUSD1,5001,550
Indian Equity FuturesDNTPCNTPC Ltd.USD1,4501200
Indian Equity FuturesDNESTLEINDNestle India LimitedUSD3,9003,950
Indian Equity FuturesDONGCOil & Natural Gas Corporation Ltd.USD750600
Indian Equity FuturesDPOWERGRIDPower Grid Corporation of India Ltd.USD9501,500
Indian Equity FuturesDRILRelianceUSD2,5502,300
Indian Equity FuturesDSBINSBIUSD2,3002,150
Indian Equity FuturesDSBILIFESBI Life Insurance Company LtdUSD2,4502,400
Indian Equity FuturesDSUNPHARMASun Pharmaceutical Industries Ltd.USD1,6501,600
Indian Equity FuturesDTTMTTata Motors LtdUSD700700
Indian Equity FuturesDTATASTEELTata Steel Ltd.USD2,6002,900
Indian Equity FuturesDTCSTCSUSD3,8003,800
Indian Equity FuturesDTECHMTech Mahindra Ltd.USD2,8002,900
Indian Equity FuturesDTITANTitan Company LimitedUSD2,2001,950
Indian Equity FuturesDULTRACEMCOUltraTech Cement Ltd.USD1,5001,550
Indian Equity FuturesDUPLUPL LtdUSD1,4501,600
Indian Equity FuturesDVEDLVedanta Ltd.USD1,4501,500
Indian Equity FuturesDWIPROWipro Ltd.USD3,2003250
Indian Equity FuturesDYESBANKYes Bank Ltd.USD100100

Initial Margin Credits

The following inter-commodity spread margin credits are effective on and from: 9 March 2021

PriorityCredit Rate % as of 23-Feb-2021Credit Rate % as of 15-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-Long27
49595Indian Rupee MiniDINRMIndian Rupee QuantoDINRILong-Long207
59595Australian DollarDAUDAUD RollingSPFAUDLong-Short15
69090Pound SterlingDGBPGBP RollingSPFGBPLong-Short15
78080EuroDEUREUR RollingSPFEURLong-Short15
87595Indian Rupee WeeklyDINRWIndian RupeeDINRLong-Short11
97595Indian Rupee WeeklyDINRWIndian Rupee MiniDINRILong-Short110
107595Indian Rupee WeeklyDINRWIndian Rupee QuantoDINRWLong-Long27
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: 12 October 2021

Contract Group Contract Code Contract Name Currency New DM Rate as of 12-Oct-2021 Old DM Rate as of 14-Sep-2021
FX Currency Futures DAUD Australian Dollar/US Dollar Futures USD 1,650 1,650
FX Currency Futures DCAD Canadian Dollar/US Dollar Futures USD 1,400 1,500
FX Currency Futures DCHF Swiss Franc/US Dollar Futures USD 1,345 1,345
FX Currency Futures DEUR Euro/US Dollar Futures USD 1,800 1,820
FX Currency Futures DGBP Pound Sterling/US Dollar Futures USD 2,000 2,100
FX Currency Futures DJPY Japanese Yen/US Dollar Futures USD 1600 1,350
Precious Metals DGSG Spot Gold Shariah Compliant USD 3,000 3,600
Precious Metals DGFC Daily Gold Futures USD 35,000 35,850
IM INTERCOMM AND SPREAD (XLSX)