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: 13 April 2021

 

Contract GroupContract CodeContract NameCurrencyNew IM Rate as of 13-April-2021Current IM Rate as of 09-March-2021
FX Currency FuturesDAUDAustralian Dollar/US Dollar FuturesUSD1,0001000
FX Currency FuturesDCADCanadian Dollar/US Dollar FuturesUSD800800
FX Currency FuturesDCHFSwiss Franc/US Dollar FuturesUSD9501000
FX Currency FuturesDEUREuro/US Dollar FuturesUSD1,0501,050
FX Currency FuturesDGBPPound Sterling/US Dollar FuturesUSD1,2001,200
FX Currency FuturesDJPYJapanese Yen/US Dollar FuturesUSD9501000
FX Currency FuturesDINRIIndian Rupee "Quanto"USD120150
FX Currency FuturesDINRMIndian Rupee Mini /US Dollar FuturesUSD5056
FX Currency FuturesDINRWIndian Rupee/USD Weekly FuturesUSD500560
FX Currency FuturesDPKRPakistani Rupee/USD FuturesUSD570
FX Currency FuturesDUSDZARUS Dollar/South African Rand FuturesZAR24,05025,000
FX Currency FuturesDUSDCNHUS Dollar/Chinese YuanCNH19,60019600
FX Currency OptionsDINRIndian Rupee/USD Futures/Options*USD500560
FX Rolling FuturesSPFAUDAUD Rolling FuturesUSD200200
FX Rolling FuturesSPFEUREUR Rolling FuturesUSD210210
FX Rolling FuturesSPFGBPGBP Rolling FuturesUSD240240
Precious MetalsDGGold FuturesUSD1,9502,150
Precious MetalsDGSGShariah Compliant Spot GoldUSD1,9502,150
Precious MetalsDGFCDaily Gold FuturesUSD24,05025,000
Precious MetalsDIGIndia Gold "Quanto"USD1,6001800
Precious MetalsDSSilver FuturesUSD1,5002,850
EnergyDWTIWTI Crude Oil FuturesUSD5,2254,350
EnergyDWTIMMini WTI Crude Oil FuturesUSD525435
EnergyDBRCBrent Crude Oil FuturesUSD6,0004250
Base MetalsDCUCopper FuturesUSD2,2002,300
US Equity FuturesDAAPLAPPLEUSD9501,000
US Equity FuturesDFBFACEBOOKUSD2,2502,100
US Equity FuturesDGOOGLGOOGLEUSD1,6001,550
US Equity FuturesDJPMJP MORGANUSD2,3002,250
US Equity FuturesDMSFTMICROSOFTUSD3,6503,500
Indian Equity FuturesDADANIPORTSAdani Ports and Special Economic Zone Ltd.USD1,5001400
Indian Equity FuturesDASIANPAINTAsian Paints Ltd.USD2,6002,800
Indian Equity FuturesDAXSBAxis BankUSD1,4501,450
Indian Equity FuturesDBAJAJAUTOBajaj Auto Ltd.USD800850
Indian Equity FuturesDBAJFINANCEBajaj Finance LtdUSD5,3005,300
Indian Equity FuturesDBAJAJFINSVBajaj Finserv LtdUSD2,0002000
Indian Equity FuturesDBPCLBharat Petroleum Corporation Ltd.USD900900
Indian Equity FuturesDBHARTIARTLBharti Airtel Ltd.USD1,0501200
Indian Equity FuturesDCIPLACipla Ltd.USD1,6501,650
Indian Equity FuturesDCOALINDIACoal India Ltd.USD700800
Indian Equity FuturesDDIVISLABDivis Laboratories LtdUSD750800
Indian Equity FuturesDDRREDDYDr. Reddy's Laboratories Ltd.USD9501050
Indian Equity FuturesDEICHERMOTEicher Motors Ltd.USD550600
Indian Equity FuturesDGAILGAIL (India) Ltd.USD300250
Indian Equity FuturesDGRASIMGrasim Industries LtdUSD2,9502,450
Indian Equity FuturesDHCLTECHHCL Technologies Ltd.USD2,0501900
Indian Equity FuturesDHDFCHDFCUSD2,5502,600
Indian Equity FuturesDHDFCBHDFC BANKUSD1,5001,500
Indian Equity FuturesDHEROMOTOCOHero MotoCorp Ltd.USD600650
Indian Equity FuturesDHINDALCOHindalco Industries Ltd.USD1,8001,800
Indian Equity FuturesDHINDUNILVRHindustan Unilever Ltd.USD2,4502,400
Indian Equity FuturesDHDFCHousing Development Finance Corporation Ltd.USD2,5501,950
Indian Equity FuturesDITCI T C Ltd.USD1,1001,100
Indian Equity FuturesDICICIBCICICI BANKUSD3,0003,050
Indian Equity FuturesDIOCIndian Oil Corporation Ltd.USD500500
Indian Equity FuturesDINDUSINDBKIndusInd Bank Ltd.USD1,0001,000
Indian Equity FuturesDINFOInfosysUSD2,8002,600
Indian Equity FuturesDJSWSTEELJSW Steel LimitedUSD2,6002,000
Indian Equity FuturesDKOTAKBANKKotak Mahindra Bank Ltd.USD1,8502,000
Indian Equity FuturesDLTL&TUSD1,5001,500
Indian Equity FuturesDM&MMahindra & Mahindra Ltd.USD1,6001,600
Indian Equity FuturesDMSILMaruti SuzukiUSD1,4001600
Indian Equity FuturesDNTPCNTPC Ltd.USD1,1001100
Indian Equity FuturesDNESTLEINDNestle India LimitedUSD3,4503,700
Indian Equity FuturesDONGCOil & Natural Gas Corporation Ltd.USD550500
Indian Equity FuturesDPOWERGRIDPower Grid Corporation of India Ltd.USD1,1001,000
Indian Equity FuturesDRILRelianceUSD2,0502,000
Indian Equity FuturesDSBINSBIUSD1,9001600
Indian Equity FuturesDSBILIFESBI Life Insurance Company LtdUSD1,8001,900
Indian Equity FuturesDSUNPHARMASun Pharmaceutical Industries Ltd.USD1,2501,200
Indian Equity FuturesDTTMTTata Motors LtdUSD650650
Indian Equity FuturesDTATASTEELTata Steel Ltd.USD1,7501,300
Indian Equity FuturesDTCSTCSUSD3,2003200
Indian Equity FuturesDTECHMTech Mahindra Ltd.USD2,0002,000
Indian Equity FuturesDTITANTitan Company LimitedUSD1,6001,600
Indian Equity FuturesDULTRACEMCOUltraTech Cement Ltd.USD1,4001,200
Indian Equity FuturesDUPLUPL LtdUSD1,3501,100
Indian Equity FuturesDVEDLVedanta Ltd.USD1,200900
Indian Equity FuturesDWIPROWipro Ltd.USD2,1002150
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: 13 April 2021

Contract Group Contract Code Contract Name Currency New DM Rate as of 13-Apr-2021 Current DM Rate as of 9-Mar-2021
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 1,345 1,735
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 1,420 1,820
Precious Metals DGSG Spot Gold Shariah Compliant USD 2,760 3,040
Precious Metals DGFC Daily Gold Futures USD 41,600 43,300
IM INTERCOMM AND SPREAD (XLSX)