Initial Margins

Margin Information

 

In order to protect Clearing Members from counter-party credit risk, DCCC has established a robust Risk Management framework. The Risk Management framework provided by DCCC is underpinned by a system of initial margin, daily marking-to-market procedures and additional margins 

 

Initial Margin Rates and Associated Margin Credits

Contract GroupContract CodeContract NameCurrencyNew IM Rate as of 12-December-2024IM Rate as of 13-November-2024
FX Currency FuturesDAUDAustralian Dollar/US Dollar FuturesUSD850850
FX Currency FuturesDCADCanadian Dollar/US Dollar FuturesUSD750750
FX Currency FuturesDCHFSwiss Franc/US Dollar FuturesUSD1,1551,155
FX Currency FuturesDEUREuro/US Dollar FuturesUSD990950
FX Currency FuturesDGBPPound Sterling/US Dollar FuturesUSD1,2501,250
FX Currency FuturesDJPYJapanese Yen/US Dollar FuturesUSD915915
FX Currency FuturesDINRIIndian Rupee "Quanto"USD125125
FX Currency FuturesDINRMIndian Rupee Mini /US Dollar FuturesUSD3838
FX Currency FuturesDINRWIndian Rupee/USD Weekly FuturesUSD375375
FX Currency FuturesDILSIsraeli Shekel FuturesUSD599599
FX Currency FuturesDPKRPakistani Rupee/USD FuturesUSD350350
FX Currency FuturesDUSDZARUS Dollar/South African Rand FuturesZAR36,10035,300
FX Currency FuturesDUSDCNHUS Dollar/Chinese YuanCNH21,80021,400
FX Currency OptionsDINRIndian Rupee/USD Futures/OptionsUSD375375
Precious MetalsDGGold FuturesUSD3,9004,000
Precious MetalsDGSGShariah Compliant Spot GoldUSD3,8504,000
Precious MetalsDGFCDaily Gold FuturesUSD47,90049,600
Precious MetalsDIGIndia Gold "Quanto"USD3,5003,550
Precious MetalsDSSilver FuturesUSD2,5002,500
Precious MetalsDPGPhysical Gold FuturesUSD95,75098,750
Precious MetalsDSGDaily Spot Gold FuturesUSD95,75098,750
Precious MetalsDSSCShariah Compliant Spot SilverUSD2,2502,250
EnergyDWTIWTI Crude Oil FuturesUSD7,5007,500
EnergyDWTIMMini WTI Crude Oil FuturesUSD750750
EnergyDBRCBrent Crude Oil FuturesUSD7,2007,200
Base MetalsDCUCopper FuturesUSD2,5502,550
US Equity FuturesDAAPLAPPLEUSD1,6501,650
US Equity FuturesDFBFACEBOOKUSD4,3004,300
US Equity FuturesDGOOGLGOOGLEUSD100100
US Equity FuturesDJPMJP MORGANUSD3,8003,350
US Equity FuturesDMSFTMICROSOFTUSD6,5006,500
Indian Equity FuturesDADANIPORTSAdani Ports and Special Economic Zone Ltd.USD2,9503,200
Indian Equity FuturesDASIANPAINTAsian Paints Ltd.USD3,1503,150
Indian Equity FuturesDAXSBAxis BankUSD2,5502,550
Indian Equity FuturesDBAJAJAUTOBajaj Auto Ltd.USD2,5002,500
Indian Equity FuturesDBAJFINANCEBajaj Finance LtdUSD7,7507,750
Indian Equity FuturesDBAJAJFINSVBajaj Finserv LtdUSD300300
Indian Equity FuturesDBPCLBharat Petroleum Corporation Ltd.USD650650
Indian Equity FuturesDBHARTIARTLBharti Airtel Ltd.USD3,4503,200
Indian Equity FuturesDBRITANNIABritannia Industries LtdUSD1,3001,300
Indian Equity FuturesDCIPLACipla Ltd.USD3,1503,150
Indian Equity FuturesDCOALINDIACoal India Ltd.USD2,5002,500
Indian Equity FuturesDDIVISLABDivis Laboratories LtdUSD1,0501,050
Indian Equity FuturesDDRREDDYDr. Reddy's Laboratories Ltd.USD1,3001,300
Indian Equity FuturesDEICHERMOTEicher Motors Ltd.USD1,0501,050
Indian Equity FuturesDGRASIMGrasim Industries LtdUSD5,6505,400
Indian Equity FuturesDHCLTECHHCL Technologies Ltd.USD3,5503,550
Indian Equity FuturesDHDFCBHDFC BANKUSD1,8501,550
Indian Equity FuturesDHEROMOTOCOHero MotoCorp Ltd.USD1,1501,150
Indian Equity FuturesDHINDALCOHindalco Industries Ltd.USD3,8003,800
Indian Equity FuturesDHINDUNILVRHindustan Unilever Ltd.USD2,8002,800
Indian Equity FuturesDITCI T C Ltd.USD2,5502,550
Indian Equity FuturesDICICIBCICICI BANKUSD6,5006,500
Indian Equity FuturesDINDUSINDBKIndusInd Bank Ltd.USD1,4001,400
Indian Equity FuturesDINFOInfosysUSD3,8003,800
Indian Equity FuturesDJSWSTEELJSW Steel LimitedUSD5,2005,200
Indian Equity FuturesDKOTAKBANKKotak Mahindra Bank Ltd.USD1,7501,750
Indian Equity FuturesDLTL&TUSD3,5503,550
Indian Equity FuturesDMNMMahindra & Mahindra Ltd.USD6,2506,250
Indian Equity FuturesDMSILMaruti SuzukiUSD2,5502,550
Indian Equity FuturesDNESTLEINDNestle India LimitedUSD535535
Indian Equity FuturesDNTPCNTPC Ltd.USD4,5004,500
Indian Equity FuturesDONGCOil & Natural Gas Corporation Ltd.USD1,7001,700
Indian Equity FuturesDPOWERGRIDPower Grid Corporation of India Ltd.USD1,7001,700
Indian Equity FuturesDRILRelianceUSD1,5001,500
Indian Equity FuturesDSBINSBIUSD4,2004,200
Indian Equity FuturesDSBILIFESBI Life Insurance Company LtdUSD3,5503,550
Indian Equity FuturesDSUNPHARMASun Pharmaceutical Industries Ltd.USD3,9003,900
Indian Equity FuturesDTTMTTata Motors LtdUSD2,0002,000
Indian Equity FuturesDTATASTEELTata Steel Ltd.USD250250
Indian Equity FuturesDTCSTCSUSD4,4504,450
Indian Equity FuturesDTECHMTech Mahindra Ltd.USD3,3003,300
Indian Equity FuturesDTITANTitan Company LimitedUSD3,8503,850
Indian Equity FuturesDULTRACEMCOUltraTech Cement Ltd.USD2,4002,150
Indian Equity FuturesDUPLUPL LtdUSD1,2501,250
Indian Equity FuturesDWIPROWipro Ltd.USD2,7502,750

Initial Margin Credits

PriorityCredit Rate % as of 12-December-2024Credit Rate % as of 13-November-2024Leg 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
57575Indian Rupee WeeklyDINRWIndian RupeeDINRLong-Short11
67575Indian Rupee WeeklyDINRWIndian Rupee MiniDINRMLong-Short110
77575Indian Rupee WeeklyDINRWIndian Rupee QuantoDINRILong-Long13
86060WTI Crude Oil FuturesDWTIBrent Crude Oil FuturesDBRCLong-Short11
96060Mini WTI Crude Oil FuturesDWTIMBrent Crude Oil FuturesDBRCLong-Short101
105555Gold FuturesDGSilver FuturesDSLong-Short12
115050Gold FuturesDGIndia Gold QuantoDIGLong-Short23

Calendar Spread Charge

Contract Group Contract Code Contract Name Currency Calendar Spread Charge as of 12-December-2024 Calendar Spread Charge as of 13-November-2024
FX Currency Futures DAUD Australian Dollar/US Dollar Futures USD 140 140
FX Currency Futures DCAD Canadian Dollar/US Dollar Futures USD 80 80
FX Currency Futures DCHF Swiss Franc/US Dollar Futures USD 160 160
FX Currency Futures DEUR Euro/US Dollar Futures USD 150 150
FX Currency Futures DGBP Pound Sterling/US Dollar Futures USD 210 210
FX Currency Futures DJPY Japanese Yen/US Dollar Futures USD 190 190
FX Currency Futures DINR Indian Rupee/USD Futures USD 1 1
FX Currency Futures DINRW Indian Rupee/USD Weekly Futures USD 1 1
FX Currency Futures DINRI Indian Rupee "Quanto" USD 1 1
FX Currency Futures DINRM Indian Rupee Mini /US Dollar Futures USD 1 1
FX Currency Futures DUSDZAR US Dollar/South African Rand Futures ZAR 4,600 4,600
FX Currency Futures DUSDCNH US Dollar/Chinese Yuan CNH 2,850 2,850
Energy DWTI WTI Crude Oil Futures USD 10,000 10,000
Energy DWTIM Mini WTI Crude Oil Futures USD 1,000 1,000
Energy DBRC Brent Crude Oil Futures USD 1,060 1,060
Precious Metals DG Gold Futures USD 440 440
Precious Metals DIG India Gold "Quanto" USD 300 300
Precious Metals DS Silver Futures USD 240 240
Base Metals DCU Copper Futures USD 190 190

Delivery Margin Rates

Contract Group Contract Code Contract Name Currency New Delivery Margin as of 12-December-2024 Delivery Margin as of 13-November-2024
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 DEUR Euro/US Dollar Futures USD 1,700 1,650
FX Currency Futures DJPY Japanese Yen/US Dollar Futures USD 1,600 1,600
FX Currency Futures DGBP Pound Sterling/US Dollar Futures USD 2,150 2,150
FX Currency Futures DCHF Swiss Franc/US Dollar Futures USD 2,000 2,000
Precious Metals DGFC Daily Gold Futures USD 67,750 70,150
Precious Metals DPG Physical Gold Futures USD 135,400 139,650
Precious Metals DSG Daily Spot Gold Futures USD 135,400 139,650
Precious Metals DGSG Spot Gold Shariah Compliant USD 5,450 5,650
Precious Metals DSSC Spot Silver Shariah Compliant USD 3,200 3,200
Margin Parameters (XLSX)
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