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

 

The Initial Margin (IM) rates and associated margin credits detailed below are effective on and from: 11 April 2022

 

Contract GroupContract CodeContract NameCurrencyNew IM Rate as of 11-March-2022IM Rate as of 15-February-2022
FX Currency FuturesDAUDAustralian Dollar/US Dollar FuturesUSD900900
FX Currency FuturesDCADCanadian Dollar/US Dollar FuturesUSD800800
FX Currency FuturesDCHFSwiss Franc/US Dollar FuturesUSD950950
FX Currency FuturesDEUREuro/US Dollar FuturesUSD1,000950
FX Currency FuturesDGBPPound Sterling/US Dollar FuturesUSD1,1501,150
FX Currency FuturesDJPYJapanese Yen/US Dollar FuturesUSD900850
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 FuturesUSD500500
FX Currency FuturesDUSDZARUS Dollar/South African Rand FuturesZAR25,90025,900
FX Currency FuturesDUSDCNHUS Dollar/Chinese YuanCNH19,15019,150
FX Currency OptionsDINRIndian Rupee/USD Futures/Options*USD500500
FX Rolling FuturesSPFAUDAUD Rolling FuturesUSD200200
FX Rolling FuturesSPFEUREUR Rolling FuturesUSD200200
FX Rolling FuturesSPFGBPGBP Rolling FuturesUSD250250
Precious MetalsDGGold FuturesUSD2,1502,050
Precious MetalsDGSGShariah Compliant Spot GoldUSD2,1502,050
Precious MetalsDGFCDaily Gold FuturesUSD26,85025,450
Precious MetalsDIGIndia Gold "Quanto"USD1,8001,700
Precious MetalsDSSilver FuturesUSD1,5001,400
EnergyDWTIWTI Crude Oil FuturesUSD8,1507,500
EnergyDWTIMMini WTI Crude Oil FuturesUSD815750
EnergyDBRCBrent Crude Oil FuturesUSD7,3506,850
Base MetalsDCUCopper FuturesUSD2,4502,450
US Equity FuturesDAAPLAPPLEUSD1,3501,350
US Equity FuturesDFBFACEBOOKUSD4,2102,600
US Equity FuturesDGOOGLGOOGLEUSD2,2002,200
US Equity FuturesDJPMJP MORGANUSD2,3502,350
US Equity FuturesDMSFTMICROSOFTUSD5,1005,100
Indian Equity FuturesDADANIPORTSAdani Ports and Special Economic Zone Ltd.USD1,4501,450
Indian Equity FuturesDASIANPAINTAsian Paints Ltd.USD3,4003,400
Indian Equity FuturesDAXSBAxis BankUSD1,5001,550
Indian Equity FuturesDBAJAJAUTOBajaj Auto Ltd.USD700700
Indian Equity FuturesDBAJFINANCEBajaj Finance LtdUSD7,0507,050
Indian Equity FuturesDBAJAJFINSVBajaj Finserv LtdUSD3,3003,300
Indian Equity FuturesDBPCLBharat Petroleum Corporation Ltd.USD800800
Indian Equity FuturesDBHARTIARTLBharti Airtel Ltd.USD1,4001,450
Indian Equity FuturesDBRITANNIABritannia Industries LtdUSD700700
Indian Equity FuturesDCIPLACipla Ltd.USD1,9001,900
Indian Equity FuturesDCOALINDIACoal India Ltd.USD850800
Indian Equity FuturesDDIVISLABDivis Laboratories LtdUSD950950
Indian Equity FuturesDDRREDDYDr. Reddy's Laboratories Ltd.USD1,0001,000
Indian Equity FuturesDEICHERMOTEicher Motors Ltd.USD550550
Indian Equity FuturesDGAILGAIL (India) Ltd.USD300300
Indian Equity FuturesDGRASIMGrasim Industries LtdUSD3,2503,450
Indian Equity FuturesDHCLTECHHCL Technologies Ltd.USD2,6502,650
Indian Equity FuturesDHDFCHDFCUSD2,6002,600
Indian Equity FuturesDHDFCBHDFC BANKUSD1,5001,500
Indian Equity FuturesDHEROMOTOCOHero MotoCorp Ltd.USD550550
Indian Equity FuturesDHINDALCOHindalco Industries Ltd.USD2,9002,450
Indian Equity FuturesDHINDUNILVRHindustan Unilever Ltd.USD2,3502,350
Indian Equity FuturesDITCI T C Ltd.USD1,1001,100
Indian Equity FuturesDICICIBCICICI BANKUSD3,7503,950
Indian Equity FuturesDIOCIndian Oil Corporation Ltd.USD600650
Indian Equity FuturesDINDUSINDBKIndusInd Bank Ltd.USD950900
Indian Equity FuturesDINFOInfosysUSD3,8003,800
Indian Equity FuturesDJSWSTEELJSW Steel LimitedUSD3,3003,300
Indian Equity FuturesDKOTAKBANKKotak Mahindra Bank Ltd.USD1,8501,850
Indian Equity FuturesDLTL&TUSD1,9001,900
Indian Equity FuturesDMNMMahindra & Mahindra Ltd.USD1,7001,800
Indian Equity FuturesDMSILMaruti SuzukiUSD1,7501,750
Indian Equity FuturesDNTPCNTPC Ltd.USD1,3501,450
Indian Equity FuturesDNESTLEINDNestle India LimitedUSD3,9503,950
Indian Equity FuturesDONGCOil & Natural Gas Corporation Ltd.USD850850
Indian Equity FuturesDPOWERGRIDPower Grid Corporation of India Ltd.USD1,1001,100
Indian Equity FuturesDRILRelianceUSD2,4002,400
Indian Equity FuturesDSBINSBIUSD2,4502,700
Indian Equity FuturesDSBILIFESBI Life Insurance Company LtdUSD2,4502,500
Indian Equity FuturesDSUNPHARMASun Pharmaceutical Industries Ltd.USD1,7001,700
Indian Equity FuturesDTTMTTata Motors LtdUSD1,0001,050
Indian Equity FuturesDTATASTEELTata Steel Ltd.USD2,4502,250
Indian Equity FuturesDTCSTCSUSD3,7503,750
Indian Equity FuturesDTECHMTech Mahindra Ltd.USD3,6003,600
Indian Equity FuturesDTITANTitan Company LimitedUSD2,5502,550
Indian Equity FuturesDULTRACEMCOUltraTech Cement Ltd.USD1,5001,500
Indian Equity FuturesDUPLUPL LtdUSD1,5501,550
Indian Equity FuturesDVEDLVedanta Ltd.USD1,9001,700
Indian Equity FuturesDWIPROWipro Ltd.USD3,6003,600
Indian Equity FuturesDYESBANKYes Bank Ltd.USD10050

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 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 4,600
FX Currency Futures DUSDCNH US Dollar/Chinese Yuan CNH 2,850
Energy DWTI WTI Crude Oil Futures USD 10,000
Energy DWTIM Mini WTI Crude Oil Futures USD 1,000
Energy DBRC Brent Crude Oil Futures USD 1,060
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 April 2022

Contract Group Contract Code Contract Name Currency New DM Rate as of 11-Apr-2022 Current DM Rate as of 11-Mar-2022
FX Currency Futures DAUD Australian Dollar/US Dollar Futures USD 1,600 1,600
FX Currency Futures DCAD Canadian Dollar/US Dollar Futures USD 1,400 1,400
FX Currency Futures DCHF Swiss Franc/US Dollar Futures USD 1,345 1,345
FX Currency Futures DEUR Euro/US Dollar Futures USD 1,750 1,750
FX Currency Futures DGBP Pound Sterling/US Dollar Futures USD 2,000 2,000
FX Currency Futures DJPY Japanese Yen/US Dollar Futures USD 1,550 1,550
Precious Metals DGSG Spot Gold Shariah Compliant USD 3,700 3,050
Precious Metals DGFC Daily Gold Futures USD 38,000 38,000