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: 14 October 2019

 

Contract GroupContract CodeContract NameCurrencyNew IM Rate as of 14-Oct-2019IM Rate as of 17-Sep-2019
FX Currency FuturesDAUDAustralian Dollar/US Dollar FuturesUSD700700
FX Currency FuturesDCADCanadian Dollar/US Dollar FuturesUSD700700
FX Currency FuturesDCHFSwiss Franc/US Dollar FuturesUSD1100800
FX Currency FuturesDEUREuro/US Dollar FuturesUSD750750
FX Currency FuturesDGBPPound Sterling/US Dollar FuturesUSD1,0501,100
FX Currency FuturesDJPYJapanese Yen/US Dollar FuturesUSD950950
FX Currency FuturesDINRIIndian Rupee "Quanto"USD140140
FX Currency FuturesDINRMIndian Rupee Mini /US Dollar FuturesUSD5555
FX Currency FuturesDUSDRUBUS Dollar/Russian Rouble FuturesRUB150,000100,000
FX Currency FuturesDUSDZARUS Dollar/South African Rand FuturesZAR23,00022,000
FX Currency FuturesDUSDCNHUS Dollar/Chinese YuanCNH14,2507,200
FX Currency OptionsDINRIndian Rupee/USD Futures/Options*USD550550
Precious MetalsDGGold FuturesUSD1,6751,725
Precious MetalsDGSGSpot Gold Shariah CompliantUSD1,6751,725
Precious MetalsDIGIndia Gold "Quanto"USD1,3001,400
Precious MetalsDSGCDGCX Shanghai Gold FuturesCNH11,50011,500
Precious MetalsDSSilver FuturesUSD1150925
Equity IndicesDMSIMSCI India INRUSD1,4251,200
Equity IndicesDMSUMSCI India USDUSD1,6501,500
EnergyDWTIWTI Crude Oil FuturesUSD6,5004,750
EnergyDWTIMMini WTI Crude Oil FuturesUSD650475
EnergyDICODubai India Crude Oil FuturesUSD1300850
EnergyDBRCBrent Crude Oil FuturesUSD6,6004,100
Base MetalsDCUCopper FuturesUSD1,050950
Base MetalsDAHAluminium FuturesUSD400400
Base MetalsDZSZinc FuturesUSD600700
US Equity FuturesDAAPLAPPLEUSD10001000
US Equity FuturesDFBFACEBOOKUSD1,0001,000
US Equity FuturesDGOOGLGOOGLEUSD650650
US Equity FuturesDJPMJP MORGANUSD1,1001,100
US Equity FuturesDMSFTMICROSOFTUSD1,0501,050
Indian Equity FuturesDACCACC Ltd.USD1,2001,200
Indian Equity FuturesDADANIPORTSAdani Ports and Special Economic Zone Ltd.USD650650
Indian Equity FuturesDAMBUJACEMAmbuja Cements Ltd.USD900900
Indian Equity FuturesDASIANPAINTAsian Paints Ltd.USD1,2501,250
Indian Equity FuturesDAUROPHARMAAurobindo Pharma Ltd.USD950950
Indian Equity FuturesDAXSBAXIS BANKUSD1,2501,250
Indian Equity FuturesDBAJAJAUTOBajaj Auto Ltd.USD450450
Indian Equity FuturesDBAJFINANCEBajaj Finance LtdUSD2,8002,800
Indian Equity FuturesDBANKBARODABank of BarodaUSD950950
Indian Equity FuturesDBPCLBharat Petroleum Corporation Ltd.USD600600
Indian Equity FuturesDBHARTIARTLBharti Airtel Ltd.USD550550
Indian Equity FuturesDINFRATELBharti Infratel Ltd.USD450450
Indian Equity FuturesDBOSCHLTDBosch Ltd.USD2,5002,500
Indian Equity FuturesDCIPLACipla Ltd.USD850850
Indian Equity FuturesDCOALINDIACoal India Ltd.USD10001000
Indian Equity FuturesDDRREDDYDr. Reddy's Laboratories Ltd.USD450450
Indian Equity FuturesDEICHERMOTEicher Motors Ltd.USD2,9002,900
Indian Equity FuturesDGAILGAIL (India) Ltd.USD550550
Indian Equity FuturesDHCLTECHHCL Technologies Ltd.USD1,8001,800
Indian Equity FuturesDHDFCBHDFC BANKUSD1,8501,850
Indian Equity FuturesDHEROMOTOCOHero MotoCorp Ltd.USD500500
Indian Equity FuturesDHINDALCOHindalco Industries Ltd.USD800800
Indian Equity FuturesDHINDPETROHindustan Petroleum Corporation LimitedUSD450450
Indian Equity FuturesDHINDUNILVRHindustan Unilever Ltd.USD1,4501,450
Indian Equity FuturesDHDFCHousing Development Finance Corporation Ltd.USD1,5001,500
Indian Equity FuturesDITCI T C Ltd.USD1,1501,150
Indian Equity FuturesDICICIBCICICI BANKUSD1,6501,650
Indian Equity FuturesDIBULHSGFINIndiabulls Housing Finance Ltd.USD800650
Indian Equity FuturesDIOCIndian Oil Corporation Ltd.USD650650
Indian Equity FuturesDINDUSINDBKIndusInd Bank Ltd.USD1,3501,350
Indian Equity FuturesDINFOINFOSYSUSD1,2501,250
Indian Equity FuturesDKOTAKBANKKotak Mahindra Bank Ltd.USD1,1501,150
Indian Equity FuturesDLTL&TUSD1,2001,200
Indian Equity FuturesDLUPINLupin Ltd.USD700700
Indian Equity FuturesDM&MMahindra & Mahindra Ltd.USD1,0501,050
Indian Equity FuturesDMSILMARUTI SUZUKIUSD1,0501,050
Indian Equity FuturesDNTPCNTPC Ltd.USD1,0501,050
Indian Equity FuturesDONGCOil & Natural Gas Corporation Ltd.USD650650
Indian Equity FuturesDPOWERGRIDPower Grid Corporation of India Ltd.USD800800
Indian Equity FuturesDRILRELIANCEUSD1,0501,050
Indian Equity FuturesDSBINSBIUSD1,3501,350
Indian Equity FuturesDSUNPHARMASun Pharmaceutical Industries Ltd.USD750750
Indian Equity FuturesDTTMTTATA MOTORSUSD250250
Indian Equity FuturesDTATAMTRDVRTata Motors Ltd DVRUSD300300
Indian Equity FuturesDTATAPOWERTata Power Co. Ltd.USD600600
Indian Equity FuturesDTATASTEELTata Steel Ltd.USD750750
Indian Equity FuturesDTCSTCSUSD1,7001,700
Indian Equity FuturesDTECHMTech Mahindra Ltd.USD1,0501,050
Indian Equity FuturesDULTRACEMCOUltraTech Cement Ltd.USD750750
Indian Equity FuturesDUPLUPL LtdUSD1,4501,450
Indian Equity FuturesDVEDLVedanta Ltd.USD700700
Indian Equity FuturesDWIPROWipro Ltd.USD1,1501,150
Indian Equity FuturesDYESBANKYes Bank Ltd.USD450450
Indian Equity FuturesDZEELZee Entertainment Enterprises Ltd.USD600600

Initial Margin Credits

The following inter-commodity spread margin credits are effective on and from: 14 October 2019

PriorityCredit Rate % as of 14-October-2019Credit Rate % as of 17-September-2019Leg 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-Long14
49595Indian Rupee MiniDINRMIndian Rupee QuantoDINRILong-Long52
57575WTI Crude Oil FuturesDWTIBrent Crude Oil FuturesDBRCLong-Short11
67575Mini WTI Crude Oil FuturesDWTIMBrent Crude Oil FuturesDBRCLong-Short101
77070MSCI India INRDMSIMSCI India USDDMSULong-Short11
86060Gold FuturesDGDGCX Shanghai Gold FuturesDSGCLong-Short11
96060India Gold QuantoDIGDGCX Shanghai Gold FuturesDSGCLong-Short43
106060WTI Crude Oil FuturesDWTIDubai India Crude Oil FuturesDICOLong-Short15
116060Mini WTI Crude Oil FuturesDWTIMDubai India Crude Oil FuturesDICOLong-Short21
125555Gold FuturesDGSilver FuturesDSLong-Short12
135050Indian RupeeDINRMSCI India INRDMSILong-Short11
145050Indian Rupee MiniDINRMMSCI India INRDMSILong-Short101
155050Indian RupeeDINRMSCI India USDDMSULong-Short11
165050Indian Rupee MiniDINRMMSCI India USDDMSULong-Short101
175075Gold FuturesDGIndia Gold QuantoDIGLong-Short23

Calendar Spread Charge

The following Intra-commodity Calendar Spread charges are effective on and from: 14 October 2019

Contract Group Contract Code Contract Name Currency Calendar Spread Charge as of 14-Oct-2019
FX Currency Futures DAUD Australian Dollar/US Dollar Futures USD 75
FX Currency Futures DCAD Canadian Dollar/US Dollar Futures USD 50
FX Currency Futures DCHF Swiss Franc/US Dollar Futures USD 50
FX Currency Futures DEUR Euro/US Dollar Futures USD 75
FX Currency Futures DGBP Pound Sterling/US Dollar Futures USD 120
FX Currency Futures DJPY Japanese Yen/US Dollar Futures USD 90
FX Currency Futures DINR Indian Rupee/USD Futures USD 2
FX Currency Futures DINRI Indian Rupee "Quanto" USD 2
FX Currency Futures DINRM Indian Rupee Mini /US Dollar Futures USD 2
FX Currency Futures DUSDRUB US Dollar/Russian Rouble Futures RUB 10,000
FX Currency Futures DUSDZAR US Dollar/South African Rand Futures ZAR 2,400
FX Currency Futures DUSDCNH US Dollar/Chinese Yuan CNH 690

Delivery Margin Rates

The Delivery Margin (DM) rates  detailed below are effective on and from: 15 August 2019

Contract Group Contract Code Contract Name Currency New DM Rate as of 14-October-2019 Current DM Rate as of 17-September-2019
FX Currency Futures DAUD Australian Dollar/US Dollar Futures USD 1,300 1,300
FX Currency Futures DCAD Canadian Dollar/US Dollar Futures USD 1,213 1,213
FX Currency Futures DCHF Swiss Franc/US Dollar Futures USD 1,905 1,386
FX Currency Futures DEUR Euro/US Dollar Futures USD 1,300 1,300
FX Currency Futures DGBP Pound Sterling/US Dollar Futures USD 1,820 1,905
FX Currency Futures DJPY Japanese Yen/US Dollar Futures USD 1,646 1,646
Precious Metals DGSG Spot Gold Shariah Compliant USD 2,370 2,440
IM INTERCOMM AND SPREAD (XLSX)