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 May 2023

 

Contract GroupContract CodeContract NameCurrencyNew IM Rate as of 11-May-2023New IM Rate as of 13-April-2023
FX Currency FuturesDAUDAustralian Dollar/US Dollar FuturesUSD850850
FX Currency FuturesDCADCanadian Dollar/US Dollar FuturesUSD750750
FX Currency FuturesDCHFSwiss Franc/US Dollar FuturesUSD1,0001,100
FX Currency FuturesDEUREuro/US Dollar FuturesUSD950950
FX Currency FuturesDGBPPound Sterling/US Dollar FuturesUSD1,2001,200
FX Currency FuturesDJPYJapanese Yen/US Dollar FuturesUSD950950
FX Currency FuturesDINRIIndian Rupee "Quanto"USD170170
FX Currency FuturesDINRMIndian Rupee Mini /US Dollar FuturesUSD5050
FX Currency FuturesDINRWIndian Rupee/USD Weekly FuturesUSD500500
FX Currency FuturesDILSIsraeli Shekel FuturesUSD600800
FX Currency FuturesDPKRPakistani Rupee/USD FuturesUSD5001,000
FX Currency FuturesDUSDZARUS Dollar/South African Rand FuturesZAR35,60035,600
FX Currency FuturesDUSDCNHUS Dollar/Chinese YuanCNHCNY 20,60020,600
FX Currency OptionsDINRIndian Rupee/USD Futures/Options*USD500500
Precious MetalsDGGold FuturesUSD2,2002,200
Precious MetalsDGSGShariah Compliant Spot GoldUSD2,2002,200
Precious MetalsDGFCDaily Gold FuturesUSD27,90027,600
Precious MetalsDIGIndia Gold "Quanto"USD2,1002,000
Precious MetalsDSSilver FuturesUSD1,7001,700
Precious MetalsDPGPhysical Gold FuturesUSD55,50055,000
Precious MetalsDSGDaily Spot Gold FuturesUSD55,50055,000
EnergyDWTIWTI Crude Oil FuturesUSD8,3508,350
EnergyDWTIMMini WTI Crude Oil FuturesUSD835835
EnergyDBRCBrent Crude Oil FuturesUSD8,0008,000
Base MetalsDCUCopper FuturesUSD2,3502,350
US Equity FuturesDAAPLAPPLEUSD1,2501,250
US Equity FuturesDFBFACEBOOKUSD1,6001,600
US Equity FuturesDGOOGLGOOGLEUSD7575
US Equity FuturesDJPMJP MORGANUSD1,9001,900
US Equity FuturesDMSFTMICROSOFTUSD4,5004,200
Indian Equity FuturesDADANIPORTSAdani Ports and Special Economic Zone Ltd.USD1,3001,300
Indian Equity FuturesDASIANPAINTAsian Paints Ltd.USD2,9002,800
Indian Equity FuturesDAXSBAxis BankUSD1,7501,750
Indian Equity FuturesDBAJAJAUTOBajaj Auto Ltd.USD900800
Indian Equity FuturesDBAJFINANCEBajaj Finance LtdUSD6,0005,700
Indian Equity FuturesDBAJAJFINSVBajaj Finserv LtdUSD300300
Indian Equity FuturesDBPCLBharat Petroleum Corporation Ltd.USD700700
Indian Equity FuturesDBHARTIARTLBharti Airtel Ltd.USD1,5001,500
Indian Equity FuturesDBRITANNIABritannia Industries LtdUSD900900
Indian Equity FuturesDCIPLACipla Ltd.USD1,8001,800
Indian Equity FuturesDCOALINDIACoal India Ltd.USD1,1001,100
Indian Equity FuturesDDIVISLABDivis Laboratories LtdUSD600600
Indian Equity FuturesDDRREDDYDr. Reddy's Laboratories Ltd.USD900900
Indian Equity FuturesDEICHERMOTEicher Motors Ltd.USD650650
Indian Equity FuturesDGAILGAIL (India) Ltd.USD250250
Indian Equity FuturesDGRASIMGrasim Industries LtdUSD3,4003,200
Indian Equity FuturesDHCLTECHHCL Technologies Ltd.USD2,2002,200
Indian Equity FuturesDHDFCHDFCUSD2,7502,650
Indian Equity FuturesDHDFCBHDFC BANKUSD1,6501,650
Indian Equity FuturesDHEROMOTOCOHero MotoCorp Ltd.USD500500
Indian Equity FuturesDHINDALCOHindalco Industries Ltd.USD2,2002,000
Indian Equity FuturesDHINDUNILVRHindustan Unilever Ltd.USD2,5002,600
Indian Equity FuturesDITCI T C Ltd.USD2,0001,900
Indian Equity FuturesDICICIBCICICI BANKUSD4,6004,500
Indian Equity FuturesDIOCIndian Oil Corporation Ltd.USD400400
Indian Equity FuturesDINDUSINDBKIndusInd Bank Ltd.USD1,1001,100
Indian Equity FuturesDINFOInfosysUSD2,9002,900
Indian Equity FuturesDJSWSTEELJSW Steel LimitedUSD3,6003,450
Indian Equity FuturesDKOTAKBANKKotak Mahindra Bank Ltd.USD1,9001,750
Indian Equity FuturesDLTL&TUSD2,3002,100
Indian Equity FuturesDMNMMahindra & Mahindra Ltd.USD2,4502,350
Indian Equity FuturesDMSILMaruti SuzukiUSD1,7001,700
Indian Equity FuturesDNESTLEINDNestle India LimitedUSD4,2003,950
Indian Equity FuturesDNTPCNTPC Ltd.USD1,7501,750
Indian Equity FuturesDONGCOil & Natural Gas Corporation Ltd.USD750750
Indian Equity FuturesDPOWERGRIDPower Grid Corporation of India Ltd.USD1,1501,150
Indian Equity FuturesDRILRelianceUSD2,4502,350
Indian Equity FuturesDSBINSBIUSD2,8002,600
Indian Equity FuturesDSBILIFESBI Life Insurance Company LtdUSD2,2002,200
Indian Equity FuturesDSUNPHARMASun Pharmaceutical Industries Ltd.USD2,0002,000
Indian Equity FuturesDTTMTTata Motors LtdUSD950850
Indian Equity FuturesDTATASTEELTata Steel Ltd.USD250250
Indian Equity FuturesDTCSTCSUSD3,2503,250
Indian Equity FuturesDTECHMTech Mahindra Ltd.USD2,1002,200
Indian Equity FuturesDTITANTitan Company LimitedUSD2,6502,550
Indian Equity FuturesDULTRACEMCOUltraTech Cement Ltd.USD1,5001,500
Indian Equity FuturesDUPLUPL LtdUSD1,4501,450
Indian Equity FuturesDVEDLVedanta Ltd.USD1,4001,400
Indian Equity FuturesDWIPROWipro Ltd.USD1,9501,850
Indian Equity FuturesDYESBANKYes Bank Ltd.USD7575

Initial Margin Credits

The following inter-commodity spread margin credits are effective on and from: 10 October 2022

PriorityCredit Rate % as of 10-Oct-2022Credit Rate % as of 23-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-Long13
49595Indian Rupee MiniDINRMIndian Rupee QuantoDINRILong-Long103
59095Australian DollarDAUDAUD RollingSPFAUDLong-Short15
68590Pound SterlingDGBPGBP RollingSPFGBPLong-Short15
78080EuroDEUREUR RollingSPFEURLong-Short15
87575Indian Rupee WeeklyDINRWIndian RupeeDINRLong-Short11
97575Indian Rupee WeeklyDINRWIndian Rupee MiniDINRMLong-Short110
107575Indian Rupee WeeklyDINRWIndian Rupee QuantoDINRILong-Long13
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: 12 January 2023

Contract Group Contract Code Contract Name Currency Calendar Spread Charge as of 12-Jan-2023
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 May 2023

Contract Group Contract Code Contract Name Currency New DM Rate as of 11-May-2023 Current DM Rate as of 13-Apr-2023
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 DCHF Swiss Franc/US Dollar Futures USD 1,750 1,900
FX Currency Futures DEUR Euro/US Dollar Futures USD 1,650 1,645
FX Currency Futures DGBP Pound Sterling/US Dollar Futures USD 2,100 2,100
FX Currency Futures DJPY Japanese Yen/US Dollar Futures USD 1,650 1,650
Precious Metals DGSG Spot Gold Shariah Compliant USD 3,100 3,100
Precious Metals DGFC Daily Gold Futures USD 39,450 39,050
Precious Metals DPG Physical Gold USD 78,500 77,800
Precious Metals DSG Spot Gold USD 78,500 77,800