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 January 2020

 

Contract GroupContract CodeContract NameCurrencyNew IM Rate as of 14-Jan-2020Current IM Rate as of 12-Dec-2019
FX Currency FuturesDAUDAustralian Dollar/US Dollar FuturesUSD700700
FX Currency FuturesDCADCanadian Dollar/US Dollar FuturesUSD400500
FX Currency FuturesDCHFSwiss Franc/US Dollar FuturesUSD800800
FX Currency FuturesDEUREuro/US Dollar FuturesUSD750750
FX Currency FuturesDGBPPound Sterling/US Dollar FuturesUSD1,2501,300
FX Currency FuturesDJPYJapanese Yen/US Dollar FuturesUSD950950
FX Currency FuturesDINRIIndian Rupee "Quanto"USD125125
FX Currency FuturesDINRMIndian Rupee Mini /US Dollar FuturesUSD5050
FX Currency FuturesDUSDZARUS Dollar/South African Rand FuturesZAR23,00023,000
FX Currency FuturesDUSDCNHUS Dollar/Chinese YuanCNH14,25014,250
FX Currency OptionsDINRIndian Rupee/USD Futures/Options*USD500500
Precious MetalsDGGold FuturesUSD1,7001,700
Precious MetalsDGSGGold FuturesUSD1,7001,700
Precious MetalsDIGIndia Gold "Quanto"USD1,4001,350
Precious MetalsDSSilver FuturesUSD900900
EnergyDWTIWTI Crude Oil FuturesUSD3,4004,100
EnergyDWTIMMini WTI Crude Oil FuturesUSD340410
EnergyDBRCBrent Crude Oil FuturesUSD3,5004,500
Base MetalsDCUCopper FuturesUSD950900
US Equity FuturesDAAPLAPPLEUSD1,1001,000
US Equity FuturesDFBFACEBOOKUSD1,0501,000
US Equity FuturesDGOOGLGOOGLEUSD500650
US Equity FuturesDJPMJP MORGANUSD1,4001,350
US Equity FuturesDMSFTMICROSOFTUSD1,2001,050
Indian Equity FuturesDACCACC Ltd.USD1,2001,200
Indian Equity FuturesDADANIPORTSAdani Ports and Special Economic Zone Ltd.USD650650
Indian Equity FuturesDAMBUJACEMAmbuja Cements Ltd.USD800800
Indian Equity FuturesDASIANPAINTAsian Paints Ltd.USD1,3501,250
Indian Equity FuturesDAUROPHARMAAurobindo Pharma Ltd.USD900900
Indian Equity FuturesDAXSBAXIS BANKUSD1,1501,150
Indian Equity FuturesDBAJAJAUTOBajaj Auto Ltd.USD500500
Indian Equity FuturesDBAJFINANCEBajaj Finance LtdUSD3,2003,100
Indian Equity FuturesDBANKBARODABank of BarodaUSD800950
Indian Equity FuturesDBPCLBharat Petroleum Corporation Ltd.USD800800
Indian Equity FuturesDBHARTIARTLBharti Airtel Ltd.USD700700
Indian Equity FuturesDINFRATELBharti Infratel Ltd.USD400650
Indian Equity FuturesDBOSCHLTDBosch Ltd.USD2,3502,500
Indian Equity FuturesDCIPLACipla Ltd.USD750850
Indian Equity FuturesDCOALINDIACoal India Ltd.USD8001,000
Indian Equity FuturesDDRREDDYDr. Reddy's Laboratories Ltd.USD450450
Indian Equity FuturesDEICHERMOTEicher Motors Ltd.USD3,5003,500
Indian Equity FuturesDGAILGAIL (India) Ltd.USD250550
Indian Equity FuturesDHCLTECHHCL Technologies Ltd.USD1,6001,800
Indian Equity FuturesDHDFCBHDFC BANKUSD1,0001,000
Indian Equity FuturesDHEROMOTOCOHero MotoCorp Ltd.USD450500
Indian Equity FuturesDHINDALCOHindalco Industries Ltd.USD850800
Indian Equity FuturesDHINDPETROHindustan Petroleum Corporation LimitedUSD450450
Indian Equity FuturesDHINDUNILVRHindustan Unilever Ltd.USD1,5501,550
Indian Equity FuturesDHDFCHousing Development Finance Corporation Ltd.USD1,8501,750
Indian Equity FuturesDITCI T C Ltd.USD1,0001,150
Indian Equity FuturesDICICIBCICICI BANKUSD2,0502,000
Indian Equity FuturesDIBULHSGFINIndiabulls Housing Finance Ltd.USD800800
Indian Equity FuturesDIOCIndian Oil Corporation Ltd.USD550650
Indian Equity FuturesDINDUSINDBKIndusInd Bank Ltd.USD1,1501,350
Indian Equity FuturesDINFOINFOSYSUSD1,2501,250
Indian Equity FuturesDKOTAKBANKKotak Mahindra Bank Ltd.USD1,3001,250
Indian Equity FuturesDLTL&TUSD1,2001,200
Indian Equity FuturesDLUPINLupin Ltd.USD600700
Indian Equity FuturesDM&MMahindra & Mahindra Ltd.USD850850
Indian Equity FuturesDMSILMARUTI SUZUKIUSD1,1501,100
Indian Equity FuturesDNTPCNTPC Ltd.USD9001,050
Indian Equity FuturesDONGCOil & Natural Gas Corporation Ltd.USD500650
Indian Equity FuturesDPOWERGRIDPower Grid Corporation of India Ltd.USD800800
Indian Equity FuturesDRILRELIANCEUSD1,2001,200
Indian Equity FuturesDSBINSBIUSD1,3501,350
Indian Equity FuturesDSUNPHARMASun Pharmaceutical Industries Ltd.USD750750
Indian Equity FuturesDTTMTTATA MOTORSUSD300250
Indian Equity FuturesDTATAMTRDVRTata Motors Ltd DVRUSD300450
Indian Equity FuturesDTATAPOWERTata Power Co. Ltd.USD500600
Indian Equity FuturesDTATASTEELTata Steel Ltd.USD750750
Indian Equity FuturesDTCSTCSUSD1,6501,550
Indian Equity FuturesDTECHMTech Mahindra Ltd.USD1,1501,150
Indian Equity FuturesDULTRACEMCOUltraTech Cement Ltd.USD750750
Indian Equity FuturesDUPLUPL LtdUSD950950
Indian Equity FuturesDVEDLVedanta Ltd.USD600700
Indian Equity FuturesDWIPROWipro Ltd.USD950900
Indian Equity FuturesDYESBANKYes Bank Ltd.USD250450
Indian Equity FuturesDZEELZee Entertainment Enterprises Ltd.USD450600

Initial Margin Credits

The following inter-commodity spread margin credits are effective on and from: 14 January 2020

PriorityCredit Rate % as of 14-January-2020Credit Rate % as of 12-December-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
75555Gold FuturesDGSilver FuturesDSLong-Short12
85050Gold FuturesDGIndia Gold QuantoDIGLong-Short23

Calendar Spread Charge

The following Intra-commodity Calendar Spread charges are effective on and from: 14 January 2020

Contract Group Contract Code Contract Name Currency Calendar Spread Charge as of 14-Jan-2020
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 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: 14 January 2020

Contract Group Contract Code Contract Name Currency New DM Rate as of 14-January-2020 Current DM Rate as of 12-December-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 690 1,213
FX Currency Futures DCHF Swiss Franc/US Dollar Futures USD 1,385 1,385
FX Currency Futures DEUR Euro/US Dollar Futures USD 1,300 1,300
FX Currency Futures DGBP Pound Sterling/US Dollar Futures USD 2,165 2,250
FX Currency Futures DJPY Japanese Yen/US Dollar Futures USD 1,646 1,646
Precious Metals DGSG Spot Gold Shariah Compliant USD 2,405 2,405
IM INTERCOMM AND SPREAD (XLSX)