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: 12 February 2024

 

Contract GroupContract CodeContract NameCurrencyNew IM Rate as of 12-February-2024IM Rate as of 11-January-2024
FX Currency FuturesDAUDAustralian Dollar/US Dollar FuturesUSD850850
FX Currency FuturesDCADCanadian Dollar/US Dollar FuturesUSD750750
FX Currency FuturesDCADSwiss Franc/US Dollar FuturesUSD7501,100
FX Currency FuturesDEUREuro/US Dollar FuturesUSD950950
FX Currency FuturesDGBPPound Sterling/US Dollar FuturesUSD1,2501,250
FX Currency FuturesDJPYJapanese Yen/US Dollar FuturesUSD900900
FX Currency FuturesDINRIIndian Rupee "Quanto"USD150150
FX Currency FuturesDINRMIndian Rupee Mini /US Dollar FuturesUSD4545
FX Currency FuturesDINRWIndian Rupee/USD Weekly FuturesUSD450450
FX Currency FuturesDILSIsraeli Shekel FuturesUSD450450
FX Currency FuturesDPKRPakistani Rupee/USD FuturesUSD350350
FX Currency FuturesDUSDZARUS Dollar/South African Rand FuturesZAR37,15036,650
FX Currency FuturesDUSDCNHUS Dollar/Chinese YuanCNH21,45021,450
FX Currency OptionsDINRIndian Rupee/USD Futures/Options*USD450450
Precious MetalsDGGold FuturesUSD2,3502,350
Precious MetalsDGSGShariah Compliant Spot GoldUSD2,3502,350
Precious MetalsDGFCDaily Gold FuturesUSD28,75028,750
Precious MetalsDIGIndia Gold "Quanto"USD2,2502,250
Precious MetalsDSSilver FuturesUSD1,8001,800
Precious MetalsDPGPhysical Gold FuturesUSD57,80057,800
Precious MetalsDSGDaily Spot Gold FuturesUSD57,80057,800
Precious MetalsDSSCShariah Compliant Spot SilverUSD1,6001,600
EnergyDWTIWTI Crude Oil FuturesUSD8,3508,000
EnergyDWTIMMini WTI Crude Oil FuturesUSD835800
EnergyDBRCBrent Crude Oil FuturesUSD8,1007,750
Base MetalsDCUCopper FuturesUSD2,1002,100
US Equity FuturesDAAPLAPPLEUSD1,3001,300
US Equity FuturesDFBFACEBOOKUSD3,0502,500
US Equity FuturesDGOOGLGOOGLEUSD100100
US Equity FuturesDJPMJP MORGANUSD2,6502,250
US Equity FuturesDMSFTMICROSOFTUSD6,2005,700
Indian Equity FuturesDADANIPORTSAdani Ports and Special Economic Zone Ltd.USD2,4502,100
Indian Equity FuturesDASIANPAINTAsian Paints Ltd.USD3,2003,200
Indian Equity FuturesDAXSBAxis BankUSD2,1502,150
Indian Equity FuturesDBAJAJAUTOBajaj Auto Ltd.USD1,5501,250
Indian Equity FuturesDBAJFINANCEBajaj Finance LtdUSD7,4007,400
Indian Equity FuturesDBAJAJFINSVBajaj Finserv LtdUSD300300
Indian Equity FuturesDBPCLBharat Petroleum Corporation Ltd.USD900900
Indian Equity FuturesDBHARTIARTLBharti Airtel Ltd.USD2,4001,900
Indian Equity FuturesDBRITANNIABritannia Industries LtdUSD950950
Indian Equity FuturesDCIPLACipla Ltd.USD2,7502,400
Indian Equity FuturesDCOALINDIACoal India Ltd.USD2,0501,750
Indian Equity FuturesDDIVISLABDivis Laboratories LtdUSD750750
Indian Equity FuturesDDRREDDYDr. Reddy's Laboratories Ltd.USD1,1001,100
Indian Equity FuturesDEICHERMOTEicher Motors Ltd.USD750750
Indian Equity FuturesDGRASIMGrasim Industries LtdUSD4,3004,300
Indian Equity FuturesDHCLTECHHCL Technologies Ltd.USD3,2002,700
Indian Equity FuturesDHDFCBHDFC BANKUSD1,5501,550
Indian Equity FuturesDHEROMOTOCOHero MotoCorp Ltd.USD800800
Indian Equity FuturesDHINDALCOHindalco Industries Ltd.USD3,1003,100
Indian Equity FuturesDHINDUNILVRHindustan Unilever Ltd.USD2,5002,500
Indian Equity FuturesDITCI T C Ltd.USD2,2502,250
Indian Equity FuturesDICICIBCICICI BANKUSD5,2004,800
Indian Equity FuturesDINDUSINDBKIndusInd Bank Ltd.USD1,4001,400
Indian Equity FuturesDINFOInfosysUSD3,3502,900
Indian Equity FuturesDJSWSTEELJSW Steel LimitedUSD4,4504,450
Indian Equity FuturesDKOTAKBANKKotak Mahindra Bank Ltd.USD1,7501,750
Indian Equity FuturesDLTL&TUSD3,5503,550
Indian Equity FuturesDMNMMahindra & Mahindra Ltd.USD3,5003,200
Indian Equity FuturesDMSILMaruti SuzukiUSD2,1502,150
Indian Equity FuturesDNESTLEINDNestle India LimitedUSD5355,350
Indian Equity FuturesDNTPCNTPC Ltd.USD3,1503,150
Indian Equity FuturesDONGCOil & Natural Gas Corporation Ltd.USD1,3001,000
Indian Equity FuturesDPOWERGRIDPower Grid Corporation of India Ltd.USD1,3501,050
Indian Equity FuturesDRILRelianceUSD2,9002,400
Indian Equity FuturesDSBINSBIUSD3,2502,950
Indian Equity FuturesDSBILIFESBI Life Insurance Company LtdUSD2,9002,900
Indian Equity FuturesDSUNPHARMASun Pharmaceutical Industries Ltd.USD2,8502,350
Indian Equity FuturesDTTMTTata Motors LtdUSD1,8001,450
Indian Equity FuturesDTATASTEELTata Steel Ltd.USD250250
Indian Equity FuturesDTCSTCSUSD3,8503,550
Indian Equity FuturesDTECHMTech Mahindra Ltd.USD2,4502,450
Indian Equity FuturesDTITANTitan Company LimitedUSD3,5003,500
Indian Equity FuturesDULTRACEMCOUltraTech Cement Ltd.USD2,1502,150
Indian Equity FuturesDUPLUPL LtdUSD1,2501,250
Indian Equity FuturesDWIPROWipro Ltd.USD2,4002,400

Initial Margin Credits

The following inter-commodity spread margin credits are effective on and from: 12 February 2024

PriorityCredit Rate % as of 12-Feb-2024Credit Rate % as of 10-Oct-2022Leg 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

The following Intra-commodity Calendar Spread charges are effective on and from: 12 February 2024

Contract Group Contract Code Contract Name Currency Calendar Spread Charge as of 12-Feb-2024
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 DINRW Indian Rupee/USD Weekly 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: 12 February 2024

Contract Group Contract Code Contract Name Currency New DM Rate as of 12-Feb-2024 Current DM Rate as of 11-Jan-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 DCHF Swiss Franc/US Dollar Futures USD 1,900 1,900
FX Currency Futures DEUR Euro/US Dollar Futures USD 1,650 1,650
FX Currency Futures DGBP Pound Sterling/US Dollar Futures USD 2,150 2,150
FX Currency Futures DJPY Japanese Yen/US Dollar Futures USD 1,550 1,550
Precious Metals DGSG Spot Gold Shariah Compliant USD 3,300 3,300
Precious Metals DGFC Daily Gold Futures USD 40,650 40,650
Precious Metals DPG Physical Gold Futures USD 81,750 81,750
Precious Metals DSG Daily Spot Gold Futures USD 81,750 81,750
Precious Metals DSSC Spot Silver Shariah Compliant USD 2,250 2,250