Parameters

For the purpose of SPAN Margin, NSCCL specifies various parameters from time to time:

Currency Pairs Price scan range Minimum margins
USDINR Three & a half standard deviations (3.5 sigma) 1.00%
EURINR Three & a half standard deviations (3.5 sigma) 2.00%
GBPINR Three & a half standard deviations (3.5 sigma) 2.00%
JPYINR Three & a half standard deviations (3.5 sigma) 2.30%

A currency futures position in one expiry month which is hedged by an offsetting position in a different expiry month would be treated as a calendar spread. The benefit for a calendar spread would continue till expiry of the near month contract. The calendar spread margin shall be as follows:

USDINR EURINR GBPINR JPYINR
Rs.400 for spread of
1 month

Rs.500 for spread of
2 months

Rs.800 for spread of
3 months

Rs.1000 for spread of
4 months or more
Rs.700 for spread of
1 month

Rs.1000 for spread of
2 months

Rs.1500 for spread of
3 months or more
Rs.1500 for spread of
1 month

Rs.1800 for spread of
2 months

Rs.2000 for spread of
3 months or more
Rs.600 for spread of
1 month

Rs.1000 for spread of
2 months

Rs.1500 for spread of
3 months or more

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