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Parameters

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

Currency PairsPrice scan rangeMinimum margins
USDINRThree & a half standard deviations (3.5 sigma)1.00%
EURINRThree & a half standard deviations (3.5 sigma)2.00%
GBPINRThree & a half standard deviations (3.5 sigma)2.00%
JPYINRThree & a half standard deviations (3.5 sigma)2.30%

Calendar spread margin:

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:

USDINREURINRGBPINRJPYINR
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