## Parameters

For the purpose of SPAN Margin, NSE Clearing 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 |