Inter-Commodity Rates for CME Index Futures Created by PBIS system
CME SPAN® Minimum Performance Bond Requirements
(SPAN refers to Standard Portfolio Analysis of Risk Performance bond system)
Back to Performance Bond Main
Revised 07/08/2008. An * before the rate type indicates the rate is new since the last revision on 06/12/2008
CME Index Futures -- Inter-Commodity Rates (Exchange Minimums)
Inter-Commodity Spreads+
    Ratio Initial Maintenance
CME E-mini FTSE/Xinhua China 25 Index (FXN) vs. Nasdaq-100 Index (ND)
Spread Credit Rate 1:2 55.00% 55.00%
CME E-mini FTSE/Xinhua China 25 Index (FXN) vs. NIKKEI 225 Stock Index (NK)
Spread Credit Rate 1:2 70.00% 70.00%
CME E-mini FTSE/Xinhua China 25 Index (FXN) vs. Russell 2000 Stock Index (RL)
Spread Credit Rate 5:1 60.00% 60.00%
CME E-mini FTSE/Xinhua China 25 Index (FXN) vs. S&P 500 Stock Index (SP)
Spread Credit Rate 2:1 70.00% 70.00%
E-Mini MSCI EAFE Index Futures (EFE) vs. CME E-mini FTSE/Xinhua China 25 Index (FXN)
Spread Credit Rate 1:1 75.00% 75.00%
E-Mini MSCI EAFE Index Futures (EFE) vs. E-Mini MSCI Emerging Markets Index (EMI)
Spread Credit Rate 1:2 70.00% 70.00%
E-Mini MSCI EAFE Index Futures (EFE) vs. S&P 500 Stock Index (SP)
Spread Credit Rate 4:1 75.00% 75.00%
E-Mini MSCI Emerging Markets Index (EMI) vs. CME E-mini FTSE/Xinhua China 25 Index (FXN)
Spread Credit Rate 3:1 65.00% 65.00%
E-Mini MSCI Emerging Markets Index (EMI) vs. Nasdaq-100 Index (ND)
Spread Credit Rate 3:1 75.00% 75.00%
E-Mini MSCI Emerging Markets Index (EMI) vs. S&P 500 Stock Index (SP)
Spread Credit Rate 5:1 75.00% 75.00%
E-Mini Nasdaq 100 (NQ) vs. E-Mini Nasdaq Composite Index (QN)
Spread Credit Rate 3:2 88.00% 88.00%
E-Mini Nasdaq 100 (NQ) vs. E-mini Russell 1000 (RS)
Spread Credit Rate 2:1 85.00% 85.00%
E-Mini Nasdaq Biotechnology Index Futures (BQ) vs. E-Mini Nasdaq 100 (NQ)
Spread Credit Rate 1:1 80.00% 80.00%
E-Mini Nasdaq Biotechnology Index Futures (BQ) vs. E-Mini Russell 2000 Index (ER)
Spread Credit Rate 2:1 65.00% 65.00%
E-Mini Nasdaq Biotechnology Index Futures (BQ) vs. E-Mini S&P 500 (ES)
Spread Credit Rate 2:1 80.00% 80.00%
E-mini Russell 1000 (RS) vs. Dow Jones (CBOT) (11)
Spread Credit Rate 2:1 70.00% 70.00%
E-Mini Russell 2000 Index (ER) vs. E-Mini Nasdaq 100 (NQ)
Spread Credit Rate 1:2 80.00% 80.00%
E-Mini Russell 2000 Index (ER) vs. E-mini Russell 1000 (RS)
Spread Credit Rate 1:1 80.00% 80.00%
E-Mini Russell 2000 Index (ER) vs. E-Mini S&P 500 (ES)
Spread Credit Rate 1:1 80.00% 80.00%
E-Mini Russell 2000 Index (ER) vs. E-mini S&P Midcap 400 (ME)
Spread Credit Rate 1:1 80.00% 80.00%
E-Mini S&P 500 (ES) vs. E-Mini Nasdaq 100 (NQ)
Spread Credit Rate 1:2 85.00% 85.00%
E-Mini S&P 500 (ES) vs. E-Mini Nasdaq Composite Index (QN)
Spread Credit Rate 1:1 90.00% 90.00%
E-Mini S&P 500 (ES) vs. E-mini Russell 1000 (RS)
Spread Credit Rate 1:1 95.00% 95.00%
E-Mini S&P 500 (ES) vs. E-mini S&P Midcap 400 (ME)
Spread Credit Rate 1:1 85.00% 85.00%
E-Mini S&P 500 (ES) vs. Mini-Dow Jones (CBOT) (YM)
Spread Credit Rate 5:6 95.00% 95.00%
E-Mini S&P 500 (ES) vs. S&P 500 Stock Index (SP) ###
Spread Credit Rate 5:1 100.00% 100.00%
E-mini S&P Midcap 400 (ME) vs. E-Mini Nasdaq 100 (NQ)
Spread Credit Rate 2:3 85.00% 85.00%
E-mini S&P Midcap 400 (ME) vs. E-mini Russell 1000 (RS)
Spread Credit Rate 1:1 87.00% 87.00%
Nasdaq-100 Index (ND) vs. Dow Jones (CBOT) (11)
Spread Credit Rate 2:3 85.00% 85.00%
Nasdaq-100 Index (ND) vs. E-Mini Nasdaq 100 (NQ) ###
Spread Credit Rate 1:5 100.00% 100.00%
Nasdaq-100 Index (ND) vs. Russell 2000 Stock Index (RL)
Spread Credit Rate 2:1 85.00% 85.00%
Nasdaq-100 Index (ND) vs. S&P 500 Stock Index (SP)
Spread Credit Rate 2:1 85.00% 85.00%
Nasdaq-100 Index (ND) vs. S&P 500/BARRA Growth Index (SG)
Spread Credit Rate 1:1 75.00% 75.00%
Nasdaq-100 Index (ND) vs. S&P 500/BARRA Value Index (SU)
Spread Credit Rate 1:1 85.00% 85.00%
Nasdaq-100 Index (ND) vs. S&P Small Cap 600 (SMP)
Spread Credit Rate 2:3 80.00% 80.00%
Nasdaq-100 Index (ND) vs. S&P Technology SPCTR Index (TS)
Spread Credit Rate 1:5 80.00% 80.00%
NIKKEI 225 Stock Index (NK) vs. Dow Jones (CBOT) (11)
Spread Credit Rate 4:3 75.00% 75.00%
NIKKEI 225 Stock Index (NK) vs. E-Mini S&P Asia 50 Stock Index (PA)
Spread Credit Rate 3:4 50.00% 50.00%
NIKKEI 225 Stock Index (NK) vs. S&P 500 Stock Index (SP)
Spread Credit Rate 5:1 80.00% 80.00%
NIKKEI 225 Stock Index (NK) vs. S&P Small Cap 600 (SMP)
Spread Credit Rate 5:4 65.00% 65.00%
Russell 2000 Stock Index (RL) vs. Dow Jones (CBOT) (11)
Spread Credit Rate 1:3 80.00% 80.00%
Russell 2000 Stock Index (RL) vs. S&P 500 Stock Index (SP)
Spread Credit Rate 1:1 80.00% 80.00%
Russell 2000 Stock Index (RL) vs. S&P 500/BARRA Growth Index (SG)
Spread Credit Rate 1:2 75.00% 75.00%
Russell 2000 Stock Index (RL) vs. S&P 500/BARRA Value Index (SU)
Spread Credit Rate 1:2 80.00% 80.00%
Russell 2000 Stock Index (RL) vs. S&P Small Cap 600 (SMP)
Spread Credit Rate 1:2 90.00% 90.00%
S& P Financial SPCTR Index (FS) vs. S&P 500 Stock Index (SP)
Spread Credit Rate 5:1 80.00% 80.00%
S&P 500 Stock Index (SP) vs. Dow Jones (CBOT) (11)
Spread Credit Rate 1:3 85.00% 85.00%
S&P 500 Stock Index (SP) vs. S&P 500/BARRA Value Index (SU)
Spread Credit Rate 1:2 90.00% 90.00%
S&P 500 Stock Index (SP) vs. S&P Technology SPCTR Index (TS)
Spread Credit Rate 1:10 80.00% 80.00%
S&P 500/BARRA Growth Index (SG) vs. Dow Jones (CBOT) (11)
Spread Credit Rate 2:3 85.00% 85.00%
S&P 500/BARRA Growth Index (SG) vs. S&P 500 Stock Index (SP)
Spread Credit Rate 2:1 90.00% 90.00%
S&P 500/BARRA Growth Index (SG) vs. S&P 500 Stock Index (SP) vs. S&P 500/BARRA Value Index (SU)
Spread Credit Rate 1:-1:1 90.00% 90.00%
S&P 500/BARRA Growth Index (SG) vs. S&P 500/BARRA Value Index (SU)
Spread Credit Rate 1:1 85.00% 85.00%
S&P 500/BARRA Value Index (SU) vs. Dow Jones (CBOT) (11)
Spread Credit Rate 2:3 80.00% 80.00%
S&P Midcap 400 (MD) vs. Dow Jones (CBOT) (11)
Spread Credit Rate 1:3 85.00% 85.00%
S&P Midcap 400 (MD) vs. Nasdaq-100 Index (ND)
Spread Credit Rate 2:3 75.00% 75.00%
S&P Midcap 400 (MD) vs. Russell 2000 Stock Index (RL)
Spread Credit Rate 1:1 90.00% 90.00%
S&P Midcap 400 (MD) vs. S&P 500 Stock Index (SP)
Spread Credit Rate 1:1 80.00% 80.00%
S&P Midcap 400 (MD) vs. S&P 500/BARRA Growth Index (SG) ##
Spread Credit Rate 1:2 75.00% 75.00%
S&P Midcap 400 (MD) vs. S&P 500/BARRA Value Index (SU) ##
Spread Credit Rate 1:2 80.00% 80.00%
S&P Midcap 400 (MD) vs. S&P Small Cap 600 (SMP)
Spread Credit Rate 1:2 80.00% 80.00%
S&P Small Cap 600 (SMP) vs. S&P 500 Stock Index (SP)
Spread Credit Rate 2:1 80.00% 80.00%
Yen-based Nikkei (N1) vs. E-Mini S&P Asia 50 Stock Index (PA)
Spread Credit Rate 1:1 60.00% 60.00%
Yen-based Nikkei (N1) vs. NIKKEI 225 Stock Index (NK)
Spread Credit Rate 1:1 99.00% 99.00%
Yen-based Nikkei (N1) vs. S&P 500 Stock Index (SP)
Spread Credit Rate 5:1 70.00% 70.00%
Yen-based Nikkei (N1) vs. S&P Small Cap 600 (SMP)
Spread Credit Rate 5:1 40.00% 40.00%