Inter-Commodity Rates for CME Interest Rate 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 08/25/2008. An * before the rate type indicates the rate is new since the last revision on 08/18/2008
CME Interest Rate Futures -- Inter-Commodity Rates (Exchange Minimums)
Inter-Commodity Spreads+
    Ratio Initial Maintenance
10 Year Swap (CME) (S0) vs. 10 Year Swap (CBOT) (66)
Spread Credit Rate 1:1 75.00% 75.00%
10 Year Swap (CME) (S0) vs. 5 Year Swap (CBOT) (NG)
Spread Credit Rate 1:2 80.00% 80.00%
2 Year Swap (CME) (S2) vs. 10 Year Swap (CBOT) (66)
Spread Credit Rate 1:1 60.00% 60.00%
2 Year Swap (CME) (S2) vs. 5 Year Swap (CBOT) (NG)
Spread Credit Rate 2:5 70.00% 70.00%
5 Year Swap (CME) (S5) vs. 10 Year Swap (CBOT) (66)
Spread Credit Rate 1:1 65.00% 65.00%
5 Year Swap (CME) (S5) vs. 5 Year Swap (CBOT) (NG)
Spread Credit Rate 1:2 80.00% 80.00%
CME Lehman Brothers US Aggregate Index (LBA) vs. 10 Year Swap (CBOT) (66)
Spread Credit Rate 1:1 60.00% 60.00%
CME Lehman Brothers US Aggregate Index (LBA) vs. 10 Year Treasury Note (21)
Spread Credit Rate 1:1 60.00% 60.00%
CME Lehman Brothers US Aggregate Index (LBA) vs. 2 Year Treasury Note (26)
Spread Credit Rate 1:1 70.00% 70.00%
CME Lehman Brothers US Aggregate Index (LBA) vs. 30 Year Swap (CBOT) (I3)
Spread Credit Rate 2:1 60.00% 60.00%
CME Lehman Brothers US Aggregate Index (LBA) vs. 5 Year Swap (CBOT) (NG)
Spread Credit Rate 1:1 60.00% 60.00%
CME Lehman Brothers US Aggregate Index (LBA) vs. 5 Year Treasury Note (25)
Spread Credit Rate 1:1 60.00% 60.00%
CME Lehman Brothers US Aggregate Index (LBA) vs. US Long Bond (17)
Spread Credit Rate 2:1 60.00% 60.00%
CPI (CU) vs. CME Eurozone HICP Inflation Index (HC)
Spread Credit Rate 1:1 50.00% 50.00%
CPI (CU) vs. Eurodollar (ED)
Spread Credit Rate 1:1 50.00% 50.00%
E-Mini 5-Yr Eurodollar Bundle (E5B) vs. Eurodollar (ED) Tier 1
Spread Credit Rate 1:2 85.00% 85.00%
E-Mini 5-Yr Eurodollar Bundle (E5B) vs. Eurodollar (ED) Tier 2-11
Spread Credit Rate 1:2 90.00% 90.00%
Eurodollar (ED) vs. 10 Year Swap (CBOT) (66) Tier 1
Spread Credit Rate 7:2 70.00% 70.00%
Eurodollar (ED) vs. 10 Year Swap (CBOT) (66) Tier 2-Subsequent
Spread Credit Rate 7:2 70.00% 70.00%
Eurodollar (ED) vs. 10 Year Swap (CME) (S0)
Spread Credit Rate 4:1 65.00% 65.00%
Eurodollar (ED) vs. 10 Year Treasury Note (21) Tier 1
Spread Credit Rate 5:2 70.00% 70.00%
Eurodollar (ED) vs. 10 Year Treasury Note (21) Tier 2
Spread Credit Rate 5:2 70.00% 70.00%
Eurodollar (ED) vs. 10 Year Treasury Note (21) Tiers 3-11
Spread Credit Rate 5:2 70.00% 70.00%
Eurodollar (ED) vs. 13 Week U.S.T-Bill (TB)
Spread Credit Rate 1:1 87.00% 87.00%
Eurodollar (ED) vs. 13 Week U.S.T-Bill (TB) (TANDEM)
Spread Credit Rate 1:1 70.00% 70.00%
Eurodollar (ED) vs. 2 Year Swap (CME) (S2)
Spread Credit Rate 4:1 65.00% 65.00%
Eurodollar (ED) vs. 2 Year Treasury Note (26) Tier 1
Spread Credit Rate 3:2 65.00% 65.00%
Eurodollar (ED) vs. 2 Year Treasury Note (26) Tier 2
Spread Credit Rate 3:2 65.00% 65.00%
Eurodollar (ED) vs. 2 Year Treasury Note (26) Tiers 3-11
Spread Credit Rate 3:2 65.00% 65.00%
Eurodollar (ED) vs. 5 Year Swap (CBOT) (NG) Tier 1
Spread Credit Rate 2:1 70.00% 70.00%
Eurodollar (ED) vs. 5 Year Swap (CBOT) (NG) Tier 2
Spread Credit Rate 2:1 75.00% 75.00%
Eurodollar (ED) vs. 5 Year Swap (CBOT) (NG) Tiers 3-11
Spread Credit Rate 2:1 80.00% 80.00%
Eurodollar (ED) vs. 5 Year Swap (CME) (S5)
Spread Credit Rate 4:1 70.00% 70.00%
Eurodollar (ED) vs. 5 Year Treasury Note (25) Tier 1
Spread Credit Rate 2:1 70.00% 70.00%
Eurodollar (ED) vs. 5 Year Treasury Note (25) Tiers 2-11
Spread Credit Rate 2:1 75.00% 75.00%
Eurodollar (ED) vs. CME Eurozone HICP Inflation Index (HC)
Spread Credit Rate 1:1 65.00% 65.00%
Eurodollar (ED) vs. CME Lehman Brothers US Aggregate Index (LBA)
Spread Credit Rate 2:1 65.00% 65.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T1 [mos. 1-4] vs EDD T1 [mos. 1-4]
Spread Credit Rate 1:1 93.00% 93.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T10 [mos. 37-40] vs EDD T1 [mos. 1-4]
Spread Credit Rate 1:1 82.00% 82.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T10 [mos. 37-40] vs EDD T2 [mos. 5-6]
Spread Credit Rate 1:1 84.00% 84.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T11 [mos. 40-44] vs EDD T1 [mos. 1-4]
Spread Credit Rate 1:1 82.00% 82.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T11 [mos. 41-44] vs EDD T2 [mos. 5-6]
Spread Credit Rate 1:1 84.00% 84.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T2 [mos. 5-8] vs EDD T1 [mos. 1-4]
Spread Credit Rate 1:1 86.00% 86.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T2 [mos. 5-8] vs EDD T2 [mos. 5-6]
Spread Credit Rate 1:1 93.00% 93.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T3 [mos. 9-12] vs EDD T1 [mos. 1-4]
Spread Credit Rate 1:1 86.00% 86.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T3 [mos. 9-12] vs EDD T2 [mos. 5-6]
Spread Credit Rate 1:1 91.00% 91.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T4 [mos. 13-16] vs EDD T1 [mos. 1-4]
Spread Credit Rate 1:1 84.00% 84.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T4 [mos. 13-16] vs EDD T2 [mos. 5-6]
Spread Credit Rate 1:1 91.00% 91.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T5 [mos. 17-20] vs EDD T1 [mos. 1-4]
Spread Credit Rate 1:1 84.00% 84.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T5 [mos. 17-20] vs EDD T2 [mos. 5-6]
Spread Credit Rate 1:1 89.00% 89.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T6 [mos. 21-24] vs EDD T1 [mos. 1-4]
Spread Credit Rate 1:1 84.00% 84.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T6 [mos. 21-24] vs EDD T2 [mos.5-6]
Spread Credit Rate 1:1 88.00% 88.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T7 [mos. 25-28] vs EDD T1 [mos. 1-4]
Spread Credit Rate 1:1 84.00% 84.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T7 [mos. 25-28] vs EDD T2 [mos. 5-6]
Spread Credit Rate 1:1 88.00% 88.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T8 [mos. 25-28] vs EDD T2 [mos. 5-6]
Spread Credit Rate 1:1 86.00% 86.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T8 [mos. 29-32] vs EDD T1 [mos. 1-4]
Spread Credit Rate 1:1 82.00% 82.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T9 [mos. 33-33] vs EDD T1 [mos. 1-4]
Spread Credit Rate 1:1 82.00% 82.00%
Eurodollar (ED) vs. Eurodollar Daily Subs (EDD) ED T9 [mos. 33-36] vs EDD T2 [mos. 5-6]
Spread Credit Rate 1:1 86.00% 86.00%
Eurodollar (ED) vs. Euroyen (EY)
Spread Credit Rate 1:1 13.00% 13.00%
Eurodollar (ED) vs. Fed Funds (CBOT) (41) (ED Tiers 2-11)
Spread Credit Rate 5:3 50.00% 50.00%
Eurodollar (ED) vs. Fed Funds (CBOT) (41) Tier 1
Spread Credit Rate 5:3 50.00% 50.00%
Eurodollar (ED) vs. LIBOR (1-Month) (EM)
Spread Credit Rate 1:1 50.00% 50.00%
Eurodollar (ED) vs. LIBOR (1-Month) (EM) (Boomerang) ±
Spread Credit Rate 3:3 83.00% 83.00%
Eurodollar (ED) vs. US Long Bond (17) Tier 1
Spread Credit Rate 5:1 65.00% 65.00%
Eurodollar (ED) vs. US Long Bond (17) Tier 2
Spread Credit Rate 5:1 65.00% 65.00%
Eurodollar (ED) vs. US Long Bond (17) Tiers 3-11
Spread Credit Rate 5:1 65.00% 65.00%
Euroyen (EY) vs. 13 Week U.S.T-Bill (TB)
Spread Credit Rate 1:1 59.00% 59.00%
LIBOR (1-Month) (EM) vs. 10 Year Swap (CBOT) (66)
Spread Credit Rate 3:1 50.00% 50.00%
LIBOR (1-Month) (EM) vs. 10 Year Treasury Note (21)
Spread Credit Rate 5:2 60.00% 60.00%
LIBOR (1-Month) (EM) vs. 13 Week U.S.T-Bill (TB)
Spread Credit Rate 1:1 79.00% 79.00%
LIBOR (1-Month) (EM) vs. 2 Year Treasury Note (26)
Spread Credit Rate 2:3 40.00% 40.00%
LIBOR (1-Month) (EM) vs. 5 Year Swap (CBOT) (NG)
Spread Credit Rate 2:1 50.00% 50.00%
LIBOR (1-Month) (EM) vs. 5 Year Treasury Note (25)
Spread Credit Rate 2:1 60.00% 60.00%
LIBOR (1-Month) (EM) vs. Euroyen (EY)
Spread Credit Rate 1:1 50.00% 50.00%
LIBOR (1-Month) (EM) vs. Fed Funds (CBOT) (41)
Spread Credit Rate 5:3 65.00% 65.00%
LIBOR (1-Month) (EM) vs. US Long Bond (17)
Spread Credit Rate 5:1 55.00% 55.00%
Mini-Eurodollar (YE) vs. 2 Year Treasury Note (26)
Spread Credit Rate 1:1 50.00% 50.00%
Mini-Eurodollar (YE) vs. Fed Funds (CBOT) (41)
Spread Credit Rate 5:3 80.00% 80.00%

Inter-Exchange Spreads
    Ratio Initial Maintenance
Eurodollar (ED) vs. LIFFE Euribor (ER)
Spread Credit Rate 1:1 60.00% 60.00%