Inter-market spreads (involving the same commodity) where both sides of the transaction are carried on the books of one member firm shall be margined in the Chicago Board of Trade side as follows:
|
Chicago Mercantile Exchange Spreads-Financial
|
Spread Credit Percentage
|
||
|
3:5 |
Fed Funds (All Tiers) vs. Eurodollar (Tier 1)* |
45% |
|
|
3:5 |
Fed Funds (All Tiers) vs. Eurodollar (Tier 2 and Tier 3)* |
50% |
|
|
3:5 |
Fed Funds (All Tiers) vs. Eurodollar (Tier 4 and Subsequent Tiers)* |
50% |
|
|
3:5 |
Fed Funds (All Tiers) vs. 1-Month Libor |
65% |
|
|
1:2 |
5 Yr Swap vs. Eurodollar (Tier 1)* |
60% |
|
|
1:2 |
5 Yr Swap vs. Eurodollar (Tier 2)* |
75% |
|
|
1:2 |
5 Yr Swap vs. Eurodollar (Tier 3 and Subsequent Tiers)* |
75% |
|
|
1:2 |
5 Yr Swap vs. 1-Month Libor |
50% |
|
|
5:2 |
5 Yr Swap vs. 2 Yr Swap |
70% |
|
|
2:1 |
5 Yr Swap vs. CME 5 Yr Swap |
80% |
|
|
2:1 |
5 Yr Swap vs. CME 10 Yr Swap |
80% |
|
|
2:7 |
10 Yr Swap vs. Eurodollar (Tiers 1)* |
70% |
|
|
2:7 |
10 Yr Swap vs. Eurodollar (Tier 2 and Subsequent Tiers)* |
70% |
|
|
1:3 |
10 Yr Swap vs. 1-Month Libor |
50% |
|
|
1:1 |
10 Yr Swap vs. 2 Yr Swap |
60% |
|
|
1:1 |
10 Yr Swap vs. CME 5 Yr Swap |
65% |
|
|
1:1 |
10 Yr Swap vs. CME 10 Yr Swap |
75% |
|
|
2:3
|
2 Yr Note vs. Eurodollar (Tier 1)* |
65%
|
|
|
2:3
|
2 Yr Note vs. Eurodollar (Tier 2)* |
65%
|
|
|
2:3
|
2 Yr Note vs. Eurodollar (Tier 3 and Subsequent Tiers)* |
65%
|
|
|
3:2
|
2 Yr Note vs. 1-Month Libor |
35%
|
|
|
1:2
|
5 Yr Note vs. Eurodollar (Tier 1)* |
70%
|
|
|
1:2
|
5 Yr Note vs. Eurodollar (Tier 2)* |
75%
|
|
|
1:2
|
5 Yr Note vs. Eurodollar (Tier 3 and Subsequent Tiers)* |
80%
|
|
|
1:2
|
5 Yr Note vs. 1-Month Libor |
70%
|
|
|
2:5
|
10 Yr Note vs. Eurodollar (Tier 1)* |
70%
|
|
|
2:5
|
10 Yr Note vs. Eurodollar (Tier 2)* |
70%
|
|
|
2:5
|
10 Yr Note vs. Eurodollar (Tier 3 and Subsequent Tiers)* |
70%
|
|
|
2:5
|
10 Yr Note vs. 1-Month Libor |
60%
|
|
|
1:5
|
Treasury Bond vs. Eurodollar (Tier 1)* |
70%
|
|
|
1:5
|
Treasury Bond vs. Eurodollar (Tier 2)* |
70%
|
|
|
1:5
|
Treasury Bond vs. Eurodollar (Tier 3 and Subsequent Tiers)* |
70%
|
|
|
1:5
|
Treasury Bond vs. 1-Month Libor |
55%
|
|
|
1:2 |
Fed Funds (All Tiers) vs. Euro Yen (All Tiers) |
70%
|
|
*Eurodollar months include four (4) serial expirations and 40 quarterly expirations, in sequence. For details visit http://www.cme.com/prd/contract_list_ED3087.html.
|
Chicago Mercantile Exchange Spreads-Agricultural
|
Spread Credit %
|
|
|
1:2:4 |
Corn vs. Feeder Cattle vs. Live Cattle |
70% |
|
5:2:4 |
Mini-sized Corn vs. Feeder Cattle vs. Live Cattle |
70% |
|
1:570
|
Mini-sized CBOT Gold vs. Gold TRAKRS |
80%
|
|
1:1710
|
100 oz. Gold vs TRAKRS |
80%
|
|
3:2
|
Dow AIG Index vs. Goldman Sachs Commodity Index |
60%
|
|
Chicago Mercantile Exchange Spreads-Equity Indexes
|
Spread Credit Percentage
|
|
|
3:1 |
Dow Jones Industrial Average vs. S&P 500 |
85% |
|
3:5 |
Dow Jones Industrial Average vs. E-Mini S&P 500 |
85% |
|
3:1 |
Dow Jones Industrial Average vs. S&P Midcap |
85% |
|
3:5 |
Dow Jones Industrial Average vs. E-Mini S&P Midcap |
85% |
|
3:1 |
Dow Jones Industrial Average vs. Russell 2000 |
80% |
|
3:5 |
Dow Jones Industrial Average vs. E-Mini Russell 2000 |
80% |
|
3:2 |
Dow Jones Industrial Average vs. Nasdaq 100 |
85% |
|
3:10 |
Dow Jones Industrial Average vs. Mini-Nasdaq 100 |
85% |
|
3:2 |
Dow Jones Industrial Average vs. S&P 500 Barra Growth |
85% |
|
3:2 |
Dow Jones Industrial Average vs. S&P 500 Barra Value |
80% |
|
1:2 |
Dow Jones Industrial Average vs. E-mini Russell 1000 |
75% |
|
3:4 |
Dow Jones Industrial Average vs. Nikkei 225 |
75% |
|
1:1 |
CME Lehman Brothers US Aggregrate Index vs. 10 Year Swap |
60% |
|
1:1 |
CME Lehman Brothers US Aggregrate Index vs. 10 Year Treasury |
60% |
|
1:1 |
CME Lehman Brothers US Aggregrate Index vs. 2 Year Treasury |
60% |
|
2:1 |
CME Lehman Brothers US Aggregrate Index vs. 30 Year Swap |
60% |
|
1:1 |
CME Lehman Brothers US Aggregrate Index vs. 5 Year Swap |
60% |
|
1:1 |
CME Lehman Brothers US Aggregrate Index vs. 5 Year Treasury |
60% |
|
2:1 |
CME Lehman Brothers US Aggregrate Index vs. Treasury Bond |
60% |
|
Chicago Mercantile Exchange Spreads-Mini Contracts |
Spread Credit Percentage |
|
|
6:1
|
Mini-sized Dow Jones Industrial Average vs. S&P 500 |
95% |
|
6:5
|
Mini-sized Dow Jones Industrial Average vs. E-Mini S&P 500 |
95% |
|
6:5
|
Mini-sized Dow Jones Industrial Average vs. E-Mini S&P Midcap |
85% |
|
6:1
|
Mini-sized Dow Jones Industrial Average vs. S&P Midcap |
85% |
|
6:5
|
Mini-sized Dow Jones Industrial Average vs. E-Mini-Russell 2000 |
85% |
|
6:1
|
Mini-sized Dow Jones Industrial Average vs. Russell 2000 |
85% |
|
3:1
|
Mini-sized Dow Jones Industrial Average vs. Nasdaq 100 |
75% |
|
3:5
|
Mini-sized Dow Jones Industrial Average vs. Mini-Nasdaq 100 |
75% |
|
3:1
|
Mini-sized Dow Jones Industrial Average vs. S&P 500 Barra Growth |
85%
|
|
3:1
|
Mini-sized Dow Jones Industrial Average vs. S&P 500 Barra Value |
85%
|
|
1:1
|
Mini-sized Dow Jones Industrial Average vs. E-Mini-Russell 1000 |
75%
|
|
3:2 |
Mini-sized Dow Jones Industrial Average vs. Nikkei 225 |
75% |
*Eurodollar months include four (4) serial expirations and 40 quarterly expirations, in sequence. For details visit http://www.cme.com/prd/contract_list_ED3087.html.
|
Inter-Exchange Spreads |
Spread Credit % |
|
|
1:1
|
100 Oz. Gold vs. Comex Gold |
85%
|
|
1:3
|
100 Oz. Gold vs. Dubai Gold |
50%
|
|
1:1
|
5,000 Oz. Silver vs. Comex Silver |
85%
|
|
3:1
|
Mini-sized Gold vs. Comex Gold |
85%
|
|
1:1
|
Mini-sized Gold vs. Dubai Gold |
50%
|
|
5:1
|
Mini-sized Silver vs. Comex Silver |
85%
|
|
1:1 |
CBOT Wheat vs. Minneapolis Grain Exchange Spring Wheat |
50% |
|
1:1 |
CBOT Wheat vs. Kansas City Board of Trade Wheat |
70% |
|
5:1 |
CBOT Mini-Sized Wheat vs. Minneapolis Grain Exchange Spring Wheat |
50% |
|
5:1 |
CBOT Mini-Sized Wheat vs. Kansas City Board of Trade Wheat |
70% |
|
5:2 |
CBOT 2 Year T-Note vs. FINEX 5-Year T-Note |
80% |
|
5:2 |
CBOT 5 Year T-Note vs. FINEX 5-Year T-Note |
80% |
|
5:2 |
CBOT 5 Year T-Note vs. FINEX 2-Year T-Note |
80% |
|
1:1 |
CBOT Dow Jones Industrial Average (sm)-$10.00 vs. KCBOT Mini-Value Line |
70% |
|
5:1 |
CBOT Dow Jones Industrial Average (sm)-$10.00 vs. KCBOT Value Line |
70% |
|
2:1 |
CBOT Dow Jones Industrial Average (sm)-$5.00 vs. KCBOT Mini-Value Line |
70% |
|
10:1 |
CBOT Dow Jones Industrial Average (sm)-$5.00 vs. KCBOT Value Line |
70% |
|
1:1000 |
CBOT Dow Jones Industrial Average (sm)-$10.00 vs. Diamonds |
$1,080/$800/$800 |
|
1:500 |
CBOT Dow Jones Industrial Average (sm)-$5.00 vs. Diamonds |
$540/$400/$400 |
| Subscriptions