Generally the lower margins for bonafide spreads reflect lower volatility. In general, its all the same in the end. If you trade volatile spreads, there is more potential for big gains, and large losses, thus the margins are basically similar to two outright positions. If you trade less volatile or exchange recognized bonafide spreads, you need less margin. Generally here the reward is lower and so is the risk. Unless, of course, you are really good. Then your experience tends to bend the above generalizations.
Correction on my above post, Gross was SHORT US ten-year versus LONG Eurex Bund. They tend to put on this position in chunks. Last time they did the unwind most of it was in one day, and it got quite messy on the 10yr side when they started moving about 100,000 contracts in one hour's time (late last summer).
I don't think there is close correlation between Bund and 10Y future. Maybe they were closed related years ago, but now, they are usually not moving in the same direction.
The Bomb, There is a lot of misinformation on this thread. Spreads require very little capital if done right and are a great way to trade with limited risk. The best spreads to trade are futures calendar spreads. You need a contract that has volume of many months such as the eurodollar or the short sterling or short term euro rate contracts on LIFFE. Because these contracts are often simultaneously bought and sold over different months you will get filled if you queue up at the bid and ask.
Which month of EuroSterling in LIFFE is actively traded? It is wierd. Its daily volume is huge, say, last friday's daily volume is 206,59. But when I changed it to minute chart, the minute volume is about 1.5. I checked all 22 ShortSterling contracts in LIFFE. Did I make any mistake. The symbol that I used in CQG for daily volume is QSA, for minute volume, I used QSAU5, QSAZ5, QSAH6 ,... etc.