An exchange of futures for physical (EFP) is a private agreement between two parties to trade a futures position for the basket of underlying actuals. An exchange of futures for physicals can be used to open a futures position, close a futures position, or switch a futures position for the underlying asset.
What is an EFP rate?
The EFP is a privately-negotiated transaction between the two parties to the trade, where the consummated transaction must be reported to the Exchange. As such, the pricing of the EFP is quoted in terms of the basis between the price of the futures contract and the level of the underlying index.
What is a transitory EFP?
Transitory EFRPs are EFRPs in which the execution of an EFRP is contingent upon the execution of another EFRP or related position transaction between the parties and where the transactions result in the offset of the related positions without the incurrence of market risk that is material in the context of the related …
What happens to efrps submitted via CME direct?
EFRPs submitted via CME ClearPort or CME Direct, the transaction will be matched and sent directly to clearing from ClearPort and CME Direct provided the transaction does not exceed the pre-established credit limits of the counterparties to the EFRP.”
What is the difference between EFP and EFR?
Exchange for Physical (EFP) – A position in the underlying physical instrument for a corresponding futures position. Exchange for Risk (EFR) – A position in an Over-the-Counter (OTC) swap or other OTC derivative in the same or related instrument for a position in the corresponding futures contract.
Can an efrp be posted later than permissible posting period?
Under no circumstances may EFRPs be posted later than end of permissible posting period following expiration of underlying futures contract. EFRP transactions should be submitted to the Exchange as soon as possible following agreement to the relevant terms by the parties to the trade.
