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EFPs with multiple legs

Multiple futures may be submitted as separate ‘legs’ to match the physical component.

This allows participants to:

  • combine a series of the same futures product with multiple expiries to hedge a physical exposure with multiple payments/exposures over time.
  • combine multiple futures contracts against a single physical eg hedge a six-year physical bond with ASX 3 and 10 year treasury bond futures contracts.
  • achieve a specific price for the transaction eg sell half the physicals at one price and half at the next-higher price in order to achieve an overall midpoint price.

It is also possible to combine multiple physical lots into an EFP contract, as long as the net physical position is equivalent to the net futures position in both type and quantity or amount. This can be shown in the following diagram:

Diagram showing example EFP contract

Where an EFP involves multiple futures contracts, these contracts must be similar to each other and as close as possible to the physical contract. Eg

  • ASX 90 day bank bill futures are considered similar to ASX 3 Year treasury bond futures, but not to ASX  10 year treasury bond futures.
  • ASX 10 year treasury bond futures are similar to ASX 3 year treasury bond futures but not ASX 90 day bank bill futures.

Where an EFP involves multiple futures contracts, these contracts must be similar to each other and as close as possible to the physical contract.

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