An exchange of futures for physical (EFP) is a transaction negotiated off-market in which one party buys physical assets and sells futures contracts while the opposite party sells the physical market products and buys futures contracts.
EFPs provide a mechanism to:
- swap from a futures to a physical position or vice versa
- off market price certainty for large physical vs futures transactions
- fulfilll delivery commitments
The physical and futures components must be 'substantially similar' and equal in terms of either:
- value (ie the value of the physical being similar to the value of the futures); or by
- quantity (the quantity of the physical being similar to the quantity of the futures)
|ASX interest rate derivatives
- Australian Dollar denominated:
- Commonwealth Government securities
- Semi-Government bonds
- Corporate bonds
- Bank accepted bills of exchange
- Negotiable certificates of deposit
- Interest rate swaps
- Forward rate agreements
- Bond options
- Caps and floors
- Forward currency swaps
- Foreign currency denominated securities equivalent to the above list, which are reasonably correlated to Australian securities, are accepted. Exchange for physical in the following currencies are considered reasonably correlated against exchange interest rate futures and options contracts: New Zealand dollar, US dollar, Canadian dollar, British Pound and Euro denominated securities with a similar present value of a basis point (PVBP) exposure.
|ASX SPI 200 index futures and options
- Basket of ASX-traded stocks in one or more companies where the cash value of the baskets of stocks and the notional value of the SPI200 futures fall within 10% of each other.
- Special size trades (as defined in the ASX Operating Rules) in the S&P/ASX 200 index options contracts (XJO options).
|Wool futures and options
- Physical wool or financial instrument pertaining to wool of similar value or quantity.
|Grain futures and options
- Physical grain or financial instrument pertaining to grain of similar value or quantity.
|ASX energy futures and options
Where the over-the-counter (OTC) component of an EFP is within 10% of the size (eg. MWhs/GJ/tonnage) or value, the following are accepted:
- Australian and New Zealand electricity
- OTC swaps, caps and/or options against electricity futures and/or futures options
- OTC swaps and/or options against gas futures and/or futures options
|Renewable energy certificates (RECs) futures and options