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Exchange for Physicals

Exchange for Physicals

With the Exchange for Physicals (EFP) Service, Participants have the possibility to enter the futures leg of an off-book fixed income trade into the Eurex system for clearing.

 
 

Interest rate derivatives

Eligible product combinations of interest rate derivatives for Exchange for Physicals Service are:

Admitted underlyings
(reporting transaction)
Eurex Futures
(transaction creating a position)
Debt securitiesEurex fixed income futures and Euro-Swap Futures
Eurex or non-Eurex money market futures
Eurex or non-Eurex fixed income and Euro-Swap Futures
Eurex Repo GC Pooling transactions

Eurex money market futures

Non-Eurex money market futures

All debt securities, which show a price correlation to futures contracts exchanged resulting in the futures contract representing an appropriate hedge instrument for cash transactions, may be part of an EFP Trade.

Non-Eurex fixed income futures or Euro-Swap Futures within this meaning are all fixed income futures or Euro-Swap Futures respectively traded outside the Eurex exchanges, whose design does not correspond to the essential specifications of the fixed income futures or Euro-Swap Futures traded on the Eurex Exchange.

A Eurex GC Pooling Repo Transaction specifies a purchase/sale of the GC Pooling ECB or of the GC Pooling ECB EXTended basket and its simultaneous re-sale/re-purchase as a future. The nominal value of the Repo transaction must be equivalent to the value of Eurex money market futures multiplied by the number of contracts.

The underlying cash transaction of the EFP Trade must be denominated in a currency of the OECD member states.

Both contract parties are obligated to provide proof of the completed cash transaction if requested by a supervisory authority.

Equity index futures

The Exchange for Physicals (EFPI) Service is available for the following combinations of Eurex equity index futures and admitted underlying instruments:

Admitted underlying instruments
(reporting transaction)
Eurex futures
(transaction creating a position)
Equity basketEurex equity index futures
Exchange-traded index fund shareEurex equity index futures


Generally, for EFPI Trades the following constellations are possible:

  • Two Participants conclude both the off-exchange cash transaction as well as
    the futures transaction with one another or
  • Two Participants conclude the futures transaction with one another.

One participant is an official Market Maker (Authorized Participant) for exchange-traded index fund shares who concludes the respective cash transaction with the ETF issuer. The second participant concludes the respective cash transaction with one third party or more third parties (auction). The cash transactions concluded by the contractual parties of a futures transaction do not have to relate to an identical transaction object. A combination of two futures trades of the same product is admitted.

Cash transactions with respect to EFPI Trades are equity baskets or exchange-traded index fund shares with the following characteristics:

  • The nominal value of the equity basket/exchange-traded index fund share has to amount to one third of the transaction value of the minimum transaction volume for a Block Trade transaction in the respective equity index futures ((index level x contract value x minimum Block Trade transaction volume)/ 3) and must not deviate from the nominal value of the futures position by more than 20 percent.
  • The equity basket/exchange-traded index fund share must consist of at least ten different index components or a number of equities that represent at least half of the equity index underlying the futures contract.
  • The nominal value of that part of the equity basket/exchange-traded index fund share, whose components are part of the equity index underlying the futures contract, must be at least 20 percent of the nominal value of the entire cash transaction.
  • All components of the equity basket/exchange-traded index fund share must be part of the STOXX® Europe TMI Index, the Dow Jones Global Titans 50SM Index (EUR/USD), the Dow Jones Sector Titans Indices, the MSCI World Index, the MSCI Emerging Markets Index, the MSCI Frontier Markets Index, the ATX®, the CECE® EUR Index, the RDX® USD, the TA-25 Index or the SENSEX.


The number of traded futures contracts must have a specific correlation to the nominal value of the equity basket/exchange-traded index fund so that the futures are a suitable instrument for hedging the cash market transaction.

Please note that both parties are obligated to provide evidence of cash transactions if requested to do so by supervisory authorities.

FX Futures

The Exchange for Physicals (EFPI) Service is available for the following combinations of Eurex FX Futures and admitted underlying instruments:

Admitted underlying instruments
(reporting transaction)
Eurex futures
(transaction creating a position)

Non-Eurex FX Futures, spot, non-deliverable forwards (NDF),
FX swaps, cross currency (basis) swaps and currency swaptions

AUD/USD Futures, AUD/JPY Futures
EUR/USD Futures, EUR/CHF Futures, EUR/GBP Futures, EUR/AUD Futures, EUR/JPY Futures
GBP/USD Futures, GBP/CHF Futures
USD/CHF Futures, USD/JPY Futures
NZD/USD Futures


Transactions which are similar to FX spot and have a sufficient price correlation with the exchanged futures contract, such that the futures contract constitutes a suitable hedging instrument for the opposite FX transaction, may be part of an EFPI Trade.

The number of contracts of the traded FX Futures contracts must be at least equal to 1. The currency pair of the opposite FX transaction and of the FX Futures contracts must consist of the same two currencies.

The nominal value of the opposite FX transaction shall (after conversion into the same currency - if applicable) be equivalent to the nominal value of the FX Futures contract and shall not deviate from it by more than 20 percent. 

FX swaps, cross currency (basis) swaps and currency swaptions may serve as opposite transactions in EFPI Trades. Furthermore, these transactions must have the following characteristics:

  • Agreement  under the terms of an ISDA Master Agreement or any equivalent master agreement
  • All payments of the swap shall correspond to the currency pair that the FX Futures contract refers to
 
 
 
 
 

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