EFP Trading

PDF – OneChicago EFP Transactions

OneChicago EFP Transactions
Last Modified: May 10, 2012

An Exchange Future for Physical (EFP) allows the exchange of a long or short stock position for a security future. Buying the EFP is buying the security future and selling the underlying, selling the EFP is selling the future and buying the underlying. The theoretical implied EFP interest rate is calculated with the following basic formula, ((Futures – Cash + Distribution)/Stock price)/(days left to expiration/360)).

OneChicago EFPs are exchange traded economic equivalents to securities lending, equity swaps, and equity repos.  The OneChicago EFP is a superior transaction to these OTC trades as it is traded on an electronic anonymous competitively bid and offered marketplace with central counter parties and regulatory protections.

EFP transactions at OneChicago are executed or reported via OCX.BETS®. OCX.BETS is a standalone OneChicago platform that supports a competitive anonymous marketplace for EFP transactions in addition to an EFP reporting mechanism for EFP trades that are privately negotiated between two counterparties. EFP quotes on OCX.BETS are in four decimal point basis pricing which aids in aligning EFP pricing with the desired interest rate for the trade. OCX.BETS EFP markets can be viewed Here.

OCX.BETS provides straight through processing of both the single stock future (SSF) and the underlying stock for book traded EFPs by directly reporting the stock leg execution to the FIRNA/NASDAQ Trade Reporting Facility and the SSF to clear through the OCC.

EFPs can be competitively book traded (point and click) from 8:00- 4:00.  Privately negotiated bi-lateral EFPs can also be reported from 8:00-4:00.

Market participant interested in trading in OneChicago’s EFP marketplace via OCX.BETS should contact OneChicago operations at 312.424.8507 or via email at operations@onechicago.com.

For more information on EFP pricing, please see http://www.onechicago.com/?page_id=5193

For  EFPs examples for general collateral equities,

please see http://www.onechicago.com/wp-content/uploads/content2011/Example_General_Collateral_Securities.pdf

For EFP examples for hard to borrow securities,

please see http://www.onechicago.com/wp-content/uploads/content2011/ONECHICAGO_EFP_Description.pdf

For additional information on securities lending through an EFP, please see http://www.onechicago.com/?page_id=1160

For additional information on equity repos and EFPs, please see http://www.onechicago.com/wp-content/uploads/content2008/syncash-21.pdf

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