Exchange for related position (EFRP, EFP)
An exchange for related position (EFRP) is a privately negotiated transaction in which a futures position is exchanged for an offsetting position in a related cash, swap or other instrument, and then reported to the exchange. The exchange for physical (EFP), which swaps futures for the physical commodity or cash instrument, is the classic form.
Senzoukria · Glossary · Updated September 2026
Definitions
The CFTC glossary defines an exchange of derivatives for related positions as a general term for privately negotiated trades exchanging a futures position for a related physical or swap position that are transacted off exchange but reported to the designated contract market. It defines an exchange for physicals as a transaction in which the buyer of a cash commodity transfers to the seller a corresponding amount of long futures contracts, or receives from the seller a corresponding amount of short futures. On CME Group exchanges these trades fall under the EFRP rule (CME Rule 538).
Forms
- EFP: futures exchanged for the physical commodity or the cash instrument, such as a stock basket against index futures.
- EFR: futures exchanged for an over-the-counter swap or other risk position.
- EOO: an option exchanged for an option position.
Worked example
A fund holds a stock portfolio that tracks the S&P 500 and wants index futures exposure instead. It agrees with a dealer to deliver the portfolio and receive 40 long ES contracts at a negotiated price. At ES 5,000.00 with a $50 multiplier, those 40 contracts represent 40 × 5,000 × 50 = $10,000,000 of notional exposure, switched from stocks to futures in one reported transaction that never touched the ES order book.
Why an order flow trader should know it
EFRPs are part of reported futures volume and open interest but not part of the central order book's price discovery. A position can appear or disappear in open interest through an EFRP without a single trade on the screen. When comparing volume figures from different sources, check whether they include such off-book transactions.
In Senzoukria
The application builds its footprint, delta and time and sales from the trades the connected feed delivers and does not identify EFRPs. It does not display futures open interest, so position transfers made through EFRPs are not something it can show.
Common mistakes
- Reading an EFRP-driven change in open interest as a wave of new on-screen positions.
- Comparing daily volume totals from sources that count off-book trades differently.
Related
In the same section
- Holiday schedule
- Excess
- Exchange time zone
- Evaluation account
- Execution algorithms
- ETH
- Execution report
- ES futures
Sources
- CFTC glossary (2026-09-25)
This page in other languages
Frequently asked questions
- Why would anyone exchange futures for a physical position?
- To switch exposure between the cash market and futures in one negotiated step, at an agreed price relationship, without executing two large trades on two different markets.
- Do EFRPs affect the futures price?
- They are negotiated off the book, so they do not directly trade against resting orders. Their price relationship is agreed between the parties, which is why they do not enter the central order flow as trades that consumed liquidity.