Synthetic EFP Rates

High Synth Bid Rev Yield
UndExpiryBid SizeBid PriceAsk PriceAsk SizeDiv
VOD 20171215 100 12.900% 14.125% 100 0.52
VOD 20180316 100 5.625% 6.700% 3 0.52
SO 20171117 100 1.650% 2.100% 100 0.00
PG 20171117 100 1.625% 1.750% 1 0.00
PG 20180316 100 1.600% 2.000% 100 0.00
PG 20171215 100 1.600% 1.875% 20 0.00
SO 20171215 100 1.600% 2.050% 100 0.00
USB 20180316 100 1.575% 1.825% 100 0.00
ORCL 20180316 100 1.575% 1.950% 100 0.00
SO 20180316 100 1.575% 2.050% 100 0.00
F 20180316 100 1.550% 1.925% 100 0.00
IBM 20180316 61 1.525% 1.800% 1 0.00
INTC 20180316 100 1.525% 1.950% 100 0.00
BK 20180316 100 1.525% 1.850% 100 0.00
BBT 20180316 100 1.525% 1.875% 100 0.00
CAT 20180316 74 1.525% 1.925% 74 0.00
EOG 20180316 100 1.525% 1.975% 100 0.00
V 20180316 91 1.525% 1.900% 91 0.00
GM 20180316 100 1.525% 1.975% 100 0.00
MRK 20180316 100 1.525% 1.950% 100 0.00
Low Synth Bid Rev Yield
UndExpiryBid SizeBid PriceAsk PriceAsk SizeDiv
VALE 20171215 20 1.000% 2.650% 100 0.00
VALE 20171117 20 0.700% 3.425% 100 0.00
VALE 20171020 20 -42.975% 5.750% 100 0.00

As of: Thu, 19 Oct 2017 03:31 PM EDT. Tables updated hourly. Data available real-time to IB customers in Trader Workstation


An Exchange for Physical (EFP) allows the swap of a long or short stock position for a Single Stock Future (SSF). SSFs have an interest rate built into their price that is determined competitively by numerous market participants. Like Repos and Reverse Repos in the debt markets, EFPs provide a cheap and efficient financing vehicle. The EFP transaction is one where you sell the stock and buy it back for future delivery by buying the SSF future, or you buy the stock and sell the SSF.

There are several reasons to use this type of transaction:

  1. If you carry a long stock position on margin, the EFP gives you the opportunity to reduce your financing cost because you will likely be able to sell the stock and buy the forward at a premium that is lower than your margin rate.
  2. If you are short the stock, you receive interest on the credit balance generated by your short sale, but this interest is less than the premium you would receive by selling the SSF and buying back the short stock.
  3. If you have excess cash in your account and would like to earn a higher return, you could buy stock and sell it forward at a premium higher than the interest your cash generates.

The tables above highlight the highest (investment opportunity) and lowest (borrowing opportunity) synthetic EFP rates available in the market. These synthetic rates are computed by taking the price differential between the SSF and the underlying stock, netting dividends, to calculate an annualized synthetic implied interest rate over the period of the SSF. All SSFs are settled through the Options Clearing Corporation, an AAA rated entity, making any interest earned through implied interest safer than with many other interest earning alternatives.

Disclosures

Note: The material presented in this commentary is provided for informational purposes only and is based upon information that is considered to be reliable. However, neither Interactive Brokers LLC nor its affiliates warrant its completeness, accuracy or adequacy and it should not be relied upon as such. Neither IB nor its affiliates are responsible for any errors or omissions or for results obtained from the use of this information. Past performance is not necessarily indicative of future results.

This material is not intended as an offer or solicitation for the purchase or sale of any security or other financial instrument. Securities or other financial instruments mentioned in this material are not suitable for all investors. Any opinions expressed herein are given in good faith, are subject to change without notice, and are only correct as of the stated date of their issue. The information contained herein does not constitute advice on the tax consequences of making any particular investment decision. This material does not take into account your particular investment objectives, financial situations or needs and is not intended as a recommendation to you of any particular securities, financial instruments or strategies. Before investing, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.