Exchange of Futures for Futures
Exchange of Futures for Futures (EFF) involves a rule that would allow traders to easily move their contract positions from one marketplace to another. In other words, someone could privately negotiate the sale of a futures contract on one exchange, such as ELX, and swap that position by buying or selling the same product at another exchange, such as the CME Group. Since ELX clears through the Options Clearing Corporation (OCC), the trader would be closing a position at the OCC and establishing the same position at the CME Group.
There has been a lot of back and forth regarding Exchange of Future for Futures transactions between the Electronic Liquidity Exchange and the CME Group in the Treasury markets. The Commodity Futures Trading Commission approved ELX's request to offer EFFs, in October of 2009, saying that the transactions did not violate the Commodity Exchange Act. However, even with the CFTC approval, the CME Group issued a statement saying they would not recognize EFF transactions.  The CME Group justified their statement on the grounds that EFFs are not supported by CFTC precedent and are prohibited under CFTC regulations and the Commodity Exchange Act.
In August of 2010, the Commodity Futures Trading Commission issued a letter to the CME Group. The CFTC stated that EFF transactions are not wash sales and in fact, are consistent with Commission precedent. Thus, Exchange of Futures for Futures are not prohibited by the CEA or Commission regulations. Further, the CFTC has ordered an investigation into the CME's actions and if they are consistent with anti-trust considerations.
In light of the CFTC ruling in August, the CME Group said the CFTC's letter still does not change the rules, which prohibit EFF's and that under the Commodity Exchange Act, they will continue to prohibit these types of transactions.