First let's understand briefly what the CFMA rules say. CFMA is a long, complex piece of legislation addressing all sorts of futures vs securities issues in the capital markets. In particular, it exempts OTC derivatives from being regulated as futures or securities. It also attempts to clarify taxation treatment of commodities. Prior to the CFMA, traders used "straddle" strategies to offset the risk of an appreciated position thereby deferring capital gains on one side and potentially realizing a loss on the hedge. The CFMA clarified rules around straddles and also specified tax on Commodities defined as any regulated futures contract, foreign currency contract, non-equity option, dealer equity option and dealer securities futures contract as per IRC Section 1256.
Under the new tax rules for traders electing mark-to-market accounting (ie, realizing capital gains and losses at end of each year) 60% of futures gains would be categorized long-term and 40% short-term. These would be taxed at the prevailing long-term and short-term rates (currently 15% and 35% for those in highest bracket). The blended rate would be 23% even if trades are entered and exited intraday.
This has all sorts of implications for those that are willing to make a mark-to-market designation on their tax return (note this has other ramifications that are important for those that have large unrealized gains).
For example, if you have the choice between owning Treasury bonds for investment income and bond futures, you probably want to choose the latter. While bond futures have some complexity due to the cheapest-to-deliver option, you earn the bond's coupon income through the forward price calculation. Given CFMA designates the majority of any income/gain as a long-term capital gain, you are advantaged by substituting futures for a long cash position all else equal.
The same holds true for futures on broad equity indices. The advantage vs index funds and index ETFs could be substantial for shorter term traders.
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