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What Are the Characteristics of the EFP on Chinese Government Bond Futures?
2019-09-02

The EFP on Chinese government bond futures is characterized by: first, simultaneous execution of a futures contract and physical transaction to lock in the basis between them; second, both opening and close-out of positions are allowed in the futures leg; third, intraday real-time confirmation of changes in futures positions; and fourth, exclusion from the settlement price and non-publication of the price of the futures leg.