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How Should the Price of the Physical Leg of an EFP Transaction on Chinese Government Bond Futures Be Determined?
2019-09-02

The price of the physical leg of an EFP transaction on Chinese government bond futures is determined by the parties thereto upon mutual agreement and not subject to any explicit limitation of the Exchange, but the cash price reported is required to be consistent with that stated in the deal ticket for cash bonds, and the Exchange monitors the futures-cash basis.