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Can an EFP Transaction on Chinese Government Bond Futures Involve Multiple Futures or Physicals?
2019-09-02

An EFP transaction on Chinese government bond futures can involve multiple physicals, e.g. cash bonds involved in the EFP transaction may be a combination of treasury bonds and local government bonds, but the futures leg of the EFP transaction can only involve one Chinese government bond futures contract, e.g. TF1812. It should be noted that the buy/sell direction for cash bonds in such combination should be identical.