Fundamentals Many Do Not Track

EFPs (Exchange for Physical) are an efficient transaction type for spreading futures vs. cash and a fair proxy for measuring Treasury basis activity.

While off the Q1 highs, the % of Treasury futures traded via EFP remains above historical levels.

EFP activity has shifted notably out the curve with long-end contracts (TN, ZB, UB) accounting for 37% of EFP volume in Q3, up from 30% in Q1 and 22% in Q3 2019.

When adjusted by DV01 risk transfer, Treasury EFP volume is up 11% vs. 2019's record levels.