Fundamentals Many Do Not Track

EFP data shows Treasury basis is alive and well


  • 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.

Source: CME Group

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