A firm cannot enter an EFP (usually a currency cross-rate or Rand EFP) into the C21 EFP System because the trade price is editing. If the trade price is good, how can I get it into the EFP system?
EFP trade prices reference the transfer range in the price edit file. The transfer ranges are determined based on the prior day’s settlement price of the futures contract. EFP prices sometimes differ from the futures price by a large enough margin to fall outside of the transfer range and/or the EFP trade is in a contract in which the futures has had little or no trading activity and so the transfer range has either not been created or is too small to incorporate a market EFP price. In any case, the same procedures used to update a price range for an edit error on a transfer should be used. EFP’s can trade at any price, so it is not necessary to verify the price quoted by the CME firm member, just note the price, check the format by referencing the CPM591RTH report if necessary and make the necessary changes in the TIPS System to the HHIGH or HLOW.
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