EFP quotes -- how to interpret?

[nauru]

I'm just learning about EFPs and was wondering how to interpret the following quotes.

http://www.interactivebrokers.com/en/p.php?f=daily_analysis&ib_entity=llc

For example, let's look at the EFP bid/ask on KFN. In English, what is that telling me? I'm trying to get a sense of where the EFP yield is coming from, and what is implied by the negative revealed interest rates.

Currently my understanding is that -8.9% on the ask means someone can sell the forward for 8.9% (annualized) more than they buy the spot for. But that seems like too much yield for too little risk; surely there is something I'm not understanding, or some risk that I haven't identified?

Also, what is a "long EFP" position; long spot + short the forward? Or short spot + long the forward?


Thanks folks.

 

[nauru]

I forgot to mention, when you go to the link,

http://www.interactivebrokers.com/en/p.php?f=daily_analysis&ib_entity=llc

you need to select the tab that says 'EFP Interest Brief' about 40% down the page. Then you will see KFN at the top of the right column, and BBY at the top of the left column.

Thanks.