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As we know, physical settle bond future would expose carry effect which would be the deliverable bond coupon and your financing cost (cost of carry as a sum term). This is because it can be replicated with the underlying bond.

However, cash settle futures such as those traded in Australia or Korean, the future price is not typically determined through cost of carry model with the underlying deliverable. Instead, they are determined by creating a fake bond and discounted with the average yield from the basket.

In this sense, would the replication even possible? Also, due to the way the future price is determined, I don't see the interim coupon or financing cost even play a role here.

So, do people calculate carry effect for cash-settle bond future?

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