NYSE Liffe’s Basis Trading Facility allows you to enter into a conditional transaction involving both an NYSE Liffe futures contract and a corresponding cash instrument.
Today, the Basis Trade Facility covers the following NYSE Liffe product groups:
Short-Term Interest Rate (STIR) futures contracts
Bond, bond index and swap futures
Equity index futures
All stock futures (excluding Bclear)
A wide range of cash and Over-The-Counter (OTC) instruments are now eligible to form the cash leg of a basis trade involving NYSE Liffe futures contracts.
A basis trade is the simultaneous exchange between a financial asset or instrument and an appropriate number of offsetting NYSE Liffe futures contracts. This is a privately negotiated transaction. The financial asset or instrument can be a cash bond, OTC swap, forward rate agreement (FRA), OTC option or a basket of stocks.
For more information, please see Exchange General Notice 2380 (issued 16 March 2004).
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