Basis Trading

bd_nl_Wholesale Trading Basis Trading - Introduction1

Introduction

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).

Contact Information

Phone: +44 (0)20 7379 2222
Email: bonds@nyx.com
Email: stirs@nyx.com
Email: swapnote@nyx.com

Interest Rate Derivatives Wholesale Trading: Basis Trading Flyer

Interest Rate Derivatives Wholesale Trading: Basis Trading - Flyer