Basis Trades can be arranged in all NYSE Liffe's equity index futures contracts, i.e.:

• FTSE 100 Index
• FTSE 250 Index
• FTSE Eurotop 100 Index
• FTSEurofirst 80 Index
• FTSEurofirst 100 Index
• FTSEurofirst 300 Index
• MSCI Pan-Euro Index
• CAC 40 Index
• FTSE EPRA/NAREIT Europe Index
• FTSE EPRA/NAREIT Euro Index
• PSI 20 Index

These contracts can be basis traded against a basket of stocks, an OTC option or OTC option strategies. Details of acceptable baskets of stocks are as follows:

For Basis Trades in the FTSE 100 or FTSE 250 Index futures:

• each stock must be listed on the London Stock Exchange;
• the number of stocks in the basket must total at least 25 in the case of the FTSE 100 Index or 62 in the case of the FTSE 250 Index (NB. the stocks in the basket need not themselves be constituents of the index); and
• no single stock should account for more than 25% of the value of the basket (and, if the stock is a constituent of the index, no more than its Index weighting +5%, whichever is the higher).

For Basis Trades in the Pan-European Index futures:

• each stock must be listed on a European stock exchange on which index constituent shares are listed;
• stocks from at least three constituent countries must be represented;
• the number of stocks in the basket must total at least 25% of the number of index constituents for the relevant index (NB. the stocks in the basket need not themselves be constituents of the index); and
• no single stock should account for more than 25% of the value of the basket (and, if the stock is a constituent of the index, no more than its index weighting +5%, whichever is the higher).

ETFs can now form the "cash" leg of a Basis Trade against any of NYSE Liffe's, FTSE, FTSEurofirst or MSCI Index futures, providing the ETF meets the Basis Trade Facility's criteria.

The shares held by the ETF rather than the ETF itself should be used in order to assess whether the BTF's criteria are met, specifically:

• in respect of ETFs tracking the FTSE 100 or FTSE 250 Index, the requirement is that each security held by the ETF is listed on the LSE (the ETF itself need not be listed on the LSE). The requirement for pan-European indices should be interpreted equivalently;
• in respect of the requirements specifying the number of securities required, it is the number of securities held by the ETF which is relevant; and
• in respect of the requirement for specifying the minimum number of country constituents to be included in the "cash" leg of a BTF against a pan-European Index futures contract, the number of countries included in the ETF shall count toward the minimum number of countries required for the BTF.