The executing member must assign the price(s) to the futures leg(s) of the trade. Price(s) must be within the high/low range for the contract in question during the 30 minutes before the trade is submitted. If there has not been a trade in the last 30 minutes, the price(s) assigned must be within a theoretical high/low range calculated by the Exchange for the same period. Basis trades may not be executed in a futures delivery month that has never traded.

Summary reference information relating to the cash leg of the basis trade must be provided to NYSE Liffe via the wholesale trade function supplied by ISVs - at the time of transaction. However, full details of this cash leg trade must be retained by the executing member, including evidence of trade completion, and be made available to the Exchange on request.

NYSE Liffe specifies the acceptable collateral for the cash leg of the trade, as well as the ratio between the amount of cash and futures traded. These requirements differ between individual contracts and are detailed within the Basis Trade cash legs section.

Basis trades should be reported to NYSE Liffe as soon as practicable and in any event within fifteen minutes of organisation. (Please see the NYSE Liffe Trading Procedures, Part One, Trading Procedure 4.2 for further details.)