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Wholesale trading
Liffe’s Basis Trading Facility (BTF) introduced in 1995 was the first of its kind in Europe. It permits market users to enter into a conditional transaction involving both a Liffe futures contract and a corresponding cash instrument. To offer greater flexibility to the wholesale market, and in response to continued market demand, this facility has been extended over-time to Liffe's bond, bond index and swap futures, equity index futures and, short term interest rate (STIR) futures contracts. A wide range of cash and OTC instruments are now eligible to form the cash leg of a Basis Trade involving Liffe’s futures contracts.

A basis trade is the simultaneous exchange of a financial asset or instrument (e.g. a cash bond, over-the-counter (OTC) swap, forward rate agreement (FRA), OTC option, or basket of stocks) together with an appropriate number of offsetting Liffe futures contracts in a privately negotiated transaction.

For further information, please call refer to Exchange General Notice 2380 (issued 16 March 2004).

Contact Information
Fixed Income Derivatives
Tel: +44 (0)20 7379 2222
Email: stirs@liffe.com
Interest Rate Derivatives Wholesale Trading: Basis Trading - Flyer
Date Title Description
25/07/2005 Interest Rate Products: Basis Trade Facility