Electronic Broking

tpMATCH is Global Wave Group Limited's electronic FRA matching platform that enables traders to reduce their LIBOR fixing risk. The system, available in all major currencies, in multiple tenors, is hosted in Singapore and supported by teams in our Europe, Americas and Asia Pacific offices. tpMATCH was successfully launched in late 2009 with US Dollar, Euro and Sterling; 2010 saw the addition of Singapore Dollar, Hong Kong Dollar, Australian Dollar and Japanese Yen, whilst 2011 has seen new initiatives in CAD and CNY. Further currency releases are scheduled in the near future where market demand exists.

LIBOR fixing risk is reduced as the result of matching trades across portfolio positions. Each individual order may be made up of different notional amounts and total orders need not sum to zero. The resulting trades will be delta neutral and curve risk in most currencies will be offset by IMM fra hedges as far as possible with risk rolled into the front IMM contract vs the stub.

Traders send orders to the matching sessions by e-mailing computer generated spreadsheets to tpMATCH.

Once all orders have been uploaded into the system, tpMATCH performs a matching run. The run is based on a mid-market curve set by the industry-leading short-end swaps desk, incorporating all market expectations such as central bank meeting premiums or discounts. Post matching run, traders will be notified of their trades and residual orders via email. All confirmations will be generated automatically and sent in the usual way, including Markit Wire/SwapsWire confirmations.

September 2010

uniMATCH

• In contrast to bilateral switching where you buy one date and sell another, uniMATCH allows unilateral matching of orders with no need for an opposing position in your portfolio.
• A portfolio containing only buy (or sell) dates can be matched in the run with the resulting trades being returned to a delta/curve neutral position as part of the IMM hedge process.
• Date restrictions will be removed in this process (switching window, cross calendar month and cross year end turn) but the Stub and P&L parameters may still be used.
• Six month positions are included in the uniMATCH process, with three month IMMs provided to hedge the delta/curve, so a change in basis can occur which may be limited using the basis limiter (see below).

Cross tenor

• In addition to reducing fixing risk you can now reduce basis risk by choosing to match three month fixings against six month fixings and vice versa. All trades will adhere to your parameters and be weighted (200m 3mth vs 100m 6mth).
• The switching window will restrict the number of business days between the start dates of the matching FRAs.
• The basis limiter may be used in conjunction with cross tenor matching allowing you to limit the amount of basis you wish to buy or sell (see below).

Basis limiter

• When executing Cross Tenor or uniMATCH the 'Net Buy 3s v 6s (Sell Basis)' and 'Net Sell 3s v 6s (Buy Basis)' parameters allow the amount of basis bought or sold to be limited.

Reduce monthly exposure

• When your orders have been entered in the order sheet and the order sheet re-calculated, your monthly exposure will be displayed in the Reduce Exposure tab. A constraint can then be set to ensure a certain month's exposure will not increase.

• What is tpMATCH?
  tpMATCH is a multilateral electronic trade matching system designed to reduce future floating rate exposure in interest rate portfolios.
• What does it do?
  tpMATCH executes FRAs using a matching algorithm to eliminate the maximum volume of positions. We have tailored our restriction parameters allowing traders confidence in reducing their risk and in their residual positions.
• Types of matching.
  Bilateral   Matching buy and sell dates within matching criteria set on the order sheet. Orders need not sum to zero but results (pre IMM hedge) will be delta neutral and the IMM hedging will flatten any curve position and roll risk to the front IMM date vs the stub.
  uniMATCH   Unilateral matching of orders without the necessity to match against an opposing order. Resulting trades (pre IMM hedge) may not sum to zero, but delta and curve will be hedged to neutral during the IMM hedge process.
• What is the IMM Hedge Process?
  IMM hedging helps protect the trader against unwanted P&L implications. tpMATCH will supply IMM FRAs to re-balance the trades executed ensuring (as close as possible) that curve and directional risk is mitigated.
• How does tpMATCH work?
  • Global Wave Group Limited will set an independent mid market FRA curve by tenor.
  • Excel Order Sheets will be emailed to traders detailing the curve and requesting orders for the matching run.
  • When all the order sheets have been returned they are uploaded into the application and the algorithmic matching run performed (adhering to all matching criteria and credit restrictions).
  • Trade Reports are produced detailing trades executed, swapswire references, highlighting internal trades and showing residual risk.
  • The trade reports are emailed to traders with a summary of their results shown in the body of the email.
  • Swapswire confirmations or faxes for non swapswire counterparties are sent.
  • All trades will have trade dates of matching date + 1 day.
• What happens if the curve moves between the time it is set and the start of the matching run?
  tpMATCH will run in stable market conditions. Also, in those currencies with IMM hedging, the hedges will help mitigate movement in the curve as your risk before and after matching will be very similar. In extreme circumstances it may be necessary to reset the curve and provide new order sheets or postpone the run to the following day.
• Can restrictions be specified for orders placed in the system?
  Yes. Restrictions can be placed on an individual order or an entire portfolio, please see below:

• When is the system locked for matching?
  Typically this will be after the market is perceived to have closed for that day's business. It will vary by currency but we will always ensure clients have sufficient time to enter orders.
• How do I set my credit limits?
  Credit limits can be set on the order spreadsheet by one trader within a bank or set independently by a credit department. These are stored in the system and can be updated whenever you send your orders spreadsheets to a session or can be changed by the tpMATCH team as a request from a credit department.
• How will I receive my trade notifications?
  We provide a Trade Report spreadsheet, an email summary, SwapsWire confirmations and fax if no swapswire.
• Are there terms and conditions governing tpMATCH?
  Yes, these are detailed in the formal user agreement signed by most banks. If a formal agreement has not been signed, acceptance of the terms & conditions is assumed on return of an order spreadsheet for inclusion in the run. Some trading centres use a ‘click through' agreement on the order spreadsheet as acceptance.