tpDELTADEAL is Tullett Prebon's electronic CDS matching platform that enables traders to reduce their exposure to curve and default risk. The system will cover the full range of single name CDS credits and will be hosted by our dedicated tpDELTADEAL teams based in London and Singapore.
CDS curve and default risk is reduced as a result of executing switches within closely related maturity buckets in a given credit. These slight differences in maturity give rise to residual risk that can be offset by entering in to switch trades involving the two maturities. The switches will be generated on a delta neutral basis to protect against parallel shifts in the credit curve.
Traders are encouraged to populate their positions and curves in spreadsheets that will be emailed for a specific matching run. The spreadsheets will then be uploaded in to the system. These curves will be used to generate a consensus curve which will form the price levels for each credit. All position permutations throughout the market are then analysed through a highly sophisticated algorithmic programme to generate the optimal set of proposed switches.
Traders will then be invited to accept the switches they are happy to execute. At the end of a short pre-defined period, executed trades will be confirmed via the system. Traders can download their results immediately from tpDELTADEAL and, if required, receive post-run reports to recap the day’s activity. Confirmations will then be generated automatically to reflect each bank’s STP post-trade preferences.
Tullett Prebon plc
London EC2M 3TQ
Tel: +44 (0) 20 7200 7777
Fax: +44 (0) 20 7200 7176
Tullett Prebon (Singapore) Limited
50 Raffles Place
#39-00 Singapore Land Tower
Tel: +65 6922 1499
Tullett Prebon Americas Corp.
101 Hudson Street
Tel: +1 201 984 6310