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tpMATCH Basis

tpMATCH BASIS is Tullett Prebon’s electronic order matching platform designed for traders to reduce intra currency tenor basis risk. It sits alongside our successful FRA and NDF matching platforms that were launched in 2009 and 2011.

tpMATCH BASIS enables traders to submit orders to mitigate basis risk by executing deals at pre-determined mid-market levels. The curve is fixed and traders may submit orders to be included in SEF or Non SEF liquidity pools within the matching run via Excel order sheets or a Citrix-based trader screen. Traders can further specify certain trading parameters such as profit/loss limits and manage counterparty credit limits. Once all orders have been submitted to the tpMATCH sales team, tpMATCH staff run the matching algorithm which ensures resulting trades are delta neutral for each participant. In addition to the primary basis trade(s), a first fix swap hedge is generated to reduce duration risk derived from the different durations of the first fix’s of the underlying swap(s) and, where possible, this first fix hedge is amalgamated to reduce credit exposure.

Results are instantly delivered by tpMATCH staff to the trader screen and trade reports are also produced detailing the trades executed (including Markitwire trade id references). All confirmations will be generated and sent to Markitwire. Currently the system supports LCH-cleared GBP & EUR basis runs with tenors to 50 years. Further currencies are planned for the near future where market demand exists.

We have tailored the order input parameters to provide the trader with control functions on specific or multiple orders/trades.

Parameters Input Options Description
Matching Criteria Delta Neutral The algorithm will match as many positions as possible, subject to other criteria specified, with Delta Neutral results.
  Strategy The algorithm will endeavour to match all positions submitted on a ratio basis according to order size. Orders submitted must sum to zero.
Inter Bank Trades Yes/No Allows trades with others in your organisation
Inter-Portfolio Yes/No Allows trades between your own portfolios
Maximum Traded PV01 Numeric Restricts the total PV01 traded
Book ID Alpha/Numeric If specified, Markitwire will include the Book ID
Profit Limit Numeric Limits profit from differences between tpMATCH basis and your bank basis
Loss Limit Numeric Limits loss from differences between tpMATCH basis and your bank basis
Combined PnL Limit Yes/No Limits profit and loss across all submitted portfolio

Contact

tpMATCH Basis
Tullett Prebon plc
155 Bishopsgate
EC2M 3TQ
Tel: +44 (0) 20 7200 7177
Fax: +44 (0) 20 7200 7176
basis@tpmatch.com
For all SEF enquiries please contact Tullett Prebon's SEF Preparation Team:
101 Hudson Street
Jersey City, NJ 07302
Tel: +1 (201) 984-6559
info@tpsef.com