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  • Electronic Markets Risk Management Services

Post trade Risk Management Platform

MATCHBOOK (formerly known as tpMATCH)

MATCHBOOK is Tullett Prebon's electronic FRA & SPS 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. MATCHBOOK 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 MATCHBOOK.

Once all orders have been uploaded into the system, MATCHBOOK 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.

  • What is MATCHBOOK?
    MATCHBOOK is a multilateral electronic trade matching system designed to reduce future floating rate exposure in interest rate portfolios.
  • What does it do?
    MATCHBOOK 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. MATCHBOOK will supply IMM FRAs to re-balance the trades executed ensuring (as close as possible) that curve and directional risk is mitigated.
  • How does MATCHBOOK work?
    • Tullett Prebon 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?
    MATCHBOOK 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:
Parameters Input Options Description
Intra-Bank Y/N 'N' prevents matching between traders within the same legal entity.
Inter-Portfolio Y/N 'N' prevents matching between your portfolios.
Profit Limit CCY Limits any profit differential between tpRATE and your Bank Rate.
Loss Limit CCY Limits any loss differential between tpRATE and your Bank Rate.
Stub Long 3mth FRA (Millions) Limits resulting long stub position vs front IMM.
Stub Short 3mth FRA (Millions) Limits resulting short stub position vs front IMM.
uniMATCH (No Date Restrictions) Y/N Allows unilateral matching  vs 3 mth IMMs on all possible dates, all date restrictions will be superseded.  Basis limits may still be specified.
Cross Tenor Y/N Allows matching across tenors (within switching window) in weighted ratios e.g. 200m 3mth vs 100m 6mth
Net Buy 3s v 6s (Sell Basis) 3mth FRA (Millions) Restricts the maximum net 3mth FRAs bought vs 6mth FRAs
Net Sell 3s v 6s (Buy Basis) 3mth FRA (Millions) Restricts the maximum net 3mth FRAs sold vs 6mth FRAs
Cross Calendar Month Y/N 'N' prevents matching with a date in a different calendar month.
Cross Year End Turn Y/N 'N' prevents matching a 'non-turn' date with a 'turn' date.
Switching Window Business Days Restricts the number of business days between the start dates of matching FRAs
Minimum Trade Size 3mth FRA (Millions) Restricts the minimum notional trade size you wish to match
Maximum Order Size 3mth FRA (Millions) Restricts the tradeable notional size by date.
Ad hoc Matching Restriction by date X 'X' will restrict matches up to and including this date (tenor specific and keyed in the column adjacent to the order entries).
Net 3mth Exposure Limit by Calendar Month X Ensures net exposure by calendar month is not increased.
  • 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 MATCHBOOK 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 MATCHBOOK?
    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.

Additional Terms

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