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Prebon launches online FRA matching system
Brokerage house Prebon Yamane Asia-Pacific has launched an online matching system for floating rate reset risk positions in swap portfolios for Australian dollar (A$) and Hong Kong dollar (HK$) currencies.
PY Match is a similar system to reset risk services developed by Tradition interdealer broker unit Switchfix about two years ago, and more recently in Europe Icap's Fra-Cross.Prebon's methodology for gathering prices and constructing yield curves is different for the A$ and HK$ PY Match systems. In the A$ system, participating banks provide rates for the early, middle and latter parts of the month. The average points gathered from these rates then form the basis of a yield curve, with matching sessions - where traders can enter buy and sell orders for three-month FRAs - taking place fortnightly. Banks then receive notification of successful matches.
With the HK$ system, the matching algorithm uses a market-accepted yield curve for matching positions. Matching sessions will take place fortnightly following the release of the HK$ Hibor fixing rates.
Currently, Prebon has only gone live with the online system for A$, but plans to launch PY Match in HK$ shortly. The system was developed in conjunction with Kinetech Services, a financial systems technology company.
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