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.

Called PY Match, the system automates the process for forward rate agreement and single period swap matching. The product is aimed at increasing efficiency in the matching process, traditionally involving complex data gathering and position matching at mid-point prices, said Prebon.

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.