tpMATCH

Latest Developments

• Overview
• Latest Developments
• FAQ

September 2010

uniMATCH

• In contrast to bilateral switching where you buy one date and sell another, uniMATCH allows unilateral matching of orders with no need for an opposing position in your portfolio.
• A portfolio containing only buy (or sell) dates can be matched in the run with the resulting trades being returned to a delta/curve neutral position as part of the IMM hedge process.
• Date restrictions will be removed in this process (switching window, cross calendar month and cross year end turn) but the Stub and P&L parameters may still be used.
• Six month positions are included in the uniMATCH process, with three month IMMs provided to hedge the delta/curve, so a change in basis can occur which may be limited using the basis limiter (see below).

Cross tenor

• In addition to reducing fixing risk you can now reduce basis risk by choosing to match three month fixings against six month fixings and vice versa. All trades will adhere to your parameters and be weighted (200m 3mth vs 100m 6mth).
• The switching window will restrict the number of business days between the start dates of the matching FRAs.
• The basis limiter may be used in conjunction with cross tenor matching allowing you to limit the amount of basis you wish to buy or sell (see below).

Basis limiter

• When executing Cross Tenor or uniMATCH the 'Net Buy 3s v 6s (Sell Basis)' and 'Net Sell 3s v 6s (Buy Basis)' parameters allow the amount of basis bought or sold to be limited.

Reduce monthly exposure

• When your orders have been entered in the order sheet and the order sheet re-calculated, your monthly exposure will be displayed in the Reduce Exposure tab. A constraint can then be set to ensure a certain month's exposure will not increase.

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