Prebon Yamane launches py match for Singapore dollar

The system, which automates the process for forward rate agreement (FRA) and single-period swap (SPS) matching, was first introduced in the region in March this year for Australian dollar and Hong Kong dollar currencies.

"Since the launch of py match in Australian and Hong Kong dollars in March this year, we have received as many as 160 orders with a total value of A$25.7 billion ($14.3 billion) and 250 orders with a total value exceeding HK$100 billion ($12.8 billion) per Australian dollar and Hong Kong dollar matching session respectively," said Len Harvey, chief executive of Prebon Yamane Asia-Pacific, based in Tokyo.

Prebon Yamane's py match system allows interest rate swaps and FRA traders to hedge floating rate exposures at mid-point prices, and is aimed at minimising the affect of short-term volatility in interest rates, the broker said. Each currency has a different methodology for gathering prices and constructing yield curves. For Singapore dollar, py match derives a yield curve from values contributed by participating banks. Traders can enter buy and sell orders for three and six-month FRAs and SPSs, while matching sessions take place at regular intervals, according to Prebon.

For Australian dollar, a yield curve is derived from monthly early and late points on the Australian dollar bank bill curve polled from participating banks. The Hong Kong dollar py matching system, meanwhile, uses a yield curve constructed using the three-month Hong Kong dollar Hibor fixing rates and three-month Hibor futures. Traders can enter buy and sell orders for one and three-month FRAs and SPSs, while matching sessions take place fortnightly following the release of the Hong Kong dollar Hibor fixing rates.