Found: The First Cleared Swaption

I took a bit of heat for my recent report citing the first cleared swaption that did not show up on the public SDR.

Missing Swaption Milk Carton SmallBy all accounts, the trade was cleared at CME on April 11, as witnessed by CCPView where it shows up as a “1Yr” swaption.  While its valuable to see it in CCPView, there is a great deal more value in the transparency that SDR trade level reporting brings.

Our attempts to locate it on an SDR had failed over the course of the week, which left us with a few theories:

  • It was incorrectly reported as a bilateral trade
  • It was reported to the CME SDR
  • It was reported overseas
  • It was not reported at all
  • It was back-loaded, and hence not reported to the public


It took a week, but indeed it did show up on an overseas Trade Repository, which makes sense given that the two parties to the trade (per the press release) would seem to be British institutions.  The GTR is a perfectly legitimate place to report the trade in this case.

The DTCC GTR reported this for the week ending April 15:

DTCC GTR report for all IRS trades, Week Ending April 15
DTCC GTR report for all IRS trades, Week Ending April 15

While the GTR claims 2 trades and a 100mm notional, we know it has to be the one and only 50mm position that the CME is reporting; hence the GTR appears to double-count European TR data.

We’ve said it many times, but instead of knowing all of the trade terms/dates/prices that we would know under CFTC rules, we are left with only a notional count under current European regulations.

Hopefully when MIFID II goes into effect, we’ll be able to start getting full transparency into such trade data, but frankly:

  • MIFID II is delayed until 2018 (at least!?)
  • I would be concerned that even under MIFID II, cleared swaptions might get caught up in some carveout / exemption for some assessment of being “illiquid” or such.

Time will tell.  Hopefully by the time bilateral margins roll around in September 2016, we’ll see heightened interest in cleared swaptions, and hence more US SDR data to look at.  We’ll be keeping an eye on it.

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