Has Swaptions Clearing Begun?

We’ve written quite a bit about swaptions clearing in our blog.  I was surprised to see that the first article was over 4 years old – back when the industry (and Gensler!) began talking about it:

In the most recent article in March 2016, Amir ended up wondering how quickly firms would take up swaption clearing.

Well, we know the answer to that:  they didn’t.

But something is perhaps changing.  Lets look.


If we use CCPView, and look at weekly volume back to the launch of swaption clearing (April 2016), we see only a couple trades cleared at launch, and then nothing cleared in 2017.


That is, until last week, when CME cleared over $500m of swaptions across 5 days, as seen in this daily chart from CCPView.



CME also put out some details on their website about the progress:


  • 8 Participants have now cleared a swaption
  • $558 million cleared in this past week.
  • Activity included 30 swaptions (trades) and 5 participants
  • Open interest at $280 million

So, how much can we see about these cleared trades on the SDR?  This part is a bit unfortunate.  I ideally wanted to go see the cleared trades, see if they were straddles, payers, receivers, etc, but…

Swaptions Trade counts as reported by the SDR, separated by Cleared/Uncleared

It seems the SDR data only show 7 cleared trades over the week (as opposed to the 30 quoted by CME).  Why doesn’t the SDR show all the cleared swaptions?  Likely because either:

  • The reporting counterparty executing the swap has not ever had to flag them as cleared (so they are forgetting to flag them correctly)
  • Or, perhaps these were executed bilaterally and then backloaded.

If you’re wondering if any cleared swaps were traded on a SEF – no, none of the 7 we see as cleared were on SEF.


CME reported a good number of swaptions clearing activity last week.

My takeaway is that participants may just be taking this seriously now, particularly given the uncleared margin rules.

A case of clients testing the pipes?  Perhaps.  We’ll be able to see if this continues.

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