Article: Swaptions Clearing, a more detailed look

25 November 2013 | Amir Khwaja

Last week at SEFCON IV in NY, CFTC Chairman Gary Gensler in his keynote stated that Swaptions were the largest Interest Rate product not currently being Cleared.

This triggered me to think about updating my last blog of July 2013, see Swaptions Clearing, Why is it Important?

In this article I look at:

  • Daily volumes in USD Swaptions.
  • On SEF Volumes.
  • Swaption Straddles, Payers & Receivers
  • Expirys, Tenors and Strikes.

For the full article, please see Swaptions Clearing, a more detailed look.


Granted swaptions linear risk offset benefits of elective clearing in the CCP might be attractive.It is less clear however:- whether CCPs (from a prudent risk management perspective if not a revenue perspective) really want non-linear risk comingled with linear risk in one CCP e.g. try closing out a combined swaption / IRS portfolio when swaption market quotes stop for several days on end as happened fairly recently.- how this affects default fund contributions and their capitalization- even if CCPs offer it whether regulators would want to mandate swaption clearing given the above.

The OTC Space:Swaptions Clearing, a More Detailed Look