Banks have cautiously welcomed the CME's plan to launch swaptions clearing in the first quarter of next year, as they weigh potential margin efficiencies against the difficulties in risk-managing the products. The settlement and clearing of options on interest-rate swaps through central counterparties is controversial because many banks argue the products are too complex for the margin models offered by clearing houses. Variables such as second-order sensitivities (gamma, vanna, vera etc) are challenging for the most advanced bank trading desks, and there is little standardisation of their calculation across the industry.
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