Article: BREXIT – The Impact on Swap Margin

28 June 2016 | ClarusFT Feed

Given the large moves in Swap rates that we highlighted in our BREXIT Day One and Day Two blogs, I thought it would be interesting to look at the impact on Swap margins. Cleared IRS 10Y Lets start by using CHARM to calculate the IM of 10Y par vanilla swaps in EUR, GBP and USD. Showing that on 23 […]

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