Article: The impact of Brexit on your next cleared swaps margin call

28 June 2016 | OpenGamma Feed

In the run-up to the Brexit vote, many firms trading OTC interest rate swaps were understandably worried about the impact of short term market volatility on the margin that they would need to post to their clearing houses. Our aim in this post is to share some of the analysis that we did prior to the vote, and are continuing to run on an hour by hour basis, with the objective of helping firms to assess the liquidity impact and to understand the key drivers of changes in margin.