Swaps Data: Analysing the US rates collapse

My monthly Swaps Review looks at:

  • USD Swap rates daily moves in 2019 YTD
  • Highlighting the massive falls in August 2019
  • Putting these into historical context all the way back to 2008
  • The impact on Initial margin models
  • The impact on CME-LCH-Basis and CCP Switch trades
  • USD Swap volumes in August 2019

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