Swaps Data: Anatomy of a Wild Week in USD Swaps

My monthly Swaps Review in Risk Magazine looks at the recent market volatility resulting from Italian political events, which caused investors to move out of euros and into dollars and treasuries:

  • 29th May, saw large falls in USD Swap Rates
  • Swap volumes three times higher in major tenors
  • How prices moved during the day
  • Recovery in rates on the next day

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