Swaps Data Review: A Day in the Life of a Swap

My Monthly Swaps Data Review for Risk Magazine was published today.

This looks at what can be seen in price data for Interest Rate Swaps by focusing on June 14, 2017 (the most recent FOMC meeting) and three of the highest volume products:

  • USD 10Y Swaps
  • USD 10Y Spreadovers
  • USD Curve/Switch/Butterfly Swaps in 10Y

Trade prints, price trends and volumes using SDR and SEF data are analysed.

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