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Saturday, April 18, 2015

par swap rate drop means ...@@

For a given tenor (say 1Y)

 

I think treasury yield rise (or drop) has a simpler interpretation....

 

I think Libor ED deposit rate drop (or rise) has another simple interpretation .... and has a credit element.

 

Libor par swap rate drop has a non-trivial interpretation....

 

OIS swap rate is even more complicated...