I suggest eating.
Some people swear that they burn more fat on an empty stomach. This may (or may not) be true. But even if it were true, it may only be so provided you did the same amount of exercise, and the amount of extra fat burned is probably negligible. But I'd say that:
- you're in a highly-catabolic state and may burn more muscle too
- you're more likely to swim an extra lap (and thus burn more energy) or lift a heavier weight if you're not glucose/glycogen-depleted
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