Ice swap rate failure disrupts exotics desks
Dollar version of rate wasn’t published on nine out of 22 working days in August
A key dollar swap rate failed to publish on nine occasions during August, including on three consecutive days, causing problems for exotics traders who depend on the rate to price products such as swaptions and constant maturity swaps.
The failures in the Ice swap rate have renewed scrutiny of the benchmark’s fallback policies, namely a dealer poll or using the last available rate.
The second option, in particular, has attracted criticism from dealers.
“I don’t think the last available rate
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