Swaps benchmark vanishes as traders flee firm price venues

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

A rate underpinning trillions of dollars’ worth of swaptions and structured products has failed to publish for more than two weeks as the firm swap prices required to produce the benchmark were pulled from electronic order books amid wild market swings.

The Ice swap rate, a daily measure of term Ibor-referencing swap rates from one to 30 years, has not yet published across any of the 13 dollar maturities during March. That means 182 scheduled fixings have been missed so far this month (to March

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]