Swaps benchmark vanishes as traders flee firm price venues
Dollar Ice swap rate fails to publish in March rout; patchy Sonia Clob prices could delay term rates
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
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