Why ICE USD Swap Rate Fixings Went Missing in March 2020
Summary
The document examines why ICE USD swap rate observations were absent during March and April 2020, while EUR observations remained available. It reports that the same gap appeared in data retrieved from both ICE-related time series and Thomson Eikon, and asks whether benchmark transition could explain the difference.
The accepted explanation points to severe pandemic-era market stress and the ICE fixing process, which depended on committed dealer prices streamed on electronic platforms. Dealers reportedly withdrew from electronic trading or stopped displaying firm prices, leaving the benchmark without inputs on some days. A contemporaneous industry report is cited as evidence of missed dollar and sterling fixings and of dealers negotiating trades directly to manage risk. The account does not establish the precise cause of every missing observation or fully rule out benchmark transition; it offers a plausible market-structure explanation rather than a definitive technical audit.
Key ideas
- ICE swap rate fixings depended on firm dealer prices streamed through electronic platforms.
- Pandemic-era stress led some dealers to pull back from electronic quoting.
- USD fixings were reported missing while EUR observations remained available in the questioner's data.
- Missing benchmark observations can reflect the loss of executable market inputs rather than a data vendor error.
- The proposed explanation is contextual evidence, not a complete diagnosis of every missing date.
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Full text
# Missing observations in ICE Swap rates # Missing observations in ICE Swap rates While searching time-series data for different interest rate benchmarks, I found that for the USD, all observations are missing for the period between March 2020/April 2020. This discontinuity is also justified when i retrieve the swap rates from the Thomson Eikon database. However, the swap rates based on EUR do not have missing values for these dates. My question is why such a discontinuity exists, particularly for USD. Is this related to the ongoing transition to different interest rate benchmarks? ## Answer by piterbarg (score 4, accepted) https://quant.stackexchange.com/a/61784 I am not sure why all observations are missing. However, interest rate markets were under severe pandemic-induced stress at the time. ICE methodology for swap rate fixes relied on having streamed committed dealer prices on electronic platforms which were simply not available on some days during that time as dealers pulled back from electronic trading. You can find a few more details here and references therein. Here is a quote from the Risk article (paywall) on 20 March 2020 that is mentioned in the blog I linked to above > 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 18) in dollars alone. Sterling versions of the rate have also suffered severe disruption, with just 45 fixings published out of 195. > ... > “In a market like this, dealers aren’t going to allow an algo to display prices and they’re not going to want to put firm prices out. Every deal they do will be negotiated based on where they think they can lay off the risk,” says the rates expert.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.