US swap rate failed during volatility rout
The Ice swap rate was not published on February 6 due to a lack of electronic prices during equity turmoil
Liquidity in the electronically traded US dollar interest rate swap market was so sparse during the bout of equity volatility on February 6 that the Ice swap rate was unable to be published.
Dealers pulled liquidity from central limit order books (Clobs), which supply the data used to calculate the rate, after the S&P 500 fell over 4% and CBOE Volatility Index surged 106% the previous day.
“The circuit breakers kicked in on the trading platforms and there was very inconsistent market-making
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