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?
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.