Pretty sure he still has it the last time we see him in the battle, but that was where he handed the infinity gauntlet off to T'Challa, so there's a fair amount of time where he's out of sight, including the bombardment, which is a good candidate for when he might have lost it.still can't explain the sword...Clint used it and had it even during the final battle with Thanos and his goons. Maybe he lost it during the final battle in the rumble? Need to watch Clint's scenes very closely to see if drops the sword at some time?
Mind you the disposition of the sword was weirdly inconsistent. In it's initial appearance it acts just like a normal, rigid, non-collapsible sword, complete with back scabbard. It stays like that right up until Nat his hanging from the cliff (though weirdly he's not wearing it or the quiver during the "going quantum" scene.) Then when he wakes with the soul stone, both it and his quiver are gone...again. Fast forward to the snap scene and the quiver is back, but no sword or scabbard. Then in the sewer fight, he suddenly pulls the sword out of...somewhere, and now it's the retractable blade we see in the show, which as I mentioned, he has up until the hand-off.
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