The existence of basis spreads leads to that e.g. a 6M forward rate has a different price than two after each other following 3M forward rates. This due to that the 6M forward rate has a higher credit and liquidity premium.
Can someone explain why? As I see it, the money is locked in 6 months in both contracts and therefore should have equal credit and liquidity risk. Is this because the demand and supply of 3M contracts is higher than the 6M?