I was wondering why the bid is larger than the ask for maturities bigger than or equal to 7 years?
If i export the screen to Excel i can see how the bid and ask swap rates are calculated. For the bid it is essentially just taking the bid Par swap rate for USD 3m LIBOR (=:K) and subtracting the bid par swap rate for a LIBOR-fed funds basis swap (=:s), with some adjustment for different payment frequencies and daycount conventions it creates a synthetic Federel funds fixed-for-floating swap i.e
(LIBOR- K) - (LIBOR-(FF+s)) = FF-(K-s)
(bid) - (bid) = (bid)?
Bloomberg quotes (with some modifications) K-s on the screen in the 'bid' column for maturities bigger than 7. But why would you subtract bid for bid since you are 'selling' the LIBOR-ff basis swap. Shouldnt you take the bid from the Par swap and the ask from the LIBOR-ff basis swap to get:
(LIBOR- K) - (LIBOR-(FF+s)) = FF-(K-s)
(bid) - (ask) = (bid)
Your help would appreciated.