2
$\begingroup$

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.

strong textfrom bloomberg

|improve this question
$\endgroup$
  • $\begingroup$ clearly it is an error. no dealer bids higher than they offer, bbg has probably mixed them up. $\endgroup$ – Attack68♦ Mar 11 at 16:25
  • $\begingroup$ You may want to contact Bbg help desk to report the problem. They can determine if the fault is on their end or not. $\endgroup$ – Alex C Mar 11 at 18:55

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.