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Reading Bid and Ask Quotes in Swap Rate Tables

Article Quant Q&A · Author: Alex
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Summary

The document clarifies how to interpret a compact swap-rate quote written with two values separated by a slash. In the example, the first value is the bid rate and the second is the offered, or ask, rate. The difference between those quoted sides is the bid-ask spread, expressed in basis points. This lets a reader distinguish the rate at which a dealer is prepared to receive one side of a trade from the rate offered for the other side.

The example concerns a one-year swap rate table, but the explanation is limited to the quote format itself. It does not discuss swap valuation, conventions, day counts, or how the quote relates to a particular transaction. Readers should use the table's stated units and market conventions when interpreting other entries, since the short answer assumes the displayed values are rates quoted on the same scale.

Key ideas

  • In the displayed two-sided quote, the first rate is the bid and the second is the offer.
  • The difference between bid and offer is the bid-ask spread.
  • Interpret the spread using the units and conventions stated for the rate table.
  • The quote explanation does not cover swap valuation or transaction conventions.

Tags

Fixed incomeMarket microstructure
Full text
# How to read the notation used for the swap rates in the form 4.412/452 for the 1 year swap rate?


# How to read the notation used for the swap rates in the form 4.412/452 for the 1 year swap rate?












How to read the notation used for the swap rates in Table 20.6 below? What does 2.412/452 means?

## Answer by dm63 (score 2)

https://quant.stackexchange.com/a/75221

That is 2.412 bid, 2.452 offered. A 4bp wide market.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.