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A 12-Month EUR/USD Swap Is Quoted at 241/244

Question 87

Multiple Choice

A 12-month EUR/USD swap is quoted at 241/244. EUR interest rates are expected to fall, with USD interest rates (which are higher) remaining stable. Assuming no change in the spot rate what effect would you expect on the forward points?


A) Unchanged
B) Move towards 228/231
C) Move towards 257/260
D) Insufficient information

Correct Answer:

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