The "spot basis" of a 2 against 4 months EUR/USD forward/forward swap is:

Question

Options

• Ausually the current spot EUR/USD mid-market rate
• Bcommonly the prevailing 4-month forward EUR/USD mid-rate
• Calways the forward EUR/USD bid rate of the first swap leg
• Dgenerally the prevailing 2-month forward EUR/USD mid-rate

• A
  4% (1)
• B
  13% (3)
• C
  9% (2)
• D
  74% (17)

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