The National Bank of Feluria anticipates investing $2,000,000 in Eurodollars in four months. To hedge against interest rate risk, the bank undertakes a long hedge by buying two Eurodollar futures contracts at 5.76%. The current cash rate is 5.58%. What is the basis on the day the bank enters into the hedge? Submit your final answer as a percentage rounded to two decimal places (Ex. 0.00%).

Answer rating: 100% (QA)

The basis which reflects the difference between the futures rate and the spot cash rate is 5600 in t... View the full answer