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I have a very specific question in regards to a forward calculation. The USDEUR spot rate today is 0.759503. Libor and Euribor forward rates for the NeXT year are as follows:

Fwd 3m Libor

0.00288 0.00283 0.00321 0.00348

Fwd 3m EUROIBOR

0.00218 0.00190 0.00259 0.00310

I am told that the implied appreciation of the EUR is 32 bp, which i do not understand. When i calculate it using interest rate parity i only get approx. 6bp.

Can anyone help?

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