The statements for Country B and C seem like contradictions:
“Country B: Yield curve is currently upward sloping. Trader expects a reversal in the slope. Trader assumes that future spot rates will be higher than current forward rates for all maturities”
If the trader thinks the yield curve will be downward sloping, how can future spot rates be higher than current forward rates???
“Country C: Yield curve is currently downward sloping. Trader expects a reversal in slope. Trader assumes that future spot rates will be lower than today’s forward rates for all maturities”
Same question. How can future spot rates be lower than forward rates if yield curve is upward sloping?