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BNP Paribas has just entered into a plain-vanilla interest-rate swap as a pay-fixed counterparty. Credit Agricole is the receive-fixed counterparty in the same swap. The forward spot curve is upward-sloping. If LIBOR starts trending down and the forward spot curve flattens, the credit risk from the swap will:
A
Increase only for BNP Paribas
B
Increase only for Credit Agricole
C
Decrease for both BNP Paribas and Credit Agricole
D
Increase for both BNP Paribas and Credit Agricole