Bnp paribas has just entered into a plain-vanilla

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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

Reference no: EM13568925

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