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ACI Dealing Certificate 3I0-012 Question # 280 Topic 6 Discussion

ACI Dealing Certificate 3I0-012 Question # 280 Topic 6 Discussion

3I0-012 Exam Topic 6 Question 280 Discussion:
Question #: 280
Topic #: 6

You are entering into a swap as a fixed rate receiver with Party A and into an offsetting position with party B. All other things being equal, which of the scenarios below will lead to the greatest increase in the sum of the Credit Value Adjustments for A and B?


A.

upward shift of the swap curve and rating downgrade of party A


B.

downward shift of the swap curve and rating downgrade of party A


C.

downward shift of the swap curve and rating downgrade of party B


D.

downward shift of the swap curve only


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