ACI
3I0-012 · Question #389
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…
The correct answer is B. downward shift of the swap curve and rating downgrade of party A. See the full explanation below for the reasoning.
Question
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?
Options
- Aupward shift of the swap curve and rating downgrade of party A
- Bdownward shift of the swap curve and rating downgrade of party A
- Cdownward shift of the swap curve and rating downgrade of party B
- Ddownward shift of the swap curve only
How the community answered
(32 responses)- A3% (1)
- B84% (27)
- C9% (3)
- D3% (1)
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