You are entering into a swap as a fixed rate receiver with Party A and...

Vendor: ACI
Product: 3I0-012
Update on: Aug 18, 2025
Questions: 740

ACI 3I0-012 Question Answer

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?

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

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

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

downward shift of the swap curve only