解释一下

问题如下：

ADB Banking Corporation (ADB) often enters into interest rate swaps with HIP Bank (HIP) on terms that reflect appropriate counterparty risk. Earlier in the year, HIP and ADB entered into a 3-year swap in which ADB agreed to pay HIP 5% fixed in return for 6-month LIBOR plus a spread. Since the swap was entered into, both banks were downgraded. As a result of the ratings changes, the credit spread for HIP has increased from 36 bps to 144 bps, while the credit spread for ADB has increased from 114 bps to 156 bps.

Assuming no change in the LIBOR curve, if an identical 3-year swap was entered into today, which of the following is the most likely to be correct?

选项：

A.

Since HIP’s spread increased more than ADB’s spread, HIP’s DVA will be higher and ADB’s DVA will be lower

B.

Since HIP’s spread increased more than ADB’s spread, HIP’s CVA will be higher and ADB’s CVA will be lower

C.

Since both banks’ spreads increased, the CVA on both sides of the contract will be higher.

D.

Since both banks’ spreads increased, the DVA on both sides of the contract will be lower.

解释：

The lower credit qualities and increased credit spreads should result in higher DVA and CVA for both ADB and HIP. Therefore, only C is correct and A, B and D are all incorrect.