有一个地方不明白

问题如下：

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:

选项：

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

解释：

With an upward-sloping term structure, the fixed payer has greater credit exposure. He receives less initially, but receives more lately. This back-loading of payments increases credit exposure. Conversely, if the forward curve flattens, the fixed payer (i.e., BNP Paribas) has less credit exposure. Credit Agricole must have greater credit exposure. Alternatively, if LIBOR drifts down, BNP will have to pay more, and its counterparty will have greater credit exposure.