问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
老师好， 从Credit Agricole 的角度我想不明白了，如果 LIBOR drift down 为什么BNP will have to pay more?
NO.PZ2016082406000053 BNP Paribhjust entereinto a plain-vanilla interest-rate swa pay-fixecounterparty. Cret Agricole is the receive-fixecounterparty in the same swap. The forwarspot curve is upwarsloping. If LIBOR starts trenng wn anthe forwarspot curve flattens, the cret risk from the swwill: Increase only for BNP ParibIncrease only for Cret Agricole crease for both BNP ParibanCret Agricole Increase for both BNP ParibanCret Agricole ANSWER: B With upwarsloping term structure, the fixepayer hgreater cret- exposure. It receives less initially, but receives more later. This backloang of payments increases cret exposure. Conversely, if the forwarcurve flattens, the fixepayer (i.e., BNP Paribas) hless cret exposure. Cret Agricole must have greater cret exposure. Alternatively, if LIBOR ifts wn, BNP will have to pmore, anits counterparty will have greater cret exposure. bnp收浮动 利率下降 cf上升 不应该是bnp赚钱所以有敞口吗
NO.PZ2016082406000053 BNP Paribhjust entereinto a plain-vanilla interest-rate swa pay-fixecounterparty. Cret Agricole is the receive-fixecounterparty in the same swap. The forwarspot curve is upwarsloping. If LIBOR starts trenng wn anthe forwarspot curve flattens, the cret risk from the swwill: Increase only for BNP ParibIncrease only for Cret Agricole crease for both BNP ParibanCret Agricole Increase for both BNP ParibanCret Agricole ANSWER: B With upwarsloping term structure, the fixepayer hgreater cret- exposure. It receives less initially, but receives more later. This backloang of payments increases cret exposure. Conversely, if the forwarcurve flattens, the fixepayer (i.e., BNP Paribas) hless cret exposure. Cret Agricole must have greater cret exposure. Alternatively, if LIBOR ifts wn, BNP will have to pmore, anits counterparty will have greater cret exposure. BNP是支固定收浮动，远期利率降低，BNP的盈利减少，所以exposure变小，同理CA的变大。
老师好，收益率曲线变得向平，未来利率变低，应该是swreceiver 赚钱（bnp赚钱），bnp的对手方风险上升，选a。这样的逻辑哪里错了？
这道题目一开始说forwarrate curve是up slopping的，后来又说是flatten。所以这个答案是指forwarrate curve在flatten的情况下，谁有exposure吗？
