NO.PZ2024050101000098
问题如下:
Local Company, a frequent user of swaps, often enters into transactions with Global Bank, a major provider of swaps. Recently, Global Bank was downgraded from a rating of AA+ to a rating of A, while Local Company was downgraded from a rating of A to a rating of A-. During this time, the credit spread for Global Bank increased from 20 bps to 150 bps. While the credit spread for Local Company increased from 130 bps to 170 bps. Which of the following is the most likely action that the counterparties will request on their credit value adjustment (CVA)?
选项:
A.The credit qualities of the counterparties have changed, but not enough to justify amending existing CVA arrangements
B.Global Bank requests an increase in the CVA charge it receives
C.Local Company requests a reduction in the CVA charge it pays
D.CVA is no longer a relevant factor, and the counterparties will use other mitigants of counterparty risk
解释:
creadti spread 都增加了,彼此的CVA也都增加了,为什么选C呢