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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?

A) Since HIP’s spread increased more thanADB’s spread, HIP’s DVAwill be higher and ADB’s DVAwill be lower.

B) Since HIP’s spread increased more thanADB’s spread, HIP’s CVAwill be higher and ADB’s CVAwill be lower.

C) Since both banks’spreads increased, the CVAon both sides of the contract will be higher.

D) Since both banks’spreads increased, the DVAon both sides of the contract will be lower.

答案：C

解析：The lower credit qualities and increased credit spreads should result in higher DVAand CVAfor bothADB and HIP. Therefore, only C is correct and A, B and D are all incorrect.

Miven Corp. has two trades outstanding with one of its counterparties. Which of the following scenarios would result in the greatest netting advantage for Miven?

A) The two trades have strong positive correlation.

B) The two trades have weak positive correlation.

C) The two trades are uncorrelated with each other.

D) The two trades have strong negative correlation.

答案：D

解析：The greatest netting benefit among the scenarios presented occurs when the two trades have a strong negative correlation. In this case, a large portion of the negative exposures will offset positive exposures.

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