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:
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