You are the buyer of a receiver's swap. All other things being equal your counterparty risk is increasing if
A) the swap curve is shifting downwards
B) the swap curve is shifting upwards
C) swaption volatilities are decreasing
D) time to expiry is becoming shorter

Question

Quizplus · Accepted Answer

When the swap curve shifts downwards, the present value of the fixed payments you are set to receive increases, thus increasing the counterparty risk as the counterparty's obligation becomes more valuable.

You Are the Buyer of a Receiver's Swap