Bank a Holds a Credit Risky Asset on Its Balance

Bank A holds a credit risky asset on its balance sheet. It enters into a total return swap (TRS) referenced to this asset with hedge fund B to pay the total return to B and receive Libor in return. Under what scenario does bank A bear credit risk on the reference asset this contract?

A) When the issuer of the reference asset defaults.
B) When hedge fund B defaults.
C) Only when the issuer of the reference asset and hedge fund B default.
D) All of the above.