A Bank Enters into a 3-Year Swap with Company X

Multiple Choice

A bank enters into a 3-year swap with company X where it pays LIBOR and receives 3.00%.It enters into an offsetting swap with company Y where is receives LIBOR and pays 2.95%.Which of the following is true:

A) If company X defaults, the swap with company Y is null and void
B) If company X defaults, the bank will be able to replace company X at no cost
C) If company X defaults, the swap with company Y continues
D) The bank's bid-offer spread is 0.5 basis points