What Would You Expect to Have Happened to the Spread

Multiple Choice

What would you expect to have happened to the spread between yields on commercial paper and Treasury notes immediately after September 11, 2001?

A) No change, as both yields will remain the same.
B) Increase, the spread usually increases in response to a crisis.
C) Decrease, the spread usually decreases in response to a crisis.
D) No change, as both yields will move in the same direction.