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Which of the Following Statements Is Not True About a Credit

Question 61

Multiple Choice

Which of the following statements is not true about a credit spread option?


A) it is an option on the spread of a bond over a reference bond
B) its value would change with changes in investors' perceptions of a party's credit quality
C) it requires payment of a premium up front
D) it requires that the underlying bond be relatively liquid
E) none of the above

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