An Australian investor holds a three-year FRN with a coupon of three-month MRR + 1.25%. Given an
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An Australian investor holds a three-year FRN with a coupon of three-month MRR + 1.25%. Given an expected strong economic recovery, she anticipates a rise in Australian MRR over the next three years and an improvement in the FRN issuer’s creditworthiness. Which of the following credit spread measures does she expect to be the lowest as a result?
A. QM
B. DM
C. Z-DM
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