Consider the following yields to maturity on variousone-year zero-couponsecurities:

Security

Yield(%)

Treasury

5.5

AAA Corporate

5.7

BBB Corporate

6.5

B Corporate

6.7

The credit spread of the B corporate bond is closestto:

A.

0.6%

B.

1.2%

C.

2.4%

D.

1.5%