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When analyzing the impact of various factors like corporate bond default rates, credit-spread risk, and recovery rates on the returns of a typical investment-grade bond portfolio, which of the following statements holds true for a junior credit risk analyst at a US firm who is preparing a research report on the attributes and investment performance of corporate bonds?
A
The distribution of recovery rates of corporate issues is best described as a binomial distribution.
B
The size of a bond issuance is not empirically related to its recovery rates.
C
Measured over the same time period, US Treasury securities always outperform a portfolio of corporate bonds that experiences defaults.
D
Spread duration is best measured by the change in the corporate bond yield for a given 100 bp change in the Treasury rate.