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An analyst gathers the following information about a 4-year bond with an annual pay coupon of 5.5%:
Bond value assuming no default: 105.45
Default-free YTM: 4.00%
Current bond price: 103.15
Current credit spread: 0.62%
If the credit valuation adjustment increases to 3.45, the change in the credit spread is closest to:
A
0.32%.
B
0.94%.
C
1.59%.