问题
单项选择题
Which of the following statements on spreads is FALSE（）
A. The Z-spread may be used for bonds that contain call options.
B. The Z-spread will equal the nominal spread if the term structure of interest rates is flat.
C. The nominal spread is the difference of specific security’s yield-to-maturity (YTM) and the YTM of a Treasury security of similar maturity.
答案
参考答案：A
解析：
The Z-spread is used for risky bonds that do NOT contain call options in an attempt to improve on the shortcomings of the nominal spread.