NO.PZ2020033002000061
问题如下：
An investor holding a five-year Apple bond will get a return closest to the return of:
选项：
A.
A five-year Apple credit default swap on which the investor pays fixed and receives a payment in the event of default
B.
A five-year Apple credit default swap on which the investor receives fixed and makes a payment in the event of default
C.
A five-year U.S. Treasury bond plus a five-year Apple credit default swap on which the investor pays fixed and receives a payment in the event of default
D.
A five-year U.S. Treasury bond plus a five-year Apple credit default swap on which the investor receives fixed and makes a payment in the event of default
解释：
D is correct.
考点：Credit Default Swaps
解析：
A long corporate bond position is equivalent to a long Treasury bond position plus a short CDS.
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