老师，用排除法选择了C，但不明白C怎么对的，请教下

问题如下：

Given the ongoing recession in Australia, Redfield is reviewing Australian corporate bonds with the same five-year maturity held in the foreign bond strategy. The three bonds being reviewed are listed in Exhibit 2. Redfield agrees with Simmons’ assessment of the Australian economy.

Based on this information, Redfield makes the following comments to Simmons regarding the Australian bonds:

• Comment 1 You can calculate the expected loss by multiplying the probability of default by the recovery rate.
• Comment 2 Relative to bond B and bond C, bond A has likely experienced the worst price return over the last 9 months.
• Comment 3 Based on your economic forecasts, in 6–12 months overall credit spreads should narrow and the rate of improvement will likely be greatest for bond C.

Which of Redfield’s comments regarding the Australian corporate bonds in Exhibit 2 is most likely correct?

选项：

A.

Comment 1

B.

Comment 2

C.

Comment 3

解释：

C is correct. Comment 3 is correct. When credit spreads are generally narrowing, the rate of improvement will tend to be greater for those bonds issued by entities with a relatively weaker ability to pay. Bond C has the lowest credit rating, highest probability of default, and widest spread over government bonds and should experience the greatest rate of improvement as the Australian economy improves and spreads narrow.

A is incorrect. Comment 1 is incorrect. Expected loss = Probability of default x (1 – Recovery rate). For example, bond B has an expected loss of 2% x (1 – 35%) = 1.3%.

B is incorrect. Comment 2 is incorrect. The Australian economy entered recession approximately 6 months ago. As the business cycle turns down, those issuers with good credit ratings tend to outperform those with lower ratings as the spreads between low and higher quality issuers widen.