单选题 Which of the following statements concerning the arbitrage-free valuation of non-Treasury securities is TRUE? The credit spread is:

A. only a function of the bond's default risk.
B. only a function of the bond's term to maturity.
C. a function of default risk and the term to maturity.

【正确答案】 C

【答案解析】For valuing non-Treasury securities, a credit spread is added to each treasury spot yields. The credit spread is a function of default risk and the term to maturity.