Question: 1. Citicorp's 6-month Libor + 75 bps floating rate notes due 4/10/22 are about to have their coupon reset at the new Libor rate in

1.Citicorp's 6-month Libor + 75 bps floating rate notes due 4/10/22 are about to have their coupon reset at the new Libor rate in effect on 4/10/18, yet you observe they are trading at 99% of par.Which of the following is the most likely explanation this price is below par?

A.Investors expect Libor to be reset at a higher rate than it was at its last setting

B.Citicorp's 5-year credit spread has tightened

C.Bond buyers are executing a short squeeze

D.Investors are reducing their portfolio allocations to short duration assets

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