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The Bond B has a yield advantage of 183 basis points. With a three-month investment time horizon, the yield advantage is (183/4) = 45.75 basis points. Since we are looking at this in terms of Bond B: (-0.4575/-9.50) x 100 = +4.81579bp, implying that the spread must increase by 4.81579 basis points. Hence, in terms of the yield on Bond B, the breakeven change in yield is +4.81579bp, or an increase in the yield on Bond B (thus resulting in the widening of the spread between A and B by this amount). This change will result in capital losses for Bond B, which will offset B’s original yield advantage. Note that the CFA curriculum specifies using the bond with the greater duration which in this case would be bond A although as we have demonstrated in this question the bond with the shorter duration can also be used. Thus, if you are not told which bond to use to perform the calculation you should use the one with the greater duration.