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徐威廉 · 2022年05月16日

关于rolldown return的分解

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000028

问题如下：

Which of the following statements best describes a credit curve roll-down strategy?

选项：

A.

Returns from a credit curve roll-down strategy can be estimated by combining the incremental coupon from a longer maturity corporate bond with price appreciation due to the passage of time.

B.

A synthetic credit curve roll-down strategy involves purchasing protection using a single-name CDS contract for a longer maturity.

C.

A credit curve roll-down strategy is expected to generate a positive return if the credit spread curve is upward sloping.

解释：

C is correct. A credit curve roll-down strategy will generate positive return only under an upward-sloping credit spread curve.

As for A, the benchmark yield changes must be separated from changes due to credit spreads, and under B, a synthetic credit roll-down strategy involves selling protection using a single-name CDS contract for a longer maturity.

rolldown return分为两部分1.incremental coupon income，2.price aooreciation，想问一下第一部分为什么不算在 E（r）里的第一项 coupon income里？

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已采纳答案

lynn_品职助教 · 2022年05月17日

嗨，努力学习的PZer你好：


rolldown return中的incremental coupon income为什么不在E（r）的第一项 coupon income里?

 

首先我们明确一点rolldown return其实按照Equation 1（收益率5分解模型），就单指价格升值部分，不包含coupon income，Coupon income我们是单算的。


其次，题目问的roll down strategy（Riding the yield curve）的收益，所以该策略的收益包含两部（静态的Coupon收益 + 动态的价格上升）。如果题目单问roll down return，那就专指收益率五分解模型里面的第二项（债券价格上升）

roll down strategy（Riding the yield curve），可以在整条收益率曲线上做riding，也可以像本题一样，只在credit curve上做riding，在不同的收益率曲线上做riding时，投资收益来源是有一点区别的。

在整条收益率曲线上做riding，收益是：（所有的coupon + YTM改变对债券价格的影响），其中YTM的改变包含benchmark YTM roll down与Credit spread roll down。

而在Credit curve上做riding，收益是：（Incremental coupon + credit spread改变对债券价格的影响），其中incremental coupon就是只与信用风险相关的Coupon，且价格上升部分也只与Spread改变有关

不同曲线上做riding描述会有差异，需要留意。另外我们做题一定要紧抓题干，注意细小的差别。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

徐威廉 · 2022年05月18日

”incremental coupon就是只与信用风险相关的Coupon“ 这句话是什么意思？ coupon分为固定和浮动两种，固定coupon不是在期初就确定好的嘛？ float coupon可以反应信用风险

lynn_品职助教 · 2022年05月19日

嗨，爱思考的PZer你好：


原版书V3 112~115页还有这章课后题~

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

lynn_品职助教 · 2022年05月18日

嗨，努力学习的PZer你好：


coupon分为固定和浮动两种，固定coupon不是在期初就确定好的嘛？ float coupon可以反应信用风险

同学问题中提出的coupon是我们平时一般发行的时候说的，这里提到的incremental coupon 是题目为了区分两种不同曲线的策略而提出的一个概念。固定的coupon确实确定好了，但是我们从最极端的角度想credit变差，我们是不是有可能本金利息都拿不到了，那即使是固定的coupon也是“不固定”的了。

收益是：（所有的coupon + YTM改变对债券价格的影响）

收益是：（Incremental coupon + credit spread改变对债券价格的影响）

不过题目的意思就是上述这两个不同影响因素对比，理解这个就行。

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努力的时光都是限量版，加油！

徐威廉 · 2022年05月19日

“而在Credit curve上做riding，收益是：（Incremental coupon + credit spread改变对债券价格的影响），其中incremental coupon就是只与信用风险相关的Coupon，且价格上升部分也只与Spread改变有关”请问这段在讲义的多少页？我自己去看，谢谢老师

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