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Libra · 2024年07月26日

如题

  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.

可以讲解下为什么c正确吗

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1 个答案

发亮_品职助教 · 2024年07月26日

选项C就是标准的Credit spread curve上roll down the yield curve策略。


roll down the yield curve策略的大前提是：收益率曲线在整个投资期内是stable的

即，收益率曲线没有发生平行移动，没有发生形状的改变，期初是啥样，投资期结束期末还是啥样。

如，期初的1-year credit spread=1%, 2-year credit spread =2%, 3-year credit spread=3%, 5-year credit spread =5%


假设投资期是2年，Stable就意味着，在这2年里，收益率曲线没有任何改变，2年后的credit spread还是1-year credit spread=1%, 2-year credit spread =2%, 3-year credit spread=3%, 5-year credit spread =5%，这是Stable的含义。


当Credit spread curve是upward sloping时，即长期credit spread大于短期credit spread，我上面举例的数据就是向上倾向。那么这时候，利用债券做credit spread roll down，赚到的收益就是正数。解释如下：


假设期初买了5年期的债券，期初时刻，债券的折现率（spread部分）对应的是5年期的credit spread，此时折现率是5%，还是一个比较大的数据。所以期初折现出来的债券价格比较低。


投资2年，2年过去了，此时债券变成了一个3年期债券，此时对应的折现率应该是3年期的credit spread，由于曲线stable，可知3年期的credit spread是更低的3%


这相当于期初债券的折现率较高（折出来的价格较低），是用5%的credit spread折现，期末债券的折现率相对较低，是用3%的credit spread折现，期末折现率更低（折出来的价格较高）。

所以相当于是投资者期初低价买入债券，期末高价卖出债券，赚到了一个价差收益，这个价差收益就是正数（postive）


需要注意的是，债券的折现率应该是债券的YTM，而YTM=benchmark rate + credit spread。但我们这里讨论的是在credit spread curve上做rolldown，于是我们不考虑benchmark rate的影响，只考虑Credit spread的影响，即，只考虑期初的credit spread较高，期末的credit spread较低，所以期初、期末折现率存在差异，导致期初、期末债券价格有差异。这个差异就是rolldown return。


如果债券是在整条利率曲线上，YTM curve上做rolldown the yield curve策略，分析同理。只不过那时候对应的是整条YTM curve。在整条YTM上做rolldown的策略是在LM 3里有细讲，不再赘述了哈


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