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Credit Spread curve strategies

NO.PZ2021120102000028

问题如下：

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

选项：

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.

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

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.

选项A怎么错的，麻烦具体讲一下

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.

题目是在讨论credit curve roll down strategy，即，是在债券的信用风险曲线上做roll down strategy，并不是在YTM利率曲线上做roll down strategy。

差别就是，credit curve曲线上只含债券的信用风险，而YTM曲线的roll down strategy包含来自于benchmark rate与credit curve的2方面影响。

选项A的问题在最后一句，with price appreciation due to the passage of time. 他的意思是说，credit curve roll down strategy的价差收益是来自于债券的期限变短。

这句话说的不精确，债券的期限变短带来的价差收益，就是（YTM）yield curve roll down strategy，是期限变化，对标的债券折现率YTM变化带来的价差收益。这里面既包括credit curve的roll down价差收益，又包括benchmark YTM的roll down价差收益。

最后一句改一下就是正确的：

with price appreciation due to the change in credit spreads on the stable credit curve.

即，（单纯是期限改变），导致对应的credit spread改变，这种价差收益就是credit curve roll down strategy的价差收益。

Credit Spread curve strategies

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