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1111 · 2024年12月28日

请问一下A答案中“incremental coupon”没有问题吗？可以再解释一下吗？

  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.

发亮老师，A答案“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.”其中说incremental coupon...这个没有错误吗？因为rolldown并非coupon？另外后半句说因为时间的推移感觉是不是也能说得通，因为creditcurve 横坐标也是t，确实也是因为随着时间推移credit spread下降（因为短期的credit spread更低）

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1 个答案

发亮_品职助教 · 2024年12月30日

A选项的incremental coupon没有问题。

选项A讨论的是roll down strategy，这个策略包含2块收益，一个是coupon带来的收益。一个是债券期限改变带来的价差收益。

注意，如果说是roll down strategy收益，策略收益包含以上2块。

但是如果说是roll down return，这仅仅是价差收益。


另外incremental coupon是指：仅仅与credit spread相关的coupon，不含benchmark带来的coupon

这一章可以从另一个角度拆解coupon，coupon可以拆成：benchmark coupon + credit risk带来的coupon。原版书有一道例题就是详细地计算过，coupon里面有多少金额是来自Benchmark，有多少是来自credit。选项A的incremental coupon就是指，因为credit而带来的超额coupon。


选项A的incremental coupon完全没有问题。因为选项A讨论的是credit curve roll down strategy，即，只在信用风险曲线（credit spread）上做roll down策略。

所以整个策略收益就只含信用风险相关的。于是，credit curve roll down的coupon收益就只能是incremental coupon，且价差收益只能是与credit spread改变带来的价差。


with price appreciation due to the passage of time

这句确实说的通。因为他就是roll down的价差收益。随着债券的期限变短，债券的折现率由期初的长期债YTM，变成了期末的短期债YTM，从而造成债券出现价差。但是，如果上句不做任何限定，只是这一句呈现，那他描述的是债券折现率YTM的改变产生的价差。


还是一样的问题。债券的YTM=benchmark YTM + credit spread。

YTM改变带来的roll down价差分成2部分：benchmark YTM改变带来的价差，以及credit spread改变带来的价差。

选项A是只做credit spread curve的roll down，所以这个价差只能是credit spread带来的。

期初债券有一个长期credit spread作为折现率的一部分，期末有一个短期credit spread做为折现率的一部分，credit spread改变带来价差，整个Benchmark rate是不能变的，不能包括benchmark YTM改变的价差。


with price appreciation due to the passage of time这句没做限定是credit spread改变，只说这句就表明是YTM改变带来的价差，而本题是credit spread curve roll down strategy，所以前后两句不匹配。


这句改成正确的为：

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 roll-down on the credit spread curve.

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