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Pavel Korchagin · 2025年01月09日

为什么a不对？

  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.

为什么是要限定riding credit curve

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Pavel Korchagin · 2025年01月09日

As for A, the benchmark yield changes must be separated from changes due to credit spreads，这个没看懂

1 个答案

发亮_品职助教 · 2025年01月10日

这道题就是单纯的考查在credit spread curve上做riding the yield curve策略。


在第2章yield curve strategy里面，我们学的是在利率曲线上做riding策略。这个利率曲线实际就指债券的收益率YTM曲线。

而债券的YTM = benchmark YTM + 债券的credit spread。


riding the yield curve策略产生的价差收益，本质是来自期初与期末的YTM不一样产生的债券价差。

而期初与期末的YTM不一样，可以源自于2部分。一个是Benchmark YTM期初与期末的改变。一个是债券的credit spread期初与期末的改变。


相当于一个riding the yield curve策略，可以具体地拆分成在benchmark YTM曲线上的riding/roll down，以及在credit spread curve上的riding/roll down。

只不过在这个章节我们没有具体区分来源。只是直接算了期初与期末的价差收益。


而提问的这道题，单纯就是只在credit spread curve上做riding。因为他做了限定，是a credit curve roll-down strategy

所以收益的来源只能是与信用风险相关，不能含有benchmark YTM带来的收益。


选项A说：

Returns from a credit curve roll-down strategy can be estimated by combining the incremental coupon from a longer maturity corporate bond

这句没有问题，所谓的incremental coupon，是指增量coupon。因为债券的coupon里面其实也可以进一步拆分，分成benchmark带来的coupon以及credit spread带来的coupon。


如，5年期公司债的coupon=5%，5年期的国债coupon=4%

那么公司债5%的coupon里面，可以说其中的4%是因为连国债都有4%的coupon，那公司债自然都要补偿4%，这部分是benchmark coupon。

剩余的1%是因为公司债有额外的信用风险，对应有补偿。这个incremental coupon就是只这1%的增量coupon。题目问credit spread curve roll down策略，所以coupon也只能含义信用风险部分，选项A的inremental coupon没有问题。


A选项的后半句：with price appreciation due to the passage of time.

这句是说，随着时间期限的变短，债券的价差收益（price appreciation）。这句有问题。


不做特别限定，随着债券期限的变动，债券的价差收益就是roll down return。即，期初与期末的折现率YTM不一样，从而债券债券产生了价差。

所以选项A这句是错的。因为这句只能说明是在YTM上产生的roll down价差。而题干问的是在credit spread curve上roll down的价差。显然题干问的与选项不搭配。


后半句改一下，改成with price appreciation due to roll down on the stable credit spread curve。这样就限定了价格的上升只来自于在credit spread curve上的roll down。


答案的这句：

As for A, the benchmark yield changes must be separated from changes due to credit spreads

他其实是想说，roll down return产生的价差来自于2部分，一部分是benchmark YTM上roll down的价差，一部分是在credit spread curve上roll down产生的价差。一般我们不做区分。

但这道题明确是只想考虑credit spread curve上的roll down价差，所以我们必须要把benhcmark YTM的roll down价差和credit spread curve上的roll down价差区分开来。

选项A的问题在于他没有区分，选项A的price appreciation due to the passage of time是说总的roll down价差。

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