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qygeorge05 · 2024年05月31日

请问A选项应该如何更改才算正确？

  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.

请问A选项应该如何更改才算正确？谢谢老师！

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发亮_品职助教 · 2024年06月01日

嗨，从没放弃的小努力你好：


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.


Credit curve的roll-down return收益来源也还是两个，和yield curve roll down一模一样。


分别是roll-down过程中拿到的coupon，以及roll down过程中由于在静态不变的曲线上折现率由长期利率滑落至短期利率，导致期末折现率降低，产生买卖价差带来的capital gain。


只不过区别就是，在yield curve上的roll down，coupon是债券所有的coupon，且roll down是在整条YTM曲线上roll down。


而在credit curve上的roll down，拿到的coupon只是和credit相关的增量incremental coupon（即，信用债Coupon减去benchmark国债coupon后的差额），以及，债券在credit spread curve上的滑落带来的价差收益（只与信用风险相关的credit curve上roll down）。


以上是roll down的基础。


选项A的问题在后面这句：


with price appreciation due to the passage of time.


他说roll down价差收益是由时间流逝带来的。这个说法错误哈，价差收益是在静态的credit spread curve上折现率由高利率向低利率滑落，导致期末折现率更低从而产生capital gain。一定要出现折现率的滑落（roll down）这个。也就是说，price appreciation是期初、期末credit spread改变带来的。当然这个credit spread改变并非是债券的信用质量发生改变，只有由于债券期限变短，在静态的credit spread上滑落带来的。


而Due to the passage of time实际是债券自身的价格向债券面值回归的过程，这点属于债券在会计上账面价值的记账。


比如债券期初以YTM=5%定价买入债券，假设是折价买入，期初买入价是98元，随着时间的流逝，当债券越来越接近于到期时，其账面价格会向面值接近


在计算后来新的账面价格时，是默认债券的折现率依然是YTM=5%，所以due to the passage of time带来的价差，本质是债券账面价值的改变，是默认债券的折现率一直是期初买入债券时的折现率，并未体现出债券的折现率在静态的曲线上由高到低的变化。


后半句改成这样是正确的：


with price appreciation due to the credit spread decreases as the bonds rolling down on the stable credit curve.


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啵啵啵啵啵啵儿儿 · 2024年08月10日

可是price appreciation due to the passage of time 是框架图上的原话啊

发亮_品职助教 · 2024年08月13日

是的，这也是原版书原句。因为折现率由高变低也是因为时间引起的（债券期限变短），所以是due to the passage of time，但只说这句不完整，会被当成是债券价格回归面值效应。还需要再额外说折现率的变化。讲义原句为：and the price appreciation due to the passage of time and lower discount rate (credit spread ).

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