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roll down strategy

NO.PZ2021120102000028

问题如下：

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

选项：

Returns from a credit curve roll-down strategy can be estimated bycombining 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 willgenerate positive return only under an upward-sloping credit spread curve.

As for A, thebenchmark yield changes must be separated fromchanges due to credit spreads, and under B, asynthetic credit roll-down strategy involves selling protection using asingle-name CDS contract for a longer maturity.

what is synthetic roll down strategy? how to use CDS

嗨，爱思考的PZer你好：

rolldown return其实按照收益率5分解模型，就单指价格升值部分，不包含coupon income，Coupon income我们是单算的，如下图。

如下图：

题目问roll down strategy（Riding the yield curve）的收益，该策略的收益包含两部（静态的Coupon收益 + 动态的价格上升）。如果题目单问roll down return，那就专指收益率五分解模型里面的第二项（债券价格上升）

再就是

roll down strategy（Riding the yield curve），可以在整条收益率曲线上做riding，也可以像本题一样，只在credit curve上做riding，在不同的收益率曲线上做riding时，投资收益来源是有一点区别的。

在整条收益率曲线上做riding，收益是：（所有的coupon + YTM改变对债券价格的影响），其中YTM的改变包含benchmark YTM roll down与Credit spread roll down。

而在Credit curve上做riding，收益是：（Incremental coupon + credit spread改变对债券价格的影响），其中incremental coupon就是只与信用风险相关的Coupon，且价格上升部分也只与Spread改变有关。

B选项：credit curve roll-down strategy是承担风险的策略，所以应该是sell CDS而不是buy CDS，这里可以用债券来等同，sell CDS等价于long bond，buy CDS等价于short bond，credit curve roll down策略用债券做是期初买入债券，期末卖出，那么等同于CDS后就是期初sell CDS，期末buy CDS.

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roll down strategy

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