Credit & Yield Analysis
A market driven understanding of credit, tenor and yields
AAA-AA rated issuers are the most frequent to access capital markets and dominate >90% of the market. These categories also include most of the PSUs issuers.
Recent years have seen a sharp increase among A-BBB rated issuers e.g. BBB+ issuance in 2024 was
cr compared to cr in 2018. Wider number of issuers across varied credit ratings accessing the market signals maturity of the debt capital market and increased confidence among investors. More issuers leads to better price discovery, liquidity and increased trade among market participants.
Yield range denotes one standard deviation level of yields at which the selected credit and tenor bonds are currently trading. E.g. if a user has selected BBB+ and 24 month tenor, the yield range would denote the one standard deviation range of yield of all current BBB+ rated bonds with a residual maturity of 24 month.
Bond yields comprise of both credit and tenor premium. The difference of yield between a 1 year AAA rated bond vs a 5 year AAA rated bond would be lower than the difference in yield between a 1 year BBB rated bond vs a 5 year BBB rated bond.
If tenor is shorter, given default risk is lower, the yield range tends to converge between different credit ratings as well.
