Russian bond indices reveal a 23-point yield gap between BBB and AAA debt

Russian corporate bonds are displaying sharply different borrowing-risk signals beneath the market's aggregate numbers. Cbonds' published index tables for November 5 show an effective yield to maturity of 38.24% for its BBB group, compared with 15.33% for its AAA category. The difference is 22.91 percentage points.

The figures follow discussion on Telegram about a split between weaker-rated and stronger-rated debt. They measure quoted yields on selected portfolios, not the interest rate paid by every Russian company or a return investors are guaranteed to receive.

From a Telegram signal to the index tables

In its November 5 morning Telegram digest, Cbonds highlighted a BBB-group yield of 37.36%, alongside 16.02% for IFX-Cbonds. Those were the values available for the digest, rather than the subsequent November 5 closing-date readings used here.

A separate November 5 post by AlexR on the CorpBonds channel argued that lower-rated bonds were experiencing a larger repricing of credit risk. That interpretation prompted a comparison of the underlying provider tables. CorpBonds and Cbonds are separate services, and their rating buckets and calculations should not be treated as interchangeable.

The Cbonds tables dated November 5 show 38.24% for BBB, 15.33% for AAA and 16.03% for IFX-Cbonds. The BBB reading therefore sits 22.21 percentage points above the IFX benchmark as well as 22.91 points above AAA. These are calculated yield differences, not published default probabilities.

The portfolios are built differently

Cbonds describes its BBB index as a portfolio of fixed-coupon ruble bonds with at least 360 days remaining to maturity and an issue size of at least 1 billion rubles. Eligible securities must have quotes on at least ten trading days in the preceding month and a qualifying rating between BBB- and BBB+ from at least one leading agency.

The provider uses its Cbonds Estimation Onshore pricing system and reviews the constituent list monthly. Its index is consequently a defined sample, not a census of every bond with a BBB label. Changes in membership can also affect comparisons across dates.

IFX-Cbonds draws on 30 of the most liquid corporate bonds. That makes it a different reference portfolio from a specific rating group. Its relatively moderate yield cannot by itself show that funding conditions are moderate throughout the corporate market.

A yield gap is not a clean credit spread

Duration also differs. The November 5 tables report 633 days for the BBB group, 776 days for AAA and 346 days for IFX-Cbonds. Duration measures sensitivity and timing of cash flows; it is not simply the final maturity date.

Because the portfolios have different duration, constituents and pricing characteristics, subtracting their yields does not isolate credit risk. Interest-rate exposure, market liquidity and the way individual issues are weighted can also matter. The data supports a pronounced divide between these baskets, but does not allocate that divide precisely among its causes.

High quoted yields depend on future payments

Yield to maturity is calculated from prices and the bond's payment schedule. Receiving the indicated return depends on the relevant payments being made and on the calculation's assumptions. A high figure can accompany a low market price and concern about repayment; it is not evidence of a higher guaranteed payout.

The important development is the dispersion itself. A single corporate-bond benchmark can conceal very different conditions across rating categories. Determining whether the gap reflects broad repricing or a few influential constituents requires security-level data and a consistent portfolio comparison, beyond what these headline index tables establish.

Sources

• Cbonds: BBB index
• Cbonds: AAA index
• Cbonds: IFX index
• Investfunds: IFX methodology
• Cbonds: November 5 morning post
• CorpBonds: November 5 analysis