Corporate Bond Carry Basket
A diversified basket of the most consistently quoted corporate bonds on NSE's debt segment, spread across 25 issues so no single credit event dominates, and rebalanced semi-annually to match how slowly the tradeable set changes.
Why this is expected to work
Corporate bonds pay a spread over government securities for two distinct reasons: default risk, and illiquidity. Retail investors reliably underestimate the second. On our own data the Indian corporate bond market quotes roughly 2,500-3,000 distinct ISINs in a year across about 85,000 quote-rows, which averages under 30 quoted days per bond per year — a bond you can buy is frequently not a bond you can sell at a price near where you last saw it marked. That is why this template screens hard on quote consistency before anything else, holds 25 names rather than the 8 or 10 an equity screen would, and rebalances twice a year rather than monthly. The diversification is doing a different job than in an equity portfolio: bond returns are capped on the upside at par plus coupon, so the distribution is negatively skewed and one default is not offset by one winner. Treat the result as a carry and liquidity study, not as a proposal to replace a debt fund — a debt mutual fund gets you the same exposure with an institutional dealing desk in front of it.
How the pipeline works
Carries a real credit spread
Keeps rows where spread_over_gsec > 100
spread_over_gsec > 100 Priced by a real trade today
Keeps rows where price_is_traded == 1
price_is_traded == 1 Not about to mature
Keeps rows where time_to_maturity_years > 1
time_to_maturity_years > 1 120-day average trade count
Computes trade_frequency = @SMA(bond_num_trades, 120)
@SMA(bond_num_trades, 120) Trades on a regular basis
Keeps rows where trade_frequency > 0.2
trade_frequency > 0.2 25 widest tradeable spreads
Selects the top 25 by spread_over_gsec
What this template teaches
- Wide diversification where return distributions are negatively skewed
- Screening on quote consistency as a tradeability gate
- Matching rebalance cadence to instrument liquidity
Corporate Bonds in India: The Yield Is Real, So Is the Liquidity Trap
Indian corporate bonds quote roughly 30 days a year each. A bond you can buy is frequently not a bond you can sell near where you last saw it marked — and that, not default risk, is what the spread is mostly paying for.
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