Report on Yield Curve and Historical Default Analysis under Credit Ratings For Vietnamese Corporate Bond Market

On July 2nd 2024 FiinRatings publishes its report on Yield Curve and Historical Default Analysis under Credit Ratings. To ensure the credit rating results are truly valuable and widely adopted in Vietnam, it is crucial to verify their reliability through analyses of the correlation between credit ratings and (i) market yields and (ii) default ratios. FiinRatings is pleased to provide an important basis to support the more widespread and stronger application of credit rating activities, contributing to the development of the soft infrastructure of the corporate bond market and the capital market in Vietnam

On July 2nd 2024 FiinRatings publishes its report on Yield Curve and Historical Default Analysis under Credit Ratings. 

To ensure the credit rating results are truly valuable and widely adopted in Vietnam, it is crucial to verify their reliability through analyses of the correlation between credit ratings and (i) market yields and (ii) default ratios. FiinRatings is pleased to provide an important basis to support the more widespread and stronger application of credit rating activities, contributing to the development of the soft infrastructure of the corporate bond market and the capital market in Vietnam including primary data on: 

• Yield curves across key industry sectors including banking, real estate, and energy. 

• Credit spread analysis under maturity and credit rating score – expected to be a benchmark to determine the forecasted cost of debts and bonds, which is now mainly determined by some major banks’ 12-month deposit rates. 

• Historical defaults in correlation with credit rating score – expected to be a benchmark to determine expected interest rates and gradually act as a basis for provisioning according to IFRS9 and relevant regulations in Vietnam. 

• And some guidance and recommendations for market participants from the findings of this Study.  

Data was collected and analyzed from 19 July 2023 to 13 June 2024. Despite our current inability to differentiate between outright and repo-like transactions, we've noted substantial differences in yields spread.  

In addition, FiinRatings has successfully studied the correlation between Historical Default Ratio and Credit Rating Score based on our observations from 2021 to 2023 on historical default and credit rating scores (officially announced and estimated) by FiinRatings. 

We believe the analysis results in this Report will serve as a reference for market participants, including issuing enterprises, investment funds, lending banks, individual investors, regulatory agencies, and other relevant entities in Vietnam's debt capital market. 

Click HERE for full report! 

This is the first time such report has been released. Therefore, to enhance the quality of our analysis and reporting in future editions, we look forward to receiving feedback and contributions from our customers and readers. 

Should you have any questions or inquiries for our services, please contact us:

Tel: (84-24) 3562 6962 or 

Email: support.fiinratings@fiingroup.vn 

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