The Anatomy of Credit Returns: Return Attribution at Issue Level

We introduce Return Attribution at Issue Level (RAIL), a framework for decomposing corporate bond returns into interpretable systematic and security-specific components. RAIL enables performance tracking of individual trade ideas or active portfolios and serves as a validation tool for systematic credit strategies. Unlike traditional attribution models, RAIL operates at the security level and is independent of portfolio composition. It supports bond-by-bond performance analysis while allowing aggregation for portfolio-level insights.