Government bonds are subject only to interest rate risk. However, corporate bonds are subject to credit risk in addition to interest rate risk. Credit risk subsumes the risk of default as well as the risk of an adverse rating change. Considerable work has been done in the US and other countries on credit rating migrations. However, there is little work done in India in this regard. In this paper therefore, we analyse credit rating migrations in Indian corporate bond market to bring about greater understanding of its credit risk.