Graphs show ETF returns, not bond returns. See my post #29 in this thread. Barclays Capital Convertible Bond ETF (CWB), the only US listed ETF devoted exclusively to convertible bonds, has a 1.31% exposure to Tesla.
If we disregard S&P incoherent reasoning that accompanied their unsolicited classification, I tend to agree with Tesla bonds classification as high risk. Yet Tesla managed to get very favorable deal on their bond issuance. To me that is good news and attests to good financial management.
I see most of the risk inside the business, rather than outside. Competition is asleep and nowhere to be seen yet.
CEO commitment to Tesla seems to be the highest perceived risk among investors.
Also gigafactory project is at a concept stage. That might change soon.
Scaling up manufacturing might be slower than expected. As Tesla manufacturing grows, inherent risks of manufacturing get added to Tesla business risks. Manufacturing is not a compelling game so businesses outsource it to improve their performance. The only way I will feel comfortable being invested in a manufacturing giant is if that giant has some sort of edge. Tesla does claim "manufacturing innovation" as their core competence and they seem to have automated production to a highest degree possible. It will be interesting to see gigafactory project unfold.
Investors have a lot of trust in Tesla management and that trust get tested at every step of the way. Any misstep by Tesla management might adversely affect the stock price. Hence high risk.