The material on this site is for financial institutions, professional investors and their professional advisers. It is for information only. Please read our Terms & Conditions, Privacy Policy and Cookies before using this site.

All material subject to strictly enforced copyright laws. © 2021 Euromoney, a part of the Euromoney Institutional Investor PLC.

Fallen angels show higher default rate, says S&P's survey

Fallen angels were nearly twice as likely to default compared with peers that are rated speculative-grade at inception (referred to as original high yield; OHY), according to a study published by Standard & Poor's Ratings Services.


The study, which is titled "Crossover Credits: A 24-Year Study Of Fallen-Angel Rating Behavior," also found that default is especially likely in the first three to four years following the fallen angels' downgrade to speculative grade from investment grade. In addition, on average, fallen angels record a shorter time-to-default than their OHY counterparts on a reasonably consistent basis.


The report had a number of other interesting findings. "Recovering fallen angels are more likely to become rising stars than their speculative-grade counterparts," said Diane Vazza, head of Standard & Poor's Global Fixed Income

Research Group. Just less than a fifth of fallen angels in the Standard & Poor's database returned to investment-grade territory in three years (18.4%), greater than the 12.5% of their OHY peers in the control group.


The behaviours associated with faster downward migration among fallen angels (i.e., higher default rates and lower times-to-default) are properties associated with greater ratings velocity, which may be defined as the speed of

rating movement of an entity--or group of entities--from the time of its crossover into speculative-grade territory until it reaches its minimum rating.

You have reached premium content. Please log in to continue reading.

Read beyond the headlines with Euromoney

For over 50 years, our readers have looked to Euromoney to stay informed about the issues that matter in the international banking and financial markets. Find out more about our different levels of access below.


Unlimited access to and

Expert comment, long reads and in-depth analysis interviews with senior finance professionals

Access the results of our market-leading annual surveys across core financial services

Access the results of our annual awards, including the world-renowned Awards for Excellence

Your print copy of Euromoney magazine delivered monthly

£73.75 per month

Billed Annually


Unlimited access to and, including our top stories, long reads, expert analysis, and the results of our annual surveys and awards

Sign up to any of our newsletters, curated by our editors


Already a user?

We use cookies to provide a personalized site experience.
By continuing to use & browse the site you agree to our Privacy Policy.
I agree