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Quantitative Finance · Glossaire

Qu'est-ce que « Credit rating, investment grade, high yield, fallen angel » ?

Aussi appelé : credit rating · investment grade · high yield · fallen angel

Definition 21.2 Markets II: Rates, FX and Credit · Chapitre 21 — Corporate Bonds

A credit rating is a rating agency’s opinion of an issuer’s or a bond’s creditworthiness, on a letter scale from AAA (Aaa) down to D. Bonds rated BBB−- (Baa3) or above are investment grade; those rated BB++ (Ba1) or below are high yield. A fallen angel is an issuer downgraded from investment grade to high yield by at least one of the three major agencies.

The spread of an illustrative fallen angel: most of the widening comes before the downgrade, a forced-selling overshoot on the day, then a recovery towards the level fair for its new rating, the pattern the ECB found in the credit default swaps of fallen angels. Illustrative path; data: the chapter’s tutorial.
Figure 21.1. The spread of an illustrative fallen angel: most of the widening comes before the downgrade, a forced-selling overshoot on the day, then a recovery towards the level fair for its new rating, the pattern the ECB found in the credit default swaps of fallen angels. Illustrative path; data: the chapter’s tutorial.
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