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A Fallen Angel is a corporate, or sovereign, bond downgraded from Investment Grade (IG) (minimum rating of BBB- with S&P, Moody’s or Fitch) to a High Yield credit rating (of BB , or below with S&P, Moody’s or Fitch). Thus, the downgrade from Investment Grade (IG) to High Yield (HY) is far more significant than a downgrade for a bond staying within the same asset class. Fallen Angels tend to have higher credit-beta than other HY issues as a result.
Characteristics, historical performance and differences between the current credit cycle and earlier regimes...
As a well-known concept to practitioners and academics, carry has been leveraged in the currency markets for decades. With the understanding of such FX carry trades becoming established, recent academic publications have explored this concept cross-markets and showcased evidence of the carry premium across other asset classes.