CreditSights Research

Since the COVID-19 crisis began, we have written over 400 pieces of research discussing the impacts of the virus and the policy response on the financial markets and individual credits. Use the form to the right to download the research highlighted on this page. 

For complete access to our COVID-19 coverage, CreditSights Subscribers can click here.

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COVID-19 Recent Research Highlights 

Use the form above to download the following reports or subscribers can click here:

COVID-19 Company Impact Tracker
We provide an update of our COVID-19 company impact tracker. In this version we expand on earlier versions to incorporate management comments from earnings calls. 
Fed Corporate Facility FAQs
In an effort to share our thoughts on the Fed's Corporate Credit Facilities, we've pulled together a list of FAQs. We note that the responses are based on our read of the term sheets and will be iterative as more info is released.
Ford/Ford Credit 1Q20: Earnings Pain Ahead 
Ford 1Q20 results reflected losses due to weakness in global automotive volumes and Ford Credit near breakeven results to build loss reserves under CECL. 2Q20 losses will be sharper, but the company has beefed up liquidity for now.
How Bad Was It? Historical Asset Drawdowns
We compare the coronavirus bear market to six other market drawdowns and characterize the typical losses during periods of market wide sell-offs.
7 Low BBB, Wide Spread Credits Our Analysts Like
We surveyed our analyst team for low BBB credits with wide spreads that they have a favorable view on and we came up with seven names where we discuss why spreads are wide and why we like the bonds. 
Crisis Q&A, Reactions, Repricing
After a few weeks of frenzied scenario spinning, external stimuli overload, and broadening lockdowns, we review some Q&A that has come up and look back at some issuer and industry war stories that have relevance now.
Pipeline/MLPs: IG Bonds with 7-8.5% Yields
We update our relative value recommendations for the investment grade Midstream sector. 


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Identify Downgrades to High Yield with Fallen Angel Score

The COVID-19 crisis has led to a dramatic repricing of credit markets that will take its toll on BBB issuers on both sides of the Atlantic. Even those with strong credit fundamentals are at risk, and rating agencies are reacting quickly to increasing pressure on BBB fundamentals.

The CreditSights Fallen Angel Score (FAS) is a quantitative estimate of the likelihood of USD and euro BBB corporate bond issuers moving from IG to high yield over a 12-month period. This signal can highlight risks in a portfolio and help focus attention on the credits most likely to be downgraded. The score is recalculated weekly.

For the week ended April 24, 2020, the Fallen Angel Score identified 82 issuers as having a very high risk of downgrade to high yield, representing $241 bn and €46 bn of BBB-rated debt within the ICE BofA US and Euro IG Indices respectively. Click here to learn more.


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