Research

In this note we take a look at a cohort of ‘Fallen Angels’, issuers whose debt has been downgraded from investment grade to junk.

As a group, these issuers’ ESG performance lags the S&P 500. We observe four categories defined by the Sustainability Accounting Standards Board (SASB) that stand out as commanding scrutiny from stakeholders:

• GHG Emissions
• Labor Practices
• Product Design and Lifecycle Management
• Product Quality and Safety

In addition to a high-level ESG assessment, we briefly introduce the notion of a Climate Risk Factor built from carbon intensity estimates and Climate Momentum Signals.