Amazon's plan to gobble up Whole Foods may have a bigger impact on food retailers than Wall Street has been discussing.

The proposed acquisition has triggered a reaction in the market-perceived credit quality of many of Whole Foods' peers, co-authors Richard Peterson and James Elder of S&P Global Market Intelligence wrote in a report on the state of the supermarket space.

The average one-year probability of default for the U.S. food retail industry, as measured by S&P, immediately jumped in risk after the acquisition was announced, climbing in the following week, Elder said.

Before going after Whole Foods, Amazon's largest acquisition was a roughly $895 million purchase of online shoe retailer Zappos.com.

This also marks the largest M&A transaction announced in the grocery industry since Supervalu's 2006 deal to acquire Albertson's, S&P's Peterson added.

The median one-year probability of default for what S&P has classified as food retail companies was 3.73 percent on June 15, and it heightened by 14 percent to 4.26 percent on June 16, S&P Global said.

Amazon's news hit on the morning of June 16.

The group's food retail model is influenced by companies' stock performance as well as deemed financial risk.

This "demonstrates that the market is perhaps cautious about the prospects of the food retail industry in light of Amazon's increasing footprint in the food industry," Elder said.

During this same period, the credit quality of Whole Foods saw an improvement of 63 percent, according to S&P Global.

Grocery stocks that have declined in the aftermath of Amazon's announcement include Kroger, Supervalu, Safeway and Sprouts Farmers Market.

The Amazon-Whole Foods deal is expected to close in the second half of the year, should no other bidder emerge.