## Figure 1.12. Potential Fallout from the BBB Bond Downgrades on the US High-Yield Corporate Bond Market

## Source details

**Canonical URL:** [Figure 1.12. Potential Fallout from the BBB Bond Downgrades on the US High-Yield Corporate Bond Market](https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/ch1csv/figure1-12.csv)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2019/april/english/ch1data/ch1csv/figure1-12.csv.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2019/april/english/ch1data/ch1csv/figure1-12.csv.json)

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### Dataset scope and structure
- Worksheet name: csv
- Row count: 3490
- Column count: 25
- Top header row (column 1): "Figure 1.12. Potential Fallout from the BBB Bond Downgrades on the US High-Yield Corporate Bond Market"
- Secondary section headings present in the sheet:
  - "1. Decomposition of High-Yield Spreads" (units: "(Percent)")
  - "2. BBB Corporate Bond Option-Adjusted Spread versus Spread Curve" (units: "(Basis points)")
  - "3. Potential Downgrades from BBB-Rated Bonds to High-Yield Bonds" (units: "(Billions of US dollars; par values)")

### Variable/column labels (as they appear)
- Modeled HY default compensation
- Modeled HY credit risk premium
- US high-yield spread
- BBB- OAS
- BBB Maturity
- BBB Curve
- BB Curve
- Midpoint
- Using 1-year rating transition matrix
- BBB- bonds on negative outlook
- BBB bonds closer to BB curve
- BBB bonds on negative outlook
- Sector labels appear (examples): "Consumer, noncyclical", "Technology", "Communications"

### Sample observations (exact values from sample rows)
- Row for 3/31/1998:
  - Date: "3/31/1998"
  - Modeled HY default compensation: "2.5"
  - Modeled HY credit risk premium: "0.4"
  - US high-yield spread: "2.83"
  - BBB- OAS: "217.5666031"
  - BBB Maturity: "26.83333333"
  - BBB Curve (index): "1"
  - BB Curve: "63.42209077"
  - Midpoint: "90.22407409"
  - (another midpoint-like value): "76.82308243"
  - Sector: "Consumer, noncyclical"
  - "Using 1-year rating transition matrix": "1.52"
  - "BBB- bonds on negative outlook": "35.85"
  - "BBB bonds closer to BB curve": "83.66"

- Row for 4/30/1998:
  - Date: "4/30/1998"
  - Modeled HY default compensation: "2.5"
  - Modeled HY credit risk premium: "0.56"
  - US high-yield spread: "2.98"
  - BBB- OAS: "160.4444243"
  - BBB Maturity: "9"
  - BBB Curve (index): "2"
  - BB Curve: "78.95947162"
  - Midpoint: "155.7420226"
  - (another midpoint-like value): "117.3507471"
  - Sector: "Technology"
  - "Using 1-year rating transition matrix": "3.83"
  - "BBB- bonds on negative outlook": "25.55"
  - "BBB bonds closer to BB curve": "3.83"

- Row for 5/31/1998:
  - Date: "5/31/1998"
  - Modeled HY default compensation: "2.38"
  - Modeled HY credit risk premium: "0.89"
  - US high-yield spread: "3.18"
  - BBB- OAS: "119.9112859"
  - BBB Maturity: "6.833333333"
  - BBB Curve (index): "3"
  - BB Curve: "89.65857185"
  - Midpoint: "185.3897146"
  - (another midpoint-like value): "137.5241432"
  - Sector: "Communications"
  - "Using 1-year rating transition matrix": "23.41"
  - "BBB- bonds on negative outlook": "22.67"
  - "BBB bonds closer to BB curve": "63.15"

### Key dataset features and usage notes
- The dataset decomposes US high-yield spreads into components labeled "Modeled HY default compensation" and "Modeled HY credit risk premium".
- It contains detailed BBB bond metrics including "BBB- OAS", "BBB Maturity", and curve indices ("BBB Curve", "BB Curve", "Midpoint").
- It provides scenario-style columns related to downgrade risk: "Using 1-year rating transition matrix", "BBB- bonds on negative outlook", and "BBB bonds closer to BB curve", expressed in numeric values and sector breakdowns.
- Date frequency is monthly (sample dates: "3/31/1998", "4/30/1998", "5/31/1998").

*Figure 1.12 dataset (worksheet "csv"), as provided in the source file.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/ch1csv/figure1-12.csv_