## Dataset overview — ch3 (GFSR Chapter Oct. 2020) ## Source details **Canonical URL:** [Dataset overview — ch3 (GFSR Chapter Oct. 2020)](https://www.imf.org/-/media/files/publications/gfsr/2020/october/english/data/ch3.xlsx) ## Other formats - [Markdown version](/-/media/files/publications/gfsr/2020/october/english/data/ch3.xlsx.md) - [Structured JSON version](/-/media/files/publications/gfsr/2020/october/english/data/ch3.xlsx.json) --- ### Figure 3.1. Bank Lending to Nonfinancial Firms and Government Liquidity Support - Panel 1: Bank Loans to Nonfinancial Firms, Amount Outstanding (NSA; corresponding period in 2019 = 100) - 2020M1: Canada 110.87391172537444; France 104.44607282654441; Germany 105.46110434077521; Italy 94.09685349991814; Japan 102.21431906522305; United Kingdom 101.72709599217174; United States 102.21997633628617 - 2020M2: Canada 111.31770122201749; France 104.17378703286222; Germany 105.35548692818799; Italy 93.90640878949611; Japan 102.37729705893774; United Kingdom 101.30259121501032; United States 101.62687122715126 - 2020M3: Canada 118.4045498168917; France 106.41417237830521; Germany 106.8055434285623; Italy 97.96267417878163; Japan 102.22532839776726; United Kingdom 108.20515467909088; United States 114.63037494660522 - 2020M4: Canada 115.1498242576581; France 108.22546188613116; Germany 107.45255376243618; Italy 98.55076307031385; Japan 105.08048819264685; United Kingdom 109.10444536421686; United States 128.5433596961758 - 2020M5: Canada 112.01017846076952; France 110.1937372771141; Germany 107.22081880083294; Italy 98.85290068713701; Japan 108.2948192798907; United Kingdom 112.02484053311206; United States 129.01743209614213 - Panel 2: Listed Nonfinancial Firms’ Net Credit Line Drawdowns (Percent change from same period in 2019) - Canada: 2019:Q1 29.095590980345776; 2020:Q1 46.79644500119342; 2020:Q2 10.840120707123457 - France: 2019:Q1 17.990794906096717; 2020:H1 38.67612770540043 - Germany: 2019:Q1 -80.48363492747383; 2020:H1 32.74444375457976 - Italy: 2019:Q1 -73.11272097447447; 2020:H1 25.703396325618712 ### Figure 3.2. Developments in Syndicated Loan Markets - Panel 1: Investment Grade Syndicated Loan Issuance, first half of 2020 (Corresponding period in 2019 = 100) - Canada: Jan–Feb 77.79453851617082; March 71.7110459753512; Q2 58.51036339005722 - France: Jan–Feb 182.03964673941564; March 1101.7036415493094; Q2 108.38642295597869 - Germany: Jan–Feb 43.12320558317442; March 26.465862596355333; Q2 147.67543868863993 - Italy: Jan–Feb 29.33196833245166; March 99.37274346120566; Q2 251.3804402193924 - Panel 2: Leveraged Loan Issuance, first half of 2020 (Corresponding period in 2019 = 100) - Canada: Jan–Feb 84.71328100836814; March 198.56865938093378; Q2 23.749882165847627 - France: Jan–Feb 89.35070764346573; March 3.4179667812913808; Q2 27.721305147798724 - Germany: Jan–Feb 872.8944861951513; March 327.79761399778744; Q2 163.6656515277203 - Italy: Jan–Feb 278.33462395223046; March 23.50116855327271; Q2 179.4459701024574 ### Figure 3.3. Corporate Bond and Commercial Paper Issuance - Panel 1: Investment Grade Bond Issuance, First Half of 2020 (Corresponding period in 2019 = 100) - Canada: Jan–Feb 175.68669894262382; March 65.93810702682016; Q2 189.6355830368053 - France: Jan–Feb 92.99025865021166; March 255.77153618069346; Q2 257.8805108685108 - Germany: Jan–Feb 116.54488312686225; March 94.00886331213366; Q2 403.28212730898764 - Italy: Jan–Feb 87.09391289133698; March 0; Q2 94.2799387965337 - Panel 2: High-Yield Bond Issuance, First Half of 2020 (Corresponding period in 2019 = 100) - G7 excl. United States: H1 94.68984805109525; Jan–Feb 241.5136825774843; March 39.17417564886545; Q2 62.33094908846775 - United States: H1 159.68033998426174; Jan–Feb 20.861362464493936; March 222.24250644725026 - Panel 3: High-Yield Bond Supply by Security and Rating (Percent) — sample values: - 2006: BB Rated 37.972640693357704; Secured 14.86528117131761 - Panel 4: Group of Seven High-Yield Bond Issuance by Use of Proceeds (Percent) — sample values: - Refinancing: 37; 32; 43; 75; 66; 55.00000000000001; 56.99439219010822; 50 ### Figure 3.4. Change in Corporate Cash-to-Assets Ratio and Corporate Bank Deposits - Panel 1: Change in Cash Holdings and Cash Flow Components (Percent of lagged assets) - Canada, GFC (2008:Q4): From operations 3.300977563534065; From investment -3.401181766273902; From financing 0.26879339387229023; Net change in cash 0.19002290273847044 - Pre–COVID-19 (2019:Q1): From operations 1.4799899321013128; From investment -1.4805297722056032; From financing -0.4705641688453203; Net change in cash -0.478367203754832 - COVID-19 (2020:Q1): From operations 1.5955948328345229; From investment -1.6156454789194357; From financing 1.350354274358041; Net change in cash 1.3402661971050358 - Panel 2: Nonfinancial Firm Deposits, Amount Outstanding (NSA; corresponding quarter in 2019 = 100) - 2020Q1: Canada 112.63995004244613; France 115.63869091453749; Germany 106.14453061001583; Italy 106.87497415682327; Japan 104.96261304009127; United Kingdom 109.5590452049211; United States 139.12561786933674 - 2020Q2: Canada 121.15288379727625; France 130.19308305912395; Germany 112.93695335339382; Italy 112.94620237444737; United Kingdom 123.59809947548592 ### Figure 3.5. Evolution of Credit Supply Conditions - Panel 1: One-Year Expected Default Frequency of Nonfinancial Firms Rated between Baa1 and B3 at the End of 2019, End of Period, 75th Percentile (Difference from end-2019, percent) - 2020:Q1: Canada 7.6858; France 0; Germany 8.33; Italy 5; Japan -9.333333333333334; United Kingdom -0.8; United States 40.6 - 2020:Q2: Canada 19.1577; France 0.1; Germany 4.69; Italy -15; Japan -25; United Kingdom -71; United States 70.6 - 2017:Q1–2019:Q4 baseline: Canada -5.810925; France 0.031666666666666655; Germany -0.8891666666666665; Italy -1.4283333333333335; Japan -4.916666666666665; United Kingdom 0.7416666666666666; United States -3.9125 - Panel 2: Change in Bank Lending Standards (Index; see note for details) - 2020m1: Canada 0.22159999999999958; France -0.11050000000000004; Germany 0.12400000000000011; Italy 0.0814499999999998; Japan 0.03359999999999985; United Kingdom 0.2445999999999997; United States 0.13605 - 2020m2: Canada 0.6409000000000002; France 0.2953000000000001; Germany 0.5352999999999999; Italy -0.04999999999999982; Japan 0.9080999999999999; United Kingdom 1.1650999999999998; United States 0.8265500000000001 ### Figure 3.6. Firm-Level Stock Market Performance - Panel 1: Cumulative Abnormal Return of US Firms with Low and High Leverage during February–March 2020 (Percent) - Example dates and values: - 2020-02-03: Low leverage -0.44974708557128906; High leverage -0.4059518277645111 - 2020-02-04: Low leverage -0.8274605870246887; High leverage -0.9522036910057068 - 2020-02-05: Low leverage -0.3767697811126709; High leverage 0.031217068433761597 - Panel 2: High-Leverage Firms’ and Small Firms’ Relative Equity Performance during February–March 2020 (Percentage points) - Sample country values (Feb.–Mar.): - Canada: High leverage -7.096; High-leverage vs Small: -5.847 - France: High leverage 4.135; High-leverage vs Small 0.152 - Germany: High leverage -4.353; High-leverage vs Small -12.837 - Italy: High leverage -0.821; High-leverage vs Small -3.795 - Panel 3: Cumulative Abnormal Returns of US Firms with Low and High Relative Cash during February–March 2020 (Percent) - Example dates and values: - 2020-02-03: Low relative cash -0.3275182545185089; High relative cash -0.2783099114894867 - 2020-02-04: Low relative cash -0.7122638821601868; High relative cash -0.562337338924408 - 2020-02-05: Low relative cash 0.04384494200348854; High relative cash -0.21766506135463715 - Panel 4: Liquidity-Poor and Cash-Poor Firms’ Relative Equity Performance during February–March 2020 (Percentage points) - Canada: High liquidity gap -0.549; Low relative cash 0.599 - France: High liquidity gap -4.857; Low relative cash -0.151 - Germany: High liquidity gap -0.54; Low relative cash -1.295 - Italy: High liquidity gap 2.222; Low relative cash -1.363 ### Figure 3.7. The Effect of Policies on Vulnerable Firms - Panel 1: Effect of Policy Announcements on the Relative Equity Performance of Vulnerable Firms (Percentage points, average effect over two days) - Variable samples (H=1): - High leverage 0.074 - Small 0.324 - Low relative cash -0.025 - Panel 2: Relative Effect of Announcements of Policies Targeting the Corporate Sector Directly on the Relative Equity Performance of Vulnerable Firms (Percentage points, average effect over two days) - High leverage 0.027; Small -0.094; Low relative cash 0.129 - Panel 3 & 4: High-Leverage and Small Firms' and Cash-Poor and Liquidity-Poor Firms' Relative Equity Performance during February–June 2020 and February–March 2020 - Country sample values: - Germany (Feb.–Mar.): High leverage -4.353; Small -12.837 - France (Feb.–Mar.): High leverage -4.857; Small -0.151 ### Online Box Figure 3.1.1. Key Policy Announcements in Group of Seven Economies, February–June 2020 - Panel 1: Timeline of Key Policy Announcements (Month day counts shown) - Feb. day count (eu) 1; multiple count 1 - Mar. day count (eu) 36; multiple count 88 - Apr. day count (eu) 16; multiple count 23 - May. day count (eu) 4; multiple count 7 - Jun. day count (eu) 8; multiple count 12 - Panel 2: Number of Key Announcements by Country — sample category counts - Canada (Mar.): Policy rate 3; Other market liquidity 2; Bank funding 1; Guarantees 2; Other fiscal 2; Corp loans funding fiscal 4; Asset purchases CORP 2; (Macro)prudential 3; Bank dividends 1; Asset purchases GOV 3 - France (Apr.): Bank funding 6; Corp collateral 1; Guarantees 2; Other fiscal 2; Corp loans funding fiscal 1; Asset purchases CORP 4; (Macro)prudential 5; Bank dividends 1; Asset purchases GOV 4 - Germany (May): Bank funding 6; Corp collateral 1; Guarantees 3; Other fiscal 3; Corp loans funding fiscal 2; Asset purchases CORP 4; (Macro)prudential 6; Bank dividends 1; Asset purchases GOV 4 - Italy (Jun.): Bank funding 6; Corp collateral 1; Guarantees 2; Other fiscal 2; Corp loans funding fiscal 1; Asset purchases CORP 4; (Macro)prudential 6; Bank dividends 1; Asset purchases GOV 4 ### Online Box Figure 3.2.1. Impact of Selected Firm Characteristics on the Choice of Bond versus Loan Issuance - Change in probability of issuing a bond (percentage points) — Coefficient on Rating and related samples: - Normal periods, Increment 3.1977218738502913; Coeff 0 - GFC, Increment -1.0955522504500692; Coeff 0 - COVID-19, Increment -0.2720500104324266; Coeff 0 _International Monetary Fund — Global Financial Stability Report (Chapter 3 dataset excerpt)_ --- _Source: https://www.imf.org/-/media/files/publications/gfsr/2020/october/english/data/ch3.xlsx_