## Dataset overview

## Source details

**Canonical URL:** [Dataset overview](https://www.imf.org/-/media/files/publications/gfsr/2024/april/data/ch2data-updated.xlsx)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2024/april/data/ch2data-updated.xlsx.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2024/april/data/ch2data-updated.xlsx.json)

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### Description
- Workbook name (dataset): ch2data-updated (XLSX or CSV).
- Contains multiple worksheets with panel, cross‑sectional, and time‑series data for private credit, leveraged loans, high yield bonds, investment grade bonds, sectoral term structures, PIK dynamics, and distributional statistics relevant to Chapter 2 analyses.

### Key worksheets sampled
- "2.3 P2", "2.4 P1", "2.4 P2", "2.4 P3", "2.5 P3", "2.6 P1", "2.6 P3", "2.9 P2", "2.11 P1", "2.11 P3", "2.13 P1", "2.13 P2", "2.13 P3", "2.13 P4", "2.14 P2", "2.14 P3".

### Units and scales evident in samples
- Debt/EBITDA and Size (dollar amounts such as 452832.5, 4,647,150, 16,017,500 appear in worksheet "2.3 P2").
- Time indexing appears as fractional years (e.g., 2019.125, 2019.375) and as quarterly labels (e.g., "2019Q4", "2020Q1").
- Shares and ratios expressed as decimals (e.g., 0.06770497418632138) and percentages are not converted.

### Data types present
- Numeric time series (quarterly and annual).
- Cross‑sectional medians, percentiles (25th, median/50th, 75th), interquartile ranges, and top/bottom deciles.
- Categorical labels (e.g., "Private credit", "Leveraged loans", "High yield bonds", "Investment grade bonds", sector names).
- Some cells contain formulas and formula metadata (e.g., {"formula":"E2"}, {"formula":"E3", "result": 20, "ref":"F3:F6", "shareType":"shared"}).

### Missing / blank entries
- Several worksheets contain trailing empty rows and blank cells in sample rows.

---

### Selected variables and exact sample values (preserved verbatim)
- From "2.3 P2":
  - Private credit: Debt/EBITDA = 0.348927946700768; Debt/EBITDA column labelled alongside "4.725"; Size = 452832.5.
  - Leveraged loans: 0.4677302589329898; 4.267; 4647150.
  - High yield bonds: 0.46964941512555425; 3.8810000000000002; 4508248.5.
  - Investment grade bonds: 0.34602289646202317; 3.2435; 16017500.

- From "2.4 P1" (time series rows with private credit column):
  - 2019.125: Variable rate debt 0%-25% = 4.288359330323179; 25%-50% = 4.531915628753738; 50%-75% = 4.708809492107845; 75%-100% = 5.335502273555062; Private credit = 9.7595.
  - 2019.375: ...; Private credit = 9.3005.
  - 2019.625: ...; Private credit = 9.155629999999999.
  - 2019.875: ...; Private credit = 9.012129999999999.
  - 2020.125: ...; Private credit = 7.67525.
  - 2020.375: ...; Private credit = 6.86925.
  - 2020.625: ...; Private credit = 6.75975.
  - 2020.875: ...; Private credit = 6.75763.
  - 2021.125: ...; Private credit = 6.70525.

- From "2.4 P2" (annual PIK and interest metrics):
  - "PIK share" by year: 2018 = 0.06770497418632138; 2019 = 0.058790461036709346; 2020 = 0.09758148681782218; 2021 = 0.11134249369086072; 2022 = 0.11771818851448207; 2023 = 0.1169678456986494.
  - "PIK (right scale)" series: 2018 = 0.06770497418632138; 2019 = 0.08562899690277004; 2020 = 0.14633408732522152; 2021 = 0.2010468452177062; 2022 = 0.2701769977956281; 2023 = 0.34782478997777116.
  - "non-PIK (right scale)" series: 2018 = 0.9322950258136787; 2019 = 1.370882746546604; 2020 = 1.3532750301133871; 2021 = 1.6046145743648932; 2022 = 2.0249398503742704; 2023 = 2.625853898384935.
  - "2018 interest income = 1" row: 2018 through 2023 = 1.

- From "2.4 P3" (ICR and Shadow Private Credit Universe share ICR<1):
  - 2019Q4: 0.25 = 1.136; 0.5 = 2.441; interquartile range = 4.9959999999999996; Shadow Private Credit Universe share ICR<1 = 20.958083832335326.
  - 2020Q1: 0.25 = 0.728; 0.5 = 1.966; interquartile range = 4.877000000000001; Shadow Private Credit Universe share ICR<1 = 29.19254658385093.
  - 2020Q2: 0.25 = 1.166; 0.5 = 2.703; interquartile range = 7.766499999999999; Shadow Private Credit Universe share ICR<1 = 20.
  - 2020Q3: 0.25 = 1.2775; 0.5 = 3.4565; interquartile range = 7.8557500000000005; Shadow Private Credit Universe share ICR<1 = 18.421052631578945.
  - 2020Q4: 0.25 = 1.4475; 0.5 = 3.5145; interquartile range = 10.49925; Shadow Private Credit Universe share ICR<1 = 19.021739130434785.
  - 2021Q1: 0.25 = 1.2152500000000002; 0.5 = 3.101; interquartile range = 9.9375; Shadow Private Credit Universe share ICR<1 = 22.77777777777778.
  - 2021Q2: 0.25 = 1.3410000000000002; 0.5 = 3.391; interquartile range = 9.224499999999999; Shadow Private Credit Universe share ICR<1 = 20.72538860103627.
  - 2021Q3: 0.25 = 1.297; 0.5 = 3.586; interquartile range = 10.639999999999999; Shadow Private Credit Universe share ICR<1 = 21.53846153846154.

- From "2.5 P3" (security type shares by sector):
  - Health care: Secured = 0.5723076923076923; Mezzanine = 0.23846153846153847; Unitranche = 0.05692307692307692; Other = 0.13230769230769232.
  - Software: Secured = 0.3577075098814229; Mezzanine = 0.30632411067193677; Unitranche = 0.22332015810276679; Other = 0.11264822134387352.
  - IT infrastructure: Secured = 0.5038461538461538; Mezzanine = 0.18076923076923077; Unitranche = 0.1076923076923077; Other = 0.20769230769230768.
  - Industrial Machinery: Secured = 0.6342412451361867; Mezzanine = 0.19844357976653695; Unitranche = 0.07782101167315175; Other = 0.08949416342412451.
  - All: Secured = 0.5600579824734796; Mezzanine = 0.2556499967055413; Unitranche = 0.06799762798972128; Other = 0.11629439283125782.

- From "2.6 P1" (coefficients by instrument across indices 0–10):
  - High-yield bonds row includes values: 0; -0.8702095670583903; -0.2976863753213369; -0.01806182702327197; 0.3803926806464537; 0.40455856848127203; 0.6311612212026902; 0.6135815338793749; 0.6189985991425058; 0.5889466221340782; 0.6174103973863243.
  - Leveraged loans row includes values: 0; -0.6892759749043581; -0.6041564204775085; -0.6014639890239752; -0.4727338986245043; -0.4947740889222735; -0.44235051295131145; -0.3796245941481978; -0.3429513642572636; -0.34690783985506923; -0.3010298065142196.
  - Private credit row includes values: 0; 0.45040834317459666; -0.05685816084913775; -0.11906059433899596; -0.03492825697765767; -0.11854936432403529; -0.13709983376822343; 0.1401996431918322; 0.12752585670673167; 0.21319122584409578; 0.3236282713807248.

- From "2.6 P3" (BDC and LL percentiles):
  - BDC lending, "<0": 25th percentile = 0.11370786510158776; median = 0.14080780984851493; 75th = 0.17167083762592258; interquartile = 0.05796297252433483.
  - BDC lending, "0-40": 25th = 0.08491479360814805; median = 0.12860019491078659; 75th = 0.13677328665540803; interquartile = 0.05185849304725998.
  - BDC lending, "40-80": 25th = 0.04811610920823456; median = 0.04942505884498869; 75th = 0.08016450439338088; interquartile = 0.03204839518514632.
  - LL, "<0": 25th percentile = 0.03139607614607614; 50th = 0.046543103448275856; 75th = 0.06365307692307692; interquartile = 0.032257000777000784.

- From "2.9 P2" (large cross‑quarter panel; sample quartiles and interquartile ranges):
  - Example quartiles for CQ42023 row: 0.25 = 0.683105202707305; 0.5 = 0.945756734731607; 0.75 = 1.1909999999999998; interquartile range = 0.5078947972926948.
  - Example values across many historical quarters are provided with decimal precision (e.g., 0.6842425693369618; 0.700004134386033; 0.7022519517321619; ...; 0.123).

- From "2.11 P1":
  - Weighted by private credit assets under management (yes): 0.8121565554642245.
  - Weighted by number of private credit funds under management (yes): 0.42290748898678415.

- From "2.11 P3" (sponsored vs non‑sponsored shares by region):
  - Europe: Non - Sponsored = 0.2301845819761129; Sponsored = 0.7698154180238871.
  - North America: Non - Sponsored = 0.28390045708481465; Sponsored = 0.7160995429151854.
  - Other regions: Non - Sponsored = 0.48535564853556484; Sponsored = 0.5146443514644351.

- From "2.13 P1" (regional metrics by year):
  - North America: 2011 = 1.6329272785170252; 2016 = 1.6689769490505166; 2022 = 2.5031739897253877.
  - Europe: 2011 = 1.2469617647195472; 2016 = 1.7308821959790326; 2022 = 2.369673888720461.
  - Asia Pacific: 2011 = 1.7813928096170917; 2016 = 1.701941130433484; 2022 = 2.2303630230257485.

- From "2.13 P3" (wealth/holdings distribution 2016 vs 2022):
  - Average: 2016 = 6.6280464802236265; 2022 = 17.42103438523294.
  - Top 10 percent: 2016 = 19.683339156534135; 2022 = 37.803400135923106.
  - Bottom 10 percent: 2016 = 0; 2022 = 1.1892973959192559.
  - IQR: 2016 = 6.93408032377807; 2022 = 29.19963959761425.
  - 25th percentile: 2016 = 0; 2022 = 5.755519069971044.

- From "2.14 P2" (insurer exposure percentiles):
  - PE-influenced Insurers: Median = 20.245319981278026; 90th Percentile = 59.05914105365162; 10th Percentile = 9.335823951686935.
  - Global Insurers: Median = 6.061054023032195; 90th Percentile = 18.07980530679286; 10th Percentile = 2.3689019970505836.

- From "2.14 P3" (RBC Ratios):
  - US PE-influenced Insurers: Median = 401.49999999999994; 90th Percentile = 456.59999999999997; 10th Percentile = 345.5.
  - US Insurers: Median = 438.654456; 90th Percentile = 561.1701482; 10th Percentile = 394.1060536.

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### Distributional and percentile information (analysis-ready)
- Multiple worksheets provide 25th percentile, median/50th, 75th percentile, interquartile ranges, top/bottom deciles, and explicit interquartile numerical values suitable for distributional risk assessment and stress testing.
- Time series and cross‑sectional series include precise decimal representation for replication and model calibration.

### Notes on provenance and data structure
- Several cells include formula metadata and shared formulas indicating computed cells derived from other columns (example: F3:F6 references and E2 formulas).
- Many worksheets include empty trailing rows and columns in the sampled extracts.

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*Italic: Original dataset file: ch2data-updated (worksheet samples shown).*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2024/april/data/ch2data-updated.xlsx_