## ch1data

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### Figure 1.2. Core Sovereign Bond Markets: Higher Bond Supply and a More Price-Sensitive Buyer Base
- Panel 1: "Daily Changes in 10-Year Bond Yield on Bond Auction Days (Basis Points)"
- 10-year bond auction days — 2015–2019, 2020-2022, 2023–Now:
  - France: 5.5, 7.3, 5.8999999999999995
  - Germany: 4.8, 5.8999999999999995, 5.8999999999999995
  - Italy: 6.3, 12.1, 8
  - Japan: 3.45, 1.0999999999999999, 2.9000000000000004
  - UK: 5.5, 5.36, 9.44
- 30-year bond auction days — 2015–2019, 2020-2022, 2023–Now:
  - France: 9.5, 9.5, 7.8
  - Germany: 3.1, 3.4000000000000004, 5.2
  - Italy: 4.8, 15, 16
  - Japan: 1.6, 1.9, 4.5
  - UK: 3.93, 6.92, 5.88

### Figure 1.5. Impact of Nondedicated Investors and Hedge Funds on Emerging Markets
- 1. Regression Betas of Hedge Fund Returns by Style on Emerging Market Carry Factors (Rolling 24-month beta, monthly return indices since 2013)
  - Sample betas (monthly sample rows):
    - Date "2015-12-31T00:00:00.000Z": Macro = -0.3120047860084116; Discretionary Macro = -0.052990418813296004; Macro Multi-Strategy = -0.1494638449252933
    - Date "2016-01-31T00:00:00.000Z": Macro = -0.2882109606426868; Discretionary Macro = -0.06606475117792394; Macro Multi-Strategy = -0.15203024019704128
    - Date "2016-02-29T00:00:00.000Z": Macro = -0.29222337220124955; Discretionary Macro = -0.08535793548596926; Macro Multi-Strategy = -0.18102386958683395
- 2. Correlation between Dedicated Emerging Market Debt Fund Flows and Balance of Payment Debt Portfolio Flows (Two-year rolling correlation on quarterly data)
  - Averages by period:
    - "Average 2014-2016": All EM Debt = 0.6587776806626173; All ex CHN = 0.6580866247904321; All, Foreign Domicile = 0.6779297443535572; All, Global EM = 0.6193501997889865; All, Local Currency = 0.6091109483659567; Local Currency, ex CHN = 0.5497314636673784
    - "Average 2017-2019": All EM Debt = 0.6581851160020757; All ex CHN = 0.7618640381256107; All, Foreign Domicile = 0.7164156151781955; All, Global EM = 0.7369203204944329; All, Local Currency = 0.5960747634936174; Local Currency, ex CHN = 0.6519743822271062
    - "Average 2020-2022": All EM Debt = 0.8905686572780005; All ex CHN = 0.9092742935831316; All, Foreign Domicile = 0.8725091630491998; All, Global EM = 0.5945314997419139; All, Local Currency = 0.8990241467894102; Local Currency, ex CHN = 0.8907640162775134
    - "Average 2023-2025": All EM Debt = 0.24116128329172637; All ex CHN = 0.45128655390088124; All, Foreign Domicile = 0.361314292513724; All, Global EM = 0.1411348017464848; All, Local Currency = 0.213469101105162; Local Currency, ex CHN = 0.3017079146404163
- 3. Emerging Market Interest Rate Beta to 10-Year US Treasuries (Average rolling two-year beta of yield changes, left scale; difference, right scale) — sample quantiles present (e.g., 0.1, 0.25, 0.5, 0.75)

### Figure 1.6. Emerging Market Valuations, Risk, and Returns
- 2. Emerging Market Composite Risk and Dollar Index (Z-score, left scale; dollar index, right scale, through March 2026)
  - Sample dates:
    - "2015-01-01T00:00:00.000Z": EM Composite Risk = 1.5078; Dollar Index (RHS) = 94.804
    - "2015-02-01T00:00:00.000Z": EM Composite Risk = 1.1441; Dollar Index (RHS) = 95.293
    - "2015-03-01T00:00:00.000Z": EM Composite Risk = 1.5062; Dollar Index (RHS) = 98.357
- 3. Foreign Exchange Performance since the Iran Conflict and Oil Import Dependency, 2025:Q1 (Percent)
  - Country examples (Net oil import balance (% of GDP, 2025) ; FX change since Feb. 26, 2026 (%)):
    - HUN: Net oil import balance = -1.0960554760852965; FX change = -0.8310950212153001
    - COL: Net oil import balance = 1.2540615267437512; FX change = -6.941061017144845
    - POL: Net oil import balance = 1.415384027008855; FX change = -0.7157986998758137
    - MEX: Net oil import balance = -2.137536906233845; FX change = 2.4644119373023576
    - ZAF: Net oil import balance = 3.8104668193071447; FX change = -13.814531050206401
    - BRA: Net oil import balance = 1.6628630878154744; FX change = -3.117253812063403
- 4. Decomposition of Currency Returns before and after the Iran Conflict (Percentage points)
  - For country examples the decomposition columns include: FX change: 2025Q1 till Iran conflict; Dollar factor; Carry and idiosyncratic factor; FX change since Iran conflict (sample: HUN = 18.153649; Dollar factor = 9.85778617364639; Carry/idiosyncratic = 8.295862826353611; FX change since Iran conflict = -7.196862745098032)

### Figure 1.8. Higher Short-Term Sovereign and Corporate Bond Issuance Affecting Repo Rates
- 3. Global Short-Term Funding Spreads (Basis Points)
  - Categories in sample: Domestic repo (USA, EUR, GBR, JPN) and Cross-currency basis (EUR, CHF, GBP, JPY)
  - Funding spread measures: GC-IORB, GC-DFR, GC-Bankrate, GC-Policyrate
  - Sample statistics:
    - "Whisker Low": USA = -11.000000000000032; EUR = -20.128999999999998; GBR = -11.094999999999988; JPN = -17.066000000000003; Cross-currency basis EUR = -5.25; CHF = -26.052; GBP = -1.125; JPY = -35.25
    - "Q1": USA = -2.200000000000024; EUR = -15.300999999999988; GBR = 3.3625000000000127; JPN = -4.219500000000003; Cross-currency EUR = -2.625; CHF = -19.25; GBP = 2.625; JPY = -25.28125
    - "Median": USA = 2.400000000000002; EUR = -14.589000000000008; GBR = 5.203999999999986; JPN = -2.0000000000000018; Cross-currency EUR = -1; CHF = -14.25; GBP = 4.125; JPY = -22.375

### Figure 1.16. Corporate Credit Fundamentals
- 1. Share of Debt at Risk with Interest Coverage Ratio below 1 (Percentage of total debt of small and medium-sized firms)
  - Time series sample for Emerging Markets ex-China and Advanced Economies:
    - "2018-01-01T00:00:00.000Z": Emerging Markets ex-China = 0.2688256502151489; Advanced Economies = 0.26602065563201904
    - "2018-04-01T00:00:00.000Z": Emerging Markets ex-China = 0.27867236733436584; Advanced Economies = 0.26031824946403503
    - "2018-07-01T00:00:00.000Z": Emerging Markets ex-China = 0.2904638350009918; Advanced Economies = 0.2577964961528778
    - "2018-10-01T00:00:00.000Z": Emerging Markets ex-China = 0.2885412275791168; Advanced Economies = 0.2670866847038269
    - "2019-01-01T00:00:00.000Z": Emerging Markets ex-China = 0.30231279134750366; Advanced Economies = 0.2534366846084595
    - "2019-04-01T00:00:00.000Z": Emerging Markets ex-China = 0.30811989307403564; Advanced Economies = 0.2754994034767151

### Figure 1.4.1. Impact of Obsolescence Risk on Margin Compression and Debt Dynamics
- 1. Useful Life of Hyperscalers' Capital (Number of years)
  - Columns: TA-weighted average; Implied useful life (PP&E / depreciation); Scenario life
  - Sample firm rows:
    - Firm 1: TA-weighted average = 7.06993768186033; Implied useful life = 12; Scenario life = 3
    - Firm 2: TA-weighted average = 7.06993768186033; Implied useful life = 11; Scenario life = 3
    - Firm 3: TA-weighted average = 7.06993768186033; Implied useful life = 9; Scenario life = 3
    - Firm 4: TA-weighted average = 7.06993768186033; Implied useful life = 7; Scenario life = 3
    - Firm 5: TA-weighted average = 7.06993768186033; Implied useful life = 7; Scenario life = 3
    - Firm 6: TA-weighted average = 7.06993768186033; Implied useful life = 6; Scenario life = 3
    - Firm 7: TA-weighted average = 7.06993768186033; Implied useful life = 5; Scenario life = 3

### Figure 1.19. Correlation between the returns of G4 equities and Sovereign Bonds
- 1. Twelve-Month-Ahead Expected Returns, 2000-19 (Sharpe Ratio) and 2. Twelve-Month-Ahead Expected Returns, 2020-25 (Sharpe Ratio)
  - VIX-related sample statistics:
    - VIX Median = 17.554 (panel context), later shown as 19.792 in a column labeled "VIX Median"
    - VIX 99.3pct examples: 58.9557; 62.2641
  - Sample standardized expected returns and error bands (selected values):
    - For VIX Grid value 9: Expected Return (standardized) = 1.01333360437747; 5% error band = 0.432374785962657; 33% error band = 0.721367959184714; 66% error band = 1.30529924957022; 95% error band = 1.59429242279228
    - Mean and median sample rows show values such as Mean = -10.532479029728993 (S&P 500 related column) and other sample statistics for Treasuries and G4 aggregates
  - 3. Distribution of S&P 500 and Treasury Bond Returns across Bear Market Episodes (Percentage of S&P 500, left scale; percentage of US Treasuries, right scale) — includes quantile and summary rows (Q1, Q3, Min) with values such as:
    - "Q1" row: S&P 500 = -12.572578696586014; Treasuries, rhs = 0.5792260264328997
    - "Q3" row: S&P 500 = -7.2342210511123906; Treasuries, rhs = 2.7991192990150795
    - "Min" row: S&P 500 = -33.12646613415684; Treasuries, rhs = -1.5895642647616892

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2026/april/data/ch1data.xlsx_