Stress Testing the Corporate Debt Servicing Capacity: A Scenario Analysis, Accessible Data

Date	Aggregate ICR
3/31/2000	3.134067187
6/30/2000	3.111175657
9/30/2000	3.116362431
12/31/2000	2.9550311
3/31/2001	3.03503376
6/30/2001	2.88079501
9/30/2001	2.854207235
12/31/2001	2.796662482
3/31/2002	2.815943626
6/30/2002	2.836497769
9/30/2002	2.926159772
12/31/2002	3.143100336
3/31/2003	3.319154098
6/30/2003	3.372822972
9/30/2003	3.537053488
12/31/2003	3.752129076
3/31/2004	3.988954593
6/30/2004	4.322467793
9/30/2004	4.438925208
12/31/2004	4.468117906
3/31/2005	4.93495649
6/30/2005	4.999230866
9/30/2005	4.752141032
12/31/2005	4.837083486
3/31/2006	4.656193827
6/30/2006	4.715884213
9/30/2006	4.832548529
12/31/2006	4.783753247
3/31/2007	4.990981386
6/30/2007	4.771182022
9/30/2007	4.654222668
12/31/2007	4.578940272
3/31/2008	4.283837264
6/30/2008	4.517560089
9/30/2008	4.636748724
12/31/2008	4.13215297
3/31/2009	3.995031537
6/30/2009	3.802600564
9/30/2009	3.564691986
12/31/2009	4.050942079
3/31/2010	4.503607432
6/30/2010	4.727778323
9/30/2010	4.985382241
12/31/2010	5.103777144
3/31/2011	5.594124955
6/30/2011	5.587346666
9/30/2011	5.975056543
12/31/2011	5.857417913
3/31/2012	5.869433832
6/30/2012	5.663932712
9/30/2012	5.536527323
12/31/2012	5.409196754
3/31/2013	5.364311206
6/30/2013	5.655433702
9/30/2013	5.912438253
12/31/2013	5.912340565
3/31/2014	6.334254903
6/30/2014	6.19430697
9/30/2014	6.194490007
12/31/2014	5.798128752
3/31/2015	5.685810813
6/30/2015	5.438426717
9/30/2015	5.056820006
12/31/2015	4.744572012
3/31/2016	4.58208287
6/30/2016	4.703867697
9/30/2016	4.928037627
12/31/2016	4.942595019
3/31/2017	4.965744078
6/30/2017	5.042670543
9/30/2017	4.959522779
12/31/2017	4.945737503
3/31/2018	5.167804825
6/30/2018	5.345165161
9/30/2018	5.609551285
12/31/2018	5.176177837
3/31/2019	5.165743323
6/30/2019	5.213456908
9/30/2019	5.092872413
12/31/2019	5.328009631
3/31/2020	4.50033947
6/30/2020	4.164260293
9/30/2020	4.217645579
12/31/2020	4.23666631
3/31/2021	5.308716805
6/30/2021	5.961241817
9/30/2021	6.599621312
12/31/2021	7.222434714
3/31/2022	7.9634273
6/30/2022	7.775493689
9/30/2022	7.414841038
12/31/2022	6.671066153
3/31/2023	6.319929605
6/30/2023	6.363543816
9/30/2023	6.208068498

Note: Aggregate ICR = Aggregate EBIT/Aggregate interest expense. Sample includes nonfinancial firms with positive book value of debt and positive interest expense. Three shaded regions in order from left to right showing NBER recessions: March 2001-November 2001, December 2007-June 2009, and February 2020-April 2020.

Source: Compustat.

Date	Historical	Baseline	Stagflation	Severely Adverse
3/31/2000	3.559503619
6/30/2000	3.432004393
9/30/2000	3.339613985
12/31/2000	3.251357787
3/31/2001	3.159751467
6/30/2001	2.880856294
9/30/2001	2.651402483
12/31/2001	2.56523001
3/31/2002	2.922503463
6/30/2002	3.012585595
9/30/2002	3.170530099
12/31/2002	3.361874874
3/31/2003	3.611330209
6/30/2003	3.720999466
9/30/2003	4.021020839
12/31/2003	3.824820515
3/31/2004	4.651220808
6/30/2004	4.985465135
9/30/2004	5.258769279
12/31/2004	5.162837428
3/31/2005	5.412405107
6/30/2005	5.412278694
9/30/2005	5.405187012
12/31/2005	5.252185697
3/31/2006	5.737856949
6/30/2006	5.612220356
9/30/2006	5.711261214
12/31/2006	5.296635058
3/31/2007	5.482301773
6/30/2007	5.415307278
9/30/2007	5.486089073
12/31/2007	5.194913299
3/31/2008	5.489312771
6/30/2008	5.647714576
9/30/2008	5.829523876
12/31/2008	4.819557311
3/31/2009	4.861958072
6/30/2009	4.118463284
9/30/2009	3.943624412
12/31/2009	4.186080485
3/31/2010	4.997616766
6/30/2010	5.290038425
9/30/2010	5.617810681
12/31/2010	5.591422016
3/31/2011	6.174788948
6/30/2011	6.313192721
9/30/2011	6.774302947
12/31/2011	6.051613548
3/31/2012	6.524469169
6/30/2012	6.271052711
9/30/2012	6.144165337
12/31/2012	5.724177076
3/31/2013	6.084280915
6/30/2013	5.95891523
9/30/2013	6.152949897
12/31/2013	6.032219697
3/31/2014	6.248583342
6/30/2014	6.204508457
9/30/2014	6.336550235
12/31/2014	5.81244728
3/31/2015	5.720336116
6/30/2015	5.545117132
9/30/2015	5.011853851
12/31/2015	4.708971113
3/31/2016	4.580813604
6/30/2016	4.500183924
9/30/2016	4.608073082
12/31/2016	4.887773465
3/31/2017	5.051739205
6/30/2017	5.113982489
9/30/2017	5.18516908
12/31/2017	5.071216724
3/31/2018	5.439708502
6/30/2018	5.482529383
9/30/2018	5.678941551
12/31/2018	5.16901045
3/31/2019	5.361213618
6/30/2019	5.271922639
9/30/2019	5.279077225
12/31/2019	5.279109243
3/31/2020	4.556882736
6/30/2020	4.162375534
9/30/2020	4.252493241
12/31/2020	4.342614994
3/31/2021	5.497417222
6/30/2021	6.187556161
9/30/2021	6.83872745
12/31/2021	7.470203146
3/31/2022	8.058632627
6/30/2022	7.807550417
9/30/2022	7.513135321
12/31/2022	6.795688619
3/31/2023	6.493837513
6/30/2023	6.528713064
9/30/2023	6.259	6.259	6.259	6.259
12/31/2023		6.056	6.056	6.056
3/31/2024		5.921	5.921	5.921
6/30/2024		5.81	5.273	5.735
9/30/2024		5.764	5.166	5.764
12/31/2024		5.675	5.196	5.461
3/31/2025		5.54	5.21	4.925
6/30/2025		5.388	5.055	4.578
9/30/2025		5.275	4.962	4.336
12/31/2025		5.136	4.964	4.22
3/31/2026		5.038	4.922	4.173
6/30/2026		4.965	4.849	4.192
9/30/2026		4.916	4.793	4.221

Note: ICR = Aggregate EBIT/Aggregate interest expense. Sample includes nonfinancial firms with positive book value of debt and positive interest expense. Four shaded regions in order from left to right, first three gray shaded regions showing NBER recessions: March 2001-November 2001, December 2007-June 2009, and February 2020-April 2020. Final blue shaded region showing projection horizon: 2023 Q4 – 2026 Q3.

Source: Compustat; Capital IQ; Moody’s Analytics Inc.; Mergent’s FISD; S&P Ratings; staff calculations.

Figure 3a. Aggregate Interest Expense
Billions USD

Date	Historical	Baseline	Severely Adverse	Stagflation
3/31/2000	48.993381
6/30/2000	50.177293
9/30/2000	51.944519
12/31/2000	54.211783
3/31/2001	48.157791
6/30/2001	49.661862
9/30/2001	46.201185
12/31/2001	44.232061
3/31/2002	44.313096
6/30/2002	43.17357
9/30/2002	45.243732
12/31/2002	44.155326
3/31/2003	42.117493
6/30/2003	41.190448
9/30/2003	41.866754
12/31/2003	41.987468
3/31/2004	41.32023
6/30/2004	40.390612
9/30/2004	40.252196
12/31/2004	41.830455
3/31/2005	37.243662
6/30/2005	37.143381
9/30/2005	42.706867
12/31/2005	43.083361
3/31/2006	44.970652
6/30/2006	48.348086
9/30/2006	48.671376
12/31/2006	48.865351
3/31/2007	47.310598
6/30/2007	48.141331
9/30/2007	49.982435
12/31/2007	51.776408
3/31/2008	58.455184
6/30/2008	57.778167
9/30/2008	58.741294
12/31/2008	61.824388
3/31/2009	57.059797
6/30/2009	56.474299
9/30/2009	57.699763
12/31/2009	55.831217
3/31/2010	54.780107
6/30/2010	55.607212
9/30/2010	54.887978
12/31/2010	55.573364
3/31/2011	53.136801
6/30/2011	53.978915
9/30/2011	52.830277
12/31/2011	53.087873
3/31/2012	51.174796
6/30/2012	50.883226
9/30/2012	51.772272
12/31/2012	53.336144
3/31/2013	51.44783
6/30/2013	53.186591
9/30/2013	52.772294
12/31/2013	54.261729
3/31/2014	52.885338
6/30/2014	54.385481
9/30/2014	55.279749
12/31/2014	57.247713
3/31/2015	56.96031
6/30/2015	57.086622
9/30/2015	59.859132
12/31/2015	60.526293
3/31/2016	62.534963
6/30/2016	63.229653
9/30/2016	63.066754
12/31/2016	62.546654
3/31/2017	63.968603
6/30/2017	65.914916
9/30/2017	65.990622
12/31/2017	67.970757
3/31/2018	65.594337
6/30/2018	66.653875
9/30/2018	67.299174
12/31/2018	70.217971
3/31/2019	72.189258
6/30/2019	73.176354
9/30/2019	73.339663
12/31/2019	71.285921
3/31/2020	71.291576
6/30/2020	70.013735
9/30/2020	69.800882
12/31/2020	69.287232
3/31/2021	67.186724
6/30/2021	69.260013
9/30/2021	67.216373
12/31/2021	67.051099
3/31/2022	64.426232
6/30/2022	66.593353
9/30/2022	71.261666
12/31/2022	78.026746
3/31/2023	83.118016
6/30/2023	84.558612
9/30/2023	86.302036	86.302036	86.302036	86.302036
12/31/2023		89.40897429	89.40897429	89.40897429
3/31/2024		92.0171966	92.0171966	92.0171966
6/30/2024		93.68395063	91.65851967	103.2259125
9/30/2024		94.91184593	86.58918606	105.7230916
12/31/2024		96.45094068	84.48744809	104.5974714
3/31/2025		98.33587058	84.35394502	103.0739883
6/30/2025		100.5481699	84.29927814	105.075668
9/30/2025		102.1862123	84.87364861	106.3166865
12/31/2025		104.6497853	85.61416752	106.2583203
3/31/2026		106.5996352	86.84203281	107.5814101
6/30/2026		108.4110435	87.71345675	109.9609123
9/30/2026		110.0429267	88.80012595	112.4744888

Figure 3b. Aggregate Earnings
Billions USD

Date	Historical	Baseline	Severely Adverse	Stagflation
3/31/2000	165.936136
6/30/2000	170.63114
9/30/2000	171.146524
12/31/2000	137.566832
3/31/2001	134.899799
6/30/2001	141.547386
9/30/2001	120.789456
12/31/2001	101.221826
3/31/2002	129.890609
6/30/2002	142.386709
9/30/2002	142.835987
12/31/2002	129.745917
3/31/2003	146.289963
6/30/2003	147.458711
9/30/2003	164.11575
12/31/2003	159.547636
3/31/2004	177.534994
6/30/2004	192.225912
9/30/2004	190.594901
12/31/2004	189.708085
3/31/2005	190.417386
6/30/2005	200.403375
9/30/2005	208.164751
12/31/2005	215.396244
3/31/2006	215.987625
6/30/2006	247.270721
9/30/2006	245.974477
12/31/2006	217.138167
3/31/2007	230.178755
6/30/2007	248.643118
9/30/2007	245.770716
12/31/2007	232.745648
3/31/2008	255.285456
6/30/2008	269.792769
9/30/2008	307.959995
12/31/2008	159.361436
3/31/2009	154.69188
6/30/2009	216.067495
9/30/2009	241.007716
12/31/2009	244.91526
3/31/2010	272.213705
6/30/2010	287.046399
9/30/2010	292.401545
12/31/2010	286.725854
3/31/2011	302.589483
6/30/2011	334.555481
9/30/2011	339.005202
12/31/2011	277.742748
3/31/2012	300.224501
6/30/2012	301.479174
9/30/2012	291.901205
12/31/2012	258.702595
3/31/2013	282.34453
6/30/2013	322.188474
9/30/2013	327.89041
12/31/2013	327.924605
3/31/2014	326.120915
6/30/2014	356.696827
9/30/2014	361.270392
12/31/2014	292.44396
3/31/2015	295.474388
6/30/2015	303.462183
9/30/2015	296.648434
12/31/2015	254.589519
3/31/2016	283.826255
6/30/2016	303.855838
9/30/2016	336.797035
12/31/2016	324.332086
3/31/2017	330.403594
6/30/2017	349.89715
9/30/2017	356.791346
12/31/2017	361.642391
3/31/2018	350.896634
6/30/2018	391.136391
9/30/2018	425.18569
12/31/2018	349.823408
3/31/2019	373.131087
6/30/2019	396.749993
9/30/2019	399.735359
12/31/2019	373.3109935
3/31/2020	162.385462
6/30/2020	243.359975
9/30/2020	372.199419
12/31/2020	372.116007
3/31/2021	421.612524
6/30/2021	492.545197
9/30/2021	499.60809
12/31/2021	547.451804
3/31/2022	514.215177
6/30/2022	517.139278
9/30/2022	533.661626
12/31/2022	536.755117
3/31/2023	536.550751
6/30/2023	551.620883
9/30/2023	522.480885	522.480885	522.480885	522.480885
12/31/2023		541.4271572	541.4271572	541.4271572
3/31/2024		544.8567727	544.8567727	544.8567727
6/30/2024		544.2721932	525.6879323	544.3605748
9/30/2024		547.0504521	499.1078345	546.1338432
12/31/2024		547.373993	461.3711122	543.5352388
3/31/2025		544.774243	415.4169209	537.0032921
6/30/2025		541.7990529	385.9367211	531.2031954
9/30/2025		539.0009413	368.0401107	527.5942157
12/31/2025		537.466013	361.2853079	527.503588
3/31/2026		537.0870756	362.4025338	529.5593799
6/30/2026		538.2512193	367.6948227	533.201175
9/30/2026		540.9277854	374.8146527	539.1010672

Date	Historical	Baseline	Stagflation	Severely Adverse
3/31/2000	1.937146261
6/30/2000	1.817719239
9/30/2000	1.722987512
12/31/2000	1.578802123
3/31/2001	1.595137696
6/30/2001	1.328736223
9/30/2001	1.071420539
12/31/2001	1.019027105
3/31/2002	1.13030498
6/30/2002	1.278032294
9/30/2002	1.535500504
12/31/2002	1.566238523
3/31/2003	1.625545983
6/30/2003	1.660761234
9/30/2003	1.8186046
12/31/2003	2.122711256
3/31/2004	2.288559323
6/30/2004	2.584208118
9/30/2004	2.561761222
12/31/2004	2.580405364
3/31/2005	2.708322126
6/30/2005	2.633148706
9/30/2005	2.43835199
12/31/2005	2.608580236
3/31/2006	2.138309271
6/30/2006	2.148306775
9/30/2006	2.213241391
12/31/2006	2.181968562
3/31/2007	2.318768202
6/30/2007	2.274403075
9/30/2007	2.238741135
12/31/2007	2.120528283
3/31/2008	2.081157407
6/30/2008	1.909424776
9/30/2008	2.011691733
12/31/2008	1.535534493
3/31/2009	1.439311006
6/30/2009	1.404070499
9/30/2009	1.189014994
12/31/2009	1.670996155
3/31/2010	2.131144101
6/30/2010	2.286280214
9/30/2010	2.445074761
12/31/2010	2.599040632
3/31/2011	2.628436591
6/30/2011	2.571117952
9/30/2011	2.894837911
12/31/2011	2.84924764
3/31/2012	2.885645343
6/30/2012	2.709314318
9/30/2012	2.482001794
12/31/2012	2.391327461
3/31/2013	2.507377586
6/30/2013	2.58079227
9/30/2013	2.745191819
12/31/2013	2.780450852
3/31/2014	2.771492718
6/30/2014	2.677750363
9/30/2014	2.704608603
12/31/2014	2.513942324
3/31/2015	2.396035091
6/30/2015	2.216195899
9/30/2015	1.871703369
12/31/2015	1.576223156
3/31/2016	1.464486639
6/30/2016	1.603071337
9/30/2016	1.817323549
12/31/2016	2.059922735
3/31/2017	2.237152839
6/30/2017	2.377064728
9/30/2017	2.340757859
12/31/2017	2.388273512
3/31/2018	2.486715334
6/30/2018	2.605533843
9/30/2018	2.715526766
12/31/2018	2.699569958
3/31/2019	2.673705011
6/30/2019	2.587130626
9/30/2019	2.310147884
12/31/2019	2.195853888
3/31/2020	1.718973237
6/30/2020	1.16930991
9/30/2020	0.98585229
12/31/2020	1.013839151
3/31/2021	1.62414472
6/30/2021	2.237481082
9/30/2021	2.747338923
12/31/2021	3.158720047
3/31/2022	3.929900778
6/30/2022	4.004008764
9/30/2022	3.51321224
12/31/2022	3.062161754
3/31/2023	2.730300052
6/30/2023	2.628855728
9/30/2023	2.436	2.436	2.436	2.436
12/31/2023		2.366	2.366	2.366
3/31/2024		2.439	2.439	2.439
6/30/2024		2.424	2.026	2.281
9/30/2024		2.468	2.005	2.198
12/31/2024		2.443	2.035	1.895
3/31/2025		2.364	2.042	1.41
6/30/2025		2.294	1.992	1.166
9/30/2025		2.232	1.96	1.027
12/31/2025		2.159	2.003	0.98
3/31/2026		2.131	2.022	0.977
6/30/2026		2.114	2.019	1.005
9/30/2026		2.12	2.028	1.04

Note: ICR = Aggregate EBIT/Aggregate interest expense. Sample includes nonfinancial firms with positive book value of debt and positive interest expense. Four shaded regions in order from left to right, first three gray shaded regions showing NBER recessions: March 2001-November 2001, December 2007-June 2009, and February 2020-April 2020. Final blue shaded region showing projection horizon: 2023 Q4 – 2026 Q3.

Source: Compustat; Capital IQ; Moody’s Analytics Inc.; Mergent’s FISD; S&P Ratings; staff calculations.

Figure 5a. Aggregate Interest Expense
Billions USD

Date	Historical	Baseline	Severely Adverse	Stagflation
3/31/2000	21.335441
6/30/2000	21.266715
9/30/2000	21.948163
12/31/2000	23.455875
3/31/2001	23.137745
6/30/2001	22.683346
9/30/2001	21.760883
12/31/2001	20.632106
3/31/2002	19.962541
6/30/2002	19.822379
9/30/2002	22.277029
12/31/2002	21.451003
3/31/2003	20.265497
6/30/2003	19.98997
9/30/2003	20.285378
12/31/2003	20.278205
3/31/2004	19.989919
6/30/2004	19.005056
9/30/2004	18.27765
12/31/2004	19.315123
3/31/2005	18.102297
6/30/2005	20.298791
9/30/2005	22.095178
12/31/2005	21.439627
3/31/2006	25.550536
6/30/2006	27.180734
9/30/2006	26.85694
12/31/2006	27.183844
3/31/2007	25.706307
6/30/2007	26.712884
9/30/2007	28.237661
12/31/2007	29.487164
3/31/2008	29.894163
6/30/2008	28.572695
9/30/2008	29.34116
12/31/2008	31.824114
3/31/2009	28.054255
6/30/2009	27.3585
9/30/2009	28.886588
12/31/2009	26.741113
3/31/2010	26.511648
6/30/2010	27.359968
9/30/2010	27.045508
12/31/2010	26.515524
3/31/2011	25.450693
6/30/2011	26.285529
9/30/2011	25.256414
12/31/2011	25.274528
3/31/2012	24.054733
6/30/2012	24.179968
9/30/2012	25.098098
12/31/2012	26.279829
3/31/2013	24.380975
6/30/2013	25.483357
9/30/2013	24.515301
12/31/2013	25.28123
3/31/2014	25.640324
6/30/2014	26.472216
9/30/2014	26.793056
12/31/2014	27.705495
3/31/2015	26.89267
6/30/2015	26.940977
9/30/2015	27.574551
12/31/2015	27.673831
3/31/2016	27.964243
6/30/2016	29.377561
9/30/2016	29.180978
12/31/2016	28.842467
3/31/2017	29.20334
6/30/2017	29.720142
9/30/2017	29.566748
12/31/2017	30.149518
3/31/2018	29.225368
6/30/2018	29.550099
9/30/2018	29.587556
12/31/2018	30.130879
3/31/2019	30.469075
6/30/2019	31.22648
9/30/2019	31.153461
12/31/2019	30.534286
3/31/2020	32.365224
6/30/2020	30.743306
9/30/2020	31.198131
12/31/2020	31.492901
3/31/2021	30.15271
6/30/2021	30.791878
9/30/2021	29.451043
12/31/2021	28.730936
3/31/2022	27.315938
6/30/2022	27.853596
9/30/2022	29.286594
12/31/2022	31.830022
3/31/2023	33.46236
6/30/2023	34.015628
9/30/2023	35.09373	35.09373	35.09373	35.09373
12/31/2023		36.22590002	36.22590002	36.22590002
3/31/2024		36.86603285	36.86603285	36.86603285
6/30/2024		37.19539048	36.16882344	44.51051907
9/30/2024		36.97156707	33.03110216	45.31819644
12/31/2024		37.40366819	31.40673964	44.12740659
3/31/2025		38.19863987	31.32799759	42.69137362
6/30/2025		38.84113261	30.951469	42.58476097
9/30/2025		39.40619001	30.81917689	42.54582553
12/31/2025		40.46339643	30.72094668	41.605802
3/31/2026		40.92301483	31.01237431	41.60803784
6/30/2026		41.47788039	31.24608723	42.38040405
9/30/2026		41.85387629	31.62867802	43.33296468

Figure 5b. Aggregate Earnings
Billions USD

Date	Historical	Baseline	Severely Adverse	Stagflation
3/31/2000	43.165217
6/30/2000	42.156462
9/30/2000	38.342552
12/31/2000	28.340616
3/31/2001	30.486125
6/30/2001	29.440038
9/30/2001	21.720303
12/31/2001	17.40874
3/31/2002	25.578481
6/30/2002	34.792058
9/30/2002	35.141336
12/31/2002	23.88239
3/31/2003	34.039217
6/30/2003	39.521283
9/30/2003	46.448844
12/31/2003	43.919332
3/31/2004	49.293316
6/30/2004	55.37259
9/30/2004	51.709875
12/31/2004	51.919491
3/31/2005	52.487411
6/30/2005	60.02687
9/30/2005	52.835197
12/31/2005	55.927169
3/31/2006	60.673263
6/30/2006	68.852384
9/30/2006	58.908106
12/31/2006	53.621376
3/31/2007	58.417811
6/30/2007	72.650802
9/30/2007	68.964329
12/31/2007	55.777312
3/31/2008	59.569614
6/30/2008	49.275605
9/30/2008	73.836349
12/31/2008	5.538316
3/31/2009	8.482113
6/30/2009	44.753796
9/30/2009	54.945315
12/31/2009	52.999502
3/31/2010	65.242639
6/30/2010	70.687663
9/30/2010	71.140462
12/31/2010	65.04807
3/31/2011	69.657655
6/30/2011	79.838391
9/30/2011	83.905471
12/31/2011	61.219286
3/31/2012	63.564158
6/30/2012	64.328254
9/30/2012	58.988244
12/31/2012	58.117027
3/31/2013	65.336151
6/30/2013	78.65804
9/30/2013	73.82869
12/31/2013	65.098039
3/31/2014	69.477837
6/30/2014	79.274116
9/30/2014	82.631826
12/31/2014	56.928715
3/31/2015	47.979636
6/30/2015	52.005777
9/30/2015	43.608179
12/31/2015	27.38461
3/31/2016	46.410612
6/30/2016	63.396509
9/30/2016	70.578362
12/31/2016	67.183701
3/31/2017	69.350515
6/30/2017	79.152741
9/30/2017	79.507321
12/31/2017	80.281789
3/31/2018	75.169834
6/30/2018	86.682708
9/30/2018	92.153477
12/31/2018	77.614147
3/31/2019	69.097952
6/30/2019	82.333337
9/30/2019	73.124275
12/31/2019	60.6483025
3/31/2020	5.346586
6/30/2020	0.368034
9/30/2020	54.182763
12/31/2020	64.794572
3/31/2021	76.004706
6/30/2021	95.682195
9/30/2021	105.912285
12/31/2021	111.927526
3/31/2022	110.27504
6/30/2022	132.066069
9/30/2022	104.185436
12/31/2022	88.181863
3/31/2023	75.721983
6/30/2023	91.236335
9/30/2023	93.851265	93.851265	93.851265	93.851265
12/31/2023		85.71171295	85.71171295	85.71171295
3/31/2024		89.91881689	89.91881689	89.91881689
6/30/2024		90.14592172	82.50530272	90.18225841
9/30/2024		91.24677045	72.60655515	90.87043978
12/31/2024		91.3648577	59.52178754	89.80736369
3/31/2025		90.30638379	44.18035889	87.1836013
6/30/2025		89.10055308	36.09067284	84.84440841
9/30/2025		87.97277671	31.64795123	83.39194075
12/31/2025		87.35598507	30.09571861	83.34729803
3/31/2026		87.20306614	30.31119294	84.14056847
6/30/2026		87.6656777	31.40093193	85.55947354
9/30/2026		88.7344091	32.89090943	87.89004704

Date	Historical	Baseline	Stagflation	Severely Adverse
3/31/2000	0.43528222
6/30/2000	0.438316646
9/30/2000	0.436634226
12/31/2000	0.474007935
3/31/2001	0.477303904
6/30/2001	0.488864289
9/30/2001	0.502481815
12/31/2001	0.519719497
3/31/2002	0.528113534
6/30/2002	0.519415993
9/30/2002	0.508818662
12/31/2002	0.486121579
3/31/2003	0.47854018
6/30/2003	0.465093936
9/30/2003	0.471170932
12/31/2003	0.469095958
3/31/2004	0.451730969
6/30/2004	0.413873625
9/30/2004	0.416045732
12/31/2004	0.409870052
3/31/2005	0.397178665
6/30/2005	0.390192023
9/30/2005	0.381782496
12/31/2005	0.381869003
3/31/2006	0.380774819
6/30/2006	0.330589762
9/30/2006	0.307527082
12/31/2006	0.325240687
3/31/2007	0.336720589
6/30/2007	0.344259858
9/30/2007	0.343248514
12/31/2007	0.364725513
3/31/2008	0.349603968
6/30/2008	0.339220328
9/30/2008	0.335595669
12/31/2008	0.353553602
3/31/2009	0.351944582
6/30/2009	0.35293056
9/30/2009	0.376060661
12/31/2009	0.35082416
3/31/2010	0.309502874
6/30/2010	0.31174289
9/30/2010	0.259261278
12/31/2010	0.240040131
3/31/2011	0.234872191
6/30/2011	0.230064903
9/30/2011	0.218698493
12/31/2011	0.223552096
3/31/2012	0.214501232
6/30/2012	0.21483049
9/30/2012	0.218053406
12/31/2012	0.232635619
3/31/2013	0.200957565
6/30/2013	0.215574777
9/30/2013	0.189662955
12/31/2013	0.199587753
3/31/2014	0.196161183
6/30/2014	0.196769474
9/30/2014	0.191272024
12/31/2014	0.25551664
3/31/2015	0.236697304
6/30/2015	0.241514578
9/30/2015	0.234573189
12/31/2015	0.25240388
3/31/2016	0.253998875
6/30/2016	0.271590602
9/30/2016	0.236116259
12/31/2016	0.238373193
3/31/2017	0.244738913
6/30/2017	0.24972524
9/30/2017	0.225576746
12/31/2017	0.236352636
3/31/2018	0.220406291
6/30/2018	0.214097877
9/30/2018	0.192380549
12/31/2018	0.204303467
3/31/2019	0.197452892
6/30/2019	0.20224019
9/30/2019	0.204120249
12/31/2019	0.202915519
3/31/2020	0.218229387
6/30/2020	0.266791333
9/30/2020	0.250803567
12/31/2020	0.269082986
3/31/2021	0.248236655
6/30/2021	0.236462271
9/30/2021	0.209873079
12/31/2021	0.185044842
3/31/2022	0.171022033
6/30/2022	0.16319081
9/30/2022	0.175463272
12/31/2022	0.205222848
3/31/2023	0.217383445
6/30/2023	0.198496578
9/30/2023	0.217220505	0.217220505	0.217220505	0.217220505
12/31/2023		0.209103401	0.209103401	0.209103401
3/31/2024		0.223655811	0.223655811	0.223655811
6/30/2024		0.221446997	0.259812885	0.23317229
9/30/2024		0.220480157	0.268033427	0.243401454
12/31/2024		0.22159501	0.266574827	0.272758292
3/31/2025		0.229920359	0.266595631	0.322970615
6/30/2025		0.242595664	0.273613029	0.356252229
9/30/2025		0.247850263	0.281113045	0.37493524
12/31/2025		0.254609541	0.279886157	0.385080147
3/31/2026		0.261672157	0.290698425	0.384475893
6/30/2026		0.276019884	0.298137352	0.382905539
9/30/2026		0.280135225	0.305745193	0.377616309

Note: The percent of debt at risk is the percent of debt with ICR < 2. Sample includes nonfinancial firms with positive book value of debt and positive interest expense. Four shaded regions in order from left to right, first three gray shaded regions showing NBER recessions: March 2001-November 2001, December 2007-June 2009, and February 2020-April 2020. Final blue shaded region showing projection horizon: 2023 Q4 – 2026 Q3.

Source: Compustat; Capital IQ; Moody’s Analytics Inc.; Mergent’s FISD; S&P Ratings; staff calculations.

Board of Governors of the Federal Reserve System

Accessible Version

Stress Testing the Corporate Debt Servicing Capacity: A Scenario Analysis, Accessible Data

Figure 1. Historical Aggregate Interest Coverage Ratio of U.S. Public Nonfinancial Firms

Figure 2. Aggregate Interest Coverage Ratio of U.S. Public Nonfinancial Firms

Figure 3. Aggregate Interest Expense and Earnings of U.S. Public Nonfinancial Firms

Figure 4. Aggregate Interest Coverage Ratio of U.S. Public Non-Investment Grade Nonfinancial Firms

Figure 5. Aggregate Interest Expense and Earnings of U.S. Public Non-Investment Grade Nonfinancial Firms

Figure 6. Percent of Debt at Risk of U.S. Public Nonfinancial Firms