The BBB-ification of Corporate America: 30 Years of US Investment Grade Composition (1996–2026)
BBB-rated bonds made up half of one of the main US investment grade corporate bond indices in 2022, up from 25% in 1990 (BIS). The average “investment grade” bond is structurally one notch closer to junk than it was a generation ago.
A 30-year dataset of the BBB-rated share of the US investment grade corporate bond index, alongside the BBB option-adjusted spread — the two metrics that define how risk has migrated within “safe” corporate debt since the late 1990s.
The BBB rating is the lowest tier of investment grade corporate debt — one notch above junk. Over the past 30 years, the share of the US investment grade corporate bond index represented by BBB-rated issues has risen steadily: half of one of the main indices in 2022, against 25% in 1990, according to the BIS. Thirty years of that climb cut across nearly every one of the macro-financial regimes US credit has passed through since the Great Moderation. This study documents the evolution of BBB composition and of the BBB option-adjusted spread (OAS) over Treasuries since December 1996, with a paired analysis of how the structure of the US IG market has shifted and how forward equity returns have behaved across BBB concentration regimes. A broader view: how HY and IG behave across the credit phase.
The BBB-rated tier has grown for three decades: it made up half of one of the main US investment grade indices in 2022, against 25% in 1990 (BIS). The “BBB cliff” thesis — that this composition shift would generate forced-selling pressure in a recession — has not yet materialized: the 2020 COVID stress test produced an estimated $215B+ of fallen angels, which the high yield market absorbed with Federal Reserve backstop facility support. Note: this dataset measures index composition, not individual issuer quality (see Methodology and Limitations).
BBB share of one of the main US IG indices, 2022 (BIS)
Same share in 1990 (BIS)
BBB OAS peak, 31 December 2008 (ICE BofA, via FRED)
- The BBB-rated tier made up half of one of the main US investment grade indices in 2022, up from 25% in 1990 (BIS Quarterly Review, September 2022): the average “investment grade” bond is structurally one notch closer to junk than it was a generation ago.
- The BBB OAS is cyclical: it peaked at 7.84% on 31 December 2008, during the Global Financial Crisis (ICE BofA, via FRED), widened again, far less, during the COVID-2020 shock, and stood in early 2026 near the tightest levels of its history.
- Composition shifts have historically lagged credit stress: the GFC raised the BBB share only gradually, a slow grind rather than a cliff event.
- Forward 12-month returns on the S&P 500 (monthly averages of daily closes, Robert J. Shiller) when the BBB share has been in the “High” regime (≥47%, n=98 months since January 2017) have had a median of +14.1% with 84% of cases positive. Historically, elevated BBB concentration has not preceded systematic equity underperformance.
- The study combines the ICE BofA US BBB Corporate Index OAS (FRED BAMLC0A4CBBB, from December 1996, not reproduced here) with BBB share anchors from the BIS Quarterly Review of September 2022, TD Asset Management and Acharya et al. (BIS WP 1002, 2022).
Monthly · December 1996 – February 2026 · ICE BofA levels not redistributed, source terms apply ·
Methodology ·
Cite this dataset
Median 12m forward S&P 500 return at high BBB concentration
Positive 12m forward S&P 500 returns at high BBB share
BBB Composition and Spread Over Three Decades
Two distinct dynamics stand out: a slow, monotonic rise in BBB composition that does not reverse in any cycle, and an episodic OAS pattern that spikes during crises and mean-reverts. Composition is structural; spread is cyclical.
How to Read the Two Series
The first series tracks the BBB-rated share of the US investment grade corporate bond market — the proportion of total IG market value made up of BBB-tier bonds (BBB+, BBB, BBB−). The step pattern reflects the annual composition anchors drawn from published research. The second series is the option-adjusted spread of the ICE BofA BBB US Corporate Index — the yield premium investors demand over duration-matched Treasuries to hold BBB-rated debt rather than government debt.
The data tell two stories. The BBB share rises monotonically across nearly every period since 1996, with brief reversals during 2020 (COVID fallen angels temporarily moved bonds to high yield) and 2008 (similar dynamic, smaller scale). The spread, by contrast, is cyclical: low in calm periods, it spiked at the 2008 GFC peak, again during COVID, and to a lesser degree during the 2011 euro crisis and the 2015–2016 commodity downturn. The composition trend reflects structural changes in how companies finance themselves; for context on the cyclical OAS pattern, see our credit spreads dataset.
How the BBB Tier Became Half the US Investment Grade Market
The dominant narrative in financial commentary frames the rise of BBB-rated debt as a symptom of declining credit quality — a “race to the bottom” in which corporate America has progressively eroded its balance sheet quality to enable share buybacks, mergers, and dividends financed with cheap debt. This framing portrays the BBB-ification as a sign of deterioration.
The data tells a more nuanced story. According to the BIS, BBB bonds made up half of one of the main US IG indices in 2022, against 25% in 1990: the share has doubled in about three decades. This is a structural trend, not a cyclical one: the rise occurred across every economic regime — bull markets and bear markets, low-rate periods and high-rate periods, expansions and recessions. The Global Financial Crisis, often cited as a credit deterioration event, raised the BBB share only gradually over two years, no faster than in many normal periods. The composition shift is too gradual and too consistent across regimes to be explained by credit deterioration alone. Consistent across regimes, but not independent of them: the cost of carrying a BBB balance sheet has moved with the succession of monetary regimes since 1990.
Multiple coexisting drivers. The BBB share has risen because of a combination of factors: (1) corporate optimization of capital structures toward IG-minimum to access the deep institutional bond market while minimizing interest expense; (2) a long-term decline in Treasury yields that made even moderately leveraged borrowers willing to issue more debt; (3) Federal Reserve and ECB asset purchase programs that compressed corporate spreads and subsidized BBB issuance during 2009–2014 and 2020–2022; (4) the downward migration of historically AA and A issuers: bonds rated AA and above fell from more than 35% of the index in 1990 to under 10% in 2022 (BIS).
What this dataset does not measure. This dataset tracks the rating-tier composition of the index — it does not measure the underlying credit quality of individual issuers, the leverage ratios of BBB companies, their interest coverage, or their cash flow stability. A 2026 BBB issuer is on average a larger, more globally diversified company than a 1996 BBB issuer; the rating mechanically reflects leverage and interest coverage thresholds set by the rating agencies, not absolute company quality. Interpreting the BBB share rise as proof of system-wide credit deterioration requires additional issuer-level analysis not captured in index composition data alone.
The BBB share has risen for 30 years, a structural shift that persisted across all economic regimes. This is not crisis-driven deterioration; it is a long-cycle compositional rebalancing of corporate America’s capital structure.
Four Episodes That Shaped the BBB Composition
Decomposing the 30-year rise into discrete episodes reveals the underlying mechanisms. Most years, the BBB share edged up through ordinary new issuance and downgrades. Four episodes deviated from this baseline pattern.
Composition shift by sub-period
Read from the annual anchors, the shift breaks into six stretches: a moderate rise in the late 1990s (telecom and tech BBB issuance), a slower climb before the GFC (LBO leverage, financial sector issuance), a quicker step during the GFC (A-rated financials downgraded to BBB), the largest rise over 2009–2019 (reach for yield, QE-subsidized BBB issuance), a dip in 2020 (fallen angels to high yield: Ford, Macy’s, Kraft Heinz) and a plateau since.
The largest BBB composition shift was the 2009–2019 expansion, driven by the reach-for-yield environment of QE. By contrast, the GFC and COVID crises produced smaller composition shifts in absolute terms, because fallen-angel downgrades removed the lowest-quality BBBs from the IG pool.
The 2009–2019 expansion deserves particular attention. Acharya, Banerjee, Crosignani, Eisert, and Spigt (BIS Working Paper no 1002, 2022) document how central bank asset purchase programs created an explicit subsidy for “prospective fallen angels” — companies near the BBB/BB boundary whose cost of funding was reduced by approximately 25 basis points relative to higher-rated peers. This subsidy encouraged firms to operate at BBB-minimum credit metrics rather than maintaining buffer capacity. The result was a self-reinforcing dynamic: lower funding costs at BBB → more BBB issuance → larger BBB index weight → more index-tracking demand for BBB → still lower BBB funding costs. Issuers without index access take the other route, and the rate on French bank loans above EUR 1m is what that route costs.
The “BBB Cliff” Thesis — And What 2020 Revealed
A widely-discussed analytical framework, articulated in 2018–2019 by then–Dallas Fed President Robert Kaplan and Federal Reserve Chair Jerome Powell, holds that the elevated BBB share creates systemic fragility: in a recession, widespread BBB-to-BB downgrades would force institutional investors with IG-only mandates to sell into a high yield market structurally too small to absorb the flow. The thesis predicts disorderly spread widening, fund redemptions, and potential market dysfunction. At peak in late 2018, the projected “fallen angel pipeline” was sized at approximately $1.5–2 trillion of par value if a recession were to materialize. This is the steelman of the “BBB cliff” narrative.
A legitimate analytical qualification is that the 2020 COVID shock represented the most stringent stress test of this thesis to date — and the outcome diverged from the predicted path. Related framing: Our reference page on liquidity, financial conditions and the plumbing of QT cycles. Between February and April 2020, approximately $215 billion of par-value bonds were downgraded from BBB to BB or below, including marquee fallen angels such as Ford Motor Credit, Occidental Petroleum, Kraft Heinz, and Macy’s. The HY index absorbed this flow with elevated but not dysfunctional spread widening — the BBB OAS peaked far below its GFC high, and the HY OAS also widened sharply before retracing. The mechanism that the cliff thesis predicted — forced selling at distressed prices — was substantially offset by the Federal Reserve’s Primary Market Corporate Credit Facility (PMCCF) and Secondary Market Corporate Credit Facility (SMCCF), launched March 23, 2020, which provided a backstop bid for both IG and recently-downgraded fallen angels.
The cliff did not materialize — but the data does not prove the thesis is wrong. The Fed’s PMCCF and SMCCF facilities were the marginal buyer in March–April 2020. Reference release: the BIS Quarterly Review. In the counterfactual where the Fed had not intervened, the magnitude of HY spread widening and the speed of fallen-angel selling could have been substantially larger. Reasonable analysts disagree on whether the 2020 outcome demonstrates that the cliff was overstated, or that the Fed put has now become a structural backstop that markets price as a given.
The data through February 2026 shows that the BBB share has stabilized rather than continuing to rise — suggesting that either the post-2020 environment has limited the appetite for further BBB-tier expansion, or that the rating agencies have become more willing to apply BBB- ratings that historically would have been BBB. Without granular issuer-level data on credit metrics, the dataset cannot distinguish between these hypotheses.
BBB Concentration Regime Classification
1996–1999. Pre–reach-for-yield era. BBB tier was a meaningful but not dominant segment of IG.
2000–2010. Includes the dot-com unwind, the LBO-driven mid-2000s, and the GFC. BBB tier became as large as A. BBB OAS pushed up by the GFC.
2011–2016. Post-GFC reach for yield. QE-supported BBB issuance accelerated. BBB tier became the single largest IG segment.
2017–2026. The “BBB cliff” regime. BBB tier reached about half of IG. 2020 COVID shock partially tested the cliff thesis without producing it.
What Happened Next? Forward S&P 500 Returns by BBB Concentration Regime
Forward S&P 500 returns (monthly averages) by BBB concentration regime, December 2003 to February 2025
| BBB share regime | n (months) | Median 12m return | % positive (12m) | Median 12m max drawdown |
|---|---|---|---|---|
| Moderate (30–40%) | 85 | +7.7% | 75% | −5.0% |
| Elevated (40–47%) | 72 | +13.7% | 89% | −3.2% |
| High (≥47%) | 98 | +14.1% | 84% | −6.0% |
The “High BBB Concentration” regime (BBB share ≥47%, observed in 98 months since January 2017) has not been associated with negative forward equity returns. Median 12-month S&P 500 return: +14.1%, with 84% of cases positive. The “Moderate” regime had the weakest forward returns in the window (median +7.7%, 75% positive): all 21 of its negative 12-month returns start in 2007 or 2008, windows that run through the GFC.
- ▸ BBB OAS near the tightest levels of its history (early 2026): a sustained move above the 75th percentile of its own history would shift the regime classifier from “Tight” to “Stressed”.
- ▸ HY spread: a sustained, crisis-scale widening would historically coincide with material BBB-to-BB downgrade pressure.
- ▸ Next index composition update: annual rebalancing typically occurs end-of-month December. Rating agency action concentration is monitored quarterly by Moody’s and S&P Global.
Methodological note: Forward returns are computed on the S&P 500 as published by Robert J. Shiller (Online Data): the monthly average of daily closes, price only, dividends not reinvested, from month t to month t+12. The table covers the same 255 monthly windows as earlier versions of this study, December 2003 to February 2025, so the Low BBB concentration regime (1996–1999) has none. Consecutive windows overlap by 11 months: the 72 to 98 observations per regime are not independent draws, and the conditional medians are descriptive. The 12-month max drawdown is the worst decline of the monthly average, over months t+1 to t+12, from its running peak within that window.
Past distributions are not predictive of future outcomes. Regime-conditional statistics describe historical patterns, not expected returns.
Historical Turning Points: When BBB Composition Shifted
1998-09 — LTCM crisis: spread shock without composition shift
The September 1998 LTCM unwind produced a sharp BBB OAS widening between July and October 1998. The BBB share of IG remained essentially flat across the episode — credit stress moved spreads without triggering material rating-agency action on the index composition. The crisis was fundamentally a leverage/funding event rather than a credit deterioration event. Leverage that snaps in a hedge fund’s funding, rather than any erosion in issuers’ credit, is the signature of the nonbank channels of systemic fragility.
2008-12 — GFC peak: maximum BBB OAS, slow composition response
The BBB OAS reached its 30-year peak of 7.84% on December 31, 2008. The BBB share rose only gradually over 2008 and 2009, a slower composition shift than the OAS spike would suggest. The explanation: rating agencies downgraded a large volume of financial-sector A-rated debt to BBB, while a smaller volume of BBB names fell to HY. The net effect was BBB share growth, but limited by the offsetting fallen-angel flow.
2019-01 — Peak BBB concentration in US IG
BBB share reached its all-time high in January 2019, while the BBB OAS sat in the middle of its historical range. This is the regime that motivated the “BBB cliff” thesis: at maximum composition, with relatively low compensation for BBB risk. The BBB OAS at this point was neither stressed nor unusually tight, but not commensurate with the elevated composition risk that the cliff thesis implied.
2020-03 — COVID stress test: cliff thesis tested
March 2020 produced the second-largest BBB OAS spike of the dataset, within a single month. The BBB share dipped as approximately $215 billion of fallen-angel downgrades moved bonds to HY. The HY market absorbed this flow with significant but not market-breaking spread widening, supported by the March 23, 2020 launch of the Federal Reserve’s PMCCF and SMCCF facilities — backstops that included recently downgraded fallen angels in their eligibility criteria. The cliff thesis was tested under stress conditions; the outcome was not the disorderly market that the worst-case scenario predicted, but reasonable analysts attribute this to the Fed intervention rather than to the underlying market’s absorbing capacity.
February 2026 — Current observation
The BBB share sits slightly below the 2019 peak but well above any pre-2018 level. The BBB OAS is near the bottom of its own 30-year history, indicating that current pricing offers historically low compensation for BBB-tier credit risk. The combination of “near-peak composition” + “near-bottom spreads” is structurally novel; the dataset contains no prior episode matching this configuration. Forward S&P 500 return distributions from the “High BBB Concentration” regime (median 12m +14.1%, 84% positive) remain the closest historical analog.
Methodology
This dataset combines three data streams into a single monthly time series: (1) the BBB option-adjusted spread from ICE BofA via FRED, daily series resampled to month-end; (2) BBB-share-of-IG market value snapshots from BIS, TD Asset Management, and academic literature, interpolated to annual frequency; (3) the S&P 500 as monthly averages of daily closes, published by Robert J. Shiller (Online Data), for forward return computation.
BBB OAS = (Yield of BBB index) − (Treasury yield, duration-matched)
Forward 12m return = (SP500[t+12] / SP500[t]) − 1, SP500 = monthly average of daily closes
Forward 12m max drawdown = min((w − cummax(w)) / cummax(w)), w = SP500[t+1..t+12]
Episode Selection Criteria
Low: bbb_share < 30%
Moderate: 30 ≤ bbb_share < 40%
Elevated: 40 ≤ bbb_share < 47%
High: bbb_share ≥ 47%
BBB OAS regime (based on own-history percentiles, P0-P25-P50-P75-P90):
Tight: bbb_oas < P25
Normal: P25 ≤ bbb_oas < P50
Wide: P50 ≤ bbb_oas < P75
Stressed: P75 ≤ bbb_oas < P90
Crisis: bbb_oas ≥ P90
Sensitivity check. Lowering the “High” threshold from 47% to 45% re-classifies the 12 months of 2016 from Elevated to High (n=110): the median 12-month forward S&P 500 return moves from +14.1% to +14.3%. Raising it to 50% limits the High regime to 2018–2019 and 2022–2024 (n=60 months), with a median of +13.9% and 88% of cases positive. The qualitative finding, that high BBB concentration has not historically preceded negative forward returns, holds at both thresholds.
Literature anchor. The BBB-share data points used as anchors follow the conventional periodization in Acharya et al. (2022, BIS WP 1002) and the BIS Quarterly Review Sept 2022 box analysis, The BIS box refers to “one of the main US IG indices” without naming its provider; composition readings differ slightly from one index provider to another.
Dataset Design
| Variable | Type | Unit | Source | Calculation |
|---|---|---|---|---|
| month_end | date | YYYY-MM-DD | derived | Last calendar day of month |
| observation_date | date | YYYY-MM-DD | FRED | Last business day with observation |
| bbb_share_of_ig_pct | float | % | BIS / TD AM / Acharya 2022 | Annual anchors, stepwise within year |
| sp500_fwd_6m_pct | float | % | Robert J. Shiller, S&P 500 monthly average | (P[t+6] / P[t] − 1) × 100, from 2003-12 |
| sp500_fwd_12m_pct | float | % | Robert J. Shiller, S&P 500 monthly average | (P[t+12] / P[t] − 1) × 100, from 2003-12 |
| sp500_fwd_12m_mdd_pct | float | % | Robert J. Shiller, S&P 500 monthly average | Max drawdown of the monthly average over t+1..t+12 |
| nber_recession_flag | int | 0/1 | NBER | 1 if month within recession period |
| bbb_concentration_regime | str | label | derived | Low / Moderate / Elevated / High |
| bbb_oas_regime | str | label | derived | Tight / Normal / Wide / Stressed / Crisis |
Reproduction Method
The monthly series keeps the last observation of each month of the daily BBB OAS (BAMLC0A4CBBB), missing values dropped. Each month receives the BBB-share anchor of its year (BIS, TD Asset Management, Acharya et al. 2022). The concentration regime follows from that share, with breakpoints at 30, 40 and 47% (Low, Moderate, Elevated, High). The S&P 500 enters as Robert J. Shiller’s monthly averages of daily closes (ie_data.xls), aligned on month-end, with a 12-month forward return of P[t+12] / P[t] − 1 on price only.
BAMLC0A4CBBB is published on FRED under the terms of its holder, ICE Data Indices: any reproduction requires prior approval, and the series is not reproduced on Eco3min.
Reproducibility
The study file is not offered for download: it contains data whose owner restricts redistribution (regime classification derived from the ICE BofA BBB option-adjusted spread, FRED BAMLC0A4CBBB, pre-approval required; composition anchors from sources whose reuse terms could not be verified). The methodology lists every source.
Data Sources & References
- Primary ICE Data Indices, ICE BofA BBB US Corporate Index Option-Adjusted Spread [BAMLC0A4CBBB], retrieved from FRED, Federal Reserve Bank of St. Louis. Daily, 1996-12-31 to present. Accessed May 2026.
- Primary ICE Data Indices, ICE BofA US Corporate Index Option-Adjusted Spread [BAMLC0A0CM], retrieved from FRED. Used as reference for the IG total index.
- Primary Robert J. Shiller, Online Data (shillerdata.com), S&P 500 monthly averages of daily closes (ie_data.xls), data through September 2026. Accessed September 2026. Used for forward return computation.
- Research Aramonte, S. and Todorov, K. (2022), “The increasing risk of investment grade indices: implications for investors”, BIS Quarterly Review, September 2022.
- Research Acharya, V., Banerjee, R., Crosignani, M., Eisert, T., Spigt, R. (2022), “Exorbitant privilege? Quantitative easing and the bond market subsidy of prospective fallen angels”, BIS Working Papers no 1002, February 2022.
- Research Boyarchenko, N., Kovner, A., Shachar, O. (2020), “It’s What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities”, Federal Reserve Bank of New York Staff Reports no 935.
- Reference Davis, G. and Woessner, D. (2020), “The Changing Landscape of the U.S. Corporate Bond Market”, TD Asset Management white paper, December 2020.
- Reference National Bureau of Economic Research, US Business Cycle Expansions and Contractions. Recession periods used for shaded regions.
Methodological Limitations
- BBB share data points are annual anchors interpolated stepwise within each year. The true intra-year evolution of composition is more granular (typically monthly index rebalancing) but is not publicly available at no cost — full granular composition data requires Bloomberg PORT or ICE Data Indices licensed access.
- Index composition reflects the convention used by the source index provider. Bloomberg US Corporate Index, ICE BofA US Corporate Master Index, and S&P US Investment Grade Corporate Bond Index produce slightly different BBB share readings at the same date due to differing eligibility criteria.
- The BBB OAS series from FRED was reduced to a 3-year rolling window in April 2026. Historical observations prior to May 2023 documented in this dataset were retrieved before that policy change; reproducibility requires institutional access or archived data.
- Forward return windows are computed on monthly averages of daily closes of the S&P 500 (Robert J. Shiller), from month t to month t+6 or t+12, price only, dividends not reinvested. A monthly average smooths intra-month moves: returns and drawdowns differ from those measured between month-end closes, and the 12-month max drawdown understates declines that reverse within a month. The windows start in December 2003, as in earlier versions of this study.
- Regime classification is computed ex-post on the full dataset but uses only contemporaneously-observable variables: there is no look-ahead bias in the regime label at any month t. Conditional forward-return statistics rest on overlapping 12-month windows (85, 72 and 98 per regime) and are descriptive rather than inferential.
Frequently Asked Questions
BBB-rated bonds made up half of one of the main US investment grade corporate bond indices by market value in 2022, up from 25% in 1990 (BIS Quarterly Review, September 2022). The share peaked in January 2019 and has moved little since. The BBB tier became the single largest segment of the IG index in approximately 2015, surpassing both AA and A combined.
What is the BBB OAS and what does it measure?
The BBB option-adjusted spread (OAS) is the yield premium that investors demand to hold BBB-rated corporate bonds rather than duration-matched Treasury securities. It strips out the effect of any embedded options (such as callability) so that bonds with different call features can be compared directly. Expressed in percentage points, it is the additional yield a BBB-rated investor receives over a Treasury of similar maturity.
What is the “BBB cliff” thesis?
The “BBB cliff” thesis, articulated in 2018–2019 by then–Dallas Fed President Robert Kaplan and other Fed officials, holds that the elevated share of BBB-rated debt in the US IG market creates systemic fragility. In a recession, widespread BBB-to-BB downgrades would force institutional investors with IG-only mandates to sell into a high yield market structurally too small to absorb the volume — potentially producing disorderly spread widening and market dysfunction. The thesis was most rigorously tested during the March 2020 COVID shock, when approximately $215B of fallen-angel downgrades occurred; the high yield market absorbed this flow with elevated but not market-breaking spread widening, though Fed PMCCF/SMCCF backstops were a material contributor to that outcome.
The composition data alone does not answer this question. The BBB share has risen because of multiple coexisting factors — capital structure optimization toward IG-minimum, structural decline in Treasury yields, central bank asset purchase subsidies, and migration of AA/A issuers downward as those rating categories shrank. A 2026 BBB issuer is on average a larger, more globally diversified company than a 1996 BBB issuer. Whether this constitutes “deterioration” depends on which metric one applies: by leverage ratios, US corporate balance sheets do show higher debt loads; by interest coverage, the picture has been more stable due to low rates. The rating tier composition is one input to that analysis, not a conclusion.
Why does this analysis use the ICE BofA index rather than Bloomberg?
This is a defensive methodological question — different index providers (Bloomberg US Corporate, ICE BofA US Corporate Master, S&P US IG Corporate) produce slightly different BBB share readings at the same date. We use ICE BofA OAS data because it is the version available on FRED with full historical depth at no cost. The BBB share anchors are drawn from BIS and TD Asset Management publications that primarily reference the Bloomberg index. The qualitative trend, a BBB tier that has roughly doubled its share since 1990, is consistent across the major index providers, and our regime thresholds are set to be robust to the differences between them.
What does this dataset NOT measure?
This dataset measures index-level composition and spreads. It does not measure: (1) individual issuer credit metrics such as leverage, interest coverage, or cash flow stability; (2) the size of the “near-junk” BBB- pool specifically, which is the most relevant subset for fallen-angel risk analysis; (3) sectoral composition of BBB issuance; (4) maturity profile of outstanding BBB debt; (5) the comparative absorbing capacity of the high yield market in stress scenarios. For any of these dimensions, additional issuer-level data from Bloomberg PORT, S&P CreditStats, or Moody’s CreditView is required. This dataset is the foundation for that analysis, not a substitute for it.
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Last updated — 14 October 2026
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