Table 5.
Firms Downgraded to High Yield Between March 22 and April 8.
| Treatment group |
Control group |
||||
|---|---|---|---|---|---|
| Permno | Name | Rating after downgrade | SIC | Permno | Name |
| 39490 | Apache Corp | BB+ | 1311 | 79915 | NEWFIELD EXPL CO |
| 91983 | Continental Resources | BB+ | 1311 | 87137 | DEVON ENERGY CORP |
| 89134 | NEWFIELD EXPL CO | ||||
| 91926 | Delta Airlines | BB | 4512 | 91103 | UNITED CONTL HLDGS INC |
| 81917 | Hospitality Properties | BB+ | 6798 | 85234 | CORRECTIONS CORP AMER |
| 87289 | SENIOR HSG PPTYS TR | ||||
| 90790 | MPT OPER PARTNERSHIP | ||||
| 77462 | Macy's Retail Holdings | BB+ | 5311 | n.a. | |
| 25785 | Ford Motor Co | BB | 3711 | n.a. | |
The treatment group is six bond issuers that were downgraded from IG to HY (must still be rated at least BB-/Ba3) between March 23 and April 8 in our sample. Firms in the control group are in the same industry as the treatment group defined by 4-digit SIC codes, and have the same credit rating as of April 8, but were not downgraded to HY between March 23 and April 8. Following the Fed’s SMCCF term sheet, we require the issuer to have been rated at least BBB-/Baa3 as of Mar 22, 2020. If rated by multiple major credit rating agencies, the issuer must be rated at least BBB-/Baa3 by two or more agencies.