The third data set contains the monthly balance sheet information of the 18 commercial banks in our sample, representing more than 98 percent of commercial bank lending.<sup>7</sup> We merge this data set with information from Bloomberg on the stock prices and CDS spreads of the banks.

Overall, our data contain a total of 1,718,740 loans to firms in the energy and non-energyrelated sectors. We classify firms as belonging to an energy-related sector according to their 5- digit North American Industry Classification System (NAICS) codes.<sup>8</sup> The summary statistics for our sample are shown in Table 1, grouped in five panels: (i) bank-month-level indicators, (ii) loanlevel variables of firms in energy-related sectors, (iii) loan-level variables of firms in non-energy sectors, (iv) real outcomes at the firm-year level, and (v) GDP measures at the state-quarter level. Table A1 in the appendix presents the definitions of all the variables.

The first variable in Table 1, panel A, captures the banks’ exposure to borrowers in energyrelated sectors as a share of their tier 1 capital. On average, the ratio of exposure to capital is 9.9 percent, with banks in the bottom decile having no exposure to the energy sector, while banks in the top decile have exposure above 25 percent. Our measure of exposure follows the Basel Committee’s assessment of exposure to related entities, which is defined as the credit volume of a bank to related entities as a share of its tier 1 capital.<sup>9</sup> The next variables in panel A correspond to different elements of the banks’ balance sheets, including their tier 1 capital ratios, lending portfolio, and delinquency rates, along with statistics on the banks’ stock prices and CDS spreads. The average tier 1 capital ratio of the banks is 15.4 percent, with the banks in the bottom decile having a capital ratio of 12.5 percent, while the banks in the top decile have a capital ratio of 18.5 percent. The banks vary greatly in size, with the average bank lending more than Mex$3,000 million, and the banks in the top decile lending 100 times as much as the banks in the lowest decile. Delinquency rates are low. On average, 2.4 percent of the banks’ loans are more than 90 days late, and the banks in the top decile have delinquencies of

> 7 To guarantee the comparability of our results across banks, and given our focus on commercial lending, we exclude from our analysis banks that specialize in consumer lending as well as niche banking.

> 8 Table A2 in the appendix displays the NAICS energy-related sectors as well as their descriptions.

> 9 According to the Basel Committee on Banking Supervision (2014), two entities are _related_ : (i) if one of the counterparties, directly or indirectly, has control over the other, or, (ii) if 50 percent or more of one counterparty's receipts comes from transactions with the other counterparty, or (iii) if a significant part of a counterparty’s production is sold to another counterparty, or (iv) if financial problems of one counterparty cause difficulties for the other counterparties, or (v) if counterparties rely on the same source for their funding and an alternative provider cannot be found in a timely manner.

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