Modeled Loss Rates

The loss rates provided in this section are based on portfolio data as of December 31, 2020, and the supervisory severely adverse scenario published in February of 2021. The loss rates include the model adjustments due to the pandemic, as described in box 1 of the June 2021 Stress Test Results disclosure document.103 The loss rates including the adjustments provide more information about how the Federal Reserve expects the supervisory models to treat specific assets under stress.

Corporate Loan Model

Modeled Loss Rates on Pools of Corporate Loans

The output of the corporate loan model is the expected loss on each loan. As described above, estimated corporate loan loss rates depend on a number of variables. This section groups loans according to three of the most important variables in the model: sector (financial and nonfinancial), security status (secured and unsecured), and rating class (investment grade and non-investment grade).104 Categorizing corporate loans reported on schedule H.1 of the FR Y-14Q as of the fourth quarter of 2020 by sector, security status, and rating class results in eight groups of loans:105

  1. Financial, secured, investment grade
  2. Financial, secured, non-investment grade
  3. Financial, unsecured, investment grade
  4. Financial, unsecured, non-investment grade
  5. Nonfinancial, secured, investment grade
  6. Nonfinancial, secured, non-investment grade
  7. Nonfinancial, unsecured, investment grade
  8. Nonfinancial, unsecured, non-investment grade

The remainder of this section reports summary statistics and modeled loss rates for these eight groups of corporate loans.

Table 19 reports summary statistics for the eight groups of loans. The summary statistics cover a wide set of variables that capture important characteristics of the loans and borrowers in the loan groups.

Table 20 shows the modeled loss rates for the eight groups of loans for the 2021 supervisory severely adverse scenario. Each entry in the table shows the portfolio-level (average) estimated loss rate for the loans in one of the eight groups, as well as the median and 25th and 75th percentiles of the estimated loan-level loss rates.

Table 19. Summary statistics of selected variables in the corporate loan data grouped by loan and borrower characteristics

Percent as a share of utilized balance, except as noted

Variables Non-investment grade Investment grade
Nonfinancial sector Financial sector Nonfinancial sector Financial sector
Unsecured Secured Unsecured Secured Unsecured Secured Unsecured Secured
Number of loans (thousands) 15.03 94.14 2.10 10.92 19.33 42.86 2.82 12.75
Facility type
Revolving 35.74 44.85 24.21 48.33 32.65 36.01 34.29 64.17
Term loan 47.02 38.21 38.47 17.57 45.08 40.21 33.17 13.44
Other 17.25 16.94 37.33 34.10 22.27 23.78 32.54 22.39
Credit rating 1
AAA 0.00 0.00 0.00 0.00 1.84 1.56 0.56 3.09
AA 0.00 0.00 0.00 0.00 8.54 10.00 4.33 9.88
A 0.00 0.00 0.00 0.00 21.29 20.30 35.51 29.73
BBB 0.00 0.00 0.00 0.00 68.33 68.14 59.59 57.30
BB 71.23 63.85 73.65 81.02 0.00 0.00 0.00 0.00
B 19.15 27.97 22.40 17.74 0.00 0.00 0.00 0.00
CCC or below 9.63 8.18 3.94 1.23 0.00 0.00 0.00 0.00
Lien position
First-lien senior 0.00 100.00 0.00 100.00 0.00 100.00 0.00 100.00
Senior unsecured 96.17 0.00 97.11 0.00 96.60 0.00 98.21 0.00
Other 3.83 0.00 2.89 0.00 3.40 0.00 1.79 0.00
Interest rate variability
Fixed 18.83 15.53 15.84 8.48 25.19 30.20 12.80 4.89
Floating 77.50 80.74 75.39 87.14 70.01 66.97 81.48 90.79
Mixed 1.91 3.48 8.33 4.33 2.65 2.26 5.11 4.30
Industry2
Agriculture, fishing, and hunting 0.64 1.04 0.00 0.00 0.37 0.61 0.00 0.00
Natural resources, utilities, and construction 9.99 8.58 0.00 0.00 9.66 5.61 0.00 0.00
Manufacturing 27.92 17.61 0.00 0.00 27.55 11.75 0.00 0.00
Trade and transportation 22.16 30.15 0.00 0.00 14.98 23.36 0.00 0.00
Technological and business services 27.03 24.91 0.00 0.00 27.35 23.75 0.00 0.00
Finance and insurance 0.00 0.00 100.00 100.00 0.00 0.00 100.00 100.00
Education, health care, and social assistance 3.57 5.24 0.00 0.00 9.46 13.81 0.00 0.00
Entertainment and lodging 5.21 8.02 0.00 0.00 1.09 3.32 0.00 0.00
Other services 3.48 4.44 0.00 0.00 9.54 17.79 0.00 0.00
Guarantor flag
Full guarantee 42.54 50.18 32.12 33.81 33.92 32.70 29.50 16.31
U.S. government guarantee 3.97 0.08 1.64 0.01 0.60 0.79 0.36 0.15
Partial guarantee 3.47 3.40 1.69 7.18 1.33 2.38 1.51 3.71
No guarantee 50.02 46.33 64.55 59.00 64.15 64.12 68.62 79.82
Other loan characteristics
Domestic obligor, share of
utilized balance
55.23 91.82 38.98 77.56 69.67 91.88 39.77 76.86
Remaining maturity, average in months3 , 4 35.07 46.33 23.66 25.81 34.62 55.29 30.73 31.70
Interest rate, average in percent 4 2.35 2.80 2.08 2.28 1.70 2.02 1.92 1.86
Committed exposure, average in millions of dollars 16.50 10.05 21.98 22.76 25.66 13.02 46.17 48.09
Utilized exposure, average in millions of dollars 12.04 7.08 18.18 18.57 17.31 9.58 34.48 33.81

Note: The set of loans presented in this table excludes loans held for sale or accounted for under the fair-value option, loan observations missing data fields used in the model, lines of credit that were undrawn as of 2020:Q4, and other types of loans that are not modeled using the corporate loan model.

 1. Credit ratings are derived from firm-reported internal credit ratings for borrowers and a firm-reported table that maps internal ratings to a standardized rating scale. The internal credit ratings of a small percentage of loans map to multiple standardized ratings. In such cases, exposures are divided proportionally and reported in this table as multiple loans. Return to table

 2. Industries are collapsed using the first digit of the NAICS 2007 code, except for finance and insurance, which is broken out separately, and public administration, which is collapsed under other services. Return to table

 3. Maturity excludes demand loans. Return to table

 4. Averages for remaining maturity and interest rate are weighted by utilized exposure. Return to table

Table 20. Projected corporate loan portfolio loss rates and 25th and 75th percentile ranges by loan and borrower characteristics, 2021:Q1–2023:Q1, 2021 stress test severely adverse scenario
Sector Security status Rating class Loan-level loss rates (percent) Portfolio-level loss rates (percent)
25th Median 75th Average
Financial Secured Investment grade 1.4 3.1 5.2 3.8
Financial Secured Non-investment grade 4.9 6.1 7.3 7.5
Financial Unsecured Investment grade 0.8 2.1 7.6 3.1
Financial Unsecured Non-investment grade 1.3 4.7 10.0 5.7
Nonfinancial Secured Investment grade 0.5 0.6 1.4 1.0
Nonfinancial Secured Non-investment grade 4.1 4.8 13.2 7.9
Nonfinancial Unsecured Investment grade 0.7 1.1 2.4 1.2
Nonfinancial Unsecured Non-investment grade 3.6 6.6 16.5 6.8

Note: Loan-level loss rates are calculated as cumulative nine-quarter losses on a given loan divided by initial utilized balance on that loan. Portfolio-level loss rates are calculated as the sum of the cumulative nine-quarter losses divided by the sum of initial utilized balances. The set of loans on which loss rates are calculated excludes loans held for sale or accounted for under the fair-value option, loan observations missing data fields used in the model, lines of credit that were undrawn as of 2020:Q4, and other types of loans that are not modeled using the corporate loan model.

Certain groups of loans generally have wider ranges of losses than other groups. Although the loans are grouped according to the most important characteristics in the model, other loan characteristics in the model also affect loss rates, albeit in a more limited manner. Differences in these other characteristics within each loan group are responsible for the range of loss rates shown in the tables. Greater variation in these other characteristics within a group will generally lead to larger ranges of loss rates. For example, among secured, non-investment grade loans, the range of loan-level loss rates is 4.9 to 7.3 for financial firms, compared to 4.1 to 13.2 for nonfinancial firms, which include a wider variety of industries (table 20). Secured, non-investment grade loans to nonfinancial firms are predominantly loans to firms in the manufacturing, transportation, and technology sectors but also include loans to firms in other sectors like education and utilities (table 19).

Portfolios of Hypothetical Corporate Loans and Associated Loss Rates

The effect of loan and borrower characteristics on the losses estimated by the corporate loan model can also be illustrated by the differences in the estimated loss rates on specific sets of hypothetical loans. This section contains descriptive statistics from three portfolios of hypothetical corporate loans (table 22) and the modeled loss rates for the three portfolios under the 2021 supervisory severely adverse scenario (table 23).

The Federal Reserve has designed the portfolios of hypothetical loans to have characteristics similar to the actual loans reported in schedule H.1 of the FR Y-14Q. The Federal Reserve provides three portfolios containing 200 loans each, designed to capture characteristics associated with

  1. typical set of loans reported in the FR Y-14Q,
  2. higher-than-average-risk loans (in this case, non-investment grade loans), and
  3. lower-than-average-risk loans (in this case, investment grade loans).

The portfolios of hypothetical loans include 12 variables that describe characteristics of corporate loans that are generally used to estimate corporate loan losses (table 21).106

Table 22 contains summary statistics for the portfolios of hypothetical corporate loans in the same format as table 19. The portfolios of hypothetical loans are constructed to capture characteristics of certain sets of loans but are not fully representative of the population of loans reported in table 19. Table 23 contains the loss rates for the portfolios of hypothetical corporate loans calculated under the 2021 supervisory severely adverse scenario. The portfolio of higher-risk loans has higher loss rates under the severely adverse scenario (loss rate of 7.8 percent) than the portfolio of typical loans (loss rate of 5.4 percent) and the portfolio of lower-risk loans (loss rate of 2.0 percent).

Table 21. List of variables included in portfolios of hypothetical corporate loans
Variable Mnemonic Description
Facility type facility_type_cat The type of credit facility:
1 is revolving
7 is term loan
0 is other
Credit rating rating Credit rating of obligor. Categories include AAA, AA, A, BBB, BB, B, CCC, CC, C, and D
Lien position lien_position_cat The type of lien:
1 is first-lien senior
2 is second-lien
3 is senior unsecured
4 is contractually subordinated
Interest rate variability interest_rate_variability Interest rate type:
0 is fully undrawn (interest rate not provided)
1 is fixed
2 is floating
3 is mixed
Industry naics_two_digit_cat Two-digit industry code based on 2007 NAICS definitions
Guarantor flag guarantor_flag Indicates the type of guarantee of the guarantor:
1 is full guarantee
2 is partial guarantee
3 is U.S. government agency guarantee
4 is no guarantee
Domestic obligor domestic_flag Equal to 1 if obligor is domiciled in the U.S.
Remaining maturity term Remaining term of the loan in months
Interest rate interest_rate Interest rate on credit facility
Committed exposure committed_exposure_amt Committed exposure in dollars
Utilized exposure utilized_exposure_amt Utilized exposure in dollars
Origination year orig_year Year loan was originated

Note: Some of the variables included in the portfolios of hypothetical loans are presented in a more aggregated form than they are reported in the FR Y-14.

Table 22. Summary statistics of selected variables in the portfolios of hypothetical corporate loans

Percent as a share of utilized balance, except as noted

Variables Lower-risk Typical Higher-risk
Facility type
Revolving 55.56 45.19 30.80
Term loan 25.72 41.52 57.53
Other 18.71 13.29 11.67
Credit rating
AAA 0.00 0.01 0.00
AA 1.47 1.87 0.00
A 32.97 2.65 0.00
BBB 65.56 28.22 0.00
BB 0.00 58.86 84.04
B 0.00 7.28 15.69
CCC or below 0.00 1.10 0.27
Lien position
First-lien senior 59.35 70.19 90.05
Senior unsecured 40.65 29.81 9.63
Other 0.00 0.00 0.32
Interest rate variability
Fixed 17.49 9.07 15.41
Floating 82.51 90.93 84.59
Mixed 0.00 0.00 0.00
Industry1
Agriculture, fishing, and hunting 0.00 0.47 0.63
Natural resources, utilities, and construction 4.26 12.57 1.84
Manufacturing 9.98 18.56 21.48
Trade and transportation 27.68 11.97 22.30
Technological and business services 5.11 24.28 14.54
Finance and insurance 21.32 20.41 23.01
Education, health care, and social assistance 14.55 5.93 4.93
Entertainment and lodging 6.00 3.01 8.52
Other services 11.09 2.80 2.75
Guarantor flag
Full guarantee 31.36 43.91 52.85
U.S. government guarantee 0.00 0.15 0.31
Partial guarantee 0.00 0.56 0.40
No guarantee 68.64 55.38 46.44
Other loan characteristics
Domestic obligor, share of utilized balance 91.18 79.95 75.42
Remaining maturity, average in months2 , 3 36.83 28.40 45.14
Interest rate, average in percent3 2.92 3.28 4.30
Committed exposure, average in millions of dollars 23.36 14.71 12.98
Utilized exposure, average in millions of dollars 10.39 8.43 6.66

 1. Industries are collapsed using the first digit of the NAICS 2007 code, except for finance and insurance, which is broken out separately, and public administration, which is collapsed under other services. Return to table

 2. Maturity excludes demand loans. Return to table

 3. Averages for remaining maturity and interest rate are weighted by utilized exposure. Return to table

Table 23. Projected corporate loan portfolio loss rates, 2021:Q1–2023:Q1, 2021 stress test severely adverse scenario

Percent

Hypothetical portfolio Loss rate
Lower-risk 2.0
Typical 5.4
Higher-risk 7.8

Note: Portfolio-level loss rates are calculated as the sum of the cumulative nine-quarter losses divided by the sum of initial utilized balances.

Commercial Real Estate Loan Model

Modeled Loss Rates on Pools of CRE Loans

The output of the CRE loan model is the expected loss on each loan. As described above, estimated CRE loan loss rates depend on a number of variables. This section groups loans according to four of the most important variables in the model: the broad loan category (construction and income-producing loans), time to maturity, property type, and LTV ratio at origination. CRE loans reported on schedule H.2 of the FR Y-14Q as of the fourth quarter of 2020 are segmented by broad loan category, time to maturity, property type, and LTV ratio at origination into nine groups of CRE loans:107

  1. Construction loans
  2. Time to maturity of three years or less; income-producing loans backed by hotel, retail, or office properties; LTV ratio at origination of 70 percent or below
  3. Time to maturity of three years or less; income-producing loans backed by hotel, retail, or office properties; LTV ratio at origination of more than 70 percent
  4. Time to maturity of three years or less; income-producing loans backed by other property types; LTV ratio at origination of 70 percent or below
  5. Time to maturity of three years or less; income-producing loans backed by other property types; LTV ratio at origination of more than 70 percent
  6. Time to maturity of more than three years; income-producing loans backed by hotel, retail, or office properties; LTV ratio at origination of 70 percent or below
  7. Time to maturity of more than three years; income-producing loans backed by hotel, retail, or office properties; LTV ratio at origination of more than 70 percent
  8. Time to maturity of more than three years; income-producing loans backed by other property types; LTV ratio at origination of 70 percent or below
  9. Time to maturity of more than three years; income-producing loans backed by other property types; LTV ratio at origination of more than 70 percent

The remainder of this section reports summary statistics and modeled loss rates for these nine groups of CRE loans.

Table 24 reports summary statistics for the nine groups of loans. The summary statistics cover a wide set of variables that capture important characteristics of the loans and borrowers in the loan groups.

Table 24. Summary statistics of selected variables in the CRE loan data grouped by loan and borrower characteristics

Percent as a share of utilized balance, except as noted

Variables Construction Time to maturity of 3 years or less Time to maturity of greater than 3 years
Hotel, retail, and office Other property types Hotel, retail, and office Other property types
Loan-to-value at
origination
Loan-to-value at
origination
Loan-to-value at
origination
Loan-to-value at
origination
70%
or less
Above
70%
70%
or less
Above
70%
70%
or less
Above
70%
70%
or less
Above
70%
Number of loans
(thousands)
10.65 4.86 1.15 3.71 1.06 10.38 2.15 29.62 3.28
Origination balance
Less than $2 million 2.55 2.31 2.20 2.74 2.62 3.74 3.55 11.09 5.97
$2 million–
$4.999 million
4.30 6.28 7.87 7.76 7.97 9.89 9.53 21.43 12.86
$5 million–
$9.999 million
6.46 7.21 9.47 8.35 10.37 9.61 10.77 16.34 13.55
$10 million or greater 86.69 84.20 80.46 81.15 79.04 76.77 76.15 51.14 67.62
Current collateral value
Less than $4 million 3.38 2.14 4.92 2.16 5.28 3.45 6.66 9.60 10.47
$4 million–
$9.999 million
4.23 5.86 9.31 6.72 10.51 9.32 11.82 21.15 14.91
$10 million–
$19.999 million
7.30 7.64 12.86 9.09 12.77 10.25 12.51 17.11 16.27
$20 million or greater 85.09 84.36 72.91 82.03 71.44 76.98 69.01 52.14 58.35
Property type
Hotel 6.39 18.01 11.67 0.00 0.00 15.31 9.02 0.00 0.00
Office 11.31 50.66 54.00 0.00 0.00 56.40 62.22 0.00 0.00
Retail 4.56 31.34 34.33 0.00 0.00 28.29 28.76 0.00 0.00
Industrial 7.32 0.00 0.00 18.31 21.50 0.00 0.00 13.25 20.41
Multi-family 44.85 0.00 0.00 55.43 48.58 0.00 0.00 74.31 64.25
Other 25.57 0.00 0.00 26.26 29.92 0.00 0.00 12.44 15.33
Census region
Midwest 8.15 9.68 16.85 8.78 17.68 7.36 12.02 7.76 14.08
Northeast 22.84 23.41 22.34 24.89 28.95 23.55 24.90 26.25 28.53
South 36.48 33.71 32.34 37.05 37.84 30.57 38.40 15.94 25.16
West 32.53 33.20 28.46 29.28 15.53 38.53 24.67 50.04 32.23
Origination year
2017 and prior 21.13 58.04 51.73 43.14 45.18 32.14 25.89 36.49 39.83
2018 27.75 22.33 24.22 22.16 20.03 16.22 17.71 14.54 12.34
2019 33.48 12.33 14.50 20.71 19.12 32.66 34.35 28.67 29.32
2020 17.64 7.31 9.55 13.99 15.67 18.99 22.05 20.30 18.51

Note: The set of loans presented in this table excludes loans held for sale or accounted for under the fair-value option, loan observations missing data fields used in the model, loans that were in default or had no outstanding or committed balance remaining as of 2020:Q4, and other types of loans that are not modeled using the CRE loan model.

Table 25 shows the modeled loss rates for the nine groups of CRE loans for the 2021 supervisory severely adverse scenario. Each entry in the table shows the portfolio-level (average) estimated loss rate for the loans in one of the nine groups, as well as the median and 25th and 75th percentiles of the estimated loan-level loss rates.

Table 25. Projected CRE portfolio loss rates and 25th and 75th percentile ranges by loan and borrower characteristics, 2021:Q1–2023:Q1, 2021 stress test severely adverse scenario
Time to maturity Property type Loan-to-value at
origination
Loan-level loss rates (percent) Portfolio-level loss rates (percent)
25th Median 75th Average
Three years or less Hotel, retail, and office 70% or below 1.5 3.6 14.5 18.1
Three years or less Hotel, retail, and office Above 70% 2.0 4.9 17.1 22.1
Three years or less Other property types 70% or below 0.7 1.5 4.0 6.2
Three years or less Other property types Above 70% 1.0 2.1 6.7 10.0
Greater than three years Hotel, retail, and office 70% or below 0.4 0.8 2.7 9.2
Greater than three years Hotel, retail, and office Above 70% 0.5 1.3 3.7 11.1
Greater than three years Other property types 70% or below 0.2 0.3 0.5 1.1
Greater than three years Other property types Above 70% 0.2 0.4 1.1 2.7
Construction loans 0.8 2.6 9.4 13.9

Note: Loan-level loss rates are calculated as cumulative nine-quarter losses on a given loan divided by initial utilized balance on that loan.
Portfolio-level loss rates are calculated as the sum of the cumulative nine-quarter losses divided by the sum of initial utilized balances. The set of loans presented in this table excludes loans held for sale or accounted for under the fair-value option, loan observations missing data fields used in the model, loans that were in default or had no outstanding or committed balance remaining as of 2020:Q4, and other types of loans that are not modeled using the CRE loan model.

The loans are grouped according to the most important characteristics in the model, but combinations of other loan characteristics in the model can also affect loss rates given the idiosyncratic nature of CRE lending risk. For example, loans collateralized by highly priced properties in markets with relatively high vacancy rates would experience outsized losses under stress as that collateral would be relatively illiquid during a downturn. Those idiosyncratic risks can result in outsized projected stress losses on a given loan, relative to other more typical loans in a segment. This feature of the market results in average loan loss rates that can be higher than the 75th percentile loan loss rates.

Portfolios of Hypothetical CRE Loans and Associated Loss Rates

The effect of loan and borrower characteristics on the losses estimated by the CRE model can also be illustrated by the differences in the estimated loss rates on specific sets of hypothetical loans. This section contains descriptive statistics from three portfolios of hypothetical CRE loans (table 27) and the modeled loss rates for the three portfolios under the 2021 supervisory severely adverse scenario (table 28).

The Federal Reserve has designed the portfolios of hypothetical loans to have characteristics similar to the actual loans reported in schedule H.2 of the FR Y-14Q. The Federal Reserve provides three portfolios containing 200 loans each, designed to capture characteristics associated with

  1. typical set of loans reported in the FR Y-14Q,
  2. higher-than-average-risk loans (in this case, loans with time to maturity of three years or less), and
  3. lower-than-average-risk loans (in this case, loans with time to maturity of more than three years).

The portfolios of hypothetical loans include 10 variables that describe characteristics of CRE loans that are generally used to estimate CRE losses (table 26).108

Table 27 contains summary statistics for the portfolios of hypothetical CRE loans in the same format as table 24. The portfolios of hypothetical loans are constructed to capture characteristics of certain sets of loans but are not fully representative of the population of loans reported in table 24. Table 28 contains the loss rates for the portfolios of hypothetical CRE loans calculated under the 2021 supervisory severely adverse scenario. The portfolio of higher-risk loans has higher loss rates under the severely adverse scenario (loss rate of 18.6 percent) than the portfolio of typical loans (loss rate of 8.8 percent) and the portfolio of lower-risk loans (loss rate of 6.8 percent).

Table 26. List of variables included in portfolios of hypothetical CRE loans
Variable Mnemonic Description
Current committed balance committed_balance_amt Current committed balance in dollars
Current outstanding balance outstanding_balance_amt Current outstanding balance in dollars
Origination balance model_origination_balance_amt Origination balance in dollars
Current collateral value value_current_amt Collateral value as of 2020:Q4 in dollars
LTV at origination ltv_at_origination Loan-to-value ratio at the origination of loan
Broad loan-type category broad_loan_type_cat Loan type categorization: categories are "construction" and "income-producing"
Property type prop_type_cat Property types:
1 is retail
2 is industrial
3 is hotel
4 is multi-family
5 is office
6 is other
State code state_cd Two digit integer code for state that the property is located in
Year of origination orig_year Year that the loan was originated
Maturity date dt_maturity Maturity date of loan

Note: Some of the variables included in the portfolios of hypothetical loans are presented in a more aggregated form than they are reported in the FR Y-14.

Table 27. Summary statistics of selected variables in the portfolios of hypothetical CRE loans

Percent as a share of utilized balance, except as noted

Variables Lower-risk Typical Higher-risk
Origination balance
Less than $2 million 9.89 6.07 1.96
$2 million–$4.999 million 17.78 15.63 4.75
$5 million–$9.999 million 15.03 16.13 8.54
$10 million or greater 57.30 62.16 84.75
Current collateral value
Less than $4 million 8.05 6.09 1.63
$4 million–$9.999 million 18.92 20.40 5.19
$10 million–$19.999 million 19.03 15.39 11.59
$20 million or greater 54.00 58.12 81.60
Property type
Hotel 8.02 7.29 18.00
Office 29.01 13.75 23.43
Retail 11.41 8.83 12.20
Industrial 7.32 2.78 2.28
Multi-family 37.46 47.81 36.30
Other 6.79 19.55 7.80
Census region
Midwest 11.83 5.58 10.20
Northeast 32.02 20.20 24.05
South 20.03 38.38 31.75
West 36.12 35.84 34.01
Origination year
2017 and prior 36.18 28.68 36.72
2018 23.29 18.35 29.09
2019 20.31 20.87 9.18
2020 20.23 32.11 25.01
Table 28. Projected CRE portfolio loss rates, 2021:Q1–2023:Q1, 2021 stress test severely adverse scenario

Percent

Hypothetical portfolio Loss rate
Lower-risk 6.8
Typical 8.8
Higher-risk 18.6

Note: Portfolio-level loss rates are calculated as the sum of the cumulative nine-quarter losses divided by the sum of initial utilized balances.

Domestic First-Lien Residential Mortgage Model

Modeled Loss Rates on Pools of First-Lien Mortgages

The output of the first-lien mortgage model is the expected loss on each loan. As described above, estimated first-lien mortgage loss rates depend on a number of variables. In this section, loans are segmented according to two of the most important variables in the model: the LTV ratio at origination and the borrower's commercially available credit score. FICO® Scores are the most widely used commercially available credit scores in the historical data used to estimate the model.109 First-lien mortgages reported on schedule A.1 of the FR Y-14M as of the fourth quarter of 2020 are segmented by LTV ratio and FICO® Score into six groups of loans:110

  1. Loans with LTV ratio of 80 percent or less and borrower FICO® Score under 680
  2. Loans with LTV ratio of 80 percent or less and borrower FICO® Score between 680 and 739
  3. Loans with LTV ratio of 80 percent or less and borrower FICO® Score of 740 or greater
  4. Loans with LTV ratio of more than 80 percent and borrower FICO® Score under 680
  5. Loans with LTV ratio of more than 80 percent and borrower FICO® Score between 680 and 739
  6. Loans with LTV ratio of more than 80 percent and borrower FICO® Score of 740 or greater

The remainder of this section reports summary statistics and modeled loss rates for these six groups of first-lien mortgages.

Table 29 reports summary statistics for the six groups of loans. The summary statistics cover a wide set of variables that capture important characteristics of the loans and borrowers in the loan groups.

Table 29. Summary statistics of selected variables in the first-lien mortgage data grouped by loan and borrower characteristics

Percent as a share of unpaid principal balance, except as noted

Variables Loan-to-value at origination
80% or less Greater than 80%
Credit score (FICO® Score)1 Credit score (FICO® Score) 1
Under 680 680 to 739 740 and over Under 680 680 to 739 740 and over
Number of loans (thousands) 193.04 427.23 1539.14 125.75 114.34 190.08
Current unpaid balance
$200,000 and Less 20.64 10.08 6.18 60.72 28.40 10.37
$200,001–$400,000 13.06 10.89 8.29 21.56 21.83 14.19
Over $400,000 66.30 79.03 85.53 17.72 49.77 75.44
Payment status
Current (0–89 days past due) 96.74 97.66 98.84 93.38 97.49 98.84
Late (90–180 days past due) 3.26 2.34 1.16 6.62 2.51 1.16
Occupancy type
Primary 68.54 85.20 85.44 94.50 94.80 93.62
Second home 26.16 11.50 11.52 3.95 4.37 5.78
Investment 5.17 3.25 3.00 1.09 0.74 0.56
Unknown 0.13 0.06 0.03 0.47 0.10 0.04
Product
Fixed-rate mortgage 42.42 56.64 60.32 75.16 74.34 72.72
Adjustable-rate mortgage 57.58 43.36 39.68 24.84 25.66 27.28
Property type
Single 76.71 85.08 84.06 87.50 87.34 87.75
Condo/Co-op 19.67 12.47 13.74 6.38 8.98 10.68
2–4 units 2.53 2.09 1.93 3.64 2.67 1.20
Other 1.09 0.35 0.28 2.49 1.01 0.38
Loan purpose
Purchase 34.63 38.35 44.18 59.88 68.18 73.21
Refinance 28.43 35.22 37.58 15.87 19.95 18.81
Cashout 34.18 24.30 16.55 21.12 10.34 6.75
Other 2.75 2.13 1.68 3.13 1.52 1.24
Census region
Midwest 7.31 7.81 7.41 20.41 18.89 15.26
Northeast 32.27 25.32 23.99 20.65 22.22 21.16
South 23.15 22.72 21.01 43.94 38.40 34.84
West 37.28 44.15 47.59 15.00 20.48 28.74
Loan term
30 years or greater 86.53 87.07 87.45 90.89 89.38 90.01
Less than 30 years 13.47 12.93 12.55 9.11 10.62 9.99
Loan vintage
Before 2016 54.33 29.98 20.13 69.93 33.56 17.71
2016–2018 22.78 33.67 30.11 15.40 29.57 29.90
After 2018 22.89 36.36 49.75 14.67 36.87 52.39

Note: The set of loans presented in this table excludes loans held for sale or accounted for under the fair-value option, loan observations missing data fields used in the model, loans that were in default or had no unpaid balance remaining as of 2020:Q4, loans that were purchased credit-impaired, and other types of loans that are not modeled using the domestic first-lien mortgage model (e.g., commercial loans).

 1. The Federal Reserve maps to FICO® Scores as an input to its domestic first-lien mortgage loss model, because these scores are the most widely used commercially available credit scores in the historical data used for estimation. Return to table

Table 30 shows the modeled loss rates for the six groups of loans for the 2021 supervisory severely adverse scenario. Each entry in the table shows the portfolio-level (average) estimated loss rate for the loans in one of the six groups, as well as the median and 25th and 75th percentiles of the estimated loan-level loss rates.

Table 30. Projected first-lien mortgage portfolio loss rates and 25th and 75th percentile ranges by loan and borrower characteristics, 2021:Q1–2023:Q1, 2021 stress test severely adverse scenario
Loan-to-value at origination Credit score
(FICO® Score) 1
Loan-level loss rates (percent) Portfolio-level loss rates (percent)
25th Median 75th Average
80% or less Under 680 0.8 1.8 3.7 2.8
80% or less 680–739 0.5 0.9 1.7 1.7
80% or less 740 and over 0.1 0.3 0.6 0.7
Greater than 80% Under 680 1.9 3.8 7.5 7.1
Greater than 80% 680–739 1.4 2.5 4.3 3.9
Greater than 80% 740 and over 0.4 0.8 1.6 1.6

Note: Loan-level loss rates are calculated as cumulative nine-quarter losses on a given loan divided by the principal balance amount as of 2020:Q4. Portfolio-level loss rates are calculated as the sum of the cumulative nine-quarter losses divided by the sum of principal balances as of 2020:Q4. The set of loans presented in this table excludes loans held for sale or accounted for under the fair-value option, loan observations missing data fields used in the model, loans that were in default or had no unpaid balance remaining as of 2020:Q4, loans that were purchased credit-impaired, and other types of loans that are not modeled using the domestic first-lien mortgage model (e.g. commercial loans).

 1. The Federal Reserve maps to FICO® Scores as an input to its domestic first-lien mortgage loss model, because these scores are the most widely used commercially available credit scores in the historical data used for estimation. Return to table

Certain groups of loans generally have wider ranges of losses than other groups. Although the loans are grouped according to the most important characteristics in the model, other loan characteristics in the model also affect loss rates, albeit in a more limited manner. Differences in these other characteristics within each loan group are responsible for the range of loss rates shown in the tables. Greater variation in these other characteristics within a group will generally lead to larger ranges of loss rates. For example, the loan-level loss rates shown in table 30 range from 0.8 percent to 7.5 percent for loans with borrower FICO® Scores below 680, a category in which other loan characteristics vary widely. However, loan-level loss rates range from 0.1 percent to 1.6 percent for loans with borrower FICO® Scores above 740, a category in which there is less variation in other loan characteristics.

Portfolios of Hypothetical First-Lien Mortgages and Associated Loss Rates

The effect of loan and borrower characteristics on the losses estimated by the first-lien model can also be illustrated by the differences in the estimated loss rates on specific sets of hypothetical loans. This section contains descriptive statistics from three portfolios of hypothetical loans (table 32) and the modeled loss rates for the three portfolios under the 2021 supervisory severely adverse scenario (table 33).

The Federal Reserve has designed the portfolios of hypothetical first-lien mortgages to have characteristics similar to the actual loans reported in schedule A.1 of the FR Y-14M. The Federal Reserve provides three portfolios containing 200 loans each, designed to capture characteristics associated with

  1. typical set of loans reported in the FR Y-14Q,
  2. higher-than-average-risk loans (in this case, loans with LTV at origination of more than 80 percent), and
  3. lower-than-average-risk loans (in this case, loans with LTV at origination of 80 percent or lower).

The portfolios of hypothetical loans include 13 variables that describe characteristics of first-lien mortgages that are generally used to estimate first-lien mortgage losses (table 31).111

Table 32 contains summary statistics for the portfolios of hypothetical loans in the same format as table 29. The portfolios of hypothetical loans are constructed to capture characteristics of certain sets of loans but are not fully representative of the population of loans reported in table 29. Table 33 contains the loss rates for the portfolios of hypothetical loans calculated under the 2021 supervisory severely adverse scenario. The portfolio of higher-risk loans has higher loss rates under the severely adverse scenario (loss rate of 2.6 percent) than the portfolio of typical loans (loss rate of 1.0 percent) and the portfolio of lower-risk loans (loss rate of 0.8 percent).

Table 31. List of variables included in portfolios of hypothetical first-lien mortgages
Variable Mnemonic Description
Principal balance amount prin_bal_amt The principal balance as of 2020:Q4 in dollars
Loan amount at origination loan_amt_orig The loan amount at origination in dollars
Loan-to-value ratio at origination ltv_ratio_orig The ratio of loan amount at origination to the property value at origination
Credit score at origination creditbureau_score_orig The FICO® Scores of the borrower at origination
Property state prop_state The state in which the property is located. This includes the 50 U.S. states and the District of Columbia
Occupancy status of property occupancy_type The occupancy status of property:
1 is primary
2 is second home
3 is non-owner/investment
U is unknown
Mortgage product product Mortgage products:
"frm" is fixed-rate mortgage
"arm" is adjustable-rate mortgage
Property type prop_type Property types:
1 is single
2 is condo/co-op
3 is 2–4 units
4 is other
Mortgage purpose purpose_type Mortgage purpose:
1 is purchase
2 is rate/term refinance
3 is cash-out refinance
4 is other refinance
Loan term at origination loan_term_orig Loan term at origination in months
Year of loan origination year Year of loan origination
Loan age loan_age Loan age in months
Payment status status Payment status:
1 is current (0–89 days past due)
2 is late (90–179 days past due)

Note: Some of the variables included in the portfolios of hypothetical loans are presented in a more aggregated form than they are reported in the FR Y-14.

Table 32. Summary statistics of selected variables in the portfolios of hypothetical first-lien mortgages

Percent as a share of unpaid principal balance, except as noted

Variables Lower-risk Typical Higher-risk
Current unpaid balance
$200,000 and Less 9.29 10.73 34.26
$200,001–$400,000 16.80 16.52 29.69
Over $400,000 73.92 72.75 36.05
Payment status
Current (0–89 days past due) 100.00 99.56 100.00
Late (90–180 days past due) 0.00 0.44 0.00
Occupancy type
Primary 90.96 88.19 95.42
Second home 7.03 6.05 3.24
Investment 2.01 5.76 1.11
Unknown 0.00 0.00 0.22
Product
Fixed-rate mortgage 63.87 57.69 79.60
Adjustable-rate mortgage 36.13 42.31 20.40
Property type
Single 82.30 77.84 89.19
Condo/Co-op 14.60 20.61 9.19
2–4 units 2.40 1.33 0.00
Other 0.70 0.23 1.62
Loan purpose
Purchase 45.37 52.13 71.70
Refinance 34.95 34.03 19.15
Cashout 18.84 12.17 7.46
Other 0.84 1.66 1.69
Census region
Midwest 11.48 10.51 21.57
Northeast 24.72 26.22 12.28
South 21.43 21.94 44.96
West 42.37 41.32 21.20
Loan term
30 years or greater 85.71 89.47 82.94
Less than 30 years 14.29 10.53 17.06
Loan vintage
Before 2016 30.84 34.51 51.50
2016–2018 40.37 39.32 30.86
After 2018 28.79 26.17 17.64
Table 33. Projected first-lien mortgage portfolio loss rates, 2021:Q1–2023:Q1, 2021 stress test severely adverse scenario

Percent

Hypothetical portfolio Loss rate
Lower-risk 0.8
Typical 1.0
Higher-risk 2.6

Note: Portfolio-level loss rates are calculated as the sum of the cumulative nine-quarter losses divided by the sum of initial utilized balances.

Domestic Credit Card Model

Modeled Loss Rates on Pools of Credit Card Accounts

The output of the domestic credit card model is the expected loss on each account. As described above, the Federal Reserve uses the credit card model to project losses on domestic bank cards and domestic charge cards, and estimated credit card loss rates depend on a number of variables. This section groups domestic bank card accounts (credit card accounts) according to their commercially available credit score, which is one of the most important variables in the model. FICO® Scores are the most widely used commercially available credit scores in the historical data used to estimate the model.112 Credit card accounts reported on schedule D.1 of the FR Y-14M report as of the fourth quarter of 2020 are segmented by FICO® Score into four groups of accounts:113

  1. Accounts with FICO® Score under 650
  2. Accounts with FICO® Score from 650 to 699
  3. Accounts with FICO® Score from 700 to 749
  4. Accounts with FICO® Score above 750

The remainder of this section reports summary statistics and modeled loss rates for these four groups of credit card accounts.

Table 34 reports summary statistics for the four groups of credit card accounts. The summary statistics cover a wide set of variables that capture important account characteristics.

Table 34. Summary statistics of selected variables in the credit card data by credit score

Percent as a share of cycle ending balance, except as noted

Variables Credit score (FICO® Score) 1
Under 650 650 to 699 700 to 749 750 and over
Number of accounts (millions) 37.63 34.74 35.88 78.37
Credit card type
General purpose 87.61 90.64 92.31 93.19
Private label 12.39 9.36 7.69 6.81
Current credit limit
$1,500 and less 16.13 5.13 1.80 0.66
$1,501–$7,500 53.14 44.79 28.49 15.19
Over $7,500 30.72 50.07 69.71 84.14
Days past due
Current 84.45 98.60 99.36 99.73
30+ Days past due 15.55 1.40 0.64 0.27
Product type
Co-brand 21.27 24.32 24.70 31.62
Other 78.73 75.68 75.30 68.38
Month-end account status
Open and active 91.64 99.48 99.81 99.94
Other 8.36 0.52 0.19 0.06
Account origination year
2016 and prior 54.56 57.84 61.35 60.95
2017 11.96 10.77 9.41 9.24
2018 13.27 11.31 9.55 9.18
2019 14.12 12.61 11.06 11.09
2020 6.09 7.46 8.63 9.54
Month-end close status
Not closed 91.68 99.50 99.81 99.95
Closed 8.32 0.50 0.19 0.05
Cycle ending balance
Under $1,000 12.28 5.67 4.55 10.16
$1,000–$1,999 13.06 9.04 7.07 12.34
$2,000–$2,999 13.00 10.07 7.88 11.20
$3,000–$4,999 18.85 18.61 15.81 18.02
$5,000–$9,999 24.60 29.87 29.62 26.03
$10,000 and over 18.21 26.73 35.07 22.24
Income at origination
$50,000 and less 44.17 38.66 34.77 25.59
$50,001–$100,000 37.12 38.03 37.88 36.74
Over $100,000 18.72 23.31 27.36 37.66
Original credit limit
$1,500 and less 35.96 22.10 13.78 5.92
$1,501–$7,500 45.54 50.37 46.97 33.45
Over $7,500 18.49 27.53 39.26 60.63
Interest rate at cycle end
Under 12% 7.26 9.09 13.20 15.35
12%–14.99% 7.63 11.41 16.95 26.11
15%–19.99% 23.24 29.51 34.51 41.40
20%–23.99% 40.23 34.10 24.08 10.81
24% and over 21.64 15.89 11.26 6.33

Note: The set of consumer bank card accounts presented in this table excludes accounts held for sale or accounted for under the fair-value option, observations missing data fields used in the model, accounts with 0–1 percent utilization rate as of 2020:Q4, and other types of loans that are not modeled using the domestic credit card model.

 1. The Federal Reserve maps to FICO® Scores as an input to its credit card loss model, because these scores are the most widely used commercially available credit scores in the historical data used for estimation. Return to table

Table 35 shows the modeled loss rates for the four groups of accounts under the 2021 supervisory severely adverse scenario. Each entry in the table shows the portfolio-level (average) estimated loss rate for the accounts in one of the four groups, as well as the median and 25th and 75th percentiles of the estimated account-level loss rates.

Table 35. Projected credit card portfolio loss rates and 25th and 75th percentile ranges by credit score, 2021:Q1–2023:Q1, 2021 stress test severely adverse scenario
Credit score (FICO® Score)1 Account-level loss rates (percent) Portfolio-level loss rates (percent)
25th Median 75th Average
Under 650 26.3 35.8 55.0 38.3
650–699 14.4 19.2 27.7 18.9
700–749 4.7 10.9 18.5 10.2
750 and over 4.3 7.0 14.9 5.7

Note: Account-level loss rates are calculated as cumulative nine-quarter losses on a given account divided by initial utilized balance. Portfolio-level loss rates are calculated as the sum of the cumulative nine-quarter losses divided by the sum of initial utilized balances. The set of consumer bank card accounts on which loss rates are calculated excludes accounts held for sale or accounted for under the fair-value option, observations missing data fields used in the model, accounts with 0–1 percent utilization rates as of 2020:Q4, and other types of loans that are not modeled using the domestic credit card model.

 1. The Federal Reserve maps to FICO® Scores as an input to its credit card loss model, because these scores are the most widely used commercially available credit scores in the historical data used for estimation. Return to table

Certain groups of accounts generally have wider ranges of losses than other groups. Although accounts are grouped according to one of the most important characteristics in the model, other account characteristics in the model also affect loss rates, albeit in a more limited manner. Differences in these other characteristics within each account group are responsible for the range of loss rates shown in the tables. Greater variation in these other characteristics within a group will generally lead to larger ranges of loss rates. For example, the account-level loss rates shown in table 35 range from 26.3 percent to 55.0 percent for accounts with FICO® Scores below 650, a category in which other account characteristics vary widely. However, account-level loss rates range from 4.3 percent to 14.9 percent for accounts with FICO® Scores above 750, a category in which there is less variation in other account characteristics.

Portfolios of Hypothetical Credit Card Accounts and Associated Loss Rates

The effect of account characteristics on the losses estimated by the credit card loss model can also be illustrated by the differences in the estimated loss rates on specific sets of hypothetical accounts. This section contains descriptive statistics for three portfolios of hypothetical accounts (table 37) and the modeled loss rates for the three portfolios under the 2021 supervisory severely adverse scenario (table 38).

The Federal Reserve has designed the portfolios of hypothetical accounts to have characteristics similar to the actual accounts reported in schedule D.1 of the FR Y-14M. The Federal Reserve provides three portfolios containing 200 accounts each, designed to capture characteristics associated with

  1. typical set of accounts reported in the FR Y-14M,
  2. higher-than-average-risk accounts (in this case, accounts with FICO® Scores under 700), and
  3. lower-than-average-risk accounts (in this case, accounts with FICO® Scores 700 and greater).

The portfolios of hypothetical accounts include 12 variables that describe characteristics of credit card accounts that are generally used to estimate credit card losses (table 36).114

Table 36. List of variables included in portfolios of hypothetical credit card accounts
Variable Mnemonic Description
Credit card type creditcardtype Credit card type:
1 is general purpose
2 is private label
Current credit limit currentcreditlimit Maximum dollar amount that may be borrowed on the account during the reporting month, as of the end of the month
Days past due dayspastdue Actual number of days the account is past due as of the current reporting month's cycle date
Product type producttype Product type:
1 is co-brand
2 is other
Month-end account status activeflag Whether the account has had any debit, credit, or balance activity in the last 12 months at end of the month:
0 is open and active
1 is other
Account origination year accountoriginationyear Year in which the original credit card was issued
Month-end close status monthendclosedrevokedflag Whether, in the current reporting month, the account is closed or revoked and has no further charging privileges:
0 is not closed
1 is closed
Refreshed credit score (FICO® Scores)1 refreshedcreditscoreprimaryborrower The most recently updated credit score available for the primary account holder at origination using a commercially available credit bureau score
Cycle ending balance cycleendingbalance Total outstanding balance for the account at the end of the current month's cycle
Income at origination borrowerincome Borrower's income
Original credit limit originalcreditlimit Original credit limit
Interest rate at cycle end cycleendingretailapr Purchase APR

 1. The Federal Reserve maps to FICO® Scores as an input to its credit card loss model because these scores are the most widely used commercially available credit scores in the historical data used for estimation. Return to table

Table 37. Summary statistics of selected variables in the portfolios of hypothetical credit card accounts

Percent as a share of cycle ending balance, except as noted

Variables Lower-risk Typical Higher-risk
Credit card type
General purpose 97.68 93.74 86.55
Private label 2.32 6.26 13.45
Current credit limit
$1,500 and less 1.98 4.08 15.66
$1,501–$7,500 23.49 53.53 65.40
Over $7,500 74.53 42.39 18.94
Days past due
Current 100.00 96.21 94.98
30+ Days past due 0.00 3.79 5.02
Product type
Co-brand 23.18 8.87 16.74
Other 76.82 91.13 83.26
Month-end account status
Open and active 100.00 100.00 98.60
Other 0.00 0.00 1.40
Account origination year
2016 and prior 58.42 59.06 43.89
2017 6.33 7.18 19.03
2018 11.80 12.08 9.42
2019 15.57 8.18 16.49
2020 7.88 13.50 11.17
Month-end close status
Not closed 100.00 100.00 98.60
Closed 0.00 0.00 1.40
Cycle ending balance
Under $1,000 5.53 7.82 7.46
$1,000–$1,999 9.52 8.83 14.91
$2,000–$2,999 9.24 13.86 20.76
$3,000–$4,999 15.89 16.82 22.74
$5,000–$9,999 30.21 21.37 24.91
$10,000 and over 29.61 31.30 9.23
Income at origination
$50,000 and less 47.58 50.26 46.83
$50,001–$100,000 16.65 18.93 24.25
Over $100,000 35.77 30.81 28.92
Original credit limit
$1,500 and less 7.94 26.52 47.74
$1,501–$7,500 55.82 39.89 47.67
Over $7,500 36.24 33.60 4.59
Interest rate at cycle end
Under 12% 26.05 41.36 17.06
12%–14.99% 15.31 26.44 13.70
15%–19.99% 25.52 17.12 23.79
20%–23.99% 20.47 6.58 20.52
24% and over 12.65 8.49 24.94
Table 38. Projected credit card portfolio loss rates, 2021:Q1–2023:Q1, 2021 stress test severely adverse scenario

Percent

Hypothetical portfolio Loss rate
Lower-risk 8.2
Typical 19.0
Higher-risk 27.8

Note: Portfolio-level loss rates are calculated as the sum of the cumulative nine-quarter losses divided by the sum of initial utilized balances.

Table 37 contains summary statistics for the portfolios of hypothetical credit card accounts in the same format as table 34. The portfolios of hypothetical accounts are constructed to capture characteristics of certain sets of accounts but are not fully representative of the population of accounts reported in table 34. Table 38 contains the loss rates for the portfolios of hypothetical credit card accounts calculated under the 2021 supervisory severely adverse scenario. The portfolio of higher-risk accounts has higher loss rates under the severely adverse scenario (loss rate of 27.8 percent) than the portfolio of typical accounts (loss rate of 19.0 percent) and the portfolio of lower-risk accounts (loss rate of 8.2 percent).

Explanatory Notes on Model Disclosures

The model disclosures in this document focus on the design of and projections from specific models, whereas the disclosures of supervisory stress test results include projections aggregated to the portfolio level. In most cases, those portfolio-level aggregates contain outputs from multiple supervisory models. As such, the results shown in the two different disclosures will be different. This document includes disclosures of loss rates on loan and account segments and on hypothetical portfolios of loans and accounts. These loss rates differ from those included in the stress test results disclosures in that they do not include accounting and other adjustments used to translate projected credit losses into net income. In the supervisory stress test results disclosure, the Federal Reserve makes certain accounting adjustments to translate supervisory model estimates into provisions and other income or expense items needed to calculate stressed pre-tax net income. These adjustments often depend on factors that vary across participating firms, such as write-down amounts on accounts purchased with credit impairments. However, the loss rates include the model adjustments due to the pandemic, as described in box 1 of the June 2021 Stress Test Results disclosure document.115

 

References

 

 103. See Board of Governors of the Federal Reserve, "Box 1. Model Changes for the 2021 Supervisory Stress Test," Dodd-Frank Act Stress Test 2021: Supervisory Stress Test Results (Washington: Board of Governors, June 2021), 19, https://www.federalreserve.gov/publications/files/2021-dfast-results-20210624.pdfReturn to text

 104. Financial loans have a NAICS category ("naics_two_digit_cat") of 52; all other loans are marked nonfinancial. Secured loans are defined as loans with lien positions ("lien_position_cat") marked as "first-lien senior"; all other loans are marked as unsecured. Investment grade loans are defined as loans with a credit rating ("rating") higher than and including BBB; all other loans are marked as non-investment grade. Return to text

 105. The set of loans on which loss rates are calculated excludes loans held for sale or accounted for under the fair-value option, loan observations missing data fields used in the model, lines of credit that were undrawn as of 2020:Q4, and other types of loans that are not modeled using the corporate loan model. Return to text

 106. The sets of accounts are available for download on the Federal Reserve's website: higher-than-average-risk accounts, https://www.federalreserve.gov/supervisionreg/files/corporate-high-risk-2022.csv; typical-risk accounts, https://www.federalreserve.gov/supervisionreg/files/corporate-typical-risk-2022.csv; lower-than-average-risk accounts, https://www.federalreserve.gov/supervisionreg/files/corporate-low-risk-2022.csvReturn to text

 107. The set of loans presented in this table excludes loans held for sale or accounted for under the fair-value option, loan observations lacking enough reported information to be assigned a modeled loss rate, loans that were in default or had no outstanding or committed balance remaining as of 2020:Q4, and other types of loans that are not modeled using the CRE loan model. Return to text

 108. The sets of accounts are available for download on the Federal Reserve's website: higher-than-average-risk accounts, https://www.federalreserve.gov/supervisionreg/files/cre-high-risk-2022.csv; typical-risk accounts, https://www.federalreserve.gov/supervisionreg/files/cre-typical-risk-2022.csv; lower-than-average-risk accounts, https://www.federalreserve.gov/supervisionreg/files/cre-low-risk-2022.csvReturn to text

 109. FR Y-14 reporters are not required to report a particular credit score. For the purposes of making projections using a model estimated with FICO® Scores, the Federal Reserve maps scores reported on the FR Y-14 to FICO® Scores. Return to text

 110. The set of loans presented in this table excludes loans held for sale or accounted for under the fair-value option, loan observations missing data fields used in the model, loans that were in default or had no unpaid balance remaining as of 2020:Q4, loans that were purchased credit-impaired, and other types of loans that are not modeled using the domestic first-lien mortgage model (e.g., commercial loans). Return to text

 111. The sets of accounts are available for download on the Federal Reserve's website: higher-than-average-risk accounts, https://www.federalreserve.gov/supervisionreg/files/firstlien-high-risk-2022.csv; typical-risk accounts, https://www.federalreserve.gov/supervisionreg/files/firstlien-typical-risk-2022.csv; lower-than-average-risk accounts, https://www.federalreserve.gov/supervisionreg/files/firstlien-low-risk-2022.csvReturn to text

 112. FR Y-14 reporters are not required to report a particular credit score. For the purposes of making projections using a model estimated with FICO® Scores, the Federal Reserve maps scores reported on the FR Y-14 to FICO® Scores. Return to text

 113. The set of accounts presented in this table excludes accounts held for sale or accounted for under the fair-value option, observations missing data fields used in the model, accounts with 0–1 percent utilization rate as of 2020:Q4, and other types of accounts that are not modeled using the credit card model. Return to text

 114. The sets of accounts are available for download on the Federal Reserve's website: higher-than-average-risk accounts, https://www.federalreserve.gov/supervisionreg/files/cards-high-risk-2022.csv; typical-risk accounts, https://www.federalreserve.gov/supervisionreg/files/cards-typical-risk-2022.csv; lower-than-average-risk accounts, https://www.federalreserve.gov/supervisionreg/files/cards-low-risk-2022.csvReturn to text

 115. See Board of Governors of the Federal Reserve System, "Box 1. Model Changes for the 2021 Supervisory Stress Test." Dodd-Frank Act Stress Test 2021: Supervisory Stress Test Results (Washington: Board of Governors, June 2021), 19, https://www.federalreserve.gov/publications/files/2021-dfast-results-20210624.pdfReturn to text

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Last Update: April 21, 2022