Depository Institutions: Mortgage and Consumer Loan Portfolios by Probability of Default

These tables provide additional detail on the loan assets of U.S. depository institutions by reporting mortgage and consumer loan portfolios broken down by the banks' estimates of the probability of default, as defined below. This information facilitates analysis of the potential concentration of risk in specific loan categories. The institutions reporting this information are generally those with $10 billion or more of assets. These data are reported on a consolidated basis, i.e., including the loan assets of foreign affiliates.

Tables

Depository Institutions: Consumer Loan Portfolios by Probability of Default: PDF | HTML

Depository Institutions: Mortgage Loan Portfolios by Probability of Default: PDF | HTML

Historical Data

Depository Institutions: Consumer Loan Portfolios by Probability of Default: CSV | Data Dictionary

Depository Institutions: Mortgage Loan Portfolios by Probability of Default: CSV | Data Dictionary

Documentation

All data are taken from regulatory filings, Call Reports Schedule RC-O Memorandum item 18, "Outstanding balance of 1-4 family residential mortgage loans, consumer loans, and consumer leases by two-year probability of default," which are generally filed by institutions with $10 billion or more in assets. Probabilities of default are reported by the institutions and are generally assigned at origination or refinance of the loan (i.e., they are not updated over time). A loan's probability of default is based on an average of observed default rates from 2007-2009 and 2009-2011 for loans of a similar type to borrowers with similar credit risk. Thus the probability of default is not necessarily predictive or forward-looking, but rather based on historical experience from 2007-2011. For more details, see the FDIC regulations, specifically Appendix C to Subpart A of Part 327 paragraph 3, at https://www.fdic.gov/regulations/laws/rules/2000-5000.html. Data are available beginning in 2013:Q2.

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Last Update: June 15, 2018