Accessible Version

Credit Portfolio Convergence in U.S. Banks since the COVID-19 Shock, Accessible Data

Figure 1. Cosine Similarity Change in Banks’ Credit Portfolio (2018–21)

Panel A. Large Firms

Cosine Similarity

Date All 12 assets Sovereign excluded Corporate excluded Sovereign & corporate excluded
3/31/2018 0.869 0.772 0.877 0.720
6/30/2018 0.873 0.765 0.881 0.709
9/30/2018 0.870 0.764 0.878 0.710
12/31/2018 0.868 0.766 0.877 0.705
3/31/2019 0.865 0.767 0.877 0.715
6/30/2019 0.858 0.761 0.868 0.710
9/30/2019 0.866 0.761 0.877 0.707
12/31/2019 0.870 0.768 0.880 0.705
3/31/2020 0.860 0.764 0.876 0.706
6/30/2020 0.901 0.773 0.916 0.707
9/30/2020 0.911 0.777 0.921 0.708
12/31/2020 0.914 0.780 0.927 0.714
3/31/2021 0.920 0.772 0.931 0.705

Panel B. Small Firms

Cosine Similarity

Date All 12 assets Sovereign excluded Corporate excluded Sovereign & corporate excluded
3/31/2018 0.730 0.712 0.732 0.706
6/30/2018 0.734 0.715 0.736 0.708
9/30/2018 0.734 0.715 0.736 0.713
12/31/2018 0.737 0.719 0.739 0.714
3/31/2019 0.738 0.721 0.739 0.715
6/30/2019 0.739 0.725 0.740 0.718
9/30/2019 0.737 0.726 0.736 0.719
12/31/2019 0.741 0.727 0.739 0.718
3/31/2020 0.750 0.727 0.747 0.718
6/30/2020 0.771 0.754 0.755 0.716
9/30/2020 0.765 0.754 0.748 0.718
12/31/2020 0.762 0.749 0.750 0.717
3/31/2021 0.766 0.748 0.756 0.709

Panel C. Midsize Firms

Cosine Similarity

Date All 12 assets Sovereign excluded Corporate excluded Sovereign & corporate excluded
3/31/2018 0.698 0.676 0.688 0.646
6/30/2018 0.705 0.687 0.695 0.661
9/30/2018 0.700 0.681 0.696 0.662
12/31/2018 0.702 0.683 0.696 0.663
3/31/2019 0.697 0.677 0.696 0.661
6/30/2019 0.706 0.683 0.704 0.668
9/30/2019 0.704 0.681 0.703 0.672
12/31/2019 0.707 0.689 0.700 0.672
3/31/2020 0.708 0.682 0.712 0.671
6/30/2020 0.737 0.685 0.737 0.676
9/30/2020 0.748 0.691 0.742 0.668
12/31/2020 0.749 0.703 0.738 0.673
3/31/2021 0.761 0.706 0.747 0.673

Note: This figure shows average cosine similarity for each bank group. Each panel represents a specific bank group by size.

Source: Staff calculations based on public data from Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Bank Holding Companies.

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Figure 2. Growth in Exposures of Major Asset Classes since 2018

Panel A. Large Firms

Percent Change since 2018:Q1

Date Sovereign Corporate Bank Securitization
3/31/2018 0 0 0 0
6/30/2018 -1.860 0.473 -0.607 2.611
9/30/2018 -1.763 0.200 -1.455 5.651
12/31/2018 -3.282 3.680 -0.415 3.979
3/31/2019 -4.155 4.322 -1.169 8.893
6/30/2019 -3.162 5.961 -0.673 12.347
9/30/2019 1.539 7.250 2.194 16.034
12/31/2019 5.517 8.873 -4.254 18.171
3/31/2020 24.201 27.572 8.455 21.670
6/30/2020 38.401 16.554 -2.381 18.615
9/30/2020 46.315 13.183 -8.760 15.374
12/31/2020 61.972 16.967 -3.637 17.755
3/31/2021 77.240 20.394 -1.303 18.013

Panel B. Small Firms

Percent Change since 2018:Q1

Date Sovereign Corporate Bank Securitization
3/31/2018 0 0 0 0
6/30/2018 0.079 2.784 11.912 4.557
9/30/2018 -3.745 0.536 8.718 7.084
12/31/2018 -2.298 3.260 13.150 11.340
3/31/2019 -0.441 4.089 3.927 9.993
6/30/2019 0.563 7.395 15.577 7.851
9/30/2019 0.191 7.451 28.912 11.619
12/31/2019 3.611 8.972 22.007 11.460
3/31/2020 11.352 16.394 33.283 16.937
6/30/2020 27.569 35.358 43.224 25.903
9/30/2020 34.277 36.577 36.157 35.510
12/31/2020 37.584 31.014 32.810 34.715
3/31/2021 55.005 32.534 26.817 60.445

Panel C. Midsize Firms

Percent Change since 2018:Q1

Date Sovereign Corporate Bank Securitization
3/31/2018 0 0 0 0
6/30/2018 -3.269 -2.438 -4.214 -4.950
9/30/2018 -2.688 -2.300 -3.746 -0.346
12/31/2018 -1.215 1.692 1.244 4.650
3/31/2019 -1.438 4.689 7.923 7.772
6/30/2019 -1.215 6.569 11.970 10.080
9/30/2019 3.749 5.272 8.438 11.969
12/31/2019 3.373 5.188 5.236 8.489
3/31/2020 19.169 17.595 14.552 13.061
6/30/2020 40.696 12.450 1.061 8.906
9/30/2020 46.623 9.066 -2.079 9.391
12/31/2020 53.856 8.732 -3.391 12.064
3/31/2021 64.880 9.259 -1.777 13.581

Note: This figure shows the increase in the exposures in the major asset classes since the 2018:Q1 level. Each panel represents a specific bank group by size. The changes are calculated by aggregating exposures for each bank group.

Source: Staff calculations based on public data from Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Bank Holding Companies.

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Figure 3. Major Sovereign Exposures as a Percent of Total Credit Exposures (2018–21)

Panel A. Agency MBS

Percent

Date Small firms Midsize firms Large firms
3/31/2018 12.742 12.255 11.019
6/30/2018 12.566 12.013 11.473
9/30/2018 12.348 11.797 11.640
12/31/2018 12.350 11.791 11.766
3/31/2019 12.621 12.021 11.907
6/30/2019 12.334 11.878 12.223
9/30/2019 12.430 12.226 12.476
12/31/2019 12.456 12.017 12.419
3/31/2020 12.541 11.696 11.782
6/30/2020 11.978 11.581 11.986
9/30/2020 12.587 12.528 12.277
12/31/2020 12.043 13.537 12.987
3/31/2021 13.074 13.482 13.139

Panel B. Treasury Securities

Percent

Date Small firms Midsize firms Large firms
3/31/2018 4.664 2.856 7.615
6/30/2018 4.733 2.899 7.823
9/30/2018 4.923 3.201 7.846
12/31/2018 4.763 3.224 8.480
3/31/2019 4.602 3.218 8.586
6/30/2019 4.825 3.444 8.539
9/30/2019 4.697 3.779 9.725
12/31/2019 4.682 3.789 10.177
3/31/2020 4.025 3.181 9.495
6/30/2020 4.075 3.845 10.992
9/30/2020 4.326 4.794 12.727
12/31/2020 4.197 4.250 12.705
3/31/2021 4.059 4.050 12.966

Panel C. Cash Positions

Percent

Date Small firms Midsize firms Large firms
3/31/2018 3.587 6.026 13.373
6/30/2018 3.438 5.916 12.467
9/30/2018 2.992 5.912 12.481
12/31/2018 3.086 5.849 10.984
3/31/2019 3.315 5.276 10.468
6/30/2019 3.221 4.998 10.156
9/30/2019 3.154 5.205 9.697
12/31/2019 3.333 5.296 10.179
3/31/2020 4.614 7.856 13.485
6/30/2020 6.870 11.067 15.868
9/30/2020 6.719 10.169 15.479
12/31/2020 7.901 10.784 16.705
3/31/2021 9.311 12.429 17.608

Note: This figure shows the change in exposures of major items in the sovereign asset as a percentage of total credit assets summed over the 12 categories as we define in table A1.

Source: Staff calculations based on public data from Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Bank Holding Companies.

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Figure 4. Major Corporate Exposures as a Percent of Total Credit Exposures (2018–21)

Panel A. C&I Loans to U.S. Addressees

Percent

Date Small Firms Midsize Firms Large Firms
3/31/2018 14.259 15.432 8.299
6/30/2018 14.205 15.584 8.488
9/30/2018 14.135 15.686 8.378
12/31/2018 14.368 16.017 8.892
3/31/2019 14.303 16.374 9.024
6/30/2019 14.104 16.274 8.878
9/30/2019 14.027 15.971 8.683
12/31/2019 13.915 15.850 8.428
3/31/2020 14.319 16.379 9.409
6/30/2020 16.346 15.641 8.612
9/30/2020 15.691 14.863 7.617
12/31/2020 15.045 14.439 6.975
3/31/2021 14.776 13.934 6.499

Panel B. Loans to Nondepository Financial Institutions

Percent

Date Small Firms Midsize Firms Large Firms
3/31/2018 1.994 1.736 3.236
6/30/2018 2.223 1.769 3.438
9/30/2018 2.092 1.755 3.584
12/31/2018 2.127 1.914 3.803
3/31/2019 2.226 1.986 3.824
6/30/2019 2.602 2.073 3.917
9/30/2019 2.886 2.163 3.973
12/31/2019 2.795 2.135 4.103
3/31/2020 3.053 2.393 4.197
6/30/2020 2.900 2.138 3.712
9/30/2020 3.183 2.095 3.752
12/31/2020 3.231 2.198 3.768
3/31/2021 3.017 2.045 3.726

Note: This figure shows the change in exposures of major items in the corporate exposure as a percentage of banks’ total credit assets summed over the 12 categories as we define in table A1.

Source: Staff calculations based on public data from Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Bank Holding Companies.

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Last Update: November 26, 2021