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.
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 is completed by “large institutions” and “highly complex institutions” as defined by FDIC regulations. For more details on how the loan probability of default is calculated, 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.