Size and support ratings of US banks

• We examine whether Fitch support ratings of US banks depend on bank size.
• We find that bank size is positively related to Fitch support ratings.
• However, the effect is non-linear in line with the ‘too-big-to-rescue’ hypothesis.
• After the passing of Dodd-Frank the relation between size and support rating has become stronger.

We examine whether Fitch support ratings of US banks depend on bank size. Using quarterly data for the period 2004:Q4 to 2012:Q4 and controlling for several factors that make large and small banks different, we find that bank size is positively related to support ratings. However, the effect is non-linear in line with the ‘too-big-to-rescue’ hypothesis. After the failure of Lehman Brothers and the passing of Dodd-Frank the relation between size and potential support has become stronger.