Size and support ratings of US banks

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' argument. After the failure of Lehman Brothers and the passing of Dodd-Frank the relation between size and potential support has become stronger.