美联储近期CRE困境的决定因素：对银行业的影响

Determinants of Recent CRE Distress: Implications for the Banking Sector

Introduction

Higher interest rates and shifts in work and shopping patterns have created significant stress in certain segments of the commercial real estate (CRE) market. Given that CRE loans represent the largest loan category on banks' balance sheets, concerns about potential loan losses and their impact on the banking sector have risen. However, detailed data on banks' CRE loan holdings are limited, leading researchers to rely on aggregate bank portfolio data or publicly reported CRE segments.

Key Findings

1. Loan Performance Variability Across Lenders

   • Nonperforming Loan (NPL) Rates: During the Global Financial Crisis (GFC) of 2007–09, NPL rates for both bank and commercial mortgage-backed securities (CMBS) loans were comparable. Since then, CMBS delinquencies spiked in 2016 and at the start of the COVID-19 pandemic, while large and small banks' delinquencies remained below 2%.
   • Recent Trends: In 2023, CMBS and large banks saw similar increases in delinquency rates, but small banks' CRE loan performance remained strong. CRE strains are highly concentrated, with the rise in bank CRE NPLs driven by non-owner-occupied, non-residential properties at large banks, primarily office loans.

2. Factors Associated with Delinquency

   • Office Loans: Office loans held in CMBS pools are 4 percentage points more likely to go delinquent compared to those held by banks. This effect is mainly driven by smaller properties, lower loan-to-value (LTV) ratios, and higher recourse.
   • Other Property Types: For other property types, CMBS underperformed bank loans, but the differences were smaller and not clearly attributable to other observable characteristics.

3. Performance of Small Banks

   • Concentrations and Delinquency Rates: Banks with between $1 billion and $10 billion in assets had the highest CRE concentrations but also very low CRE delinquency rates as of the end of 2023. This indicates that current loan performance deterioration is unlikely to cause significant problems for the banking sector.
   • Potential Drivers: While detailed loan-level data for small banks are limited, broad characteristics such as loan sizes, property types, and locations can be used to model loan performance and investigate observable factors contributing to resilience.

Conclusion

The recent CRE distress is highly concentrated, with significant variances among different types of lenders. Small banks have shown resilience due to their loan characteristics, primarily their low holdings of large-sized office loans. Understanding these factors is crucial for assessing potential risks to the banking sector. Further research is needed to evaluate the underlying reasons for small banks' strong performance and to gauge potential future stress.