美联储-近期CRE困境的决定因素：对银行业的影响（英）

Finance and Economics Discussion SeriesFederal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online)Determinants of Recent CRE Distress: Implications for theBanking SectorDavid Glancy, Robert Kurtzman2024-072Please cite this paper as:Glancy, David, and Robert Kurtzman (2024).“Determinants of Recent CRE Dis-tress:Implications for the Banking Sector,” Finance and Economics Discussion Se-ries 2024-072.Washington:Board of Governors of the Federal Reserve System,https://doi.org/10.17016/FEDS.2024.072.NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment. The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.Determinants of Recent CRE Distress: Implications forthe Banking Sector *David Glancy†1and Robert Kurtzman‡11Federal Reserve BoardAugust 27, 2024AbstractRising interest rates and structural shifts in the demand for space have strained CRE mar-kets and prompted concern about contagion to the largest CRE debt holder: banks. We useconfidential loan-level data on bank CRE portfolios to examine banks’ exposure to at-riskCRE loans. We investigate (1) what loan characteristics are associated with delinquency and(2) to what extent the portfolio composition of major CRE lenders determines their exposure tolosses. Higher LTVs, larger property sizes, and greater local remote work tendencies are all as-sociated with increased delinquency risk, particularly for office loans. We use several machinelearning algorithms to demonstrate that variation in exposure to these risk factors can accountfor most of the performance disparity across different types of CRE lenders. The headlineresult is that small banks’ comparatively modest delinquency rates mostly reflect observableportfolio characteristics—predominantly their low holdings of large-sized office loans—ratherthan unobserved factors like extension or modification tendencies.Keywords: commercial real estate, banks, CMBSJEL Classification: G21, G23, R33*We thank Joe Nichols and seminar participants at the Federal Reserve Board R&S workshop for helpful com-ments. The views expressed in this paper are solely those of the authors and do not necessarily reflect the opinions ofthe Federal Reserve Board or anyone in the Federal Reserve System.†Principal Economist, Division of Monetary Affairs, Federal Reserve Board, david.p.glancy@frb.gov.‡Principal Economist, Division of Research & Statistics, Federal Reserve Board, robert.j.kurtzman@frb.gov.1.INTRODUCTIONHigher interest rates and shifts in where people work and shop have created significant stress inpockets of the commercial real estate (CRE) market (