The Pandemic's Impact on Credit Risk: Averted or Delayed? Accessible Data

Figure 1a. Commercial Real Estate Concentration, All Firms Aggregate (percent)

Line chart shows commercial real estate concentration in aggregate over time from 2000 to 2021 for all firms. Two lines are on the chart, one for commercial real estate over risk based capital, ranging between 0% to 200% and one for commercial real estate over total loans, ranging from 10% to 20%. There are peaks for both lines in 2007 and 2021. The lowest values for both lines are in 2013.

Note: Recessions are shaded in light red. Risk-based capital is defined as Tier 1 capital plus allowances for loan losses, as it is a measure of total capital that can be calculated historically. For consistency, we use the revised definition of the capital denominator (here, “risk-based capital”) issued in a 2020 interagency guidance for calculating the CRE concentration ratio for the entire sample. Furthermore, prior to Q1 2008, owner-occupied CRE loans were included in the CRE concentration calculation due to a data limitation on the Call Reports. Post-2008 data excludes owner-occupied CRE. We apply a simple scaling adjustment prior to Q1 2008 to mitigate the structural break in the time-series. Total loan data excludes Payment Protection Program (PPP) loans.

Source: FFIEC 031, 041, and 051. All reporting firms.

Return to text

Figure 1b. Commercial Real Estate Concentration, Weighted Average by Bank Size (percent)

Line chart shows commercial real estate concentration as weighted averages by bank size from 2000 to 2021. There are three lines, one for small banks <$10b assets, medium banks $10 to $100b assets, and large banks >$100b assets. The lines peak in 2008 and 2021. However, the medium sized banks show a more rapid increase in concentration, relative to the other lines, from 2013 to 2021.

Note: See Figure 1a for a comprehensive description of the inputs shown above.

Source: FFIEC 031, 041, and 051. All reporting firms.

Return to text

Figure 2. Commercial Real Estate Concentration by Firm Size (percent)

Bar chart shows commercial real estate concentration by firm size, using commercial real estate over capital ranging from 0% to 200% and commercial real estate over loans as measurements ranging 0 to 0.4. It shows bars for small banks <$10b assets, medium banks $10 to $100b assets, and large banks >$100b assets. Concentration and the bars for the largest banks are much smaller than the small and medium banks.

Note: Bars and lines represent weighted average CRE exposure. See Figure 1a for a comprehensive description of the inputs shown above.

Source: Q1 2021 FFIEC Call Reports

Return to text

Figure 3. Commercial Real Estate Concentration by Segment (percent)

Pie chart that shows a segmented breakdown of commercial real estate concentration. Multifamily, office, and retail are the largest slices of the pie with 34, 25, and 18 percent of commercial real estate, respectively.

Source: Q4 2020 Trepp ALLR

Return to text

Figure 4. Delinquent Loans & Loan Modifications by CRE (median percent)

Stacked bar chart that shows delinquent and modified loans segmented by commercial real estate exposure. It shows that banks more exposed to commercial real estate tend to have higher loan modification usage.

Note: Loan data excludes Payment Protection Program (PPP) loans. Key identifies bar chart in order from bottom to top.

Sources: Q1 2021 FFIEC Call Reports. Banks <$100b assets

Return to text

Figure 5. Aggregate Allowances During the COVID-19 Recession (billions of dollars)

Line graph that shows aggregate allowances held by banks by allowance type. Cards, commercial real estate, commercial, residential real estate, other consumer, and construction are shown. Commercial real estate allowances diverge from the trend of the other allowance categories in the fourth quarter of 2020, showing a material increase in commercial real estate allowances as most of the other categories show decreases.

Source: FFIEC Call Reports. Aggregate of banks between $1b and $100b assets

Return to text

Figure 6. Small Bank Loan Delinquency and Modification Coverage (percent of loans)

Stacked bar chart that shows loan delinquencies and modifications over time. There are 5 bars Nonaccrual, 90+ past due accruing, 30-89 past due accruing, restructured in compliance and CARES loan modification ranging from 0% to 12%. Delinquencies peak in 2010 and then decrease steadily and remain low into 2020 and 2021. Loan modifications spike upward in 2020. Loan modifications in 2020 were at levels greater than delinquencies and modifications at the peak of the prior recession. These modifications steadily decline as the chart hits 2021, but are still comparable to delinquencies during the previous recession.

Notes: Recessions are shaded in light red. Key identifies bar chart in order from bottom to top.

Source: Aggregate FFIEC Call Report filing institutions with assets less than $100b and NBER

Return to text

Last Update: July 30, 2021