Commercial Real Estate Concentration in US Banks, June 2026: Supervisory Screens, a Capital-Depletion Identity and the Default Rate That Would Exhaust Capital

I measure commercial real estate (CRE) concentration for 4,296 US insured banks from FDIC Call Report data for 30 June 2026, using total risk-based capital or, for the 1,814 banks that use the community bank leverage ratio, tier 1 capital plus the loan-loss allowance. CRE (construction, multifamily and non-owner-occupied nonfarm nonresidential loans) is 2.35 trillion dollars, 16.9% of gross loans and 92.7% of aggregate capital. The median bank holds CRE equal to 127% of its capital; 375 banks (8.7%) exceed the 300% screen of the 2006 interagency guidance, and 103 of them also grew CRE by 50% or more in three years. Concentration peaks at banks with 1 to 10 billion dollars of assets, where the median is 222% and 18.8% of banks exceed 300%; the 32 banks above 100 billion dollars have medians near 50%. Using the identity that the capital loss equals concentration times the CRE loss rate, the worst 12-quarter cumulative CRE charge-off rate in the FRED series (6.29%, ending 2011Q3) would cost the median bank 8.0% of capital and 81 banks at least a quarter of their capital. I prove that in a one-factor Vasicek model with loss given default 40% no default rate can exhaust capital at concentrations below 250%, and compute the unconditional default rate that makes the 99.9% loss exhaust capital: 38% at 300%, 18% at 400% and 8% at 600% concentration.