CRE concentration and stress testing every month, loan by loan, not once a year
Concentration and stress results every month, not once a year.
See one case, screen by screen ↓It is how a bank shows its board and examiners how concentrated its commercial real estate book is against capital — the 100% construction, 300% total CRE and 50% growth tests from the 2006 interagency guidance, plus the board’s own limits — and what happens to the book and capital if values, income or rates move against it. This solution runs both every month, loan by loan.
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Examiners expect board-approved concentration limits and a current stress test from any bank above the interagency benchmarks: construction and land at 100% of total risk-based capital, or total CRE at 300% with 50% growth over 36 months. At most community and regional banks that test is a spreadsheet rebuilt once a year — someone collects NOI for hundreds of properties from statements that are not in the core system, applies a flat shock, and pastes the result into a board deck.
Meanwhile the market moves every quarter. Office values fall, hotel income weakens, and fixed-rate loans written at 4% refinance at 6.75% or more, so coverage drops even when the building has not changed. A portfolio-average shock cannot say which loans mature inside the horizon, which ones break, or how close office is to its sub-limit — and when the board asks “what if cap rates widen another 150?”, nobody can answer that day.
Estimated split for one stress test of a 486-loan CRE book, by spreadsheet and with the solution.
Six specialist agents re-stress every loan as the market moves; the Chief Credit Officer signs the board report.
Ashgrove Community Bank, Columbus, Ohio: 486 CRE loans, $1,320.3M, against $412.6M of total risk-based capital at 30 September 2026. The board risk committee meets Thursday 22 October. Here is the October run, screen by screen, in the working solution.
Renee opens the October desk view — in-place rents down 8% as leases roll. Losses to Dec 2028 are $13.8M, capital after losses $398.8M, 14 loans are below 1.0x and no limit is crossed. But after those losses office sits at 49.8% of capital against a 50% limit, and total CRE at 331.1% of 350%.
Run log: “Market data watcher — Columbus CBD office cap rate +40 bp since September · try +50 bp on office-heavy markets.”
She clicks +150 on the cap-rate slider. Losses rise to $24.5M and capital after losses falls to $388.1M. The office bar crosses its red line at 51.2%, 37 loans are now below 1.0x — 23 more than the desk view — and the newly broken loans move to the top of the list, each with its occupancy, coupon, refinance rate, NOI against debt service and value.
“Stress tester re-stressed 486 loans from their own rent rolls and debt terms · cap rates +150 bp · rents −8% · 37 below 1.0x · $24.5M.”
She saves the move as “Cap rates +150 bp · rents −8%”, saved with every loan’s result and every assumption. With one switch it goes into the stress test write-up as a column beside the board’s three scenarios, with the loans that break.
Below the loss curve, all 486 loans sit as squares by property type, coloured by the weaker of debt cover and value cover. The ones that broke since the desk view are ringed — twelve office loans now below 1.0x. Click any square for the loan’s walk.
Total CRE is 320.0% of capital, construction and land 89.4% with $43.7M of headroom, and 36-month growth 44.6% from $913.1M in Sep 2023. By property type, office is 48.1% against its 50% sub-limit — $7.7M of headroom. Nine approved, unfunded loans worth $96.5M sit in the pipeline, one switch away.
“Above the 300% benchmark since Jun 2025 — so the guidance expects enhanced risk management and stress testing, which this is.”
Renee presses Run October. The agents read the 30 Sep loan tape, the rent rolls, statements and appraisals, refresh cap rates and rents, test every limit and run 1,458 loan-scenarios. Severe-case losses are $46.2M, capital after the severe case $366.4M, and total CRE goes to 360.4% — above the board’s 350% limit.
“475 of 486 statements current · 11 older than 15 months, used as they are and marked.”
The scenario library is version 3, approved by the board risk committee on 23 April 2026. The severe case takes office values down 35% and office income down 22%, with rates +200 bp at refinance or reprice. Sunita can test her own scenario beside it, recalculated loan by loan, and add it to the board report.
The $18.4M office loan matures in June 2027 and refinances at 8.75% (6.75% + 200 bp) on a 25-year amortisation: debt service goes from $1,182,000 to $1,815,293, while NOI falls from $1,742,000 to $1,358,760. Coverage 1.47x → 0.74x. The March 2025 appraisal of $24.0M becomes $15.6M, loan to value 76.7% → 117.9%. Projected loss: $5,280,000.
Its largest tenant, Brannock & Lee LLP, has a lease ending March 2027. Every line opens to the rent roll, statement or appraisal it came from.
Summary, concentration against limits with and without the pipeline, stress results with Renee’s cap-rate scenario as a fourth column, the loans that drive the loss and every assumption. Four actions are proposed: a new appraisal for Larch Street Tower, an early refinance conversation with its borrower, funding the construction pipeline in step with payoffs, and collecting the 11 stale statements.
“4 proposed · the committee decides.”
Renee sends the report at 08:47. Sunita Varma reviews it, and Martin Hale signs. Every step — the tape loaded, the run, the draft, the scenario Renee saved, the signature — is on the activity trail.
“Martin Hale signed · the report is with the board risk committee for 22 October.”
The same October run, seen by the five people who carry it — what their month looked like, and what it looks like now.
Six specialist agents re-stress every loan as the market moves; the Chief Credit Officer signs the board report.
Reads the month-end loan tape and classifies every loan by property type, market and the call report line the 2006 concentration guidance uses.
Reads rent rolls, operating statements and appraisals for every property and keeps the latest NOI, occupancy, leases ending, largest tenants and value.
Keeps cap rates, rents and vacancy by market and property type from the bank’s market data feed.
Tests total CRE, construction and 36-month growth against total risk-based capital and the board’s limits and sub-limits, with and without the approved pipeline, and reports headroom in dollars.
Applies each scenario to every loan — income, rate at refinance, value — and computes coverage, loan to value and the projected loss, then re-tests every limit after the losses.
Drafts the board and examiner report: concentration, the scenarios, the loans that drive the loss, every assumption and proposed actions.
Signs; the CRO reviews; the board approves limits. The agents propose; a named person decides.
The portfolio manager, the CRO and the CCO can ask in plain words — or say what to add to the board report. Every answer points to the loan or the result it rests on.
Which loans drive the severe-case breach?
Office and construction carry most of it: $18.7M and $16.9M of the $46.2M severe-case loss. Twelve office loans carry $13.0M, 8 of them in Columbus. Larch Street Tower alone is $5.3M.
Why does Larch Street Tower fail under the severe scenario?
Two things at once. Its $18.4M loan matures in June 2027 and refinances at 8.75% instead of 4.15%, so debt service rises from $1,182,000 to $1,815,293. With office income down 22%, NOI falls from $1,742,000 to $1,358,760: coverage 0.74x. Office values down 35% take the March 2025 appraisal of $24.0M to $15.6M. And its largest tenant, Brannock & Lee, has a lease ending in March 2027. Projected loss: $5.3M.
What happens to our ratios if the $96.5M pipeline funds?
Total CRE rises from 320.0% to 343.4% of capital — still under the 350% limit. But 36-month growth goes to 55.2%, above the 50% benchmark, so the book would meet the guidance’s 300% and 50% growth test, and construction reaches 99.4% of its 100% limit: $41.2M of the pipeline is construction.
Add a board action: no new office loans until office is under 45% of capital
Added as action 1 for the committee. Office is 48.1% of capital against a 50% sub-limit, and 50.2% and 54.2% after adverse and severe losses. Getting to 45% means about $12.9M less office. Renewals and existing commitments continue. It is a proposal: the committee decides.
13 screens from the working solution, on its sample data. Pick one to see it large.
Everything that differs from bank to bank is a setting. Limits are the board’s: changes are proposals until the board approves them.
| Setting | Default | Choose from |
|---|---|---|
| Total CRE limit | 350% of capital | Board-approved · supervisory benchmark 300% |
| Construction and land development | 100% of capital | Board-approved · supervisory benchmark 100% |
| Office · hotel sub-limits | 50% · 20% | Board-approved · multifamily 90%, retail 50%, industrial 50%, other 25% |
| Monthly run | Business day 5 | Business day 3 · 5 · 10 |
| Extra run on a market move | 50 basis points | 25 basis points · 50 basis points · Never |
| Stale operating statements | 15 months | 12 · 15 · 18 months |
| Refinance rate | 6.75% · 25-year amortisation | 6.75% on 25 years · 7.00% on 25 years · 6.50% on 30 years |
| Loss given default | 10% selling · 5% workout | Stressed value less selling costs, plus workout costs |
Every figure is labelled: a target the solution is built to, an estimate, a typical published result, or a proven one.
“demo” = seen in the working solution, on its sample bank data · “target” = the design goal, measured in the live solution · “estimated” = our estimate, against a ~6-week spreadsheet build · “typical” = published figures (FDIC, Community Banking Connections, 2024 — 42.7% of community banks with CRE at 25% or more of loans were at or above 300% of capital). Supervisory thresholds: OCC Bulletin 2006-46, interagency CRE concentration guidance. The bank, people, properties and borrowers named on this page are fictional — characters and sample data in the working solution.
It is how a bank shows its board and examiners how concentrated its commercial real estate book is against capital — the 100% construction, 300% total CRE and 50% growth tests from the 2006 interagency guidance, plus the board’s own limits — and what happens to the book and capital if values, income or rates move against it. This solution runs both every month, loan by loan.
A spreadsheet applies one shock to a portfolio average once a year. Here every loan is re-stressed from its own rent roll, appraisal and debt terms; the rate shock applies only to loans that mature or reprice inside the nine-quarter horizon, so you see exactly which loans break and why.
Yes. Four sliders move cap rates, vacancy, the rate at refinance and rents. Every move re-stresses all 486 loans and re-tests every limit after the losses, and the result can be saved into the board report beside the board’s approved scenarios.
Yes. The concentration calculator tests every limit for the funded book and again with approved, unfunded loans added. In the working solution, nine pipeline loans of $96.5M would take 36-month growth to 55.2% and construction to 99.4% of its limit.
No. Limits and scenario assumptions change only with board approval; a change in Settings is a proposal until then. The agents calculate and draft, a person proposes actions, and the Chief Credit Officer signs every report.
The statement is used as it is and the loan is marked — never hidden, and no NOI is estimated. The inputs screen lists every statement older than the threshold (15 months by default) with a request to the borrower one click away.
Your core loan system for the month-end tape, call report capital, rent rolls, operating statements, appraisals and evaluations, your market data feed and the credit policy that holds the board’s limits and scenarios.
The Agentic Solution Engine builds and deploys it from your requirements — your loan tape, credit policy limits, scenario library and a sample of property financials — and it goes live once every quality gate has passed. We will walk you through it on your own CRE book first.
Eighteen months of maturities ranked by refinance gap, evidence attached.
1-min demoConstruction Draw ManagementDraws funded in a day, not a week, every line tied to its invoice, waivers and inspection.
1-min demoRent Roll & Operating Statement AnalysisNo re-keying, and every rent checked against its lease.
1-min demoWe’ll run CRE Concentration & Stress Testing on a sample of your own loan tape and property financials.