热点思考 | 美国信贷市场，风险几何？（申万宏观・赵伟团队）

Core Viewpoint - The recent loan fraud cases disclosed by two regional banks in the U.S. have raised concerns about the credit market, but the immediate impact appears to be limited and not indicative of systemic risk [1][2][3]. Group 1: Impact of Regional Bank Issues - On October 16, Zion Bank reported a loss of $50 million due to loan fraud, while Western Alliance Bank disclosed similar issues, leading to a sharp market reaction with the regional bank index dropping 6.7% [2][6]. - The market's initial fears were compared to the Silicon Valley Bank crisis, but the scale and nature of the current issues are different, as the involved banks are smaller and the incidents are isolated fraud cases rather than systemic liquidity issues [2][16]. - Following the initial shock, regional bank stock prices have begun to recover, and indicators such as the VIX index and corporate bond credit spreads suggest a reduction in market anxiety [2][22]. Group 2: Concerns about Private Credit - The private credit market, often referred to as a "cockroach" effect, is a growing concern due to deteriorating credit quality and tightening loan conditions, with the market size reaching $2.3 trillion globally, including $1.2 trillion in the U.S. [3][32]. - The default rate for private credit remains low at approximately 1.8%, and the risk of contagion is considered manageable due to the non-traded nature of these loans [3][40]. - However, signs of stress are emerging, particularly with an increase in non-stressed PIK loans, indicating a decline in underlying cash flows, and a concentration of investments in the technology sector raises additional risks [3][44]. Group 3: Hidden Risks in the Credit Market - Commercial real estate (CRE) and commercial mortgage-backed securities (CMBS) are significant areas of concern, with CMBS delinquency rates reaching a historical high of 11.8% as of August 2025, driven by high vacancy rates in office properties [4][53]. - Consumer credit risks, particularly among low-income groups, are also noteworthy, with delinquency rates for auto loans and credit cards nearing historical highs, exacerbated by economic downturns [4][61]. - High-yield debt risks appear relatively contained in the short term, but potential refinancing risks and market volatility could arise if economic conditions worsen or liquidity tightens [4][70].