Abstract

http://ssrn.com/abstract=2152703
 


 



Comparing Securitized and Balance Sheet Loans: Size Matters


Andra C. Ghent


Arizona State University (ASU) - Finance Department

Rossen I. Valkanov


University of California, San Diego (UCSD) - Rady School of Management

July 22, 2014


Abstract:     
We assemble a unique dataset of commercial mortgages with information on loan characteristics at origination and subsequent performance. The most significant difference between securitized and balance sheet loans is the size of the loan. The loans in the highest loan size decile have a 43% percent chance of securitization whereas the ones in the lowest decile have only a 1% chance. This result is consistent with diversification being a key motivation for securitization. We also find that loans that require substantial monitoring are less likely to be securitized. Finally, securitized loans get resolved less quickly after defaulting.

Number of Pages in PDF File: 57

Keywords: Securitization, Commercial Mortgage-Backed Securities (CMBS), Structured finance

JEL Classification: G21, G23, G20

working papers series


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Date posted: September 27, 2012 ; Last revised: July 22, 2014

Suggested Citation

Ghent, Andra C. and Valkanov, Rossen I., Comparing Securitized and Balance Sheet Loans: Size Matters (July 22, 2014). Available at SSRN: http://ssrn.com/abstract=2152703 or http://dx.doi.org/10.2139/ssrn.2152703

Contact Information

Andra C. Ghent (Contact Author)
Arizona State University (ASU) - Finance Department ( email )
W. P. Carey School of Business
PO Box 873906
Tempe, AZ 85287-3906
United States
HOME PAGE: http://www.public.asu.edu/~aghent/
Rossen Valkanov
University of California, San Diego (UCSD) - Rady School of Management ( email )
9500 Gilman Drive
Rady School of Management
La Jolla, CA 92093
United States
858-534-0898 (Phone)
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