57 Pages Posted: 27 Sep 2012 Last revised: 22 Jul 2014
Date Written: July 22, 2014
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.
Keywords: Securitization, Commercial Mortgage-Backed Securities (CMBS), Structured finance
JEL Classification: G21, G23, G20
Suggested Citation: Suggested Citation
Ghent, Andra C. and Valkanov, Rossen I., Comparing Securitized and Balance Sheet Loans: Size Matters (July 22, 2014). Available at SSRN: https://ssrn.com/abstract=2152703 or http://dx.doi.org/10.2139/ssrn.2152703