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Comparing Securitized and Balance Sheet Loans: Size Matters

57 Pages Posted: 27 Sep 2012 Last revised: 22 Jul 2014

Andra C. Ghent

University of Wisconsin - School of Business - Department of Real Estate and Urban Land Economics

Rossen I. Valkanov

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

Date Written: 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.

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

JEL Classification: G21, G23, G20

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

Andra C. Ghent (Contact Author)

University of Wisconsin - School of Business - Department of Real Estate and Urban Land Economics ( email )

School of Business
975 University Avenue
Madison, WI 53706
United States

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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