Comparing Securitized and Balance Sheet Loans: Size Matters

• 成果类型: Article
• 署名作者: Ghent, Andra; Valkanov, Rossen
• 署名单位: University of Wisconsin System; University of Wisconsin Madison; University of California System; University of California San Diego
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2015.2260
• 发表日期: 2016
• 页码: 2784-2803
• 关键词: Securitization; Commercial mortgage-backed securities; Structured finance

摘要

We assemble a unique data set 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% 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.