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作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.55,Issue1,P.1-31

语言

英文

关键字

Securitization; CMBS; Commercial banks; Asymmetric information; Renegotiation; MORTGAGE DEFAULT

作者单位

[Black, Lamont] Depaul Univ, Driehaus Coll Business, 1 E Jackson Blvd, Chicago, IL 60604 USA. [Krainer, John] Fed Reserve Bank San Francisco, POB 7702, San Francisco, CA 94120 USA. [Nichols, Joseph] Fed Reserve Syst, Board Governors, 20th & C Str NW, Washington, DC 20551 USA. Nichols, J (reprint author), Fed Reserve Syst, Board Governors, 20th & C Str NW, Washington, DC 20551 USA. E-Mail: LBLACK6@depaul.edu; John.Krainer@sf.frb.org; Joseph.B.Nichols@frb.gov

摘要

We use a unique loan-level dataset to compare portfolio and securitized commercial real estate loans. The paper documents how the types of loans banks choose to hold in their portfolios differ substantially from the types of loans the same banks securitize. Banks tend to hold loans that are "non-standard" in some observable dimension. These loans are riskier and more likely to become delinquent or distressed. Conditional on default, we find that banks are significantly more likely to extend portfolio loans than is the case for securitized loans. Our results suggest that banks have a comparative advantage in funding risky assets with contracts that may require flexibility in the event of distress.