We study the effect of a change in trustees' incentives to monitor servicers in CMBS markets. Our identification strategy rests on variation in servicer–trustee affiliation that arises from mergers. We present evidence that affiliation is associated with excessive principal and interest advances on delinquent loans that are not in the interest of bondholders. We observe that a servicer–trustee affiliation affects the waterfall cash flows of senior, mezzanine, and junior bond-tranches. Additionally, we find that affiliation increases the loss rate by $0.05 or $0.07 per dollar of outstanding debt and estimate an economic impact of $5.5 billion in market-wide liquidation losses.

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受托人隶属关系和服务商监督：来自 CMBS 市场的证据

我们研究了受托人在 CMBS 市场上监控服务商的激励变化的影响。我们的识别策略依赖于因合并而产生的服务商-受托人关系的变化。我们提供的证据表明，附属关系与不符合债券持有人利益的拖欠贷款的本金和利息预付过多有关。我们观察到，服务商-受托人关系影响高级、夹层和初级债券的瀑布式现金流。此外，我们发现从属关系会使每美元未偿债务的损失率增加 0.05 美元或 0.07 美元，并估计对整个市场清算损失的经济影响为 55 亿美元。