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Real Estate Capital Markets Table of Contents Topic Page I. Securitization of Real Estate Debt Types of Mortgages and Mortgage Mathematics………………. Overview of Securitization………………………………………… Why Create Derivatives …………………………………………

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Table of Contents

TopicPage

I. Securitization of Real Estate Debt

Types of Mortgages and Mortgage Mathematics……………….

Overview of Securitization…………………………………………

Why Create Derivatives …………………………………………

Clientele Effects ………………………………………………

Principle of Value Additivity ………………………………….

Ackerlof’s Market for Lemons ……………………………….

Options and Embedded Options in Mortgages……………….

Valuation of Mortgage Options ………………………………….

Modeling Prepayment ……………………………………………..

Mortgage Pass-Throughs (MPTs) ………………………………..

Collateralized Mortgage Obligations (CMOs) ………………….


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Table of Contents

TopicPage

Mortgage Pricing Models…………………………….…………….

Alternative Measures of Duration ………………………………

Option Adjusted Spreads (OAS) …………………………….

Alternative Measures of Convexity ……………………………...

Other Types of CMOs ………………………………………………

Planned Amortization Classes (PACs) …………………………

Target Amortization Classes (PACs) ……………………………

Floater and Inverse Floater ……………………………………….

Private Label CMOs …………………………………………………

Credit Enhancement Techniques ……………………………….

Senior-Subordinate Structure ……………………………………


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Table of Contents

TopicPage

Private Label CMOs (continued)

Senior-Subordinate Structure (continued)…………………..…..

Shifting (Ownership) Interest Structure ………………………

Allocating Losses: Waterfall and Direct Writeoff Methods…..

Mortgage Defaults …………………………………………………

Credit Scores ……………………………………………………

Agency Ratings …………………….………………………………

Loss Severity and Credit Enhancement.…………………….

Commercial Mortgage-Backed Securities (CMBS) ………………

Introduction to Commercial Mortgages ………………………….

Characteristics of CMBS Securities ……………………………..

Credit Risk and Underwriting Ratios/Criteria ……………………

Structuring the Credit Support …………………………………….

Lessening Credit Risk ……………………………………………..


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Table of Contents

TopicPage

Commercial Mortgage-Backed Securities (continued)

Lessening Credit Risk ……………………………………………..

Role of the Servicer ………………………………………………..

Event Risk …………………………………………………………..

CMBS Pricing and Relative Valuation ……………………………..

Considerations in Pricing CMBS Securities ……………………..

CMBS Spreads ……………………………………………………..

Appropriate Benchmark for CMBS Spreads …………………….

CMBS Valuation Models …………………………………………..


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Table of Contents

TopicPage

II. Securitization of Real Estate Equity

Overview of Real Estate Equity Securitization ………………….

Real Estate Investment Trusts (REITS) ………………………….

Characteristics of REITs ………………………………………..

REIT Structures ……………………………………....………….

REIT Accounting …………………………………………………

The Games that REITs Play …………………………………

Appropriate Measures of Performance …………………….

Sarbanes-Oxley Act ………………………………………….

How REITs Grow ………………………………………………..


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Table of Contents

TopicPage

Real Estate Investment Trusts (REITS) ………………………….

REIT Capital Market Issues……………………………………….

Specialty Real Estate Finance Companies………………….

Captive Financing Affiliates …………………………………..

Equity Offerings and IPOs ……………………………………

Rating Agencies ………………………………………………..

REIT Mergers …………………………………………………...

REIT Valuation ……………………………………………………..


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Table of Contents

Topic Page

Commingled Real Estate Funds ………………………………………

Characteristics of CREFs …………………………………………….

NCREIF Calculation of CREF Returns …………………………….

Smoothing Bias and Correction for Bias …………………………..

PRISA Case Study ……………………………………………………

Relationship Between CREFs and REITs …………………………

CREFs as an Inflation Hedge …………………………………………

Secondary Market for CREFs ………………………………………

Real Estate Swaps …………………………………………………


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Table of Contents

Topic Page

Real Estate Limited Partnerships (RELPs)………………………….

Types of Offerings ……….….……………………………………… Regulation of Syndicates ……………………………………….

Cash Flow Mathematics of RELPs ………………………………..

Tools Used in Analyzing Partnerships………….………………… Quantitative Tools ………………………………………………… Qualitative Tools ………………………………….…………………

Secondary Market for RELPs ………………………………………..

Partnership Roll-Ups …………..…………………………………… Master Limited Partnerships………………………………………

Grading Roll-Ups ………………………………………………


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Table of Contents

Topic Page

Real Estate in a Mixed Asset Portfolio ………………………………

Dart Throwing Approach to Real Estate……………………………

Diversification by Property Type ……………………………………

Intra and Inter-City Diversification …………………………………

Qualitative Diversification Strategies………………………………

Nine Nations of North America …………………………………….

Economic Performance Zones (EPZ) ……………………………

Dominant Employment Categories (DEC) ………………………

Edge Cities ………………….………..……………………………

International Real Estate Securities ………………………………

Real Estate and the Asian Crisis ……………………………………


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