RES 3400
3/14/2016
CMOs: Collateralized mortgage obligations. These are bonds that represent specific claims to specific
cash flows from large pools of mortgages. Portions of interest and principal pa
Prof. MingMing
05/11/16
How does Mortgage Pass Through Security Work?
Pool the Asset:
For example, I want to buy a house. I need to get a mortgage from the bank. The bank
transfers the money into my a
CMBS Exam Question
Given a pool with the following characteristics:
20 interestonly (IO) loans, each loan is for $15M, 6.5% interest rate, 3 year maturity,
each has initial LTV of 75%
A 25% pari pass
Problem Set 2
Solutions
RES 3400
9/21/2016
Question 1
In the Freddie Mac new offering (KF20) of structured passthrough
certificates, what is the WAL of the Class A certificates? (Express your
answe
RES 3400
Real Estate Capital Markets
Exam #1, Fall 2016
Instructor: Meagan McCollum
Department of Real Estate
Baruch College
October 19, 2016
Name:
Do NOT open this exam before instructed to do so.
In
Res 3400.
1) What rate would you need on a mortgage to be equivalent in rate to a 7.5% bond.
(1+EAR) = (1+APR/m)^m
(1+EAR) = (1+7.5/2)^2
EAR = 7.6%
APR = p*[(EAR+1)^(1/p) 1]
APR = 2 x [(.076+1)^(1/2)
RES 3400
Real Estate Capital Markets
Exam #1, Fall 2016
Instructor: Meagan McCollum
Department. of Real Estate
Baruch College
October 19, 2016
Name: AHSW Kt
Do NOT open this emam before instructed to
RES 3400
10/6/16
Next, we will discuss a different payment rule, using the same pool of mortgages. (This corresponds to
the Excel sheet posted on Blackboard)
Now we have the following payment rules:
A
RES 3400
Real Estate Capital Markets
Exam #1, Fall 2016
Instructor: Meagan McCollum
Department of Real Estate
Baruch College
November 21, 2016
Name:
Do NOT open this exam before instructed to do so.
I
Calculating Better Spreads
Spot Curve and Z
Spread
Spot Curve and Z Spread
Steps
Various calculations use zspreadsto calculate spreads as they are better indicators of return
than static spread over
COLLATERALIZED DEBT OBLIGATION
Arbitrage opportunity
Move off balance sheet
Pool of wholesale or retail loans
Use of synthetics
CDOS WHATS IN A NAME
CLO Collateralized loan obligation loans
CBO
CREDIT ENHANCEMENTS
Credit enhancements is a technique of adding protection to the
bond structure
Each structure is unique and therefore needs enhancements
tailored to its need.
Adding enhancements
STRUCTURING AGENCY DEALS
Collateral Mortgage Obligations CMO
Collateral Allows Prepayment
Could be benefit
Could be harm
Prepayment a borrower option
Lender can be hurt in both rate directions.
PREPA
VALUING OF MORTGAGE BACKED
SECURITIES
OAS option adjusted spread
Option adjusted duration
Option adjusted Convexity
OAS is a dynamic valuation process that looks at changes in Yield
based on changes
COLLATERALIZED DEBT OBLIGATION
Arbitrage opportunity
Move off balance sheet
Pool of wholesale or retail loans
Use of synthetics
CDOS WHATS IN A NAME
CLO Collateralized loan obligation loans
CBO
SECURITIZATION
The substitution of more efficient public capital markets for
less efficient, higher cost, financial intermediaries in the
funding of debt instruments. Kendall And Fishman
SECURITIZATI
Basic Math Questions
Property is generating 1.7 million in PGI (assume no vacancy) and NOI of 1 million. It is
being bought based on a cap rate derived from question 6. The purchaser will obtain a
mor
254 Mt. Prospect Avenue
Newark, NJ
June 23, 2008
Page 21
REGIONAL LOCATION MAPS
M ET ROP OL IT A N
R E A L
E S T A T E
VA L U A T I O N
C O N S U L T I N G
A N D
S ERVICES
A P P R A I S A L
254 Mt. Pr
Real
Estate
Valuation
(RES 3300)
Chapter 3 Market Area and Neighborhood Analysis
What is Market Analysis?
Generally the purpose of a market analysis is to analyze and make
judgments concerning the fut
Real
Estate
Valuation
(RES 3300)
Chapter 8 Income Capitalization Approach
Income Approach in the Valuation Process
Value determined as present value of future benefits (cash flows)
Reliability of prop
Real
Estate
Valuation
(RES 3300)
Chapter 4 Site and Improvements
Description and
Analysis
Legal Description
Metes and bounds are used throughout the United
States
Elsewhere the government or rectangul
Real
Estate
Valuation
(RES 3300)
Chapter 5 Compound Interest and Discount Factors
The FourQuadrants of Real Estate Finance
RE Valuation Chapter 5
Equity
Equity
(e.g., Down Payment)
(e.g., REITs and R
Real
Estate
Valuation
(RES 3300)
Chapter 2 Appraisal Principles and Highest and Best
Use Analysis
A Role of Real Estate
Just a few years ago, economists thought  as they did in 1929
that rising real
Real
Estate
Valuation
(RES 3300)
Short Paper Assignment
Now Lets Get Personal Some Guidance
Describe the property across the street from where you live?
What type of land use?
Who occupies the propert
Mortgage Pass Through Security
Data Input Box:
Number of mortgages in initial pool
Average mortgage balance
Initial mortgage pool balance
Prepayment rate
Mortgage rate
Servicing and Guarantee Fee
Coup
Default

Generally, occurs for loans that are 90+ days delinquent
Measures: OTS and MBA
OTS (office and Thrift Supervision)
Payment due29 day overdue: current
30~50 day: 30 days delinquent
60~90 day
Baruch College, CUNY
Zicklin School of Business
William Newman Department of Real Estate
Real Estate Capital Markets
RES 3400, 3 Credits (Fall 2017)
Instructor: Andi Cupallari
Email: acu
Additional Practice Questions Final Exam
*Review Exams 1 & 2 as well as extra practice questions for exams 1 & 2. Solutions included on pages
after the questions.
1. A REITs 10Q shows the following in
Problem Set 6: Solutions
RES 3200
5/10/2017
Problem 1
You wish to purchase an office building that has an asking
price of $8,000,000. The projected NOI in year 1 is $700,000
and the NOI growth rate wi
Question 1
If a CMO has 3 tranches, A, B, and Z (an accrual tranche), as well as a
residual class, answer the following question?
If the prepayment on a pool of mortgages decreases from CPR 10% to
C