11.432/15.427  Real Estate Capital Markets

See Materials "Resources" section.

I have posted some very detailed information about major life insurance companies' investment portfolios, sent to us by Sam Davis in response to my query, stimulated by student questions in the Module 2 Forum. See my most recent post in the "Life Insurance Firms as Commercial RE Lenders" thread initiated by Chris Wholey.

I have posted the slides from Brad Case, our guest lecturer for tomorrow, entitled: "Investing in Real Estate Through REITs". (See Materials page, Lecture Notes.) Brad is head of research & information for NAREIT, and I know he will welcome a lively exchange in class tomorrow.

I have posted a "CMBX Primer" to the Resources section of the course Stellar site. Thanks go to John Fitzpatrick, Sam Davis' "CMBS guy", for sending this to us. As you will see by the vintage name on the cover ("Lehman Bros" - gone with the wind...), this primer is a bit old, but I think it's still quite relevant.

Regarding who is the "short" and who is the "long", John Fitzpatrick in his email to me clearly refers to the protection BUYER as the "short", and the Primer also seems to suggest this by saying that "the buyer of protection is 'short' the credit risk." I believe this is what I said in class yesterday, but it is opposite to how I had labeled the parties in the "CMBX Pricing" lecture notes I had posted. So I have now revised those lecture notes, now labeling the buyer of protection (BoP) as the "short" position. However, I still think it's a bit ambiguous, as the Primer also states: "The quoting convention for CMBX is similar to that of CDX, but opposite to that of ABX. In CMBX, buyers of the index are buyers of protection, while sellers of the index are sellers of protection." Thus, we seem to have the confusing situation in which the party of who is "long" the index (buying the index) is nevertheless "short" the thing that is being traded (credit risk) and referred to as the "short" party. (And this is apparently opposite to how it is done in the housing-based ABX market.) I notice that in the Primer they tend not to use the labels "short" and "long" but rather to refer to the "BoP" (Buyer of Protection) and "SoP" (Seller of Protection), no doubt so as to avoid this confusion!

See the Materials "Resources" section, near the bottom.