Optional Re-grading of CMBS Case

Hi everyone,

There was an error in how I graded the second and third parts of Question 4 in the CMBS case. It has to do with whether Treasury bonds or swaps are used as the risk-free rate when pricing the value of the securities that comprise the CMBS issue. I have met with Prof. Geltner, and we have gone over the correct solution for the problem.

If you would like to have your team's Question 4 re-graded, please do the following two things (BY THIS FRIDAY, 4/14, AT 5 PM -- NO EXCEPTIONS):

1) Resubmit your CMBS assignment (the original, with my red ink on it) in my CRE mail folder -- it's in the common room with the lockers, right next to the main office.

2) E-mail me your team's spreadsheet with the calculations for Question 4.

Note that I will NOT lower anyone's grade from what it was, but I may increase it if I conclude that you indeed did Question 4 correctly. I will redo the grading for Question 4 over the weekend for those teams that resubmit their assignments, and then turn the grades back in to Prof. Geltner. Naturally, If you choose to not resubmit your assignment, then there will be no change to your grade.

Thank you and sorry for the confusion.

Jake

Announced on 11 April 2006  3:43  p.m. by Jake Wegmann

CMBS Cases are Back

Hello everyone,

The CMBS cases are graded. I have submitted the raw scores from the three assignments to Prof. Geltner, and he will determine your final course grade.

For each group that had at least one CRE member, I have placed the graded assignment in the CRE mail folder of one of the members of that group. So if you're in a group with CRE people, encourage them to check their mail folders.

Meanwhile, for those groups that did not have any CRE members, I have left the CMBS assignments with Jennifer Boyles at the front desk of the CRE offices.

Thanks, and have a good rest of the semester.

Jake

Announced on 05 April 2006  11:02  a.m. by Jake Wegmann

Ciochetti Papers up on Stellar

Hi everyone,

For those interested in getting more background related to Prof. Ciochetti's discussion on commercial mortgages this afternoon, four of his papers (all of which he referred to during class) have been posted on the Stellar class website. They can be found under "Resources" as "Ciochetti Paper 1" through 4.

Jake

Announced on 22 March 2006  1:22  a.m. by Jake Wegmann

CMBS Case Question

Hello everyone,

A question came up a couple of times on the CMBS case. I have copied it below. The answer is to use "EndMonth-BegMonth+1" instead of "EndMonth-BegMonth" as the case says.

Thanks to Sara Y and Chip W for pointing this out.

Jake

"On exercise 3, deliverable 1, the directions tell us to use the PMT function with the period equal to 'EndWindowMonth-BegWindowMonth'. The problem is that this results in zero in all the cases that have one month payoff periods (for example, A-J tranch has beginning and ending window of 119). Excel does not like this and returns the #DIV/0 message. I assume that we should use 'EndMonth-BegMonth+1', as this seems more logical at any rate. I wanted to ask because the directions are kind of specific, and I wanted to make sure I wasn't missing something."

Announced on 20 March 2006  12:55  a.m. by Jake Wegmann

Get Your CMBS Case Group Set Up!

Hi everyone,

Don't delay -- get your five-person CMBS case group set up as soon as possible if you haven't already. Remember, the case is due in class on 3/23 (a week from this upcoming Thursday).

Let me know if you're looking for a team, or if you have a team and need more people. There is at least one team that is looking for a 4th and 5th member, and I can put you in touch.

Thanks,
Jake

Announced on 14 March 2006  5:07  p.m. by Jake Wegmann