RES 9850 Real Estate Capital Market

Instructor:

Professor Rui Yao

Telephone:

Fax:

646-660-6934

646-660-6931

Instructor’s

E-Mail:

Rui_Yao@Baruch.Cuny.Edu

Course

Website:

http://faculty.baruch.cuny.edu/ryao/RES9850/

Office:

C-407, 137 E 22nd Street

Office

Hour:

5:45 - 7:15 PM T TH or by appointment

Classroom:

VC 11-211

Class Hours:

T TH 7:30-8:45 PM

 

Course Objective: 

The objective of this course is to provide an integrated framework for understanding the mechanism of financial market as it is related to the real estate capital market. The course will emphasize rigorous quantitative analysis, as well as intuition and insight, in order to foster students' interests and skills in applying economic and financial theory to real estate applications. The materials to be covered include:

   Fixed-income mathematics

   Mortgage Backed Securities

   Real Estate Investment Trusts

   Real Estate as an Asset Class in a Portfolio

Course Materials: 

In this course, teaching materials are drawn from several books, research articles, newspapers, and periodicals. Readings will be assigned for each class.

Required reading:

         Lecture Notes: Available over the course website for downloading before the lecture

         Textbook:

(BF) Real Estate Finance and Investments by William B. Brueggeman and Jeffrey D. Fisher, 13th Edition, McGraw-Hill Irwin.

(F) Bond Markets, Analysis, and Strategies by Frank J. Fabozzi, latest Edition, Pearson / Prentice Hall (required)

(DSWC) Securitization – Structuring and Investment Analysis by Davidson, Sanders, Wolff and Ching, Wiley Finance.

Recommended books, periodicals, newspapers and websites:

        Barrons

        Wall Street Journal

         Mortgage Professors

         www.mortgagenewsdaily.com/

Prerequisites

The course draws heavily from students' background knowledge in accounting, finance, economics and spreadsheet applications.

FIN 9770 or RES 9776 is required as a prerequisite.

Grading Policy:

Course requirements include class participation, quizzes, homework assignments, two midterms and a final exam. The final grade will be based on the overall performance of the students. The distribution is as follows:

Final grade = 10% Classroom participation / presentation + 20% Homework assignments

+ 15% Min {1st midterm, 2nd midterm} + 25% Max {1st midterm, 2nd midterm}

+ 30% Final (take-home) Exam

Homework is due before the start of the class on the due date. No late assignment will be accepted. Missed quizzes cannot be made up. The midterms and the final will be close-book. While the quizzes and midterm cover the material studied in the previous classes, the final exam will be cumulative and comprehensive. No makeup exams will be given, except for medical emergency as proved by a written note from a doctor with contact information for verification.

Your class participation grade is decided by attendance and classroom discussion. Attendance is mandatory. If you have to miss a class, you are responsible for getting the handouts and lecture notes from your classmates or the course website. To encourage and monitor attendance, signup sheet and/or pop quiz will be periodically handed out in class. Coming late or leaving earlier when the class is in session – before or after the quiz or signup sheets are handed out or collected – will be counted as one absence. Please also kindly turn off cell phone and beeper while the class is in session.

As a part of your classroom participation grade, each student is required to write a one-page note on the current development of financial market and its potential implication on real estate market. Please also email me the note BEFORE the class.

Important: if you accumulated more than five (5) absences, you will receive a WU for the course at the instructor’s discretion.

Academic Integrity

Academic dishonesty is unacceptable and will not be tolerated. Cheating, forgery, plagiarism and collusion in dishonest acts undermine the college's educational mission and the students' personal and intellectual growth. Any student who attempts to compromise or devalue the academic process will be sanctioned. A report of suspected academic dishonesty will be sent to the Office of the Dean of Students.

 

Additional information and definitions can be found at: http://www.baruch.cuny.edu/academic/academic_honesty.html

 

Course Outline: 

(Note: BF stands for the Brueggeman and Fisher textbook, DSWC stands for the “Securitization” textbook, and F stands for Fabozzi textbook)

Class

Topic

Reading

Note

1

Course Overview

Syllabus

 

2

Bond Math and Interest Rate Reviews

BF2

Notes

3

PV, FV, PVA, FVA and Bond Pricing

F1-5

Duration and Convexity Notes

4

Duration and Convexity

DSWC7, F29

Duration_example

Option_Pricing_Example

5

Interest-Rate Swaps

 

Term Structure Notes

6

 

BF4-5, DSWC5, F10

Zero spread sheet

7

Mortgage Basics - Residential Mortgages

 

Interest Rate Swap spreadsheet

8

Mortgage Basics - Commercial Mortgage

BF12, DSWC22

 

9

 

 

 

10

Review Session (time permits), Midterm Exam I

Practice Midterm I

FRM Spread Sheet

11

 

MT1_Real_Soultion

ARM Spread Sheet

12

Mortgage Pass-Through Securities

BF19, DSWC6, 8, F11

MBS Note

13

 

 

MPT Note

14

Collateralized Mortgage Obligations

 

MPT_Excel

15

 

BF20, DSWC9

 

16

Collateralized Mortgage Obligations, IOs and POs

 

CMO Excel –Sequential Payment

17

 

DSWC11

CMO Excel – Accrual Tranche

18

 

 

 

19

Review Session (time permits) Midterm Exam II

MT2

 

20

 

 

CMO Excel – Floater and Inverse Floater

22

Non-Agency MBS and Credit Risk

DSWC15, 16

 

22

 

 

 

23

Commercial Mortgage Backed Securities

F13, DSWC23

 

24

 

 

CMO Excel – IO

CMO Excel – PO

25

Real Estate Investment Trusts

BF21, DSWC24

 

26

 

 

CMO4 Excel – Planned Amortization Class

27

Real Estate Portfolio Considerations

BF22

 

28

Review Session (Time permits)

 

 

Final Exam (TBD)

 

 

Take_Home_Final_Exam

 

Copyright 2011-2012, Prof. Rui Yao, Last Updated: Jan 31, 2012