Which Agency CMBS program requires the lender to retain some of the guarantee risk in event of default?

1. FNMA DUS
2. Freddie K
3. SBIC
4. GNMA Project Loans

What is the combined issuance cap for Fannie and Freddie in CMBS in 2023?

1. 75bn
2. 100bn
3. 150bn
4. There is no cap

Which of the following is not a requirement for federal corporate income tax exemption of a REIT.

1. Have a minimum of 100 shareholders.
2. Have at least 90% of assets in real estate, cash or government securities.
3. Distribute at least 90% of taxable net income as distributions to shareholders.
4. Be managed by a board of directors or trustees.

Consider a 100mm CMBS loan with a 10yr term, 3.50 note rate and full term interest only. If the loan has 9.5 years of yield maintenance and 10yr US Treasury yields at 4.50%, what would you expect the borrower to pay as a premium in order to prepay the loan?

1. 10mm
2. 5mm
3. 3.5mm
4. Nothing

Which CMBS sector securitizes primarily first lien bridge loans on transitional properties?

1. Conduit CMBS
2. FNMA DUS
3. CRE CLO
4. Freddie K

Consider a conduit CMBS deal off 1bn in underlying loans. The lowest rated Mezz bonds (class C) have 12% credit support. If 200mm in underlying loans default, what is the highest loss severity that can be realized before class C begins to take losses?

1. 40%
2. 60%
3. 20%
4. 75%

Which of the following is considered a benefit of REIT equity as an investment?

1. Diversification of Assets
2. High Dividends
3. High Liquidity
4. All of the above

Over the last few years, how has the percentage of bonds guaranteed by Freddie Mac in a standard K deal changed?

1. Increased
2. Decreased
3. Stayed the Same
4. Not enough information to answer

Which Agency has a dedicated construction loan program?

1. FNMA
2. SBA
3. GNMA
4. Freddie Mac

What was the major change to REIT regulation introduced by the Tax Reform Act of 1986?

1. Decreased the percentage of income required to come from real estate.
2. Increased the percentage of taxable income required to be distributed to shareholders.
3. Relaxed reporting requirements for REITs to IPO.
4. Allowed REITs to also manage and operate the properties they own.

Question 1

For this question please consider a 10yr Fixed rate K deal with 1bn in underlying loans. All loans are 10yr term with 9.75 years of defeasance. For simplicity assume the super seniors A1/A2 is just one class (Class A).

Please illustrate the payment and loss waterfalls on the 3 classes (Class A, AM, D)?

Assuming the standard post-covid structure, what sizes would you expect the different classes to be (A, AM, D)?

Assume the deal experiences 50mm in defaults with with 18% loss severity. What losses would class D take? What payments would Class A receive?

Assume instead that the deal receives 200mm in voluntary prepayments. What is the defeasance adjusted credit support of the AM class now?

Question 2

How has the median discount to NAV of large cap REIT stocks changed over the last year? Which sectors are trading at the largest discount to NAV?

What are some of the reasons for the changes described in part I over the last year? Based on the answer to part I are the cap rates implied by the REIT equity market higher or lower than prevailing cap rates in the real estate market?