Synthesizes live macro signals into a composite CRE-lender-appetite score (0-100, higher = tighter standards). Proxy for the Federal Reserve's quarterly SLOOS survey on bank CRE lending standards. Contributing signals: real policy rate (SOFR - CPI, restrictive policy = tighter), 10Y Treasury level (higher pricing benchmark = more cautious), curve inversion (historically precedes credit contraction), CPI elevation (stagflation worry = banks pull back). Bands: accommodative (banks competing for deals), neutral (standard pricing), cautious (narrower pool, higher spreads), restrictive (credit contraction, deals struggle to refi). Combined with the deal's senior loan structure (term < hold = in-hold refi event), surfaces refi-window risk: deals with mid-hold refi events face amplified execution risk in tight conditions. Critical for evaluating the implicit refi exposure baked into the underwriting against the current credit environment.
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A day-by-day record of what landed in Underwrite, kept by hand. Page 15 of 23.
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Phase 3 begins: live market data overlay (FRED Treasury / SOFR / CPI / inflation expectations) + 18 more institutional analytics. Live macro frame, deal-vs-market positioning, deterministic engine guarantee preserved (Cherry Street regression byte-identical with seeded fallbacks). 90 modules shipped today.
Classic CRE finance metric: how strongly does the asset class respond to inflation through lease structure? Asset-class institutional betas: Multifamily 1.10x (annual mark-to-market), Industrial 1.15x (CPI-indexed escalators), Hotel 1.70x (daily pricing), Mixed-Use 0.90x, Retail 0.65x (5-10yr fixed escalations), Office 0.45x (7-15yr fixed escalations, worst pass-through). Hedge quality classifier synthesizes asset class beta with current CPI regime: natural-hedge (beta >=1.0 + rent growth >= CPI), partial-hedge (moderate pass-through), weak-hedge (rent lags CPI materially), capacity-mismatch (high CPI + low-beta asset = structural real-return compression regardless of operating execution). Cherry Street: Mixed-Use 0.90x beta, current CPI 3% (seeded), modeled rent growth 3% = partial-hedge, real rent growth flat. Material for LP allocators choosing asset class allocation in the current inflation regime.
Synthesizes the macro regime + cap rate comp library + forward rate environment into a single 'what should the exit cap be?' target, then compares to the deal's modeled exit cap. Base: current comp average for asset class × market. Plus regime adjustment: early-cycle -50 bps, mid-cycle -10 bps, late-cycle +75 bps, recession +150 bps, early-recovery -100 bps. Plus rate-shock adjustment when forward 10Y > spot 10Y by 100+ bps (curve forecasts rate-driven cap expansion). Positioning: below-target (aggressive cap compression assumed, IRR depends on macro support), near-target (reasonable for cycle), above-target (conservative cushion baked in). The single most-loaded assumption in CRE underwriting is the exit cap; this module makes its cycle-adjusted reasonableness explicit. Cherry Street: 6.5% modeled exit cap vs target ~7% (Ithaca Mixed-Use 7.0% comp avg, mid-cycle regime, no rate shock) = ~50 bps below target, modestly aggressive but within cycle range.
Per-market × asset-class new supply pipeline as % of existing inventory. Critical context for the rent growth thesis: a 4% rent growth assumption in a market with 8% supply pipeline is fundamentally fragile (oversupply suppresses rents); the same in a market with 1% supply is defensible. Bands: constrained (<1%, supply tailwind), balanced (1-3%, standard), moderate-oversupply (3-5%, headwind), heavy-oversupply (>5%, materially at risk). Plus net absorption trend (positive / balanced / negative) and 12-month forward delivery volume. Cross-references the deal's modeled rent growth against the supply environment and classifies consistency: supported (constrained + 3.5%+ rent growth), neutral, stressed (oversupply + aggressive rent), inconsistent (red flag, supply doesn't support thesis). Seeded library: 20 institutional metro × asset class combos covering Sunbelt oversupply concentrations (Austin MF 8.5%, Nashville 7.2%, Phoenix 6.8%) vs supply-constrained gateways (NYC MF 1.2%, SF 1.8%). Cherry Street (Ithaca NY MF Mixed-Use, 2.0-2.5% pipeline): balanced supply environment, 3% modeled rent growth = consistent. Production Phase 3 hooks into CoStar / Yardi Matrix / Witten Advisors live supply tracking.
Synthesizes live yield-curve shape, CPI level, SOFR, and inflation expectations into a single institutional cycle classifier: early-cycle expansion, mid-cycle, late-cycle / overheating, recession / risk-off, or early-recovery. Each regime carries an explicit cap-rate outlook (compressing / stable / expanding) and recommended hold strategy (lengthen / neutral / shorten). Signal table shows 2Y-10Y slope, CPI YoY, SOFR, real policy rate (SOFR - CPI). The IC underwrites every deal INTO a macro regime; surfacing the regime explicitly anchors the underwriting and exposes timing assumptions that are otherwise implicit. With seeded mid-2026 inputs (CPI 3%, flat curve, neutral real rate), defaults to mid-cycle framing.
Compares the deal's underwritten rent against the institutional rent comp library for the asset class × market tier. Routes by asset class: Multifamily / Mixed-Use → $/unit/month, Office / Retail / Industrial → $/SF/year, Hotel → handled via forthcoming hotel-ops ADR/RevPAR module. Surfaces positioning (below-market = conservative thesis with mark-to-market upside, in-band = standard, above-market = aggressive thesis needing justification), spread to comp midpoint, and the broker-quoted band. Seeded mid-2026 library covers NYC Gateway, SF, Austin, Dallas, Atlanta, Ithaca, and secondary/major defaults. Cherry Street: $2,400/unit/month vs Ithaca NY Mixed-Use comp band ($1,700-$2,900, midpoint $2,200) = in-band, ~9% above midpoint. Production Phase 3 integrates CoStar / Reonomy / Compstak rent feeds.
Per-market institutional metro fundamentals: population growth (YoY + 5Y trend), median household income, income growth YoY, unemployment rate, job growth. Composite fundamentals score (0-100) weighted across five signals (population 30%, income growth 25%, job growth 20%, unemployment 15%, 5Y trend 10%) with band classification: weakening / stable / growing / robust. Plain-English notes on dominant signals (e.g. 'population declining 0.5% YoY, secular headwind, rent growth thesis needs to lean on income / employment'). Seeded library covers 16 major US CRE metros. CRE returns are downstream of demographics: a 5% rent growth thesis in a market with -1% population is fundamentally suspect; the same in a market with +3% population is defensible. Production Phase 3 hooks into Census ACS, BLS QCEW, BEA regional data.
Replaces the engine's static 3% inflation assumption with live CPI and 5Y breakeven inflation expectations from FRED. The Phase 1 realReturns module uses a constant 3% to convert nominal IRR to real (purchasing-power) terms, fine for baseline but misleading at elevated CPI regimes. At 4.5% CPI, a 15% nominal IRR translates to ~10.0% real (vs 11.65% at 3%). This module surfaces three calibrations side-by-side: baseline (engine 3%), current CPI (live FRED last 12mo), forward expectations (5Y breakeven). Inflation regime classification (below-baseline / at-baseline / above-baseline / elevated) frames the diligence priority. LP allocators comparing returns across rate regimes need the live recalibration. Falls back to seeded fallback CPI when FRED unavailable; UI flags the source so the analyst sees provenance.
Uses the live Treasury yield curve to bootstrap implied 1-year forward rates at deal maturity, then projects a market-anchored institutional CRE refinance rate (forward 10Y + 225 bps typical non-recourse spread). Standard finance theory: forward rates embed the market's collective expectation of future short rates modulo term premium. Solved via: (1 + y_N+1)^(N+1) = (1 + y_N)^N × (1 + f_N). Surfaces implied 1Y forward rates at 1, 2, 5 years out and at deal hold maturity, plus the projected refi rate and bps change vs deal's current rate. Curve expectation classifier (rate-cuts-expected / rates-stable / rate-hikes-expected) based on 2Y-10Y slope. Not a prediction, a current-market read for stress testing the refi assumption against alternative scenarios. When FRED is unavailable, falls back to seeded mid-2026 curve; freshness flag carries through.
Combines the geographic risk overlay with the insurance load benchmark to forecast institutional premium trajectories over the hold. Standard engine assumes flat 2.5% expense growth; post-2024 climate-exposed markets routinely see 15-100% YoY premium jumps. This module layers a per-peril climate surcharge on top of baseline expense growth: hurricane >70 score = +6%/yr, wildfire >70 = +5%/yr, flood >70 = +4%/yr, earthquake >70 = +2.5%/yr; lower thresholds (40-70) get half-magnitude surcharges. Surcharge capped at 25%/yr to avoid runaway stacking. Surfaces year-by-year premium trajectory with the climate-adjusted growth, plus cumulative dollar gap vs flat-2.5% baseline (what the engine's underwriting is missing). Cherry Street (Ithaca NY): no climate uplift (low exposure across all perils), trajectory mirrors baseline. A Miami FL deal would show ~10%/yr combined surcharge for hurricane + flood; over 7 years that's $100k+ premium gap vs engine baseline. Material for institutional climate-adjusted IRR analysis. Calibrated against Munich Re / Swiss Re institutional renewal data.
Positions the deal's entry cap rate against the institutional comp library for its asset class × market tier. Seeded mid-2026 institutional band library covers NYC Gateway, SF, LA, Austin, Dallas, Atlanta, Ithaca, and secondary/major defaults across Multifamily, Mixed-Use, Office, Retail, Hotel, Industrial. Surfaces deal positioning (below-market / in-band / above-market), spread to comp average in basis points, broker-quoted $/unit or $/SF comp value, recent transaction count (comp depth), and data vintage. Cherry Street: 132 Cherry St Ithaca → matches the Ithaca NY Secondary Mixed-Use band (avg 7.0%, comp range 6.4-7.8%), deal entry cap 6.99% sits perfectly in-band. Production Phase 3 hooks into CoStar / Reonomy / Real Capital Analytics live transaction feeds; first iteration uses seeded institutional bands calibrated against publicly available broker reports.
Climate and catastrophe exposure profile for the deal's market. Per-peril scores (0-100) across hurricane, wildfire, flood, earthquake, tornado, heat stress, drought. Weighted composite with band classification (low / moderate / elevated / high). Weights calibrated to institutional CRE insurance pricing materiality (hurricane 25%, wildfire 20%, flood 20%, heat stress 15%, earthquake 10%, tornado 5%, drought 5%). Per-peril visual exposure bars + plain-English notes on the dominant perils. Seeded library covers Miami, Houston, Charleston, SF, LA, Seattle, Dallas, OKC, NYC, Boston, Ithaca, Chicago. Material for insurance market positioning and climate-adjusted hold-period risk. Production Phase 3 will pull live NOAA hurricane tracks, FEMA flood plain maps, USGS seismic hazard maps, and CAL FIRE wildfire perimeters per address.
First Phase 3 module: live macro frame surrounding the deal. Server-side fetcher at /api/market-data hits the FRED API for the Treasury yield curve (3M / 2Y / 5Y / 10Y / 30Y), SOFR, CPI year-over-year, and 5Y breakeven inflation expectations. The engine remains synchronous and deterministic; the snapshot is fetched at the request boundary, cached with TTL (30 min for rates, 6 hours for inflation), and passed into the new buildLiveMarketSnapshot module which derives deal-vs-macro deltas. Surfaces curve shape (inverted / flat / normal, historically a leading recession indicator), deal interest rate spread to SOFR (institutional floating-rate baseline), modeled rent growth vs inflation expectations (real rent thesis), and modeled expense growth vs CPI. Every data point carries provenance: live (fresh FRED fetch), stale (TTL expired, cached value served), or fallback (deterministic mid-2026 seed when no FRED_API_KEY or network fails). Cherry Street stays byte-identical in regression because seeded fallbacks match the existing hardcoded references in treasurySpread / realReturns / capitalMarketsBenchmark. Architectural foundation: lib/marketData/ adapter pattern, app/api/market-data/route.ts public endpoint, MemoView fetches once on mount.
New IC memo section: places the deal on a 2D IRR-vs-stdev grid and classifies into one of four institutional positioning quadrants. Thresholds: 14% IRR (value-add hurdle midpoint), 4% stdev (well-bounded dispersion). GEM (high return + low risk, rare and scarcity-priced, Insurance / Pension / REIT fit), OPPORTUNITY (high return + high risk, classic value-add / opportunistic, Opportunity Funds / Value-Add Specialists), CORE (modest return + low risk, yield-driven, Insurance / Pension / REIT), PASS (modest return + high risk, mispriced, LP should reprice or pass). Each quadrant maps to LP archetypes that strictly allocate by quadrant. Visual 2x2 grid highlights the deal's quadrant cell. Cherry Street: OPPORTUNITY quadrant (15.3% IRR + 2.7% stdev, actually edges toward GEM with the tight dispersion). Sharpe-like ratio shown for quick reference (IRR - 5%) / stdev.
New IC memo section: places the deal's projected IRR alongside institutional benchmark returns across the asset-class spectrum. 10Y Treasury 4.5%, BBB Corporate 5.5%, BB Corporate 7.5%, Private CRE Core (NCREIF) 8.5%, Public REITs (FTSE NAREIT) 9.5%, S&P 500 10%, Private CRE Value-Add 14%, Private CRE Opportunistic 18%. The single-asset illiquidity premium (deal IRR - public REIT IRR) is the key institutional metric: tells LPs whether holding this single private deal justifies the illiquidity vs buying a diversified REIT index. Bands: thin (<300 bps, LP could buy a REIT instead), standard (300-500), strong (>500, captures real illiquidity / control benefits). Ladder position classifies the deal into the closest tier (credit / public-equity / private-core / value-add / opportunistic). CRE's institutional value proposition is the spread to public markets; if the deal doesn't earn it, LP should reprice. Cherry Street: 15.3% IRR sits in the value-add tier, ~580 bps illiquidity premium over public REITs, strong premium positioning.