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.
What shipped, and when.
A day-by-day record of what landed in Underwrite, kept by hand. Page 16 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.
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.
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.
New IC memo section: composite 0-100 score grading how aggressive vs conservative the deal's assumptions are vs institutional market norms. Six dimensions each scored 0-15: rent growth (2.5% baseline), exit cap spread (entry → exit shift, positive = expansion = conservative), expense vs rent growth (margin expansion thesis), vacancy underwriting (per-asset-class typical band), LTV (65% baseline), hold period (5-7 institutional baseline). Plus 10-point cushion bonus when no individual assumption flags aggressive. Bands: very-conservative (85+, lender-favorite), balanced (70-84, standard IC quality), aggressive (55-69, deal needs assumptions to hold), very-aggressive (<55, market-timing bet). Per-dimension table shows framing + rationale for each input. Cherry Street: ~78/100 balanced (rent growth neutral at 3%, exit cap compression aggressive at -50 bps, LTV neutral at 65%, hold neutral at 7yr). Anticipates the IC question 'how aggressive is the underwriting?' with an explicit grade. Headline IRR is a function of assumptions; a 15% IRR built on aggressive assumptions is fundamentally riskier than the same IRR with conservative cushion.
New IC memo section: the LP-side 'how much skin in the game does this sponsor have?' analysis. Sums GP coinvest contribution + estimated at-risk fees (50% of acquisition fee, 30% of asset mgmt, 100% of disposition typical LP-friendly institutional structure) to get total sponsor dollar exposure. Skin-in-game ratio = exposure / LP commitment. Bands: thin (<5%, fee-only sponsors, weak alignment), standard (5-15%, typical CRE structure), strong (15-25%, well-capitalized sponsor), deep (>25%, sponsor acting as principal: family office or single-LP structures). Reframes the LP-vs-GP relationship from 'how much promote does GP earn' to 'how much GP capital is at risk', a more honest framing for diligence. Cherry Street (no coinvest configured): thin alignment, ~$132k at-risk fees only, recommendation: press for GP coinvest. Reuses sponsorFees module's fee breakdown.
New IC memo section: 0-100 composite synthesizing operating fundamentals into a single 'how good is this NOI?' number. Distinct from headline NOI dollar amount or growth rate: those tell you magnitude and trajectory, but not quality. Four dimensions each scored 0-25: margin trend (expanding/stable/compressing), cash flow stability (year-over-year CF variability via coefficient of variation), tenant concentration (rent-roll diversification, N/A for aggregate-revenue deals), operating leverage resilience (NOI sensitivity to revenue from buildOperatingLeverage). Bands: institutional-grade (85+, insurance / pension allocator quality), standard (70-84, typical CRE), concerns (50-69, underwriting cushion required), weak (<50, high execution / volatility risk). Cherry Street: ~90/100 institutional-grade (stable margin, very stable CF, no rent roll concentration, moderate operating leverage). The right metric for LP allocators comparing deals on operating quality rather than headline IRR alone.
New IC memo section: for sponsors planning multi-deal pipelines, the year by which cumulative distributions equal initial contribution (= 'recycling point' when capital can be deployed into the next deal). Both LP and GP velocity surfaced. On most CRE deals recycling happens at exit (typical 65% LTV structures don't return full equity in 5-7 years from operations alone). Pre-exit recycling = high-yield core stabilized acquisition or low leverage. GP recycling is typically faster than LP when coinvest + promote are active; the promote amplifies GP returns relative to contribution. Cherry Street: LP recycles at Y7 (exit, classic CRE pattern). Year-by-year cumulative vs contribution table with hit-threshold cells flagged in gold. Useful for GP fund-level capital deployment planning and for LP allocators thinking about liquidity timing.
New IC memo section: quantifies the IRR impact of disposition costs at exit (broker fees, transfer tax, legal, escrow, marketing). Re-runs the engine with 0% selling costs to get the counterfactual gross IRR, compares to the user's input net IRR; the delta is the drag in basis points. Bands: light (<100 bps), typical (100-200, US institutional baseline at 2-3% selling cost), heavy (200-300, high-transfer-tax jurisdictions like NYC mansion tax), very-heavy (>300, specialty assets). Cherry Street: 2.5% selling cost = ~75 bps drag on a $13M+ implied exit value, ~$331k of dollar friction. Important because sponsors often quote net IRR but compare to industry pre-friction benchmarks; surfacing the gross IRR and dollar friction makes the comparison honest.
New IC memo section: surfaces whether the deal's projected IRR clears the institutional LP hurdle for its lifecycle stage. Institutional bands drawn from 30+ years of CRE return data: stabilized acquisition 8-10%, lease-up 10-13%, value-add 13-17%, repositioning 17-22%, ground-up 20-28%. A 12% IRR on a stabilized deal is great (above band); the same 12% on a ground-up deal is mediocre (below band). Status flags: above-band (strong, above institutional norm), in-band (fair, standard positioning), below-band (tight, repricing or restructure needed), well-below-band (mispriced for risk, requires non-standard LP). Cherry Street: stabilized acquisition stage, 15.34% projected vs 8-10% institutional hurdle = above-band, strong relative positioning. The right risk-adjusted comparison vs a flat benchmark like 10Y Treasury: accounts for the LP-expected return for the deal's specific risk profile.
New IC memo section: single-tag classification placing the deal on the institutional CRE lifecycle spectrum based on operating fundamentals (Y1 vs stabilized NOI) and cost structure (capex load, lease-up years). Five stages: stabilized acquisition (Y1 NOI within 5% of stabilized, capex <5%), lease-up (occupancy ramp), value-add (10-25% capex, 15%+ NOI uplift), repositioning (25-50% capex, change of use), ground-up development (cost >=50% above purchase price). Each stage maps to a typical LP archetype (Insurance/Pension Core for stabilized; Value-Add Funds for value-add; Opportunity Funds for repositioning and ground-up). Cherry Street prints 'stabilized acquisition': Y1 NOI within 5% of stabilized, ~2.8% capex load. Useful for portfolio managers categorizing pipeline and LPs matching mandate.
New IC memo section: structural difference between two institutional sizing metrics. LTV = loan / appraised value; LTC = loan / total project cost (acquisition basis + closing friction + capex). On vanilla acquisitions LTC and LTV sit within a few hundred bps of each other. On value-add and ground-up deals they diverge dramatically; total cost includes capex above acquisition, so LTV looks lenient relative to LTC. Bands: acquisition (capex <5% of value, LTC ~= LTV), light-value-add (5-15%), heavy-value-add (15-40%, LTC is the operative constraint), ground-up (>40%, LTV largely meaningless until built). Cherry Street: LTV 65%, LTC ~63%, 200 bps gap, standard acquisition. The right framing depends on deal type: acquisition LPs care about LTV (asset coverage); value-add and construction lenders price against LTC (cost-loaded exposure).
New IC memo section: one of the most-asked institutional questions surfaced explicitly. Decomposes the headline IRR into four counterfactuals: base (NOI grows + cap shifts), compression-only (NOI flat, cap shifts), growth-only (NOI grows, cap flat), and no-thesis (neither). The deltas isolate each driver's contribution in basis points. Framing classification: growth-driven (NOI > 60%, defensible), balanced (40-60%, standard), compression-dependent (cap > 60%, market-timing risk), compression-only (red flag: NOI flat or compressing, all returns from cap movement). Cherry Street: ~70% growth-driven thesis on the entry cap 7.0% → exit cap 6.5% spread. Inline stacked bar visualizes the split. The classification matters because cap rates are market-driven and outside sponsor control, while NOI growth is the operational thesis sponsors can actually defend.