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S&P Case-Shiller&#174 Home Price Indices
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According to Federal Reserve statistics, the aggregate value of U.S. residential real estate assets held by households and non-profit organizations was $21.6 trillion at the end of 2005. In the U.S., the scale of the housing asset class market capitalization is significantly larger than that of stocks, and rivals that of fixed income securities (including money market and bond instruments).

Yet, up until 2006, individuals and institutions seeking means to gain or hedge U.S. residential real estate exposure could do so only indirectly and/or via inefficient marketplaces. For example, the most common residential real estate investment is the purchase of one or more homes, transactions that are both time-consuming and transaction cost-laden. One can also invest in one or more real estate investment trusts (REITs). However, typically these vehicles track the performance of a specific portfolio (or index) of commercial real estate properties.

OTC markets for S&P/Case-Shiller® Home Price Index-linked financial instruments - such as those for swaps and index-linked notes - have already begun to take shape. For housing, the patented MacroShares® product structure will involve a pair of securities, one of which has cash flow and returns driven by upward performance of a selected residential real estate market, the other of which has cash flow and returns driven by downward performance of that same market (as measured by an S&P/CSI).

The S&P/Case-Shiller Metro Area Home Price Indices are based upon these major housing markets:
    › Atlanta
    › Boston
    › Charlotte
    › Chicago
    › Cleveland
    › Dallas
    › Denver
    › Detroit
    › Las Vegas
    › Los Angeles
    › Miami
    › Minneapolis
    › New York
    › Phoenix
    › Portland
    › San Diego
    › San Francisco
    › Seattle
    › Tampa
    › Washington D.C.
 In addition, market capitalization-weighted composite indices of 10 and 20 of the above markets, as well as a similarly weighted U.S. national index, have been created and are tradable. For more information regarding the definition of the above geographic areas, please click here.
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