Private commercial mortgages held by life insurance companies posted a 0.26 percent total return for second quarter 2008, according to the LifeComps Commercial Mortgage Index. The positive return followed a 0.82 percent gain in first quarter 2008.
Of total return in the second quarter, 1.51 percent was income return and -1.25 percent was price return. The negative price return resulted from higher treasury yields, which overrode declines in mortgage spreads during the quarter.
For the twelve months ended June 30, 2008, total return was 6.15 percent, of which 6.52 percent was income return and -0.37 percent was price return. The property type with the highest total return over the prior 12 months was office with a 6.35 percent return.
Commercial Mortgage Loan
Total Returns by Property Type as of 6/30/08
Quarter YTD 12 months
Apartment 0.59% 0.77% 5.91%
Office 0.24% 1.35% 6.35%
Retail 0.26% 0.92% 5.98%
Industrial -0.05% 1.20% 6.30%
Total 0.26% 1.09% 6.15%
The LifeComps Commercial Mortgage Index is the only published benchmark for the private commercial mortgage market based on actual cash flow data, which has been collected quarterly from participating life insurance companies since 1996. LifeComps originated following the real estate recession of the early 1990s when a group of major life insurer companies resolved to build the first database to capture commercial real estate whole loan performance over time. Participating life insurers include Allstate Life Insurance Company, CIGNA Investment Management, The Equitable, John Hancock, Nationwide, Northwestern Mutual, Principal Financial and Prudential Insurance Company of America.
Active loans in the LifeComps Index number 6,700 with an aggregate principal balance of approximately $85.5 billion and market value of $84.9 billion. The weighted average duration is 4.42 years, and average loan-to-value is 55.3 percent.
Since its inception, the LifeComps database has tracked individual cash flows on more than 11,500 loans with principal balances totaling in excess of $155 billion. More than 4,600 loans totaling $61 billion have been tracked from origination to disposition.
The LifeComps Index is published quarterly, 60 days after the end of each quarter in compliance with antitrust guidelines determined by counsel. LifeComps participants receive detailed quarterly reports that provide commercial mortgage performance statistics including total return, cash yield, default, and basis point loss for their portfolio versus the LifeComps total portfolio as well as attribution analysis showing performance contribution by property type, region, loan size and origination year. For more information, visit http://www.lifecomps.com/.
First Call Analyst:
CONTACT: Northwestern Mutual Media Relations, 1-800-323-7033,
firstname.lastname@example.org, for LifeComps
Web site: http://www.lifecomps.com/