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    • 2011 Q3
 

The LifeComps Index™ for 2011 Q3

The LifeComps Aggregate Portfolio returns for the quarter ending 9/30/2011 are:

 QuarterRolling Four Quarters
Total Return:2.702%8.506%
Income Return:1.459%6.096%
Price Return:1.244%2.411%
Cash Yield:1.527%6.325%
 
Principal Balance ($B):$88.87 
Ending No. Loans:4,980 
Wtd. Avg. Duration:4.07 

Yield curve
As is true for all fixed income instruments, mortgage loan market values move inversely with interest rates, affecting both the price (appreciation) return and the total return.

For 3rd quarter 2011, the downward shift in the yield curve from 2nd quarter 2011 levels along with market issues and resulted in an overall price return of 1.244% for the portfolio.
 
Formulas
LifeComps calculates total return using the Modified Dietz methodology. Rolling four quarters figures are the compounded latest four quarters returns.


LifeComps - Quarterly Report Set Available to Participants

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