December 9, 2003
FIRST EVER COMMERCIAL MORTGAGE WHOLE LOAN INDEX BASED ON ACTUAL
PERFORMANCE DATA
LifeComps Announces New Investment Benchmark
Boston, MA, December 9, 2003 -- A new index providing never before published
performance data for the commercial real estate mortgage asset class
was announced today by a consortium of life insurance companies. The LifeComps Commercial Mortgage Index is the first and only published
benchmark for the large private commercial mortgage market based on
actual historical data that enables investors to compare their
commercial mortgage loan performance with the market aggregate as
well as other investment asset classes.
The LifeComps Index is published quarterly, 60 days after the end
of each quarter, in compliance with antitrust guidelines determined
by counsel. Results for the third quarter 2003 show that total
return for the quarter was -.581% comprised of 1.681% income and a
negative price return of -2.263%. The weighted average duration was
4.27 years. The rolling four quarters (10/1/2002 through 9/30/2003)
total return was 6.349% of which 7.127% was income and -.779%
price return. The negative price return is due to an increase in
intermediate and short term U.S. Treasury yields over the period.
The LifeComps Commercial Mortgage Index was created in 1996 after
five major life insurance company investors - The Equitable, John
Hancock, Northwestern Mutual, Principal Financial, and Prudential
Insurance Company of America - resolved to build the first robust
database to capture commercial real estate whole loan performance
data over time. LifeComps started collecting data from participants
in 1997, and three more companies, Allstate Life Insurance Company,
Connecticut General, and Guardian Life, have since elected to
participate.
Tom Jensen, Senior Portfolio Manager at Allstate, and Chairperson
of LifeComps, explains, ‘The private commercial mortgage industry
needs a performance index based upon actual cash flows. The
LifeComps Index provides a long-term benchmark that will allow the
commercial mortgage asset class to mature and be better understood
by investors in commercial mortgage whole loans, as well the
numerous interested parties that inquire as to the credit aspects of
holding these investments.’
The LifeComps Commercial Mortgage Index is based on analysis of
detailed accounting data on over 5,000 commercial mortgage loans
with an aggregate principal balance of more than $61 billion. The
data has been collected quarterly from participating life insurance
companies since 1996. The Index has a two-fold purpose.
- To provide a quantifiable investment performance index that
can be used to compare returns on life insurance company
investments in private commercial real estate whole loans with
those of other investment asset classes, such as public and
private bonds, or equities.
- To serve as a benchmark for privately held commercial real
estate mortgages so that owners of these whole loan instruments
can compare investment performance with that of a larger life
insurance industry commercial mortgage portfolio.
LifeComps is a not for profit venture formed by a number of life
insurance companies to collect and analyze comparative commercial
real estate whole loan performance data. When the real estate
recession of the early 1990’s began to affect delinquency rates in
the commercial whole loan mortgage market, institutional investors
in those loans had no publicly available historic return data to use
to anticipate potential investment losses, or to evaluate their
situation against a broader measure of the asset class. In contrast
long-term performance data for competing investment asset classes,
such as public bond indices, had been published for many years,
allowing investors to understand the effects of economic cycles on
those returns.
In addition to the published data, LifeComps participants receive
detailed quarterly reports that provide total return performance for
their portfolio versus the LifeComps benchmark, as well as
attribution by property type, region, loan size, and origination
year. LifeComps anticipates and encourages other life insurance
company participation. For more information go to LifeComps web site
at www.lifecomps.com.
CONTACTS:
LifeComps Group
Michael Mannix, Director
Phone: 617-429-3047
Media Relations
Judith Sylk-Siegel
Phone: 212-751-9266
