November 30, 2008
PRIVATE MORTGAGE RETURNS TURN NEGATIVE IN THIRD QUARTER 2008
Following positive gains of 0.26 percent in second quarter 2008
and 0.82 percent in first quarter 2008, private commercial mortgages
held by life insurance companies posted a -2.08 percent total return
for third quarter 2008, according to the LifeComps Commercial
Mortgage Index.
Of total return in the third quarter, 1.61 percent was income
return and -3.69 percent was price return. The negative price return
resulted from higher mortgage spreads and lower valuations which
overrode the positive effect from lower treasury yields.
For the twelve months ended September 30, 2008, total return was
positive at 2.06 percent, of which 6.51 percent was income return
and -4.45 percent was price return. The property type with the
highest total return over the prior 12 months was office with a 2.34
percent return. Retail and apartment had the lowest total returns
with 1.85% each, however retail fared slightly better than
apartments on a quarterly and year-to-date basis.
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. Active loans in the LifeComps
Index number 6,700 with an aggregate principal balance of
approximately $86.3 billion and market value of $82.6 billion. The
weighted average duration is 4.3 years, and average loan-to-value is
58.4 percent.
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.
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 www.lifecomps.com.
CONTACTS:
For More Information on this Press Release
Northwestern
Mutual Media Relations, Northwestern Mutual
Phone: 800-323-7033
LifeComps Group
Michael Mannix, Director
Phone: 617-429-3047
