Life Mortgage Holdings Returns Improve in 3Q12

Life company commercial mortgage loan holdings generated a return of 2.31% in 3Q12, an improvement over the 1.56% return generated in each of the first two quarters, the LifeComps Commercial Mortgage Performance Index found.

The third quarter is the most recent data available.

Broken down by component, income return was 1.37%, while price return was 0.94%. Tighter mortgage spreads and slightly lower Treasury yields contributed positively to price performance.

But the annual return for the LifeComps portfolio fell 41 basis points to 8% between the end of the second quarter and the end of the third. Income contributed 5.68% and appreciation 2.32%.

The best return for the quarter and for the 12-month period ending Sept. 30, 2012 by property type came from retail, at 2.6% and 8.18% respectively. Apartments were next at 2.37% and 8.07%, followed by office, 2.6% and 7.79%, and industrial, 1.93% and 7/17%.

The data from approximately 5,000 loans are used to calculate the index, with an aggregate principal balance of $93.6 billion and market value of $101.6 billion.

The weighted average duration is 4.5 years and average loan-to-value is 57%.